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 2022 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 2022 1st 2022 2nd 2023 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period 2023 1st Period 2022 2023 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ Sallie Mae 863871AM1 10/03/84 10/03/22 2.734 0.000 904.57 0.247599 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 2022 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. *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26 91.448 0.000 1.6140 21.41 0.041705 0.042041 0.042381 0.042723 0.043067 15.17 15.41 ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25 94.017 0.000 1.3572 18.48 0.035956 0.036200 0.036445 0.036693 0.036942 13.05 13.23 ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28 85.895 0.000 2.0999 11.86 0.050396 0.050925 0.051460 0.052000 0.052546 18.38 18.77 ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29 83.776 0.000 2.1498 11.85 0.050328 0.050869 0.051416 0.051968 0.052527 18.36 18.76 ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25 96.817 0.000 0.8042 7.09 0.021719 0.021806 0.021894 0.021982 0.022070 7.86 7.92 ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26 94.773 0.000 1.0700 9.23 0.028329 0.028481 0.028633 0.028786 0.028940 10.27 10.38 ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27 93.206 0.000 1.1701 9.93 0.030482 0.030661 0.030840 0.031020 0.031202 11.05 11.18 ALEDO TEX INDPT SCH DIST 014464XL0 02/04/21 02/15/22 99.702 0.000 0.2898 2.63 0.008038 0.35 ALEDO TEX INDPT SCH DIST 014464XM8 02/04/21 02/15/23 99.169 0.000 0.4114 3.71 0.011357 0.011380 0.011404 4.10 0.50 ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24 98.040 0.000 0.6542 5.83 0.017879 0.017937 0.017996 0.018055 0.018114 6.46 6.51 ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27 91.292 0.000 1.5999 8.70 0.040713 0.041039 0.041367 0.041698 0.042032 14.80 15.04 ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26 94.159 0.000 1.2800 7.18 0.033571 0.033786 0.034002 0.034220 0.034439 12.18 12.34 ALTERYX INC 02156BAA1 05/18/18 06/01/23 98.000 0.500 0.9072 14.28 0.011158 0.011209 0.011259 4.03 1.69 ALTERYX INC 02156BAB9 05/18/18 06/01/23 98.000 0.500 0.9072 14.28 0.011158 0.011209 0.011259 4.03 1.69 ALVARADO TEX INDPT SCH 022357H67 10/28/20 02/15/29 87.333 0.000 1.6390 16.92 0.040281 0.040611 0.040944 0.041279 0.041618 14.65 14.89 ALVARADO TEX INDPT SCH 022357H75 10/28/20 02/15/30 85.130 0.000 1.7390 17.51 0.041695 0.042057 0.042423 0.042792 0.043164 15.17 15.44 ALVARADO TEX INDPT SCH 022357H42 10/28/20 02/15/27 92.609 0.000 1.2230 13.37 0.031768 0.031963 0.032158 0.032355 0.032553 11.52 11.67 ALVARADO TEX INDPT SCH 022357H59 10/28/20 02/15/28 89.415 0.000 1.5390 16.26 0.038695 0.038993 0.039293 0.039596 0.039900 14.07 14.28 ALVARADO TEX INDPT SCH 022357H26 10/28/20 02/15/25 96.321 0.000 0.8741 9.93 0.023551 0.023654 0.023758 0.023862 0.023966 8.53 8.60 ALVARADO TEX INDPT SCH 022357H34 10/28/20 02/15/26 94.240 0.000 1.1230 12.49 0.029662 0.029828 0.029996 0.030164 0.030333 10.75 10.87 AMARILLO TEX INDPT SCH 023051YV1 10/14/20 02/01/24 97.347 0.000 0.8171 9.69 0.022239 0.022330 0.022421 0.022513 0.022604 8.05 8.12 AMARILLO TEX INDPT SCH 023051YW9 10/14/20 02/01/25 96.350 0.000 0.8671 10.18 0.023368 0.023469 0.023571 0.023673 0.023775 8.46 8.53 AMARILLO TEX INDPT SCH 023051YU3 10/14/20 02/01/23 98.612 0.000 0.6093 7.31 0.016772 0.016823 0.016874 6.06 0.51 ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36 93.636 4.700 5.2667 7.78 0.007408 0.007603 0.007803 0.008009 0.008220 2.76 2.91 ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26 96.122 3.650 4.2802 15.40 0.014468 0.014778 0.015094 0.015417 0.015747 5.36 5.59 ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26 96.122 3.650 4.2802 15.40 0.014468 0.014778 0.015094 0.015417 0.015747 5.36 5.59 ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36 93.636 4.700 5.2667 7.78 0.007408 0.007603 0.007803 0.008009 0.008220 2.76 2.91 ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30 84.028 0.000 1.7770 18.25 0.042095 0.042469 0.042846 0.043227 0.043611 15.32 15.60 ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25 95.120 0.000 1.0371 12.02 0.027642 0.027785 0.027929 0.028074 0.028220 10.02 10.12 ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27 91.280 0.000 1.3390 14.92 0.034333 0.034563 0.034795 0.035028 0.035262 12.46 12.63 ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26 92.991 0.000 1.2489 14.17 0.032599 0.032803 0.033007 0.033214 0.033421 11.83 11.98 ARLINGTON TEX INDPT SCH 0418265M6 07/30/20 02/15/24 95.925 0.000 1.1781 16.13 0.031778 0.031965 0.032154 0.032343 0.032534 11.53 11.66 Amgen Inc. 031162AK6 03/01/05 03/01/32*** 72.947 VARIES 4.4730 65.83 0.186079 0.190042 0.194071 *** *** 68.66 *** Argentina, Republic 040114GB0 07/21/01 07/21/30*** 80.144 10.250 12.8670 65.17 0.023664 0.025186 0.026807 *** *** 9.30 *** BANK OF MONTREAL 06374V3V6 09/06/22 09/13/23 100.000 0.000 4.3830 0.121750 0.121854 0.124524 14.01 31.19 BANK OF MONTREAL 06374V4T0 09/07/22 09/05/25 100.000 0.000 4.2850 0.119028 0.121550 0.124154 13.57 43.90 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BANK OF MONTREAL 06374V4S2 09/20/22 09/22/25 100.000 0.000 4.0706 0.113072 0.113098 0.115400 0.117748 11.42 41.59 BANK OF MONTREAL 06368GYR2 09/06/22 09/08/26 100.000 0.000 4.2130 0.117028 0.117055 0.119521 0.122039 13.46 43.15 BANK OF MONTREAL 06368GZ83 08/31/22 02/28/30 100.000 0.000 4.0770 0.113250 0.115533 0.117888 13.70 41.75 BANK OF MONTREAL 06368GYS0 08/31/22 08/31/26 100.000 0.000 4.1370 0.114917 0.117267 0.119720 13.90 42.38 BANK OF MONTREAL 06368GYT8 09/06/22 09/08/26 100.000 0.000 4.2130 0.117028 0.117055 0.119521 0.122039 13.46 43.15 BANK OF MONTREAL 06368GYQ4 08/31/22 08/31/26 100.000 0.000 4.1370 0.114917 0.117267 0.119720 13.90 42.38 BANK OF MONTREAL 06374VAX4 10/31/22 10/30/26 100.000 0.000 5.4140 0.150389 0.154460 0.158641 9.17 55.38 BANK OF MONTREAL 06374VAK2 10/31/22 04/30/24 100.000 0.000 5.4470 0.151306 0.155426 0.159659 9.23 55.72 BANK OF MONTREAL 06374VAL0 10/31/22 04/30/24 100.000 0.000 5.4470 0.151306 0.155426 0.159659 9.23 55.72 BANK OF MONTREAL 06374VSD4 09/22/22 09/23/24 100.000 0.000 4.1550 0.115417 0.117828 0.120276 11.43 42.46 BANK OF MONTREAL 06374VAV8 11/01/22 05/01/24 100.000 0.000 5.3340 0.148167 0.152118 0.156175 8.89 54.53 BANK OF MONTREAL 06374VAW6 11/01/22 05/01/24 100.000 0.000 5.3340 0.148167 0.152118 0.156175 8.89 54.53 BANK OF MONTREAL 06374VBR6 11/02/22 12/04/23 100.000 0.000 5.3340 0.148167 0.148869 0.152840 8.76 50.29 BARCLAYS BANK PLC 06748XV81 09/23/22 09/25/25 100.000 0.000 5.6800 0.157778 0.157828 0.162310 0.166919 15.47 58.50 BBVA GLOBAL SECURITIES 05552WLK4 11/22/22 11/22/24 100.000 0.000 5.5616 0.154489 0.158785 0.163200 6.03 56.73 BEMIS COMPANY INC 081437AQ8 06/13/19 09/15/26 95.210 3.100 3.8632 15.35 0.017509 0.017847 0.018192 0.018543 0.018902 6.44 6.69 BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25 92.621 0.000 1.4630 19.45 0.038336 0.038617 0.038899 0.039184 0.039470 13.89 14.09 BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24 94.579 0.000 1.3130 17.81 0.035068 0.035298 0.035530 0.035763 0.035998 12.69 12.86 BETHEL OHIO LOC SCH DIST 086851DC3 07/28/20 11/01/23 96.513 0.000 1.0921 15.10 0.029684 0.029846 0.030009 0.030172 10.73 9.03 BETHEL OHIO LOC SCH DIST 086851DB5 07/28/20 11/01/22 97.741 0.000 1.0142 14.20 0.027888 0.028030 8.39 BIOMARIN PHARMACEUTICAL 09061GAH4 08/11/17 08/01/24 98.000 0.599 0.8955 12.44 0.008019 0.008055 0.008091 0.008128 0.008164 2.90 2.93 BLACKSTONE MORTGAGE TRUS 09257WAC4 03/27/18 03/15/23 98.500 4.750 5.0956 11.01 0.008903 0.009130 0.009362 3.29 0.69 BOFA Finance LLC 097097166 11/29/17 11/25/22 100.000 0.000 2.7075 116.26 0.083727 0.084860 27.33 BOFA Finance LLC 09709TWV9 11/27/19 11/25/22 100.000 0.000 1.9000 40.41 0.054806 0.055327 17.85 BOFA Finance LLC 09710F496 04/29/22 04/17/25 100.000 0.000 3.6593 0.101648 0.103384 0.105275 0.107202 24.73 37.84 BOFA Finance LLC 09709T5W7 07/30/21 07/30/31*** 100.000 VARIES 2.1299 8.93 0.059165 0.058908 0.058648 *** *** 21.18 *** BOFA Finance LLC 09709T5V9 07/29/21 07/29/36 100.000 VARIES 2.5499 10.77 0.070829 0.069785 0.068727 0.068790 0.068853 24.99 24.77 BOFA Finance LLC 09709T5X5 08/03/21 08/03/31 100.000 VARIES 2.1400 8.80 0.059443 0.059039 0.058630 0.058672 0.058713 21.21 21.13 BOFA Finance LLC 09709T6D8 10/19/21 10/19/41 100.000 VARIES 2.9997 6.00 0.083326 0.081660 0.079968 0.080034 0.080101 29.46 28.81 BOFA Finance LLC 09709T6F3 11/17/21 11/17/31 100.000 VARIES 2.6999 3.30 0.074998 0.074511 0.074017 0.074065 0.074115 26.87 26.66 BOFA Finance LLC 09709TGH8 09/28/18 03/28/23 100.000 0.000 3.6451 124.95 0.112844 0.114900 0.116994 41.38 10.18 BOFA Finance LLC 09709T6E6 11/12/21 11/12/36 100.000 VARIES 2.6670 3.63 0.074084 0.073220 0.072344 0.072396 0.072448 26.43 26.06 BOFA Finance LLC 09709T6B2 09/24/21 09/24/31 100.000 VARIES 2.3499 6.33 0.065276 0.064737 0.064192 0.064247 0.064302 23.30 23.13 BOFA Finance LLC 09709T6A4 09/30/21 09/30/41 100.000 VARIES 3.0153 7.62 0.083759 0.082300 0.080819 0.080877 0.080935 29.62 29.12 BOFA Finance LLC 09709TXD8 11/27/19 11/28/24 100.000 0.000 2.3000 49.07 0.066883 0.067652 0.068430 0.069217 0.070013 24.27 24.83 BOFA Finance LLC 09709T6N6 05/18/22 05/18/32 100.000 VARIES 4.7335 0.131485 0.132494 0.133526 0.134582 29.36 47.97 BOFA Finance LLC 09709TGZ8 06/20/19 06/18/24 100.000 0.000 2.5962 67.46 0.076910 0.077908 0.078919 0.079944 0.080981 27.89 28.62 BOFA Finance LLC 09709THH7 01/27/20 09/01/22 103.250 0.125 1.7700 35.65 0.052112 0.052542 12.58 BOFA Finance LLC 09709TYU9 01/31/20 01/31/23 100.000 0.000 1.7000 33.03 0.048437 0.048848 0.049264 17.64 1.43 BOFA Finance LLC 09709UTW8 10/25/21 10/27/28 100.000 0.000 1.9500 3.58 0.054172 0.054700 0.055234 0.055772 0.056316 19.66 20.05 BOFA Finance LLC 09709TZV6 02/28/20 03/02/23 100.000 0.000 1.7400 32.43 0.049615 0.050047 0.050482 18.04 3.08 BOFA Finance LLC 09709TJL6 12/27/18 12/27/23 100.000 0.000 3.6325 114.49 0.112411 0.114452 0.116531 0.118648 40.85 41.87 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BOFA Finance LLC 09709TJM4 01/31/19 01/26/24 100.000 0.000 3.3706 102.52 0.101750 0.103465 0.105209 0.106982 0.108785 37.47 38.75 BOFA Finance LLC 09709TJS1 09/28/18 09/28/23 100.000 0.000 3.7178 127.57 0.115338 0.117482 0.119666 0.121890 42.31 32.35 BOFA Finance LLC 09709TSN2 05/28/19 05/26/22 100.000 0.000 2.7700 73.92 0.082410 11.95 BOFA Finance LLC 09709TSJ1 05/28/19 05/26/22 100.000 0.000 2.7700 73.92 0.082409 11.95 BOFA Finance LLC 09709TSW2 05/28/19 05/26/22 100.000 0.000 2.7700 73.92 0.082410 11.95 BOFA Finance LLC 09709TSS1 05/28/19 05/26/22 100.000 0.000 2.7600 73.64 0.082092 11.90 BOFA Finance LLC 09709TKK6 11/30/18 11/30/23 100.000 0.000 3.7226 120.59 0.115505 0.117654 0.119844 0.122075 42.10 39.83 BOFA Finance LLC 09709TKW0 10/31/18 10/31/23 100.000 0.000 3.7689 125.67 0.117101 0.119308 0.121556 0.123846 42.83 36.76 BOFA Finance LLC 09709TTC5 08/30/19 03/02/23 100.000 0.000 2.0808 49.56 0.060249 0.060876 0.061509 21.95 3.75 BOFA Finance LLC 09709TTW1 07/31/19 01/31/23 100.000 0.000 2.2849 56.52 0.066420 0.067179 0.067946 24.28 1.97 BOFA Finance LLC 09709TUA7 07/31/19 01/31/24 100.000 0.000 2.3707 58.69 0.069031 0.069849 0.070677 0.071515 0.072363 25.25 25.85 BOFA Finance LLC 097098297 02/28/19 02/28/25 100.000 0.000 3.3423 98.80 0.100865 0.102550 0.104264 0.106006 0.107778 37.03 38.28 BOFA Finance LLC 09709TVC2 09/18/19 09/16/22 100.000 0.000 2.2021 51.36 0.063901 0.064604 16.42 BOFA Finance LLC 09709TED9 04/10/18 05/01/23 100.000 0.250 3.1425 122.69 0.096718 0.098129 0.099562 35.24 11.95 BOFA Finance LLC 09709TMV0 09/28/18 09/28/23 100.000 0.000 3.6449 124.95 0.112836 0.114892 0.116986 0.119118 41.38 31.62 BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27 97.935 3.588 3.8804 6.80 0.006574 0.006701 0.006831 0.006964 0.007099 2.41 2.50 BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27 94.278 3.017 3.8468 19.52 0.018692 0.019052 0.019418 0.019792 0.020173 6.91 7.18 BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26 95.741 3.119 3.7851 16.16 0.015630 0.015926 0.016227 0.016534 0.016847 5.71 5.93 BRAZOS TEX INDPT SCH DIS 106239FA9 03/23/21 02/15/23 99.058 0.000 0.5002 3.83 0.013791 0.013825 0.013860 4.98 0.61 BRENHAM TEX INDPT SCH DI 107133PH7 11/06/20 02/15/23 98.422 0.000 0.7003 7.97 0.019250 0.019318 0.019385 6.96 0.85 BRENHAM TEX INDPT SCH DI 107133PG9 11/06/20 02/15/22 99.327 0.000 0.5303 6.08 0.014691 0.65 BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26 93.491 0.000 1.2799 13.86 0.033569 0.033784 0.034000 0.034218 0.034437 12.18 12.34 BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27 91.617 0.000 1.4001 14.86 0.036018 0.036270 0.036524 0.036779 0.037037 13.08 13.26 BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28 88.094 0.000 1.7500 17.89 0.043405 0.043785 0.044168 0.044555 0.044944 15.80 16.08 BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24 96.943 0.000 0.9502 10.66 0.025775 0.025898 0.026021 0.026144 0.026269 9.33 9.42 BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25 95.621 0.000 1.0501 11.62 0.028120 0.028267 0.028416 0.028565 0.028715 10.19 10.30 BROOKHAVEN N Y LOC DEV 113168BH0 10/29/20 10/01/25 98.910 4.500 4.7509 2.38 0.005776 0.005914 0.006054 0.006198 0.006345 2.13 2.23 BROOKS CNTY TEX INDPT SC 114385FS1 11/26/19 08/15/23 91.893 0.000 2.2856 44.89 0.060668 0.061361 0.062062 0.062771 22.15 14.03 BROOKS CNTY TEX INDPT SC 114385FR3 11/26/19 08/15/22 94.401 0.000 2.1295 42.91 0.057913 0.058530 13.08 BRYAN OHIO CITY SCH DIST 117529ER4 02/27/20 01/01/24 92.363 0.000 2.0769 35.89 0.055355 0.055930 0.056511 0.057098 20.03 20.45 BRYAN OHIO CITY SCH DIST 117529EQ6 02/27/20 01/01/23 94.597 0.000 1.9619 34.70 0.053445 0.053969 19.33 BUREAU LEE & WHITESIDE 121158BU2 06/13/18 12/01/22 101.635 4.000 3.5768 129.43 0.099765 0.099562 32.89 BURLESON TEX INDPT SCH 1214034B2 07/01/20 08/01/25 90.706 0.000 1.9281 26.50 0.049600 0.050078 0.050561 0.051049 0.051541 18.09 18.44 BURLESON TEX INDPT SCH 1214034A4 07/01/20 08/01/24 92.838 0.000 1.8281 25.70 0.048083 0.048522 0.048966 0.049413 0.049865 17.52 17.84 BURLESON TEX INDPT SCH 1214033Y3 07/01/20 08/01/22 97.135 0.000 1.4000 20.55 0.038350 0.038619 8.10 BURLESON TEX INDPT SCH 1214033Z0 07/01/20 08/01/23 95.342 0.000 1.5529 22.39 0.041822 0.042146 0.042473 0.042803 15.21 8.98 BURLESON TEX INDPT SCH 1214034C0 07/01/20 08/01/26 87.833 0.000 2.1439 28.56 0.053529 0.054103 0.054683 0.055269 0.055862 19.55 19.97 BURLESON TEX INDPT SCH 1214034E6 07/01/20 08/01/28 82.817 0.000 2.3459 29.50 0.055349 0.055999 0.056655 0.057320 0.057992 20.24 20.72 BURLESON TEX INDPT SCH 1214034D8 07/01/20 08/01/27 85.379 0.000 2.2439 29.08 0.054521 0.055133 0.055751 0.056377 0.057009 19.92 20.37 BURLESON TEX INDPT SCH 1214034F3 07/01/20 08/01/29 80.401 0.000 2.4159 29.51 0.055380 0.056048 0.056726 0.057411 0.058104 20.26 20.75 Banco de Galicia 059538AR9 07/19/16 07/19/26*** 100.000 VARIES 8.7499 483.61 0.250475 0.249867 0.249233 *** *** 89.86 *** Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26*** 100.000 VARIES 0.0000 89.98 0.250475 0.249867 0.249233 *** *** 89.86 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corporat 09709V6D3 10/21/22 10/20/25 100.000 0.000 5.4000 0.150000 0.154028 0.158186 10.50 55.31 Bank of America Corporat 06048WZ52 10/20/22 10/20/27 100.000 0.000 5.3793 0.149425 0.153444 0.157571 10.61 55.09 Bank of America Corp. 06048WUR9 08/25/17 08/25/29 100.000 VARIES 1.6609 12.15 0.007565 0.007628 0.007692 0.007755 0.007820 2.75 2.80 Bank of America Corp. 06048WUT5 08/28/17 08/28/27 100.000 VARIES 1.7157 15.75 0.009921 0.010006 0.010092 0.010178 0.010266 3.61 3.67 Bank of America Corp. 06048WEE6 10/14/10 10/15/30*** 100.000 VARIES 5.2017 48.68 0.135633 0.136025 0.136427 *** *** 48.96 *** Bank of America Corp. 06053W359 06/04/15 05/27/22 100.000 0.000 2.8843 207.21 0.096458 14.08 Bank of America Corp. 06051GHN2 08/29/18 12/15/37 43.329 0.000 4.3817 67.51 0.060835 0.062168 0.063530 0.064922 0.066344 22.18 23.17 Bank of America Corp. 06048WTR1 10/28/16 10/28/26*** 100.000 VARIES 2.1950 14.11 0.007595 0.007679 0.007763 *** *** 2.76 *** Bank of America Corp. 09709TPQ8 04/02/19 03/31/22 100.000 0.000 2.8493 80.85 0.084935 7.56 Bank of America Corp. 06053W169 04/02/15 03/25/22 100.000 0.000 2.7072 198.97 0.089516 7.52 Bank of America Corp. 06053W888 10/23/15 10/28/22 100.000 0.000 2.9889 201.58 0.099242 0.100725 29.74 Bank of America Corp. 06048WB74 08/02/19 08/02/49 100.000 0.000 4.1568 104.44 0.125370 0.127975 0.130635 0.133350 0.136122 46.39 48.34 Bank of America Corp. 06048WRV4 10/30/15 10/30/25*** 100.000 VARIES 2.4485 3.21 0.009035 0.009146 0.009258 *** *** 3.29 *** Bank of America Corp. 06048WRU6 09/30/15 09/30/30*** 100.000 VARIES 2.8047 5.64 0.015884 0.016106 0.016332 *** *** 5.80 *** Bank of America Corp. 06048WHN3 09/30/11 09/30/31*** 100.000 VARIES 5.3142 50.36 0.140178 0.140464 0.140759 *** *** 50.57 *** Bank of America Corp. 06053U106 02/05/15 01/28/22 100.000 0.000 2.5377 190.24 0.083007 2.24 Bank of America Corp. 06053W730 10/01/15 09/30/22 100.000 0.000 2.9206 198.71 0.096536 0.097946 26.22 Bank of America Corp. 06048WZE3 02/06/19 02/06/39 100.000 0.000 4.7730 146.79 0.149179 0.152739 0.156384 0.160116 0.163937 55.39 58.07 Bank of America Corp. 06048WPF1 10/10/13 10/10/33*** 100.000 VARIES 4.7034 45.14 0.125546 0.125707 0.125871 *** *** 45.25 *** Bank of America Corp. 06048WPE4 09/23/13 09/23/33*** 100.000 VARIES 4.8735 46.74 0.129980 0.130148 0.130320 *** *** 46.86 *** Bank of America Corp. 06048WPJ3 12/23/13 12/23/33*** 100.000 VARIES 4.8649 46.72 0.129994 0.130154 0.130319 *** *** 46.83 *** Bank of America Corp. 06048WPD6 08/30/13 08/30/33*** 100.000 VARIES 4.9958 48.05 0.132141 0.131576 0.132461 *** *** 48.17 *** Bank of America Corp. 06048WGR5 07/14/11 07/14/23*** 100.000 VARIES 5.1475 51.40 0.142805 0.142849 0.142894 *** *** 51.43 *** Bank of America Corp. 06048WPB0 08/06/13 08/06/33*** 100.000 VARIES 4.8453 46.56 0.129454 0.129615 0.129779 *** *** 46.68 *** Bank of America Corp. 06048WHF0 08/26/11 08/26/31*** 100.000 VARIES 5.0293 47.78 0.132931 0.133196 0.133467 *** *** 47.97 *** Bank of America Corp. 06053W649 08/10/15 08/26/22 100.000 0.000 3.0325 212.16 0.101044 0.102576 24.02 Bank of America Corp. 06048WPN4 03/20/14 03/20/34*** 100.000 VARIES 4.4527 42.61 0.118505 0.118662 0.118822 *** *** 42.72 *** Bank of America Corp. 06048WPM6 02/28/14 02/29/24*** 100.000 VARIES 3.7879 37.30 0.103247 0.101827 0.103787 *** *** 37.49 *** Bank of America Corp. 06048WHA1 08/15/11 08/15/23*** 100.000 VARIES 4.7457 47.41 0.131706 0.131734 0.131763 *** *** 47.43 *** Bank of America Corp. 06048WG61 12/23/19 12/23/49 100.000 0.000 3.6664 76.25 0.109520 0.111528 0.113572 0.115654 0.117775 39.82 41.29 Bank of America Corp. 06048WWY2 06/27/18 06/27/28 100.000 VARIES 3.6179 21.16 0.014894 0.015164 0.015438 0.015717 0.016002 5.41 5.61 Bank of America Corp. 06048WWX4 06/13/18 06/13/28 100.000 VARIES 3.6250 18.10 0.013262 0.013502 0.013747 0.013996 0.014250 4.83 5.00 Bank of America Corp. 06048WNZ9 07/11/13 07/11/33*** 100.000 VARIES 5.0043 48.06 0.133585 0.133753 0.133925 *** *** 48.18 *** Bank of America Corp. 06048WFJ4 03/04/11 03/04/31*** 100.000 VARIES 5.6399 54.41 0.151306 0.151523 0.151747 *** *** 54.56 *** Bank of America Corp. 06048WGF1 06/16/11 06/16/23*** 100.000 VARIES 4.8974 48.95 0.136001 0.136013 0.136026 *** *** 48.96 *** Bank of America Corp. 06053M864 02/12/15 02/26/27 100.000 0.000 3.3492 257.04 0.115602 0.117538 0.119506 0.121508 0.123542 42.45 43.89 Bank of America Corp. 06048WNH9 11/09/12 11/09/22 100.000 VARIES 1.6066 3.45 0.009666 0.009743 2.99 Bank of America Corp. 06048WET3 12/15/10 12/15/30*** 100.000 VARIES 5.9911 55.73 0.155440 0.155909 0.156392 *** *** 56.06 *** Bank of America Corp. 06048WEJ5 11/19/10 11/19/30*** 100.000 VARIES 5.6999 53.64 0.149465 0.149849 0.150244 *** *** 53.91 *** Bank of America Corp. 06048WVM9 01/30/18 01/30/28 100.000 VARIES 3.1591 14.43 0.009722 0.009875 0.010031 0.010190 0.010351 3.57 3.69 Bank of America Corp. 06048WNK2 12/10/12 12/10/22 100.000 VARIES 1.4139 13.98 0.039016 0.039145 13.25 Bank of America Corp. 06048WWA4 03/27/18 03/27/28 100.000 VARIES 3.7904 142.86 0.105523 0.105507 0.105491 0.105474 0.105457 37.98 37.97 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corp. 06053W458 07/02/15 06/24/22 100.000 0.000 3.1925 228.50 0.108877 18.84 Bank of America Corp. 09709TNJ6 02/28/19 02/25/22 100.000 0.000 3.0213 88.98 0.090436 4.88 Bank of America Corporat 09709T6G1 04/13/22 10/17/24 100.000 0.000 3.1000 0.086111 0.086141 0.087476 0.088832 0.090209 22.32 31.94 Bank of America Corporat 09709T6P1 05/31/22 10/02/24 100.000 0.000 3.3400 0.092778 0.093828 0.095395 0.096988 19.67 34.34 Bank of America Corporat 09709T6Q9 07/28/22 07/28/32 100.000 0.000 4.5700 0.126944 0.129845 0.132812 19.42 47.12 Bank of America Corporat 09710F660 07/01/22 06/24/25 100.000 0.000 4.3100 0.119722 0.122202 0.124835 0.127526 21.57 44.50 Bank of America Corporat 06048WW30 07/06/22 07/06/27 100.000 0.000 4.5900 0.127500 0.130426 0.133419 22.31 47.46 Bank of Montreal 06368GW78 07/11/22 07/11/25 100.000 VARIES 3.8970 0.108250 0.107653 0.107044 18.40 38.66 Bank of Montreal 06374VCY0 11/28/22 11/28/25 100.000 0.000 5.3110 0.147528 0.151445 0.155467 4.87 54.08 Bank of Montreal 06374VCZ7 11/30/22 11/30/26 100.000 0.000 5.0620 0.140611 0.144170 0.147819 4.36 51.48 Bank of Montreal 06374V2Z8 08/24/22 08/24/27 100.000 0.000 4.0600 0.112778 0.115067 0.117403 14.32 41.60 Bank of Montreal 06368GV20 07/01/22 07/01/26 100.000 0.000 4.0508 0.114801 0.114801 0.119499 20.25 41.75 Bank of Montreal 06374VE85 11/16/22 11/16/26 100.000 0.000 5.4710 0.151972 0.156129 0.160400 6.84 55.84 Bank of Montreal 06374VDY9 11/28/22 11/28/25 100.000 0.000 5.3110 0.147528 0.151445 0.155467 4.87 54.08 Bank of Montreal 06374VDL7 11/30/22 05/31/24 100.000 0.000 5.5490 0.154139 0.158415 0.162811 4.78 56.53 Bank of Montreal 06374VDN3 12/02/22 01/02/24 100.000 0.000 5.6820 0.157833 0.158581 0.163086 4.58 57.89 Bank of Montreal 06374VDM5 11/30/22 12/29/23 100.000 0.000 5.6840 0.157889 0.158612 0.163120 4.90 57.59 Bank of Montreal 06374V4D5 10/03/22 10/05/26 100.000 0.000 4.9900 0.138611 0.138650 0.142109 0.145654 12.20 51.14 Bank of Montreal 06374V4E3 09/30/22 09/30/26 100.000 0.000 5.2120 0.144778 0.148551 0.152422 13.17 53.49 Bank of Montreal 06374V4F0 10/03/22 10/05/26 100.000 0.000 4.9900 0.138611 0.138650 0.142109 0.145654 12.20 51.14 Bank of Montreal 06374VEC6 11/23/22 11/21/25 100.000 0.000 5.3400 0.148333 0.152250 0.156315 5.64 54.42 Bank of Montreal 06374V4C7 09/30/22 09/30/26 100.000 0.000 5.2120 0.144778 0.148551 0.152422 13.17 53.49 Bank of Montreal 06374VED4 11/23/22 11/23/27 100.000 0.000 5.1440 0.142889 0.146564 0.150334 5.43 52.38 Bank of Montreal 06374V5G7 09/30/22 09/30/26 100.000 0.000 5.2120 0.144778 0.148551 0.152422 13.17 53.49 Bank of Montreal 06374V5W2 10/13/22 10/14/25 100.000 0.000 5.2400 0.145556 0.149390 0.153304 11.35 53.69 Bank of Montreal 06374V5R3 09/20/22 09/22/25 100.000 0.000 4.7090 0.130806 0.130840 0.133920 0.137074 13.21 48.27 Bank of Montreal 06368GZZ3 08/22/22 08/22/25 100.000 0.000 4.0150 0.111528 0.113767 0.116051 14.39 41.14 Bank of Montreal 06368GZK6 08/09/22 08/11/25 100.000 0.000 3.7530 0.104250 0.104272 0.106228 0.108222 14.81 38.44 Bank of Montreal 06374V7J9 10/12/22 04/14/25 100.000 0.000 5.2430 0.145639 0.145681 0.149500 0.153419 11.51 53.73 Bank of Montreal 06368GZG5 08/16/22 08/16/27 100.000 0.000 3.9460 0.109611 0.111774 0.113979 14.80 40.44 Bank of Montreal 06374V7A8 10/04/22 10/05/26 100.000 0.000 5.1600 0.143333 0.147052 0.150846 12.47 52.92 Bank of Montreal 06374VAD8 10/19/22 04/22/30 100.000 0.000 5.1600 0.143333 0.143395 0.147095 0.150890 10.32 52.81 Bank of Montreal 06368GXV4 07/29/22 07/31/25 100.000 0.000 3.8040 0.105667 0.105678 0.107688 0.109736 16.06 39.02 Bank of Montreal 06368GY27 07/29/22 07/29/25 100.000 VARIES 3.7650 0.104583 0.103938 0.103280 15.90 37.34 Bank of Montreal 06374VAS5 10/13/22 04/03/25 100.000 0.000 5.2430 0.145639 0.149245 0.153157 11.36 53.74 Bank of Montreal 06368GXH5 07/20/22 07/22/24 100.000 0.000 3.9580 0.109944 0.109969 0.112145 0.114364 17.70 40.68 Bank of Montreal 06368GWT0 07/29/22 07/31/26 100.000 0.000 3.8220 0.106167 0.106178 0.108207 0.110275 16.14 39.21 Bank of Montreal 06368GWU7 08/01/22 08/03/26 100.000 0.000 3.8040 0.105667 0.105689 0.107699 0.109748 15.85 39.01 Bank of Montreal 06368GWG8 07/06/22 07/05/24 100.000 0.000 3.7490 0.104139 0.106080 0.108069 18.22 38.53 Bank of Nova Scotia 06417P819 11/01/18 10/25/24 100.000 0.000 3.9550 132.09 0.123477 0.125919 0.128409 0.130948 0.133538 45.22 47.02 Bank of Nova Scotia 06417P124 08/01/19 07/26/24 100.000 0.000 2.5003 61.90 0.072967 0.073879 0.074803 0.075738 0.076685 26.72 27.39 Bank of Nova Scotia 06417P611 12/28/18 12/20/24 100.000 0.000 3.9396 124.55 0.122916 0.125337 0.127806 0.130324 0.132891 44.74 46.52 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of Nova Scotia 064159X92 06/16/21 06/16/36 100.000 VARIES 2.3423 12.67 0.064200 0.063325 0.063035 0.062867 0.062791 22.94 22.66 Bank of Nova Scotia 06417P538 01/31/19 01/27/23 100.000 0.000 3.6098 110.12 0.109622 0.111601 0.113615 40.43 2.95 Bank of Nova Scotia 06417P330 06/06/19 05/30/25 100.000 0.000 3.0038 79.64 0.089853 0.091202 0.092572 0.093963 0.095374 32.67 33.66 Barclays Bank PLC 06748EVE0 07/06/21 06/30/26 100.000 0.000 1.3100 6.37 0.036619 0.036859 0.037100 0.037343 0.037588 13.23 13.40 Barclays Bank PLC 06741TRR0 04/09/13 04/09/28*** 100.000 VARIES 3.5338 28.49 0.080519 0.081941 0.083389 *** *** 29.48 *** Barclays Bank PLC 06746XHH9 07/31/18 07/31/23 100.000 1.750 3.7399 132.22 0.110389 0.112453 0.112738 0.114846 40.48 23.96 Barclays Bank PLC 06747NEG5 09/05/19 03/03/22 100.000 0.000 2.1599 51.17 0.062625 3.88 Barclays Bank PLC 06746XHJ5 07/31/18 07/31/23 100.000 1.000 3.7400 133.47 0.112868 0.114979 0.116090 0.118261 41.50 24.65 Barclays Bank PLC 06741TRP4 03/28/13 03/28/33*** 100.000 VARIES 3.9300 24.65 0.069777 0.071148 0.072546 *** *** 25.62 *** Barclays Bank PLC 06746XQ63 10/03/18 06/30/23 100.000 0.000 3.9789 136.41 0.125590 0.128088 0.130637 45.67 23.38 Barclays Bank PLC 06748X3E9 02/03/22 02/03/27 100.000 0.000 2.2900 0.063611 0.064340 0.065076 0.065821 20.97 23.51 Barclays Bank PLC 06747PSV2 06/03/20 06/01/23 100.000 0.000 1.5201 24.19 0.043191 0.043519 0.043850 15.63 6.58 Barclays Bank PLC 06738G8A1 01/30/20 02/04/25 104.000 0.000 2.1300 43.18 0.063535 0.064211 0.064895 0.065586 0.066285 23.19 23.69 Barclays Bank PLC 06747MJP2 03/14/19 03/14/29 100.000 VARIES 3.5244 14.88 0.013111 0.013342 0.013577 0.013817 0.014060 4.81 4.98 Barclays Bank PLC 06748XDD0 02/28/22 02/28/28 100.000 0.000 2.5100 0.069722 0.070597 0.071483 0.072380 21.23 25.79 Barclays Bank PLC 06746X7E7 05/30/18 05/30/23 100.000 1.000 3.6100 135.16 0.110479 0.111471 0.113483 40.04 16.91 Barclays Bank PLC 06748XDE8 02/22/22 02/22/27 100.000 VARIES 0.7226 0.008961 0.008834 0.008706 0.008738 2.75 3.14 Barclays Bank PLC 06748X3D1 01/31/22 01/25/29 100.000 0.000 2.4390 0.067749 0.068552 0.069388 0.070235 22.55 25.09 Barclays Bank PLC 06748X3A7 01/26/22 01/25/29 100.000 0.000 2.5200 0.070000 0.070877 0.071770 0.072674 23.59 25.96 Barclays Bank PLC 06747NML5 11/29/19 11/27/24 100.000 0.000 2.4500 52.20 0.071442 0.072317 0.073203 0.074100 0.075007 25.94 26.58 Barclays Bank PLC 06748XDC2 03/03/22 03/04/27 100.000 0.000 2.4799 0.068891 0.069745 0.070610 0.071485 20.63 25.47 Barclays Bank PLC 06741TZX8 08/01/13 08/01/23*** 100.000 0.250 3.5547 45.80 0.128634 0.130797 0.132998 *** *** 47.35 *** Barclays Bank PLC 06747N3U6 08/05/19 04/28/23 100.000 0.000 2.4695 60.86 0.072459 0.073353 0.074259 26.36 8.69 Barclays Bank PLC 06748EUZ4 06/30/21 06/30/28 100.000 0.000 1.8500 9.30 0.051864 0.052344 0.052828 0.053317 0.053810 18.76 19.11 Barclays Bank PLC 06747NMK7 11/29/19 05/27/25 100.000 0.000 2.3900 50.89 0.069610 0.070442 0.071284 0.072136 0.072998 25.27 25.87 Barclays Bank PLC 06748X2Z3 01/26/22 01/26/27 100.000 0.000 2.2400 0.062222 0.062919 0.063624 0.064336 20.95 23.00 Barclays Bank PLC 06746XH89 07/27/18 04/25/23 100.000 0.000 3.7791 137.02 0.118537 0.120776 0.123059 43.37 14.03 Barclays Bank PLC 06747PBH1 02/28/20 02/26/27 100.000 0.000 1.8200 33.94 0.051943 0.052416 0.052893 0.053374 0.053860 18.90 19.25 Barclays Bank PLC 06747PBK4 03/04/20 03/04/24 100.000 0.000 1.5201 28.03 0.043194 0.043522 0.043853 0.044186 0.044522 15.69 15.93 Barclays Bank PLC 06747PBJ7 02/28/20 02/28/25 100.000 0.000 1.6100 29.98 0.045811 0.046180 0.046552 0.046927 0.047304 16.65 16.92 Barclays Bank PLC 06741UDA9 05/30/14 05/30/34*** 100.000 VARIES 3.8795 30.03 0.083994 0.084438 0.085289 *** *** 30.36 *** Barclays Bank PLC 06747NDT8 08/21/19 03/08/22 100.000 0.000 2.1497 51.80 0.062385 4.18 Barclays Bank PLC 06741VXF4 07/06/17 07/06/22 100.000 0.000 2.7400 129.85 0.084863 0.086025 15.91 Barclays Bank PLC 06741TZW0 08/15/13 08/15/33 100.000 VARIES 4.2320 255.76 0.074524 0.075733 0.077138 0.078741 0.080407 27.40 28.50 Barclays Bank PLC 06746X6Q1 04/30/18 04/28/23 100.000 0.000 3.7000 144.04 0.116824 0.118985 0.121187 42.72 14.18 Barclays Bank PLC 06747NUS1 01/03/20 01/03/25 100.000 0.000 2.3200 47.08 0.066713 0.067487 0.068270 0.069062 0.069863 24.43 25.00 Barclays Bank PLC 06746XH71 07/27/18 07/25/24 100.000 0.000 3.8699 140.43 0.120573 0.122906 0.125284 0.127709 0.130180 44.56 46.30 Barclays Bank PLC 06738KLP4 06/28/11 06/28/23*** 100.000 VARIES 4.8717 49.41 0.136569 0.136119 0.135726 *** *** 49.08 *** Barclays Bank PLC 06748XTR2 10/05/22 10/05/27 100.000 0.000 5.8000 0.161111 0.165783 0.170591 13.86 59.66 Barclays Bank PLC 06747QVE4 01/27/21 01/27/28 100.000 0.000 1.4100 13.12 0.039443 0.039721 0.040001 0.040283 0.040567 14.34 14.54 Barclays Bank PLC 06748XTP6 10/05/22 10/03/25 100.000 0.000 5.7600 0.160000 0.164557 0.169296 13.76 59.24 Barclays Bank PLC 06747N3K8 08/05/19 07/29/22 100.000 0.000 2.4099 59.33 0.070200 0.071046 14.75 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747QVF1 01/27/21 06/26/26 100.000 0.000 1.2699 11.82 0.035687 0.035914 0.036142 0.036371 0.036602 12.89 13.05 Barclays Bank PLC 06748XTQ4 10/05/22 10/03/25 100.000 0.000 5.8100 0.161389 0.166025 0.170848 13.88 59.77 Barclays Bank PLC 06747N3J1 07/31/19 07/31/24 100.000 0.000 2.5801 64.00 0.075439 0.076412 0.077398 0.078397 0.079408 27.63 28.35 Barclays Bank PLC 06747N3E2 08/05/19 01/31/22 100.000 0.000 2.2325 54.87 0.064808 1.88 Barclays Bank PLC 06747QVA2 01/29/21 01/31/28 100.000 0.000 1.4406 13.33 0.040306 0.040596 0.040888 0.041183 0.041480 14.65 14.86 Barclays Bank PLC 06746XXL2 11/09/18 05/06/22 100.000 0.000 3.8599 127.79 0.120212 15.03 Barclays Bank PLC 06741VXB3 06/30/17 06/28/23 100.000 0.000 2.8299 134.89 0.089192 0.090454 0.091734 32.34 16.24 Barclays Bank PLC 06747A631 04/18/19 04/21/22 100.000 0.000 2.8999 80.95 0.086587 9.52 Barclays Bank PLC 06747MJ72 03/11/19 03/11/26 100.000 VARIES 3.1873 11.68 0.011331 0.011511 0.011695 0.011881 0.012070 4.15 4.29 Barclays Bank PLC 06741VXA5 06/30/17 06/27/24 100.000 0.000 2.9300 139.94 0.092750 0.094108 0.095487 0.096886 0.098305 33.65 34.64 Barclays Bank PLC 06746XXN8 12/05/18 09/05/23 100.000 0.000 3.7791 121.99 0.116362 0.118561 0.120801 0.123084 42.80 29.89 Barclays Bank PLC 06741VG63 01/31/17 01/31/22 100.000 0.000 2.9201 153.30 0.092417 2.68 Barclays Bank PLC 06747Q3Z8 07/31/20 07/30/27 100.000 0.000 1.8100 25.91 0.051192 0.051655 0.052123 0.052594 0.053070 18.65 18.99 Barclays Bank PLC 06747PAX7 03/04/20 08/31/23 100.000 0.000 1.5212 28.05 0.043220 0.043545 0.043880 0.044210 15.70 10.55 Barclays Bank PLC 06747MRB4 05/31/19 05/31/22 100.000 0.000 2.8500 75.94 0.084970 12.66 Barclays Bank PLC 06746X6A6 04/25/18 04/25/28 100.000 VARIES 3.6446 19.55 0.013170 0.013410 0.013654 0.013903 0.014157 4.82 4.99 Barclays Bank PLC 06744CEV9 08/31/17 08/30/24 100.000 0.000 2.9100 133.48 0.090735 0.092040 0.093394 0.094738 0.096132 33.22 34.20 Barclays Bank PLC 06744CVY4 02/14/18 02/14/23 100.000 0.000 3.5600 146.78 0.111888 0.113880 0.115907 41.19 4.98 Barclays Bank PLC 06747PB57 02/07/20 08/08/23 100.000 0.000 1.8700 36.01 0.053418 0.053917 0.054421 0.054930 19.46 11.90 Barclays Bank PLC 06748E2W2 02/24/21 07/23/26 100.000 0.000 1.2999 11.12 0.036304 0.036540 0.036777 0.037016 0.037257 13.19 13.36 Barclays Bank PLC 06740PC38 11/29/10 11/29/30*** 100.000 VARIES 4.9296 40.24 0.113368 0.114721 0.116106 *** *** 41.14 *** Barclays Bank PLC 06748E2V4 02/24/21 02/25/28 100.000 0.000 1.6800 14.38 0.047061 0.047456 0.047855 0.048257 0.048662 17.11 17.40 Barclays Bank PLC 06747MR81 06/05/19 05/31/22 100.000 0.000 2.8499 75.52 0.084934 12.66 Barclays Bank PLC 06741TYX9 07/24/13 07/24/28 100.000 VARIES 3.9848 263.65 0.083976 0.085650 0.087356 0.089097 0.090872 31.06 32.31 Barclays Bank PLC 06747MQZ2 06/05/19 02/28/23 100.000 0.000 2.8993 76.90 0.085879 0.087124 0.088387 31.45 5.04 Barclays Bank PLC 06746P795 02/05/18 02/03/23 100.000 0.000 3.3800 139.88 0.105555 0.107338 0.109152 38.85 3.49 Barclays Bank PLC 06747MZK5 06/14/19 06/15/23 100.000 0.000 2.9300 76.92 0.087535 0.088817 0.090118 31.78 14.78 Barclays Bank PLC 06747N2Y9 07/31/19 07/31/23 100.000 0.000 2.6600 66.03 0.077899 0.078936 0.079985 0.081049 28.55 16.91 Barclays Bank PLC 06747N2T0 07/26/19 07/31/24 100.000 0.000 2.9716 74.35 0.087590 0.088891 0.090212 0.091552 0.092912 32.16 33.13 Barclays Bank PLC 06747MQT6 05/31/19 05/30/24 100.000 0.000 3.0400 81.17 0.091060 0.092444 0.093849 0.095276 0.096724 33.12 34.13 Barclays Bank PLC 06747MR57 05/31/19 05/31/23 100.000 0.000 2.9400 78.42 0.087848 0.089140 0.090450 31.94 13.48 Barclays Bank PLC 06741VG30 01/27/17 01/25/23 100.000 0.000 3.1501 166.53 0.100700 0.102286 0.103897 37.04 2.49 Barclays Bank PLC 06747N2S2 07/26/19 07/31/24 100.000 0.000 2.9716 74.35 0.087590 0.088892 0.090213 0.091553 0.092913 32.16 33.13 Barclays Bank PLC 06747NTV6 12/30/19 12/26/24 100.000 0.000 2.4100 49.15 0.070210 0.071056 0.071913 0.072779 0.073656 25.44 26.05 Barclays Bank PLC 06747NU77 01/03/20 01/04/27 100.000 0.000 2.5300 51.42 0.072984 0.073907 0.074842 0.075789 0.076747 26.77 27.45 Barclays Bank PLC 06748ED42 03/31/21 03/30/28 100.000 0.000 2.0000 15.11 0.056111 0.056672 0.057239 0.057811 0.058389 20.40 20.81 Barclays Bank PLC 06747MQS8 05/31/19 05/31/24 100.000 0.000 3.0400 81.17 0.091060 0.092444 0.093849 0.095276 0.096724 33.12 34.13 Barclays Bank PLC 06747MA22 01/31/19 01/31/22 100.000 0.000 3.4400 104.72 0.104061 3.02 Barclays Bank PLC 06748EU92 06/23/21 06/22/28 100.000 0.000 1.8700 9.77 0.052427 0.052917 0.053412 0.053912 0.054416 18.97 19.33 Barclays Bank PLC 06747PAM1 03/04/20 03/03/23 100.000 0.000 1.4900 27.47 0.042319 0.042634 0.042952 15.37 2.66 Barclays Bank PLC 06748EU84 06/23/21 12/23/26 100.000 0.000 1.5600 8.15 0.043671 0.044011 0.044355 0.044701 0.045049 15.79 16.04 Barclays Bank PLC 06747QDJ3 08/26/20 08/26/26 100.000 0.000 1.4200 19.25 0.040006 0.040290 0.040577 0.040865 0.041155 14.52 14.73 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747PRH4 05/20/20 05/20/27 100.000 0.000 2.3700 38.77 0.068202 0.069010 0.069828 0.070655 0.071493 24.76 25.36 Barclays Bank PLC 06747MQR0 05/31/19 05/30/24 100.000 0.000 3.0400 81.17 0.091059 0.092443 0.093848 0.095275 0.096723 33.12 34.13 Barclays Bank PLC 06748XBT7 02/24/22 02/24/28 100.000 0.000 2.6500 0.073611 0.074587 0.075575 0.076576 22.72 27.28 Barclays Bank PLC 06747NU69 12/24/19 12/22/23 100.000 0.000 2.4600 50.62 0.071748 0.072630 0.073523 0.074428 26.00 25.97 Barclays Bank PLC 06741UKP8 10/30/14 10/30/34*** 100.000 VARIES 3.5915 30.59 0.085258 0.085695 0.086140 *** *** 30.83 *** Barclays Bank PLC 06747NTU8 12/30/19 06/25/25 100.000 0.000 2.5700 52.48 0.075102 0.076067 0.077044 0.078034 0.079037 27.22 27.93 Barclays Bank PLC 06748XBU4 02/24/22 02/24/27 100.000 0.000 2.4700 0.068611 0.069458 0.070316 0.071185 21.17 25.38 Barclays Bank PLC 06747NU51 12/24/19 12/24/26 100.000 0.000 2.7900 57.55 0.081916 0.083058 0.084217 0.085392 0.086583 29.71 30.55 Barclays Bank PLC 06746XX40 11/30/18 11/30/23 100.000 0.000 3.7600 121.86 0.116793 0.118989 0.121226 0.123505 42.58 40.29 Barclays Bank PLC 06746T250 09/06/18 09/04/25 100.000 0.000 3.8400 134.62 0.119534 0.121829 0.124168 0.126552 0.128982 43.99 45.69 Barclays Bank PLC 06744C4C2 09/15/17 09/15/27 100.000 VARIES 2.4839 13.20 0.008335 0.008438 0.008543 0.008649 0.008756 3.04 3.12 Barclays Bank PLC 06747MHZ2 04/03/19 12/30/22 100.000 0.000 3.2491 92.52 0.098594 0.100196 35.68 Barclays Bank PLC 06744CN72 12/29/17 12/27/24 100.000 0.000 3.2100 136.05 0.101261 0.102887 0.104538 0.106216 0.107921 36.76 37.95 Barclays Bank PLC 06747MHY5 03/29/19 12/29/23 100.000 0.000 3.3592 96.18 0.102266 0.103984 0.105730 0.107506 37.13 38.17 Barclays Bank PLC 06747QDH7 08/26/20 08/26/27 100.000 0.000 1.5300 20.75 0.043153 0.043483 0.043815 0.044151 0.044488 15.68 15.92 Barclays Bank PLC 06744CN80 12/29/17 12/27/23 100.000 0.000 3.1400 132.92 0.098781 0.100332 0.101907 0.103507 35.85 36.57 Barclays Bank PLC 06746XG31 07/23/18 01/23/26 100.000 VARIES 3.8703 131.75 0.107355 0.108076 0.108531 0.108756 0.108806 38.96 39.16 Barclays Bank PLC 06747QLW5 10/30/20 10/29/27 100.000 0.000 1.4500 17.05 0.040863 0.041159 0.041457 0.041758 0.042060 14.80 15.02 Barclays Bank PLC 06747QM87 11/04/20 10/31/23 100.000 0.000 0.6907 8.02 0.019317 0.019384 0.019451 0.019518 6.97 5.83 Barclays Bank PLC 06744CMQ1 12/27/17 12/30/22 100.000 0.000 3.0300 128.21 0.094949 0.096388 34.35 Barclays Bank PLC 06748ECG6 03/24/21 09/24/26 100.000 0.000 1.4700 11.34 0.041133 0.041436 0.041740 0.042047 0.042356 14.92 15.14 Barclays Bank PLC 06747W518 08/04/21 08/03/28 100.000 0.000 1.6100 6.57 0.044722 0.045080 0.045443 0.045809 0.046177 16.27 16.53 Barclays Bank PLC 06738JHL1 10/15/10 10/15/22 100.000 VARIES 4.2147 42.82 0.118304 0.117696 33.49 Barclays Bank PLC 06741UBX1 04/30/14 04/30/24*** 100.000 VARIES 3.4912 35.71 0.098836 0.098517 0.098157 *** *** 35.48 *** Barclays Bank PLC 06747NKX1 10/31/19 04/28/23 100.000 VARIES 2.4511 10.82 0.013823 0.013993 0.014164 5.03 1.66 Barclays Bank PLC 06749N6Z0 11/29/22 11/28/25 100.000 0.000 5.7400 0.159444 0.163995 0.168702 5.10 58.52 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31*** 100.000 VARIES 5.4570 52.44 0.147096 0.148586 0.150115 *** *** 53.50 *** Barclays Bank PLC 06747NKZ6 10/31/19 10/30/26 100.000 0.000 2.6300 58.34 0.076975 0.077987 0.079013 0.080052 0.081104 28.02 28.76 Barclays Bank PLC 06747MYV2 06/28/19 06/30/25 100.000 0.000 3.2000 82.89 0.096247 0.097787 0.099352 0.100942 0.102557 34.93 36.06 Barclays Bank PLC 06748ECE1 03/24/21 03/23/28 100.000 0.000 1.8500 14.28 0.051861 0.052341 0.052825 0.053314 0.053807 18.85 19.20 Barclays Bank PLC 06747MYU4 07/03/19 07/03/24 100.000 0.000 2.9900 76.84 0.088134 0.089452 0.090789 0.092147 0.093524 32.44 33.42 Barclays Bank PLC 06747NL28 10/31/19 10/31/23 100.000 0.000 2.3400 51.78 0.068096 0.068893 0.069699 0.070514 24.76 20.99 Barclays Bank PLC 06747NTB0 01/03/20 12/30/22 100.000 0.000 2.2000 44.61 0.063834 0.064536 23.04 Barclays Bank PLC 06746XFE8 06/29/18 06/29/23 100.000 VARIES 3.3273 13.51 0.010768 0.010947 0.011129 3.91 1.98 Barclays Bank PLC 06746XFD0 06/18/18 06/17/22 100.000 0.000 3.6600 136.85 0.115415 19.16 Barclays Bank PLC 06747NCC6 09/05/19 09/05/24 100.000 0.000 2.3100 54.80 0.067183 0.067959 0.068744 0.069538 0.070342 24.51 25.08 Barclays Bank PLC 06747NL36 11/05/19 11/05/24 100.000 0.000 2.4900 54.81 0.072676 0.073581 0.074497 0.075425 0.076364 26.43 27.09 Barclays Bank PLC 06747MYK6 06/28/19 12/27/24 100.000 0.000 3.1200 80.75 0.093633 0.095093 0.096577 0.098083 0.099613 33.98 35.05 Barclays Bank PLC 06741TPR2 03/21/13 03/21/33*** 100.000 VARIES 3.9299 24.66 0.069777 0.071148 0.072546 *** *** 25.64 *** Barclays Bank PLC 06747MYJ9 06/28/19 12/27/24 100.000 0.000 3.1200 80.75 0.093633 0.095093 0.096577 0.098083 0.099614 33.98 35.05 Barclays Bank PLC 06748ESX2 06/03/21 06/03/36 100.000 VARIES 2.5612 14.76 0.069833 0.068504 0.067158 0.065831 0.064836 24.83 23.87 Barclays Bank PLC 06744CUP4 03/05/18 03/03/23 100.000 1.000 3.5700 142.85 0.109080 0.110035 0.112000 39.79 6.94 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06749N6H0 11/29/22 11/29/24 100.000 0.000 5.8600 0.162778 0.167547 0.172456 5.21 59.77 Barclays Bank PLC 06741UJW5 09/29/14 09/29/34*** 100.000 VARIES 3.7464 30.97 0.086545 0.087068 0.087602 *** *** 31.35 *** Barclays Bank PLC 06744CUQ2 03/05/18 03/03/23 100.000 0.000 3.5700 144.86 0.112219 0.114222 0.116260 41.24 7.21 Barclays Bank PLC 06747MQ66 05/13/19 11/12/26 100.000 0.000 2.3000 62.09 0.067644 0.068421 0.069208 0.070004 0.070809 24.57 25.14 Barclays Bank PLC 06741VEJ7 12/30/16 12/29/23 100.000 0.000 3.3400 180.24 0.109479 0.111308 0.113167 0.115056 39.75 40.85 Barclays Bank PLC 06741T6S1 03/28/14 03/28/34*** 100.000 VARIES 4.1532 27.10 0.076621 0.078212 0.079836 *** *** 28.17 *** Barclays Bank PLC 06749N6F4 11/25/22 11/24/23 100.000 0.000 5.6300 0.156389 0.160767 5.63 51.30 Barclays Bank PLC 067387HW3 03/28/14 03/28/24 100.000 0.000 3.5500 313.96 0.128393 0.130672 0.132992 0.135352 0.137755 47.06 48.74 Barclays Bank PLC 06747NKC7 11/05/19 10/31/22 100.000 0.000 2.3021 50.59 0.066923 0.067693 20.15 Barclays Bank PLC 06746X4X8 04/27/18 07/25/24 100.000 0.000 3.8193 149.36 0.119951 0.122242 0.124576 0.126955 0.129379 44.32 46.02 Barclays Bank PLC 06746X4W0 04/27/18 04/25/23 100.000 0.000 3.7000 144.39 0.116824 0.118986 0.121187 42.73 13.82 Barclays Bank PLC 067387HZ6 04/10/14 04/10/24 100.000 0.000 3.6100 318.41 0.131142 0.133509 0.135919 0.138372 0.140870 48.02 49.77 Barclays Bank PLC 06747PQL6 05/19/20 05/19/23 100.000 VARIES 1.6262 11.85 0.020204 0.020369 0.020534 7.32 2.83 Barclays Bank PLC 06741T6U6 03/04/14 03/04/24*** 100.000 0.250 3.4337 43.01 0.121107 0.123067 0.125060 *** *** 44.41 *** Barclays Bank PLC 06749N6A5 11/29/22 02/26/26 100.000 0.000 5.7400 0.159444 0.161656 0.166296 5.10 58.65 Barclays Bank PLC 06746XW58 12/05/18 08/31/22 100.000 0.000 3.7217 120.04 0.114360 0.116464 27.71 Barclays Bank PLC 06746XNG4 08/31/18 08/31/23 100.000 0.000 3.7100 130.51 0.115071 0.117182 0.119380 0.121570 42.33 28.93 Barclays Bank PLC 06744C3B5 09/29/17 09/30/24 100.000 0.000 3.1200 140.86 0.098100 0.099630 0.101185 0.102763 0.104366 35.87 37.00 Barclays Bank PLC 06746X4M2 05/03/18 05/03/23 100.000 0.000 3.7000 143.69 0.116850 0.119011 0.121213 42.71 14.79 Barclays Bank PLC 06746XW41 11/30/18 08/31/22 100.000 0.000 3.6834 119.31 0.113124 0.115184 27.41 Barclays Bank PLC 06741UBA1 04/25/14 04/25/34*** 100.000 VARIES 3.4516 24.32 0.068867 0.070056 0.071265 *** *** 25.16 *** Barclays Bank PLC 06744C3D1 10/04/17 10/05/22 100.000 0.000 2.7800 124.27 0.086246 0.087444 23.85 Barclays Bank PLC 06747MGT7 03/12/19 03/10/22 100.000 0.000 3.2000 93.09 0.096213 6.64 Barclays Bank PLC 06747M6S0 01/31/19 01/31/24 100.000 0.000 3.6200 110.44 0.109991 0.111982 0.114009 0.116072 0.118173 40.56 42.04 Barclays Bank PLC 06747MXV3 06/28/19 06/29/22 100.000 0.000 2.8500 73.56 0.084976 15.13 Barclays Bank PLC 06747NK86 11/05/19 10/31/22 100.000 0.000 2.3021 50.59 0.066921 0.067692 20.15 Barclays Bank PLC 06741T6B8 02/28/14 02/28/34*** 100.000 VARIES 4.0797 33.71 0.093877 0.093267 0.095900 *** *** 34.40 *** Barclays Bank PLC 06744CUA7 01/31/18 07/29/22 100.000 0.000 3.0600 126.42 0.094524 0.095971 19.92 Barclays Bank PLC 06746U448 10/03/18 10/03/23 100.000 0.000 3.9800 136.45 0.124430 0.126906 0.129432 0.132008 45.68 35.67 Barclays Bank PLC 06746V776 12/06/18 11/29/24 100.000 0.000 3.9099 126.24 0.121895 0.124278 0.126708 0.129185 0.131710 44.47 46.22 Barclays Bank PLC 06744CUB5 02/28/18 02/28/25 100.000 0.000 3.7300 152.59 0.117918 0.120117 0.122358 0.124640 0.126964 43.39 45.03 Barclays Bank PLC 06747MPG5 05/14/19 05/12/22 100.000 0.000 2.8500 77.30 0.084956 11.13 Barclays Bank PLC 06748WWZ2 12/28/21 06/25/27 100.000 0.000 1.8800 0.16 0.052222 0.052705 0.053200 0.053700 0.054205 18.89 19.25 Barclays Bank PLC 06744CUC3 02/28/18 02/28/23 100.000 1.100 3.5359 141.96 0.107623 0.108445 0.110362 39.23 6.29 Barclays Bank PLC 06747MPF7 05/14/19 05/12/22 100.000 0.000 2.8500 77.30 0.084956 11.13 Barclays Bank PLC 06747B704 06/06/19 05/26/23 100.000 0.000 2.8899 76.53 0.086175 0.087420 0.088684 31.34 12.86 Barclays Bank PLC 06747P7G8 02/28/20 02/26/25 100.000 0.000 1.6100 29.98 0.045807 0.046175 0.046547 0.046922 0.047300 16.65 16.92 Barclays Bank PLC 06747PHJ1 04/03/20 03/29/24 100.000 0.000 3.5299 62.99 0.103296 0.105119 0.106975 0.108863 0.110784 37.85 39.20 Barclays Bank PLC 06748WFQ1 09/22/21 09/21/28 100.000 0.000 1.7900 4.92 0.049722 0.050165 0.050614 0.051067 0.051524 18.07 18.39 Barclays Bank PLC 06747PHE2 03/31/20 03/31/27 100.000 0.000 3.7900 68.07 0.111377 0.113488 0.115639 0.117830 0.120063 40.86 42.43 Barclays Bank PLC 06748XZV6 11/09/22 11/07/25 100.000 0.000 6.1500 0.170833 0.176028 0.181441 8.88 63.01 Barclays Bank PLC 06744CD65 10/25/17 10/24/24 100.000 0.000 3.2400 143.95 0.102338 0.103995 0.105680 0.107392 0.109132 37.36 38.58 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06748WX40 01/03/22 01/04/27 100.000 0.000 1.8700 0.051946 0.052432 0.052922 0.053417 18.68 19.14 Barclays Bank PLC 06744CD73 10/25/17 10/24/24 100.000 0.000 3.2400 143.95 0.102338 0.103996 0.105681 0.107393 0.109132 37.36 38.58 Barclays Bank PLC 06741VUR1 05/19/17 05/19/27 100.000 VARIES 2.5708 17.02 0.010132 0.010263 0.010394 0.010528 0.010663 3.68 3.78 Barclays Bank PLC 06748WFR9 09/22/21 03/22/27 100.000 0.000 1.5300 4.21 0.042500 0.042825 0.043153 0.043483 0.043815 15.42 15.66 Barclays Bank PLC 06747PHD4 03/31/20 03/31/26 100.000 0.000 3.8100 68.44 0.111997 0.114131 0.116305 0.118520 0.120778 41.10 42.68 Barclays Bank PLC 06744CU90 01/31/18 07/29/22 100.000 0.000 3.0600 126.42 0.094524 0.095970 19.92 Barclays Bank PLC 06747NBA1 09/05/19 02/28/22 100.000 0.000 2.1599 51.17 0.062605 3.57 Barclays Bank PLC 06747P7E3 02/28/20 08/26/25 100.000 0.000 1.6900 31.49 0.048140 0.048547 0.048957 0.049371 0.049788 17.51 17.80 Barclays Bank PLC 06746R338 06/01/18 05/27/22 100.000 0.000 3.5899 136.01 0.112900 16.48 Barclays Bank PLC 06748WX32 12/28/21 12/28/28 100.000 0.000 2.0600 0.17 0.057222 0.057812 0.058407 0.059009 0.059616 20.71 21.14 Barclays Bank PLC 06744CTR2 02/26/18 02/21/25 100.000 0.000 3.3199 135.09 0.103438 0.105155 0.106901 0.108676 0.110480 38.00 39.27 Barclays Bank PLC 06744CTS0 02/26/18 11/21/23 100.000 0.000 3.2994 134.23 0.103573 0.105282 0.107019 0.108784 37.73 34.56 Barclays Bank PLC 06741VDS8 11/28/16 11/24/23 100.000 0.000 3.0999 169.58 0.100391 0.101947 0.103527 0.105132 36.54 33.73 Barclays Bank PLC 06747PYD5 07/06/20 07/06/23 100.000 0.000 1.2599 18.84 0.035439 0.035662 0.035887 0.036113 12.88 6.68 Barclays Bank PLC 06741VLY6 03/31/17 09/29/23 100.000 0.000 3.2100 163.44 0.102896 0.104548 0.106226 0.107931 37.65 28.78 Barclays Bank PLC 06746X3X9 05/03/18 05/03/23 100.000 0.000 3.7000 143.69 0.116850 0.119011 0.121213 42.71 14.79 Barclays Bank PLC 06747NS88 12/02/19 12/01/22 100.000 0.000 2.2600 47.88 0.065659 0.066401 21.80 Barclays Bank PLC 06747NJG0 10/25/19 04/24/25 100.000 0.000 2.6100 58.27 0.076354 0.077350 0.078359 0.079382 0.080418 27.80 28.53 Barclays Bank PLC 06747NB60 09/05/19 08/31/22 100.000 0.000 2.1619 51.22 0.062674 0.063344 15.10 Barclays Bank PLC 06741VLZ3 04/05/17 04/05/22 100.000 0.000 2.8900 145.68 0.091342 8.59 Barclays Bank PLC 06746X3W1 04/30/18 04/28/23 100.000 1.250 3.7000 141.66 0.112776 0.113577 0.115679 40.92 13.53 Barclays Bank PLC 06747NJH8 10/25/19 10/23/24 100.000 0.000 2.5400 56.67 0.074198 0.075140 0.076094 0.077061 0.078039 27.01 27.70 Barclays Bank PLC 06747MGE0 03/29/19 03/31/23 100.000 0.000 3.2800 93.83 0.098839 0.100460 0.102107 36.17 9.09 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31*** 100.000 VARIES 5.5651 47.44 0.132864 0.134268 0.135640 *** *** 48.43 *** Barclays Bank PLC 06741VLW0 03/31/17 03/28/24 100.000 0.000 3.2600 166.17 0.104721 0.106428 0.108163 0.109926 0.111718 38.33 39.59 Barclays Bank PLC 06747PPH6 04/28/20 04/28/25 100.000 0.000 2.2600 38.38 0.064930 0.065664 0.066406 0.067156 0.067915 23.60 24.14 Barclays Bank PLC 06747NAQ7 08/30/19 08/30/24 100.000 0.000 2.2798 54.40 0.066266 0.067013 0.067785 0.068549 0.069339 24.18 24.73 Barclays Bank PLC 06746XE58 06/29/18 06/29/23*** 100.000 1.000 3.7100 135.81 0.113937 0.115020 0.117154 *** *** 41.22 *** Barclays Bank PLC 06747MXC5 06/28/19 06/30/22 100.000 0.000 2.8500 73.56 0.084982 15.21 Barclays Bank PLC 06746X3V3 04/30/18 04/30/25 100.000 0.000 3.8700 151.07 0.122934 0.125313 0.127738 0.130209 0.132729 44.98 46.73 Barclays Bank PLC 06747NB45 08/30/19 08/30/24 100.000 0.000 2.2800 54.41 0.066273 0.067020 0.067792 0.068557 0.069347 24.18 24.73 Barclays Bank PLC 06744CTM3 03/05/18 03/05/25 100.000 VARIES 3.7200 141.75 0.103840 0.103802 0.103722 0.103626 0.103541 37.36 37.30 Barclays Bank PLC 06747PPJ2 04/30/20 04/30/25 100.000 VARIES 2.4441 11.18 0.018008 0.017668 0.017884 0.018103 0.018324 6.41 6.50 Barclays Bank PLC 06747NB37 08/30/19 08/31/23 100.000 0.000 2.2000 52.46 0.063844 0.064538 0.065256 0.065966 23.28 15.73 Barclays Bank PLC 06747QSH1 12/29/20 12/29/27 100.000 0.000 1.4500 14.63 0.040864 0.041160 0.041459 0.041759 0.042062 14.77 14.98 Barclays Bank PLC 06748XQU8 09/06/22 09/06/24 100.000 0.000 4.9600 0.137778 0.141195 0.144696 15.84 51.01 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31*** 100.000 VARIES 6.1336 55.66 0.155162 0.154367 0.158742 *** *** 56.93 *** Barclays Bank PLC 06747PH36 04/03/20 03/31/23 100.000 0.000 3.4131 60.86 0.099719 0.101421 0.103151 36.52 9.18 Barclays Bank PLC 06746XME0 08/31/18 08/31/23 100.000 0.000 3.7100 130.51 0.115071 0.117182 0.119380 0.121570 42.33 28.93 Barclays Bank PLC 06746XE41 06/29/18 06/29/23 100.000 1.750 3.7100 134.53 0.111487 0.111752 0.113825 40.19 20.26 Barclays Bank PLC 06744CTC5 02/14/18 02/12/25 100.000 0.000 3.7700 156.00 0.119321 0.121570 0.123862 0.126197 0.128576 43.99 45.67 Barclays Bank PLC 06749N4Z2 11/21/22 11/20/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 6.50 59.75 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747MG67 04/03/19 03/31/22 100.000 0.000 3.1899 90.78 0.095880 8.53 Barclays Bank PLC 06740D558 02/04/15 08/03/22 100.000 0.000 2.2500 167.17 0.072279 0.073092 15.47 Barclays Bank PLC 06748XQN4 09/02/22 07/06/29 100.000 0.000 4.8500 0.134722 0.136973 0.140294 16.03 49.88 Barclays Bank PLC 06744CKT7 12/05/17 12/05/22 100.000 0.000 2.9800 128.03 0.093175 0.094563 31.37 Barclays Bank PLC 06747T259 07/06/21 07/06/28 100.000 0.000 1.7400 8.46 0.048333 0.048754 0.049178 0.049606 0.050037 17.62 17.93 Barclays Bank PLC 06748EJ53 04/28/21 04/27/28 100.000 0.000 1.9000 12.86 0.053276 0.053782 0.054293 0.054809 0.055330 19.34 19.70 Barclays Bank PLC 06747NAD6 08/30/19 08/28/24 100.000 0.000 2.2800 54.40 0.066263 0.067018 0.067782 0.068555 0.069336 24.18 24.73 Barclays Bank PLC 06747MG59 03/29/19 03/29/24 100.000 0.000 3.3800 96.80 0.102095 0.103821 0.105575 0.107359 0.109174 37.38 38.66 Barclays Bank PLC 06741VTW2 05/31/17 05/30/24 100.000 0.000 3.0612 149.52 0.097490 0.098983 0.100498 0.102036 0.103598 35.46 36.55 Barclays Bank PLC 06748WF65 10/05/21 09/30/26 100.000 0.000 1.4900 3.56 0.041388 0.041688 0.041998 0.042311 0.042626 15.01 15.23 Barclays Bank PLC 06741VU83 05/26/17 05/23/24 100.000 0.000 3.0400 148.81 0.096700 0.098170 0.099662 0.101177 0.102715 35.19 36.27 Barclays Bank PLC 06748EJ61 04/28/21 10/28/26 100.000 0.000 1.5300 10.35 0.042825 0.043153 0.043483 0.043815 0.044151 15.52 15.76 Barclays Bank PLC 06748XQK0 09/06/22 09/05/25 100.000 0.000 5.0200 0.139444 0.142925 0.146512 16.04 51.65 Barclays Bank PLC 06741UQZ0 02/20/15 02/25/22 100.000 0.000 2.6399 197.26 0.086992 4.70 Barclays Bank PLC 06744CKH3 12/05/17 12/05/22 100.000 0.000 2.9000 124.41 0.090388 0.091699 30.43 Barclays Bank PLC 06748WF57 09/30/21 09/29/28 100.000 0.000 1.9200 4.85 0.053333 0.053842 0.054359 0.054881 0.055408 19.39 19.76 Barclays Bank PLC 06738JFL3 11/12/10 11/12/22 100.000 VARIES 3.8891 39.63 0.109720 0.108883 33.97 Barclays Bank PLC 06741TWH6 06/17/13 06/17/33*** 100.000 VARIES 3.6856 24.11 0.068730 0.069996 0.071286 *** *** 25.01 *** Barclays Bank PLC 06740PZ33 01/27/11 01/27/31*** 100.000 VARIES 5.5228 50.37 0.140594 0.141724 0.142885 *** *** 51.17 *** Barclays Bank PLC 06747NAC8 08/30/19 08/28/24 100.000 0.000 2.2800 54.40 0.066262 0.067018 0.067782 0.068554 0.069336 24.18 24.73 Barclays Bank PLC 06747NRD8 12/04/19 12/05/22 100.000 0.000 2.2200 46.88 0.064454 0.065170 21.66 Barclays Bank PLC 06740PYE0 12/30/10 12/30/30*** 100.000 VARIES 5.6003 49.22 0.139398 0.141252 0.143158 *** *** 50.52 *** Barclays Bank PLC 06748XZ38 11/02/22 11/02/27 100.000 0.000 6.1700 0.171389 0.176676 0.182127 10.11 63.29 Barclays Bank PLC 06746XM34 08/31/18 08/31/23 100.000 VARIES 3.7102 123.30 0.104256 0.104268 0.104053 0.103624 37.51 24.79 Barclays Bank PLC 06747PP52 04/22/20 04/22/27 100.000 0.000 2.4000 41.20 0.069095 0.069925 0.070764 0.071613 0.072472 25.14 25.75 Barclays Bank PLC 06749N4H2 11/28/22 11/26/27 100.000 0.000 5.6100 0.155833 0.160156 0.164648 5.14 57.19 Barclays Bank PLC 06746T805 07/05/18 07/03/25 100.000 0.000 3.8500 142.31 0.119880 0.122188 0.124540 0.126937 0.129381 44.40 46.13 Barclays Bank PLC 06747MFG6 03/29/19 03/31/22 100.000 0.000 3.1900 91.16 0.095915 8.54 Barclays Bank PLC 06747MWH5 07/03/19 03/31/23 100.000 0.000 2.8815 74.03 0.085344 0.086574 0.087821 31.17 7.82 Barclays Bank PLC 06744CT50 01/26/18 01/26/28 100.000 VARIES 3.1964 14.09 0.009456 0.009607 0.009761 0.009917 0.010076 3.48 3.59 Barclays Bank PLC 06741VCG5 10/31/16 10/31/23 100.000 0.000 2.5499 139.97 0.080397 0.081422 0.082460 0.083512 29.25 24.84 Barclays Bank PLC 06748XPZ8 09/01/22 09/03/26 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 16.77 51.79 Barclays Bank PLC 06747NZF4 01/31/20 01/29/25 100.000 0.000 1.9400 37.76 0.055469 0.056007 0.056550 0.057099 0.057653 20.23 20.62 Barclays Bank PLC 06747NZE7 01/31/20 07/29/25 100.000 0.000 2.0100 39.14 0.057530 0.058108 0.058692 0.059282 0.059878 20.99 21.42 Barclays Bank PLC 06746XCW1 05/30/18 05/30/23 100.000 VARIES 2.9247 10.25 0.007979 0.007864 0.007748 2.84 1.15 Barclays Bank PLC 06747MWE2 07/03/19 06/30/22 100.000 0.000 2.8099 72.09 0.083674 14.98 Barclays Bank PLC 06747NQV9 12/02/19 06/02/23 100.000 VARIES 2.3648 9.19 0.012250 0.012395 0.012541 4.44 1.89 Barclays Bank PLC 06747PWW5 07/06/20 06/28/24 100.000 0.000 1.3600 20.35 0.038542 0.038804 0.039068 0.039333 0.039601 13.92 14.11 Barclays Bank PLC 06746XLE1 08/31/18 06/01/23 100.000 1.000 3.6891 127.97 0.112170 0.113214 0.115303 40.66 17.30 Barclays Bank PLC 06748X7E5 02/03/22 08/04/27 100.000 0.000 2.3900 0.066393 0.067187 0.067989 0.068802 21.89 24.57 Barclays Bank PLC 06746XD34 06/29/18 06/27/24 100.000 0.000 3.8100 141.46 0.120752 0.123053 0.125397 0.127785 0.130220 43.90 45.59 Barclays Bank PLC 06747PWV7 06/30/20 06/30/25 100.000 0.000 1.7400 26.38 0.049607 0.050038 0.050474 0.050913 0.051356 17.94 18.25 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06746XD42 06/29/18 06/27/23 100.000 0.000 3.7300 138.32 0.117893 0.120092 0.122331 42.86 21.53 Barclays Bank PLC 06746XD75 05/31/18 05/31/23 100.000 VARIES 3.1075 12.59 0.009804 0.009654 0.009502 3.49 1.42 Barclays Bank PLC 06747MWA0 06/28/19 06/30/23 100.000 0.000 2.9300 75.69 0.087543 0.088826 0.090127 31.75 16.13 Barclays Bank PLC 06741J7V5 09/27/18 09/26/23 100.000 0.000 3.8900 133.93 0.121281 0.123640 0.126045 0.128497 44.54 33.84 Barclays Bank PLC 06744CJZ5 11/30/17 11/29/24 100.000 0.000 3.1200 134.87 0.098083 0.099613 0.101167 0.102745 0.104348 35.68 36.81 Barclays Bank PLC 06744CBB6 07/28/17 07/25/24 100.000 0.000 3.0200 141.85 0.094551 0.095979 0.097428 0.098899 0.100393 34.74 35.80 Barclays Bank PLC 06747MNJ1 04/11/19 04/11/22 100.000 VARIES 2.8761 7.79 0.008075 0.81 Barclays Bank PLC 06741TVK0 05/31/13 05/31/33*** 100.000 VARIES 3.5100 22.99 0.065346 0.066493 0.067660 *** *** 23.80 *** Barclays Bank PLC 06744CBC4 07/28/17 07/27/22 100.000 0.000 2.6601 124.06 0.082123 0.083215 17.11 Barclays Bank PLC 06748XYA3 10/18/22 10/17/24 100.000 0.000 6.0900 0.169167 0.174289 0.179596 12.35 62.59 Barclays Bank PLC 06746XLB7 08/31/18 06/01/23 100.000 0.000 3.6892 129.77 0.115420 0.117549 0.119718 42.06 17.96 Barclays Bank PLC 06741RGQ8 04/18/13 04/18/30*** 100.000 VARIES 3.0513 32.26 0.089714 0.089811 0.089910 *** *** 32.33 *** Barclays Bank PLC 06749N3Z3 12/05/22 12/04/24 100.000 0.000 5.6300 0.156389 0.160767 0.165292 4.07 57.33 Barclays Bank PLC 06747MVV5 06/19/19 12/19/22 100.000 VARIES 3.3078 20.15 0.021660 0.022018 7.60 Barclays Bank PLC 06738KQ53 02/14/12 02/14/22 100.000 0.500 4.1087 57.32 0.161410 6.94 Barclays Bank PLC 06744CJQ5 11/27/17 11/21/24 100.000 0.000 3.1199 135.17 0.098040 0.099569 0.101122 0.102700 0.104302 35.69 36.82 Barclays Bank PLC 06747MW85 06/28/19 06/28/24 100.000 0.000 3.0400 78.62 0.091061 0.092445 0.093850 0.095277 0.096725 33.04 34.05 Barclays Bank PLC 06747NHX5 10/02/19 10/02/24 100.000 0.000 2.3500 53.92 0.068400 0.069204 0.070017 0.070840 0.071672 24.91 25.50 Barclays Bank PLC 06744CJR3 11/27/17 11/22/23 100.000 0.000 3.0299 131.06 0.094884 0.096322 0.097781 0.099262 34.53 31.65 Barclays Bank PLC 06747B506 06/05/19 06/04/25 100.000 0.000 3.2000 85.10 0.096222 0.097762 0.099326 0.100915 0.102530 35.00 36.13 Barclays Bank PLC 06746XKX0 09/06/18 06/05/23 100.000 0.000 3.7091 129.82 0.116094 0.118247 0.120440 42.29 18.55 Barclays Bank PLC 06747NHT4 10/02/19 10/02/24 100.000 0.000 2.3500 53.92 0.068400 0.069204 0.070017 0.070840 0.071672 24.91 25.50 Barclays Bank PLC 06747PNU9 04/30/20 04/30/25 100.000 0.000 2.2800 38.59 0.065524 0.066271 0.067027 0.067791 0.068564 23.81 24.36 Barclays Bank PLC 06746XCC5 05/25/18 05/21/26 100.000 0.000 3.9200 150.03 0.124681 0.127125 0.129616 0.132157 0.134747 45.52 47.32 Barclays Bank PLC 06747PWE5 06/30/20 06/30/27 100.000 0.000 2.0600 31.28 0.059009 0.059617 0.060231 0.060851 0.061478 21.35 21.80 Barclays Bank PLC 06747MVL7 05/29/19 05/29/29 100.000 VARIES 3.3999 87.73 0.092751 0.092272 0.091890 0.091606 0.091428 33.28 33.01 Barclays Bank PLC 06747PNV7 05/05/20 04/30/24 100.000 0.000 2.1000 35.20 0.060172 0.060804 0.061442 0.062088 0.062739 21.85 22.31 Barclays Bank PLC 06747NHP2 10/23/19 10/21/22 100.000 0.000 2.3300 52.03 0.067782 0.068572 19.80 Barclays Bank PLC 06746XTF0 11/05/18 08/03/23 100.000 0.000 3.9789 132.47 0.123153 0.125603 0.128102 0.130650 45.51 27.62 Barclays Bank PLC 06748W3L5 08/04/21 07/31/26 100.000 0.000 1.2107 4.94 0.033629 0.033828 0.034033 0.034239 0.034446 12.20 12.35 Barclays Bank PLC 06748XY47 11/03/22 11/03/27 100.000 0.000 6.2100 0.172500 0.177856 0.183379 10.01 63.70 Barclays Bank PLC 06747QA56 07/29/20 07/29/27 100.000 0.000 1.8100 25.96 0.051192 0.051655 0.052123 0.052594 0.053070 18.65 18.99 Barclays Bank PLC 06741WEM8 12/26/18 12/26/23 100.000 0.000 2.8900 90.33 0.087495 0.088760 0.090042 0.091343 31.74 32.20 Barclays Bank PLC 06747J400 07/06/20 07/06/27 100.000 0.000 1.8800 28.20 0.053209 0.053709 0.054214 0.054723 0.055238 19.42 19.79 Barclays Bank PLC 06748XY21 11/03/22 11/05/25 100.000 0.000 6.3100 0.175278 0.175339 0.180871 0.186578 10.17 64.75 Barclays Bank PLC 06747QA49 07/29/20 07/29/25 100.000 0.000 1.4600 20.91 0.041150 0.041450 0.041753 0.042058 0.042365 14.96 15.18 Barclays Bank PLC 06748WLY7 10/27/21 10/26/28 100.000 0.000 2.2700 4.04 0.063055 0.063767 0.064491 0.065223 0.065963 22.92 23.44 Barclays Bank PLC 06747MVE3 05/22/19 05/20/22 100.000 0.000 2.8500 76.62 0.084956 11.81 Barclays Bank PLC 06748WLZ4 10/27/21 04/29/27 100.000 0.000 1.9100 3.40 0.053061 0.053568 0.054079 0.054596 0.055117 19.26 19.63 Barclays Bank PLC 06747H636 06/03/20 06/03/27 100.000 0.000 2.1700 34.65 0.062261 0.062937 0.063620 0.064310 0.065008 22.57 23.07 Barclays Bank PLC 06747NHF4 10/03/19 10/05/26 100.000 0.000 2.4700 56.66 0.072073 0.072963 0.073865 0.074777 0.075700 26.26 26.91 Barclays Bank PLC 06744CAN1 08/03/17 08/04/22 100.000 0.000 2.6899 125.11 0.083154 0.084273 17.91 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747NYG3 02/05/20 07/31/23 100.000 0.000 1.8715 36.14 0.053445 0.053945 0.054450 0.054960 19.48 11.47 Barclays Bank PLC 06738JMB7 08/19/10 08/19/22 100.000 VARIES 4.2846 492.67 0.120417 0.119723 27.33 Barclays Bank PLC 06747G331 04/22/20 05/05/27 100.000 0.000 2.3999 41.20 0.069153 0.069983 0.070823 0.071673 0.072533 25.14 25.75 Barclays Bank PLC 06748W3C5 07/28/21 01/28/27 100.000 0.000 1.3700 5.82 0.038056 0.038316 0.038579 0.038843 0.039109 13.83 14.02 Barclays Bank PLC 06748W3D3 07/30/21 07/31/28 100.000 0.000 1.6500 6.92 0.045834 0.046212 0.046593 0.046977 0.047365 16.68 16.96 Barclays Bank PLC 06748XXK2 11/03/22 05/05/25 100.000 0.000 6.1100 0.169722 0.169780 0.174967 0.180312 9.85 62.64 Barclays Bank PLC 06748XP70 08/30/22 02/28/25 100.000 0.000 4.8900 0.135833 0.139118 0.142519 16.44 50.31 Barclays Bank PLC 06747NYF5 02/05/20 01/26/23 100.000 0.000 1.8499 35.72 0.052802 0.053290 0.053783 19.25 1.34 Barclays Bank PLC 06748W3B7 07/28/21 07/27/28 100.000 0.000 1.6500 7.01 0.045833 0.046209 0.046591 0.046975 0.047362 16.68 16.96 Barclays Bank PLC 06744CAL5 07/31/17 07/31/24 100.000 0.000 3.0701 144.15 0.096332 0.097811 0.099312 0.100837 0.102384 35.40 36.49 Barclays Bank PLC 06749N3A8 12/02/22 12/02/26 100.000 0.000 5.7000 0.158333 0.162846 0.167487 4.59 58.08 Barclays Bank PLC 06748XXE6 10/31/22 10/29/26 100.000 0.000 6.0800 0.168889 0.173995 0.179284 10.30 62.36 Barclays Bank PLC 06747NPN8 12/03/19 12/01/22 100.000 0.000 2.1600 45.66 0.062626 0.063303 20.79 Barclays Bank PLC 06747PNC9 04/24/20 04/26/27 100.000 0.000 2.3700 40.54 0.068210 0.069018 0.069836 0.070664 0.071501 24.81 25.40 Barclays Bank PLC 06747PEU9 03/27/20 03/25/25 100.000 0.000 2.6800 48.02 0.077466 0.078504 0.079556 0.080622 0.081702 28.28 29.04 Barclays Bank PLC 06747PET2 03/27/20 03/25/26 100.000 0.000 2.8100 50.40 0.081379 0.082522 0.083682 0.084857 0.086050 29.72 30.56 Barclays Bank PLC 06747M3U8 12/26/18 09/25/23 100.000 0.000 2.8095 87.77 0.084260 0.085443 0.086644 0.087861 30.78 23.09 Barclays Bank PLC 06747NPJ7 12/03/19 12/01/22 100.000 0.000 2.1600 45.66 0.062626 0.063302 20.79 Barclays Bank PLC 06744CRB9 12/29/17 06/30/23 100.000 0.000 3.0800 130.24 0.096690 0.098179 0.099691 35.08 17.84 Barclays Bank PLC 06746XBL6 05/30/18 05/31/23 100.000 1.750 3.6101 133.84 0.108100 0.108296 0.110251 39.02 16.43 Barclays Bank PLC 06748EPH0 06/03/21 06/02/26 100.000 0.000 1.4100 8.15 0.039441 0.039719 0.039999 0.040281 0.040565 14.27 14.47 Barclays Bank PLC 06749N2Z4 12/02/22 06/02/25 100.000 0.000 5.8000 0.161111 0.165783 0.170591 4.67 59.12 Barclays Bank PLC 06747N6Z2 08/02/19 02/02/23*** 100.000 VARIES 2.7753 10.22 0.011622 0.011783 0.011947 *** *** 4.26 *** Barclays Bank PLC 06747P4P1 02/11/20 02/11/25 100.000 0.000 1.9400 37.15 0.055473 0.056011 0.056554 0.057102 0.057656 20.22 20.61 Barclays Bank PLC 06746M206 09/14/17 09/14/23 100.000 0.000 2.9700 135.09 0.092826 0.094204 0.095603 0.097023 33.96 24.44 Barclays Bank PLC 06741VJJ2 02/28/17 08/28/23 100.000 0.000 3.1900 165.62 0.102174 0.103803 0.105459 0.107141 37.48 25.30 Barclays Bank PLC 06749NCV2 12/16/22 12/18/25 100.000 0.000 5.3100 0.147500 0.147544 0.151461 0.155482 2.21 53.92 Barclays Bank PLC 06749N2U5 12/05/22 12/03/27 100.000 0.000 5.3800 0.149444 0.153420 0.157547 3.89 54.74 Barclays Bank PLC 06747NPF5 11/29/19 11/30/26 100.000 0.000 2.6500 56.55 0.077596 0.078624 0.079666 0.080722 0.081791 28.18 28.94 Barclays Bank PLC 06748WCU5 08/27/21 08/27/36 100.000 VARIES 2.1838 7.52 0.060660 0.059655 0.058638 0.058063 0.057667 21.41 20.89 Barclays Bank PLC 06747B449 07/03/19 07/06/26 100.000 0.000 3.2200 82.95 0.095370 0.096905 0.098466 0.100051 0.101662 35.15 36.29 Barclays Bank PLC 06748EPG2 05/28/21 05/31/28 100.000 0.000 1.9300 11.44 0.054134 0.054656 0.055184 0.055716 0.056254 19.61 20.00 Barclays Bank PLC 06747QQA8 11/30/20 11/30/27 100.000 0.000 1.4300 15.60 0.040292 0.040580 0.040871 0.041163 0.041457 14.57 14.78 Barclays Bank PLC 06747NPH1 11/29/19 11/30/23 100.000 0.000 2.3400 49.81 0.068099 0.068896 0.069702 0.070518 24.71 23.08 Barclays Bank PLC 06749N2T8 12/05/22 12/04/25 100.000 0.000 5.5000 0.152778 0.156956 0.161272 3.97 55.98 Barclays Bank PLC 06749N2Q4 11/28/22 11/27/24 100.000 0.000 5.8300 0.161944 0.166639 0.171496 5.34 59.47 Barclays Bank PLC 06744CQZ7 01/26/18 01/24/25 100.000 0.000 3.2700 135.99 0.101734 0.103398 0.105088 0.106806 0.108553 37.45 38.68 Barclays Bank PLC 06747NPD0 11/27/19 11/23/22 100.000 0.000 2.2100 47.12 0.064131 0.064839 20.78 Barclays Bank PLC 06747NXT6 02/05/20 02/05/25 100.000 0.000 1.9400 37.48 0.055473 0.056011 0.056554 0.057103 0.057657 20.22 20.62 Barclays Bank PLC 06747NXS8 01/31/20 01/31/24 100.000 0.000 1.8800 36.58 0.053709 0.054214 0.054724 0.055238 0.055757 19.58 19.95 Barclays Bank PLC 06746XBF9 06/05/18 06/05/23 100.000 0.000 3.6901 139.55 0.116496 0.118645 0.120834 42.44 18.61 Barclays Bank PLC 06747NGL2 09/18/19 09/18/24 100.000 0.000 2.5500 59.66 0.074515 0.075465 0.076428 0.077402 0.078389 27.19 27.89 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06748EGK3 05/05/21 05/05/26 100.000 0.000 1.3500 8.86 0.037753 0.038008 0.038264 0.038523 0.038783 13.67 13.85 Barclays Bank PLC 06747PN39 04/22/20 04/22/27 100.000 0.000 2.4000 41.20 0.069096 0.069925 0.070764 0.071613 0.072472 25.14 25.75 Barclays Bank PLC 06741VJH6 03/03/17 03/03/22 100.000 0.000 2.9401 151.35 0.093132 5.77 Barclays Bank PLC 06749N2N1 11/28/22 11/28/25 100.000 0.000 5.7000 0.158333 0.162846 0.167487 5.22 58.11 Barclays Bank PLC 06748XWU1 10/04/22 10/03/24 100.000 0.000 5.6900 0.158056 0.162527 0.167151 13.75 58.51 Barclays Bank PLC 06747MUJ3 05/22/19 05/19/22 100.000 0.000 2.8499 76.62 0.084948 11.72 Barclays Bank PLC 06738JLX0 10/07/10 10/07/22 100.000 VARIES 4.2148 42.82 0.118320 0.117706 32.55 Barclays Bank PLC 06748EGJ6 04/30/21 04/28/28 100.000 0.000 1.9100 12.82 0.053556 0.054068 0.054584 0.055105 0.055632 19.44 19.81 Barclays Bank PLC 06747NXQ2 01/31/20 01/29/27 100.000 0.000 2.1400 41.71 0.061370 0.062026 0.062690 0.063361 0.064039 22.41 22.89 Barclays Bank PLC 06741TUA3 05/10/13 05/10/28*** 100.000 VARIES 3.2563 25.88 0.073324 0.074518 0.075731 *** *** 26.73 *** Barclays Bank PLC 06741TUB1 05/03/13 05/03/33*** 100.000 VARIES 3.4200 22.70 0.064322 0.065422 0.066541 *** *** 23.48 *** Barclays Bank PLC 06739FJF9 03/11/16 03/13/23 100.000 0.125 2.2608 138.98 0.070616 0.071375 0.072143 25.72 5.19 Barclays Bank PLC 06744CR29 01/26/18 01/24/24 100.000 0.000 3.2100 133.36 0.099662 0.101262 0.102887 0.104538 0.106216 36.67 37.86 Barclays Bank PLC 06747QYE1 01/29/21 01/31/41 100.000 VARIES 2.0890 18.74 0.054575 0.051083 0.047608 0.044753 0.042751 17.97 15.89 Barclays Bank PLC 06747NGJ7 10/03/19 10/03/24 100.000 0.000 2.2800 52.22 0.066271 0.067026 0.067790 0.068563 0.069345 24.13 24.68 Barclays Bank PLC 06741T2W6 12/23/13 12/23/33*** 100.000 VARIES 4.3876 33.84 0.095552 0.096891 0.098260 *** *** 34.66 *** Barclays Bank PLC 06746XJK0 07/31/18 07/31/23 100.000 VARIES 3.8007 130.00 0.107675 0.107634 0.107206 0.106490 38.68 22.28 Barclays Bank PLC 06740ASJ9 02/29/12 02/28/22 100.000 VARIES 3.2529 32.93 0.090481 5.25 Barclays Bank PLC 06741VAN2 09/30/16 09/29/23 100.000 0.000 2.2200 122.98 0.068860 0.069624 0.070397 0.071178 25.07 19.01 Barclays Bank PLC 06748XNW7 08/24/22 02/23/24 100.000 0.000 4.5900 0.127500 0.130410 0.133403 16.19 47.18 Barclays Bank PLC 06747PUY3 05/28/20 05/28/25 100.000 0.000 2.2200 35.77 0.063743 0.064451 0.065166 0.065889 0.066621 23.12 23.64 Barclays Bank PLC 06739FJQ5 10/30/18 10/30/23 100.000 0.000 3.9200 130.98 0.122338 0.124736 0.127181 0.129674 44.77 38.48 Barclays Bank PLC 06744CQJ3 02/05/18 02/03/23 100.000 1.000 3.3800 137.89 0.102592 0.103387 0.105134 37.45 3.36 Barclays Bank PLC 06747NGC2 10/03/19 03/31/23 100.000 0.000 2.1416 48.99 0.062069 0.062733 0.063405 22.59 5.64 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31*** 100.000 VARIES 4.5597 45.06 0.125460 0.124273 0.127225 *** *** 45.68 *** Barclays Bank PLC 06741UFM1 07/31/14 07/31/34*** 100.000 VARIES 3.8919 31.13 0.086865 0.087480 0.088108 *** *** 31.57 *** Barclays Bank PLC 06748XFB2 02/24/22 02/23/29 100.000 0.000 2.7100 0.075278 0.076292 0.077326 0.078373 23.24 27.92 Barclays Bank PLC 06746M107 09/14/17 09/15/22 100.000 0.000 2.7800 125.99 0.086245 0.087444 22.12 Barclays Bank PLC 06746XRP0 10/31/18 10/31/23 100.000 0.000 3.9400 131.68 0.123035 0.125459 0.127930 0.130450 45.03 38.70 Barclays Bank PLC 06744CQE4 01/31/18 01/31/23*** 100.000 1.000 3.0900 125.90 0.092861 0.093437 0.094881 *** *** 33.84 *** Barclays Bank PLC 06748XFC0 03/03/22 09/02/27 100.000 0.000 2.5700 0.071389 0.072301 0.073230 0.074171 21.38 26.42 Barclays Bank PLC 06746N451 01/03/18 01/03/25 100.000 0.000 3.2700 138.33 0.101753 0.103417 0.105108 0.106826 0.108573 37.53 38.76 Barclays Bank PLC 06741WDG2 12/04/17 06/02/23 100.000 1.000 3.0301 128.43 0.091404 0.092788 0.093352 33.21 14.10 Barclays Bank PLC 06744CYW5 03/09/18 03/09/28 100.000 VARIES 3.4394 16.60 0.011425 0.011622 0.011822 0.012025 0.012232 4.19 4.34 Barclays Bank PLC 06747QGU5 09/03/20 09/03/27 100.000 0.000 1.3000 17.36 0.036582 0.036820 0.037059 0.037300 0.037542 13.27 13.44 Barclays Bank PLC 06748WKK8 11/03/21 11/03/26 100.000 0.000 1.9400 3.13 0.053890 0.054412 0.054940 0.055473 0.056011 19.56 19.94 Barclays Bank PLC 06747MCT1 02/28/19 02/28/22 100.000 0.000 3.4800 103.04 0.105375 6.01 Barclays Bank PLC 06746XAM5 05/02/18 05/02/23 100.000 1.000 3.7100 142.31 0.113937 0.115020 0.117154 41.40 14.18 Barclays Bank PLC 06744CQB0 01/31/18 01/30/25 100.000 0.000 3.2700 135.58 0.101753 0.103417 0.105108 0.106826 0.108573 37.44 38.67 Barclays Bank PLC 06747C686 09/05/19 09/03/26 100.000 0.000 2.5000 59.41 0.072972 0.073884 0.074808 0.075743 0.076689 26.65 27.32 Barclays Bank PLC 06748XNM9 09/06/22 09/05/24 100.000 0.000 4.9600 0.137778 0.141176 0.144677 15.84 51.01 Barclays Bank PLC 06748WKJ1 10/29/21 10/31/28 100.000 0.000 2.2700 3.91 0.063059 0.063775 0.064499 0.065231 0.065971 22.92 23.44 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747NG99 10/03/19 09/30/22 100.000 0.000 2.1000 48.02 0.060811 0.061450 16.47 Barclays Bank PLC 06741UFK5 07/28/14 07/28/34*** 100.000 VARIES 3.8226 23.40 0.064933 0.066160 0.067409 *** *** 23.98 *** Barclays Bank PLC 06746XAF0 05/25/18 05/23/23 100.000 0.000 3.6900 140.72 0.116469 0.118617 0.120806 42.48 17.15 Barclays Bank PLC 06747PM97 04/08/20 04/08/27 100.000 0.000 3.7900 67.18 0.111377 0.113488 0.115638 0.117829 0.120062 40.83 42.39 Barclays Bank PLC 06747NG32 10/03/19 06/30/23 100.000 0.000 2.1595 49.40 0.062945 0.063624 0.064311 22.78 11.51 Barclays Bank PLC 06747MU46 06/03/19 06/02/22 100.000 0.000 2.8500 75.69 0.084963 12.83 Barclays Bank PLC 06747MLB0 05/03/19 04/29/22 100.000 0.000 2.8499 78.24 0.084941 10.02 Barclays Bank PLC 06741VQS4 05/03/17 05/03/22 100.000 0.000 2.9001 143.65 0.091702 11.19 Barclays Bank PLC 06747PUF4 05/22/20 05/23/22 100.000 0.000 1.8100 29.41 0.051657 7.34 Barclays Bank PLC 06741VQR6 04/28/17 10/30/23 100.000 0.000 3.1299 156.29 0.100000 0.101565 0.103154 0.104768 36.47 31.13 Barclays Bank PLC 06746XAE3 05/25/18 05/23/24 100.000 0.000 3.8000 145.16 0.120394 0.122682 0.125013 0.127388 0.129808 43.93 45.61 Barclays Bank PLC 06741VQQ8 04/28/17 04/25/24 100.000 0.000 3.0900 154.17 0.098508 0.100030 0.101576 0.103145 0.104739 35.94 37.06 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25*** 100.000 VARIES 4.6203 46.78 0.129769 0.129604 0.129436 *** *** 46.66 *** Barclays Bank PLC 06739FJA0 12/18/15 12/19/22 100.000 0.125 2.3109 148.27 0.073170 0.073975 25.61 Barclays Bank PLC 06748ENY5 05/26/21 05/25/28 100.000 0.000 1.9000 11.37 0.053276 0.053782 0.054293 0.054809 0.055330 19.31 19.68 Barclays Bank PLC 06744CYE5 04/03/18 04/05/23 100.000 0.000 3.5300 140.04 0.110851 0.112808 0.114799 40.60 10.79 Barclays Bank PLC 06744C7B1 10/27/17 10/24/24 100.000 0.000 3.2400 143.74 0.102319 0.103976 0.105661 0.107372 0.109112 37.36 38.58 Barclays Bank PLC 06744CYF2 03/29/18 03/31/23 100.000 1.250 3.5081 137.18 0.106208 0.106853 0.108727 0.110634 38.58 9.68 Barclays Bank PLC 06747N5K6 08/05/19 07/31/24 100.000 0.000 2.5814 63.66 0.075453 0.076427 0.077414 0.078413 0.079425 27.63 28.35 Barclays Bank PLC 06744C7C9 10/27/17 10/25/23 100.000 0.000 3.1300 138.58 0.098428 0.099968 0.101532 0.103121 35.92 30.14 Barclays Bank PLC 06747A862 05/03/19 05/05/26 100.000 0.000 3.2600 89.90 0.098198 0.099798 0.101425 0.103078 0.104758 35.82 37.00 Barclays Bank PLC 06747N5J9 07/31/19 07/31/25 100.000 0.000 2.4500 60.70 0.071453 0.072329 0.073215 0.074112 0.075020 26.15 26.79 Barclays Bank PLC 06747MKT2 04/30/19 04/28/23 100.000 0.000 3.2800 90.76 0.098813 0.100433 0.102080 36.07 11.94 Barclays Bank PLC 06747PLM9 04/20/20 04/21/25 100.000 0.000 2.2700 39.07 0.065231 0.065971 0.066720 0.067477 0.068243 23.72 24.26 Barclays Bank PLC 06748X4K4 01/18/22 01/15/27 100.000 0.000 2.2100 0.061388 0.062055 0.062741 0.063434 21.17 22.69 Barclays Bank PLC 06747P2Z1 01/23/20 01/20/23 100.000 0.000 2.1600 42.54 0.061953 0.062622 0.063299 22.64 1.20 Barclays Bank PLC 06747MKS4 04/30/19 04/30/24 100.000 0.000 3.3800 93.63 0.102095 0.103820 0.105575 0.107359 0.109173 37.28 38.55 Barclays Bank PLC 06748ENX7 05/26/21 11/27/26 100.000 0.000 1.5200 9.09 0.042545 0.042868 0.043194 0.043522 0.043853 15.40 15.63 Barclays Bank PLC 06741WCJ7 06/05/17 06/03/22 100.000 0.000 2.6701 128.95 0.083560 12.70 Barclays Bank PLC 06747MKU9 05/03/19 01/31/23 100.000 0.000 2.9015 79.71 0.085975 0.087222 0.088487 31.55 2.57 Barclays Bank PLC 06747PLN7 04/17/20 04/18/24 100.000 0.000 2.1600 37.34 0.061970 0.062639 0.063316 0.064000 0.064691 22.53 23.02 Barclays Bank PLC 06747PD89 02/27/20 02/26/24 100.000 0.000 1.6500 30.78 0.046975 0.047362 0.047753 0.048147 0.048544 17.08 17.36 Barclays Bank PLC 06746XZK2 12/24/18 12/22/23 100.000 0.000 3.5300 111.45 0.108887 0.110808 0.112764 0.114754 39.58 39.94 Barclays Bank PLC 06748XN80 08/17/22 08/14/25 100.000 0.000 4.6700 0.129722 0.132701 0.135799 17.38 48.07 Barclays Bank PLC 06747NWE0 01/02/20 01/02/25 100.000 0.000 2.4000 48.80 0.069925 0.071613 25.32 25.93 Barclays Bank PLC 06744CY70 03/29/18 09/26/24 100.000 0.000 3.6400 145.13 0.114682 0.116769 0.118894 0.121058 0.123261 42.06 43.61 Barclays Bank PLC 06741VHQ8 02/10/17 02/08/23 100.000 0.000 3.1499 165.21 0.100693 0.102279 0.103890 36.99 3.84 Barclays Bank PLC 06748WBA0 08/25/21 08/24/28 100.000 0.000 1.7700 6.20 0.049167 0.049599 0.050038 0.050481 0.050928 17.89 18.21 Barclays Bank PLC 06747MKK1 04/30/19 04/28/22 100.000 0.000 3.1900 88.19 0.095889 11.22 Barclays Bank PLC 06746XR62 09/26/18 09/26/24 100.000 0.000 3.9700 136.96 0.124081 0.126544 0.129056 0.131618 0.134231 45.59 47.41 Barclays Bank PLC 06748XN31 09/06/22 09/05/24 100.000 0.000 4.9600 0.137778 0.141176 0.144677 15.84 51.01 Barclays Bank PLC 06744C6P1 11/03/17 11/03/22 100.000 0.000 2.6500 115.79 0.081785 0.082869 24.89 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06748XN23 09/06/22 09/03/27 100.000 0.000 5.0800 0.141111 0.144636 0.148309 16.23 52.28 Barclays Bank PLC 06744CPC9 01/05/18 01/06/23 100.000 1.300 3.0300 125.04 0.090081 0.090352 0.091720 32.76 0.46 Barclays Bank PLC 06746Y325 04/04/19 03/28/25 100.000 0.000 3.5099 100.14 0.106297 0.108163 0.110061 0.111993 0.113958 38.95 40.33 Barclays Bank PLC 06744CY62 03/29/18 03/28/23 100.000 0.000 3.5100 139.64 0.110116 0.112049 0.114015 40.35 9.92 Barclays Bank PLC 06747MC87 03/05/19 02/28/22 100.000 0.000 3.1998 93.76 0.096167 5.48 Barclays Bank PLC 06747RAA3 04/16/21 04/14/28 100.000 0.000 1.8600 13.21 0.052142 0.052627 0.053116 0.053610 0.054109 18.93 19.29 Barclays Bank PLC 06747D882 11/05/19 11/04/26 100.000 0.000 2.7100 59.76 0.079435 0.080512 0.081603 0.082708 0.083829 28.91 29.70 Barclays Bank PLC 06747MC38 02/28/19 02/29/24 100.000 0.000 3.6879 109.47 0.112254 0.114313 0.116432 0.118567 0.120766 41.29 42.83 Barclays Bank PLC 06748WB93 08/25/21 02/25/27 100.000 0.000 1.5000 5.25 0.041667 0.041979 0.042294 0.042611 0.042931 15.14 15.36 Barclays Bank PLC 06747C546 09/06/19 08/29/24 100.000 0.000 2.3000 54.49 0.066848 0.067612 0.068394 0.069176 0.069976 24.39 24.96 Barclays Bank PLC 06740PV29 12/30/10 12/30/30*** 100.000 VARIES 5.2624 48.23 0.135613 0.136749 0.137914 *** *** 49.03 *** Barclays Bank PLC 06741VHH8 01/27/17 01/27/27*** 100.000 VARIES 2.3799 15.54 0.008684 0.008787 0.008892 *** *** 3.18 *** Barclays Bank PLC 06739GCF4 02/20/20 02/18/25 104.000 0.000 3.2800 65.05 0.099476 0.101107 0.102765 0.104450 0.106163 36.54 37.75 Barclays Bank PLC 06748WB69 08/31/21 08/31/28 100.000 0.000 1.7400 5.85 0.048333 0.048749 0.049178 0.049601 0.050037 17.58 17.89 Barclays Bank PLC 06748WB77 09/03/21 09/03/26 100.000 0.000 1.3100 4.29 0.036389 0.036627 0.036867 0.037109 0.037352 13.20 13.37 Barclays Bank PLC 06744C6N6 10/31/17 10/31/24 100.000 0.000 3.2400 143.43 0.102347 0.104005 0.105690 0.107402 0.109142 37.35 38.57 Barclays Bank PLC 06747MBN5 03/05/19 11/30/22 100.000 0.000 3.2591 95.59 0.098907 0.100519 32.83 Barclays Bank PLC 06747NEP5 09/27/19 09/25/24 100.000 0.000 2.4600 56.86 0.071747 0.072630 0.073523 0.074428 0.075343 26.16 26.81 Barclays Bank PLC 06747MSN7 05/30/19 05/25/22 100.000 0.000 2.9399 78.42 0.087810 12.64 Barclays Bank PLC 06744CGK1 08/25/17 08/22/24 100.000 0.000 2.9600 136.37 0.092453 0.093821 0.095210 0.096619 0.098049 33.88 34.90 Barclays Bank PLC 06741TSE8 04/19/13 04/19/33*** 100.000 VARIES 3.7861 26.97 0.076372 0.077817 0.079291 *** *** 27.96 *** Barclays Bank PLC 06747QFK8 09/30/20 09/30/27 100.000 0.000 1.3300 16.75 0.037437 0.037686 0.037937 0.038189 0.038443 13.57 13.75 Barclays Bank PLC 06748WRQ8 12/03/21 12/03/26 100.000 0.000 1.9100 1.49 0.053055 0.053562 0.054074 0.054590 0.055111 19.22 19.59 Barclays Bank PLC 06747NVN1 12/11/19 12/11/29 100.000 VARIES 2.4256 8.15 0.009749 0.009867 0.009987 0.010108 0.010231 3.54 3.62 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31*** 100.000 VARIES 5.2986 50.90 0.142406 0.143456 0.144534 *** *** 51.65 *** Barclays Bank PLC 06748E4K6 02/26/21 02/28/28 100.000 0.000 1.7600 14.97 0.049324 0.049758 0.050196 0.050637 0.051083 17.94 18.26 Barclays Bank PLC 06747NEN0 09/27/19 03/25/25 100.000 0.000 2.5300 58.52 0.073891 0.074826 0.075772 0.076731 0.077702 26.95 27.64 Barclays Bank PLC 06744CP21 12/13/17 12/13/22 100.000 0.000 2.9000 123.69 0.090388 0.091699 31.15 Barclays Bank PLC 06748WRN5 11/29/21 11/29/28 100.000 0.000 2.3000 2.04 0.063889 0.064624 0.065367 0.066118 0.066879 23.18 23.72 Barclays Bank PLC 06738KN98 02/29/12 02/28/22 100.000 VARIES 4.0104 40.17 0.110884 6.43 Burea County SD #84, IL 121012AT5 06/04/10 12/01/22 104.788 VARIES 6.1676 62.24 0.172276 0.171806 56.77 Bureau County SD #502 121133CK6 10/10/13 12/01/23*** 100.125 VARIES 4.9874 49.89 0.138571 0.138563 0.138555 *** *** 49.88 *** Bureau County, SD #205 121133CL4 10/10/13 12/01/29*** 100.148 VARIES 5.8866 58.92 0.163656 0.163649 0.163642 *** *** 58.91 *** CANUTILLO TEX INDPT SCH 138735YN9 07/29/20 02/15/30 81.977 0.000 2.0930 24.65 0.048709 0.049218 0.049733 0.050254 0.050780 17.77 18.14 CANUTILLO TEX INDPT SCH 138735YL3 07/29/20 02/15/28 86.749 0.000 1.8930 23.57 0.046523 0.046964 0.047408 0.047857 0.048310 16.95 17.27 CANUTILLO TEX INDPT SCH 138735YK5 07/29/20 02/15/27 89.327 0.000 1.7320 22.19 0.043758 0.044137 0.044519 0.044905 0.045294 15.92 16.20 CANUTILLO TEX INDPT SCH 138735YM1 07/29/20 02/15/29 84.413 0.000 1.9930 24.16 0.047709 0.048185 0.048665 0.049150 0.049640 17.39 17.74 CAREY OHIO EXMP VLG SCH 141771BW4 03/04/20 11/01/36 57.028 0.000 3.3998 36.23 0.056956 0.057924 0.058909 0.059910 0.060928 20.80 21.51 CAREY OHIO EXMP VLG SCH 141771BU8 03/04/20 11/01/34 61.892 0.000 3.2998 38.13 0.059897 0.060885 0.061890 0.062911 0.063949 21.86 22.59 CAREY OHIO EXMP VLG SCH 141771BV6 03/04/20 11/01/35 59.439 0.000 3.3499 37.19 0.058444 0.059422 0.060418 0.061430 0.062459 21.33 22.06 CAREY OHIO EXMP VLG SCH 141771BT1 03/04/20 11/01/33 64.382 0.000 3.2499 39.05 0.061313 0.062310 0.063322 0.064351 0.065397 22.37 23.11 CAREY OHIO EXMP VLG SCH 141771BR5 03/04/20 11/01/31 69.862 0.000 3.0999 40.38 0.063307 0.064288 0.065284 0.066296 0.067324 23.09 23.81 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CAREY OHIO EXMP VLG SCH 141771BS3 03/04/20 11/01/32 67.325 0.000 3.1499 39.55 0.062042 0.063019 0.064011 0.065020 0.066044 22.63 23.35 CBIZ, Inc. 124805AA0 05/30/06 06/01/26*** 100.000 VARIES 8.9994 241.75 0.705269 0.732015 0.759964 *** *** 260.35 *** CBIZ, Inc. 124805AB8 05/30/06 06/01/26*** 100.000 VARIES 8.9994 241.75 0.705269 0.732015 0.759964 *** *** 260.35 *** CHINA SPRING TEX INDPT 169412RQ8 07/22/20 08/15/34 68.731 0.000 2.6840 26.95 0.052717 0.053424 0.054141 0.054868 0.055604 19.30 19.82 CHINA SPRING TEX INDPT 169412RP0 07/22/20 08/15/33 71.045 0.000 2.6339 27.33 0.053448 0.054152 0.054865 0.055587 0.056319 19.56 20.08 CITIGROUP GLBL MKTS HOLD 17330RGV1 11/03/22 11/05/24 100.000 0.000 5.8450 0.162361 0.162414 0.167160 0.172046 9.42 59.86 CITIGROUP GLBL MKTS HOLD 17330RNY7 11/03/22 11/04/27 100.000 0.000 5.9420 0.165056 0.169987 0.175037 9.57 60.88 CITIGROUP GLBL MKTS HOLD 17330RFK6 11/03/22 11/05/26 100.000 0.000 5.8740 0.163167 0.163220 0.168014 0.172948 9.47 60.17 CITIGROUP GLBL MKTS HOLD 17330RFN0 11/03/22 05/03/24 100.000 0.000 5.8640 0.162889 0.167665 0.172581 9.45 60.06 CITIGROUP GLBL MKTS HOLD 17330YRU6 11/08/22 11/08/29 100.000 0.000 5.9130 0.164250 0.169106 0.174106 8.71 60.53 CITIGROUP GLBL MKTS HOLD 17330YRX0 11/18/22 11/18/42 100.000 VARIES 5.7556 0.159877 0.156484 0.152994 6.87 56.65 CITIGROUP GLBL MKTS HOLD 17330YB74 10/31/22 05/01/24 100.000 0.000 5.9510 0.165306 0.170252 0.175317 10.08 61.00 CITIGROUP GLBL MKTS HOLD 17330RW76 11/03/22 12/05/23 100.000 0.000 6.3880 0.177444 0.178452 0.184152 10.32 60.63 CITIGROUP GLBL MKTS HOLD 17330YAX8 10/28/22 10/30/24 100.000 0.000 5.9710 0.165861 0.165916 0.170870 0.175971 10.45 61.23 CITIGROUP GLBL MKTS HOLD 17330YAD2 11/04/22 11/04/24 100.000 0.000 5.7570 0.159917 0.164520 0.169256 9.12 58.93 CITIGROUP GLBL MKTS HOLD 17330YRG7 11/03/22 11/04/27 100.000 0.000 5.9420 0.165056 0.169987 0.175037 9.57 60.88 CITIGROUP GLBL MKTS HOLD 17330YAQ3 10/26/22 10/26/27 100.000 0.000 6.2330 0.173139 0.178535 0.184099 11.25 64.01 CITIGROUP GLBL MKTS HOLD 17330RV69 11/02/22 11/04/27 100.000 0.000 5.8830 0.163417 0.163470 0.168279 0.173228 9.64 60.27 CITIGROUP GLBL MKTS HOLD 17330RUW3 10/31/22 05/01/24 100.000 0.000 5.9510 0.165306 0.170252 0.175317 10.08 61.00 CITIGROUP GLBL MKTS HOLD 17330RMG7 10/31/22 10/31/24 100.000 0.000 5.9420 0.165056 0.169959 0.175009 10.07 60.91 CITIGROUP GLBL MKTS HOLD 17330RZ57 10/25/22 10/23/25 100.000 0.000 6.0190 0.167194 0.172170 0.177352 11.03 61.78 CITIGROUP GLBL MKTS HOLD 17330YDL1 11/18/22 12/20/23 100.000 0.000 6.0970 0.169361 0.170279 0.175470 7.29 60.36 CITIGROUP GLBL MKTS HOLD 17330YMA5 10/31/22 10/31/37 100.000 VARIES 6.1000 0.169444 0.167750 0.166004 10.34 60.49 CITIGROUP GLBL MKTS HOLD 17330RHN8 10/31/22 10/29/27 100.000 0.000 6.0870 0.169083 0.174201 0.179503 10.31 62.44 CITIGROUP GLBL MKTS HOLD 17330RQE8 10/26/22 04/26/27 100.000 0.000 6.2810 0.174472 0.179952 0.185603 11.34 64.52 CITIGROUP GLBL MKTS HOLD 17330Y2Z2 10/31/22 10/31/42 100.000 VARIES 6.2815 0.174485 0.168623 0.162578 10.64 61.03 CITIGROUP GLBL MKTS HOLD 17330Y2Y5 10/31/22 10/31/24 100.000 0.000 5.9420 0.165056 0.169959 0.175009 10.07 60.91 CITIGROUP GLBL MKTS HOLD 17330YUE8 11/16/22 11/16/27 100.000 0.000 5.8060 0.161278 0.165960 0.170777 7.26 59.33 CITIGROUP GLBL MKTS HOLD 17330YLW8 11/17/22 11/19/24 100.000 0.000 5.5240 0.153444 0.153492 0.157731 0.162088 6.75 56.38 CITIGROUP GLBL MKTS HOLD 17330YDE7 11/17/22 11/19/25 100.000 0.000 5.5040 0.152889 0.152936 0.157144 0.161469 6.73 56.17 CITIGROUP GLBL MKTS HOLD 17330Y2H2 10/25/22 10/25/27 100.000 0.000 6.1260 0.170167 0.175379 0.180751 11.23 62.90 CITIGROUP GLBL MKTS HOLD 17330RJ30 10/31/22 11/30/23 100.000 0.000 6.4460 0.179056 0.180017 0.185819 10.95 60.27 CITIGROUP GLBL MKTS HOLD 17330YCM0 11/17/22 11/17/42 100.000 VARIES 5.6858 0.157938 0.153741 0.149425 6.95 55.73 CITIGROUP GLBL MKTS HOLD 17330R6G5 09/30/22 10/02/28 100.000 0.000 5.7960 0.161000 0.161052 0.165719 0.170522 14.66 59.66 CITIGROUP GLBL MKTS HOLD 17330YTT7 11/17/22 11/20/23 100.000 0.000 5.6020 0.155611 0.155684 0.160044 6.85 50.45 CITIGROUP GLBL MKTS HOLD 17330YCR9 11/14/22 11/12/27 100.000 0.000 5.9510 0.165306 0.170170 0.175233 7.77 60.87 CITIGROUP GLBL MKTS HOLD 17330YTV2 11/17/22 11/17/42 100.000 VARIES 5.6858 0.157938 0.146634 0.135009 6.95 53.81 CITIGROUP GLBL MKTS HOLD 17330YTW0 11/17/22 11/19/24 100.000 0.000 5.5240 0.153444 0.153492 0.157731 0.162088 6.75 56.38 CITIGROUP GLBL MKTS HOLD 17330RJD8 10/31/22 05/01/25 100.000 0.000 5.9510 0.165306 0.170252 0.175317 10.08 61.00 CITIGROUP GLBL MKTS HOLD 17330YSY7 11/02/22 11/02/28 100.000 0.000 5.9030 0.163972 0.168812 0.173794 9.67 60.48 CITIGROUP GLBL MKTS HOLD 17330Y5L0 10/26/22 10/24/25 100.000 0.000 6.1160 0.169889 0.175026 0.180379 11.04 62.79 CITIGROUP GLBL MKTS HOLD 17330Y5V8 10/26/22 10/25/25 100.000 0.000 6.1160 0.169889 0.175055 0.180408 11.04 62.78 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17290AGD6 11/15/22 11/15/29 100.000 VARIES 5.5081 0.153003 0.148801 0.144484 7.04 53.93 CITIGROUP GLBL MKTS HOLD 17330Y5C0 11/04/22 05/06/24 100.000 0.000 5.7860 0.160722 0.160774 0.165425 0.170211 9.16 59.23 CITIGROUP GLBL MKTS HOLD 17330RS55 10/26/22 04/24/26 100.000 0.000 6.1260 0.170167 0.175321 0.180691 11.06 62.89 CITIGROUP GLBL MKTS HOLD 17330YPQ7 11/16/22 11/19/25 100.000 0.000 5.5140 0.153167 0.153237 0.157462 0.161803 6.90 56.29 CITIGROUP GLBL MKTS HOLD 17330Y4Q0 10/26/22 04/25/24 100.000 0.000 6.0580 0.168278 0.173347 0.178597 10.94 62.17 CITIGROUP GLBL MKTS HOLD 17330RZR9 10/20/22 10/21/27 100.000 0.000 6.0290 0.167472 0.172549 0.177750 11.89 61.92 CITIGROUP GLBL MKTS HOLD 17330YET3 11/17/22 11/17/42 100.000 VARIES 5.6858 0.157938 0.150582 0.143018 6.95 54.88 CITIGROUP GLBL MKTS HOLD 17330YHR4 11/02/22 05/01/25 100.000 0.000 5.7570 0.159917 0.164494 0.169229 9.44 58.95 CITIGROUP GLBL MKTS HOLD 17330RM36 10/31/22 10/29/27 100.000 0.000 6.0870 0.169083 0.174201 0.179503 10.31 62.44 CITIGROUP GLBL MKTS HOLD 17330RM69 10/31/22 05/01/25 100.000 0.000 5.9510 0.165306 0.170252 0.175317 10.08 61.00 CITIGROUP GLBL MKTS HOLD 17330RFT7 11/03/22 11/05/26 100.000 0.000 5.8740 0.163167 0.163220 0.168014 0.172948 9.47 60.17 CITIGROUP GLBL MKTS HOLD 17330RST3 11/03/22 11/05/25 100.000 0.000 5.8740 0.163167 0.163220 0.168014 0.172948 9.47 60.17 CITIGROUP GLBL MKTS HOLD 17330Y4E7 11/09/22 11/07/25 100.000 0.000 6.0780 0.168833 0.173907 0.179192 8.78 62.25 CITIGROUP GLBL MKTS HOLD 17330YJT8 11/28/22 05/28/24 100.000 0.000 5.6790 0.157750 0.162229 0.166836 5.21 57.90 CITIGROUP GLBL MKTS HOLD 17330YSJ0 11/28/22 11/28/25 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330YSL5 12/05/22 12/04/25 100.000 0.000 5.4070 0.150194 0.154232 0.158402 3.91 55.02 CITIGROUP GLBL MKTS HOLD 17330YKB5 11/28/22 11/26/27 100.000 0.000 5.4560 0.151556 0.155644 0.159890 5.00 55.59 CITIGROUP GLBL MKTS HOLD 17330YC24 12/02/22 12/02/27 100.000 0.000 5.3390 0.148306 0.152265 0.156329 4.30 54.34 CITIGROUP GLBL MKTS HOLD 17330YRT9 12/06/22 01/05/24 100.000 0.000 6.1650 0.171250 0.172100 0.177405 4.28 62.89 CITIGROUP GLBL MKTS HOLD 17330YJF8 11/02/22 10/31/24 100.000 0.000 5.8740 0.163167 0.167906 0.172837 9.63 60.18 CITIGROUP GLBL MKTS HOLD 17330YJE1 11/28/22 11/28/25 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330YB82 10/20/22 10/21/27 100.000 0.000 6.0290 0.167472 0.172549 0.177750 11.89 61.92 CITIGROUP GLBL MKTS HOLD 17330YS84 11/29/22 11/29/27 100.000 0.000 5.3870 0.149639 0.153669 0.157808 4.79 54.86 CITIGROUP GLBL MKTS HOLD 17330YRY8 11/07/22 11/06/25 100.000 0.000 5.9220 0.164500 0.169344 0.174358 8.88 60.63 CITIGROUP GLBL MKTS HOLD 17330RVY8 10/31/22 10/29/27 100.000 0.000 6.0870 0.169083 0.174201 0.179503 10.31 62.44 CITIGROUP GLBL MKTS HOLD 17330YJQ4 11/30/22 11/28/25 100.000 0.000 5.3780 0.149389 0.153361 0.157485 4.63 54.76 CITIGROUP GLBL MKTS HOLD 17330YSB7 11/28/22 11/27/24 100.000 0.000 5.5630 0.154528 0.158802 0.163219 5.10 56.69 CITIGROUP GLBL MKTS HOLD 17330YSC5 11/28/22 05/28/25 100.000 0.000 5.5140 0.153167 0.157389 0.161729 5.05 56.18 CITIGROUP GLBL MKTS HOLD 17330YRC6 11/23/22 11/23/27 100.000 0.000 5.3780 0.149389 0.153406 0.157531 5.68 54.81 CITIGROUP GLBL MKTS HOLD 17330YAG5 10/21/22 10/21/27 100.000 0.000 5.9710 0.165861 0.170813 0.175913 11.61 61.30 CITIGROUP GLBL MKTS HOLD 17330RMX0 10/19/22 10/20/42 100.000 VARIES 6.4290 0.176593 0.170888 0.162987 12.86 61.80 CITIGROUP GLBL MKTS HOLD 17330YB25 12/05/22 12/04/25 100.000 0.000 5.4070 0.150194 0.154232 0.158402 3.91 55.02 CITIGROUP GLBL MKTS HOLD 17330YQR4 12/05/22 12/05/24 100.000 0.000 5.4650 0.151806 0.155954 0.160215 3.95 55.62 CITIGROUP GLBL MKTS HOLD 17330YR28 11/28/22 11/28/29 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330YQQ6 12/05/22 12/04/25 100.000 0.000 5.4070 0.150194 0.154232 0.158402 3.91 55.02 CITIGROUP GLBL MKTS HOLD 17330YR44 12/05/22 06/04/25 100.000 0.000 5.4170 0.150472 0.154525 0.158710 3.91 55.12 CITIGROUP GLBL MKTS HOLD 17330YR93 11/22/22 05/22/24 100.000 0.000 5.5430 0.153972 0.158240 0.162625 6.00 56.54 CITIGROUP GLBL MKTS HOLD 17330RMK8 10/31/22 05/01/25 100.000 0.000 5.9510 0.165306 0.170252 0.175317 10.08 61.00 CITIGROUP GLBL MKTS HOLD 17330RUZ6 10/31/22 10/29/27 100.000 0.000 6.0870 0.169083 0.174201 0.179503 10.31 62.44 CITIGROUP GLBL MKTS HOLD 17330YLY4 11/28/22 11/28/25 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330RYH2 10/20/22 10/22/25 100.000 0.000 5.9420 0.165056 0.165110 0.170015 0.175067 11.72 61.01 CITIGROUP GLBL MKTS HOLD 17330YLZ1 11/30/22 12/01/42 100.000 VARIES 5.4500 0.149780 0.145697 0.139827 4.69 53.13 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330Y3M0 10/20/22 10/22/24 100.000 0.000 5.9130 0.164250 0.164304 0.169162 0.174163 11.67 60.70 CITIGROUP GLBL MKTS HOLD 17330YME7 11/23/22 12/21/23 100.000 0.000 6.1840 0.171778 0.172604 0.177941 6.54 61.37 CITIGROUP GLBL MKTS HOLD 17330YE22 12/05/22 06/04/24 100.000 0.000 5.5820 0.155056 0.159359 0.163807 4.03 56.83 CITIGROUP GLBL MKTS HOLD 17330RY58 10/14/22 10/16/25 100.000 0.000 5.6500 0.156944 0.156994 0.161429 0.165989 12.09 57.99 CITIGROUP GLBL MKTS HOLD 17330YTZ3 11/30/22 12/01/42 100.000 VARIES 5.4500 0.149780 0.147968 0.144430 4.69 53.68 CITIGROUP GLBL MKTS HOLD 17330Y3B4 11/28/22 11/27/26 100.000 0.000 5.4260 0.150722 0.154789 0.158988 4.97 55.27 CITIGROUP GLBL MKTS HOLD 17330YDF4 11/07/22 11/07/24 100.000 0.000 5.8740 0.163167 0.167959 0.172892 8.81 60.13 CITIGROUP GLBL MKTS HOLD 17330RYD1 10/20/22 04/23/25 100.000 0.000 5.9220 0.164500 0.164581 0.169454 0.174472 11.69 60.80 CITIGROUP GLBL MKTS HOLD 17330YEW6 11/28/22 11/28/25 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330RXJ9 10/14/22 10/16/25 100.000 0.000 5.6500 0.156944 0.156994 0.161429 0.165989 12.09 57.99 CITIGROUP GLBL MKTS HOLD 17330Y2J8 11/28/22 11/27/26 100.000 0.000 5.4260 0.150722 0.154789 0.158988 4.97 55.27 CITIGROUP GLBL MKTS HOLD 17330RXM2 10/14/22 10/14/27 100.000 0.000 5.7960 0.161000 0.165666 0.170467 12.40 59.53 CITIGROUP GLBL MKTS HOLD 17330YER7 11/28/22 11/26/27 100.000 0.000 4.4560 0.123778 0.126505 0.129323 4.08 45.24 CITIGROUP GLBL MKTS HOLD 17330YU32 11/28/22 11/26/27 100.000 0.000 5.4560 0.151556 0.155644 0.159890 5.00 55.59 CITIGROUP GLBL MKTS HOLD 17330RXN0 10/13/22 10/10/24 100.000 0.000 5.4260 0.150722 0.154743 0.158941 11.76 55.65 CITIGROUP GLBL MKTS HOLD 17330RXQ3 10/19/22 10/19/37 100.000 VARIES 6.9400 0.192778 0.177298 0.161000 13.88 64.35 CITIGROUP GLBL MKTS HOLD 17330YU40 11/28/22 11/28/25 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330YU73 11/28/22 05/28/24 100.000 0.000 5.6790 0.157750 0.162229 0.166836 5.21 57.90 CITIGROUP GLBL MKTS HOLD 17330YCT5 11/07/22 11/06/25 100.000 0.000 5.9220 0.164500 0.169344 0.174358 8.88 60.63 CITIGROUP GLBL MKTS HOLD 17330YBV1 12/05/22 06/04/25 100.000 0.000 5.4170 0.150472 0.154525 0.158710 3.91 55.12 CITIGROUP GLBL MKTS HOLD 17330YG53 11/28/22 05/28/25 100.000 0.000 5.5140 0.153167 0.157389 0.161729 5.05 56.18 CITIGROUP GLBL MKTS HOLD 17330Y5Y2 10/21/22 10/21/27 100.000 0.000 5.9710 0.165861 0.170813 0.175913 11.61 61.30 CITIGROUP GLBL MKTS HOLD 17330RSH9 11/01/22 04/30/26 100.000 0.000 5.8930 0.163694 0.168491 0.173455 9.82 60.39 CITIGROUP GLBL MKTS HOLD 17330Y5F3 11/01/22 11/30/23 100.000 0.000 6.3880 0.177444 0.178358 0.184054 10.67 59.71 CITIGROUP GLBL MKTS HOLD 17330RQW8 10/31/22 10/29/27 100.000 0.000 6.0870 0.169083 0.174201 0.179503 10.31 62.44 CITIGROUP GLBL MKTS HOLD 17330RZK4 10/20/22 10/22/24 100.000 0.000 5.9130 0.164250 0.164304 0.169162 0.174163 11.67 60.70 CITIGROUP GLBL MKTS HOLD 17330YNB2 11/30/22 11/28/25 100.000 0.000 5.3780 0.149389 0.153361 0.157485 4.63 54.76 CITIGROUP GLBL MKTS HOLD 17330YF62 11/23/22 11/21/24 100.000 0.000 5.4850 0.152361 0.156493 0.160785 5.79 55.93 CITIGROUP GLBL MKTS HOLD 17330YH52 11/25/22 12/27/23 100.000 0.000 6.1840 0.171778 0.172722 0.178063 6.19 62.45 CITIGROUP GLBL MKTS HOLD 17330YHJ2 11/28/22 11/28/25 100.000 0.000 5.4950 0.152639 0.156833 0.161142 5.04 55.99 CITIGROUP GLBL MKTS HOLD 17330YN63 12/12/22 06/12/25 100.000 0.000 5.2510 0.145861 0.149691 0.153621 2.77 53.35 CITIGROUP GLBL MKTS HOLD 17330RZA6 10/21/22 10/23/25 100.000 0.000 5.8740 0.163167 0.163220 0.168014 0.172948 11.43 60.28 CITIGROUP GLBL MKTS HOLD 17330YEC0 11/29/22 12/01/25 100.000 0.000 5.4650 0.151806 0.151852 0.156001 0.160264 4.86 55.67 CITIGROUP GLBL MKTS HOLD 17330RR31 10/31/22 10/29/27 100.000 0.000 6.0870 0.169083 0.174201 0.179503 10.31 62.44 CITIGROUP GLBL MKTS HOLD 17330RZF5 10/13/22 10/10/24 100.000 0.000 5.4260 0.150722 0.154743 0.158941 11.76 55.65 CITIGROUP GLBL MKTS HOLD 17330YQJ2 11/22/22 11/22/27 100.000 0.000 5.3290 0.148028 0.151972 0.156021 5.77 54.31 CITIGROUP GLBL MKTS HOLD 17330YQN3 11/30/22 12/01/27 100.000 0.000 5.3100 0.147500 0.151438 0.155459 4.57 54.05 CITIGROUP GLBL MKTS HOLD 17330YHC7 11/07/22 12/07/23 100.000 0.000 6.4170 0.178250 0.179203 0.184953 9.65 61.25 CITIGROUP GLBL MKTS HOLD 17330YHN3 11/28/22 12/28/23 100.000 0.000 6.2130 0.172583 0.173477 0.178866 5.70 62.90 CITIGROUP GLBL MKTS HOLD 17330RKL8 10/14/22 10/17/24 100.000 0.000 5.5720 0.154778 0.154850 0.159164 0.163598 11.92 57.17 CITIGROUP GLBL MKTS HOLD 17330Y6P0 12/05/22 12/04/25 100.000 0.000 5.4070 0.150194 0.154232 0.158402 3.91 55.02 CITIGROUP GLBL MKTS HOLD 17330YH78 11/28/22 05/28/25 100.000 0.000 5.5140 0.153167 0.157389 0.161729 5.05 56.18 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330Y6D7 11/01/22 11/01/27 100.000 0.000 5.9900 0.166389 0.171372 0.176505 9.98 61.40 CITIGROUP GLBL MKTS HOLD 17330YGK0 11/28/22 11/27/24 100.000 0.000 5.5630 0.154528 0.158802 0.163219 5.10 56.69 CITIGROUP GLBL MKTS HOLD 17330Y6H8 11/28/22 11/26/27 100.000 0.000 5.4560 0.151556 0.155644 0.159890 5.00 55.59 CITIGROUP GLBL MKTS HOLD 17330RF59 08/26/22 08/28/24 100.000 0.000 4.2450 0.117917 0.117944 0.120448 0.123004 14.74 43.53 CITIGROUP GLBL MKTS HOLD 17330PGK9 08/31/22 08/31/28 100.000 0.000 4.5870 0.127417 0.130306 0.133328 15.42 47.11 CITIGROUP GLBL MKTS HOLD 17330PY45 08/31/22 03/03/25 100.000 0.000 4.3430 0.120639 0.120683 0.123303 0.125981 14.60 44.54 CITIGROUP GLBL MKTS HOLD 17330R4L6 09/30/22 10/02/29 100.000 0.000 5.8540 0.162611 0.162664 0.167425 0.172326 14.80 60.28 CITIGROUP GLBL MKTS HOLD 17330PX95 08/31/22 03/03/25 100.000 0.000 4.3430 0.120639 0.120683 0.123303 0.125981 14.60 44.54 CITIGROUP GLBL MKTS HOLD 17330RH40 09/30/22 09/30/27 100.000 0.000 5.7960 0.161000 0.165666 0.170467 14.65 59.66 CITIGROUP GLBL MKTS HOLD 17330RDV4 09/30/22 10/02/25 100.000 0.000 5.7960 0.161000 0.161052 0.165719 0.170522 14.66 59.66 CITIGROUP GLBL MKTS HOLD 17330RE76 09/30/22 10/02/25 100.000 0.000 5.6210 0.156139 0.156188 0.160577 0.165090 14.21 57.81 CITIGROUP GLBL MKTS HOLD 17330RMF9 09/30/22 10/02/25 100.000 0.000 5.6210 0.156139 0.156188 0.160577 0.165090 14.21 57.81 CITIGROUP GLBL MKTS HOLD 17330RDY8 09/30/22 04/01/26 100.000 0.000 5.6500 0.156944 0.161403 0.165962 14.28 58.11 CITIGROUP GLBL MKTS HOLD 17330PSC4 08/31/22 08/31/27 100.000 0.000 4.5390 0.126083 0.128913 0.131871 15.26 46.61 CITIGROUP GLBL MKTS HOLD 17330PK81 08/31/22 08/29/25 100.000 0.000 4.4210 0.122806 0.125490 0.128279 14.86 45.36 CITIGROUP GLBL MKTS HOLD 17330YM23 11/03/22 11/04/27 100.000 0.000 5.9420 0.165056 0.169987 0.175037 9.57 60.88 CITIGROUP GLBL MKTS HOLD 17330RPS8 10/31/22 10/30/25 100.000 0.000 5.9710 0.165861 0.170813 0.175913 10.12 61.21 CITIGROUP GLBL MKTS HOLD 17330RP33 10/31/22 10/31/29 100.000 0.000 6.1260 0.170167 0.175379 0.180751 10.38 62.84 CITIGROUP GLBL MKTS HOLD 17330PZM4 08/30/22 03/02/26 100.000 0.000 4.4700 0.124167 0.124198 0.126973 0.129811 15.03 45.88 CITIGROUP GLBL MKTS HOLD 17330RJN6 11/03/22 05/05/25 100.000 0.000 5.8450 0.162361 0.162414 0.167160 0.172046 9.42 59.86 CITIGROUP GLBL MKTS HOLD 17330RBG9 08/24/22 08/24/27 100.000 0.000 4.4410 0.123361 0.126100 0.128900 15.67 45.61 CITIGROUP GLBL MKTS HOLD 17330PUS6 08/31/22 08/31/28 100.000 0.000 4.5870 0.127417 0.130306 0.133328 15.42 47.11 CITIGROUP GLBL MKTS HOLD 17330RRN7 10/28/22 10/30/24 100.000 0.000 5.9710 0.165861 0.165916 0.170870 0.175971 10.45 61.23 CITIGROUP GLBL MKTS HOLD 17330YFD7 11/15/22 11/13/26 100.000 0.000 5.8830 0.163417 0.168170 0.173117 7.52 60.15 CITIGROUP GLBL MKTS HOLD 17330RB38 08/29/22 08/29/24 100.000 0.000 4.2160 0.117111 0.119566 0.122101 14.29 43.21 CITIGROUP GLBL MKTS HOLD 17330YFE5 11/15/22 11/15/27 100.000 0.000 5.8830 0.163417 0.168224 0.173172 7.52 60.14 CITIGROUP GLBL MKTS HOLD 17330RAU9 09/30/22 09/30/27 100.000 0.000 5.7960 0.161000 0.165666 0.170467 14.65 59.66 CITIGROUP GLBL MKTS HOLD 17330YNF3 11/17/22 11/18/27 100.000 0.000 5.4850 0.152361 0.156563 0.160857 6.70 55.97 CITIGROUP GLBL MKTS HOLD 17330Y4R8 10/31/22 10/30/25 100.000 0.000 5.9710 0.165861 0.170813 0.175913 10.12 61.21 CITIGROUP GLBL MKTS HOLD 17330RAD7 09/30/22 04/01/25 100.000 0.000 5.5430 0.153972 0.158263 0.162650 14.01 56.98 CITIGROUP GLBL MKTS HOLD 17330PH69 08/31/22 08/31/27 100.000 0.000 4.5390 0.126083 0.128913 0.131871 15.26 46.61 CITIGROUP GLBL MKTS HOLD 17330RLM5 09/30/22 10/02/25 100.000 0.000 5.6210 0.156139 0.156188 0.160577 0.165090 14.21 57.81 CITIGROUP GLBL MKTS HOLD 17330PWQ8 08/31/22 08/31/27 100.000 0.000 4.5390 0.126083 0.128913 0.131871 15.26 46.61 CITIGROUP GLBL MKTS HOLD 17330RDD4 08/24/22 08/22/26 100.000 0.000 4.3330 0.120361 0.122940 0.125603 15.29 44.47 CITIGROUP GLBL MKTS HOLD 17330RM93 11/03/22 05/05/25 100.000 0.000 5.8450 0.162361 0.162414 0.167160 0.172046 9.42 59.86 CITIGROUP GLBL MKTS HOLD 17330R3E3 08/31/22 08/31/27 100.000 0.000 4.5390 0.126083 0.128913 0.131871 15.26 46.61 CITIGROUP GLBL MKTS HOLD 17330R3J2 09/30/22 09/30/27 100.000 0.000 5.7960 0.161000 0.165666 0.170467 14.65 59.66 CITIGROUP GLBL MKTS HOLD 17330PVY2 08/26/22 08/28/24 100.000 0.000 4.2450 0.117917 0.117944 0.120448 0.123004 14.74 43.53 CITIGROUP GLBL MKTS HOLD 17330RD28 09/30/22 10/02/24 100.000 0.000 5.4560 0.151556 0.151601 0.155737 0.159986 13.80 56.07 CITIGROUP GLBL MKTS HOLD 17330RD51 09/30/22 09/30/25 100.000 0.000 5.6210 0.156139 0.160527 0.165039 14.21 57.81 CITIGROUP GLBL MKTS HOLD 17330RD93 08/25/22 08/27/24 100.000 0.000 4.1060 0.114056 0.114082 0.116424 0.118814 14.37 42.08 CITIGROUP GLBL MKTS HOLD 17330R2X2 09/30/22 04/01/25 100.000 0.000 5.5430 0.153972 0.158263 0.162650 14.01 56.98 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330PWE5 08/24/22 08/22/25 100.000 0.000 4.2650 0.118472 0.120971 0.123550 15.05 43.75 CITIGROUP GLBL MKTS HOLD 17330PVK2 08/31/22 08/30/29 100.000 0.000 4.6480 0.129111 0.132078 0.135182 15.62 47.75 CITIGROUP GLBL MKTS HOLD 17330PEN5 08/31/22 03/03/25 100.000 0.000 4.3430 0.120639 0.120683 0.123303 0.125981 14.60 44.54 CITIGROUP GLBL MKTS HOLD 17330YH94 11/17/22 11/19/24 100.000 0.000 5.5240 0.153444 0.153492 0.157731 0.162088 6.75 56.38 CITIGROUP GLBL MKTS HOLD 17330R2G9 09/30/22 09/30/27 100.000 0.000 5.7960 0.161000 0.165666 0.170467 14.65 59.66 CITIGROUP GLBL MKTS HOLD 17330RC94 09/30/22 04/01/25 100.000 0.000 5.5430 0.153972 0.158263 0.162650 14.01 56.98 CITIGROUP GLBL MKTS HOLD 17330YSU5 11/09/22 11/07/24 100.000 0.000 6.0290 0.167472 0.172465 0.177664 8.71 61.74 CITIGROUP GLBL MKTS HOLD 17330RAB2 08/25/22 08/27/25 100.000 0.000 4.3330 0.120361 0.120390 0.122998 0.125663 15.17 44.46 CITIGROUP GLBL MKTS HOLD 17330PHM4 08/03/22 08/03/27 100.000 0.000 4.3040 0.119556 0.122128 0.124757 17.69 44.27 CITIGROUP GLBL MKTS HOLD 17330P7K9 06/22/22 12/21/23 100.000 0.000 4.3330 0.120361 0.122954 0.125618 22.77 43.51 CITIGROUP GLBL MKTS HOLD 17330PHN2 07/21/22 07/23/25 100.000 0.000 4.5680 0.126889 0.126921 0.129820 0.132785 20.31 47.14 CITIGROUP GLBL MKTS HOLD 17330FTE1 05/26/22 05/27/27 100.000 0.000 4.3720 0.121444 0.124114 0.126827 0.129600 26.20 45.36 CITIGROUP GLBL MKTS HOLD 17330PHP7 07/21/22 07/23/25 100.000 0.000 4.5680 0.126889 0.126921 0.129820 0.132785 20.31 47.14 CITIGROUP GLBL MKTS HOLD 17330PHS1 07/15/22 07/15/27 100.000 0.000 4.6660 0.129611 0.132635 0.135729 21.52 48.22 CITIGROUP GLBL MKTS HOLD 17330FKY6 05/31/22 12/01/25 100.000 0.000 4.1270 0.114639 0.117018 0.119432 0.121897 24.26 42.71 CITIGROUP GLBL MKTS HOLD 17330PHX0 07/29/22 07/31/28 100.000 0.000 4.5870 0.127417 0.127433 0.130356 0.133345 19.37 47.29 CITIGROUP GLBL MKTS HOLD 17330FTM3 06/02/22 05/31/24 100.000 0.000 3.7150 0.103194 0.105090 0.107042 0.109030 21.63 38.31 CITIGROUP GLBL MKTS HOLD 17330N138 06/15/22 06/15/26 100.000 0.000 4.4020 0.122278 0.124969 0.127720 0.130531 24.01 45.57 CITIGROUP GLBL MKTS HOLD 17330PPJ2 07/13/22 07/11/24 100.000 0.000 4.3230 0.120083 0.122650 0.125301 20.17 44.58 CITIGROUP GLBL MKTS HOLD 17330N153 06/15/22 06/13/25 100.000 0.000 4.2450 0.117917 0.120392 0.122947 0.125557 23.16 43.89 CITIGROUP GLBL MKTS HOLD 17330FT43 06/03/22 06/05/24 100.000 0.000 3.7250 0.103472 0.103494 0.105421 0.107385 0.109385 21.58 38.41 CITIGROUP GLBL MKTS HOLD 17290ACE8 05/25/22 05/25/37 100.000 VARIES 3.8968 0.108244 0.105861 0.103431 0.100954 23.29 37.50 CITIGROUP GLBL MKTS HOLD 17330FKF7 06/14/22 07/10/25 100.000 0.000 4.3430 0.120639 0.121017 0.123645 0.126330 23.83 44.95 CITIGROUP GLBL MKTS HOLD 17330FBT7 05/31/22 05/29/26 100.000 0.000 4.2350 0.117639 0.120116 0.122660 0.125257 24.90 43.86 CITIGROUP GLBL MKTS HOLD 17330PPT0 07/13/22 07/13/27 100.000 0.000 4.6460 0.129056 0.132054 0.135121 21.68 48.02 CITIGROUP GLBL MKTS HOLD 17330PHG7 08/10/22 02/10/28 100.000 0.000 4.3720 0.121444 0.124099 0.126812 17.12 44.95 CITIGROUP GLBL MKTS HOLD 17330PHH5 08/03/22 08/03/26 100.000 0.000 4.2160 0.117111 0.119580 0.122101 17.33 43.34 CITIGROUP GLBL MKTS HOLD 17330PXK0 08/08/22 08/06/27 100.000 0.000 4.4210 0.122806 0.125490 0.128264 17.56 45.48 CITIGROUP GLBL MKTS HOLD 17330REA9 08/12/22 08/14/24 100.000 0.000 4.2160 0.117111 0.117139 0.119608 0.122129 16.28 43.30 CITIGROUP GLBL MKTS HOLD 17330PPA1 07/29/22 07/29/42 100.000 VARIES 4.8600 0.135000 0.131530 0.127977 20.52 46.91 CITIGROUP GLBL MKTS HOLD 17330FJR3 05/31/22 05/31/29 100.000 0.000 4.4210 0.122806 0.125520 0.128295 0.131131 26.00 45.86 CITIGROUP GLBL MKTS HOLD 17330FSE2 05/31/22 05/28/27 100.000 0.000 4.2940 0.119278 0.121810 0.124425 0.127097 25.25 44.50 CITIGROUP GLBL MKTS HOLD 17330PGP8 06/29/22 06/29/27 100.000 0.000 4.7630 0.132306 0.135456 0.138682 0.141985 24.09 49.36 CITIGROUP GLBL MKTS HOLD 17330PXW4 08/09/22 08/09/27 100.000 0.000 4.4410 0.123361 0.126100 0.128900 17.52 45.69 CITIGROUP GLBL MKTS HOLD 17330REJ0 08/10/22 08/08/24 100.000 0.000 4.1270 0.114639 0.116978 0.119392 16.16 42.37 CITIGROUP GLBL MKTS HOLD 17330PPF0 07/12/22 07/12/27 100.000 0.000 4.5870 0.127417 0.130339 0.133328 21.53 47.40 CITIGROUP GLBL MKTS HOLD 17330PG94 06/22/22 07/22/27 100.000 0.000 5.0170 0.139361 0.139944 0.143454 0.147053 26.43 52.14 CITIGROUP GLBL MKTS HOLD 17330FRM5 06/03/22 06/04/27 100.000 0.000 4.1570 0.115472 0.117886 0.120336 0.122837 24.08 43.01 CITIGROUP GLBL MKTS HOLD 17330PG86 06/24/22 06/26/24 100.000 0.000 4.4500 0.123611 0.123642 0.126393 0.129205 0.132080 23.13 46.04 CITIGROUP GLBL MKTS HOLD 17330FRR4 05/24/22 05/27/25 100.000 0.000 4.1570 0.115472 0.115512 0.117913 0.120364 0.122866 25.15 43.06 CITIGROUP GLBL MKTS HOLD 17330PXA2 08/11/22 08/13/25 100.000 0.000 4.4020 0.122278 0.122308 0.125000 0.127751 17.12 45.27 CITIGROUP GLBL MKTS HOLD 17330FRT0 07/06/22 01/03/25 100.000 0.000 4.5190 0.125528 0.128317 0.131216 21.97 46.70 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330FJG7 05/31/22 05/30/25 100.000 0.000 4.0780 0.113278 0.115588 0.117944 0.120349 23.97 42.18 CITIGROUP GLBL MKTS HOLD 17330P6C8 06/13/22 06/11/27 100.000 0.000 4.4110 0.122528 0.125200 0.127961 0.130784 24.31 45.68 CITIGROUP GLBL MKTS HOLD 17330P6F1 06/08/22 06/08/27 100.000 0.000 4.3330 0.120361 0.122969 0.125633 0.128355 24.49 44.87 CITIGROUP GLBL MKTS HOLD 17330PP78 08/03/22 02/03/25 100.000 0.000 4.1180 0.114389 0.116744 0.119148 16.93 42.31 CITIGROUP GLBL MKTS HOLD 17330FJJ1 06/01/22 06/01/27 100.000 0.000 4.1960 0.116556 0.119001 0.121498 0.124047 24.55 43.44 CITIGROUP GLBL MKTS HOLD 17330P6E4 06/27/22 12/28/23 100.000 0.000 4.3330 0.120361 0.122983 0.125648 22.15 44.38 CITIGROUP GLBL MKTS HOLD 17330FVF5 05/31/22 05/28/27 100.000 0.000 4.1960 0.116556 0.118974 0.121470 0.124018 24.67 43.45 CITIGROUP GLBL MKTS HOLD 17330FN64 06/01/22 05/30/25 100.000 0.000 4.0100 0.111389 0.113610 0.115888 0.118211 23.46 41.45 CITIGROUP GLBL MKTS HOLD 17330PJP5 08/02/22 08/02/27 100.000 VARIES 3.2860 0.091277 0.090493 0.089696 13.60 32.48 CITIGROUP GLBL MKTS HOLD 17330PJX8 08/03/22 08/03/27 100.000 0.000 4.3040 0.119556 0.122128 0.124757 17.69 44.27 CITIGROUP GLBL MKTS HOLD 17330PBM0 06/23/22 06/23/25 100.000 0.000 4.6850 0.130139 0.133187 0.136307 0.139500 24.49 48.56 CITIGROUP GLBL MKTS HOLD 17330FMB4 05/18/22 06/16/28 100.000 0.000 4.5780 0.127167 0.127619 0.130541 0.133529 0.136585 28.49 47.62 CITIGROUP GLBL MKTS HOLD 17330FV40 05/16/22 04/17/28 100.000 0.000 4.4600 0.123889 0.126207 0.129021 0.131898 28.05 46.36 CITIGROUP GLBL MKTS HOLD 17330FE49 06/01/22 05/29/26 100.000 0.000 4.0980 0.113833 0.116140 0.118520 0.120948 23.98 42.39 CITIGROUP GLBL MKTS HOLD 17330PJA8 08/03/22 08/01/25 100.000 0.000 4.1570 0.115472 0.117846 0.120295 17.09 42.72 CITIGROUP GLBL MKTS HOLD 17330FMD0 06/03/22 06/05/24 100.000 0.000 3.7250 0.103472 0.103494 0.105421 0.107385 0.109385 21.58 38.41 CITIGROUP GLBL MKTS HOLD 17330PJC4 06/27/22 06/25/27 100.000 0.000 4.9590 0.137750 0.141128 0.144627 0.148213 25.37 51.48 CITIGROUP GLBL MKTS HOLD 17330FV73 05/26/22 11/29/24 100.000 0.000 4.0980 0.113833 0.113872 0.116205 0.118586 0.121016 24.56 42.42 CITIGROUP GLBL MKTS HOLD 17330FUZ2 05/17/22 05/15/25 100.000 0.000 4.1670 0.115750 0.118135 0.120596 0.123109 26.04 43.20 CITIGROUP GLBL MKTS HOLD 17330PS91 07/06/22 07/06/27 100.000 0.000 4.8320 0.134222 0.137465 0.140786 23.49 50.05 CITIGROUP GLBL MKTS HOLD 17330PAY5 06/21/22 06/21/27 100.000 0.000 5.0850 0.141250 0.144841 0.148524 0.152300 26.87 52.88 CITIGROUP GLBL MKTS HOLD 17330FLQ2 05/19/22 05/20/27 100.000 0.000 4.3620 0.121167 0.123824 0.126525 0.129284 27.01 45.29 CITIGROUP GLBL MKTS HOLD 17330FUA7 05/18/22 05/18/32 100.000 VARIES 3.3660 0.093501 0.091334 0.089132 0.086892 20.76 32.29 CITIGROUP GLBL MKTS HOLD 17330FLR0 06/03/22 06/04/27 100.000 0.000 4.1570 0.115472 0.117886 0.120336 0.122837 24.08 43.01 CITIGROUP GLBL MKTS HOLD 17330PRA9 07/14/22 07/15/27 100.000 0.000 4.7140 0.130944 0.134048 0.137207 21.87 48.74 CITIGROUP GLBL MKTS HOLD 17330FM57 05/18/22 05/18/27 100.000 0.000 4.2550 0.118194 0.120709 0.123277 0.125900 26.47 44.14 CITIGROUP GLBL MKTS HOLD 17330PRE1 07/29/22 07/30/27 100.000 0.000 4.4500 0.123611 0.126377 0.129189 18.79 45.84 CITIGROUP GLBL MKTS HOLD 17330FM73 05/25/22 05/24/29 100.000 0.000 4.5780 0.127167 0.130061 0.133038 0.136084 27.58 47.58 CITIGROUP GLBL MKTS HOLD 17330PJ34 07/29/22 07/29/27 100.000 0.000 4.5480 0.126333 0.129206 0.132144 19.20 46.88 CITIGROUP GLBL MKTS HOLD 17330PJ59 07/20/22 07/20/22 100.000 0.000 4.7050 0.00 CITIGROUP GLBL MKTS HOLD 17330PAD1 06/09/22 06/11/25 100.000 0.000 4.0780 0.113278 0.113303 0.115614 0.117971 0.120376 22.93 42.14 CITIGROUP GLBL MKTS HOLD 17330FUL3 07/06/22 07/06/27 100.000 0.000 4.8320 0.134222 0.137465 0.140786 23.49 50.05 CITIGROUP GLBL MKTS HOLD 17330N310 08/03/22 08/03/29 100.000 0.000 4.3820 0.121722 0.124389 0.127115 18.01 45.10 CITIGROUP GLBL MKTS HOLD 17330FU25 06/07/22 06/05/25 100.000 0.000 4.0690 0.113028 0.115302 0.117648 0.120041 23.12 42.05 CITIGROUP GLBL MKTS HOLD 17330PZB8 08/05/22 08/07/24 100.000 0.000 4.0780 0.113278 0.113303 0.115614 0.117971 16.54 41.88 CITIGROUP GLBL MKTS HOLD 17330PQS1 08/03/22 02/03/25 100.000 0.000 4.1180 0.114389 0.116744 0.119148 16.93 42.31 CITIGROUP GLBL MKTS HOLD 17330PZD4 08/05/22 08/07/25 100.000 0.000 4.1370 0.114917 0.114943 0.117321 0.119747 16.78 42.50 CITIGROUP GLBL MKTS HOLD 17330PQR3 07/29/22 07/31/29 100.000 0.000 4.6260 0.128500 0.128517 0.131489 0.134530 19.53 47.71 CITIGROUP GLBL MKTS HOLD 17330FTZ4 06/30/22 07/02/26 100.000 0.000 4.6460 0.129056 0.129089 0.132088 0.135156 23.37 48.10 CITIGROUP GLBL MKTS HOLD 17330FLJ8 05/24/22 11/24/23 100.000 0.000 3.7350 0.103750 0.105688 0.107661 22.59 34.49 CITIGROUP GLBL MKTS HOLD 17330PZK8 08/03/22 08/03/27 100.000 0.000 4.3040 0.119556 0.122128 0.124757 17.69 44.27 CITIGROUP GLBL MKTS HOLD 17330PLR8 07/28/22 07/28/32 100.000 VARIES 3.2648 0.090690 0.089000 0.087301 13.88 32.11 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330F6D8 05/31/22 05/31/28 100.000 0.000 4.3620 0.121167 0.123809 0.126510 0.129269 25.65 45.23 CITIGROUP GLBL MKTS HOLD 17330PM63 08/03/22 08/01/24 100.000 0.000 4.0980 0.113833 0.116140 0.118520 16.85 42.10 CITIGROUP GLBL MKTS HOLD 17330PM89 07/13/22 07/11/25 100.000 0.000 4.4500 0.123611 0.126331 0.129142 20.77 45.93 CITIGROUP GLBL MKTS HOLD 17330P3F4 06/28/22 06/27/24 100.000 0.000 4.4210 0.122806 0.125505 0.128279 0.131115 22.48 45.70 CITIGROUP GLBL MKTS HOLD 17330PLV9 08/03/22 08/03/27 100.000 0.000 4.3040 0.119556 0.122128 0.124757 17.69 44.27 CITIGROUP GLBL MKTS HOLD 17330FXN6 05/31/22 11/29/24 100.000 0.000 3.9710 0.110306 0.112484 0.114717 0.116995 23.34 41.04 CITIGROUP GLBL MKTS HOLD 17330P3G2 06/23/22 06/23/25 100.000 0.000 4.6850 0.130139 0.133187 0.136307 0.139500 24.49 48.56 CITIGROUP GLBL MKTS HOLD 17330N641 08/03/22 05/07/26 100.000 0.000 4.2450 0.117917 0.119224 0.121754 0.124338 17.52 43.65 CITIGROUP GLBL MKTS HOLD 17330P3N7 06/10/22 06/10/27 100.000 0.000 4.4700 0.124167 0.126942 0.129779 0.132680 25.02 46.33 CITIGROUP GLBL MKTS HOLD 17330PDQ9 07/29/22 01/31/24 100.000 0.000 4.1470 0.115194 0.117596 0.120035 17.51 42.63 CITIGROUP GLBL MKTS HOLD 17330PMC0 08/03/22 08/01/24 100.000 0.000 4.0980 0.113833 0.116140 0.118520 16.85 42.10 CITIGROUP GLBL MKTS HOLD 17330FXV8 06/01/22 05/30/25 100.000 0.000 4.0100 0.111389 0.113610 0.115888 0.118211 23.46 41.45 CITIGROUP GLBL MKTS HOLD 17330FX89 06/03/22 12/05/23 100.000 0.000 3.4800 0.096667 0.096685 0.098368 0.100079 20.15 33.16 CITIGROUP GLBL MKTS HOLD 17330PTU3 06/23/22 06/23/27 100.000 0.000 4.9100 0.136389 0.139737 0.143168 0.146683 25.67 50.98 CITIGROUP GLBL MKTS HOLD 17330PCT4 08/03/22 08/03/27 100.000 0.000 4.3040 0.119556 0.122128 0.124757 17.69 44.27 CITIGROUP GLBL MKTS HOLD 17330PTT6 07/29/22 07/29/27 100.000 0.000 4.5480 0.126333 0.129206 0.132144 19.20 46.88 CITIGROUP GLBL MKTS HOLD 17330F5Z0 06/01/22 06/01/27 100.000 0.000 4.1960 0.116556 0.119001 0.121498 0.124047 24.55 43.44 CITIGROUP GLBL MKTS HOLD 17330PLJ6 07/13/22 08/11/23 100.000 0.000 4.5390 0.126083 0.126528 0.129400 21.24 28.35 CITIGROUP GLBL MKTS HOLD 17330FXB2 06/30/22 07/01/27 100.000 0.000 4.7830 0.136056 0.136056 0.142642 24.05 49.57 CITIGROUP GLBL MKTS HOLD 17330PM22 06/22/22 06/20/25 100.000 0.000 4.7240 0.131222 0.134287 0.137459 0.140706 24.83 48.98 CITIGROUP GLBL MKTS HOLD 17330PDA4 06/30/22 06/30/27 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 24.44 50.40 CITIGROUP GLBL MKTS HOLD 17330FXE6 05/23/22 05/21/27 100.000 0.000 4.4700 0.124167 0.126911 0.129747 0.132647 27.18 46.43 CITIGROUP GLBL MKTS HOLD 17330FNU1 05/25/22 05/26/26 100.000 0.000 4.3230 0.120083 0.122693 0.125345 0.128055 26.03 44.83 CITIGROUP GLBL MKTS HOLD 17330PCB3 06/30/22 06/30/27 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 24.44 50.40 CITIGROUP GLBL MKTS HOLD 17330PCE7 07/20/22 07/20/27 100.000 VARIES 3.1465 0.087402 0.086590 0.085766 14.07 31.06 CITIGROUP GLBL MKTS HOLD 17330FNX5 06/01/22 05/30/25 100.000 0.000 4.0100 0.111389 0.113610 0.115888 0.118211 23.46 41.45 CITIGROUP GLBL MKTS HOLD 17330FFH9 05/31/22 05/31/28 100.000 0.000 4.3620 0.121167 0.123809 0.126510 0.129269 25.65 45.23 CITIGROUP GLBL MKTS HOLD 17330F5H0 05/31/22 05/28/27 100.000 0.000 4.2940 0.119278 0.121810 0.124425 0.127097 25.25 44.50 CITIGROUP GLBL MKTS HOLD 17330FWM9 05/27/22 05/27/37 100.000 VARIES 2.8345 0.078736 0.075915 0.073054 0.070153 16.75 26.62 CITIGROUP GLBL MKTS HOLD 17330PKX6 07/06/22 07/03/25 100.000 0.000 4.6360 0.128778 0.131713 0.134766 22.54 47.95 CITIGROUP GLBL MKTS HOLD 17330PLA5 08/03/22 08/01/25 100.000 0.000 4.1570 0.115472 0.117846 0.120295 17.09 42.72 CITIGROUP GLBL MKTS HOLD 17330FX48 05/25/22 05/23/24 100.000 0.000 4.0290 0.111917 0.114146 0.116446 0.118791 24.26 41.68 CITIGROUP GLBL MKTS HOLD 17330PCN7 06/23/22 06/21/24 100.000 0.000 4.4500 0.123611 0.126331 0.129142 0.132015 23.27 46.04 CITIGROUP GLBL MKTS HOLD 17330PSP5 07/06/22 07/03/25 100.000 0.000 4.6360 0.128778 0.131713 0.134766 22.54 47.95 CITIGROUP GLBL MKTS HOLD 17330PC31 06/24/22 06/25/26 100.000 0.000 4.7630 0.132306 0.135474 0.138700 0.142003 24.76 49.39 CITIGROUP GLBL MKTS HOLD 17330FW72 05/19/22 05/20/27 100.000 0.000 4.3620 0.121167 0.123824 0.126525 0.129284 27.01 45.29 CITIGROUP GLBL MKTS HOLD 17330PT66 06/27/22 06/26/25 100.000 0.000 4.7340 0.131500 0.134595 0.137781 0.141042 24.21 49.06 CITIGROUP GLBL MKTS HOLD 17330PC49 07/01/22 07/01/27 100.000 0.000 4.8610 0.138310 0.138310 0.145115 24.30 50.40 CITIGROUP GLBL MKTS HOLD 17330PC56 06/23/22 06/23/26 100.000 0.000 4.7930 0.133139 0.136330 0.139597 0.142942 25.06 49.72 CITIGROUP GLBL MKTS HOLD 17330FVX6 05/17/22 05/17/32 100.000 VARIES 2.7325 0.075903 0.073714 0.071495 0.071713 16.91 26.05 CITIGROUP GLBL MKTS HOLD 17330PSV2 08/03/22 08/03/27 100.000 0.000 4.3040 0.119556 0.122128 0.124757 17.69 44.27 CITIGROUP GLBL MKTS HOLD 17330PBX6 06/17/22 06/17/42 100.000 VARIES 5.2400 0.145556 0.139180 0.132638 0.125924 28.15 48.74 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330PC98 06/03/22 06/05/25 100.000 0.000 3.9610 0.110028 0.110052 0.112232 0.114454 0.116721 22.95 40.92 CITIGROUP GLBL MKTS HOLD 17330PC80 06/15/22 06/13/25 100.000 0.000 4.2450 0.117917 0.120392 0.122947 0.125557 23.16 43.89 CITIGROUP GLBL MKTS HOLD 17330FWA5 05/24/22 05/22/25 100.000 0.000 4.3040 0.119556 0.122100 0.124727 0.127412 26.04 44.64 CITIGROUP GLBL MKTS HOLD 17330P5H8 06/09/22 06/10/27 100.000 0.000 4.3530 0.120917 0.123563 0.126252 0.129000 24.48 45.08 CITIGROUP GLBL MKTS HOLD 17330FZQ7 06/03/22 12/04/28 100.000 0.000 4.3040 0.119556 0.122143 0.124771 0.127456 24.94 44.59 CITIGROUP GLBL MKTS HOLD 17330PWS4 08/08/22 08/08/24 100.000 0.000 4.2160 0.117111 0.119580 0.122101 16.75 43.32 CITIGROUP GLBL MKTS HOLD 17330PX61 08/05/22 08/07/28 100.000 0.000 4.2940 0.119278 0.119306 0.121868 0.124484 17.42 44.16 CITIGROUP GLBL MKTS HOLD 17330PWT2 07/29/22 07/29/27 100.000 0.000 4.5480 0.126333 0.129206 0.132144 19.20 46.88 CITIGROUP GLBL MKTS HOLD 17330FZZ7 07/06/22 07/06/27 100.000 0.000 4.8320 0.134222 0.137465 0.140786 23.49 50.05 CITIGROUP GLBL MKTS HOLD 17330PNH8 07/12/22 07/10/25 100.000 0.000 4.3820 0.121722 0.124360 0.127084 20.57 45.21 CITIGROUP GLBL MKTS HOLD 17330PNL9 07/06/22 07/06/27 100.000 0.000 4.8320 0.134222 0.137465 0.140786 23.49 50.05 CITIGROUP GLBL MKTS HOLD 17330PNN5 08/02/22 02/02/26 100.000 0.000 4.3130 0.119806 0.122389 0.125028 17.85 44.37 CITIGROUP GLBL MKTS HOLD 17330FQR5 06/30/22 06/30/28 100.000 0.000 4.8410 0.134472 0.137727 0.141061 0.144475 24.34 50.19 CITIGROUP GLBL MKTS HOLD 17330FZF1 06/03/22 06/05/25 100.000 0.000 3.9610 0.110028 0.110052 0.112232 0.114454 0.116721 22.95 40.92 CITIGROUP GLBL MKTS HOLD 17330FZE4 05/18/22 05/18/27 100.000 0.000 4.2550 0.118194 0.120709 0.123277 0.125900 26.47 44.14 CITIGROUP GLBL MKTS HOLD 17330FQY0 05/25/22 05/25/27 100.000 0.000 4.4210 0.122806 0.125520 0.128295 0.131131 26.62 45.89 CITIGROUP GLBL MKTS HOLD 17330P5C9 06/10/22 06/12/24 100.000 0.000 3.9020 0.108389 0.108412 0.110528 0.112684 0.114882 21.83 40.26 CITIGROUP GLBL MKTS HOLD 17330PVG1 07/21/22 07/22/27 100.000 0.000 4.6950 0.130417 0.133495 0.136629 20.87 48.49 CITIGROUP GLBL MKTS HOLD 17330P4C0 06/17/22 06/12/24 100.000 0.000 4.0000 0.111111 0.113272 0.115537 0.117848 21.60 41.27 CITIGROUP GLBL MKTS HOLD 17330FYN5 05/17/22 05/17/29 100.000 0.000 4.6170 0.128250 0.131211 0.134240 0.137339 28.86 48.05 CITIGROUP GLBL MKTS HOLD 17330P4G1 06/21/22 10/18/24 100.000 0.000 9.9190 0.275528 0.284410 0.298515 0.313320 53.00 107.04 CITIGROUP GLBL MKTS HOLD 17330PVM8 06/23/22 06/23/27 100.000 0.000 4.9100 0.136389 0.139737 0.143168 0.146683 25.67 50.98 CITIGROUP GLBL MKTS HOLD 17330FYQ8 05/25/22 05/23/25 100.000 0.000 4.2450 0.117917 0.120392 0.122947 0.125557 25.56 44.00 CITIGROUP GLBL MKTS HOLD 17330FQD6 05/20/22 05/22/25 100.000 0.000 4.1470 0.115194 0.115221 0.117610 0.120049 0.122538 25.56 42.97 CITIGROUP GLBL MKTS HOLD 17330FZ87 06/01/22 06/01/27 100.000 0.000 4.1960 0.116556 0.119001 0.121498 0.124047 24.55 43.44 CITIGROUP GLBL MKTS HOLD 17330PW62 08/10/22 08/10/27 100.000 0.000 4.3430 0.120639 0.123259 0.125935 17.01 44.65 CITIGROUP GLBL MKTS HOLD 17330PNE5 07/21/22 07/23/25 100.000 0.000 4.5680 0.126889 0.126921 0.129820 0.132785 20.31 47.14 CITIGROUP GLBL MKTS HOLD 17330P4Q9 06/21/22 06/21/27 100.000 0.000 5.0850 0.141250 0.144841 0.148524 0.152300 26.87 52.88 CITIGROUP GLBL MKTS HOLD 17330PDS5 06/30/22 01/02/26 100.000 0.000 4.6170 0.128250 0.128283 0.131244 0.134274 23.22 47.79 CITIGROUP GLBL MKTS HOLD 17330PE39 06/30/22 06/30/42 100.000 VARIES 5.1850 0.144028 0.139120 0.134085 0.128920 26.06 49.17 CITIGROUP GLBL MKTS HOLD 17330FY96 06/01/22 05/29/26 100.000 0.000 4.0980 0.113833 0.116140 0.118520 0.120948 23.98 42.39 CITIGROUP GLBL MKTS HOLD 17330FPK1 05/20/22 06/15/23 100.000 0.000 3.5490 0.098583 0.098826 0.100580 21.86 16.50 CITIGROUP GLBL MKTS HOLD 17330P3Z0 06/10/22 06/12/24 100.000 0.000 3.9020 0.108389 0.108412 0.110528 0.112684 0.114882 21.83 40.26 CITIGROUP GLBL MKTS HOLD 17330FPQ8 05/26/22 05/26/37 100.000 VARIES 4.7735 0.132597 0.129795 0.126926 0.123989 28.41 46.01 CITIGROUP GLBL MKTS HOLD 17330FPS4 05/18/22 05/18/27 100.000 0.000 4.2550 0.118194 0.120709 0.123277 0.125900 26.47 44.14 CITIGROUP GLBL MKTS HOLD 17330FPU9 06/01/22 12/02/24 100.000 0.000 3.8820 0.107833 0.109938 0.112072 0.114247 22.71 40.09 CITIGROUP GLBL MKTS HOLD 17330RWM3 09/21/22 09/19/25 100.000 0.000 5.0560 0.140444 0.143955 0.147595 14.04 51.92 CITIGROUP GLBL MKTS HOLD 17330RFJ9 09/27/22 09/25/26 100.000 0.000 5.2020 0.144500 0.148217 0.152072 13.58 53.42 CITIGROUP GLBL MKTS HOLD 17330RWL5 09/28/22 03/26/26 100.000 0.000 5.3970 0.149917 0.153917 0.158071 13.94 55.46 CITIGROUP GLBL MKTS HOLD 17330RUU7 09/22/22 09/24/25 100.000 0.000 5.0560 0.140444 0.140484 0.144035 0.147677 13.91 51.91 CITIGROUP GLBL MKTS HOLD 17330R4T9 09/02/22 09/02/27 100.000 0.000 4.6460 0.129056 0.132054 0.135121 15.36 47.72 CITIGROUP GLBL MKTS HOLD 17330PY37 09/02/22 09/02/27 100.000 0.000 5.6460 0.156833 0.161261 0.165813 18.66 58.33 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330REL5 09/21/22 09/21/27 100.000 0.000 5.2020 0.144500 0.148258 0.152115 14.45 53.46 CITIGROUP GLBL MKTS HOLD 17330RDL6 09/28/22 03/26/26 100.000 0.000 5.3970 0.149917 0.153917 0.158071 13.94 55.46 CITIGROUP GLBL MKTS HOLD 17330RPT6 09/28/22 09/28/27 100.000 0.000 5.5330 0.153694 0.157946 0.162316 14.29 56.90 CITIGROUP GLBL MKTS HOLD 17330RUY9 09/28/22 03/27/25 100.000 0.000 5.3000 0.147222 0.151102 0.155106 13.69 54.44 CITIGROUP GLBL MKTS HOLD 17330RHM0 09/21/22 09/21/27 100.000 0.000 5.2020 0.144500 0.148258 0.152115 14.45 53.46 CITIGROUP GLBL MKTS HOLD 17330R6F7 09/02/22 09/03/26 100.000 0.000 4.5580 0.126611 0.129513 0.132464 15.07 46.79 CITIGROUP GLBL MKTS HOLD 17330PZR3 09/01/22 09/02/27 100.000 0.000 4.5780 0.127167 0.130094 0.133072 15.26 47.01 CITIGROUP GLBL MKTS HOLD 17330RX42 09/22/22 12/22/23 100.000 0.000 4.8710 0.135306 0.136953 0.140289 13.41 48.67 CITIGROUP GLBL MKTS HOLD 17330RAK1 09/02/22 09/03/26 100.000 0.000 4.5580 0.126611 0.129513 0.132464 15.07 46.79 CITIGROUP GLBL MKTS HOLD 17330RAQ8 09/28/22 03/29/27 100.000 0.000 5.5920 0.155333 0.159701 0.164166 14.45 57.52 CITIGROUP GLBL MKTS HOLD 17330RAT2 08/18/22 08/20/24 100.000 0.000 4.0980 0.113833 0.113859 0.116192 0.118573 15.14 42.03 CITIGROUP GLBL MKTS HOLD 17330RHW8 09/23/22 09/24/26 100.000 0.000 5.1730 0.143694 0.147432 0.151245 14.08 53.14 CITIGROUP GLBL MKTS HOLD 17330RLH6 09/02/22 03/31/25 100.000 0.000 5.4260 0.150722 0.151358 0.155465 0.159682 17.99 55.99 CITIGROUP GLBL MKTS HOLD 17330RCW3 08/17/22 08/17/27 100.000 0.000 4.4110 0.122528 0.125230 0.127992 16.42 45.33 CITIGROUP GLBL MKTS HOLD 17330RL29 09/23/22 09/23/27 100.000 0.000 5.2710 0.146417 0.150275 0.154236 14.35 54.17 CITIGROUP GLBL MKTS HOLD 17330R5M3 08/24/22 08/22/25 100.000 0.000 4.2650 0.118472 0.120971 0.123550 15.05 43.75 CITIGROUP GLBL MKTS HOLD 17330R4M4 08/24/22 08/24/26 100.000 0.000 4.3330 0.120361 0.122969 0.125633 15.29 44.47 CITIGROUP GLBL MKTS HOLD 17330REP6 08/24/22 08/24/27 100.000 0.000 4.4410 0.123361 0.126100 0.128900 15.67 45.61 CITIGROUP GLBL MKTS HOLD 17330RVK8 09/29/22 10/01/24 100.000 0.000 5.3680 0.149111 0.149156 0.153159 0.157270 13.72 55.15 CITIGROUP GLBL MKTS HOLD 17330RUQ6 09/28/22 09/26/25 100.000 0.000 5.3680 0.149111 0.153069 0.157177 13.87 55.16 CITIGROUP GLBL MKTS HOLD 17330RDU6 09/21/22 09/22/42 100.000 VARIES 5.4913 0.152535 0.148165 0.143651 15.25 53.25 CITIGROUP GLBL MKTS HOLD 17330R3Z6 08/15/22 08/13/27 100.000 0.000 4.4900 0.124722 0.127491 0.130353 16.96 46.18 CITIGROUP GLBL MKTS HOLD 17330R6E0 08/24/22 08/22/25 100.000 0.000 4.2650 0.118472 0.120971 0.123550 15.05 43.75 CITIGROUP GLBL MKTS HOLD 17330RRW7 10/03/22 10/03/24 100.000 0.000 5.5140 0.153167 0.157389 0.161729 13.48 56.65 CITIGROUP GLBL MKTS HOLD 17330RA96 09/02/22 01/04/28 100.000 0.000 4.8120 0.133667 0.135846 0.139115 15.91 49.48 CITIGROUP GLBL MKTS HOLD 17330R2M6 08/15/22 08/13/27 100.000 0.000 4.4900 0.124722 0.127491 0.130353 16.96 46.18 CITIGROUP GLBL MKTS HOLD 17330RCU7 09/01/22 09/04/24 100.000 0.000 4.2840 0.119000 0.119042 0.121592 0.124197 14.28 43.92 CITIGROUP GLBL MKTS HOLD 17330PW21 08/24/22 08/24/26 100.000 0.000 4.3330 0.120361 0.122969 0.125633 15.29 44.47 CITIGROUP GLBL MKTS HOLD 17330R2C8 10/03/22 10/01/27 100.000 0.000 5.9130 0.164250 0.169052 0.174050 14.45 60.88 CITIGROUP GLBL MKTS HOLD 17330RL60 09/27/22 03/27/24 100.000 0.000 5.0070 0.139083 0.142565 0.146134 13.07 51.36 CITIGROUP GLBL MKTS HOLD 17330PHY8 09/06/22 09/03/27 100.000 0.000 4.6850 0.130139 0.133137 0.136255 14.97 48.11 CITIGROUP GLBL MKTS HOLD 17330RW92 09/19/22 03/19/24 100.000 0.000 4.7140 0.130944 0.134031 0.137190 13.36 48.33 CITIGROUP GLBL MKTS HOLD 17330R4F9 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330R3N3 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330RV51 10/05/22 10/03/25 100.000 0.000 5.5530 0.154250 0.158485 0.162886 13.27 57.05 CITIGROUP GLBL MKTS HOLD 17330RDS1 10/05/22 11/02/23 100.000 0.000 5.6790 0.157750 0.158422 0.162920 13.61 48.49 CITIGROUP GLBL MKTS HOLD 17330RMD4 10/05/22 10/03/25 100.000 0.000 5.5530 0.154250 0.158485 0.162886 13.27 57.05 CITIGROUP GLBL MKTS HOLD 17330PXD6 09/06/22 09/05/25 100.000 0.000 4.5680 0.126889 0.129771 0.132735 14.59 46.88 CITIGROUP GLBL MKTS HOLD 17330RV93 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330RQ99 10/05/22 10/03/25 100.000 0.000 5.5530 0.154250 0.158485 0.162886 13.27 57.05 CITIGROUP GLBL MKTS HOLD 17330RQA6 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330PUM9 09/06/22 09/06/24 100.000 0.000 4.4020 0.122278 0.124969 0.127720 14.06 45.13 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330R7A7 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330RGJ8 10/05/22 10/03/24 100.000 0.000 5.3870 0.149639 0.153625 0.157763 12.87 55.30 CITIGROUP GLBL MKTS HOLD 17330R6L4 10/05/22 04/03/25 100.000 0.000 5.4560 0.151556 0.155644 0.159890 13.03 56.03 CITIGROUP GLBL MKTS HOLD 17330RFQ3 10/05/22 10/03/25 100.000 0.000 5.5530 0.154250 0.158485 0.162886 13.27 57.05 CITIGROUP GLBL MKTS HOLD 17330RFR1 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330RAZ8 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330PCQ0 09/06/22 09/03/27 100.000 0.000 4.6850 0.130139 0.133137 0.136255 14.97 48.11 CITIGROUP GLBL MKTS HOLD 17330PD63 09/06/22 03/05/25 100.000 0.000 4.4700 0.124167 0.126926 0.129763 14.28 45.85 CITIGROUP GLBL MKTS HOLD 17330RJF3 09/15/22 12/15/23 100.000 0.000 4.5190 0.125528 0.126946 0.129814 13.33 44.19 CITIGROUP GLBL MKTS HOLD 17330RJ55 10/07/22 10/09/24 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 12.35 54.26 CITIGROUP GLBL MKTS HOLD 17330RSK2 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330RA54 10/05/22 10/03/25 100.000 0.000 5.5530 0.154250 0.158485 0.162886 13.27 57.05 CITIGROUP GLBL MKTS HOLD 17330PXM6 09/06/22 03/05/25 100.000 0.000 4.4700 0.124167 0.126926 0.129763 14.28 45.85 CITIGROUP GLBL MKTS HOLD 17330RDE2 09/13/22 09/11/26 100.000 0.000 4.7540 0.132056 0.135160 0.138372 14.26 48.79 CITIGROUP GLBL MKTS HOLD 17330RCV5 10/05/22 10/03/24 100.000 0.000 5.3870 0.149639 0.153625 0.157763 12.87 55.30 CITIGROUP GLBL MKTS HOLD 17330RLK9 10/05/22 10/05/27 100.000 0.000 5.7180 0.158833 0.163374 0.168045 13.66 58.79 CITIGROUP GLBL MKTS HOLD 17330N773 09/06/22 09/06/28 100.000 0.000 4.7440 0.131778 0.134904 0.138103 15.15 48.73 CITIGROUP GLBL MKTS HOLD 17330R2B0 09/14/22 12/14/23 100.000 0.000 4.4600 0.123889 0.125270 0.128064 13.28 43.47 CITIGROUP GLBL MKTS HOLD 17330RS97 09/16/22 09/18/25 100.000 0.000 4.7540 0.132056 0.132090 0.135230 0.138445 13.87 48.77 CITIGROUP GLBL MKTS HOLD 17330RBP9 10/05/22 04/03/25 100.000 0.000 5.4560 0.151556 0.155644 0.159890 13.03 56.03 CITIGROUP GLBL MKTS HOLD 17330RSW6 10/05/22 04/03/25 100.000 0.000 5.4560 0.151556 0.155644 0.159890 13.03 56.03 CITIGROUP GLBL MKTS HOLD 17330PMP1 09/06/22 09/03/27 100.000 0.000 4.6850 0.130139 0.133137 0.136255 14.97 48.11 CITIGROUP GLBL MKTS HOLD 17330P7J2 07/06/22 07/05/24 100.000 0.000 4.4310 0.123083 0.125795 0.128582 21.54 45.77 CITIGROUP GLBL MKTS HOLD 17330PPS2 06/22/22 06/22/27 100.000 0.000 5.0170 0.139361 0.142857 0.146441 0.150114 26.37 52.14 CITIGROUP GLBL MKTS HOLD 17330P7E3 06/30/22 01/02/25 100.000 0.000 4.4800 0.124444 0.124475 0.127264 0.130114 22.53 46.32 CITIGROUP GLBL MKTS HOLD 17330PPY9 06/23/22 06/23/25 100.000 0.000 4.6850 0.130139 0.133187 0.136307 0.139500 24.49 48.56 CITIGROUP GLBL MKTS HOLD 17330FSB8 06/30/22 07/02/25 100.000 0.000 4.5970 0.127694 0.127727 0.130663 0.133666 23.12 47.57 CITIGROUP GLBL MKTS HOLD 17330PK32 07/06/22 07/06/27 100.000 0.000 4.8320 0.134222 0.137465 0.140786 23.49 50.05 CITIGROUP GLBL MKTS HOLD 17330PJW0 07/15/22 01/16/25 100.000 0.000 4.4110 0.122528 0.125245 0.128007 20.34 45.50 CITIGROUP GLBL MKTS HOLD 17330AXE7 05/04/22 05/04/27 100.000 0.000 4.3130 0.119806 0.122389 0.125028 0.127725 28.54 44.84 CITIGROUP GLBL MKTS HOLD 17330FMN8 06/30/22 07/02/29 100.000 0.000 4.8900 0.135833 0.135870 0.139192 0.142596 24.59 50.72 CITIGROUP GLBL MKTS HOLD 17330PJ42 06/29/22 06/29/27 100.000 0.000 4.7630 0.132306 0.135456 0.138682 0.141985 24.09 49.36 CITIGROUP GLBL MKTS HOLD 17330FUP4 06/30/22 06/30/28 100.000 0.000 4.8410 0.134472 0.137727 0.141061 0.144475 24.34 50.19 CITIGROUP GLBL MKTS HOLD 17330PDG1 06/28/22 06/27/24 100.000 0.000 4.4210 0.122806 0.125505 0.128279 0.131115 22.48 45.70 CITIGROUP GLBL MKTS HOLD 17330PU49 07/15/22 01/18/24 100.000 0.000 4.2160 0.117111 0.117152 0.119622 0.122143 19.45 43.43 CITIGROUP GLBL MKTS HOLD 17330PD22 06/30/22 07/02/25 100.000 0.000 4.5970 0.127694 0.127727 0.130663 0.133666 23.12 47.57 CITIGROUP GLBL MKTS HOLD 17330AYK2 05/04/22 05/04/27 100.000 0.000 4.3130 0.119806 0.122389 0.125028 0.127725 28.54 44.84 CITIGROUP GLBL MKTS HOLD 17330PKU2 06/29/22 06/29/27 100.000 0.000 4.7630 0.132306 0.135456 0.138682 0.141985 24.09 49.36 CITIGROUP GLBL MKTS HOLD 17330FWP2 06/30/22 07/01/27 100.000 0.000 4.7830 0.136056 0.136056 0.142642 24.05 49.57 CITIGROUP GLBL MKTS HOLD 17330PTQ2 06/23/22 06/23/26 100.000 0.000 4.7930 0.133139 0.136330 0.139597 0.142942 25.06 49.72 CITIGROUP GLBL MKTS HOLD 17330PKB4 06/30/22 06/30/27 100.000 0.000 4.7830 0.132861 0.136038 0.139292 0.142623 24.05 49.57 CITIGROUP GLBL MKTS HOLD 17330FZS3 06/30/22 01/02/25 100.000 0.000 4.4800 0.124444 0.124475 0.127264 0.130114 22.53 46.32 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330P5M7 06/30/22 06/30/25 100.000 0.000 4.5970 0.127694 0.130630 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0.229722 0.239168 0.249058 5.97 84.92 CREDIT SUISSE AG LONDON 22553PV89 05/18/22 05/18/27 100.000 0.000 4.3100 0.119722 0.122302 0.124938 0.127630 26.81 44.73 CREDIT SUISSE AG LONDON 22553PW54 05/11/22 11/09/23 100.000 0.000 3.4200 0.095000 0.096606 0.098258 21.93 30.05 CREDIT SUISSE AG LONDON 22553PXL8 05/18/22 11/16/23 100.000 0.000 3.3700 0.093611 0.095171 0.096775 20.95 30.27 CREDIT SUISSE AG LONDON 22553PXR5 05/18/22 05/17/29 100.000 0.000 4.4700 0.124167 0.126926 0.129763 0.132663 27.81 46.46 CREDIT SUISSE AG NASSAU 22549K2A4 06/23/17 06/24/24 100.000 0.500 1.9627 91.43 0.058262 0.058698 0.059138 0.059582 0.060028 21.06 21.37 CREDIT SUISSE AG LONDON 22553Q2R7 06/03/22 06/03/26 100.000 0.000 4.1000 0.113889 0.116224 0.118606 0.121038 23.75 42.40 CREDIT SUISSE AG LONDON 22553PZM4 06/13/22 06/13/24 100.000 0.000 3.8900 0.108056 0.110157 0.112300 0.114484 21.43 40.12 CREDIT SUISSE AG LONDON 22553Q3X3 06/30/22 07/01/27 100.000 0.000 4.9800 0.141797 0.141797 0.148946 25.04 51.68 CREDIT 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0.127778 0.130684 0.133690 18.91 47.41 CREDIT SUISSE AG LONDON 22553QEQ6 08/03/22 08/03/27 100.000 0.000 4.7200 0.131111 0.134205 0.137373 19.40 48.68 CREDIT SUISSE AG LONDON 22553QFL6 08/17/22 02/18/25 100.000 0.000 4.3800 0.121667 0.124346 0.127069 16.30 45.00 CREDIT SUISSE AG LONDON 22553QGH4 08/18/22 08/20/26 100.000 0.000 4.3700 0.121389 0.121418 0.124071 0.126782 16.15 44.89 CREDIT SUISSE AG LONDON 22553QGG6 08/18/22 08/20/25 100.000 0.000 4.3800 0.121667 0.121696 0.124361 0.127085 16.19 45.00 CREDIT SUISSE AG LONDON 22553QGJ0 08/18/22 08/19/27 100.000 0.000 4.3800 0.121667 0.124346 0.127069 16.18 45.00 CREDIT SUISSE AG LONDON 22553QGR2 08/31/22 08/29/25 100.000 0.000 5.1800 0.143889 0.147574 0.151418 17.41 53.39 CREDIT SUISSE AG LONDON 22553QAL1 08/02/22 08/02/27 100.000 0.000 4.4300 0.123056 0.125781 0.128567 18.34 45.61 CREDIT SUISSE AG LONDON 22553QAW7 07/06/22 07/06/26 100.000 0.000 4.4800 0.124444 0.127232 0.130082 21.78 46.29 CREDIT SUISSE AG LONDON 22553QNT0 11/28/22 05/28/26 100.000 0.000 7.2500 0.201389 0.208689 0.216254 6.65 74.30 CREDIT SUISSE AG,LONDON 22553QEW3 09/02/22 06/02/27 100.000 0.000 4.9800 0.138333 0.140056 0.143543 0.147117 16.51 51.25 CREDIT SUISSE AG,LONDON 22553QFJ1 08/31/22 08/29/25 100.000 0.000 5.1800 0.143889 0.147574 0.151418 17.41 53.39 CREDIT SUISSE AG,LONDON 22553QG84 09/07/22 10/06/27 100.000 0.000 5.2700 0.146389 0.147010 0.150884 0.154860 16.74 54.29 CREDIT SUISSE AG,LONDON 22553QFU6 08/31/22 08/31/27 100.000 0.000 5.3000 0.147222 0.151080 0.155128 17.81 54.66 CREDIT SUISSE AG,LONDON 22553QGCS 08/12/22 08/14/24 100.000 0.000 4.5500 0.126389 0.126421 0.129297 0.132238 17.57 46.83 CREDIT SUISSE AG,LONDON 22553QGM3 08/19/22 08/20/26 100.000 0.000 4.6300 0.128611 0.131605 0.134652 16.98 47.63 CREDIT SUISSE AG,LONDON 22553QGL5 08/19/22 08/21/25 100.000 0.000 4.6000 0.127778 0.127810 0.130750 0.133757 16.87 47.31 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CREDIT SUISSE AG,LONDON 22553QH26 08/19/22 08/17/27 100.000 0.000 4.5200 0.125556 0.128362 0.131263 16.57 46.47 CREDIT SUISSE AG,LONDON 22553QHK6 09/06/22 09/05/24 100.000 0.000 4.9600 0.137778 0.141176 0.144677 15.84 51.01 CREDIT SUISSE AG,LONDON 22553QHJ9 08/23/22 08/23/27 100.000 0.000 4.7700 0.132500 0.135660 0.138896 16.96 49.09 CREDIT SUISSE AG LONDON 22553QKQ9 10/06/22 10/08/26 100.000 0.000 6.7400 0.187222 0.187292 0.193604 0.200129 15.92 69.63 CROSBY TEX INDPT SCH DIS 227381VA5 12/17/20 02/15/29 85.602 0.000 1.9139 17.12 0.046086 0.046527 0.046972 0.047422 0.047876 16.79 17.11 CROSBY TEX INDPT SCH DIS 227381VB3 12/17/20 02/15/30 83.152 0.000 2.0240 17.60 0.047377 0.047856 0.048341 0.048830 0.049324 17.27 17.62 CROSBY TEX INDPT SCH DIS 227381UV0 12/17/20 02/15/24 96.792 0.000 1.0340 10.43 0.027992 0.028137 0.028282 0.028429 0.028576 10.14 10.25 CROSBY TEX INDPT SCH DIS 227381UW8 12/17/20 02/15/25 95.206 0.000 1.1840 11.76 0.031558 0.031745 0.031933 0.032122 0.032312 11.45 11.58 CROSBY TEX INDPT SCH DIS 227381UX6 12/17/20 02/15/26 92.947 0.000 1.4221 13.79 0.037062 0.037325 0.037591 0.037858 0.038127 13.46 13.65 CROSBY TEX INDPT SCH DIS 227381UY4 12/17/20 02/15/27 90.747 0.000 1.5820 14.99 0.040297 0.040616 0.040937 0.041261 0.041588 14.65 14.88 CROSBY TEX INDPT SCH DIS 227381UZ1 12/17/20 02/15/28 87.931 0.000 1.8040 16.57 0.044590 0.044993 0.045399 0.045808 0.046221 16.23 16.53 CROWLEY TEX INDPT SCH DI 228130GU8 12/19/19 08/01/22 95.105 0.000 1.9269 37.83 0.052510 0.053015 11.12 CROWLEY TEX INDPT SCH DI 228130HM5 10/22/20 08/01/23 98.408 0.000 0.5791 6.81 0.015901 0.015947 0.015994 0.016040 5.75 3.37 CROWLEY TEX INDPT SCH DI 228130HL7 10/22/20 08/01/22 99.129 0.000 0.4934 5.84 0.013639 0.013672 2.87 CROWLEY TEX INDPT SCH DI 228130HN3 10/22/20 08/01/24 97.246 0.000 0.7411 8.61 0.020134 0.020209 0.020284 0.020359 0.020434 7.28 7.34 CROWLEY TEX INDPT SCH DI 228130HQ6 10/22/20 08/01/26 93.899 0.000 1.0930 12.28 0.028750 0.028907 0.029065 0.029224 0.029383 10.43 10.54 CROWLEY TEX INDPT SCH DI 228130HP8 10/22/20 08/01/25 95.934 0.000 0.8712 9.99 0.023372 0.023474 0.023576 0.023679 0.023782 8.46 8.54 Canadian Imperial Bank 13605WUR0 12/27/19 02/03/22 100.000 0.000 2.2144 45.30 0.063717 2.04 Canadian Imperial Bank 13605WVN8 02/10/20 02/03/22 100.000 0.000 1.8706 35.86 0.053414 1.71 Canadian Imperial Bank 13607G302 05/02/19 04/28/23 100.000 0.000 2.9112 80.06 0.086899 0.088164 0.089448 31.67 10.47 Canadian Imperial Bank 13607W513 08/04/22 07/28/28 100.000 0.000 4.0510 0.112528 0.114731 0.117055 16.54 41.60 Canadian Imperial Bank 13607W349 11/03/22 10/27/28 100.000 0.000 5.6745 0.157625 0.161948 0.166543 9.14 58.09 Carol Stream, IL 143735TZ1 12/30/11 11/01/25 42.963 0.000 6.1994 361.79 0.134893 0.139074 0.143385 0.147829 0.152412 49.82 52.96 Carol Stream, IL 143735TY4 12/30/11 11/01/24 46.530 0.000 6.0492 379.41 0.140523 0.144773 0.149152 0.153663 0.158311 51.87 55.06 Carol Stream, IL 143735TX6 12/30/11 11/01/23 50.827 0.000 5.7993 392.31 0.143686 0.147853 0.152140 0.156551 52.98 46.44 Carol Stream, IL 143735TW8 12/30/11 11/01/22 54.964 0.000 5.5993 405.46 0.147180 0.151300 44.90 Carol Stream, IL 143735UC0 12/30/11 11/01/28 33.512 0.000 6.5994 306.62 0.116362 0.120202 0.124168 0.128265 0.132498 43.05 45.94 Carol Stream, IL 143735UB2 12/30/11 11/01/27 36.593 0.000 6.4493 324.69 0.122407 0.126354 0.130429 0.134635 0.138976 45.26 48.22 Carol Stream, IL 143735UA4 12/30/11 11/01/26 39.556 0.000 6.3493 343.78 0.129031 0.133127 0.137353 0.141714 0.146213 47.69 50.76 Carol Stream, IL 143735UF3 12/30/11 11/01/31 26.288 0.000 6.8495 252.87 0.097021 0.100343 0.103780 0.107334 0.111010 35.93 38.43 Carol Stream, IL 143735UE6 12/30/11 11/01/30 28.377 0.000 6.7995 270.27 0.103472 0.106990 0.110628 0.114389 0.118278 38.31 40.96 Carol Stream, IL 143735UD8 12/30/11 11/01/29 30.868 0.000 6.6994 288.19 0.109847 0.113526 0.117329 0.121259 0.125321 40.66 43.43 Champaign County, IL 158199BB4 11/04/15 12/01/26*** 98.267 VARIES 4.1631 40.42 0.112070 0.111916 0.111759 *** *** 40.31 *** Champaign County, IL 158199BA6 11/04/15 12/01/23*** 124.115 VARIES N/A 41.56 0.112760 0.110702 0.218056 *** *** 43.38 *** Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22 99.442 VARIES 3.5341 35.29 0.098090 0.098130 32.38 Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23*** 99.390 VARIES 3.6841 36.76 0.102171 0.102211 0.102251 *** *** 36.79 *** CITIGROUP GLBL MKTS HOLD 17330PH77 07/29/22 07/29/27 100.000 0.000 4.5480 0.126333 0.129206 0.132144 19.20 46.88 CITIGROUP GLBL MKTS HOLD 17330P5U9 07/06/22 07/06/26 100.000 0.000 4.7140 0.130944 0.134031 0.137190 22.92 48.79 CITIGROUP GLBL MKTS HOLD 17330PJS9 07/29/22 07/31/25 100.000 0.000 4.4110 0.122528 0.122543 0.125245 0.128008 18.63 45.43 CITIGROUP GLBL MKTS HOLD 17330PMR7 07/27/22 07/27/26 100.000 0.000 4.5090 0.125250 0.128074 0.130961 19.29 46.48 CITIGROUP GLBL MKTS HOLD 17330PK99 08/01/22 07/30/27 100.000 0.000 4.5090 0.125250 0.128058 0.130945 18.79 46.46 CITIGROUP GLBL MKTS HOLD 17330PSN0 07/29/22 01/30/25 100.000 0.000 4.3620 0.121167 0.123824 0.126525 18.42 44.91 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330PJH3 07/26/22 07/24/25 100.000 0.000 4.6560 0.129333 0.132311 0.135391 20.05 48.05 CITIGROUP GLBL MKTS HOLD 17330PAF6 07/05/22 01/02/26 100.000 0.000 4.7240 0.131222 0.134270 0.137441 23.10 48.90 CITIGROUP GLBL MKTS HOLD 17330P3K3 07/06/22 07/03/25 100.000 0.000 4.6360 0.128778 0.131713 0.134766 22.54 47.95 CITIGROUP GLBL MKTS HOLD 17330PD55 07/29/22 01/30/25 100.000 0.000 4.3620 0.121167 0.123824 0.126525 18.42 44.91 CITIGROUP GLBL MKTS HOLD 17330PLK3 07/06/22 07/06/27 100.000 VARIES 3.1358 0.087106 0.085929 0.085097 15.24 30.79 CITIGROUP GLBL MKTS HOLD 17330PLN7 07/25/22 01/24/25 100.000 0.000 4.5580 0.126611 0.129481 0.132431 19.75 47.01 CITIGROUP GLBL MKTS HOLD 17330PCA5 07/28/22 07/30/24 100.000 0.000 4.2350 0.117639 0.117667 0.120158 0.122703 18.00 43.57 CITIGROUP GLBL MKTS HOLD 17330PL49 07/29/22 07/31/24 100.000 0.000 4.3130 0.119806 0.119820 0.122404 0.125043 18.21 44.39 CITIGROUP GLBL MKTS HOLD 17330PCG2 07/08/22 07/14/23 100.000 0.000 3.9220 0.108944 0.109016 0.111153 18.86 21.42 CITIGROUP GLBL MKTS HOLD 17330N542 07/29/22 07/31/24 100.000 0.000 4.3130 0.119806 0.119820 0.122404 0.125043 18.21 44.39 CITIGROUP GLBL MKTS HOLD 17330PCM9 08/02/22 07/31/25 100.000 0.000 4.3040 0.119556 0.122100 0.124727 17.81 44.28 CITIGROUP GLBL MKTS HOLD 17330PSU4 07/21/22 07/21/42 100.000 VARIES 5.1600 0.143333 0.136281 0.129047 22.93 48.04 CITIGROUP GLBL MKTS HOLD 17330PKE8 07/29/22 07/31/25 100.000 0.000 4.4110 0.122528 0.122543 0.125245 0.128008 18.63 45.43 CITIGROUP GLBL MKTS HOLD 17330PKF5 07/27/22 07/25/25 100.000 0.000 4.4700 0.124167 0.126911 0.129747 19.12 46.06 CITIGROUP GLBL MKTS HOLD 17330PKH1 07/29/22 07/31/28 100.000 0.000 4.5870 0.127417 0.127433 0.130356 0.133345 19.37 47.29 CITIGROUP GLBL MKTS HOLD 17330PES4 07/29/22 01/30/25 100.000 0.000 4.3620 0.121167 0.123824 0.126525 18.42 44.91 CITIGROUP GLBL MKTS HOLD 17330PV63 07/29/22 01/30/25 100.000 0.000 4.3620 0.121167 0.123824 0.126525 18.42 44.91 CITIGROUP GLBL MKTS HOLD 17330PDT3 07/21/22 07/21/37 100.000 VARIES 5.1530 0.143139 0.139670 0.136112 22.90 49.78 Citigroup Funding, Inc. 1730T0ZJ1 11/27/12 11/27/22 100.000 VARIES 1.5729 6.17 0.017306 0.017442 5.67 Citigroup Funding, Inc. 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3200 240.20 0.071695 0.074319 0.077039 0.079859 0.082782 26.53 28.51 Citigroup Funding, Inc. 1730T0KZ1 11/09/10 11/09/30*** 100.000 VARIES 5.5699 47.89 0.134588 0.135911 0.137271 *** *** 48.83 *** Citigroup Funding, Inc. 1730T0TK5 05/30/13 05/30/33*** 100.000 VARIES 4.1925 36.92 0.104646 0.106261 0.107943 *** *** 38.07 *** Citigroup Funding, Inc. 1730T0KV0 11/19/10 11/19/30*** 100.000 VARIES 5.1246 47.90 0.133523 0.133915 0.134317 *** *** 48.17 *** Citigroup Funding, Inc. 1730T0BT5 02/14/07 02/14/37*** 100.000 VARIES 5.8404 56.73 0.157649 0.157742 0.157837 *** *** 56.80 *** Citigroup Funding, Inc. 1730T03J6 12/29/14 12/29/34*** 100.000 VARIES 4.3208 41.15 0.115394 0.116053 0.116726 *** *** 41.66 *** Citigroup Funding, Inc. 1730T0WR6 03/30/12 03/30/22 100.000 VARIES 3.8303 38.43 0.106570 9.48 Citigroup Funding, Inc. 1730T0HN2 04/29/10 04/29/30*** 100.000 VARIES 5.9942 52.17 0.146133 0.147286 0.148474 *** *** 52.96 *** Citigroup Funding, Inc. 1730T0GY9 04/28/09 04/28/24*** 100.000 VARIES 8.1832 77.70 0.217752 0.219520 0.221359 *** *** 78.94 *** Citigroup Global Market 17325E275 03/03/17 03/03/22 100.000 0.000 3.0465 157.19 0.096959 6.01 Citigroup Global Markets 17327TZ82 01/31/20 02/02/27 100.000 0.000 2.6047 50.94 0.075226 0.076206 0.077198 0.078204 0.079222 27.55 28.27 Citigroup Global Markets 17329UGY1 12/23/21 12/26/28 100.000 0.000 2.1480 0.48 0.059678 0.060319 0.060967 0.061622 0.062284 21.61 22.07 Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27*** 100.000 VARIES 2.7213 13.59 0.007979 0.008087 0.008197 *** *** 2.91 *** Citigroup Global Markets 17328VQB9 05/20/20 05/20/25 100.000 0.000 1.9603 31.99 0.056071 0.056620 0.057175 0.057736 0.058302 20.33 20.73 Citigroup Global Markets 17329U6U0 11/24/21 11/22/24 100.000 0.000 1.3362 1.37 0.037118 0.037363 0.037613 0.037864 0.038117 13.43 13.61 CITIGROUP GLBL MKTS HOLD 17330AE24 02/23/22 02/22/27 100.000 0.000 2.8508 0.079190 0.080312 0.081457 0.082618 24.54 29.42 Citigroup Global Markets 17328VYS3 07/06/20 07/05/24 100.000 0.000 1.2060 18.03 0.033905 0.034110 0.034315 0.034522 0.034730 12.31 12.46 Citigroup Global Markets 17325K156 05/24/17 05/24/22 100.000 0.000 2.7177 132.31 0.085242 12.19 CITIGROUP GLBL MKTS HOLD 17330AE57 02/28/22 02/26/27 100.000 0.000 2.8999 0.080553 0.081708 0.082892 0.084094 24.55 29.93 Citigroup Global Markets 17329QCY4 08/04/21 08/03/28 100.000 0.000 1.8322 7.48 0.050894 0.051357 0.051828 0.052303 0.052782 18.54 18.88 Citigroup Global Markets 17328VYQ7 07/31/20 08/02/27 100.000 0.000 1.5241 21.79 0.042988 0.043315 0.043645 0.043978 0.044313 15.63 15.87 Citigroup Global Markets 17329QCW8 08/31/21 08/31/28 100.000 0.000 1.9013 6.39 0.052814 0.053310 0.053822 0.054328 0.054851 19.23 19.59 CITIGROUP GLBL MKTS HOLD 17330L454 04/05/22 04/05/29 100.000 0.000 3.6383 0.101064 0.102902 0.104774 0.106680 27.04 37.71 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17329FCW2 05/26/21 05/27/26 100.000 0.000 1.4552 8.70 0.040717 0.041013 0.041311 0.041612 0.041915 14.73 14.95 Citigroup Global Markets 17328YQV9 02/19/21 02/19/41 100.000 VARIES 2.8472 24.59 0.078408 0.077750 0.077114 0.076511 0.075965 27.94 27.50 CITIGROUP GLBL MKTS HOLD 17330F2B6 04/11/22 08/09/24 100.000 0.000 3.6974 0.102706 0.103951 0.105872 0.107830 26.88 38.32 Citigroup Global Markets 17328VHM5 03/31/20 07/01/24 100.000 0.000 3.2340 57.88 0.095033 0.096570 0.098132 0.099718 0.101331 34.49 35.61 Citigroup Global Markets 17329QD72 08/31/21 08/31/28 100.000 0.000 1.9013 6.39 0.052814 0.053310 0.053822 0.054328 0.054851 19.23 19.59 Citigroup Global Markets 17324CHX7 05/31/17 05/31/22 100.000 0.000 2.7124 131.53 0.085056 12.67 Citigroup Global Markets 17329FTY0 08/04/21 08/04/26 100.000 0.000 1.4752 6.02 0.040977 0.041279 0.041583 0.041890 0.042199 14.90 15.12 Citigroup Global Markets 17327TQA7 09/04/19 03/03/23 100.000 0.000 2.1796 51.71 0.063224 0.063913 0.064610 23.05 4.01 Citigroup Global Markets 17329UGR6 12/27/21 12/24/26 100.000 0.000 1.8910 0.21 0.052529 0.053017 0.053518 0.054024 0.054535 19.01 19.36 Citigroup Global Markets 17328VQN3 04/29/20 04/29/25 100.000 0.000 2.2376 37.92 0.064264 0.064983 0.065710 0.066445 0.067189 23.35 23.88 Citigroup Global Markets 17328YRG1 03/31/21 03/30/28 100.000 0.000 2.0694 15.63 0.058078 0.058679 0.059286 0.059899 0.060519 21.13 21.57 CITIGROUP GLBL MKTS HOLD 17330AMH2 03/31/22 01/02/26 100.000 0.000 3.6961 0.102668 0.105553 28.00 38.35 Citigroup Global Markets 17328VQM5 05/19/20 11/17/23 100.000 0.000 1.6533 26.98 0.047070 0.047459 0.047851 0.048247 17.05 15.19 Citigroup Global Markets 17328YZV9 03/17/21 03/17/31 100.000 VARIES 1.6101 12.65 0.044190 0.043651 0.043405 0.043262 0.043215 15.73 15.58 Citigroup Global Markets 17329QM56 09/03/21 09/03/26 100.000 0.000 1.4843 4.87 0.041229 0.041535 0.041844 0.042154 0.042467 14.97 15.19 Citigroup Global Markets 17324CA55 09/02/16 03/03/22 100.000 0.300 2.2650 126.68 0.069427 4.30 Citigroup Global Markets 17329UYA3 12/17/21 06/20/25 100.000 0.000 1.6041 0.62 0.044564 0.044922 0.045282 0.045645 0.046011 16.12 16.37 Citigroup Global Markets 17328WCK2 10/05/20 10/03/25 100.000 0.000 1.2962 16.14 0.036471 0.036708 0.036946 0.037185 0.037426 13.21 13.39 Citigroup Global Markets 17328YRC0 04/06/21 04/06/26 100.000 0.000 1.6533 12.20 0.046306 0.046689 0.047075 0.047464 0.047856 16.80 17.08 Citigroup Global Markets 17327THY5 11/01/19 11/01/24 100.000 0.000 2.5315 56.04 0.073948 0.074884 0.075832 0.076791 0.077763 26.90 27.59 Citigroup Global Markets 17329FUE2 07/01/21 12/31/26 100.000 0.000 1.7520 8.76 0.049090 0.049520 0.049954 0.050392 0.050833 17.75 18.06 Citigroup Global Markets 17328VYX2 06/30/20 06/30/27 100.000 0.000 1.7917 27.17 0.051119 0.051576 0.052038 0.052505 0.052975 18.49 18.82 Citigroup Global Markets 17329B848 04/21/21 05/07/26 100.000 0.000 1.5037 10.47 0.042111 0.042428 0.042747 0.043068 0.043392 15.25 15.48 Citigroup Global Markets 17329UGZ8 12/27/21 12/24/26 100.000 0.000 1.8910 0.21 0.052529 0.053017 0.053518 0.054024 0.054535 19.01 19.36 Citigroup Global Markets 17328W2G2 07/31/20 02/02/26 100.000 0.000 1.3551 19.36 0.038157 0.038415 0.038675 0.038937 0.039201 13.86 14.05 Citigroup Global Markets 17328VA59 03/24/20 09/22/23 100.000 0.000 4.1210 74.90 0.121666 0.124173 0.126732 0.129343 44.75 33.55 Citigroup Global Markets 17326W779 03/05/19 11/02/22 100.000 0.000 3.4589 101.69 0.105253 0.107073 32.01 Citigroup Global Markets 17327TA55 03/02/20 08/29/25 100.000 0.000 2.1805 40.51 0.062560 0.063238 0.063931 0.064625 0.065333 22.81 23.31 Citigroup Global Markets 17327TZF6 10/31/19 05/03/23 100.000 0.000 2.3404 51.79 0.068122 0.068919 0.069726 24.76 8.51 Citigroup Global Markets 17328WTW8 12/03/20 12/04/25 100.000 0.000 1.1771 12.73 0.033084 0.033278 0.033474 0.033671 0.033869 11.96 12.10 Citigroup Global Markets 17328VR44 05/29/20 05/30/25 100.000 0.000 1.9013 30.53 0.054336 0.054852 0.055374 0.055900 0.056432 19.69 20.06 Citigroup Global Markets 17328VQS2 04/30/20 05/01/25 100.000 0.000 2.2285 37.71 0.064001 0.064714 0.065435 0.066164 0.066901 23.25 23.78 Citigroup Global Markets 17328YRL0 04/06/21 04/06/26 100.000 0.000 1.6533 12.20 0.046306 0.046689 0.047075 0.047464 0.047856 16.80 17.08 Citigroup Global Markets 17326YVM5 01/31/19 02/02/22 100.000 0.000 3.5319 107.64 0.107102 3.32 CITIGROUP GLBL MKTS HOLD 17329UPX3 02/03/22 02/04/27 100.000 0.000 2.4354 0.067656 0.068480 0.069314 0.070158 22.31 25.05 Citigroup Global Markets 17329F3J1 04/28/21 10/28/26 100.000 0.000 1.7233 11.66 0.048282 0.048698 0.049118 0.049541 0.049968 17.51 17.81 CITIGROUP GLBL MKTS HOLD 17330FC25 04/22/22 04/23/26 100.000 2.600 4.0001 0.111127 0.113350 0.112728 0.114983 27.82 40.80 CITIGROUP GLBL MKTS HOLD 17330A3B6 03/02/22 03/02/29 100.000 0.000 3.0668 0.085188 0.086494 0.087820 0.089167 25.63 31.69 Citigroup Global Markets 17326Y4G8 04/26/19 04/27/29 100.000 2.000 3.7071 101.76 0.108662 0.108617 0.110630 0.110621 0.112671 39.23 39.95 Citigroup Global Markets 17329QLZ1 09/30/21 10/02/28 100.000 0.000 1.9703 4.98 0.054738 0.055277 0.055821 0.056371 0.056927 19.90 20.29 CITIGROUP GLBL MKTS HOLD 17330FSR3 05/11/22 05/11/27 100.000 0.000 4.4129 0.122581 0.125286 0.128051 0.130876 28.33 45.88 CITIGROUP GLBL MKTS HOLD 17330A3D2 02/25/22 02/25/27 100.000 0.000 2.8609 0.079468 0.080605 0.081758 0.082928 24.46 29.52 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328WU48 10/23/20 10/25/27 100.000 0.000 1.5475 18.50 0.043657 0.043995 0.044335 0.044678 0.045024 15.82 16.07 Citigroup Global Markets 17328WLC0 09/30/20 09/30/27 100.000 0.000 1.5842 19.97 0.044706 0.045060 0.045417 0.045777 0.046139 16.22 16.48 Citigroup Global Markets 17329UHD6 11/26/21 11/28/28 100.000 0.000 2.1392 2.08 0.059430 0.060066 0.060708 0.061358 0.062014 21.55 22.02 Citigroup Global Markets 17329F3G7 05/05/21 05/05/26 100.000 0.000 1.5643 10.27 0.043792 0.044134 0.044479 0.044827 0.045178 15.87 16.11 CITIGROUP GLBL MKTS HOLD 17329UZ61 01/31/22 01/31/29 100.000 0.000 2.5733 0.071481 0.072401 0.073333 0.074276 23.80 26.52 Citigroup Global Markets 17328YJG0 01/29/21 01/31/29 100.000 0.000 1.6831 15.58 0.047149 0.047546 0.047946 0.048349 0.048756 17.17 17.46 CITIGROUP GLBL MKTS HOLD 17329UYU9 01/31/22 01/29/27 100.000 0.000 2.3464 0.065177 0.065938 0.066711 0.067494 21.69 24.11 Citigroup Global Markets 17324CJ64 04/28/17 04/28/27*** 100.000 VARIES 2.8252 22.46 0.012788 0.012969 0.013152 *** *** 4.66 *** Citigroup Global Markets 17329QE89 09/02/21 03/04/27 100.000 0.000 1.6633 5.50 0.046206 0.046591 0.046978 0.047369 0.047763 16.79 17.07 Citigroup Global Markets 17326YF68 03/29/19 03/28/24 100.000 0.000 3.1838 90.98 0.095698 0.097222 0.098770 0.100342 0.101939 35.01 36.13 Citigroup Global Markets 17326YW51 05/31/19 06/03/22 100.000 0.000 2.6953 71.70 0.080069 12.17 Citigroup Global Markets 17328YAT1 01/12/21 01/10/25 100.000 0.000 0.8580 8.34 0.023935 0.024038 0.024141 0.024245 0.024349 8.67 8.75 Citigroup Global Markets 17328YB37 01/06/21 01/08/29 100.000 0.000 1.5840 15.68 0.044353 0.044704 0.045059 0.045415 0.045775 16.15 16.41 Citigroup Global Markets 17327P526 08/05/19 08/03/22 100.000 0.000 2.9111 72.02 0.085663 0.086909 18.38 Citigroup Global Markets 17328W2Y3 08/05/20 08/04/28 100.000 0.000 1.5941 22.57 0.044988 0.045347 0.045708 0.046072 0.046440 16.37 16.63 Citigroup Global Markets 17329FE42 06/30/21 06/29/28 100.000 0.000 1.9800 9.96 0.055541 0.056091 0.056646 0.057207 0.057774 20.10 20.50 Citigroup Global Markets 17329F3P7 04/30/21 05/02/28 100.000 0.000 2.0793 13.96 0.058366 0.058973 0.059586 0.060206 0.060832 21.19 21.64 Citigroup Global Markets 17326Y4M5 07/03/19 07/01/22 100.000 0.000 2.4527 62.70 0.072401 13.03 Citigroup Global Markets 17329FE26 06/30/21 06/30/27 100.000 0.000 1.7920 9.01 0.050224 0.050674 0.051128 0.051586 0.052048 18.16 18.49 Citigroup Global Markets 17326YNA0 03/04/19 03/03/22 100.000 0.000 3.2230 94.56 0.096968 6.01 Citigroup Global Markets 17329U5V9 12/23/21 12/26/28 100.000 0.000 2.1480 0.48 0.059678 0.060319 0.060967 0.061622 0.062284 21.61 22.07 Citigroup Global Markets 17324CPJ9 12/26/17 12/23/22 100.000 0.000 2.9644 125.38 0.092608 0.093981 32.85 Citigroup Global Markets 17327TH41 02/03/20 02/02/23 100.000 0.000 2.1983 42.68 0.063094 0.063788 0.064489 23.05 2.00 Citigroup Global Markets 17329FKL7 05/28/21 05/31/28 100.000 0.000 1.9802 11.73 0.055556 0.056106 0.056661 0.057222 0.057789 20.13 20.53 Citigroup Global Markets 17328WJT6 08/12/20 08/12/25 100.000 0.000 1.0971 15.28 0.030810 0.030979 0.031149 0.031320 0.031492 11.17 11.29 Citigroup Global Markets 17327T6P6 03/04/20 08/31/23 100.000 0.000 1.7725 32.74 0.050546 0.050989 0.051446 0.051897 18.39 12.38 Citigroup Global Markets 17326YU95 03/13/19 03/13/26 100.000 0.000 3.6227 105.80 0.110082 0.112076 0.114106 0.116173 0.118277 40.42 41.90 CITIGROUP GLBL MKTS HOLD 17330AU34 03/31/22 04/03/29 100.000 0.000 3.8243 0.106229 0.106263 0.108295 0.110366 0.112476 28.98 39.73 Citigroup Global Markets 17327TXT8 09/10/19 09/10/24 100.000 0.250 2.3208 54.60 0.067184 0.067883 0.068591 0.069306 0.070030 24.47 24.98 CITIGROUP GLBL MKTS HOLD 17330FJN2 04/08/22 04/09/26 100.000 0.000 3.5900 0.099732 0.101522 0.103344 0.105199 26.38 37.18 Citigroup Global Markets 17326YTV8 09/25/18 09/25/23 100.000 1.000 3.1087 104.85 0.092053 0.093484 0.094074 0.095536 33.59 25.10 CITIGROUP GLBL MKTS HOLD 17330ACR1 02/25/22 02/25/32 100.000 VARIES 2.3569 0.065470 0.064605 0.063730 0.064411 19.92 23.08 Citigroup Global Markets 17328Y7E8 01/29/21 01/29/27 100.000 0.000 1.2761 11.80 0.035673 0.035901 0.036130 0.036360 0.036592 12.95 13.12 Citigroup Global Markets 17328WBA5 09/30/20 09/30/30 100.000 0.000 2.0203 25.52 0.057258 0.057836 0.058420 0.059010 0.059606 20.82 21.25 Citigroup Global Markets 17329U5Q0 11/26/21 11/28/28 100.000 0.000 2.1392 2.08 0.059430 0.060066 0.060708 0.061358 0.062014 21.55 22.02 Citigroup Global Markets 17328Y7D0 12/21/20 06/20/24 100.000 0.000 0.7780 8.01 0.021779 0.021864 0.021949 0.022034 0.022120 7.86 7.92 Citigroup Global Markets 17328YYU2 03/31/21 03/31/31 100.000 VARIES 1.6136 12.08 0.044063 0.043298 0.041899 0.040919 0.040389 15.53 14.77 Citigroup Global Markets 17328YHR8 02/18/21 05/15/26 100.000 0.000 1.1860 10.34 0.033236 0.033433 0.033631 0.033831 0.034032 12.02 12.16 Citigroup Global Markets 17328VPK0 07/01/20 04/01/24 100.000 0.000 1.2260 18.51 0.034580 0.034792 0.035005 0.035220 0.035436 12.53 12.68 CITIGROUP GLBL MKTS HOLD 17330FJX0 05/02/22 04/30/27 100.000 0.000 4.2079 0.116886 0.119318 0.121829 0.124392 28.08 43.72 Citigroup Global Markets 17327TPJ9 11/29/19 11/30/22 100.000 0.000 2.0339 43.19 0.058835 0.059433 19.46 Citigroup Global Markets 17328VXW5 07/06/20 07/06/28 100.000 0.000 1.8910 28.37 0.053527 0.054033 0.054544 0.055059 0.055580 19.54 19.91 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17327TPG5 11/13/19 11/10/22 100.000 0.000 2.2691 49.33 0.065928 0.066676 20.51 Citigroup Global Markets 17328VY79 08/05/20 08/05/25 100.000 0.000 1.2061 17.05 0.033909 0.034113 0.034319 0.034526 0.034734 12.30 12.45 Citigroup Global Markets 17329UG96 10/29/21 04/29/27 100.000 0.000 2.1885 3.77 0.060791 0.061456 0.062129 0.062809 0.063496 22.09 22.57 Citigroup Global Markets 17328WC71 09/18/20 12/18/25 100.000 0.000 1.2660 16.37 0.035727 0.035953 0.036180 0.036409 0.036640 12.91 13.07 Citigroup Global Markets 17329Q2K5 07/20/21 07/19/29 100.000 0.000 2.0691 9.25 0.057476 0.058067 0.058668 0.059275 0.059888 20.99 21.43 Citigroup Global Markets 17328VYC8 06/30/20 06/30/27 100.000 0.000 1.7917 27.17 0.051119 0.051576 0.052038 0.052505 0.052975 18.49 18.82 CITIGROUP GLBL MKTS HOLD 17330FAM3 04/29/22 04/29/37 100.000 VARIES 2.3669 0.065748 0.063107 0.060435 0.059194 15.75 21.99 Citigroup Global Markets 17327TPT7 09/30/19 03/30/23 100.000 0.000 2.3505 54.07 0.068415 0.069219 0.070033 24.92 6.23 CITIGROUP GLBL MKTS HOLD 17329UXG1 01/28/22 07/30/25 100.000 0.000 1.9804 0.055010 0.055016 0.055561 0.056111 0.056667 18.40 20.27 Citigroup Global Markets 17328YHY3 01/29/21 01/29/41 100.000 VARIES 2.6993 24.81 0.074448 0.073934 0.073435 0.072961 0.072520 26.55 26.21 Citigroup Global Markets 17326Y3H7 06/04/19 06/03/22 100.000 0.000 2.7045 71.64 0.080337 12.21 Citigroup Global Markets 17328YHW7 02/26/21 02/26/27 100.000 0.000 1.4752 12.54 0.041280 0.041584 0.041891 0.042200 0.042511 14.99 15.21 Citigroup Global Markets 17326YDF0 05/10/19 05/12/22 100.000 0.000 2.9343 80.01 0.087681 11.49 Citigroup Global Markets 17328WKC1 09/21/20 09/21/27 100.000 0.000 1.4782 19.00 0.041670 0.041978 0.042289 0.042601 0.042916 15.12 15.34 Citigroup Global Markets 17329QKY5 09/03/21 09/03/33 100.000 VARIES 1.7822 5.84 0.049505 0.048461 0.047408 0.047000 0.046727 17.39 16.91 Citigroup Global Markets 17326YLW4 12/11/18 12/11/25 100.000 VARIES 3.4423 15.12 0.013167 0.013394 0.013624 0.013859 0.014097 4.79 4.96 Citigroup Global Markets 17328YQH0 02/26/21 02/28/28 100.000 0.000 1.7232 14.65 0.048284 0.048701 0.049120 0.049543 0.049970 17.56 17.86 Citigroup Global Markets 17324CQ74 12/20/17 06/21/23 100.000 0.000 2.9374 124.72 0.091696 0.093043 0.094409 33.28 16.05 Citigroup Global Markets 17329FL93 05/21/21 05/21/31 100.000 VARIES 2.1464 13.09 0.059070 0.058512 0.057947 0.057377 0.057221 21.12 20.73 Citigroup Global Markets 17329FCF9 04/30/21 10/30/26 100.000 0.000 1.7623 11.82 0.049385 0.049820 0.050259 0.050702 0.051148 17.91 18.23 Citigroup Global Markets 17324CQ90 01/30/18 01/30/23 100.000 0.000 3.1864 131.93 0.098867 0.100442 0.102042 36.35 2.96 Citigroup Global Markets 17328YHU1 02/26/21 02/27/31 100.000 0.000 2.3173 19.73 0.065119 0.065874 0.066637 0.067409 0.068190 23.77 24.32 Citigroup Global Markets 17329FCV4 06/30/21 06/29/28 100.000 0.000 1.9800 9.96 0.055541 0.056091 0.056646 0.057207 0.057774 20.10 20.50 Citigroup Global Markets 17329U6P1 10/22/21 10/22/36 100.000 VARIES 2.7993 5.37 0.077757 0.075541 0.073294 0.072359 0.071440 27.29 26.09 Citigroup Global Markets 17325E804 04/12/17 12/12/24 100.000 0.000 3.3138 167.84 0.107312 0.109090 0.110897 0.112735 0.114603 39.02 40.32 CITIGROUP GLBL MKTS HOLD 17330FJC6 03/31/22 03/31/37 100.000 VARIES 2.1578 0.059940 0.058189 0.056419 0.057028 16.08 20.52 Citigroup Global Markets 17329FTW4 08/04/21 08/04/26 100.000 0.000 1.4752 6.02 0.040977 0.041279 0.041583 0.041890 0.042199 14.90 15.12 Citigroup Global Markets 17328VHK9 04/03/20 04/05/23 100.000 0.000 2.2190 39.26 0.063721 0.064428 0.065143 23.19 6.12 Citigroup Global Markets 17329FD68 05/28/21 12/01/26 100.000 0.000 1.6332 9.68 0.045742 0.046116 0.046492 0.046872 0.047255 16.56 16.83 Citigroup Global Markets 17329QU65 10/05/21 10/05/26 100.000 0.000 1.6533 3.95 0.045926 0.046306 0.046689 0.047075 0.047464 16.67 16.94 Citigroup Global Markets 17328VPY0 06/03/20 12/04/23 100.000 0.000 1.5242 24.25 0.043316 0.043646 0.043979 0.044314 15.67 14.71 Citigroup Global Markets 17329FD43 06/30/21 06/29/28 100.000 0.000 1.9800 9.96 0.055541 0.056091 0.056646 0.057207 0.057774 20.10 20.50 CITIGROUP GLBL MKTS HOLD 17330ATK8 04/01/22 04/01/27 100.000 0.000 3.6877 0.102436 0.104325 0.106248 0.108207 27.83 38.25 Citigroup Global Markets 17328YQP2 03/03/21 03/05/29 100.000 0.000 2.0693 17.20 0.058082 0.058683 0.059290 0.059903 0.060523 21.16 21.60 Citigroup Global Markets 17326W696 06/05/19 06/03/22 100.000 0.000 2.6587 70.31 0.078881 11.99 CITIGROUP GLBL MKTS HOLD 17330FAW1 04/26/22 04/26/32 100.000 VARIES 2.6165 0.072681 0.070907 0.069109 0.069286 17.69 25.10 CITIGROUP GLBL MKTS HOLD 17330FJH5 04/29/22 04/29/27 100.000 0.000 4.2270 0.117417 0.119898 0.122432 0.125020 28.57 43.94 Citigroup Global Markets 17328WBY3 08/31/20 03/02/28 100.000 0.000 1.4842 19.96 0.041844 0.042155 0.042467 0.042783 0.043100 15.19 15.42 Citigroup Global Markets 17328VPV6 05/20/20 05/18/28 100.000 0.000 2.3763 38.87 0.068380 0.069193 0.070015 0.070847 0.071688 24.83 25.43 Citigroup Global Markets 17328WSY5 10/30/20 11/01/27 100.000 0.000 1.5642 18.40 0.044134 0.044479 0.044827 0.045178 0.045531 15.99 16.24 Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27*** 100.000 VARIES 2.7384 18.06 0.010485 0.010628 0.010774 *** *** 3.82 *** CITIGROUP GLBL MKTS HOLD 17330ATL6 03/18/22 03/18/37 100.000 VARIES 4.0501 0.112502 0.112378 0.112321 0.112316 31.83 40.44 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328YQN7 01/29/21 01/31/28 100.000 0.000 1.4841 13.73 0.041533 0.041841 0.042152 0.042464 0.042779 15.10 15.33 CITIGROUP GLBL MKTS HOLD 17330AFT4 02/15/22 02/15/37 100.000 VARIES 2.0896 0.058045 0.056910 0.055763 0.056346 18.19 20.20 CITIGROUP GLBL MKTS HOLD 17330AWT5 03/08/22 03/08/29 100.000 0.000 3.0178 0.083827 0.085092 0.086376 0.087679 24.70 31.16 Citigroup Global Markets 17328VJW1 06/30/20 06/30/27 100.000 0.000 1.8120 27.48 0.051714 0.052182 0.052655 0.053132 0.053613 18.70 19.04 Citigroup Global Markets 17324CKB1 07/06/17 07/06/27 100.000 VARIES 2.8475 23.47 0.013702 0.013897 0.014095 0.014295 0.014499 5.04 5.18 CITIGROUP GLBL MKTS HOLD 17330F4C2 04/21/22 04/22/27 100.000 0.000 4.0709 0.113094 0.115396 0.117745 0.120142 28.43 42.29 Citigroup Global Markets 17328WVK1 11/04/20 11/04/25 100.000 0.000 1.2962 15.08 0.036473 0.036710 0.036947 0.037187 0.037428 13.20 13.37 Citigroup Global Markets 17327TSJ6 10/31/19 10/31/25 100.000 0.000 2.6129 57.95 0.076448 0.077447 0.078459 0.079484 0.080522 27.82 28.56 Citigroup Global Markets 17329QWA4 10/04/21 04/03/25 100.000 0.000 1.2163 2.94 0.033785 0.033990 0.034196 0.034404 0.034614 12.24 12.38 Citigroup Global Markets 17328VK58 05/19/20 11/18/27 100.000 0.000 2.4153 39.59 0.069548 0.070388 0.071238 0.072099 0.072969 25.26 25.88 CITIGROUP GLBL MKTS HOLD 17330AWY4 03/23/22 03/23/27 100.000 0.000 3.3824 0.093956 0.095545 0.097161 0.098804 26.28 35.01 Citigroup Global Markets 17326Y5W2 05/31/19 06/02/22 100.000 0.000 2.8420 75.72 0.084729 12.79 CITIGROUP GLBL MKTS HOLD 17330F4G3 05/06/22 05/08/24 100.000 0.000 3.9750 0.110416 0.110440 0.112635 0.114874 0.117157 26.07 41.19 Citigroup Global Markets 17327TSD9 07/24/19 07/22/22 100.000 0.000 2.4497 61.12 0.071433 0.072308 14.52 Citigroup Global Markets 17328VSB7 06/03/20 06/05/28 100.000 0.000 2.2772 36.38 0.065449 0.066194 0.066948 0.067710 0.068481 23.73 24.28 Citigroup Global Markets 17329F4Z4 04/28/21 10/28/26 100.000 0.000 1.7233 11.66 0.048282 0.048698 0.049118 0.049541 0.049968 17.51 17.81 Citigroup Global Markets 17329QFJ4 09/30/21 04/01/27 100.000 0.000 1.7523 4.43 0.048679 0.049105 0.049536 0.049970 0.050407 17.68 17.99 Citigroup Global Markets 17327TKD7 12/26/19 12/23/22 100.000 0.000 2.2329 45.74 0.064830 0.065553 22.95 Citigroup Global Markets 17325E242 01/05/17 07/03/24 100.000 0.000 3.3441 179.93 0.107823 0.109626 0.111459 0.113323 0.115217 39.79 41.13 Citigroup Global Markets 17328W4Q8 07/31/20 08/02/27 100.000 0.000 1.5441 22.08 0.043561 0.043897 0.044236 0.044577 0.044922 15.84 16.09 Citigroup Global Markets 17328WND6 11/04/20 11/04/25 100.000 0.000 1.2962 15.08 0.036473 0.036710 0.036947 0.037187 0.037428 13.20 13.37 Citigroup Global Markets 17328WEQ7 09/30/20 09/30/25 100.000 0.000 1.2862 16.20 0.036189 0.036422 0.036656 0.036892 0.037129 13.11 13.28 Citigroup Global Markets 17328WVS4 10/30/20 07/30/26 100.000 0.000 1.3950 16.40 0.039158 0.039431 0.039706 0.039983 0.040262 14.23 14.43 CITIGROUP GLBL MKTS HOLD 17330F4L2 04/29/22 04/30/26 100.000 2.200 4.1669 0.115747 0.115773 0.118185 0.118101 0.120562 28.16 42.67 Citigroup Global Markets 17328Y2F0 12/28/20 12/26/25 100.000 0.000 1.1170 11.30 0.031374 0.031549 0.031725 0.031902 0.032080 11.33 11.45 CITIGROUP GLBL MKTS HOLD 17330FEL1 04/28/22 04/30/24 100.000 0.000 3.8571 0.107141 0.107164 0.109230 0.111337 0.113484 26.17 39.96 Citigroup Global Markets 17326YP83 02/28/19 03/02/22 100.000 0.000 3.3909 100.30 0.102491 6.25 Citigroup Global Markets 17329FFH2 04/19/21 04/20/28 100.000 0.000 2.1036 14.77 0.059050 0.059671 0.060299 0.060933 0.061574 21.46 21.91 Citigroup Global Markets 17328Y2D5 11/24/20 11/24/27 100.000 0.000 1.5489 17.17 0.043695 0.044034 0.044375 0.044718 0.045065 15.82 16.06 Citigroup Global Markets 17328YTF1 03/01/21 02/27/26 100.000 0.000 1.1861 9.91 0.033139 0.033336 0.033534 0.033732 0.033933 12.01 12.16 Citigroup Global Markets 17327TSM9 11/27/19 11/28/22 100.000 0.000 2.2265 47.48 0.064653 0.065372 21.27 Citigroup Global Markets 17324CKF2 07/03/17 07/01/22 100.000 0.000 2.7294 129.58 0.085641 15.42 Citigroup Global Markets 17326YXC5 01/31/19 02/02/22 100.000 0.000 3.5319 107.64 0.107102 3.32 CITIGROUP GLBL MKTS HOLD 17330AP55 04/05/22 04/05/27 100.000 0.000 3.5796 0.099433 0.101213 0.103024 0.104868 26.60 37.08 CITIGROUP GLBL MKTS HOLD 17330AGB2 03/01/22 08/27/27 100.000 0.000 3.0769 0.085470 0.086755 0.088090 0.089445 25.80 31.81 Citigroup Global Markets 17329QNT3 10/05/21 10/05/26 100.000 0.000 1.6533 3.95 0.045926 0.046306 0.046689 0.047075 0.047464 16.67 16.94 Citigroup Global Markets 17324CC53 11/28/16 05/26/22 100.000 0.250 2.7754 149.85 0.087448 12.68 CITIGROUP GLBL MKTS HOLD 17330AP48 03/17/22 03/12/26 100.000 0.000 3.1664 0.087957 0.089311 0.090725 0.092161 25.13 32.72 Citigroup Global Markets 17326YXR2 04/30/19 04/28/22 100.000 0.000 2.9308 80.79 0.087540 10.24 Citigroup Global Markets 17328YCP7 01/29/21 01/30/31 100.000 0.000 2.0301 18.81 0.056968 0.057547 0.058131 0.058721 0.059317 20.79 21.21 Citigroup Global Markets 17328VSX9 06/22/20 06/22/28 100.000 0.000 2.4751 38.23 0.071337 0.072219 0.073113 0.074018 0.074934 25.86 26.50 Citigroup Global Markets 17328YTQ7 03/23/21 09/23/24 100.000 0.000 1.0472 8.10 0.029241 0.029394 0.029548 0.029703 0.029859 10.58 10.70 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17324CKS4 07/28/17 01/30/23 100.000 0.500 2.8926 134.23 0.088455 0.089533 0.090627 32.37 2.63 Citigroup Global Markets 17328W4W5 08/03/20 05/02/24 100.000 0.000 1.0070 14.28 0.028326 0.028469 0.028612 0.028756 0.028901 10.24 10.34 Citigroup Global Markets 17328YCM4 01/29/21 01/30/31 100.000 0.000 2.0301 18.81 0.056968 0.057547 0.058131 0.058721 0.059317 20.79 21.21 Citigroup Global Markets 17329UJJ1 11/26/21 11/27/26 100.000 0.000 1.8613 1.81 0.051704 0.052185 0.052671 0.053161 0.053656 18.73 19.08 Citigroup Global Markets 17327TT97 02/11/20 02/10/22 100.000 0.000 1.8965 36.30 0.054190 2.11 Citigroup Global Markets 17328VSU5 04/29/20 10/27/23 100.000 0.000 1.9316 32.68 0.055219 0.055753 0.056291 0.056835 20.04 16.76 Citigroup Global Markets 17329F5L4 04/30/21 04/30/27 100.000 0.000 1.8423 12.36 0.051647 0.052123 0.052603 0.053087 0.053576 18.74 19.08 Citigroup Global Markets 17327TT63 01/31/20 02/02/23 100.000 0.000 2.2035 42.97 0.063263 0.063960 0.064665 23.11 2.00 Citigroup Global Markets 17327TSV9 08/14/19 08/13/26 100.000 0.000 2.5545 62.31 0.074649 0.075602 0.076568 0.077546 0.078536 27.31 28.01 Citigroup Global Markets 17328WF60 09/03/20 09/05/25 100.000 0.000 1.1571 15.44 0.032518 0.032706 0.032895 0.033086 0.033277 11.78 11.92 Citigroup Global Markets 17328Y2W3 12/28/20 12/26/25 100.000 0.000 1.1170 11.30 0.031374 0.031549 0.031725 0.031902 0.032080 11.33 11.45 Citigroup Global Markets 17324CKX3 08/01/17 08/01/22 100.000 0.000 2.7885 130.12 0.086531 0.087737 18.39 Citigroup Global Markets 17329FFZ2 05/28/21 05/31/28 100.000 0.000 1.9802 11.73 0.055556 0.056106 0.056661 0.057222 0.057789 20.13 20.53 Citigroup Global Markets 17326YGW0 03/29/19 03/30/22 100.000 0.000 2.9164 83.08 0.087101 7.75 Citigroup Global Markets 17328WNR5 12/03/20 12/04/25 100.000 0.000 1.1771 12.73 0.033084 0.033278 0.033474 0.033671 0.033869 11.96 12.10 CITIGROUP GLBL MKTS HOLD 17330F3Y5 04/22/22 04/22/37 100.000 VARIES 4.9654 0.137929 0.133078 0.128106 0.128406 34.01 46.69 Citigroup Global Markets 17328Y2T0 12/24/20 12/27/27 100.000 0.000 1.4840 15.19 0.041842 0.042152 0.042465 0.042780 0.043098 15.12 15.35 Citigroup Global Markets 17328Y2S2 12/24/20 12/27/27 100.000 0.000 1.4840 15.19 0.041842 0.042152 0.042465 0.042780 0.043098 15.12 15.35 Citigroup Global Markets 17329F5V2 04/30/21 05/02/28 100.000 0.000 2.0793 13.96 0.058366 0.058973 0.059586 0.060206 0.060832 21.19 21.64 Citigroup Global Markets 17326YY59 03/01/19 03/03/25 100.000 1.000 3.5616 104.28 0.106034 0.106933 0.108837 0.109786 0.111741 38.66 39.69 Citigroup Global Markets 17326YY67 05/23/19 05/25/22 100.000 0.000 2.8574 76.74 0.085219 12.27 Citigroup Global Markets 17329QEA4 09/30/21 10/02/28 100.000 0.000 1.9703 4.98 0.054738 0.055277 0.055821 0.056371 0.056927 19.90 20.29 Citigroup Global Markets 17328VZX1 07/06/20 07/05/24 100.000 0.000 1.2060 18.03 0.033905 0.034110 0.034315 0.034522 0.034730 12.31 12.46 CITIGROUP GLBL MKTS HOLD 17330FDA6 04/13/22 04/11/25 100.000 0.000 3.7088 0.103021 0.104910 0.106855 0.108837 26.73 38.43 CITIGROUP GLBL MKTS HOLD 17330FLS8 05/06/22 05/08/24 100.000 0.000 3.9650 0.110138 0.110162 0.112346 0.114573 0.116845 26.00 41.08 CITIGROUP GLBL MKTS HOLD 17330AF56 02/28/22 02/28/29 100.000 0.000 3.0477 0.084659 0.085949 0.087259 0.088589 25.81 31.50 CITIGROUP GLBL MKTS HOLD 17330AVU3 03/29/22 09/27/24 100.000 0.000 3.3938 0.094273 0.095855 0.097482 0.099136 25.79 35.11 Citigroup Global Markets 17328WLU0 10/05/20 10/03/25 100.000 0.000 1.2962 16.14 0.036471 0.036708 0.036946 0.037185 0.037426 13.21 13.39 Citigroup Global Markets 17325K263 07/06/17 01/03/24 100.000 0.000 3.1136 148.67 0.097842 0.099365 0.100912 0.102483 0.104079 36.04 37.17 Citigroup Global Markets 17329FML5 06/30/21 06/30/31 100.000 0.000 2.3860 12.00 0.067068 0.067869 0.068678 0.069498 0.070327 24.29 24.87 Citigroup Global Markets 17324CZZ2 08/31/17 02/28/23 100.000 0.000 2.7931 127.83 0.086676 0.087886 0.089113 31.72 5.08 Citigroup Global Markets 17328W3C0 07/20/20 07/18/25 100.000 0.000 1.3751 20.03 0.038721 0.038987 0.039255 0.039525 0.039797 14.07 14.27 Citigroup Global Markets 17328WUD8 10/30/20 02/01/27 100.000 0.000 1.4941 17.57 0.041969 0.042283 0.042599 0.042917 0.043238 15.26 15.49 CITIGROUP GLBL MKTS HOLD 17330FM81 05/09/22 05/08/25 100.000 0.000 4.2771 0.118808 0.121334 0.123929 0.126579 27.70 44.43 Citigroup Global Markets 17328VZR4 07/31/20 08/02/27 100.000 0.000 1.5241 21.79 0.042988 0.043315 0.043645 0.043978 0.044313 15.63 15.87 Citigroup Global Markets 17329QMJ6 08/06/21 08/06/26 100.000 0.000 1.4152 5.70 0.039310 0.039588 0.039868 0.040150 0.040434 14.28 14.49 Citigroup Global Markets 17324CJF4 06/01/17 12/01/22 100.000 0.750 2.8210 134.96 0.086090 0.087010 28.58 Citigroup Global Markets 17327TRQ1 07/31/19 01/30/25 100.000 0.000 2.8012 69.63 0.082263 0.083415 0.084584 0.085768 0.086970 30.17 31.02 Citigroup Global Markets 17328YJX3 02/26/21 02/28/28 100.000 0.000 1.7232 14.65 0.048284 0.048701 0.049120 0.049543 0.049970 17.56 17.86 Citigroup Global Markets 17326YFF8 05/03/19 05/05/22 100.000 0.000 2.9032 79.75 0.086685 10.75 Citigroup Global Markets 17329FVK7 06/16/21 06/16/31 100.000 VARIES 2.0752 11.23 0.057090 0.056529 0.055963 0.055391 0.055231 20.43 20.03 Citigroup Global Markets 17326YFG6 02/28/19 03/01/22 100.000 VARIES 2.5400 73.12 0.072944 4.38 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328YJV7 03/03/21 03/03/26 100.000 0.000 1.3652 11.33 0.038181 0.038442 0.038704 0.038969 0.039235 13.85 14.04 CITIGROUP GLBL MKTS HOLD 17329UQT1 01/31/22 01/29/27 100.000 0.000 2.3464 0.065177 0.065938 0.066711 0.067494 21.69 24.11 Citigroup Global Markets 17326YNT9 03/29/19 04/01/24 100.000 0.000 3.2016 91.50 0.096299 0.097840 0.099407 0.100998 0.102615 35.22 36.36 Citigroup Global Markets 17329FEG5 06/09/21 06/09/33 100.000 VARIES 2.0633 11.55 0.056041 0.054757 0.053459 0.052148 0.050056 19.89 18.93 CITIGROUP GLBL MKTS HOLD 17330ANM0 03/17/22 03/12/26 100.000 0.000 3.1664 0.087957 0.089311 0.090725 0.092161 25.13 32.72 Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22 100.000 0.250 2.2317 122.94 0.068452 6.09 Citigroup Global Markets 17326YNS1 03/29/19 04/01/24 100.000 0.500 3.2003 91.06 0.095341 0.096422 0.097965 0.099088 0.100674 34.75 35.71 Citigroup Global Markets 17329FED2 06/02/21 06/01/26 100.000 0.000 1.4151 8.22 0.039586 0.039866 0.040148 0.040432 0.040718 14.32 14.52 Citigroup Global Markets 17329F4C5 04/15/21 04/17/31 100.000 0.000 2.6134 18.66 0.073554 0.074515 0.075489 0.076475 0.077474 26.80 27.50 Citigroup Global Markets 17328YBB9 02/03/21 02/03/26 100.000 0.000 1.0671 9.75 0.029800 0.029959 0.030118 0.030279 0.030441 10.80 10.92 Citigroup Global Markets 17328VZZ6 08/05/20 08/05/25 100.000 0.000 1.2061 17.05 0.033909 0.034113 0.034319 0.034526 0.034734 12.30 12.45 Citigroup Global Markets 17324P784 10/05/16 04/03/24 100.000 0.000 2.6555 148.23 0.084152 0.085269 0.086402 0.087549 0.088711 30.69 31.51 Citigroup Global Markets 17326E365 12/06/17 12/06/22 100.000 0.000 2.9046 124.53 0.090549 0.091864 30.57 CITIGROUP GLBL MKTS HOLD 17330F2N0 03/31/22 03/31/37 100.000 VARIES 2.2180 0.061611 0.059214 0.056790 0.055880 16.48 20.58 Citigroup Global Markets 17328W3W6 07/31/20 07/31/25 100.000 0.000 1.2561 17.94 0.035332 0.035554 0.035777 0.036002 0.036228 12.83 12.99 CITIGROUP GLBL MKTS HOLD 17330AMQ2 03/15/22 03/16/37 100.000 VARIES 3.9112 0.108657 0.107368 0.106072 0.105898 30.94 38.26 Citigroup Global Markets 17328VB58 03/31/20 07/01/24 100.000 0.000 3.2340 57.88 0.095033 0.096570 0.098132 0.099718 0.101331 34.49 35.61 Citigroup Global Markets 17328YBM5 12/21/20 12/21/40 100.000 VARIES 2.5695 26.11 0.068335 0.067920 0.067530 0.067175 0.066857 24.52 24.24 Citigroup Global Markets 17326Y5K8 06/14/19 12/15/22 100.000 0.000 2.5783 67.44 0.076361 0.077346 26.45 Citigroup Global Markets 17328WV96 12/01/20 03/02/26 100.000 0.000 1.2860 13.99 0.036070 0.036302 0.036535 0.036770 0.037007 13.08 13.25 Citigroup Global Markets 17328VRU6 06/30/20 06/30/25 100.000 0.000 1.5040 22.77 0.042727 0.043048 0.043372 0.043698 0.044027 15.44 15.67 Citigroup Global Markets 17326YFJ0 06/28/19 12/31/24 100.000 0.000 2.6784 69.02 0.079530 0.080595 0.081674 0.082768 0.083876 28.82 29.60 Citigroup Global Markets 17326YFK7 04/03/19 04/01/22 100.000 0.000 2.9546 83.85 0.088302 7.95 Citigroup Global Markets 17326YWM4 07/02/19 01/03/23 100.000 0.000 2.5315 64.84 0.073952 0.074888 0.075836 27.13 0.15 Citigroup Global Markets 17329FVL5 07/30/21 07/31/31 100.000 0.000 2.2282 9.35 0.061894 0.062583 0.063281 0.063986 0.064698 22.62 23.12 Citigroup Global Markets 17328YK94 02/26/21 02/28/28 100.000 0.000 1.7232 14.65 0.048284 0.048701 0.049120 0.049543 0.049970 17.56 17.86 CITIGROUP GLBL MKTS HOLD 17330FTV3 05/17/22 05/15/25 100.000 0.000 4.1696 0.115822 0.118210 0.120675 0.123190 26.05 43.23 Citigroup Global Markets 17327TJQ0 10/03/19 10/05/22 100.000 0.000 2.2658 51.89 0.065849 0.066595 18.18 Citigroup Global Markets 17328WMR6 11/30/20 11/30/27 100.000 0.000 1.4941 16.30 0.042125 0.042440 0.042757 0.043077 0.043398 15.24 15.47 Citigroup Global Markets 17328YSW5 02/22/21 02/22/41 100.000 VARIES 2.8536 24.33 0.078018 0.076754 0.075982 0.075256 0.074604 27.60 27.05 Citigroup Global Markets 17329QVX5 09/15/21 09/15/33 100.000 VARIES 1.7790 5.24 0.049416 0.048620 0.047817 0.047314 0.046975 17.48 17.03 CITIGROUP GLBL MKTS HOLD 17330F2Z3 04/25/22 10/24/24 100.000 0.000 3.8764 0.107679 0.109754 0.111882 0.114050 26.63 40.18 Citigroup Global Markets 17326YG34 06/28/19 06/30/22 100.000 0.000 2.3796 61.13 0.070136 12.55 Citigroup Global Markets 17328YSU9 02/26/21 02/26/41 100.000 VARIES 2.9720 24.97 0.080892 0.079205 0.077224 0.075214 0.073412 28.36 26.96 Citigroup Global Markets 17329FF74 05/26/21 05/26/27 100.000 0.000 1.7422 10.42 0.048816 0.049241 0.049670 0.050103 0.050539 17.68 17.99 Citigroup Global Markets 17327TJN7 12/24/19 12/22/22 100.000 0.000 2.1805 44.77 0.063248 0.063937 22.32 Citigroup Global Markets 17324CJR8 06/30/17 12/30/22 100.000 0.600 2.7880 131.22 0.085509 0.086468 30.87 Citigroup Global Markets 17324CBD7 11/02/16 05/03/22 100.000 0.250 2.4155 131.27 0.074774 9.12 Citigroup Global Markets 17329F4R2 04/28/21 04/27/28 100.000 0.000 2.0693 14.01 0.058073 0.058674 0.059281 0.059894 0.060514 21.09 21.53 Citigroup Global Markets 17326YX43 05/22/19 05/20/22 100.000 0.000 2.8898 77.73 0.086229 11.99 Citigroup Global Markets 17329F4Q4 05/05/21 05/05/26 100.000 0.000 1.5643 10.27 0.043792 0.044134 0.044479 0.044827 0.045178 15.87 16.11 Citigroup Global Markets 17326YFQ4 04/30/19 10/30/24 100.000 0.000 3.2236 89.15 0.096996 0.098560 0.100148 0.101762 0.103402 35.39 36.54 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328WML9 11/30/20 11/30/27 100.000 0.000 1.4941 16.30 0.042125 0.042440 0.042757 0.043077 0.043398 15.24 15.47 Citigroup Global Markets 17328YT38 02/26/21 02/26/31 100.000 VARIES 1.6111 13.61 0.044441 0.044128 0.043038 0.042174 0.041553 15.77 15.15 Citigroup Global Markets 17325E408 03/01/17 03/01/22 100.000 0.000 2.8923 148.91 0.091424 5.49 Citigroup Global Markets 17328V3K4 04/14/20 04/11/25 100.000 1.000 2.6920 46.73 0.077087 0.077377 0.078419 0.078727 0.079786 27.90 28.39 Citigroup Global Markets 17326YZF6 04/30/19 04/28/22 100.000 0.000 2.9308 80.79 0.087540 10.24 CITIGROUP GLBL MKTS HOLD 17330AYY2 04/05/22 04/05/27 100.000 0.000 3.5796 0.099433 0.101213 0.103024 0.104868 26.60 37.08 Citigroup Global Markets 17328W6M5 07/22/20 07/22/24 100.000 0.000 1.1071 16.05 0.031094 0.031266 0.031439 0.031613 0.031788 11.28 11.40 Citigroup Global Markets 17329Q7D6 09/03/21 09/03/26 100.000 0.000 1.4843 4.87 0.041229 0.041535 0.041844 0.042154 0.042467 14.97 15.19 Citigroup Global Markets 17329FQ56 06/09/21 06/09/31 100.000 0.000 2.5442 14.30 0.071570 0.072481 0.073403 0.074336 0.075282 25.97 26.63 Citigroup Global Markets 17329QPS3 09/29/21 09/29/33 100.000 VARIES 1.7595 4.50 0.048874 0.048082 0.047283 0.046722 0.046375 17.31 16.84 Citigroup Global Markets 17328YN26 02/24/21 08/22/24 100.000 0.000 0.6991 5.97 0.019486 0.019554 0.019622 0.019691 0.019760 7.04 7.09 Citigroup Global Markets 17326W282 03/05/19 03/04/26 100.000 0.000 3.7445 110.42 0.114112 0.116248 0.118425 0.120642 0.122901 41.97 43.56 Citigroup Global Markets 17328VUJ7 05/19/20 05/19/25 100.000 0.000 1.9503 31.88 0.055776 0.056320 0.056869 0.057424 0.057984 20.22 20.62 Citigroup Global Markets 17329QYD6 11/03/21 11/03/26 100.000 0.000 2.0494 3.30 0.056929 0.057512 0.058102 0.058697 0.059299 20.67 21.09 Citigroup Global Markets 17328YEA8 01/29/21 04/30/26 100.000 0.000 1.1770 10.89 0.032986 0.033180 0.033375 0.033571 0.033769 11.93 12.07 CITIGROUP GLBL MKTS HOLD 17329UTN1 01/31/22 01/31/29 100.000 0.000 2.5733 0.071481 0.072401 0.073333 0.074276 23.80 26.52 Citigroup Global Markets 17329FHB3 07/06/21 07/06/26 100.000 0.000 1.5640 7.60 0.043445 0.043785 0.044128 0.044473 0.044820 15.82 16.07 Citigroup Global Markets 17328WXK9 11/02/20 02/02/26 100.000 0.000 1.3450 15.73 0.037740 0.037994 0.038249 0.038507 0.038766 13.71 13.89 Citigroup Global Markets 17328WXL7 12/03/20 12/04/25 100.000 0.000 1.1771 12.73 0.033084 0.033278 0.033474 0.033671 0.033869 11.96 12.10 Citigroup Global Markets 17327T3H7 12/17/19 12/15/22 100.000 0.000 2.2284 46.22 0.064696 0.065417 22.39 Citigroup Global Markets 17326X595 11/15/18 11/14/23 100.000 0.000 4.0525 133.74 0.126953 0.129526 0.132150 0.134828 46.41 41.84 Citigroup Global Markets 17326W274 02/05/19 09/06/22 100.000 0.000 3.6717 111.58 0.112058 0.114115 27.82 Citigroup Global Markets 17324CDP8 01/30/17 07/28/22 100.000 0.500 3.0985 161.56 0.096767 0.098051 20.26 Citigroup Global Markets 17328VE55 04/01/20 10/02/23 100.000 0.000 2.8014 49.91 0.081139 0.082275 0.083428 0.084596 29.62 22.82 Citigroup Global Markets 17327TV86 12/20/19 12/23/26 100.000 0.170 2.6310 54.44 0.076768 0.077716 0.078676 0.079649 0.080635 27.82 28.51 Citigroup Global Markets 17328YEM2 02/03/21 02/05/29 100.000 0.000 1.7231 15.76 0.048282 0.048698 0.049118 0.049541 0.049968 17.58 17.88 Citigroup Global Markets 17328V3S7 03/31/20 10/01/25 100.000 0.000 3.3432 59.87 0.097613 0.099244 0.100903 0.102590 0.104305 35.73 36.93 Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22 100.000 0.400 2.3787 137.24 0.072965 0.15 Citigroup Global Markets 17328VME7 05/20/20 05/22/28 100.000 0.000 2.3713 38.79 0.068249 0.069058 0.069877 0.070706 0.071544 24.78 25.37 Citigroup Global Markets 17329QHM5 08/31/21 08/31/28 100.000 0.000 1.9013 6.39 0.052814 0.053310 0.053822 0.054328 0.054851 19.23 19.59 CITIGROUP GLBL MKTS HOLD 17329UTY7 02/03/22 02/04/27 100.000 0.000 2.4354 0.067656 0.068480 0.069314 0.070158 22.31 25.05 Citigroup Global Markets 17328WPG7 10/19/20 10/19/27 100.000 0.000 1.5142 18.27 0.042700 0.043024 0.043349 0.043677 0.044008 15.48 15.71 Citigroup Global Markets 17329U2U4 10/06/21 10/05/28 100.000 1.000 2.0590 4.86 0.057195 0.057781 0.057804 0.058399 0.058428 20.75 20.97 Citigroup Global Markets 17327TMF0 12/24/19 12/22/22 100.000 0.000 2.1805 44.77 0.063248 0.063937 22.32 Citigroup Global Markets 17329QYM6 10/29/21 10/31/28 100.000 0.000 2.2084 3.80 0.061348 0.062025 0.062710 0.063403 0.064103 22.29 22.79 Citigroup Global Markets 17327T3P9 02/05/20 02/03/23 100.000 0.000 2.1859 42.31 0.062726 0.063411 0.064104 22.91 2.05 Citigroup Global Markets 17327TUT1 11/29/19 05/30/25 100.000 0.000 2.5704 54.81 0.075148 0.076113 0.077092 0.078082 0.079086 27.29 27.99 Citigroup Global Markets 17327T3Q7 02/28/20 05/31/23 100.000 0.000 1.8421 34.36 0.052845 0.053332 0.053823 19.14 8.02 Citigroup Global Markets 17328YEG5 01/25/21 07/25/24 100.000 0.000 0.7090 6.63 0.019765 0.019836 0.019906 0.019976 0.020047 7.15 7.20 Citigroup Global Markets 17324CMJ2 09/21/17 09/21/27 100.000 VARIES 2.7273 20.30 0.012426 0.012595 0.012767 0.012941 0.013117 4.54 4.66 Citigroup Global Markets 17327T3N4 02/28/20 05/31/23 100.000 0.000 1.8421 34.36 0.052845 0.053332 0.053823 19.14 8.02 Citigroup Global Markets 17324CDY9 01/31/17 01/31/24 100.000 0.000 3.3783 179.19 0.109111 0.110954 0.112828 0.114734 0.116672 40.17 41.54 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17329UD40 11/22/21 11/22/33 100.000 VARIES 1.8518 2.01 0.051439 0.050451 0.049903 0.049703 0.049639 18.28 17.92 Citigroup Global Markets 17329F7G3 04/30/21 05/02/28 100.000 0.000 2.0793 13.96 0.058366 0.058973 0.059586 0.060206 0.060832 21.19 21.64 Citigroup Global Markets 17328WYB8 10/26/20 04/25/24 100.000 0.000 0.8781 10.40 0.024606 0.024714 0.024823 0.024932 0.025041 8.89 8.97 Citigroup Global Markets 17324CED4 02/16/17 02/16/27*** 100.000 VARIES 2.9107 23.37 0.012764 0.012950 0.013139 *** *** 4.68 *** Citigroup Global Markets 17328YET7 12/30/20 12/30/27 100.000 0.000 1.4932 15.03 0.042099 0.042414 0.042730 0.043049 0.043371 15.21 15.44 Citigroup Global Markets 17329ULR0 10/29/21 10/29/41 98.000 VARIES 2.9484 4.98 0.080263 0.076532 0.072746 0.072201 0.071672 27.76 26.02 Citigroup Global Markets 17329ULQ2 12/23/21 12/26/28 100.000 0.000 2.1480 0.48 0.059678 0.060319 0.060967 0.061622 0.062284 21.61 22.07 Citigroup Global Markets 17329FZ72 06/25/21 06/27/29 100.000 0.000 2.1190 10.95 0.059493 0.060123 0.060760 0.061404 0.062054 21.54 21.99 Citigroup Global Markets 17328YND2 03/02/21 05/29/26 100.000 0.000 1.3451 11.21 0.037736 0.037990 0.038246 0.038503 0.038762 13.65 13.83 Citigroup Global Markets 17324CMP8 10/30/17 10/28/22 100.000 0.000 2.7828 122.16 0.086324 0.087525 25.85 Citigroup Global Markets 17324CMQ6 10/31/17 05/01/23 100.000 0.750 2.8328 122.78 0.085583 0.086501 0.087431 31.09 10.49 Citigroup Global Markets 17324P248 06/03/16 12/05/23 100.000 0.000 2.8709 172.35 0.093298 0.094637 0.095996 0.097374 33.90 32.31 CITIGROUP GLBL MKTS HOLD 17330AYL0 04/29/22 05/01/29 100.000 0.000 4.3735 0.121485 0.121515 0.124172 0.126887 0.129662 29.57 45.52 Citigroup Global Markets 17328VUY4 04/30/20 05/01/25 100.000 0.000 2.2185 37.53 0.063704 0.064410 0.065125 0.065847 0.066578 23.15 23.66 Citigroup Global Markets 17328W6Y9 08/21/20 02/23/24 100.000 0.000 0.8681 11.86 0.024325 0.024431 0.024537 0.024643 0.024750 8.80 8.88 Citigroup Global Markets 17324CN28 10/12/17 10/12/22 100.000 0.000 2.8215 125.52 0.087669 0.088906 24.86 CITIGROUP GLBL MKTS HOLD 17330AHM7 03/16/22 09/16/24 100.000 0.000 2.9501 0.081948 0.083156 0.084383 0.085628 23.48 30.42 Citigroup Global Markets 17328VEE6 03/31/20 03/29/23 100.000 0.000 2.7726 49.47 0.080258 0.081371 0.082499 29.30 7.26 Citigroup Global Markets 17328WPW2 10/30/20 11/01/27 100.000 0.000 1.5642 18.40 0.044134 0.044479 0.044827 0.045178 0.045531 15.99 16.24 Citigroup Global Markets 17328V4B3 04/13/20 10/12/23 100.000 0.000 2.6242 45.79 0.075796 0.076790 0.077798 0.078818 27.62 22.05 CITIGROUP GLBL MKTS HOLD 17330AQB1 03/28/22 03/29/27 100.000 0.000 3.5696 0.099165 0.100935 0.102736 0.104570 27.23 37.00 Citigroup Global Markets 17326YAH9 07/03/19 07/03/24 100.000 0.000 2.5848 66.16 0.075584 0.076561 0.077550 0.078553 0.079568 27.74 28.46 Citigroup Global Markets 17328YVZ4 04/06/21 04/06/29 100.000 0.000 2.3564 17.41 0.066228 0.067008 0.067797 0.068596 0.069405 24.12 24.69 Citigroup Global Markets 17329FQL1 05/28/21 05/28/27 100.000 0.000 1.7232 10.21 0.048279 0.048695 0.049114 0.049537 0.049964 17.48 17.79 Citigroup Global Markets 17328W7B8 09/03/20 09/05/25 100.000 0.000 1.1571 15.44 0.032518 0.032706 0.032895 0.033086 0.033277 11.78 11.92 Citigroup Global Markets 17327TN28 02/04/20 12/05/22 100.000 0.000 2.0124 38.97 0.057995 0.058579 19.48 CITIGROUP GLBL MKTS HOLD 17330AYV8 03/30/22 03/28/25 100.000 0.000 3.4925 0.097014 0.098689 0.100412 0.102166 26.45 36.16 Citigroup Global Markets 17328WPR3 11/04/20 11/04/25 100.000 0.000 1.2962 15.08 0.036473 0.036710 0.036947 0.037187 0.037428 13.20 13.37 Citigroup Global Markets 17324CLB0 09/01/17 03/03/23 100.000 0.500 2.7655 125.22 0.084136 0.085108 0.086092 30.69 5.34 CITIGROUP GLBL MKTS HOLD 17330F5C1 04/08/22 04/10/25 100.000 2.000 3.5191 0.097751 0.099491 0.099286 0.101033 25.85 35.90 Citigroup Global Markets 17324CD29 12/28/16 06/27/22 100.000 0.500 3.0613 162.55 0.096701 17.02 CITIGROUP GLBL MKTS HOLD 17330AXV9 03/30/22 03/31/27 100.000 0.000 3.5996 0.099989 0.101789 0.103621 0.105486 27.26 37.31 Citigroup Global Markets 17328WFL7 08/31/20 08/31/27 100.000 0.000 1.4942 20.09 0.042127 0.042438 0.042759 0.043075 0.043400 15.30 15.53 Citigroup Global Markets 17324CLA2 08/02/17 08/02/27 100.000 VARIES 2.7689 19.99 0.011869 0.012033 0.012200 0.012369 0.012540 4.35 4.47 Citigroup Global Markets 17328VKX7 05/05/20 05/04/23 100.000 0.000 1.6435 27.48 0.046785 0.047169 0.047557 16.96 5.85 Citigroup Global Markets 17328YDA9 01/29/21 01/31/28 100.000 0.000 1.4841 13.73 0.041533 0.041841 0.042152 0.042464 0.042779 15.10 15.33 Citigroup Global Markets 17328VL81 05/20/20 05/20/25 100.000 0.000 1.9603 31.99 0.056071 0.056620 0.057175 0.057736 0.058302 20.33 20.73 CITIGROUP GLBL MKTS HOLD 17330F5D9 04/29/22 04/29/37 100.000 VARIES 4.9132 0.136477 0.134370 0.132212 0.130001 32.90 47.71 Citigroup Global Markets 17329FGA6 05/24/21 11/24/26 100.000 0.000 1.7032 10.28 0.047714 0.048121 0.048530 0.048944 0.049361 17.28 17.58 Citigroup Global Markets 17327T2G0 12/24/19 12/22/22 100.000 0.000 2.1806 44.77 0.063249 0.063938 22.32 CITIGROUP GLBL MKTS HOLD 17330F5F4 04/29/22 10/30/25 100.000 0.000 4.1497 0.115282 0.117674 0.120116 0.122608 28.04 43.10 Citigroup Global Markets 17329USL6 12/06/21 12/06/28 100.000 0.000 2.1582 1.50 0.059950 0.060597 0.061251 0.061911 0.062580 21.73 22.20 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328VL65 06/03/20 06/03/25 100.000 0.000 1.8512 29.51 0.052864 0.053353 0.053847 0.054345 0.054848 19.15 19.50 Citigroup Global Markets 17328WFH6 09/11/20 03/13/24 100.000 0.000 0.8181 10.72 0.022912 0.023006 0.023100 0.023195 0.023289 8.29 8.35 Citigroup Global Markets 17328VL40 06/22/20 06/20/25 100.000 0.500 1.4840 22.77 0.041942 0.042047 0.042359 0.042468 0.042783 15.12 15.27 Citigroup Global Markets 17328Y2Y9 12/24/20 03/26/26 100.000 0.000 1.2260 12.55 0.034372 0.034583 0.034795 0.035008 0.035223 12.45 12.61 Citigroup Global Markets 17329UJX0 11/29/21 05/27/27 100.000 0.000 2.0993 1.87 0.058314 0.058919 0.059537 0.060162 0.060794 21.14 21.59 Citigroup Global Markets 17328YLL6 02/26/21 02/28/28 100.000 0.000 1.7232 14.65 0.048284 0.048701 0.049120 0.049543 0.049970 17.56 17.86 Citigroup Global Markets 17326E530 01/03/18 01/04/23 100.000 0.000 2.9118 122.40 0.089501 0.090805 0.092127 32.92 0.28 Citigroup Global Markets 17329Q6K1 08/02/21 02/02/27 100.000 0.000 1.5942 6.60 0.044283 0.044636 0.044991 0.045350 0.045712 16.11 16.37 Citigroup Global Markets 17328WX60 10/30/20 11/01/27 100.000 0.000 1.5642 18.40 0.044134 0.044479 0.044827 0.045178 0.045531 15.99 16.24 Citigroup Global Markets 17327TTT3 11/29/19 11/30/22 100.000 0.000 2.0339 43.19 0.058835 0.059433 19.46 Citigroup Global Markets 17326YYH3 05/31/19 12/04/24 100.000 0.000 3.1681 84.70 0.095230 0.096738 0.098271 0.099827 0.101409 34.64 35.74 CITIGROUP GLBL MKTS HOLD 17330APT3 03/31/22 04/03/29 100.000 0.000 3.8243 0.106229 0.106263 0.108295 0.110366 0.112476 28.98 39.73 Citigroup Global Markets 17328VCM0 03/31/20 04/01/27 100.000 0.000 3.4611 62.03 0.101228 0.102980 0.104762 0.106575 0.108420 37.08 38.37 Citigroup Global Markets 17327TTR7 10/22/19 10/20/22 100.000 0.000 2.2321 49.87 0.064809 0.065532 18.86 CITIGROUP GLBL MKTS HOLD 17330FG47 05/04/22 05/02/25 100.000 0.000 4.1400 0.115000 0.117354 0.119784 0.122263 27.39 42.97 CITIGROUP GLBL MKTS HOLD 17330AYG1 04/29/22 05/01/29 100.000 0.000 4.3735 0.121485 0.121515 0.124172 0.126887 0.129662 29.57 45.52 Citigroup Global Markets 17324CCV6 12/13/16 12/13/46*** 100.000 VARIES 0.8469 23.88 0.013442 0.013432 0.013421 *** *** 4.84 *** Citigroup Global Markets 17324CLG9 09/01/17 09/01/22 100.000 0.000 2.6788 122.24 0.082767 0.083876 20.06 CITIGROUP GLBL MKTS HOLD 17330FG39 04/27/22 04/25/24 100.000 0.000 3.8181 0.106058 0.108060 0.110123 0.112226 26.01 39.55 Citigroup Global Markets 17329QXG0 07/30/21 08/01/28 100.000 0.000 1.8422 7.73 0.051174 0.051645 0.052121 0.052601 0.053086 18.65 18.99 Citigroup Global Markets 17325K511 09/14/17 09/15/22 100.000 0.000 2.7285 123.54 0.084476 0.085629 21.66 Citigroup Global Markets 17329FY81 06/22/21 06/22/26 100.000 VARIES 2.0841 10.94 0.057337 0.056924 0.056667 0.056563 0.056596 20.56 20.38 Citigroup Global Markets 17328YME1 03/03/21 03/03/26 100.000 0.000 1.3652 11.33 0.038181 0.038442 0.038704 0.038969 0.039235 13.85 14.04 Citigroup Global Markets 17329QGU8 08/31/21 03/03/27 100.000 0.000 1.6733 5.62 0.046486 0.046875 0.047267 0.047663 0.048062 16.90 17.18 Citigroup Global Markets 17324CDA1 12/30/16 01/02/24 100.000 0.000 3.3300 179.66 0.107341 0.109128 0.110945 0.112792 0.114670 39.61 40.94 Citigroup Global Markets 17324P156 05/05/16 11/03/23 100.000 0.000 2.9324 179.00 0.095584 0.096986 0.098408 0.099851 34.83 29.98 Citigroup Global Markets 17324CLR5 08/17/17 08/17/27 100.000 VARIES 2.6967 20.72 0.012436 0.012603 0.012773 0.012946 0.013120 4.55 4.68 Citigroup Global Markets 17324CLU8 08/25/17 08/25/29 100.000 VARIES 2.5876 10.81 0.006618 0.006703 0.006790 0.006878 0.006967 2.42 2.48 Citigroup Global Markets 17328VTY6 05/20/20 05/20/27 100.000 0.000 2.2283 36.42 0.063989 0.064702 0.065423 0.066152 0.066889 23.22 23.74 Citigroup Global Markets 17329QH29 08/31/21 08/31/28 100.000 0.000 1.9013 6.39 0.052814 0.053310 0.053822 0.054328 0.054851 19.23 19.59 Citigroup Global Markets 17329FPC2 05/28/21 12/01/26 100.000 0.000 1.6332 9.68 0.045742 0.046116 0.046492 0.046872 0.047255 16.56 16.83 Citigroup Global Markets 17327TCX2 08/05/19 08/04/22 100.000 0.000 2.9115 72.02 0.085680 0.086927 18.47 Citigroup Global Markets 17328VLH1 05/20/20 05/20/25 100.000 0.000 1.9603 31.99 0.056071 0.056620 0.057175 0.057736 0.058302 20.33 20.73 Citigroup Global Markets 17329QXR6 10/20/21 10/20/31 100.000 VARIES 1.7328 3.42 0.048132 0.047586 0.047036 0.047080 0.047138 17.15 16.95 Citigroup Global Markets 17329FH23 05/28/21 05/30/31 100.000 0.000 2.5342 15.02 0.071297 0.072200 0.073115 0.074042 0.074980 25.89 26.55 Citigroup Global Markets 17328Y3M4 12/24/20 12/27/27 100.000 0.000 1.4840 15.19 0.041842 0.042152 0.042465 0.042780 0.043098 15.12 15.35 Citigroup Global Markets 17329FPB4 06/02/21 06/01/26 100.000 0.000 1.4151 8.22 0.039586 0.039866 0.040148 0.040432 0.040718 14.32 14.52 Citigroup Global Markets 17328YUP7 03/31/21 03/30/28 100.000 0.000 2.0694 15.63 0.058078 0.058679 0.059286 0.059899 0.060519 21.13 21.57 Citigroup Global Markets 17326YYQ3 10/18/18 10/18/22 100.000 VARIES 3.0322 96.23 0.083701 0.084010 24.08 Citigroup Global Markets 17328VD64 04/15/20 03/31/25 100.000 0.000 2.4947 43.36 0.071848 0.072744 0.073651 0.074570 0.075500 26.19 26.85 Citigroup Global Markets 17329UKJ9 12/15/21 06/15/27 100.000 0.000 2.0491 0.91 0.056921 0.057504 0.058093 0.058688 0.059290 20.62 21.04 Citigroup Global Markets 17328YDL5 01/25/21 01/25/31 100.000 VARIES 1.4542 13.52 0.040082 0.039768 0.039119 0.038551 0.038088 14.22 13.82 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17328WFW3 09/30/20 06/30/26 100.000 0.000 1.4250 17.95 0.040293 0.040580 0.040869 0.041160 0.041453 14.56 14.77 Citigroup Global Markets 17328YUN2 03/01/21 02/27/26 100.000 0.000 1.1861 9.91 0.033139 0.033336 0.033534 0.033732 0.033933 12.01 12.16 Citigroup Global Markets 17326YQL3 04/15/19 04/14/22 100.000 0.000 3.0130 84.48 0.090185 9.29 Citigroup Global Markets 17328WXE3 10/23/20 10/25/27 100.000 0.000 1.5742 18.82 0.044423 0.044773 0.045125 0.045480 0.045838 16.10 16.36 CITIGROUP GLBL MKTS HOLD 17329UTG6 01/31/22 01/31/29 100.000 0.000 2.5733 0.071481 0.072401 0.073333 0.074276 23.80 26.52 CITIGROUP GLBL MKTS HOLD 17330FNN7 05/11/22 05/11/27 100.000 0.000 4.4129 0.122581 0.125286 0.128051 0.130876 28.33 45.88 CITIGROUP GLBL MKTS HOLD 17330A6P2 03/03/22 03/04/27 100.000 0.000 2.9590 0.082201 0.083417 0.084651 0.085903 24.64 30.54 Citigroup Global Markets 17324CM86 09/29/17 09/29/22 100.000 0.000 2.7794 124.67 0.086218 0.087417 23.32 CITIGROUP GLBL MKTS HOLD 17330FNQ0 05/12/22 05/12/37 100.000 VARIES 5.1635 0.143430 0.141037 0.138583 0.136065 32.73 50.09 CITIGROUP GLBL MKTS HOLD 17330A6Q0 02/24/22 02/23/26 100.000 0.000 2.6729 0.074248 0.075234 0.076240 0.077259 22.92 27.52 Citigroup Global Markets 17327TDB9 08/07/19 08/05/22 100.000 0.000 2.1339 52.27 0.061839 0.062499 13.35 Citigroup Global Markets 17329F6W9 04/28/21 04/26/24 100.000 0.000 0.9482 6.41 0.026461 0.026587 0.026713 0.026839 0.026966 9.56 9.66 CITIGROUP GLBL MKTS HOLD 17330AGQ9 03/03/22 03/04/27 100.000 0.000 2.9590 0.082201 0.083417 0.084651 0.085903 24.64 30.54 Citigroup Global Markets 17329QXY1 10/29/21 04/29/27 100.000 0.000 2.1885 3.77 0.060791 0.061456 0.062129 0.062809 0.063496 22.09 22.57 Citigroup Global Markets 17329QGW4 08/04/21 08/03/28 100.000 0.000 1.8322 7.48 0.050894 0.051357 0.051828 0.052303 0.052782 18.54 18.88 CITIGROUP GLBL MKTS HOLD 17330AY55 04/29/22 05/01/29 100.000 0.000 4.3735 0.121485 0.121515 0.124172 0.126887 0.129662 29.57 45.52 Citigroup Global Markets 17329F6U3 04/30/21 05/02/28 100.000 0.000 2.0793 13.96 0.058366 0.058973 0.059586 0.060206 0.060832 21.19 21.64 Citigroup Global Markets 17329UF71 11/26/21 11/28/28 100.000 0.000 2.1392 2.08 0.059430 0.060066 0.060708 0.061358 0.062014 21.55 22.02 CITIGROUP GLBL MKTS HOLD 17329UNE7 02/01/22 07/30/27 100.000 0.000 2.4554 0.068205 0.069037 0.069885 0.070743 22.63 25.26 Citigroup Global Markets 17328WAA6 09/30/20 09/30/27 100.000 0.000 1.5842 19.97 0.044706 0.045060 0.045417 0.045777 0.046139 16.22 16.48 Citigroup Global Markets 17328WZR2 10/30/20 11/01/27 100.000 0.000 1.5642 18.40 0.044134 0.044479 0.044827 0.045178 0.045531 15.99 16.24 Citigroup Global Markets 17329QS84 09/30/21 10/02/28 100.000 0.000 1.9703 4.98 0.054738 0.055277 0.055821 0.056371 0.056927 19.90 20.29 Citigroup Global Markets 17329FS96 06/30/21 06/30/33 100.000 VARIES 2.0721 10.42 0.056427 0.055285 0.054131 0.052965 0.050636 20.11 19.27 Citigroup Global Markets 17327TWP7 10/02/19 10/02/23 100.000 0.000 2.3580 54.11 0.068644 0.069453 0.070272 0.071101 25.00 19.19 Citigroup Global Markets 17328Y6B5 02/03/21 02/03/26 100.000 0.000 1.0671 9.75 0.029800 0.029959 0.030118 0.030279 0.030441 10.80 10.92 Citigroup Global Markets 17329U4N8 11/26/21 11/28/28 100.000 0.000 2.1392 2.08 0.059430 0.060066 0.060708 0.061358 0.062014 21.55 22.02 Citigroup Global Markets 17326YCA2 04/26/19 04/26/29*** 100.000 VARIES 3.0551 13.09 0.012195 0.012381 0.012570 *** *** 4.45 *** CITIGROUP GLBL MKTS HOLD 17330L223 04/05/22 04/04/29 100.000 0.000 3.6386 0.101072 0.102901 0.104773 0.106679 27.04 37.71 Citigroup Global Markets 17329FJR6 06/30/21 06/29/28 100.000 0.000 1.9800 9.96 0.055541 0.056091 0.056646 0.057207 0.057774 20.10 20.50 Citigroup Global Markets 17328YY24 04/06/21 10/05/26 100.000 0.000 1.8324 13.53 0.051363 0.051834 0.052309 0.052788 0.053271 18.66 19.00 Citigroup Global Markets 17327TFX9 11/13/19 11/10/22 100.000 0.000 2.2910 49.81 0.066591 0.067354 20.71 Citigroup Global Markets 17327TX84 02/04/20 02/04/25 100.000 0.000 2.4251 47.09 0.069845 0.070692 0.071549 0.072416 0.073295 25.55 26.17 Citigroup Global Markets 17328VWV8 05/05/20 05/05/25 100.000 0.000 1.9904 33.34 0.056956 0.057523 0.058096 0.058674 0.059258 20.67 21.08 Citigroup Global Markets 17327TFW1 09/30/19 09/30/25 100.000 0.000 2.5748 59.35 0.075276 0.076245 0.077226 0.078221 0.079227 27.45 28.16 Citigroup Global Markets 17328Y6K5 01/12/21 01/10/25 100.000 0.000 0.8580 8.34 0.023935 0.024038 0.024141 0.024245 0.024349 8.67 8.75 CITIGROUP GLBL MKTS HOLD 17330FAF8 04/27/22 04/28/25 100.000 0.000 4.1792 0.116104 0.118530 0.121007 0.123535 28.48 43.43 Citigroup Global Markets 17329U4U2 11/17/21 11/17/31 100.000 VARIES 1.8560 2.27 0.051556 0.050875 0.050187 0.050144 0.050199 18.38 18.06 Citigroup Global Markets 17328WJ58 09/30/20 12/31/26 100.000 0.000 1.5240 19.21 0.043145 0.043474 0.043805 0.044139 0.044475 15.59 15.83 Citigroup Global Markets 17328YXX7 03/31/21 03/30/28 100.000 0.000 2.0694 15.63 0.058078 0.058679 0.059286 0.059899 0.060519 21.13 21.57 Citigroup Global Markets 17326X819 01/04/19 01/05/26 100.000 0.000 4.1130 129.53 0.126505 0.129107 0.131762 0.134472 0.137237 46.94 48.89 Citigroup Global Markets 17328YHB3 12/30/20 12/30/27 100.000 0.000 1.4932 15.03 0.042099 0.042414 0.042730 0.043049 0.043371 15.21 15.44 Citigroup Global Markets 17329FKC7 05/28/21 05/31/28 100.000 0.000 1.9802 11.73 0.055556 0.056106 0.056661 0.057222 0.057789 20.13 20.53 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17329QT42 10/01/21 04/01/27 100.000 0.000 1.7824 4.46 0.049510 0.049951 0.050396 0.050846 0.051299 17.98 18.30 Citigroup Global Markets 17326Y2M7 03/05/19 03/03/22 100.000 0.000 3.2140 94.19 0.096667 5.99 CITIGROUP GLBL MKTS HOLD 17330ABF8 02/28/22 02/28/29 100.000 0.000 3.0477 0.084659 0.085949 0.087259 0.088589 25.81 31.50 Citigroup Global Markets 17328YHA5 01/29/21 01/31/28 100.000 0.000 1.4841 13.73 0.041533 0.041841 0.042152 0.042464 0.042779 15.10 15.33 Citigroup Global Markets 17324CGS9 04/28/17 10/28/22 100.000 0.750 2.9296 143.44 0.089843 0.090854 26.87 CITIGROUP GLBL MKTS HOLD 17330AJU7 03/23/22 03/23/26 100.000 0.000 3.4519 0.095885 0.097540 0.099223 0.100936 26.82 35.75 Citigroup Global Markets 17327TXK7 12/02/19 12/01/22 100.000 0.000 2.2585 47.84 0.065613 0.066354 21.79 CITIGROUP GLBL MKTS HOLD 17330FA68 04/08/22 04/10/25 100.000 0.000 3.5215 0.097819 0.097838 0.099561 0.101314 0.103098 25.87 36.44 Citigroup Global Markets 17327TXH4 10/02/19 10/02/24 100.000 0.000 2.4893 57.19 0.072655 0.073559 0.074475 0.075402 0.076340 26.48 27.14 Citigroup Global Markets 17328WRX8 11/30/20 05/30/24 100.000 0.000 0.8281 9.02 0.023193 0.023289 0.023385 0.023482 0.023579 8.37 8.44 Citigroup Global Markets 17329UWL1 12/23/21 12/24/26 100.000 0.000 1.9011 0.42 0.052810 0.053312 0.053819 0.054330 0.054847 19.11 19.47 Citigroup Global Markets 17329FSP0 07/30/21 02/01/27 100.000 0.000 1.6132 6.77 0.044812 0.045174 0.045538 0.045905 0.046275 16.31 16.57 Citigroup Global Markets 17328VP61 05/20/20 05/20/25 100.000 0.000 1.9603 31.99 0.056071 0.056620 0.057175 0.057736 0.058302 20.33 20.73 Citigroup Global Markets 17328WB80 08/21/20 11/21/25 100.000 0.000 1.2860 17.61 0.036301 0.036534 0.036769 0.037005 0.037243 13.13 13.30 Citigroup Global Markets 17327T6F8 03/02/20 08/31/23 100.000 0.000 2.1027 39.05 0.060263 0.060889 0.061537 0.062176 21.96 14.82 Citigroup Global Markets 17328VXE5 07/01/20 07/01/25 100.000 0.000 1.4940 22.58 0.042437 0.042754 0.043074 0.043395 0.043719 15.33 15.56 CITIGROUP GLBL MKTS HOLD 17330ASK9 03/31/22 04/03/29 100.000 0.000 3.8243 0.106229 0.106263 0.108295 0.110366 0.112476 28.98 39.73 Citigroup Global Markets 17324C6M3 08/02/16 02/02/22 100.000 0.300 2.3124 131.60 0.071044 2.20 Citigroup Global Markets 17328WJG4 09/21/20 09/21/27 100.000 0.000 1.4782 19.00 0.041670 0.041978 0.042289 0.042601 0.042916 15.12 15.34 Citigroup Global Markets 17326YS72 04/23/19 04/21/22 100.000 0.000 3.0064 83.57 0.089964 9.90 Citigroup Global Markets 17329QZJ2 10/29/21 10/31/28 100.000 0.000 2.2084 3.80 0.061348 0.062025 0.062710 0.063403 0.064103 22.29 22.79 Citigroup Global Markets 17326YB62 02/20/19 02/17/22 100.000 0.000 3.2683 97.32 0.098423 4.53 Citigroup Global Markets 17326YJF4 02/28/19 03/02/22 100.000 0.000 3.3909 100.30 0.102491 6.25 Citigroup Global Markets 17327TW36 01/24/20 01/26/22 100.000 0.000 2.0546 40.38 0.058855 1.47 Citigroup Global Markets 17328WHP6 09/30/20 03/31/28 100.000 0.000 1.7012 21.46 0.048064 0.048473 0.048885 0.049301 0.049721 17.45 17.75 Citigroup Global Markets 17329FZJ6 07/30/21 08/01/28 100.000 0.000 1.8422 7.73 0.051174 0.051645 0.052121 0.052601 0.053086 18.65 18.99 Citigroup Global Markets 17324CNH5 12/04/17 12/02/22 100.000 0.000 2.8697 123.14 0.089324 0.090606 29.80 Citigroup Global Markets 17324CEW2 02/28/17 08/26/22 100.000 0.750 2.9987 152.40 0.092227 0.093298 21.87 Citigroup Global Markets 17328Y5D2 02/02/21 02/02/28 100.000 0.000 1.4841 13.61 0.041531 0.041840 0.042150 0.042463 0.042778 15.10 15.32 CITIGROUP GLBL MKTS HOLD 17330ARL8 03/25/22 09/25/25 100.000 0.000 3.5212 0.097811 0.099533 0.101286 0.103069 27.16 36.49 CITIGROUP GLBL MKTS HOLD 17329UV24 01/31/22 01/31/29 100.000 0.000 2.5733 0.071481 0.072401 0.073333 0.074276 23.80 26.52 Citigroup Global Markets 17328WHM3 08/31/20 05/29/26 100.000 0.000 1.3060 17.55 0.036873 0.037114 0.037356 0.037600 0.037846 13.33 13.51 Citigroup Global Markets 17324CNA0 10/31/17 10/31/22 100.000 0.000 2.7777 121.92 0.086161 0.087358 25.98 Citigroup Global Markets 17328WYN2 11/30/20 11/30/27 100.000 0.000 1.4941 16.30 0.042125 0.042440 0.042757 0.043077 0.043398 15.24 15.47 Citigroup Global Markets 17326YAR7 06/05/19 06/03/22 100.000 0.000 2.6588 70.31 0.078886 11.99 Citigroup Global Markets 17329QQS2 09/29/21 09/29/33 100.000 VARIES 1.7344 4.43 0.048178 0.047632 0.047082 0.046437 0.045836 17.14 16.72 CITIGROUP GLBL MKTS HOLD 17330F7M7 04/21/22 04/23/24 100.000 0.000 3.5326 0.098127 0.098146 0.099880 0.101644 0.103439 24.65 36.52 CITIGROUP GLBL MKTS HOLD 17330F7L9 04/29/22 05/01/25 100.000 0.000 4.0129 0.111470 0.111494 0.113731 0.116013 0.118341 27.12 41.63 Citigroup Global Markets 17329QR36 10/29/21 10/31/28 100.000 0.000 2.2084 3.80 0.061348 0.062025 0.062710 0.063403 0.064103 22.29 22.79 Citigroup Global Markets 17327TMZ6 08/30/19 03/04/25 100.000 0.000 2.1981 52.41 0.063804 0.064505 0.065214 0.065930 0.066655 23.26 23.77 Citigroup Global Markets 17327TF92 01/31/20 02/02/23 100.000 0.000 2.2035 42.97 0.063263 0.063960 0.064665 23.11 2.00 Citigroup Global Markets 17328YFN9 01/29/21 01/31/28 100.000 0.000 1.4841 13.73 0.041533 0.041841 0.042152 0.042464 0.042779 15.10 15.33 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17327T4W3 12/24/19 12/24/24 100.000 0.000 2.4008 49.38 0.069949 0.070789 0.071638 0.072498 0.073369 25.34 25.96 CITIGROUP GLBL MKTS HOLD 17330AAT9 02/28/22 08/27/26 100.000 0.000 2.8110 0.078082 0.079173 0.080286 0.081414 23.79 28.98 Citigroup Global Markets 17328VF62 04/03/20 04/05/23 100.000 0.000 2.2190 39.26 0.063721 0.064428 0.065143 23.19 6.12 Citigroup Global Markets 17327TNH5 07/31/19 02/01/23 100.000 0.000 2.4950 61.84 0.072835 0.073744 0.074664 26.66 2.24 CITIGROUP GLBL MKTS HOLD 17330AAS1 02/28/22 08/28/25 100.000 0.000 2.6531 0.073697 0.074675 0.075666 0.076669 22.45 27.31 Citigroup Global Markets 17328Y5K6 12/24/20 09/24/26 100.000 0.000 1.2860 13.16 0.036068 0.036300 0.036533 0.036768 0.037005 13.07 13.24 Citigroup Global Markets 17324CNJ1 12/04/17 06/02/23 100.000 0.750 2.9364 124.49 0.089065 0.090067 0.091084 32.30 13.75 CITIGROUP GLBL MKTS HOLD 17330AS94 03/23/22 03/23/27 100.000 0.000 3.3824 0.093956 0.095545 0.097161 0.098804 26.28 35.01 Citigroup Global Markets 17327TET9 12/02/19 12/02/24 100.000 0.000 2.4449 51.87 0.071295 0.072166 0.073048 0.073941 0.074845 25.87 26.51 Citigroup Global Markets 17328VEP1 03/31/20 03/31/25 100.000 0.750 3.2898 58.72 0.095315 0.096197 0.097779 0.098702 0.100326 34.68 35.59 Citigroup Global Markets 17326YS98 03/29/19 03/31/22 100.000 0.000 2.9227 83.27 0.087302 7.77 Citigroup Global Markets 17328YWJ9 03/31/21 03/31/31 100.000 0.000 2.6134 19.76 0.073544 0.074505 0.075478 0.076465 0.077464 26.82 27.53 Citigroup Global Markets 17327TNB8 09/19/19 09/21/22 100.000 0.000 2.4325 56.78 0.070925 0.071788 18.60 Citigroup Global Markets 17327TND4 11/05/19 11/03/22 100.000 0.000 1.6705 36.52 0.047968 0.048368 14.56 CITIGROUP GLBL MKTS HOLD 17330FHV6 04/08/22 04/10/24 100.000 0.000 3.3654 0.093483 0.093501 0.095074 0.096674 0.098301 24.72 34.78 Citigroup Global Markets 17328VW22 07/06/20 07/03/25 100.000 0.000 1.4650 21.93 0.041288 0.041591 0.041895 0.042202 0.042512 15.03 15.25 Citigroup Global Markets 17328YWY6 03/31/21 04/01/27 100.000 0.000 1.8423 13.91 0.051650 0.052126 0.052606 0.053091 0.053580 18.77 19.11 Citigroup Global Markets 17329FRK2 07/06/21 07/06/26 100.000 0.000 1.5640 7.60 0.043445 0.043785 0.044128 0.044473 0.044820 15.82 16.07 CITIGROUP GLBL MKTS HOLD 17330AQZ8 03/31/22 04/02/27 100.000 0.000 3.7567 0.104354 0.104375 0.106336 0.108333 0.110368 28.46 39.00 Citigroup Global Markets 17324P396 08/03/16 02/05/24 100.000 0.000 2.5904 149.45 0.081849 0.082910 0.083983 0.085071 0.086173 29.97 30.75 Citigroup Global Markets 17329QRJ1 09/30/21 10/02/28 100.000 0.000 1.9703 4.98 0.054738 0.055277 0.055821 0.056371 0.056927 19.90 20.29 Citigroup Global Markets 17329FZY3 07/30/21 08/01/28 100.000 0.000 1.8422 7.73 0.051174 0.051645 0.052121 0.052601 0.053086 18.65 18.99 Citigroup Global Markets 17325K776 08/03/17 02/05/24 100.000 0.000 3.0276 141.75 0.094855 0.096291 0.097749 0.099229 0.100731 34.83 35.89 Citigroup Global Markets 17329QRG7 10/29/21 10/31/28 100.000 0.000 2.2084 3.80 0.061348 0.062025 0.062710 0.063403 0.064103 22.29 22.79 CITIGROUP GLBL MKTS HOLD 17330F6Z9 04/08/22 04/08/27 100.000 0.000 3.6386 0.101073 0.102912 0.104785 0.106691 26.74 37.70 Citigroup Global Markets 17329FAD6 04/30/21 05/01/31 100.000 0.000 2.5734 17.28 0.072407 0.073339 0.074283 0.075238 0.076206 26.35 27.03 Citigroup Global Markets 17328VNJ5 06/22/20 03/21/24 100.000 0.000 1.2560 19.29 0.035439 0.035661 0.035885 0.036111 0.036337 12.84 13.00 Citigroup Global Markets 17324CFE1 03/10/17 03/10/27*** 100.000 VARIES 2.9100 19.10 0.010569 0.010723 0.010879 *** *** 3.87 *** Citigroup Global Markets 17329FZT4 07/30/21 08/01/28 100.000 0.000 1.8422 7.73 0.051174 0.051645 0.052121 0.052601 0.053086 18.65 18.99 Citigroup Global Markets 17329FJC9 05/28/21 05/31/28 100.000 0.000 1.9802 11.73 0.055556 0.056106 0.056661 0.057222 0.057789 20.13 20.53 Citigroup Global Markets 17328V5E6 04/15/20 03/31/25 100.000 0.000 2.4947 43.36 0.071848 0.072744 0.073651 0.074570 0.075500 26.19 26.85 CITIGROUP GLBL MKTS HOLD 17330AZR6 04/29/22 05/01/29 100.000 0.000 4.3735 0.121485 0.121515 0.124172 0.126887 0.129662 29.57 45.52 Citigroup Global Markets 17329U4J7 11/29/21 11/27/26 100.000 0.000 1.9803 1.76 0.055008 0.055546 0.056096 0.056652 0.057213 19.94 20.33 CITIGROUP GLBL MKTS HOLD 17330AZU9 04/29/22 04/29/27 100.000 0.000 4.2270 0.117417 0.119898 0.122432 0.125020 28.57 43.94 Citigroup Global Markets 17326YSN7 02/28/19 03/04/24 100.000 0.000 3.5717 105.88 0.108461 0.110398 0.112370 0.114376 0.116419 39.85 41.29 Citigroup Global Markets 17325K792 09/14/17 09/14/23 100.000 0.000 2.8890 131.21 0.090008 0.091308 0.092627 0.093965 32.92 23.68 CITIGROUP GLBL MKTS HOLD 17330ARG9 04/05/22 04/05/27 100.000 0.000 3.5796 0.099433 0.101213 0.103024 0.104868 26.60 37.08 CITIGROUP GLBL MKTS HOLD 17330AJ78 04/05/22 04/05/27 100.000 0.000 3.5796 0.099433 0.101213 0.103024 0.104868 26.60 37.08 Citigroup Global Markets 17328WA73 08/31/20 08/31/27 100.000 0.000 1.4842 19.96 0.041841 0.042148 0.042464 0.042776 0.043097 15.19 15.42 Citigroup Global Markets 17326W423 02/21/19 08/18/22 100.000 0.000 3.2955 98.06 0.099309 0.100945 22.84 Citigroup Global Markets 17329FRM8 06/30/21 12/31/26 100.000 0.000 1.7230 8.66 0.048273 0.048689 0.049109 0.049532 0.049958 17.45 17.76 Citigroup Global Markets 17326YK96 03/29/19 03/31/22 100.000 0.000 2.9227 83.27 0.087302 7.77 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Global Markets 17327TFC5 12/04/19 12/02/22 100.000 0.000 2.3164 48.96 0.067368 0.068148 22.44 Citigroup Global Markets 17327TNS1 09/03/19 09/03/24 100.000 0.000 1.8671 44.22 0.053829 0.054331 0.054839 0.055351 0.055867 19.59 19.96 Citigroup Global Markets 17329FAK0 04/21/21 04/21/31 100.000 0.000 2.5734 17.94 0.072403 0.073334 0.074278 0.075234 0.076202 26.36 27.05 Citigroup Inc. 1730T3AX1 09/30/15 09/30/35*** 100.000 VARIES 4.3723 36.86 0.103211 0.105122 0.107076 *** *** 37.85 *** Citigroup Inc. 1730T3AW3 08/31/15 08/31/35*** 100.000 VARIES 4.4100 38.37 0.106662 0.105755 0.108374 *** *** 38.98 *** Citigroup Inc. 1730T3AV5 08/31/15 08/31/35*** 100.000 VARIES 4.4143 38.19 0.107073 0.107280 0.111088 *** *** 39.61 *** Citigroup Inc. 1730T0A90 10/30/13 10/30/33*** 100.000 VARIES 4.6216 39.29 0.110316 0.111675 0.113065 *** *** 40.13 *** Citigroup Inc. 1730T3AZ6 11/30/15 11/30/35*** 100.000 VARIES 4.3523 38.51 0.108628 0.110843 0.113107 *** *** 39.64 *** Citigroup Inc. 1730T3AY9 10/30/15 10/30/35*** 100.000 VARIES 4.3036 37.19 0.104865 0.107057 0.109297 *** *** 38.42 *** Citigroup Inc. 17323P496 01/05/16 07/06/23 100.000 0.000 3.1941 208.99 0.105627 0.107314 0.109028 0.110769 38.92 20.48 Citigroup Inc. 1730T0A82 11/15/13 11/15/28*** 100.000 VARIES 4.5367 39.42 0.110697 0.111880 0.113089 *** *** 40.17 *** Citigroup Inc. 17298CAT5 05/27/15 05/27/25 100.000 VARIES 2.5639 2.59 0.007315 0.007409 0.007504 0.007601 0.007699 2.67 2.73 Citigroup Inc. 1730T0R76 06/27/14 06/27/34*** 100.000 VARIES 4.4526 37.83 0.106137 0.106871 0.107912 *** *** 38.35 *** Citigroup Inc. 1730T0A58 10/22/13 10/22/33*** 100.000 VARIES 4.6765 37.92 0.106359 0.107848 0.109372 *** *** 38.77 *** Citigroup Inc. 1730T0R50 06/18/14 06/18/34*** 100.000 VARIES 4.4513 38.13 0.108596 0.110532 0.112941 *** *** 39.50 *** Citigroup Inc. 17298CAR9 05/28/15 05/28/35*** 100.000 VARIES 4.3835 38.76 0.110396 0.112700 0.115055 *** *** 40.31 *** Citigroup Inc. 17298CAQ1 05/28/15 05/26/22 100.000 0.000 3.0095 217.64 0.101495 14.72 Citigroup Inc. 17298CAP3 05/28/15 05/26/22 100.000 0.000 3.0095 217.64 0.101495 14.72 Citigroup Inc. 17298C2C1 09/30/15 09/29/22 100.000 0.000 3.0163 205.90 0.100264 0.101777 27.14 Citigroup Inc. 17298C2B3 09/30/15 09/29/22 100.000 0.000 3.0163 205.90 0.100264 0.101777 27.14 Citigroup Inc. 17323Q692 09/18/15 03/20/23 100.000 0.000 3.1459 216.83 0.105404 0.107061 0.108745 38.58 8.59 Citigroup Inc. 17323P363 02/03/16 08/03/23 100.000 0.000 2.9606 189.74 0.096667 0.098098 0.099550 0.101023 35.48 21.37 Citigroup Inc. 1730T0RN1 02/27/13 02/27/28*** 100.000 VARIES 3.2574 27.82 0.077876 0.078614 0.079586 *** *** 28.38 *** Citigroup Inc. 17323Q643 10/05/15 04/04/23 100.000 0.000 3.1923 218.50 0.107224 0.108935 0.110674 39.21 10.29 Citigroup Inc. 17298CBV9 06/30/15 06/30/22 100.000 0.000 3.2000 229.30 0.109261 19.56 Citigroup Inc. 17298CBT4 06/30/15 06/30/22 100.000 0.000 3.2000 229.30 0.109261 19.56 Citigroup Inc. 1730T02B4 10/30/14 10/30/34 100.000 VARIES 4.5064 41.71 0.117049 0.118093 0.119161 0.120306 0.121440 42.55 43.35 Citigroup Inc. 1730T0L31 03/28/14 03/28/34*** 100.000 VARIES 4.6422 39.89 0.111822 0.112886 0.114189 *** *** 40.67 *** Citigroup Inc. 1730T02D0 10/31/14 10/31/29*** 100.000 VARIES 4.0094 34.83 0.097623 0.098385 0.099163 *** *** 35.38 *** Citigroup Inc. 1730T0L64 03/12/14 03/12/34*** 100.000 VARIES 4.7152 37.63 0.105338 0.106271 0.107711 *** *** 38.35 *** Citigroup Inc. 1730T0T58 06/27/14 06/27/34*** 100.000 VARIES 4.3618 37.51 0.104125 0.104087 0.104266 *** *** 37.48 *** Citigroup Inc. 1730T0C23 11/12/13 11/12/33*** 100.000 VARIES 4.7621 39.60 0.111006 0.112373 0.113773 *** *** 40.34 *** Citigroup Inc. 1730T0SM2 04/29/13 04/29/33*** 100.000 VARIES 3.4970 31.35 0.088225 0.089244 0.090307 *** *** 32.07 *** Citigroup Inc. 1730T0SX8 04/22/13 04/22/23*** 100.000 VARIES 1.4141 2.80 0.007833 0.007888 0.007944 *** *** 2.84 *** Citigroup Inc. 1730T0C56 11/26/13 11/26/33*** 100.000 VARIES 4.7711 40.87 0.114922 0.116263 0.117635 *** *** 41.71 *** Citigroup Inc. 17298C6Z6 02/29/16 03/01/23 100.000 0.000 2.8956 182.80 0.094227 0.095591 0.096975 34.50 5.82 Citigroup Inc. 1730T0UG2 07/09/13 07/09/28*** 100.000 VARIES 4.4999 41.09 0.114682 0.115867 0.117078 *** *** 41.91 *** Citigroup Inc. 1730T0UB3 07/09/13 07/09/33*** 100.000 VARIES 4.7565 44.64 0.124771 0.126244 0.127752 *** *** 45.70 *** Citigroup Inc. 17298CJ82 03/20/20 03/20/30 100.000 VARIES 2.2121 6.55 0.009480 0.009038 0.009138 0.009239 0.009342 3.30 3.33 Citigroup Inc. 17298CJ74 03/04/20 03/04/30 100.000 VARIES 1.9573 5.85 0.008345 0.008003 0.008081 0.008160 0.008240 2.91 2.94 Citigroup Inc. 17298CAF5 05/15/15 05/15/30 100.000 VARIES 2.6421 3.32 0.009381 0.009505 0.009630 0.009755 0.009885 3.42 3.51 Citigroup Inc. 1730T0UK3 07/30/13 07/30/33*** 100.000 VARIES 4.8333 42.15 0.117921 0.119709 0.121540 *** *** 43.32 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T0TT6 06/28/13 06/28/33*** 100.000 VARIES 4.5398 40.92 0.116631 0.118799 0.121016 *** *** 42.39 *** Citigroup Inc. 1730T02P3 10/31/14 10/31/34*** 100.000 VARIES 4.7455 41.62 0.115336 0.115095 0.114848 *** *** 41.45 *** Citigroup Inc. 1730T0U49 07/31/14 07/31/34*** 100.000 VARIES 4.3417 38.73 0.108083 0.108855 0.109644 *** *** 39.28 *** Citigroup Inc. 1730T0TQ2 06/11/13 06/11/33*** 100.000 VARIES 4.2945 38.95 0.109847 0.111071 0.112387 *** *** 39.82 *** Citigroup Inc. 1730T0TZ2 06/27/13 06/27/33*** 100.000 VARIES 4.6405 42.64 0.120698 0.122356 0.124052 *** *** 43.76 *** Citigroup Inc. 1730T02V0 11/26/14 11/26/34*** 100.000 VARIES 4.2546 37.48 0.106927 0.109148 0.111416 *** *** 39.05 *** Citigroup Inc. 17298C5U8 01/29/16 01/31/23 100.000 0.000 3.1492 203.30 0.103890 0.105525 0.107187 38.19 3.11 Citigroup Inc. 17298CFV5 01/22/18 01/22/28 100.000 VARIES 3.0673 15.36 0.010308 0.010466 0.010626 0.010789 0.010955 3.79 3.91 Citigroup Inc. 1730T0N62 04/29/14 04/29/34*** 100.000 VARIES 4.5423 37.91 0.106402 0.107376 0.108610 *** *** 38.62 *** Citigroup Inc. 1730T0VD8 09/18/13 09/18/33*** 100.000 VARIES 5.1093 44.59 0.125332 0.127278 0.129274 *** *** 45.88 *** Citigroup Inc. 17298CFQ6 12/01/17 12/01/27 100.000 VARIES 2.8600 17.60 0.011221 0.011381 0.011544 0.011709 0.011877 4.08 4.20 Citigroup Inc. 1730T0W21 08/28/14 08/28/34*** 100.000 VARIES 4.2433 39.60 0.110531 0.111205 0.111894 *** *** 40.08 *** Citigroup Inc. 17321F755 11/05/13 11/03/22 100.000 0.000 3.6500 343.17 0.135386 0.137857 41.33 Citigroup Inc. 1730T03Z0 01/30/15 02/01/22 100.000 0.000 2.8404 215.52 0.094783 2.84 Citigroup Inc. 1730T03W7 01/30/15 01/30/35*** 100.000 VARIES 3.9694 40.21 0.113112 0.115324 0.117258 *** *** 41.74 *** Citigroup Inc. 17298C4W5 12/31/15 01/05/23 100.000 0.000 3.1984 209.83 0.105832 0.107524 0.109244 39.00 0.44 Citigroup Inc. 1730T0E96 01/29/14 01/29/34*** 100.000 VARIES 4.6111 36.06 0.100792 0.101750 0.103267 *** *** 36.83 *** Citigroup Inc. 1730T03V9 01/30/15 02/01/22 100.000 0.000 2.8404 215.52 0.094783 2.84 Citigroup Inc. 17298CGZ5 06/19/19 06/19/26 100.000 VARIES 2.5629 13.90 0.014464 0.014649 0.014837 0.015027 0.015220 5.24 5.38 Citigroup Inc. 17298C6X1 02/29/16 03/01/23 100.000 0.000 2.8956 182.80 0.094227 0.095591 0.096975 34.50 5.82 Citigroup Inc. 17298CGS1 03/29/19 03/29/29 100.000 VARIES 3.1121 14.47 0.013114 0.013318 0.013525 0.013736 0.013949 4.80 4.95 Citigroup Inc. 17298C6K9 01/29/16 01/29/26 100.000 VARIES 2.4179 28.79 0.013410 0.013572 0.013737 0.013886 0.014055 4.92 5.04 Citigroup Inc. 17298CGL6 11/28/18 11/28/28 100.000 VARIES 3.8162 18.98 0.014522 0.014799 0.015082 0.015370 0.015663 5.30 5.50 Citigroup Inc. 17298CGK8 11/20/18 11/20/23 100.000 VARIES 3.5118 10.53 0.009272 0.009434 0.009600 0.009769 3.38 3.09 Citigroup Inc. 17298CGC6 08/16/18 08/16/28*** 100.000 VARIES 3.4665 9.10 0.006776 0.006896 0.007016 *** *** 2.53 *** Citigroup Inc. 17298CGD4 09/26/18 09/26/28 100.000 VARIES 3.8142 8.80 0.006806 0.006936 0.007068 0.007203 0.007340 2.50 2.59 Citigroup Inc. 1730T0P86 05/30/14 05/30/34*** 100.000 VARIES 4.4254 35.64 0.100265 0.101254 0.102704 *** *** 36.35 *** Citigroup Inc. 1730T06D6 03/27/15 03/27/25*** 100.000 VARIES 3.1775 32.75 0.090769 0.090555 0.090252 *** *** 32.59 *** Citigroup Inc. 17298C3F3 10/28/15 10/28/25 100.000 VARIES 2.3916 3.18 0.008957 0.009064 0.009172 0.009283 0.009394 3.27 3.35 Citigroup Inc. 1730T06L8 03/23/15 03/23/22 100.000 0.000 2.8171 208.61 0.093858 7.70 Citigroup Inc. 1730T05Y1 03/30/15 03/30/22 100.000 0.000 2.9238 216.57 0.098081 8.73 Citigroup Inc. 17298C3A4 10/30/15 11/01/22 100.000 0.000 2.9688 199.42 0.098425 0.099886 29.79 Citigroup Inc. 1730T05X3 03/30/15 03/30/22 100.000 0.000 2.9238 216.57 0.098081 8.73 Citigroup Inc. 17323P249 02/03/16 08/03/23 100.000 0.000 2.9606 189.74 0.096667 0.098098 0.099550 0.101023 35.48 21.37 Citigroup Inc. 1730T0G78 02/19/14 02/19/34*** 100.000 VARIES 4.7124 40.97 0.115067 0.116770 0.118724 *** *** 42.21 *** Citigroup Inc. 17298C2Z0 10/30/15 11/01/22 100.000 0.000 2.9688 199.42 0.098425 0.099886 29.79 Citigroup Inc. 1730T07K9 04/30/15 04/30/35*** 100.000 VARIES 4.1098 36.61 0.101428 0.101198 0.101176 *** *** 36.46 *** Citigroup Inc. 17298C4B1 11/30/15 11/30/22 100.000 0.000 3.0605 203.06 0.102008 0.103569 33.84 Citigroup Inc. 17298C4A3 11/30/15 11/30/22 100.000 0.000 3.0605 203.06 0.102008 0.103569 33.84 Citigroup Inc. 1730T06X2 04/29/15 04/28/22 100.000 0.000 2.7395 199.09 0.090812 10.63 Citigroup Inc. 17323P140 03/03/16 09/01/23 100.000 0.000 3.0322 191.73 0.099373 0.100879 0.102409 0.103961 36.41 24.86 Citigroup Inc. 1730T06V6 04/29/15 04/28/22 100.000 0.000 2.7395 199.09 0.090812 10.63 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Citigroup Inc. 1730T07D5 04/27/15 04/27/25*** 100.000 VARIES 2.3818 23.49 0.065369 0.065478 0.065589 *** *** 23.57 *** City of Boston, MA 100853GH7 11/04/09 09/15/24*** 89.556 6.050 7.2063 76.49 0.025973 0.026909 0.027878 *** *** 9.72 *** City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1398 500.95 0.134840 0.139653 0.144639 0.149802 0.155150 50.29 53.95 City of Hoboken 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1397 328.84 0.088514 0.091674 0.094947 0.098336 0.101846 33.01 35.41 City of Hoboken 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1398 378.38 0.101848 0.105484 0.109249 0.113149 0.117189 37.99 40.75 City of Hoboken 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 352.74 0.094946 0.098335 0.101846 0.105482 0.109247 35.41 37.99 City of Hoboken 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 405.87 0.109247 0.113147 0.117186 0.121370 0.125702 40.75 43.71 City of Hoboken 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1397 467.01 0.125704 0.130191 0.134839 0.139652 0.144638 46.88 50.29 City of Hoboken 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 435.37 0.117186 0.121369 0.125702 0.130190 0.134837 43.71 46.88 City of Reno, NV 759830AS1 09/22/16 06/01/22 98.689 2.500 2.7504 12.09 0.006861 1.03 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24*** 91.490 5.510 6.4445 64.19 0.022152 0.022865 0.023602 *** *** 8.13 *** Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22 112.683 5.000 2.7510 156.02 0.078101 0.077265 25.62 Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23*** 99.293 VARIES 5.6308 56.13 0.156029 0.156120 0.156214 *** *** 56.19 *** Coles Counties, IL 193792EY0 11/26/13 12/01/23*** 98.985 VARIES 4.9628 49.43 0.137432 0.137534 0.137638 *** *** 49.50 *** Coles Counties, IL 193792EX2 11/26/13 12/01/23*** 99.043 VARIES 4.7528 47.35 0.131642 0.131734 0.131828 *** *** 47.41 *** Coles Counties, IL 193792EZ7 11/26/13 12/01/23*** 98.936 VARIES 5.1717 51.50 0.143195 0.143306 0.143420 *** *** 51.58 *** Coles Counties, IL 193792EV6 11/26/13 12/01/22 104.771 VARIES 4.3909 44.33 0.122688 0.122332 40.42 Coles Counties, IL 193792EW4 11/26/13 12/01/23*** 99.115 VARIES 4.5919 45.76 0.127210 0.127292 0.127377 *** *** 45.82 *** Coles Counties, IL 193792FB9 11/26/13 12/01/23*** 99.347 VARIES 5.4215 54.05 0.150256 0.150338 0.150422 *** *** 54.11 *** Coles Counties, IL 193792FA1 11/26/13 12/01/23*** 98.886 VARIES 5.3302 53.07 0.147561 0.147681 0.147804 *** *** 53.15 *** Coles Counties, IL 193792FC7 11/26/13 12/01/23*** 99.318 VARIES 5.5264 55.09 0.153149 0.153236 0.153325 *** *** 55.15 *** Coles Counties, IL 193792FF0 11/26/13 12/01/23*** 99.314 VARIES 6.2344 62.14 0.172745 0.172848 0.172954 *** *** 62.21 *** Coles Counties, IL 193792FE3 11/26/13 12/01/23*** 99.301 VARIES 5.9329 59.14 0.164396 0.164494 0.164594 *** *** 59.21 *** Coles Counties, IL 193792FH6 11/26/13 12/01/23*** 118.448 VARIES 6.4777 68.64 0.188158 0.186200 0.184179 *** *** 67.27 *** Coles Counties, IL 193792FG8 11/26/13 12/01/23*** 99.331 VARIES 6.5352 65.14 0.181079 0.181187 0.181298 *** *** 65.21 *** Compucredit Corporation 20478NAA8 05/27/05 05/30/25*** 100.000 VARIES 9.1299 257.46 0.747027 0.763022 0.805582 *** *** 277.48 *** Compucredit Corporation 20478NAB6 05/27/05 05/30/25*** 100.000 VARIES 9.1299 257.46 0.747027 0.763022 0.805582 *** *** 277.48 *** Cook County, IL 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2997 469.81 0.132374 0.136543 0.140844 0.145281 0.149857 48.66 51.77 Cook County, IL 215219HH2 06/29/06 12/01/22 36.688 0.000 6.1997 578.76 0.162015 0.167037 54.37 Cook County, IL 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 513.93 0.144338 0.148849 0.153500 0.158297 0.163243 53.05 56.42 Cook County, IL 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 483.80 0.136050 0.140315 0.144714 0.149250 0.153929 50.01 53.19 Cook County, IL 215219HJ8 06/29/06 12/01/23 34.398 0.000 6.2198 545.32 0.152854 0.157607 0.162509 0.167563 56.17 54.54 Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3096 459.82 0.136705 0.141018 0.145467 0.150056 0.154790 50.25 53.47 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 488.95 0.145276 0.149852 0.154572 0.159440 0.164462 53.40 56.82 Cook County, IL SD #123 214651KF7 10/15/07 12/01/23 36.831 0.000 6.2895 519.83 0.154356 0.159210 0.164217 0.169381 56.74 55.12 Cook County, IL SD #123 214651KE0 10/15/07 12/01/22 39.242 0.000 6.2794 552.54 0.163969 0.169117 55.04 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3296 419.29 0.124805 0.128754 0.132829 0.137033 0.141370 45.88 48.83 Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 432.34 0.128611 0.132675 0.136867 0.141191 0.145653 47.28 50.31 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7994 459.73 0.154545 0.159799 0.165232 0.170849 0.176657 56.90 60.84 Cook County, IL SD #155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8494 431.18 0.145331 0.150308 0.155456 0.160780 0.166286 53.52 57.25 Cook County, IL SD #155 215219JR8 10/08/09 12/01/23 39.094 0.000 6.7493 489.66 0.164171 0.169712 0.175439 0.181359 60.44 58.96 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0995 354.35 0.121016 0.125312 0.129760 0.134366 0.139136 44.60 47.82 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 342.47 0.117262 0.121454 0.125796 0.130292 0.134950 43.22 46.37 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 403.99 0.136524 0.141234 0.146106 0.151146 0.156360 50.28 53.81 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 378.76 0.128672 0.133175 0.137835 0.142659 0.147652 47.41 50.78 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2497 396.64 0.152965 0.159275 0.165845 0.172686 0.179809 56.41 61.16 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9997 426.06 0.162372 0.168866 0.175621 0.182645 0.189951 59.83 64.72 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26*** 109.444 VARIES 7.6950 80.64 0.222966 0.222193 0.221390 *** *** 80.10 *** Cook County, IL SD #89 214201GK5 12/13/07 12/01/22 38.951 0.000 6.3998 554.44 0.166918 0.172259 56.04 Cook County, IL SD #89 214201GL3 12/13/07 12/01/23 36.291 0.000 6.4499 522.60 0.157803 0.162892 0.168145 0.173568 58.04 56.46 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 455.76 0.171876 0.178562 0.185507 0.192723 0.200220 63.30 68.32 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4699 491.10 0.148470 0.153272 0.158231 0.163349 0.168634 54.61 58.20 Cook County, Illinois 214471HQ0 12/30/02 12/01/22 21.989 0.000 7.7497 712.89 0.199510 0.207241 67.23 Cook County, Illinois 215219FS0 06/30/03 12/01/22 33.892 0.000 5.6497 611.33 0.148430 0.152623 49.74 Cook County, Illinois 214723CZ9 09/07/05 12/01/23 36.271 0.000 5.6396 536.23 0.140165 0.144117 0.148181 0.152359 51.41 49.65 Cook County, Illinois 214723CY2 09/07/05 12/01/22 38.734 0.000 5.5795 563.52 0.146689 0.150781 49.14 Cook County, Illinois 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 509.20 0.133561 0.137360 0.141268 0.145286 0.149419 49.00 51.82 Cook County, Illinois 215219GQ3 06/02/05 12/01/23 36.261 0.000 5.5601 537.66 0.138403 0.142251 0.146205 0.150270 50.75 48.98 Cook County, Illinois 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6101 511.00 0.132003 0.135706 0.139512 0.143426 0.147449 48.41 51.17 Cook County, Illinois 215219GH3 06/02/05 12/01/22 38.699 0.000 5.5000 564.54 0.144709 0.148689 48.47 Corvallie, Benton County 2208855T0 03/12/02 01/01/23 23.613 0.000 7.0594 696.84 0.182951 0.182951 67.02 Credit Suisse 22547WQ22 02/11/16 02/10/23 100.000 0.000 1.8032 111.51 0.055284 0.055782 0.056285 20.13 2.20 Credit Suisse AG 22551LXX3 03/29/19 03/29/24 100.000 0.000 2.5700 72.92 0.076094 0.077072 0.078063 0.079066 0.080082 27.75 28.47 Credit Suisse AG 22551NWL6 04/01/20 10/02/25 100.000 0.000 3.0199 53.88 0.087752 0.089077 0.090422 0.091787 0.093173 32.07 33.04 Credit Suisse AG 22552FJ52 06/28/19 06/28/24 100.000 0.000 2.3699 60.88 0.069826 0.070653 0.071491 0.072338 0.073195 25.29 25.89 Credit Suisse AG 22551N6K7 11/29/19 02/29/24 100.000 0.000 2.0697 43.98 0.059603 0.060217 0.060843 0.061469 0.062109 21.72 22.17 Credit Suisse AG 22552FDW9 06/05/19 06/05/24 100.000 0.000 2.3699 62.49 0.069826 0.070653 0.071491 0.072338 0.073195 25.33 25.93 Credit Suisse AG 22551LUZ1 03/05/19 03/03/22 100.000 0.000 2.5701 74.75 0.076087 4.72 Credit Suisse AG 22551LVQ0 03/05/19 03/04/24 100.000 0.000 2.5700 74.75 0.076089 0.077067 0.078057 0.079060 0.080076 27.80 28.52 Credit Suisse AG 22551LW89 02/28/19 03/02/22 100.000 0.000 2.6052 76.35 0.077228 4.71 Credit Suisse AG 22551ND78 12/31/19 09/29/23 100.000 0.000 2.0695 42.12 0.059593 0.060210 0.060833 0.061463 21.68 16.42 Credit Suisse AG London 22551LXW5 03/29/19 03/29/24 100.000 0.000 2.5700 72.92 0.076094 0.077072 0.078063 0.079066 0.080082 27.75 28.47 Credit Suisse AG London 22552FHW5 06/28/19 09/30/24 100.000 0.000 2.3697 60.91 0.069419 0.070241 0.071074 0.071916 0.072768 25.29 25.89 Credit Suisse AG London 22551LYG9 04/03/19 04/01/22 100.000 0.000 2.4998 70.58 0.073879 6.65 Credit Suisse AG London 22552FA44 05/03/19 05/03/24 100.000 0.000 2.3601 64.44 0.069517 0.070338 0.071168 0.072007 0.072857 25.27 25.87 Credit Suisse AG London 22552FA36 04/30/19 04/30/24 100.000 0.000 2.5300 69.44 0.074837 0.075784 0.076742 0.077713 0.078696 27.23 27.92 Credit Suisse AG London 22550WNS2 04/18/18 04/18/23 100.000 0.000 3.4700 135.89 0.108721 0.110608 0.112527 39.76 12.04 Credit Suisse AG London 22548Y124 07/05/19 06/27/25 100.000 0.000 2.3699 60.40 0.069789 0.070616 0.071453 0.072300 0.073156 25.28 25.88 Credit Suisse AG London 22551LQP8 01/03/19 01/03/24 100.000 0.000 2.8700 89.08 0.085609 0.086837 0.088083 0.089347 0.090629 31.48 32.39 Credit Suisse AG London 22552FJ45 06/28/19 06/28/24 100.000 0.000 2.3699 60.88 0.069826 0.070653 0.071491 0.072338 0.073195 25.29 25.89 Credit Suisse AG London 22551LZD5 03/29/19 03/31/22 100.000 0.000 2.5701 72.93 0.076104 6.77 Credit Suisse AG London 22550WP43 04/30/18 04/28/23 100.000 0.000 3.5000 135.82 0.109756 0.111677 0.113632 40.10 13.29 Credit Suisse AG London 22551LRA0 01/31/19 02/02/22 100.000 0.000 2.8699 86.77 0.085620 2.65 Credit Suisse AG London 22551LZU7 03/29/19 03/29/24 100.000 0.000 2.5700 72.92 0.076094 0.077072 0.078063 0.079066 0.080082 27.75 28.47 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG London 22551LZV5 04/03/19 04/02/24 100.000 0.000 2.5300 71.46 0.074831 0.075778 0.076736 0.077707 0.078690 27.28 27.97 Credit Suisse AG London 22549M780 08/03/18 08/03/22 100.000 0.000 2.9664 105.68 0.090009 0.091344 19.32 Credit Suisse AG London 22551LRH5 01/31/19 02/01/24 100.000 0.000 2.8700 86.77 0.085614 0.086843 0.088089 0.089353 0.090635 31.41 32.32 Credit Suisse AG London 22551LRS1 02/05/19 02/03/22 100.000 0.000 2.5500 76.42 0.075456 2.41 Credit Suisse AG London 22551LRW2 02/05/19 02/05/24 100.000 0.000 2.6101 78.27 0.077358 0.078367 0.079390 0.080426 0.081476 28.33 29.07 Credit Suisse AG London 22552FBX9 05/31/19 06/03/24 100.000 0.000 2.3600 62.57 0.069530 0.070351 0.071181 0.072021 0.072871 25.22 25.82 Credit Suisse AG London 22551LJP6 11/30/18 11/30/23 100.000 0.000 3.0301 97.27 0.092115 0.093510 0.094927 0.096365 33.50 31.49 Credit Suisse AG London 22552FBV3 05/31/19 06/03/24 100.000 0.000 2.3600 62.57 0.069530 0.070351 0.071181 0.072021 0.072871 25.22 25.82 Credit Suisse AG London 22551LSG6 01/31/19 02/02/22 100.000 0.000 2.8699 86.77 0.085620 2.65 Credit Suisse AG London 22552FL26 07/29/19 07/29/24 100.000 0.000 2.4409 60.54 0.071174 0.072042 0.072921 0.073811 0.074712 26.04 26.68 Credit Suisse AG London 22551LSS0 01/25/19 01/24/24 100.000 0.000 2.8700 87.19 0.085602 0.086831 0.088077 0.089341 0.090623 31.43 32.33 Credit Suisse AG London 22551LST8 01/25/19 01/24/24 100.000 0.000 2.8700 87.19 0.085602 0.086831 0.088077 0.089341 0.090623 31.43 32.33 Credit Suisse AG London 22552FCP5 06/05/19 06/03/22 100.000 0.000 2.3599 62.22 0.069504 10.56 Credit Suisse AG London 22550WR82 05/30/18 11/29/22 100.000 0.000 2.8700 107.61 0.088078 0.089342 29.12 Credit Suisse AG London 22552FLG5 07/26/19 07/26/24 100.000 0.000 2.4299 60.47 0.070839 0.071700 0.072571 0.073453 0.074345 25.93 26.56 Credit Suisse AG London 22552FLJ9 07/26/19 07/26/24 100.000 0.000 2.4299 60.47 0.070839 0.071700 0.072571 0.073453 0.074345 25.93 26.56 Credit Suisse AG London 22552FM25 07/29/19 01/27/23 100.000 0.000 2.3138 57.31 0.067289 0.068068 0.068855 24.61 1.79 Credit Suisse AG London 22552FLZ3 07/29/19 04/27/23 100.000 0.000 2.3133 57.33 0.067665 0.068448 0.069239 24.60 8.03 Credit Suisse AG London 22552FDP4 05/31/19 05/31/24 100.000 0.000 2.7591 73.45 0.082075 0.083207 0.084355 0.085519 0.086699 29.82 30.65 Credit Suisse AG London 22552FDM1 05/31/19 05/31/24 100.000 0.000 2.3601 62.57 0.069517 0.070338 0.071168 0.072007 0.072857 25.23 25.82 Credit Suisse AG London 22552FMC3 08/01/19 08/03/23 100.000 0.000 2.3500 58.10 0.068408 0.069212 0.070025 0.070848 25.01 14.99 Credit Suisse AG London 22552FDV1 05/31/19 05/31/24 100.000 0.000 2.3601 62.57 0.069517 0.070338 0.071168 0.072007 0.072857 25.23 25.82 Credit Suisse AG London 22552FVG4 09/27/19 03/27/25 100.000 0.000 2.1800 50.26 0.063238 0.063927 0.064624 0.065328 0.066040 23.02 23.52 Credit Suisse AG London 22552FVH2 09/27/19 09/27/23 100.000 0.000 2.0499 47.21 0.059313 0.059921 0.060535 0.061156 21.58 16.21 Credit Suisse AG London 22551L3R9 08/10/18 08/12/25 100.000 0.000 2.9800 105.55 0.090474 0.091822 0.093190 0.094578 0.095988 33.19 34.19 Credit Suisse AG London 22552F4S8 05/03/19 05/04/22 100.000 0.000 2.3599 64.44 0.069518 8.55 Credit Suisse AG London 22551LN48 01/03/19 01/03/24 100.000 0.000 2.8700 89.08 0.085609 0.086837 0.088083 0.089347 0.090629 31.48 32.39 Credit Suisse AG London 22551LVE7 02/22/19 02/22/24 100.000 0.000 2.6101 76.96 0.077358 0.078367 0.079390 0.080426 0.081476 28.29 29.04 Credit Suisse AG London 22551LVC1 02/22/19 02/22/24 100.000 0.000 2.6101 76.96 0.077358 0.078367 0.079390 0.080426 0.081476 28.29 29.04 Credit Suisse AG London 22551LN30 12/31/18 12/29/23 100.000 0.000 2.7300 84.83 0.082253 0.083376 0.084514 0.085667 29.82 30.46 Credit Suisse AG London 22551LN63 12/31/18 12/29/23 100.000 0.000 2.7268 84.73 0.082149 0.083269 0.084404 0.085555 29.78 30.42 Credit Suisse AG London 22552FWD0 09/30/19 12/29/23 100.000 0.000 2.0796 47.72 0.060517 0.061146 0.061782 0.062424 21.90 22.23 Credit Suisse AG London 22552FWE8 09/30/19 06/28/24 100.000 0.000 2.1798 50.07 0.063569 0.064262 0.064962 0.065670 0.066386 23.01 23.52 Credit Suisse AG London 22552FWF5 10/03/19 10/04/23 100.000 0.000 2.0504 46.86 0.059329 0.059938 0.060552 0.061173 21.57 16.64 Credit Suisse AG London 22552F5M0 04/26/19 04/25/22 100.000 0.000 2.5000 68.89 0.073890 8.42 Credit Suisse AG London 22552F5N8 04/26/19 04/25/22 100.000 0.000 2.5000 68.89 0.073890 8.42 Credit Suisse AG London 22551LW97 02/28/19 03/02/22 100.000 0.000 2.6052 76.35 0.077228 4.71 Credit Suisse AG London 22552F5R9 04/30/19 04/28/22 100.000 0.000 2.4998 68.59 0.073879 8.64 Credit Suisse AG London 22552F5S7 04/30/19 04/28/22 100.000 0.000 2.7841 76.63 0.082860 9.69 Credit Suisse AG London 22551LWA4 02/28/19 03/02/22 100.000 0.000 3.0343 89.37 0.090906 5.55 Credit Suisse AG London 22552FP22 07/23/19 07/21/22 100.000 0.000 2.2599 56.35 0.065654 0.066396 13.26 Credit Suisse AG London 22551LFL9 10/30/18 10/30/24 100.000 0.000 3.0899 102.09 0.094102 0.095555 0.097032 0.098531 0.100053 34.32 35.39 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG London 22552FGF3 07/03/19 07/01/22 100.000 0.000 2.1198 54.01 0.062065 11.17 Credit Suisse AG London 22552FHK1 06/28/19 06/30/22 100.000 0.000 2.3700 60.88 0.069836 12.50 Credit Suisse AG London 22552FHJ4 06/28/19 06/30/22 100.000 0.000 2.3700 60.88 0.069836 12.50 Credit Suisse AG Nassau 22552WLY9 09/24/20 09/24/27 100.000 0.000 1.2420 15.85 0.034931 0.035147 0.035366 0.035585 0.035806 12.66 12.81 Credit Suisse AG Nassau 22550WHJ9 03/07/18 03/07/23 100.000 0.000 3.2901 132.67 0.102448 0.104133 0.105846 37.57 6.99 Credit Suisse AG Nassau 22552W4L6 05/28/20 05/28/27 100.000 0.000 1.9169 30.84 0.054792 0.055318 0.055848 0.056383 0.056923 19.85 20.24 Credit Suisse AG Nassau 22549E606 04/05/18 04/05/23 100.000 0.000 3.4300 135.64 0.107322 0.109162 0.111035 39.29 10.44 Credit Suisse AG Nassau 22550BMY6 10/31/17 04/28/23 100.000 0.000 2.2940 99.79 0.069802 0.070603 0.071412 25.37 8.36 Credit Suisse AG Nassau 22549M137 05/03/18 05/06/25 100.000 0.000 3.7900 147.40 0.120100 0.122376 0.124695 0.127058 0.129466 43.90 45.58 Credit Suisse USA, Inc. 22547QZ82 12/12/14 12/14/22 100.000 0.000 2.1598 163.60 0.069738 0.070491 24.06 Credit Suisse USA, Inc. 22546VMW3 10/30/15 10/31/25*** 100.000 1.500 2.5533 27.09 0.075318 0.074516 0.076189 *** *** 27.40 *** Credit Suisse USA, Inc. 22548QKG9 10/28/16 10/30/23 100.000 0.000 1.6003 85.99 0.048145 0.048530 0.048918 0.049310 17.45 14.70 Credit Suisse USA, Inc. 22546VUX2 02/10/16 02/10/26*** 100.000 VARIES 2.2723 34.37 0.016100 0.016283 0.016468 *** *** 5.88 *** Credit Suisse USA, Inc. 22547QY83 12/29/14 06/28/22 100.000 0.000 2.2049 166.05 0.071404 12.64 Credit Suisse USA, Inc. 22547WQE6 08/12/16 08/14/23*** 100.000 VARIES N/A 20.81 0.010647 0.010599 0.010551 *** *** 3.81 *** Credit Suisse USA, Inc. 22547WQ89 04/27/16 05/01/23 100.000 0.000 1.5175 89.63 0.045815 0.046163 0.046513 16.60 5.58 Credit Suisse USA, Inc. 22542DFF2 02/28/17 02/28/24*** 103.000 0.125 2.1990 114.76 0.069064 0.069785 0.070514 *** *** 25.17 *** Credit Suisse USA, Inc. 22548QHX6 09/28/16 09/26/24 100.000 0.000 1.3289 72.14 0.039438 0.039700 0.039964 0.040230 0.040497 14.29 14.49 Credit Suisse USA, Inc. 22547WPN7 12/29/15 12/29/22 100.000 0.000 1.9233 121.82 0.059927 0.060503 21.56 Credit Suisse USA, Inc. 22546VRM0 12/28/15 12/27/22 100.000 0.500 1.9028 20.50 0.057542 0.057957 20.56 Credit Suisse USA, Inc. 22548Q6L4 05/20/16 05/20/31*** 100.000 VARIES 3.7259 209.17 0.103500 0.103501 0.103500 *** *** 37.26 *** Credit Suisse USA, Inc. 22546VRL2 12/23/15 12/23/25*** 100.000 VARIES 2.4835 3.06 0.008646 0.008753 0.008862 *** *** 3.13 *** Credit Suisse USA, Inc. 22548X2E9 12/05/16 12/05/23*** 100.000 0.125 2.0339 107.79 0.062142 0.062738 0.063341 *** *** 22.51 *** Credit Suisse USA, Inc. 22546VPW0 11/30/15 05/30/23 100.000 0.000 1.9020 122.12 0.059188 0.059751 0.060319 21.44 8.99 Credit Suisse USA, Inc. 22546VPR1 11/30/15 11/28/23 100.000 0.000 1.9529 125.57 0.060950 0.061545 0.062146 0.062753 22.09 20.43 Credit Suisse USA, Inc. 22546VPQ3 11/30/15 11/28/25*** 100.000 1.500 2.5442 26.95 0.075418 0.075847 0.076282 *** *** 27.26 *** Credit Suisse USA, Inc. 22548QN35 11/28/16 11/28/23 100.000 0.000 1.9557 104.18 0.059877 0.060463 0.061054 0.061651 21.70 20.07 Credit Suisse USA, Inc. 22548Q3E3 04/14/16 04/14/26*** 100.000 VARIES 2.5023 31.34 0.015457 0.015650 0.015846 *** *** 5.63 *** Credit Suisse USA, Inc. 22548Q2Q7 04/28/16 04/28/26*** 100.000 VARIES 2.7488 49.86 0.024193 0.024526 0.024863 *** *** 8.81 *** Credit Suisse USA, Inc. 22548QL37 10/20/16 10/20/26*** 100.000 VARIES 2.2705 32.20 0.016885 0.017076 0.017270 *** *** 6.14 *** Credit Suisse USA, Inc. 22539T431 03/05/15 02/25/22 100.000 0.000 1.9373 140.59 0.060966 3.29 Credit Suisse USA, Inc. 22547WKH5 06/12/15 06/14/22 100.000 0.000 2.2646 159.01 0.072830 11.87 DAYTON-MONTGOMERY CNTY 23981CAC2 03/04/21 06/15/26 93.000 8.750 10.5102 8.64 0.030837 0.032458 0.034164 0.035959 0.037849 11.45 12.68 DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25 90.051 0.000 1.9399 32.66 0.049882 0.050366 0.050855 0.051348 0.051846 18.19 18.55 DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24 92.210 0.000 1.8399 31.69 0.048377 0.048822 0.049271 0.049725 0.050182 17.63 17.96 DENISON TEX INDPT SCH DI 248415XP1 02/27/20 08/01/23 94.288 0.000 1.7231 30.32 0.046250 0.046648 0.047050 0.047456 16.84 9.95 DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26 87.123 0.000 2.1560 35.16 0.053800 0.054380 0.054966 0.055559 0.056158 19.65 20.07 DENTON TEX INDPT SCH DIS 249002JF4 12/17/20 08/15/22 99.236 0.000 0.4622 4.77 0.012780 0.012809 2.87 DENTON TEX INDPT SCH DIS 249002JG2 12/17/20 08/15/23 98.254 0.000 0.6630 6.78 0.018173 0.018234 0.018294 0.018355 6.57 4.11 DENTON TEX INDPT SCH DIS 249002JH0 12/17/20 08/15/24 96.610 0.000 0.9442 9.50 0.025496 0.025616 0.025737 0.025859 0.025981 9.23 9.32 DENTON TEX INDPT SCH DIS 249002JJ6 12/17/20 08/15/25 95.041 0.000 1.0941 10.84 0.029094 0.029253 0.029413 0.029574 0.029736 10.55 10.66 DENTON TEX INDPT SCH DIS 249002JK3 12/17/20 08/15/26 92.712 0.000 1.3411 12.97 0.034844 0.035078 0.035313 0.035550 0.035788 12.65 12.82 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ DENTON TEX INDPT SCH DIS 249002JL1 12/17/20 08/15/27 91.179 0.000 1.3911 13.24 0.035557 0.035804 0.036053 0.036304 0.036557 12.91 13.09 DRIPPING SPRINGS TEX IND 262061SV7 09/22/20 02/15/27 91.910 0.000 1.3230 15.59 0.034179 0.034405 0.034633 0.034862 0.035093 12.41 12.57 DRISCOLL TEX INDPT SCH 262068DE6 01/06/21 08/15/29 88.305 0.000 1.4500 12.68 0.035881 0.036141 0.036403 0.036667 0.036933 13.03 13.22 DRISCOLL TEX INDPT SCH 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Deutsche Bank AG 25152R5G4 05/26/16 05/26/26*** 100.000 VARIES 3.0802 167.41 0.083108 0.083414 0.083698 *** *** 29.99 *** Deutsche Bank AG 25152RUY7 03/15/13 03/15/33*** 100.000 VARIES 2.5035 23.00 0.064347 0.064856 0.065368 *** *** 23.36 *** Deutsche Bank AG 25152RUV3 01/31/13 01/31/33*** 100.000 VARIES 2.3745 21.98 0.061371 0.061846 0.062326 *** *** 22.32 *** Deutsche Bank AG 25152RVD2 06/28/13 06/28/33*** 100.000 VARIES 2.0551 19.10 0.053670 0.054082 0.054467 *** *** 19.40 *** Deutsche Bank AG 25152RVT7 03/31/14 03/31/34*** 100.000 VARIES 1.1016 9.55 0.026673 0.026820 0.026968 *** *** 9.66 *** Deutsche Bank AG 25152RXB4 06/30/14 06/30/34*** 100.000 VARIES 1.0463 9.11 0.025510 0.025643 0.025778 *** *** 9.21 *** Deutsche Bank AG 25152RXE8 09/30/14 09/30/29*** 100.000 VARIES 1.1689 10.59 0.029579 0.029751 0.029925 *** *** 10.71 *** Deutsche Bank AG 25152RXC2 08/28/14 08/28/34*** 100.000 VARIES 0.8844 7.86 0.021903 0.022000 0.022098 *** *** 7.93 *** Deutsche Bank AG 25152R6M0 09/07/16 09/08/26*** 100.000 VARIES 3.0640 158.06 0.082256 0.082559 0.082867 *** *** 29.74 *** Deutsche Bank AG 25152RAT0 12/20/12 12/20/22 100.000 0.000 1.6453 159.48 0.052965 0.053401 18.56 Deutsche Bank AG 25152R2S1 07/31/15 07/31/25*** 100.000 VARIES 3.0783 197.50 0.085624 0.085618 0.085612 *** *** 30.82 *** Deutsche Bank AG 251526BZ1 06/01/18 01/13/26 95.724 4.100 4.7762 18.22 0.015189 0.015552 0.015924 0.016304 0.016693 5.66 5.93 Deutsche Bank AG London 25155MDP3 09/08/17 09/08/22 98.750 2.500 2.7694 10.68 0.007281 0.007382 1.82 Deutsche Bank AG London 251526BY4 06/01/18 05/30/24 95.400 3.700 4.5860 25.98 0.021974 0.022478 0.022994 0.023521 0.024060 8.03 8.41 Deutsche Bank AG London 25155MBP5 06/15/17 12/15/22 98.650 3.000 3.2702 10.98 0.007266 0.007384 2.52 Deutsche Bank AG London 25155MKM2 03/13/18 05/01/23 100.000 1.000 3.7501 149.26 0.115212 0.116851 0.118521 41.97 14.22 Deutsche Bank AG London 25155MKU4 04/23/18 05/01/23 103.000 1.000 3.9232 156.36 0.124635 0.126535 0.128472 45.44 15.42 EAGLE MTN & SAGINAW TEX 269696PK0 12/17/20 08/15/24 96.646 0.000 0.9339 9.41 0.025228 0.025345 0.025464 0.025583 0.025702 9.14 9.22 EAGLE MTN & SAGINAW TEX 269696PL8 12/17/20 08/15/25 95.306 0.000 1.0341 10.27 0.027563 0.027705 0.027849 0.027993 0.028137 9.99 10.09 EAGLE MTN & SAGINAW TEX 269696PJ3 12/17/20 08/15/23 98.246 0.000 0.6660 6.81 0.018257 0.018317 0.018378 0.018440 6.60 4.13 EAGLE MTN & SAGINAW TEX 269696MU1 07/02/20 08/15/25 92.667 0.000 1.4931 20.88 0.039078 0.039370 0.039664 0.039960 0.040258 14.20 14.41 EAGLE MTN & SAGINAW TEX 269696MV9 07/02/20 08/15/26 89.494 0.000 1.8220 24.65 0.046223 0.046644 0.047069 0.047498 0.047931 16.83 17.14 EAGLE MTN & SAGINAW TEX 269696MR8 07/02/20 08/15/22 97.930 0.000 0.9893 14.58 0.027209 0.027344 6.12 EAGLE MTN & SAGINAW TEX 269696MS6 07/02/20 08/15/23 96.405 0.000 1.1770 17.10 0.031937 0.032125 0.032314 0.032504 11.58 7.27 EAGLE MTN & SAGINAW TEX 269696MT4 07/02/20 08/15/24 94.364 0.000 1.4131 20.11 0.037628 0.037894 0.038162 0.038432 0.038703 13.67 13.86 ECTOR CNTY TEX INDPT SCH 279263RD1 12/17/20 08/15/27 90.148 0.000 1.5630 14.71 0.039545 0.039854 0.040166 0.040480 0.040796 14.38 14.60 ECTOR CNTY TEX INDPT SCH 279263QV2 12/17/20 08/15/26 92.338 0.000 1.4130 13.62 0.036581 0.036840 0.037100 0.037362 0.037626 13.29 13.47 EDGEWOOD OHIO CITY SCH 280455FH4 12/19/19 12/01/27 77.391 0.000 3.2499 52.45 0.074398 0.075607 0.076835 0.078084 0.079353 27.07 27.96 EDGEWOOD OHIO CITY SCH 280455FJ0 12/19/19 12/01/28 74.279 0.000 3.3499 51.93 0.073745 0.074980 0.076236 0.077512 0.078811 26.85 27.75 EDGEWOOD OHIO CITY SCH 280455FG6 12/19/19 12/01/24 86.505 0.000 2.9500 53.10 0.075052 0.076159 0.077283 0.078423 0.079579 27.29 28.10 EL PASO TEX INDPT SCH DI 283770NQ4 07/22/20 08/15/22 98.204 0.000 0.8800 12.51 0.024230 0.024337 5.45 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ EL PASO TEX INDPT SCH DI 283770NS0 07/22/20 08/15/24 95.211 0.000 1.2112 16.73 0.032447 0.032643 0.032841 0.033040 0.033240 11.77 11.91 EL PASO TEX INDPT SCH DI 283770NR2 07/22/20 08/15/23 96.975 0.000 1.0050 14.12 0.027363 0.027501 0.027639 0.027778 9.91 6.22 EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45 39.206 0.000 3.6499 34.08 0.042558 0.043334 0.044125 0.044930 0.045750 15.70 16.27 EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39 49.670 0.000 3.5499 41.95 0.052341 0.053270 0.054215 0.055178 0.056157 19.29 19.98 EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34 61.883 0.000 3.2498 47.71 0.059366 0.060331 0.061311 0.062308 0.063320 21.84 22.55 EURONET WORLDWIDE INC 298736AJ8 03/18/19 03/15/49 100.000 0.750 5.4000 158.80 0.168339 0.172322 0.176412 0.180612 0.184926 62.17 65.17 EURONET WORLDWIDE INC 298736AL3 03/18/19 03/15/49 100.000 0.750 5.4000 158.80 0.168339 0.172322 0.176412 0.180612 0.184926 62.17 65.17 EVERMAN TEX INDPT SCH DI 300371T43 11/19/20 02/15/24 97.048 0.000 0.9272 10.08 0.025167 0.025284 0.025401 0.025519 0.025637 9.11 9.20 EXPEDIA GROUP INC U3010DAM2 03/03/21 03/15/31 99.081 2.950 3.3084 27.14 0.091094 0.091131 0.091168 0.091205 0.091244 32.81 32.84 EXPEDIA GROUP INC 30212PBF1 03/03/21 03/15/31 99.081 2.950 3.3084 27.14 0.091094 0.091131 0.091168 0.091205 0.091244 32.81 32.84 EXPEDIA GROUP INC 30212PBB0 07/14/20 08/01/27 99.997 4.625 4.8755 71.37 0.135427 0.135427 0.135428 0.135428 0.135428 48.75 48.75 EXPEDIA GROUP INC 30212PAS4 05/05/20 05/01/25 100.000 6.250 6.7500 111.75 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 East Orange NJ 274137WT1 04/14/03 04/01/22 29.893 0.000 6.4699 685.41 0.174089 15.67 East Orange NJ 274137WU8 04/14/03 04/01/23 27.886 0.000 6.5000 644.41 0.164037 0.169368 0.174872 60.99 15.74 East Orange NJ 274137WV6 04/14/03 04/01/24 26.105 0.000 6.5100 604.83 0.154072 0.159087 0.164265 0.169612 0.175133 57.29 61.08 East Orange NJ 274137WW4 04/14/03 04/01/25 24.381 0.000 6.5300 567.82 0.144856 0.149585 0.154469 0.159513 0.164721 53.86 57.44 East Orange NJ 274137WX2 04/14/03 04/01/26 22.763 0.000 6.5499 532.88 0.136138 0.140597 0.145201 0.149957 0.154868 50.63 54.00 East Orange NJ 274137WY0 04/14/03 04/01/27 21.292 0.000 6.5600 499.74 0.127768 0.131958 0.136287 0.140757 0.145374 47.52 50.69 East Orange NJ 274137WZ7 04/14/03 04/01/28 19.913 0.000 6.5700 468.59 0.119889 0.123827 0.127895 0.132096 0.136436 44.59 47.57 Eclipse Resources Corp. U2779QAA2 07/06/15 07/15/23*** 97.903 8.875 9.2509 15.70 0.008714 0.009117 0.009539 *** *** 3.35 *** Exelon Corporation 30161NAE1 06/17/14 06/01/24*** 100.000 VARIES 4.8846 50.65 0.139709 0.138942 0.138156 *** *** 50.11 *** FABENS TEX INDPT SCH DIS 302783MM4 12/21/21 02/15/30 84.263 0.000 2.1119 0.49 0.049431 0.049588 0.050112 0.050641 0.051176 17.92 18.28 FABENS TEX INDPT SCH DIS 302783ML6 12/21/21 02/15/29 86.663 0.000 2.0119 0.48 0.048433 0.048579 0.049068 0.049561 0.050060 17.55 17.89 FAIRFIELD OHIO CITY SCH 304657NX3 11/06/19 11/01/31 68.568 0.000 3.1731 48.10 0.064336 0.065357 0.066393 0.067447 0.068517 23.47 24.22 FAIRFIELD OHIO CITY SCH 304657NY1 11/06/19 11/01/32 66.020 0.000 3.2230 47.07 0.062982 0.063997 0.065028 0.066076 0.067141 22.98 23.73 FAIRFIELD OHIO CITY SCH 304657NV7 11/06/19 11/01/29 73.964 0.000 3.0430 49.71 0.066385 0.067395 0.068421 0.069462 0.070518 24.20 24.94 FAIRFIELD OHIO CITY SCH 304657NW5 11/06/19 11/01/30 71.376 0.000 3.0931 48.78 0.065180 0.066188 0.067212 0.068251 0.069306 23.77 24.51 FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31 93.000 8.250 9.3165 3.92 0.012473 0.013054 0.013662 0.014298 0.014964 4.61 5.05 FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24 96.122 0.000 0.9940 13.12 0.026802 0.026935 0.027069 0.027204 0.027339 9.71 9.81 FLOUR BLUFF TEX INDPT SC 343400EQ6 08/19/20 08/15/23 97.548 0.000 0.8323 11.14 0.022739 0.022834 0.022929 0.023024 8.23 5.15 FRENSHIP TEX INDPT SCH 357866ZJ4 10/29/20 02/15/23 98.355 0.000 0.7241 8.37 0.019898 0.019970 0.020043 7.20 0.88 FRENSHIP TEX INDPT SCH 357866ZH8 10/29/20 02/15/22 99.262 0.000 0.5730 6.68 0.015871 0.70 FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29 87.101 0.000 1.8140 8.31 0.044006 0.044405 0.044808 0.045214 0.045624 16.02 16.31 FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25 93.831 0.000 1.3940 19.25 0.036885 0.037142 0.037401 0.037662 0.037925 13.40 13.58 FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24 95.313 0.000 1.3441 18.85 0.036105 0.036348 0.036592 0.036838 0.037086 13.11 13.28 FRISCO TEX INDPT SCH DIS 35880CD35 07/15/20 02/15/23 97.133 0.000 1.1291 16.12 0.030839 0.031013 0.031188 11.18 1.37 FRISCO TEX INDPT SCH DIS 35880CD27 07/15/20 02/15/22 98.549 0.000 0.9252 13.38 0.025581 1.13 Federal Home Loan 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 5.3582 338.51 0.076853 0.078912 0.081027 0.083197 0.085426 28.78 30.35 Federal Home Loan 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2422 242.44 0.065295 0.067006 0.068762 0.070565 0.072414 24.12 25.40 Federal Home Loan 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 281.95 0.073324 0.075173 0.077069 0.079013 0.081006 27.06 28.45 Federal National 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 337.88 0.078587 0.080670 0.082807 0.085002 0.087254 29.04 30.60 Federal National 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 401.96 0.096475 0.099470 0.102558 0.105741 0.109023 35.90 38.17 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Federal National 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 308.06 0.075752 0.077862 0.080031 0.082260 0.084552 27.72 29.28 Federal National 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 358.49 0.092088 0.094536 0.097048 0.099628 0.102276 33.82 35.64 Forney Independent SD 346424X90 08/27/13 08/15/38 17.946 0.000 7.0000 139.23 0.060371 0.062484 0.064671 0.066934 0.069277 22.70 24.32 Forney Independent SD 346424Y40 08/27/13 08/15/41 14.210 0.000 7.0999 112.29 0.048859 0.050594 0.052390 0.054250 0.056176 18.38 19.71 Forney Independent SD 346424Y57 08/27/13 08/15/42 13.252 0.000 7.1001 104.72 0.045567 0.047185 0.048860 0.050595 0.052391 17.14 18.38 Forney Independent SD 346424Y65 08/27/13 08/15/43 12.359 0.000 7.1000 97.66 0.042496 0.044005 0.045567 0.047184 0.048859 15.99 17.14 Forney Independent SD 346424Y24 08/27/13 08/15/39 16.544 0.000 7.0499 129.54 0.056267 0.058250 0.060304 0.062429 0.064630 21.16 22.68 Forney Independent SD 346424Y32 08/27/13 08/15/40 15.436 0.000 7.0501 120.87 0.052501 0.054352 0.056268 0.058251 0.060304 19.75 21.16 Forney Independent SD 3464243J1 02/18/14 08/15/53 4.514 0.000 8.0005 38.56 0.018056 0.018778 0.019529 0.020310 0.021123 6.83 7.39 Forney Independent SD 3464243F9 02/18/14 08/15/50 6.021 0.000 7.8503 50.17 0.023377 0.024295 0.025248 0.026239 0.027269 8.84 9.54 Forney Independent SD 3464243G7 02/18/14 08/15/51 5.475 0.000 7.9003 46.00 0.021470 0.022318 0.023199 0.024116 0.025068 8.12 8.77 Forney Independent SD 3464243H5 02/18/14 08/15/52 4.974 0.000 7.9503 42.14 0.019699 0.020482 0.021297 0.022143 0.023024 7.45 8.05 Forney Independent SD 3464243A0 02/18/14 08/15/45 10.143 0.000 7.4002 78.28 0.035937 0.037266 0.038645 0.040075 0.041558 13.54 14.57 Forney Independent SD 3464243B8 02/18/14 08/15/46 9.141 0.000 7.5003 71.78 0.033063 0.034303 0.035589 0.036924 0.038308 12.47 13.42 Forney Independent SD 3464243C6 02/18/14 08/15/47 8.223 0.000 7.6001 65.69 0.030356 0.031510 0.032707 0.033950 0.035240 11.46 12.34 Forney Independent SD 3464243D4 02/18/14 08/15/48 7.382 0.000 7.7003 59.98 0.027811 0.028882 0.029994 0.031149 0.032348 10.50 11.33 Forney Independent SD 3464243E2 02/18/14 08/15/49 6.615 0.000 7.8003 54.66 0.025428 0.026420 0.027450 0.028521 0.029633 9.61 10.37 Forney Independent SD 3464242X1 02/18/14 08/15/42 13.145 0.000 7.2501 98.81 0.045136 0.046772 0.048467 0.050224 0.052045 17.00 18.25 Forney Independent SD 3464242Y9 02/18/14 08/15/43 12.068 0.000 7.3002 91.52 0.041875 0.043404 0.044988 0.046630 0.048332 15.77 16.95 Forney Independent SD 3464242Z6 02/18/14 08/15/44 11.069 0.000 7.3502 84.68 0.038812 0.040238 0.041717 0.043250 0.044840 14.62 15.72 Forney Independent SD 3464242U7 02/18/14 08/15/39 16.888 0.000 7.1001 123.59 0.056175 0.058170 0.060235 0.062373 0.064587 21.13 22.66 Forney Independent SD 3464242V5 02/18/14 08/15/40 15.550 0.000 7.1501 114.82 0.052278 0.054147 0.056083 0.058088 0.060164 19.67 21.11 Forney Independent SD 3464242W3 02/18/14 08/15/41 14.304 0.000 7.2001 106.57 0.048601 0.050350 0.052163 0.054041 0.055986 18.30 19.64 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 208.54 0.058138 0.059402 0.060694 0.062015 0.063363 21.27 22.21 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 214.74 0.061799 0.063387 0.065016 0.066686 0.068400 22.54 23.71 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 209.22 0.058616 0.059931 0.061275 0.062649 0.064054 21.46 22.43 Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5434 214.76 0.064330 0.065792 0.067286 0.068815 0.070378 23.47 24.55 Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5439 217.21 0.064333 0.065794 0.067289 0.068818 0.070381 23.74 24.83 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9803 227.20 0.062969 0.064537 0.066144 0.067791 0.069480 22.98 24.14 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 192.86 0.049487 0.050230 0.050983 0.051748 0.052524 18.15 18.70 GCI LIBERTY INC 36164VAA5 06/18/18 09/30/46 100.000 1.750 6.9511 266.66 0.229449 0.235734 0.242238 0.248967 0.255931 84.90 89.66 GDB DEBT RECOVERY AUTH 36829QAA3 11/29/18 08/20/40*** 100.000 7.500 0.0000 81.70 0.049337 0.048757 0.045413 *** *** 17.38 *** GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26 93.714 0.000 1.1575 10.91 0.030349 0.030524 0.030701 0.030879 0.031058 11.01 11.13 GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25 95.691 0.000 0.9546 9.19 0.025525 0.025647 0.025769 0.025892 0.026016 9.24 9.33 GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24 97.131 0.000 0.8046 7.86 0.021818 0.021906 0.021994 0.022082 0.022171 7.89 7.96 GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27 91.656 0.000 1.4001 14.47 0.036018 0.036270 0.036524 0.036780 0.037037 13.08 13.26 GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26 93.148 0.000 1.3579 14.26 0.035491 0.035732 0.035975 0.036219 0.036465 12.89 13.06 GRANBURY TEX INDPT SCH 385064SF8 06/25/20 08/01/28 83.987 0.000 2.1660 27.91 0.051743 0.052304 0.052870 0.053443 0.054021 18.90 19.31 GRANBURY TEX INDPT SCH 385064SB7 06/25/20 08/01/24 94.332 0.000 1.4281 20.59 0.038013 0.038284 0.038557 0.038833 0.039110 13.81 14.01 GRANBURY TEX INDPT SCH 385064SC5 06/25/20 08/01/25 92.530 0.000 1.5280 21.62 0.039938 0.040243 0.040550 0.040860 0.041172 14.52 14.75 GRANBURY TEX INDPT SCH 385064SD3 06/25/20 08/01/26 89.407 0.000 1.8439 25.25 0.046729 0.047160 0.047594 0.048033 0.048476 17.03 17.35 GRANBURY TEX INDPT SCH 385064SE1 06/25/20 08/01/27 87.165 0.000 1.9440 25.97 0.048083 0.048550 0.049022 0.049498 0.049980 17.53 17.88 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GRANBURY TEX INDPT SCH 385064SA9 06/25/20 08/01/23 96.350 0.000 1.2030 17.69 0.032623 0.032820 0.033017 0.033216 11.84 6.97 GREENVILLE OHIO CITY SCH 396352HE9 11/26/19 01/01/26 85.114 0.000 2.6608 48.53 0.066495 0.067380 0.068276 0.069185 0.070105 24.10 24.74 GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27 82.085 0.000 2.8008 49.32 0.067699 0.068647 0.069608 0.070583 0.071572 24.54 25.23 GREENVILLE OHIO CITY SCH 396352HC3 11/26/19 01/01/24 90.772 0.000 2.3768 46.12 0.062975 0.063723 0.064480 0.065247 22.81 23.35 GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25 87.834 0.000 2.5610 48.16 0.065909 0.066753 0.067608 0.068473 0.069350 23.88 24.49 GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28 79.515 0.000 2.8508 48.65 0.066820 0.067773 0.068739 0.069719 0.070712 24.23 24.92 GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29 76.605 0.000 2.9509 48.55 0.066773 0.067758 0.068758 0.069772 0.070802 24.22 24.94 GREENVILLE OHIO CITY SCH 396352HB5 11/26/19 01/01/23 93.085 0.000 2.3267 46.28 0.063152 0.063887 22.87 GREENVILLE TEX INDPT SCH 396730MQ3 09/24/20 02/15/22 99.155 0.000 0.6106 7.71 0.016911 0.74 GREENVILLE TEX INDPT SCH 396730MR1 09/24/20 02/15/23 98.265 0.000 0.7331 9.17 0.020141 0.020215 0.020289 7.28 0.89 GREENWOOD TEX INDPT SCH 397370HZ3 12/05/19 02/15/25 87.541 0.000 2.5777 47.75 0.065464 0.066308 0.067163 0.068028 0.068905 23.95 24.57 GREENWOOD TEX INDPT SCH 397370HY6 12/05/19 02/15/24 90.290 0.000 2.4497 46.75 0.064028 0.064812 0.065606 0.066410 0.067223 23.41 23.98 GREENWOOD TEX INDPT SCH 397370HX8 12/05/19 02/15/23 92.896 0.000 2.3197 45.50 0.062244 0.062966 0.063696 22.74 2.80 GREENWOOD TEX INDPT SCH 397370HW0 12/05/19 02/15/22 95.398 0.000 2.1578 43.41 0.059300 2.61 GREENWOOD TEX INDPT SCH 397370JA6 12/05/19 02/15/26 84.807 0.000 2.6777 48.09 0.065991 0.066874 0.067770 0.068677 0.069596 24.16 24.81 GS FINANCE CORP 40057MUL1 09/07/22 09/08/23 100.000 0.000 3.0300 0.084167 0.085449 9.59 21.02 GS FINANCE CORP 40057NGN1 10/04/22 10/03/24 100.000 0.000 5.3729 0.149247 0.153234 0.157351 12.98 55.16 GS FINANCE CORP 40057MUK3 08/17/22 08/17/27 100.000 0.000 4.3300 0.120278 0.122882 0.125542 16.12 44.47 GS FINANCE CORP 40057NGM3 10/19/22 10/19/26 100.000 0.000 6.0450 0.167917 0.172992 0.178221 12.09 62.11 GS FINANCE CORP 40057LZW4 05/25/22 05/23/25 100.000 0.000 3.7528 0.104244 0.106179 0.108171 0.110201 22.59 38.74 GS FINANCE CORP 40057LZX2 05/25/22 05/23/25 100.000 0.000 3.7528 0.104244 0.106179 0.108171 0.110201 22.59 38.74 GS FINANCE CORP 40057MUH0 08/17/22 08/15/25 100.000 0.000 4.0056 0.111267 0.113470 0.115743 14.91 41.06 GS FINANCE CORP 40057N6H5 09/28/22 10/26/23 100.000 0.000 5.1100 0.141944 0.142509 0.146150 13.24 42.70 GS FINANCE CORP 40057NGJ0 10/31/22 11/09/29 100.000 0.000 6.2300 0.173056 0.173325 0.178724 0.184291 10.57 63.94 GS FINANCE CORP 40057M3C1 05/25/22 05/28/25 100.000 0.000 3.8600 0.107222 0.107257 0.109327 0.111437 0.113588 23.24 39.88 GS FINANCE CORP 40057N6F9 10/06/22 10/10/23 100.000 0.000 5.2000 0.144444 0.144528 0.148286 12.28 41.00 GS FINANCE CORP 40057MLU1 07/21/22 07/20/27 100.000 0.000 4.7658 0.132383 0.135520 0.138750 21.18 49.25 GS FINANCE CORP 40057NP84 11/02/22 11/04/25 100.000 0.000 5.8600 0.162778 0.162831 0.167602 0.172512 9.61 60.03 GS FINANCE CORP 40057MUE7 08/17/22 08/13/25 100.000 0.000 4.0153 0.111536 0.113726 0.116009 14.95 41.16 GS FINANCE CORP 40057MV63 08/24/22 08/24/27 100.000 0.000 4.5200 0.125556 0.128393 0.131295 15.95 46.44 GS FINANCE CORP 40057NXU6 11/14/22 11/14/24 100.000 0.000 5.8400 0.162222 0.166959 0.171834 7.62 59.70 GS FINANCE CORP 40057NH59 10/26/22 10/26/28 100.000 0.000 6.4200 0.178333 0.184058 0.189966 11.59 65.99 GS FINANCE CORP 40057NGT8 10/05/22 10/05/27 100.000 0.000 5.8400 0.162222 0.166959 0.171834 13.95 60.08 GS FINANCE CORP 40057M3M9 05/31/22 05/28/27 100.000 0.000 4.0029 0.111192 0.113392 0.115662 0.117977 23.53 41.38 GS FINANCE CORP 40057NGQ4 10/31/22 10/30/25 100.000 0.000 5.8158 0.161550 0.166248 0.171082 9.85 59.59 GS FINANCE CORP 40057NGP6 10/11/22 10/08/27 100.000 0.000 5.6483 0.156897 0.161254 0.165808 12.55 58.01 GS FINANCE CORP 40057LZZ7 05/18/22 05/18/32 100.000 0.000 4.7100 0.130833 0.133914 0.137068 0.140296 29.31 49.05 GS FINANCE CORP 40057M3J6 06/01/22 05/29/25 100.000 0.000 3.5097 0.097492 0.099183 0.100924 0.102695 20.53 36.13 GS FINANCE CORP 36264U298 11/21/22 12/05/28 100.000 0.000 5.4700 0.151944 0.152268 0.156432 0.160711 6.09 55.79 GS FINANCE CORP 40057M3V9 06/01/22 06/12/29 100.000 0.000 4.2600 0.118333 0.118487 0.121011 0.123589 0.126221 24.93 44.13 GS FINANCE CORP 40057MV89 09/06/22 01/15/26 100.000 0.000 4.5783 0.127175 0.129261 0.132220 14.63 47.00 GS FINANCE CORP 40057MMG1 07/22/22 07/20/27 100.000 0.000 4.7658 0.132383 0.135503 0.138732 21.05 49.24 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MV97 10/28/22 10/30/24 100.000 0.000 5.8050 0.161250 0.161302 0.165984 0.170801 10.16 59.49 GS FINANCE CORP 40057MUX5 08/31/22 08/29/24 100.000 0.000 2.8600 0.079444 0.080568 0.081726 9.61 29.08 GS FINANCE CORP 40057NPH4 10/28/22 11/01/27 100.000 0.000 6.1800 0.171667 0.171755 0.177062 0.182534 10.82 63.43 GS FINANCE CORP 40057N7F8 09/14/22 09/12/25 100.000 0.000 4.5597 0.126658 0.129514 0.132467 13.55 46.74 GS FINANCE CORP 40057NPX9 10/31/22 10/31/25 100.000 0.000 5.8200 0.161667 0.166371 0.171213 9.86 59.63 GS FINANCE CORP 40057M4B2 06/03/22 12/03/26 100.000 0.000 3.9650 0.110139 0.112322 0.114549 0.116820 22.97 40.96 GS FINANCE CORP 40057MMT3 08/03/22 08/03/27 100.000 0.000 4.2300 0.117500 0.119985 0.122523 17.39 43.49 GS FINANCE CORP 40057N7D3 10/03/22 09/29/25 100.000 0.000 5.3592 0.148867 0.152767 0.156861 13.10 55.03 GS FINANCE CORP 40057MVD8 10/21/22 10/22/25 100.000 0.000 6.0100 0.166944 0.171989 0.177157 11.69 61.71 GS FINANCE CORP 40057NQ67 10/31/22 11/02/27 100.000 0.000 6.1000 0.169444 0.169502 0.174672 0.179999 10.34 62.57 GS FINANCE CORP 40057MVB2 11/04/22 11/06/24 100.000 0.000 5.9000 0.163889 0.163943 0.168779 0.173758 9.34 60.43 GS FINANCE CORP 40057MN21 07/14/22 07/14/28 100.000 0.000 4.4700 0.124167 0.126942 0.129779 20.74 46.14 GS FINANCE CORP 40057MMQ9 08/03/22 08/01/25 100.000 0.000 3.8597 0.107214 0.109260 0.111369 15.87 39.59 GS FINANCE CORP 40057MVA4 10/26/22 10/24/25 100.000 0.000 5.9988 0.166633 0.171576 0.176722 10.83 61.55 GS FINANCE CORP 40057NQ34 10/31/22 10/29/27 100.000 0.000 6.0883 0.169119 0.174239 0.179543 10.32 62.45 GS FINANCE CORP 40057P4U3 12/05/22 12/05/24 100.000 0.000 5.3000 0.147222 0.151124 0.155128 3.83 53.91 GS FINANCE CORP 40057MMN6 08/03/22 08/01/25 100.000 0.000 3.8597 0.107214 0.109260 0.111369 15.87 39.59 GS FINANCE CORP 40057NYQ4 11/28/22 11/29/24 100.000 0.000 5.4600 0.151667 0.155830 0.160084 5.01 55.62 GS FINANCE CORP 40057NKJ5 10/19/22 10/17/25 100.000 0.000 5.8708 0.163078 0.167812 0.172738 11.74 60.27 GS FINANCE CORP 40057MVM8 08/22/22 08/24/27 100.000 0.000 4.4100 0.122500 0.122530 0.125232 0.127993 15.81 45.29 GS FINANCE CORP 40057MVL0 09/01/22 09/13/30 100.000 0.000 4.9000 0.136111 0.136333 0.139674 0.143096 16.36 50.41 GS FINANCE CORP 36264U207 11/03/22 11/04/24 100.000 0.000 6.0000 0.166667 0.171694 0.176845 9.67 61.49 GS FINANCE CORP 40057NYK7 11/18/22 05/20/24 100.000 0.000 5.5175 0.153264 0.153311 0.157540 0.161886 6.59 56.30 GS FINANCE CORP 40057N7H4 09/28/22 09/26/24 100.000 0.000 5.2063 0.144619 0.148342 0.152204 13.45 53.45 GS FINANCE CORP 40057MVH9 08/18/22 02/19/26 100.000 0.000 4.1725 0.115903 0.118334 0.120803 15.42 42.81 GS FINANCE CORP 40057NHJ9 10/05/22 10/03/24 100.000 0.000 5.4108 0.150300 0.154321 0.158496 12.93 55.55 GS FINANCE CORP 40057MVV8 08/31/22 08/29/25 100.000 0.000 4.2583 0.118286 0.120777 0.123362 14.31 43.65 GS FINANCE CORP 40057MW62 08/26/22 08/27/26 100.000 0.000 4.4950 0.124861 0.127683 0.130553 15.61 46.16 GS FINANCE CORP 40057MVU0 08/18/22 08/21/23 100.000 0.000 2.8600 0.079444 0.079463 0.080600 10.57 18.48 GS FINANCE CORP 40057NZ91 11/29/22 05/29/24 100.000 0.000 5.5000 0.152778 0.156979 0.161296 4.89 56.03 GS FINANCE CORP 40057NZ75 11/18/22 02/21/24 100.000 0.000 5.5638 0.154550 0.156771 0.161133 6.65 56.89 GS FINANCE CORP 40057NHT7 10/19/22 10/21/27 100.000 0.000 6.2100 0.172500 0.172560 0.177917 0.183442 12.42 63.85 GS FINANCE CORP 40057NYV3 11/22/22 11/22/27 100.000 0.000 5.4900 0.152500 0.156686 0.160987 5.95 55.98 GS FINANCE CORP 40057M4N6 06/02/22 05/30/24 100.000 0.000 2.3958 0.066550 0.067338 0.068145 0.068961 13.93 24.44 GS FINANCE CORP 40057NQQ3 11/02/22 10/31/25 100.000 0.000 5.8608 0.162800 0.167518 0.172427 9.61 60.04 GS FINANCE CORP 40057NQN0 11/02/22 11/02/26 100.000 0.000 5.9750 0.165972 0.170931 0.176037 9.79 61.24 GS FINANCE CORP 40057MVZ9 08/31/22 08/31/27 100.000 0.000 4.6400 0.128889 0.131846 0.134939 15.60 47.67 GS FINANCE CORP 40057MNH8 07/15/22 07/17/23 100.000 0.000 2.3600 0.065556 0.065564 0.066338 10.88 12.99 GS FINANCE CORP 40057MNG0 07/22/22 07/24/25 100.000 0.000 4.4400 0.123333 0.123364 0.126102 0.128902 19.61 45.77 GS FINANCE CORP 40057M4U0 06/03/22 06/04/32 100.000 0.000 4.4600 0.123889 0.126667 0.129492 0.132379 25.84 46.26 GS FINANCE CORP 40057M5E5 06/03/22 12/02/24 100.000 0.000 2.9403 0.081675 0.082869 0.084087 0.085324 17.02 30.12 GS FINANCE CORP 40057NQX8 10/31/22 11/02/27 100.000 0.000 6.1000 0.169444 0.169502 0.174672 0.179999 10.34 62.57 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NA64 10/13/22 10/10/25 100.000 0.000 5.5433 0.153981 0.158177 0.162561 12.01 56.88 GS FINANCE CORP 40057NR82 11/03/22 11/08/27 100.000 0.000 6.1100 0.169722 0.169866 0.175056 0.180404 9.85 62.64 GS FINANCE CORP 40057NQV2 10/31/22 10/31/25 100.000 0.000 5.8200 0.161667 0.166371 0.171213 9.86 59.63 GS FINANCE CORP 40057NZF7 11/29/22 11/29/24 100.000 0.000 5.4000 0.150000 0.154050 0.158209 4.80 54.99 GS FINANCE CORP 40057NQT7 10/31/22 10/29/27 100.000 0.000 6.0883 0.169119 0.174239 0.179543 10.32 62.45 GS FINANCE CORP 40057NR41 11/02/22 05/01/25 100.000 0.000 5.8658 0.162939 0.167691 0.172609 9.61 60.09 GS FINANCE CORP 40057MWP0 09/06/22 03/04/27 100.000 0.000 4.7354 0.131539 0.134619 0.137806 15.13 48.64 GS FINANCE CORP 40057NRC3 11/02/22 11/04/25 100.000 0.000 5.8600 0.162778 0.162831 0.167602 0.172512 9.61 60.03 GS FINANCE CORP 40057MX20 08/30/22 08/29/24 100.000 0.000 2.8600 0.079444 0.080568 0.081726 9.61 29.08 GS FINANCE CORP 40057NRB5 11/02/22 11/04/27 100.000 0.000 6.0900 0.169167 0.169224 0.174377 0.179687 9.98 62.44 GS FINANCE CORP 40057M5K1 06/02/22 06/02/27 100.000 0.000 4.0000 0.111111 0.113333 0.115600 0.117912 23.29 41.34 GS FINANCE CORP 40057M5J4 06/03/22 06/08/27 100.000 0.000 4.0700 0.113056 0.113119 0.115421 0.117770 0.120167 23.58 42.08 GS FINANCE CORP 40057N0G6 11/03/22 11/05/25 100.000 0.000 5.8900 0.163611 0.163665 0.168485 0.173446 9.49 60.33 GS FINANCE CORP 40057NZY6 11/29/22 12/01/27 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 4.80 54.99 GS FINANCE CORP 40057MX61 08/30/22 12/27/23 100.000 0.000 2.8600 0.079444 0.080183 0.081329 9.62 28.75 GS FINANCE CORP 40057NJ65 11/03/22 05/05/25 100.000 0.000 5.9125 0.164236 0.164290 0.169147 0.174147 9.53 60.57 GS FINANCE CORP 40057MWQ8 09/06/22 02/05/26 100.000 0.000 4.5904 0.127511 0.129934 0.132916 14.66 47.13 GS FINANCE CORP 40057NJ40 11/03/22 05/05/25 100.000 0.000 5.9125 0.164236 0.164290 0.169147 0.174147 9.53 60.57 GS FINANCE CORP 40057NAC1 09/29/22 10/01/25 100.000 0.000 5.5300 0.153611 0.153658 0.157907 0.162273 14.14 56.86 GS FINANCE CORP 40057NAR8 10/13/22 10/15/25 100.000 0.000 5.5500 0.154167 0.154214 0.158494 0.162892 12.03 56.95 GS FINANCE CORP 40057P6V9 12/07/22 12/05/25 100.000 0.000 4.9979 0.138831 0.142261 0.145816 3.33 50.78 GS FINANCE CORP 40057NJA6 10/19/22 10/19/27 100.000 0.000 6.2100 0.172500 0.177856 0.183379 12.42 63.85 GS FINANCE CORP 40057NAP2 09/28/22 09/28/27 100.000 0.000 5.6300 0.156389 0.160791 0.165318 14.54 57.92 GS FINANCE CORP 40057NS32 11/01/22 10/27/25 100.000 0.000 5.7608 0.160022 0.164529 0.169268 9.60 59.01 GS FINANCE CORP 40057NRN9 10/31/22 10/31/24 100.000 0.000 5.7700 0.160278 0.164902 0.169659 9.78 59.10 GS FINANCE CORP 40057MFZ7 07/06/22 07/03/25 100.000 0.000 4.1611 0.115586 0.117951 0.120405 20.23 42.89 GS FINANCE CORP 40057NUF2 11/18/22 11/20/25 100.000 0.000 5.2400 0.145556 0.145598 0.149413 0.153327 6.26 53.42 GS FINANCE CORP 40057M6G9 06/06/22 06/05/25 100.000 0.000 3.5486 0.098572 0.100311 0.102091 0.103903 20.25 36.53 GS FINANCE CORP 40057MP94 08/08/22 08/08/24 100.000 0.000 2.8600 0.079444 0.080580 0.081733 11.36 29.13 GS FINANCE CORP 40057NAX5 09/28/22 09/30/27 100.000 0.000 5.6300 0.156389 0.156438 0.160842 0.165369 14.55 57.92 GS FINANCE CORP 40057NB97 09/27/22 09/27/27 100.000 0.000 5.5500 0.154167 0.158445 0.162842 14.49 57.09 GS FINANCE CORP 40057MP86 08/08/22 09/08/23 100.000 0.000 2.8600 0.079444 0.079634 0.080773 11.38 19.87 GS FINANCE CORP 40057NAW7 10/05/22 04/04/24 100.000 0.000 5.3558 0.148772 0.152734 0.156824 12.79 54.97 GS FINANCE CORP 40057MP78 08/02/22 08/02/27 100.000 0.000 4.2800 0.118889 0.121433 0.124032 17.71 44.02 GS FINANCE CORP 40057M6C8 06/02/22 05/31/24 100.000 0.000 2.3000 0.063889 0.064615 0.065359 0.066110 13.38 23.44 GS FINANCE CORP 40057MP60 08/03/22 08/03/27 100.000 0.000 4.2300 0.117500 0.119985 0.122523 17.39 43.49 GS FINANCE CORP 40057MGE3 07/06/22 07/06/27 100.000 0.000 4.7400 0.131667 0.134787 0.137982 23.04 49.07 GS FINANCE CORP 40057NAU1 10/19/22 10/21/25 100.000 0.000 5.8800 0.163333 0.163387 0.168190 0.173135 11.76 60.37 GS FINANCE CORP 40057NRV1 11/09/22 11/02/26 100.000 0.000 5.9371 0.164919 0.169625 0.174660 8.58 60.79 GS FINANCE CORP 40057MXD6 09/06/22 09/03/26 100.000 0.000 4.6629 0.129525 0.132494 0.135584 14.90 47.88 GS FINANCE CORP 40057MP45 07/26/22 10/23/23 100.000 0.000 4.2300 0.117500 0.118701 0.121212 18.29 35.11 GS FINANCE CORP 40057MXC8 09/06/22 03/05/26 100.000 0.000 4.5904 0.127511 0.130421 0.133415 14.66 47.11 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MP37 07/26/22 08/23/23 100.000 0.000 4.1500 0.115278 0.115637 0.118036 17.91 27.26 GS FINANCE CORP 40057NRU3 11/02/22 10/31/25 100.000 0.000 5.8608 0.162800 0.167518 0.172427 9.61 60.04 GS FINANCE CORP 40057NSE8 11/23/22 11/24/28 100.000 0.000 5.5450 0.154028 0.158322 0.162711 5.85 56.54 GS FINANCE CORP 40057MPB9 07/28/22 07/25/24 100.000 0.000 4.2300 0.117500 0.119944 0.122481 17.98 43.52 GS FINANCE CORP 40057NSD0 11/23/22 11/23/27 100.000 0.000 5.5000 0.152778 0.156979 0.161296 5.81 56.08 GS FINANCE CORP 40057MY29 09/02/22 09/02/27 100.000 0.000 4.7500 0.131944 0.135078 0.138286 15.70 48.82 GS FINANCE CORP 40057NSC2 11/18/22 11/23/29 100.000 0.000 5.5900 0.155278 0.155398 0.159742 0.164206 6.68 57.06 GS FINANCE CORP 40057NBA4 09/30/22 10/06/25 100.000 0.000 5.5800 0.155000 0.155144 0.159473 0.163922 14.12 57.38 GS FINANCE CORP 40057NJP3 10/31/22 10/29/26 100.000 0.000 5.9483 0.165231 0.170117 0.175177 10.08 60.98 GS FINANCE CORP 40057NSA6 11/18/22 11/23/29 100.000 0.000 5.5900 0.155278 0.155398 0.159742 0.164206 6.68 57.06 GS FINANCE CORP 40057NJN8 10/13/22 10/10/24 100.000 0.000 5.4633 0.151758 0.155835 0.160092 11.84 56.04 GS FINANCE CORP 40057MPH6 07/27/22 07/29/25 100.000 0.000 4.1300 0.114722 0.114749 0.117118 0.119537 17.67 42.46 GS FINANCE CORP 40057MGU7 07/05/22 07/03/25 100.000 0.000 4.2583 0.118286 0.120777 0.123348 20.82 43.93 GS FINANCE CORP 40057MGT0 07/05/22 07/02/26 100.000 0.000 4.5817 0.127269 0.130136 0.133118 22.40 47.38 GS FINANCE CORP 40057MPD5 07/28/22 08/08/29 100.000 0.000 4.6700 0.129722 0.129891 0.132923 0.136027 19.87 48.18 GS FINANCE CORP 40057NBF3 09/28/22 09/28/27 100.000 0.000 5.6300 0.156389 0.160791 0.165318 14.54 57.92 GS FINANCE CORP 40057MY52 09/30/22 04/01/25 100.000 0.000 5.4825 0.152292 0.156490 0.160779 13.86 56.34 GS FINANCE CORP 40057M7A1 07/05/22 07/06/27 100.000 0.000 4.8200 0.133889 0.137134 0.140438 23.56 49.93 GS FINANCE CORP 40057MPS2 08/03/22 08/02/29 100.000 0.000 4.3642 0.121228 0.123858 0.126561 17.94 44.91 GS FINANCE CORP 40057NKD8 11/02/22 10/31/25 100.000 0.000 5.8608 0.162800 0.167518 0.172427 9.61 60.04 GS FINANCE CORP 40057NKC0 11/02/22 10/31/25 100.000 0.000 5.8608 0.162800 0.167518 0.172427 9.61 60.04 GS FINANCE CORP 40057MPQ6 08/03/22 08/05/25 100.000 0.000 3.9700 0.110278 0.110302 0.112492 0.114725 16.32 40.75 GS FINANCE CORP 40057NSR9 11/07/22 11/05/27 100.000 0.000 5.9625 0.165625 0.170508 0.175591 8.94 61.06 GS FINANCE CORP 40057NSS7 12/05/22 12/05/24 100.000 0.000 5.3000 0.147222 0.151124 0.155128 3.83 53.91 GS FINANCE CORP 40057NT31 11/03/22 11/05/24 100.000 0.000 5.9350 0.164861 0.164915 0.169809 0.174848 9.56 60.81 GS FINANCE CORP 40057MPL7 07/22/22 07/24/25 100.000 0.000 4.4400 0.123333 0.123364 0.126102 0.128902 19.61 45.77 GS FINANCE CORP 36263Q603 07/06/22 07/03/25 100.000 0.000 4.1611 0.115586 0.117951 0.120405 20.23 42.89 GS FINANCE CORP 40057NKN6 10/26/22 10/26/27 100.000 0.000 6.3400 0.176111 0.181694 0.187454 11.45 65.14 GS FINANCE CORP 40057NKM8 10/24/22 10/27/25 100.000 0.000 6.0100 0.166944 0.167028 0.172047 0.177217 11.19 61.69 GS FINANCE CORP 40057NKL0 10/24/22 10/26/27 100.000 0.000 6.3300 0.175833 0.175895 0.181462 0.187206 11.78 65.06 GS FINANCE CORP 36264U348 11/21/22 12/04/24 100.000 0.000 5.4000 0.150000 0.150292 0.154350 0.158518 6.01 55.06 GS FINANCE CORP 40057MPX1 07/29/22 10/29/27 100.000 0.000 4.5500 0.126389 0.127827 0.130735 0.133709 19.30 46.91 GS FINANCE CORP 40057MHF9 07/01/22 07/26/23 100.000 0.000 2.3600 0.065556 0.065663 0.066438 11.82 13.60 GS FINANCE CORP 40057MPW3 07/29/22 07/31/25 100.000 0.000 4.2000 0.116667 0.116680 0.119131 0.121632 17.74 43.19 GS FINANCE CORP 40057NSZ1 11/30/22 11/28/25 100.000 0.000 5.3146 0.147628 0.151507 0.155533 4.58 54.11 GS FINANCE CORP 40057LVE8 05/31/22 05/31/28 100.000 0.000 4.2300 0.117500 0.119985 0.122523 0.125114 24.87 43.81 GS FINANCE CORP 40057MPV5 08/15/22 08/13/27 100.000 0.000 4.3504 0.120844 0.123444 0.126129 16.43 44.70 GS FINANCE CORP 40057NT98 12/02/22 06/03/25 100.000 0.000 5.3050 0.147361 0.151292 0.155305 4.27 53.98 GS FINANCE CORP 40057MPU7 08/03/22 08/03/27 100.000 0.000 4.2300 0.117500 0.119985 0.122523 17.39 43.49 GS FINANCE CORP 40057MPT0 08/03/22 08/03/27 100.000 0.000 4.2300 0.117500 0.119985 0.122523 17.39 43.49 GS FINANCE CORP 40057NSW8 11/28/22 11/30/27 100.000 0.000 5.4600 0.151667 0.151713 0.155854 0.160109 5.01 55.62 GS FINANCE CORP 40057NL70 10/12/22 10/09/25 100.000 0.000 5.4450 0.151250 0.155299 0.159527 11.95 55.86 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 36264Q396 09/21/22 10/03/29 100.000 0.000 5.3200 0.147778 0.148040 0.151978 0.156020 14.80 54.71 GS FINANCE CORP 40057MYT0 09/30/22 10/02/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 14.11 57.38 GS FINANCE CORP 40057MZ51 09/30/22 10/01/26 100.000 0.000 5.7650 0.160139 0.164781 0.169530 14.57 59.33 GS FINANCE CORP 40057NTE7 12/05/22 12/08/25 100.000 0.000 5.1200 0.142222 0.142283 0.145925 0.149661 3.70 52.05 GS FINANCE CORP 40057NL54 10/17/22 10/17/24 100.000 0.000 5.5450 0.154028 0.158298 0.162687 11.40 56.86 GS FINANCE CORP 40057NL39 10/18/22 10/18/23 100.000 0.000 5.6300 0.156389 0.160791 11.42 45.68 GS FINANCE CORP 40057NL21 11/04/22 11/07/23 100.000 0.000 5.9800 0.166111 0.166194 0.171163 9.47 51.75 GS FINANCE CORP 40057NKP1 10/26/22 10/24/25 100.000 0.000 5.9983 0.166619 0.171561 0.176706 10.83 61.55 GS FINANCE CORP 40057LVW8 05/31/22 02/28/25 100.000 0.000 3.3333 0.092592 0.093346 0.094902 0.096484 19.63 34.27 GS FINANCE CORP 3626EQ876 07/22/22 08/03/29 100.000 0.000 4.4400 0.123333 0.123501 0.126242 0.129045 19.63 45.77 GS FINANCE CORP 40057LVX6 05/31/22 06/11/29 100.000 0.000 4.4800 0.124444 0.124615 0.127406 0.130260 0.133178 26.35 46.50 GS FINANCE CORP 40057MYY9 09/30/22 10/12/29 100.000 0.000 6.0800 0.168889 0.169231 0.174376 0.179677 15.40 62.67 GS FINANCE CORP 40057NTK3 12/05/22 12/04/25 100.000 0.000 5.1350 0.142639 0.146281 0.150037 3.71 52.21 GS FINANCE CORP 40057NKZ9 10/14/22 04/15/24 100.000 0.000 5.4650 0.151806 0.155977 0.160239 11.69 56.04 GS FINANCE CORP 40057LVV0 05/31/22 05/29/26 100.000 0.000 3.9700 0.110278 0.112455 0.114687 0.116963 23.34 41.03 GS FINANCE CORP 40057MYX1 09/30/22 10/12/29 100.000 0.000 6.0800 0.168889 0.169231 0.174376 0.179677 15.40 62.67 GS FINANCE CORP 40057MYV5 09/30/22 04/02/27 100.000 0.000 5.8575 0.162708 0.162761 0.167528 0.172435 14.81 60.31 GS FINANCE CORP 40057MYW3 09/30/22 10/02/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 14.11 57.38 GS FINANCE CORP 40057MZ69 09/30/22 10/12/29 100.000 0.000 6.0800 0.168889 0.169231 0.174376 0.179677 15.40 62.67 GS FINANCE CORP 40057MYU7 09/30/22 09/30/27 100.000 0.000 5.9500 0.165278 0.170195 0.175258 15.04 61.29 GS FINANCE CORP 40057NCV7 10/05/22 04/02/26 100.000 0.000 5.5946 0.155406 0.159680 0.164147 13.36 57.49 GS FINANCE CORP 40057LWC1 05/31/22 05/28/27 100.000 0.000 4.2100 0.116944 0.119379 0.121892 0.124458 24.76 43.60 GS FINANCE CORP 40057NLF2 10/26/22 10/24/24 100.000 0.000 5.8583 0.162731 0.167444 0.172349 10.58 60.08 GS FINANCE CORP 40057NTV9 11/28/22 05/28/25 100.000 0.000 5.3600 0.148889 0.152879 0.156976 4.91 54.59 GS FINANCE CORP 40057NCS4 10/05/22 10/07/27 100.000 0.000 5.8400 0.162222 0.162275 0.167013 0.171890 13.96 60.08 GS FINANCE CORP 40057NTT4 12/05/22 12/03/27 100.000 0.000 5.3692 0.149144 0.153104 0.157214 3.88 54.63 GS FINANCE CORP 40057NLA3 10/26/22 10/24/25 100.000 0.000 5.9983 0.166619 0.171561 0.176706 10.83 61.55 GS FINANCE CORP 40057NLP0 10/24/22 10/24/24 100.000 0.000 5.8900 0.163611 0.168429 0.173390 10.96 60.42 GS FINANCE CORP 40057MZL6 10/05/22 10/07/25 100.000 0.000 5.5300 0.153611 0.153658 0.157907 0.162273 13.21 56.81 GS FINANCE CORP 40057MQX0 08/03/22 08/03/26 100.000 0.000 4.1000 0.113889 0.116224 0.118606 16.86 42.12 GS FINANCE CORP 40057ND95 09/28/22 03/27/25 100.000 0.000 5.2588 0.146078 0.149897 0.153839 13.59 54.01 GS FINANCE CORP 40057MZH5 10/04/22 10/02/25 100.000 0.000 5.5179 0.153275 0.157457 0.161801 13.33 56.69 GS FINANCE CORP 40057LWE7 05/31/22 06/11/29 100.000 0.000 4.4800 0.124444 0.124615 0.127406 0.130260 0.133178 26.35 46.50 GS FINANCE CORP 40057NLH8 10/26/22 11/04/27 100.000 0.000 6.3400 0.176111 0.176359 0.181950 0.187718 11.46 65.14 GS FINANCE CORP 40057NCW5 10/05/22 04/02/27 100.000 0.000 5.7496 0.159711 0.164226 0.168947 13.74 59.13 GS FINANCE CORP 40057LWD9 05/31/22 02/28/25 100.000 0.000 3.3333 0.092592 0.093346 0.094902 0.096484 19.63 34.27 GS FINANCE CORP 40057N2V8 10/05/22 04/03/25 100.000 0.000 5.4658 0.151828 0.155931 0.160192 13.06 56.13 GS FINANCE CORP 40057LX48 05/31/22 05/29/26 100.000 0.000 3.9700 0.110278 0.112455 0.114687 0.116963 23.34 41.03 GS FINANCE CORP 40057MRD3 08/03/22 02/03/25 100.000 0.000 3.3083 0.091897 0.093417 0.094963 13.60 33.81 GS FINANCE CORP 40057MAC3 07/06/22 07/08/25 100.000 0.000 4.2800 0.118889 0.118917 0.121462 0.124061 20.81 44.16 GS FINANCE CORP 40057NLT2 10/19/22 10/21/25 100.000 0.000 5.8800 0.163333 0.163387 0.168190 0.173135 11.76 60.37 GS FINANCE CORP 40057MRB7 08/03/22 02/03/25 100.000 0.000 3.3083 0.091897 0.093417 0.094963 13.60 33.81 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NM46 10/18/22 04/17/25 100.000 0.000 5.7546 0.159850 0.164424 0.169155 11.67 59.06 GS FINANCE CORP 40057NUC9 11/28/22 11/27/26 100.000 0.000 5.3517 0.148658 0.152614 0.156698 4.91 54.50 GS FINANCE CORP 40057NDB0 10/04/22 10/03/24 100.000 0.000 5.3729 0.149247 0.153234 0.157351 12.98 55.16 GS FINANCE CORP 40057NUM7 11/18/22 11/18/27 100.000 0.000 5.4500 0.151389 0.155514 0.159752 6.51 55.60 GS FINANCE CORP 40057MJ91 07/06/22 07/03/25 100.000 0.000 4.1611 0.115586 0.117951 0.120405 20.23 42.89 GS FINANCE CORP 40057NDJ3 09/30/22 10/12/27 100.000 0.000 5.9500 0.165278 0.165606 0.170532 0.175606 15.07 61.29 GS FINANCE CORP 40057NLZ8 10/25/22 10/23/25 100.000 0.000 6.0783 0.168842 0.173916 0.179202 11.14 62.40 GS FINANCE CORP 40057LX55 05/31/22 06/11/29 100.000 0.000 4.4800 0.124444 0.124615 0.127406 0.130260 0.133178 26.35 46.50 GS FINANCE CORP 40057MZX0 09/07/22 09/05/25 100.000 0.000 4.5306 0.125850 0.128669 0.131584 14.35 46.48 GS FINANCE CORP 40057MS83 08/03/22 08/01/24 100.000 0.000 2.8600 0.079444 0.080568 0.081720 11.76 29.14 GS FINANCE CORP 40057MRW1 08/31/22 09/11/29 100.000 0.000 4.7600 0.132222 0.132415 0.135566 0.138792 16.02 48.94 GS FINANCE CORP 40057NDW4 10/13/22 10/23/29 100.000 0.000 5.9600 0.165556 0.165830 0.170771 0.175860 12.93 61.27 GS FINANCE CORP 40057LXD8 05/18/22 05/27/27 100.000 0.000 4.2400 0.117778 0.117903 0.120402 0.122955 0.125561 26.38 43.98 GS FINANCE CORP 40057N3V7 10/05/22 10/03/25 100.000 0.000 5.5208 0.153356 0.157542 0.161891 13.19 56.71 GS FINANCE CORP 40057MRV3 08/31/22 08/29/25 100.000 0.000 4.2583 0.118286 0.120777 0.123362 14.31 43.65 GS FINANCE CORP 40057LXC0 05/18/22 05/27/27 100.000 0.000 4.2400 0.117778 0.117903 0.120402 0.122955 0.125561 26.38 43.98 GS FINANCE CORP 40057MRU5 08/31/22 03/03/27 100.000 0.000 4.5750 0.127083 0.127132 0.130040 0.133015 15.38 46.99 GS FINANCE CORP 40057NUX3 12/05/22 12/04/25 100.000 0.000 5.1350 0.142639 0.146281 0.150037 3.71 52.21 GS FINANCE CORP 40057NV79 11/28/22 11/28/25 100.000 0.000 5.2600 0.146111 0.149954 0.153898 4.82 53.55 GS FINANCE CORP 40057NMF1 11/03/22 11/05/24 100.000 0.000 5.9350 0.164861 0.164915 0.169809 0.174848 9.56 60.81 GS FINANCE CORP 40057MRT8 08/31/22 09/11/29 100.000 0.000 7.0000 0.194444 0.194860 0.201680 0.208739 23.57 72.90 GS FINANCE CORP 40057NV87 11/28/22 12/07/29 100.000 0.000 5.5300 0.153611 0.153823 0.158077 0.162448 5.07 56.35 GS FINANCE CORP 40057MRS0 08/31/22 08/29/25 100.000 0.000 4.2583 0.118286 0.120777 0.123362 14.31 43.65 GS FINANCE CORP 40057MJA8 07/06/22 07/05/24 100.000 0.000 2.7344 0.075956 0.076988 0.078041 13.29 27.90 GS FINANCE CORP 40057MRR2 08/31/22 08/31/27 100.000 0.000 4.6400 0.128889 0.131846 0.134939 15.60 47.67 GS FINANCE CORP 40057NV61 11/28/22 11/26/27 100.000 0.000 5.4517 0.151436 0.155518 0.159757 5.00 55.54 GS FINANCE CORP 40057NV46 12/05/22 12/04/25 100.000 0.000 5.1350 0.142639 0.146281 0.150037 3.71 52.21 GS FINANCE CORP 40057NDR5 10/12/22 10/10/24 100.000 0.000 5.3850 0.149583 0.153566 0.157701 11.82 55.22 GS FINANCE CORP 40057NUT2 11/28/22 12/10/29 100.000 0.000 5.5300 0.153611 0.153894 0.158149 0.162522 5.08 56.35 GS FINANCE CORP 40057NUR6 11/28/22 12/01/25 100.000 0.000 5.2600 0.146111 0.146175 0.150020 0.153965 4.82 53.55 GS FINANCE CORP 40057NDQ7 09/29/22 01/04/24 100.000 0.000 5.2413 0.145592 0.147605 0.151474 13.39 53.82 GS FINANCE CORP 40057NMP9 10/31/22 11/02/27 100.000 0.000 6.1000 0.169444 0.169502 0.174672 0.179999 10.34 62.57 GS FINANCE CORP 40057MJM2 08/02/22 02/02/26 100.000 0.000 4.0550 0.112639 0.114923 0.117253 16.78 41.65 GS FINANCE CORP 40057NML8 10/26/22 10/26/27 100.000 0.000 6.3500 0.176389 0.181989 0.187767 11.47 65.25 GS FINANCE CORP 40057MB99 06/30/22 06/30/28 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 24.79 51.14 GS FINANCE CORP 40057LXH9 05/06/22 05/06/27 100.000 0.000 4.4200 0.122778 0.125491 0.128265 0.131099 29.00 45.98 GS FINANCE CORP 40057N3Z8 10/05/22 10/05/27 100.000 0.000 5.8400 0.162222 0.166959 0.171834 13.95 60.08 GS FINANCE CORP 40057LXG1 05/06/22 05/06/27 100.000 0.000 4.4200 0.122778 0.125491 0.128265 0.131099 29.00 45.98 GS FINANCE CORP 40057LXF3 05/06/22 05/06/27 100.000 0.000 4.4200 0.122778 0.125491 0.128265 0.131099 29.00 45.98 GS FINANCE CORP 40057N3X3 10/05/22 10/05/27 100.000 0.000 5.8400 0.162222 0.166959 0.171834 13.95 60.08 GS FINANCE CORP 40057MSH3 09/06/22 09/09/25 100.000 0.000 4.5300 0.125833 0.125881 0.128732 0.131648 14.48 46.48 GS FINANCE CORP 40057NVK0 12/05/22 06/04/25 100.000 0.000 5.2250 0.145139 0.148910 0.152800 3.77 53.14 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MSG5 09/02/22 09/05/25 100.000 0.000 4.5100 0.125278 0.125325 0.128151 0.131041 14.91 46.29 GS FINANCE CORP 36263Q330 06/03/22 06/05/28 100.000 0.000 4.1900 0.116389 0.116416 0.118855 0.121345 0.123887 24.28 43.37 GS FINANCE CORP 40057NN86 10/17/22 10/16/23 100.000 0.000 5.4100 0.150278 0.154320 11.12 43.56 GS FINANCE CORP 40057LY21 05/24/22 06/03/27 100.000 0.000 4.4500 0.123611 0.123749 0.126502 0.129317 0.132194 26.93 46.21 GS FINANCE CORP 40057NEF0 10/31/22 05/01/25 100.000 0.000 5.7950 0.160972 0.165662 0.170462 9.82 59.36 GS FINANCE CORP 40057NVF1 11/28/22 12/10/29 100.000 0.000 5.5300 0.153611 0.153894 0.158149 0.162522 5.08 56.35 GS FINANCE CORP 40057NEC7 10/11/22 10/09/23 100.000 0.000 5.2800 0.146667 0.150496 11.73 41.46 GS FINANCE CORP 40057NVE4 11/28/22 08/27/25 100.000 0.000 5.3267 0.147964 0.149912 0.153905 4.88 54.35 GS FINANCE CORP 40057MSP5 09/06/22 09/03/27 100.000 0.000 4.8079 0.133553 0.136710 0.139996 15.36 49.41 GS FINANCE CORP 40057NNC7 10/19/22 10/17/25 100.000 0.000 5.8708 0.163078 0.167812 0.172738 11.74 60.27 GS FINANCE CORP 40057MSQ3 09/06/22 09/05/25 100.000 0.000 4.4042 0.122339 0.125018 0.127771 14.07 45.15 GS FINANCE CORP 40057NW52 11/16/22 05/15/24 100.000 0.000 5.5258 0.153494 0.157712 0.162069 6.91 56.41 GS FINANCE CORP 40057NVT1 11/28/22 11/28/25 100.000 0.000 5.2600 0.146111 0.149954 0.153898 4.82 53.55 GS FINANCE CORP 40057NF28 11/03/22 11/04/27 100.000 0.000 6.1100 0.169722 0.174936 0.180280 9.84 62.64 GS FINANCE CORP 40057NVS3 12/05/22 06/04/25 100.000 0.000 5.2250 0.145139 0.148910 0.152800 3.77 53.14 GS FINANCE CORP 40057LXZ9 05/24/22 06/03/25 100.000 0.000 4.0100 0.111389 0.111501 0.113736 0.116017 0.118343 24.26 41.48 GS FINANCE CORP 40057P2A9 12/06/22 12/06/27 100.000 0.000 5.2000 0.144444 0.148200 0.152053 3.61 52.87 GS FINANCE CORP 40057LXW6 06/03/22 06/09/25 100.000 0.000 3.6500 0.101389 0.101451 0.103302 0.105187 0.107107 21.14 37.61 GS FINANCE CORP 40057NH75 10/26/22 10/26/27 100.000 0.000 6.3400 0.176111 0.181694 0.187454 11.45 65.14 GS FINANCE CORP 40057LYG0 05/18/22 05/29/29 100.000 0.000 4.5000 0.125000 0.125172 0.127988 0.130868 0.133813 28.00 46.78 GS FINANCE CORP 40057MBW8 06/03/22 06/05/24 100.000 0.000 2.4000 0.066667 0.066676 0.067476 0.068285 0.069105 13.89 24.48 GS FINANCE CORP 40057MKG3 07/29/22 08/09/29 100.000 0.000 4.6900 0.130278 0.130448 0.133506 0.136637 19.83 48.39 GS FINANCE CORP 40057NEY9 10/31/22 10/30/25 100.000 0.000 5.8158 0.161550 0.166248 0.171082 9.85 59.59 GS FINANCE CORP 40057MKH1 07/29/22 05/01/25 100.000 0.000 3.8500 0.106944 0.107997 0.110076 0.112195 16.32 39.50 GS FINANCE CORP 40057NEX1 10/31/22 11/09/29 100.000 0.000 6.2300 0.173056 0.173325 0.178724 0.184291 10.57 63.94 GS FINANCE CORP 40057MKF5 07/29/22 05/01/25 100.000 0.000 3.8500 0.106944 0.107997 0.110076 0.112195 16.32 39.50 GS FINANCE CORP 40057NNJ2 10/25/22 10/24/24 100.000 0.000 5.9383 0.164953 0.169823 0.174866 10.89 60.92 GS FINANCE CORP 40057MKE8 07/29/22 08/09/29 100.000 0.000 4.6900 0.130278 0.130448 0.133506 0.136637 19.83 48.39 GS FINANCE CORP 40057P2K7 11/28/22 11/30/27 100.000 0.000 5.4600 0.151667 0.151713 0.155854 0.160109 5.01 55.62 GS FINANCE CORP 40057NEW3 10/31/22 11/09/29 100.000 0.000 6.2300 0.173056 0.173325 0.178724 0.184291 10.57 63.94 GS FINANCE CORP 40057MKD0 07/29/22 07/29/27 100.000 0.000 4.5300 0.125833 0.128683 0.131598 19.13 46.69 GS FINANCE CORP 40057NF77 11/03/22 11/04/27 100.000 0.000 6.1100 0.169722 0.174936 0.180280 9.84 62.64 GS FINANCE CORP 40057NEV5 10/31/22 10/29/27 100.000 0.000 6.0883 0.169119 0.174239 0.179543 10.32 62.45 GS FINANCE CORP 40057MT66 08/31/22 08/29/25 100.000 0.000 4.2583 0.118286 0.120777 0.123362 14.31 43.65 GS FINANCE CORP 40057NEU7 10/31/22 04/30/26 100.000 0.000 5.8783 0.163286 0.168085 0.173026 9.96 60.24 GS FINANCE CORP 40057NF69 11/03/22 05/05/25 100.000 0.000 5.9125 0.164236 0.164290 0.169147 0.174147 9.53 60.57 GS FINANCE CORP 40057LYB1 05/12/22 05/13/27 100.000 0.000 4.4000 0.122222 0.124926 0.127674 0.130483 28.12 45.73 GS FINANCE CORP 40057NVW4 11/15/22 11/14/24 100.000 0.000 5.7987 0.161075 0.165719 0.170524 7.41 59.27 GS FINANCE CORP 40057NNE3 10/24/22 10/24/24 100.000 0.000 5.8900 0.163611 0.168429 0.173390 10.96 60.42 GS FINANCE CORP 40057N4R5 10/05/22 10/03/25 100.000 0.000 5.5208 0.153356 0.157542 0.161891 13.19 56.71 GS FINANCE CORP 40057MTB5 08/31/22 08/31/26 100.000 0.000 4.5100 0.125278 0.128071 0.130992 15.16 46.30 GS FINANCE CORP 40057NFB8 10/13/22 10/10/24 100.000 0.000 5.4633 0.151758 0.155835 0.160092 11.84 56.04 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NNS2 10/28/22 10/30/24 100.000 0.000 5.8050 0.161250 0.161302 0.165984 0.170801 10.16 59.49 GS FINANCE CORP 40057P2T8 12/02/22 12/06/27 100.000 0.000 5.4700 0.151944 0.152037 0.156195 0.160467 4.41 55.69 GS FINANCE CORP 40057NNQ6 10/24/22 10/24/24 100.000 0.000 5.8900 0.163611 0.168429 0.173390 10.96 60.42 GS FINANCE CORP 40057NNP8 11/02/22 11/02/27 100.000 0.000 6.0900 0.169167 0.174318 0.179626 9.98 62.44 GS FINANCE CORP 40057LYJ4 05/18/22 05/18/27 100.000 0.000 4.2400 0.117778 0.120275 0.122824 0.125428 26.37 43.98 GS FINANCE CORP 40057P2Q4 12/02/22 12/04/24 100.000 0.000 5.3900 0.149722 0.149767 0.153803 0.157948 4.34 54.86 GS FINANCE CORP 40057MBX6 06/03/22 06/04/27 100.000 0.000 4.0700 0.113056 0.115369 0.117717 0.120112 23.58 42.08 GS FINANCE CORP 40057LYW5 05/17/22 05/14/24 100.000 0.000 2.4800 0.068889 0.069729 0.070594 0.071469 15.47 25.34 GS FINANCE CORP 36263Q223 05/13/22 09/15/27 100.000 0.000 4.4517 0.123658 0.125524 0.128318 0.131174 28.39 46.29 GS FINANCE CORP 40057NFJ1 11/03/22 11/05/25 100.000 0.000 5.8900 0.163611 0.163665 0.168485 0.173446 9.49 60.33 GS FINANCE CORP 40057MKW8 07/29/22 07/30/26 100.000 0.000 4.3650 0.121250 0.123911 0.126615 18.43 44.94 GS FINANCE CORP 40057NNZ6 11/02/22 05/02/24 100.000 0.000 5.8750 0.163194 0.167988 0.172923 9.63 60.19 GS FINANCE CORP 40057NWJ2 11/23/22 11/25/25 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 5.59 53.90 GS FINANCE CORP 40057N5G8 09/20/22 09/18/25 100.000 0.000 4.8125 0.133681 0.136862 0.140155 13.50 49.36 GS FINANCE CORP 40057NFF9 10/03/22 10/03/24 100.000 0.000 5.2400 0.145556 0.149369 0.153283 12.81 53.77 GS FINANCE CORP 40057NWH6 11/17/22 11/19/25 100.000 0.000 5.3500 0.148611 0.148655 0.152632 0.156715 6.54 54.57 GS FINANCE CORP 40057ML56 07/26/22 07/24/25 100.000 0.000 4.1611 0.115586 0.117964 0.120419 17.92 42.80 GS FINANCE CORP 40057NNW3 11/02/22 11/04/25 100.000 0.000 5.8600 0.162778 0.162831 0.167602 0.172512 9.61 60.03 GS FINANCE CORP 40057MTE9 09/06/22 09/05/25 100.000 0.000 4.4042 0.122339 0.125018 0.127771 14.07 45.15 GS FINANCE CORP 40057NFG7 10/04/22 04/03/25 100.000 0.000 5.4454 0.151261 0.155357 0.159587 13.16 55.92 GS FINANCE CORP 40057MTD1 08/31/22 09/11/29 100.000 0.000 4.7600 0.132222 0.132415 0.135566 0.138792 16.02 48.94 GS FINANCE CORP 40057MKS7 08/03/22 08/05/25 100.000 0.000 3.9700 0.110278 0.110302 0.112492 0.114725 16.32 40.75 GS FINANCE CORP 40057NFE2 10/03/22 10/02/25 100.000 0.000 5.3592 0.148867 0.152834 0.156929 13.10 55.02 GS FINANCE CORP 40057MD22 06/30/22 10/03/24 100.000 0.000 3.3450 0.092917 0.093720 0.095287 0.096881 16.89 34.30 GS FINANCE CORP 40057MCQ0 07/07/22 07/10/23 100.000 0.000 2.3600 0.065556 0.065568 0.066342 11.41 12.53 GS FINANCE CORP 40057NFT9 10/26/22 10/24/24 100.000 0.000 5.8583 0.162731 0.167444 0.172349 10.58 60.08 GS FINANCE CORP 40057N5S2 09/22/22 09/23/27 100.000 0.000 5.2900 0.146944 0.150853 0.154843 14.55 54.38 GS FINANCE CORP 40057M2P3 05/25/22 05/27/27 100.000 0.000 4.3500 0.120833 0.120863 0.123491 0.126177 0.128922 26.20 45.12 GS FINANCE CORP 40057NFS1 10/26/22 10/24/24 100.000 0.000 5.8637 0.162881 0.167603 0.172517 10.59 60.13 GS FINANCE CORP 40057N5R4 09/22/22 09/23/27 100.000 0.000 5.2900 0.146944 0.150853 0.154843 14.55 54.38 GS FINANCE CORP 40057N5P8 09/13/22 09/12/24 100.000 0.000 3.0300 0.084167 0.085435 0.086729 9.09 30.81 GS FINANCE CORP 40057NWT0 11/23/22 11/25/26 100.000 0.000 5.3950 0.149861 0.149906 0.153950 0.158103 5.70 54.99 GS FINANCE CORP 40057NX36 12/01/22 12/03/25 100.000 0.000 5.1700 0.143611 0.143652 0.147366 0.151175 4.31 52.59 GS FINANCE CORP 40057NWR4 11/15/22 11/14/24 100.000 0.000 5.7967 0.161019 0.165660 0.170462 7.41 59.25 GS FINANCE CORP 40057NX28 11/09/22 05/09/24 100.000 0.000 5.9175 0.164375 0.169238 0.174246 8.55 60.56 GS FINANCE CORP 40057N5M5 09/13/22 09/12/24 100.000 0.000 3.0300 0.084167 0.085435 0.086729 9.09 30.81 GS FINANCE CORP 40057MTM1 09/06/22 03/05/25 100.000 0.000 3.6492 0.101367 0.103206 0.105089 11.66 37.25 GS FINANCE CORP 40057MTL3 08/31/22 03/03/25 100.000 0.000 3.6500 0.101389 0.101420 0.103271 0.105155 12.27 37.29 GS FINANCE CORP 40057N5K9 09/14/22 09/14/27 100.000 0.000 4.9800 0.138333 0.141778 0.145308 14.80 51.17 GS FINANCE CORP 40057NS81 11/01/22 10/31/24 100.000 0.000 5.7708 0.160300 0.164900 0.169658 9.62 59.11 GS FINANCE CORP 40057LYY1 05/25/22 05/23/25 100.000 0.000 3.7528 0.104244 0.106179 0.108171 0.110201 22.59 38.74 GS FINANCE CORP 40057MLK3 07/29/22 07/30/26 100.000 0.000 4.3650 0.121250 0.123911 0.126615 18.43 44.94 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057LZH7 05/25/22 05/25/27 100.000 0.000 4.3500 0.120833 0.123461 0.126147 0.128890 26.19 45.12 GS FINANCE CORP 40057MLG2 07/29/22 07/31/25 100.000 0.000 4.2000 0.116667 0.116680 0.119131 0.121632 17.74 43.19 GS FINANCE CORP 40057LZE4 06/03/22 06/05/25 100.000 0.000 3.6500 0.101389 0.101409 0.103260 0.105145 0.107064 21.14 37.61 GS FINANCE CORP 40057NWZ6 11/09/22 02/08/24 100.000 0.000 5.9325 0.164792 0.167209 0.172168 8.57 60.81 GS FINANCE CORP 40057MD55 08/24/22 03/24/25 100.000 0.000 3.6942 0.102617 0.102933 0.104834 0.106770 13.06 37.77 GS FINANCE CORP 40057MU72 08/31/22 08/29/25 100.000 0.000 4.2583 0.118286 0.120777 0.123362 14.31 43.65 GS FINANCE CORP 40057MD48 08/03/22 08/01/25 100.000 0.000 3.8597 0.107214 0.109260 0.111369 15.87 39.59 GS FINANCE CORP 40057MTS8 09/06/22 03/05/25 100.000 0.000 3.6492 0.101367 0.103206 0.105089 11.66 37.25 GS FINANCE CORP 40057MD30 07/06/22 01/06/25 100.000 0.000 3.5667 0.099075 0.100842 0.102640 17.34 36.61 GS FINANCE CORP 40057LZB0 06/03/22 06/05/25 100.000 0.000 3.6500 0.101389 0.101409 0.103260 0.105145 0.107064 21.14 37.61 GS FINANCE CORP 40057MU56 08/24/22 08/22/24 100.000 0.000 2.8600 0.079444 0.080568 0.081720 10.09 29.10 GS FINANCE CORP 40057M3A5 06/03/22 06/04/30 100.000 0.000 4.3600 0.121111 0.123766 0.126464 0.129221 25.26 45.19 GS FINANCE CORP 36263Q181 05/18/22 06/05/29 100.000 0.000 4.5000 0.125000 0.125266 0.128084 0.130966 0.133913 28.00 46.78 GS FINANCE CORP 40057NGD3 11/03/22 11/07/25 100.000 0.000 5.8900 0.163611 0.163718 0.168540 0.173503 9.50 60.33 GS FINANCE CORP 40057N6A0 10/05/22 04/03/25 100.000 0.000 5.4658 0.151828 0.155931 0.160192 13.06 56.13 GS FINANCE CORP 40057NGA9 11/02/22 10/31/25 100.000 0.000 5.8608 0.162800 0.167518 0.172427 9.61 60.04 GS FINANCE CORP 40057MLM9 07/29/22 07/31/28 100.000 0.000 4.6100 0.128056 0.128072 0.131024 0.134044 19.47 47.54 GS FINANCE CORP 40057MLN7 07/15/22 07/15/27 100.000 0.000 4.6700 0.129722 0.132751 0.135851 21.53 48.26 GS FINANCE CORP 40057M2Y4 05/25/22 05/23/24 100.000 0.000 2.4661 0.068503 0.069338 0.070193 0.071059 14.83 25.18 GS FINANCE CORP 40057MLL1 07/29/22 08/09/29 100.000 0.000 4.6900 0.130278 0.130448 0.133506 0.136637 19.83 48.39 GS Fin Corp Medium Term 40057KY31 02/28/22 03/12/29 100.000 0.000 3.2400 0.090000 0.090114 0.091574 0.093057 0.094565 27.46 33.56 GS Fin Corp Medium Term 36255H2A5 06/22/18 06/23/25 100.000 0.500 4.0576 151.01 0.127643 0.129951 0.132306 0.134708 0.137159 46.40 48.10 GS FINANCE CORP 40057MDN6 06/23/22 06/21/24 100.000 0.000 2.8494 0.079150 0.080265 0.081409 0.082568 14.89 29.12 GS FINANCE CORP 40057ME54 06/15/22 12/15/25 100.000 0.000 4.3450 0.120694 0.123317 0.125996 0.128733 23.70 44.96 GS FINANCE CORP 40057MED7 06/23/22 12/20/24 100.000 0.000 3.5928 0.099800 0.101563 0.103387 0.105245 18.78 36.93 GS FINANCE CORP 40057MEC9 06/23/22 06/20/24 100.000 0.000 2.8494 0.079150 0.080259 0.081402 0.082562 14.89 29.12 GS FINANCE CORP 40057MEB1 06/23/22 12/20/23 100.000 0.000 2.1061 0.058503 0.059109 0.059731 11.01 20.74 GS FINANCE CORP 36263Q496 06/21/22 07/05/29 100.000 0.000 5.1100 0.141944 0.142227 0.145860 0.149587 27.02 53.15 GS FINANCE CORP 40057MFD6 06/24/22 06/28/27 100.000 0.000 4.8700 0.135278 0.135351 0.138647 0.142023 0.145481 25.32 50.54 GS FINANCE CORP 40057MFK0 06/21/22 06/20/25 100.000 0.000 4.3458 0.120717 0.123325 0.126005 0.128743 22.96 44.94 GS FINANCE CORP 40057M5U9 06/21/22 06/23/25 100.000 0.000 4.4700 0.124167 0.124198 0.126973 0.129811 0.132712 23.62 46.27 GS FINANCE CORP 40057MAL3 06/30/22 07/02/26 100.000 0.000 4.6500 0.129167 0.129200 0.132204 0.135278 23.39 48.14 GS FINANCE CORP 40057MGF0 06/23/22 06/22/27 100.000 0.000 4.8529 0.134803 0.138056 0.141405 0.144837 25.37 50.36 GS FINANCE CORP 40057MGC7 06/27/22 06/29/26 100.000 0.000 4.5800 0.127222 0.127255 0.130169 0.133150 0.136199 23.42 47.41 GS FINANCE CORP 40057MGM5 06/27/22 06/25/26 100.000 0.000 4.5617 0.126714 0.129572 0.132527 0.135550 23.33 47.21 GS FINANCE CORP 40057MGV5 06/30/22 07/01/27 100.000 0.000 4.8500 0.138007 0.138007 0.144782 24.38 50.29 GS FINANCE CORP 36263Q660 06/15/22 06/13/25 100.000 0.000 4.1319 0.114775 0.117120 0.119539 0.122009 22.54 42.69 GS FINANCE CORP 36263Q678 06/15/22 06/15/26 100.000 0.000 4.4440 0.123444 0.126187 0.128991 0.131857 24.24 46.02 GS FINANCE CORP 40057M6Z7 06/23/22 06/23/26 100.000 0.000 4.6650 0.129583 0.132606 0.135699 0.138864 24.39 48.34 GS FINANCE CORP 40057M6Y0 06/23/22 06/23/28 100.000 0.000 4.9550 0.137639 0.141049 0.144543 0.148124 25.90 51.46 GS FINANCE CORP 40057M7H6 06/30/22 07/02/26 100.000 0.000 4.6500 0.129167 0.129200 0.132204 0.135278 23.39 48.14 GS FINANCE CORP 40057M7G8 06/30/22 04/01/25 100.000 0.000 4.0792 0.113311 0.114479 0.116814 0.119197 20.61 42.06 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057M7F0 06/30/22 07/12/29 100.000 0.000 5.0100 0.139167 0.139399 0.142891 0.146470 25.23 52.01 GS FINANCE CORP 40057M7E3 06/30/22 07/01/27 100.000 0.000 4.8500 0.138007 0.138007 0.144782 24.38 50.29 GS FINANCE CORP 40057MHR3 06/30/22 07/02/24 100.000 0.000 2.9667 0.082408 0.082422 0.083645 0.084885 14.92 30.33 GS FINANCE CORP 40057M7K9 06/30/22 07/12/29 100.000 0.000 5.0100 0.139167 0.139399 0.142891 0.146470 25.23 52.01 GS FINANCE CORP 40057M7J2 06/30/22 04/01/25 100.000 0.000 4.0792 0.113311 0.114479 0.116814 0.119197 20.61 42.06 GS FINANCE CORP 40057MHZ5 06/29/22 06/27/25 100.000 0.000 4.2583 0.118286 0.120777 0.123348 0.125974 21.54 43.96 GS FINANCE CORP 40057MAK5 06/30/22 07/02/25 100.000 0.000 4.4500 0.123611 0.123642 0.126393 0.129205 22.38 46.00 GS FINANCE CORP 40057MJD2 07/01/22 07/01/27 100.000 0.000 4.8900 0.139154 0.139154 0.146042 24.45 50.71 GS FINANCE CORP 40057MAP4 06/30/22 06/30/28 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 24.79 51.14 GS FINANCE CORP 40057MB81 06/30/22 07/12/29 100.000 0.000 5.0100 0.139167 0.139399 0.142891 0.146470 25.23 52.01 GS FINANCE CORP 40057MBF5 06/30/22 07/12/29 100.000 0.000 5.0100 0.139167 0.139399 0.142891 0.146470 25.23 52.01 GS FINANCE CORP 40057MC49 06/23/22 06/22/27 100.000 0.000 4.8529 0.134803 0.138056 0.141405 0.144837 25.37 50.36 GS FINANCE CORP 40057MCN7 06/21/22 06/22/27 100.000 0.000 4.9100 0.136389 0.139756 0.143187 0.146702 25.94 50.99 GS FINANCE CORP 40057MCV9 06/21/22 06/18/27 100.000 0.000 4.8917 0.135881 0.139149 0.142552 0.146039 25.86 50.80 GS FINANCE CORP 40057MCR8 06/15/22 06/15/27 100.000 0.000 4.6300 0.128611 0.131588 0.134635 0.137752 25.26 48.02 GS FINANCE CORP 40057MCZ0 06/21/22 08/08/24 100.000 0.000 4.2600 0.118333 0.118991 0.121526 0.124114 22.58 44.03 GS Finance Corp. 40055AMX2 02/28/18 03/10/28 100.000 0.000 3.9678 162.99 0.126631 0.129143 0.131705 0.134318 0.136983 46.60 48.47 GS Finance Corp. 40055QCU4 06/29/18 07/11/25 100.000 0.000 4.0800 152.13 0.128108 0.130721 0.133388 0.136109 0.138886 47.49 49.44 GS Finance Corp. 40054K7H3 04/29/16 04/29/22 100.000 0.000 2.6000 157.83 0.083248 9.82 GS Finance Corp. 40056EKL1 12/27/18 09/26/23 100.000 0.000 4.3301 137.81 0.135310 0.138239 0.141232 0.144290 49.80 37.98 GS Finance Corp. 40055QU83 08/30/18 03/03/22 100.000 0.000 3.4200 119.82 0.105204 6.52 GS Finance Corp. 40057H4Z0 05/28/21 05/31/29 100.000 0.000 2.0800 12.33 0.058386 0.058993 0.059607 0.060227 0.060853 21.17 21.61 GS Finance Corp. 40055AMU8 02/28/18 03/10/28 100.000 0.000 3.9678 162.99 0.126631 0.129143 0.131705 0.134318 0.136983 46.60 48.47 GS Finance Corp. 40055QLC4 07/31/18 01/29/26 100.000 0.000 4.0947 148.70 0.128435 0.131064 0.133748 0.136486 0.139280 47.52 49.48 GS Finance Corp. 36257W517 08/14/19 08/12/22 100.000 0.000 2.2407 54.49 0.065070 0.065799 14.51 GS Finance Corp. 40054K7K6 04/29/16 04/30/26 100.000 0.000 3.2999 204.04 0.109753 0.111564 0.113405 0.115276 0.117178 40.06 41.39 GS Finance Corp. 40054LTA2 09/29/17 09/30/24 100.000 0.000 2.9501 132.75 0.092137 0.093496 0.094876 0.096275 0.097695 33.66 34.66 GS Finance Corp. 40055A4D6 11/30/17 12/13/27 100.000 0.000 3.3000 143.12 0.104613 0.106339 0.108094 0.109878 0.111691 38.03 39.30 GS Finance Corp. 40057FQ72 03/10/21 03/10/31 100.000 VARIES 2.5198 20.31 0.069477 0.068952 0.068424 0.067997 0.067943 24.80 24.50 GS Finance Corp. 40055AMV6 02/28/18 03/10/28 100.000 0.000 3.9678 162.99 0.126631 0.129143 0.131705 0.134318 0.136983 46.60 48.47 GS Finance Corp. 40055QCS9 06/29/18 03/31/25 100.000 0.000 4.0414 150.69 0.127870 0.130454 0.133090 0.135779 0.138523 46.97 48.89 GS Finance Corp. 36254F582 02/05/18 02/05/25 100.000 0.000 3.4781 144.19 0.109008 0.110904 0.112832 0.114794 0.116791 40.14 41.55 GS Finance Corp. 40054K7J9 04/29/16 05/01/24 100.000 0.000 3.0000 184.04 0.098179 0.099651 0.101146 0.102663 0.104203 35.79 36.87 GS Finance Corp. 40055Q2R2 05/04/18 05/02/24 100.000 1.450 3.8675 147.59 0.117867 0.118588 0.120882 0.121661 0.124014 42.74 43.84 GS Finance Corp. 40054LSZ8 09/20/17 09/22/25 100.000 0.000 3.0502 138.38 0.095650 0.097109 0.098590 0.100093 0.101620 34.99 36.06 GS Finance Corp. 40055A4B0 11/27/17 05/27/25 100.000 0.000 3.1501 136.54 0.099156 0.100717 0.102304 0.103915 0.105552 36.08 37.23 GS Finance Corp. 40054KYH3 03/31/17 03/31/23*** 100.000 1.250 2.9099 143.37 0.087230 0.087994 0.088769 *** *** 31.68 *** GS Finance Corp. 36259Y735 04/07/21 04/05/28 100.000 0.000 2.1083 15.51 0.059175 0.059799 0.060429 0.061066 0.061710 21.52 21.98 GS Finance Corp. 40057HNH9 06/30/21 06/30/31 100.000 VARIES 2.3198 11.66 0.063817 0.063188 0.062551 0.061906 0.062102 22.86 22.40 GS Finance Corp. 40055Q2P6 05/25/18 05/30/23 100.000 0.000 3.7700 143.95 0.119408 0.121659 0.123952 43.53 18.47 GS Finance Corp. 40054K7D2 04/29/16 05/01/23 100.000 0.000 2.8501 174.15 0.092518 0.093836 0.095173 33.70 11.42 GS FINANCE CORP 40057LAC5 03/02/22 03/01/28 100.000 0.000 3.0754 0.085429 0.086735 0.088069 0.089423 25.70 31.79 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055A4C8 11/30/17 12/12/24 100.000 0.000 2.9999 129.40 0.093965 0.095375 0.096805 0.098257 0.099731 34.14 35.17 GS Finance Corp. 40055QCN0 06/29/18 12/31/25 100.000 0.000 4.1267 153.95 0.132264 0.134993 0.137779 0.140622 0.143523 48.11 50.12 GS Finance Corp. 40056FF83 05/31/19 06/02/26 100.000 0.000 3.3900 90.85 0.102441 0.104178 0.105944 0.107739 0.109566 37.29 38.57 GS Finance Corp. 40054KYJ9 03/31/17 03/31/25 100.000 0.000 3.2999 168.35 0.106209 0.107962 0.109743 0.111554 0.113394 38.87 40.17 GS Finance Corp. 40056FF91 05/31/19 05/31/24 100.000 0.000 3.1099 83.10 0.093315 0.094766 0.096240 0.097736 0.099256 33.95 35.01 GS Finance Corp. 36258L742 12/04/19 06/04/25 100.000 0.000 2.4932 52.77 0.072774 0.073681 0.074599 0.075529 0.076471 26.41 27.07 GS Finance Corp. 40056XSK3 12/27/19 01/08/27 100.000 0.000 2.7200 55.85 0.078747 0.079818 0.080904 0.082004 0.083119 28.91 29.71 GS Finance Corp. 40054LKV5 07/28/17 07/28/25 100.000 0.000 3.1002 145.85 0.097392 0.098902 0.100435 0.101991 0.103572 35.80 36.92 GS Finance Corp. 40055AVQ7 04/30/18 01/30/25 100.000 0.000 4.0014 156.56 0.126429 0.128958 0.131538 0.134170 0.136854 46.74 48.63 GS Finance Corp. 40055ANA1 02/28/18 03/12/25 100.000 0.000 3.6670 149.87 0.115840 0.117964 0.120127 0.122330 0.124572 42.55 44.13 GS Finance Corp. 40055AVR5 04/30/18 10/30/25 100.000 0.000 4.0867 160.08 0.130785 0.133458 0.136185 0.138967 0.141807 47.89 49.87 GS Finance Corp. 40055AW37 04/27/18 04/29/26 100.000 0.000 4.0867 160.48 0.130815 0.133488 0.136215 0.138999 0.141839 47.91 49.89 GS Finance Corp. 40054KHR0 08/24/16 08/24/26 100.000 0.000 2.8998 166.64 0.093021 0.094370 0.095738 0.097126 0.098534 34.08 35.07 GS FINANCE CORP 36262Y227 02/16/22 03/05/29 100.000 0.000 3.0267 0.084076 0.084210 0.085485 0.086778 0.088092 26.67 31.31 GS Finance Corp. 40055QLJ9 07/31/18 08/11/25 100.000 0.000 4.0600 147.39 0.127390 0.129976 0.132614 0.135306 0.138053 47.06 48.99 GS Finance Corp. 40057F7J7 01/29/21 01/29/36 100.000 VARIES 2.3898 21.91 0.065518 0.064641 0.063146 0.061846 0.060810 23.07 22.14 GS Finance Corp. 40054LCA0 05/18/17 05/19/22 100.000 0.000 2.5602 124.72 0.079748 11.01 GS Finance Corp. 40055A4K0 11/27/17 11/24/25 100.000 0.000 3.2000 138.84 0.100898 0.102513 0.104153 0.105819 0.107512 36.73 37.92 GS Finance Corp. 40055AVN4 04/30/18 01/30/23 100.000 0.000 3.6788 143.20 0.115047 0.117163 0.119318 42.44 3.46 GS Finance Corp. 40054LKQ6 07/31/17 07/26/23 100.000 1.250 2.7589 125.64 0.081464 0.082109 0.082763 0.083425 29.64 17.09 GS Finance Corp. 40055Q2X9 05/17/18 05/29/25 100.000 0.000 3.9900 153.90 0.127439 0.129982 0.132575 0.135220 0.137917 46.50 48.37 GS Finance Corp. 40054K7L4 04/28/16 04/30/24 100.000 0.000 3.0000 184.13 0.098179 0.099651 0.101146 0.102663 0.104203 35.79 36.87 GS Finance Corp. 40055QCV2 06/29/18 06/29/23 100.000 0.000 3.7700 139.89 0.119347 0.121596 0.123888 43.38 22.05 GS Finance Corp. 40056EKM9 12/27/18 09/25/25 100.000 0.000 4.5267 144.43 0.142188 0.145406 0.148697 0.152063 0.155505 52.39 54.79 GS Finance Corp. 40055QCW0 06/29/18 06/29/23 100.000 0.000 3.7700 139.89 0.119347 0.121596 0.123888 43.38 22.05 GS FINANCE CORP 40057KWY5 02/28/22 08/28/29 100.000 0.000 3.2767 0.091020 0.092511 0.094026 0.095567 27.76 33.95 GS Finance Corp. 40056XSF4 12/27/19 06/26/25 100.000 0.000 2.5775 52.86 0.075355 0.076327 0.077310 0.078307 0.079316 27.31 28.02 GS Finance Corp. 40056EKN7 12/27/18 06/25/26 100.000 0.000 4.5781 146.04 0.145631 0.148964 0.152374 0.155862 0.159430 53.07 55.52 GS Finance Corp. 40057FYJ7 04/21/21 07/21/28 100.000 0.000 2.0792 14.49 0.058057 0.058660 0.059270 0.059886 0.060509 21.20 21.65 GS Finance Corp. 40055Q2V3 05/25/18 05/28/25 100.000 0.000 4.0600 155.73 0.129857 0.132493 0.135183 0.137927 0.140727 47.40 49.34 GS Finance Corp. 40056XT48 01/03/20 01/05/23 100.000 0.000 2.2302 45.23 0.064052 0.064766 0.065489 23.44 0.26 GS FINANCE CORP 40057LAX9 03/23/22 03/26/29 100.000 0.000 3.4800 0.096666 0.096694 0.098376 0.100088 0.101829 27.04 36.05 GS Finance Corp. 40054CAD6 01/29/16 07/31/24 100.000 0.000 3.3498 217.45 0.111714 0.113585 0.115487 0.117422 0.119388 41.12 42.51 GS Finance Corp. 40056YET7 03/04/20 09/03/24 100.000 0.000 1.7759 32.80 0.050654 0.051103 0.051557 0.052015 0.052477 18.42 18.75 GS FINANCE CORP 40057LAW1 03/23/22 03/25/27 100.000 0.000 3.3200 0.092221 0.092238 0.093769 0.095326 0.096908 25.79 34.34 GS Finance Corp. 40055Q3E0 05/30/18 03/01/23 100.000 0.000 3.6601 138.99 0.114404 0.116497 0.118629 42.07 7.12 GS FINANCE CORP 40057KP72 01/31/22 01/31/30 100.000 0.000 2.8700 0.079724 0.080868 0.082028 0.083205 26.56 29.67 GS Finance Corp. 40054LTR5 09/25/17 09/25/23 100.000 0.000 2.7000 121.26 0.083495 0.084622 0.085765 0.086922 30.48 22.85 GS Finance Corp. 40056XSQ0 12/27/19 01/09/30 100.000 0.000 2.8800 59.20 0.083587 0.084790 0.086011 0.087250 0.088506 30.72 31.62 GS Finance Corp. 40056FFN0 05/31/19 03/03/22 100.000 0.000 2.5943 68.97 0.076385 4.74 GS Finance Corp. 40054CAF1 01/29/16 01/29/24 100.000 0.000 3.0501 196.36 0.100073 0.101599 0.103149 0.104722 0.106319 36.77 37.90 GS Finance Corp. 40055Q3C4 05/30/18 02/27/25 100.000 0.000 3.9600 151.09 0.124916 0.127389 0.129911 0.132484 0.135107 46.03 47.88 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056YVU5 03/24/20 03/23/23 100.000 0.000 3.9958 72.57 0.117767 0.120120 0.122520 43.29 10.05 GS Finance Corp. 40056XT30 01/03/20 01/05/23 100.000 0.000 2.2302 45.23 0.064052 0.064766 0.065489 23.44 0.26 GS Finance Corp. 40054CAE4 01/29/16 01/29/26 100.000 0.000 3.6001 235.32 0.121686 0.123876 0.126106 0.128376 0.130687 44.87 46.50 GS Finance Corp. 40056F5L5 04/30/19 04/30/25 100.000 0.000 3.4500 95.64 0.104388 0.106188 0.108020 0.109883 0.111779 38.13 39.45 GS Finance Corp. 40054LCJ1 05/18/17 05/20/24 100.000 0.000 3.0299 149.05 0.096376 0.097836 0.099318 0.100823 0.102350 35.08 36.15 GS Finance Corp. 40055ANE3 03/16/18 03/27/25 100.000 0.000 3.8098 153.91 0.120914 0.123217 0.125564 0.127956 0.130394 44.38 46.09 GS Finance Corp. 40055AF51 01/31/18 02/11/28 100.000 0.000 3.6599 152.80 0.115554 0.117669 0.119822 0.122015 0.124247 42.58 44.15 GS Finance Corp. 40054KQH2 12/30/16 01/03/25 100.000 0.000 3.3999 183.72 0.109944 0.111813 0.113714 0.115647 0.117613 40.59 41.98 GS Finance Corp. 40056XSP2 12/27/19 01/08/27 100.000 0.000 2.7200 55.85 0.078747 0.079818 0.080904 0.082004 0.083119 28.91 29.71 GS Finance Corp. 40055ANF0 03/16/18 03/27/25 100.000 0.000 3.8098 153.91 0.120914 0.123217 0.125564 0.127956 0.130394 44.38 46.09 GS Finance Corp. 40055AW45 04/27/18 04/29/24 100.000 0.000 3.8501 150.61 0.122243 0.124596 0.126995 0.129439 0.131931 44.73 46.46 GS FINANCE CORP 40057LS51 04/27/22 05/07/29 100.000 0.000 4.5200 0.125555 0.125713 0.128554 0.131459 0.134430 30.83 47.12 GS Finance Corp. 40055AW52 04/30/18 10/31/23 100.000 0.000 3.7750 147.14 0.119524 0.121780 0.124079 0.126421 43.71 37.52 GS Finance Corp. 40054CAB0 12/31/15 01/03/23 100.000 0.000 2.7988 181.57 0.090607 0.091875 0.093160 33.30 0.19 GS Finance Corp. 40055AES2 01/29/18 02/07/25 100.000 0.000 3.4299 142.73 0.107400 0.109242 0.111115 0.113021 0.114959 39.53 40.90 GS Finance Corp. 40055QLQ3 08/03/18 08/03/23 100.000 0.000 3.7700 135.90 0.117138 0.119347 0.121596 0.123888 43.23 26.19 GS Finance Corp. 40057H5T3 05/19/21 05/19/31 100.000 VARIES 2.4694 15.16 0.067041 0.065468 0.064216 0.063364 0.063145 23.73 22.92 GS Finance Corp. 40054KR65 12/21/16 12/21/23 100.000 0.000 3.2002 173.08 0.104188 0.105855 0.107548 0.109269 37.84 37.95 GS Finance Corp. 40054KQU3 12/30/16 12/31/26 100.000 0.000 3.6499 198.36 0.121484 0.123701 0.125959 0.128258 0.130598 44.14 45.76 GS Finance Corp. 40054CAM6 01/28/16 07/28/23 100.000 0.000 2.9500 189.49 0.096265 0.097685 0.099126 0.100588 35.35 20.78 GS Finance Corp. 40055Q3M2 05/30/18 06/10/25 100.000 0.000 4.0101 153.05 0.128139 0.130708 0.133329 0.136002 0.138729 46.70 48.59 GS Finance Corp. 40057HG79 06/30/21 06/29/28 100.000 0.000 1.9816 9.96 0.055588 0.056139 0.056695 0.057257 0.057824 20.11 20.51 GS Finance Corp. 40055QUP5 09/19/18 09/30/25 100.000 0.000 4.0500 140.77 0.127036 0.129608 0.132233 0.134911 0.137643 46.67 48.58 GS Finance Corp. 40056FFW0 06/05/19 12/05/22 100.000 0.000 2.8025 74.22 0.083458 0.084627 28.09 GS Finance Corp. 40055AWC7 05/07/18 05/16/23 100.000 0.000 3.7100 143.64 0.117314 0.119490 0.121706 42.82 16.43 GS Finance Corp. 40057FZC1 04/28/21 04/28/31 100.000 VARIES 2.4400 16.44 0.067248 0.066713 0.066171 0.065623 0.065655 24.05 23.69 GS Finance Corp. 40056FFX8 06/05/19 12/05/22 100.000 0.000 2.8025 74.22 0.083458 0.084627 28.09 GS Finance Corp. 40055QUQ3 09/19/18 09/30/25 100.000 0.000 4.0500 140.77 0.127036 0.129608 0.132233 0.134911 0.137643 46.67 48.58 GS Finance Corp. 40057HG61 06/30/21 03/30/27 100.000 0.000 1.7249 8.69 0.048122 0.048537 0.048955 0.049377 0.049803 17.47 17.78 GS FINANCE CORP 40057LSB8 05/04/22 05/02/25 100.000 0.000 3.8015 0.105596 0.107581 0.109626 0.111709 25.14 39.34 GS Finance Corp. 40054LLF9 07/28/17 07/30/24 100.000 0.000 2.9497 138.36 0.092132 0.093491 0.094870 0.096269 0.097689 33.83 34.83 GS Finance Corp. 40055AWD5 04/30/18 05/09/28 100.000 0.000 4.3200 169.87 0.139513 0.142526 0.145605 0.148750 0.151963 51.08 53.31 GS Finance Corp. 40054KQW9 12/30/16 12/30/22 100.000 0.000 3.0500 163.50 0.098566 0.100069 35.66 GS Finance Corp. 40054LLJ1 07/31/17 08/09/24 100.000 0.000 2.9498 138.18 0.092188 0.093547 0.094927 0.096327 0.097748 33.82 34.83 GS Finance Corp. 40055Q3J9 05/30/18 06/08/28 100.000 0.000 4.3000 164.86 0.138755 0.141738 0.144786 0.147899 0.151079 50.63 52.83 GS Finance Corp. 40054L2W3 03/30/17 09/30/22 100.000 0.000 2.8001 141.32 0.088148 0.089383 23.93 GS Finance Corp. 40056YNL4 04/03/20 04/04/24 100.000 0.000 2.6801 47.56 0.077485 0.078523 0.079575 0.080642 0.081722 28.26 29.03 GS Finance Corp. 40057HG53 06/30/21 03/30/27 100.000 0.000 1.7249 8.69 0.048122 0.048537 0.048955 0.049377 0.049803 17.47 17.78 GS Finance Corp. 40056FX75 08/30/19 09/02/25 100.000 0.000 2.4350 58.19 0.071004 0.071869 0.072744 0.073629 0.074526 25.92 26.56 GS Finance Corp. 40057C7E5 06/30/20 06/30/27 100.000 0.000 1.8299 27.75 0.052240 0.052718 0.053200 0.053687 0.054178 18.89 19.24 GS Finance Corp. 40056FFV2 06/05/19 06/05/24 100.000 0.000 3.0199 80.16 0.090414 0.091779 0.093165 0.094572 0.096000 32.87 33.87 GS Finance Corp. 40056FG74 06/05/19 06/03/22 100.000 0.000 2.6543 70.19 0.078743 11.97 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056FX91 09/05/19 03/05/25 100.000 0.000 2.3900 56.74 0.069618 0.070450 0.071292 0.072144 0.073006 25.41 26.02 GS Finance Corp. 40055Q3K6 05/30/18 06/10/25 100.000 0.000 4.0101 153.05 0.128139 0.130708 0.133329 0.136002 0.138729 46.70 48.59 GS Finance Corp. 40054KQV1 12/30/16 07/02/24 100.000 0.000 3.3199 179.07 0.106967 0.108743 0.110548 0.112383 0.114249 39.47 40.79 GS Finance Corp. 40056FX83 09/05/19 03/03/22 100.000 0.000 1.8401 43.46 0.053015 3.29 GS Finance Corp. 40054KQQ2 12/30/16 07/01/24 100.000 0.000 3.4000 183.72 0.111796 0.113697 0.115629 0.117595 0.119594 40.59 41.98 GS Finance Corp. 40057CQ53 09/03/20 09/06/23 100.000 0.000 0.8300 11.06 0.023248 0.023345 0.023442 0.023539 8.41 5.76 GS Finance Corp. 40055Q3H3 05/30/18 06/10/25 100.000 0.000 4.0101 153.05 0.128139 0.130708 0.133329 0.136002 0.138729 46.70 48.59 GS Finance Corp. 40055ANM5 03/16/18 03/27/25 100.000 0.000 3.8098 153.91 0.120914 0.123217 0.125564 0.127956 0.130394 44.38 46.09 GS Finance Corp. 40056EU22 01/29/19 01/27/22 100.000 0.000 3.4126 103.96 0.103144 2.68 GS Finance Corp. 40056XKH8 10/28/19 10/22/27 100.000 1.000 2.8087 62.18 0.080876 0.082012 0.082383 0.083540 0.083933 29.42 29.97 GS Finance Corp. 40057HX39 07/30/21 07/31/28 100.000 0.000 1.7900 7.51 0.049723 0.050168 0.050617 0.051070 0.051528 18.12 18.44 GS Finance Corp. 40056YNK6 03/31/20 10/01/25 100.000 0.000 3.2325 57.85 0.094224 0.095747 0.097294 0.098867 0.100465 34.47 35.59 GS Finance Corp. 40057C7B1 06/30/20 07/12/27 100.000 0.000 1.8300 27.76 0.051800 0.052274 0.052753 0.053235 0.053722 18.89 19.24 GS Finance Corp. 40054L2S2 03/27/17 03/28/22 100.000 1.000 2.7411 135.53 0.082449 7.17 GS Finance Corp. 40055Q3F7 05/30/18 05/30/28 100.000 0.000 4.3000 164.86 0.138623 0.141604 0.144648 0.147758 0.150935 50.63 52.83 GS Finance Corp. 40057HWP1 07/30/21 07/30/36 100.000 VARIES 2.5273 10.60 0.070203 0.068984 0.067750 0.065846 0.064534 24.68 23.56 GS Finance Corp. 40055Q3G5 05/30/18 06/10/25 100.000 0.000 4.0101 153.05 0.128139 0.130708 0.133329 0.136002 0.138729 46.70 48.59 GS FINANCE CORP 40057KGH0 01/12/22 01/12/29 100.000 0.000 2.5499 0.070832 0.071735 0.072649 0.073576 24.87 26.30 GS FINANCE CORP 40057KXX6 02/28/22 12/01/25 100.000 0.000 2.7651 0.076808 0.077357 0.078426 0.079511 0.080610 23.42 28.49 GS FINANCE CORP 40057LSK8 04/26/22 04/24/25 100.000 0.000 3.7917 0.105326 0.107300 0.109335 0.111407 25.94 39.27 GS Finance Corp. 40054LUA0 10/13/17 10/25/24 100.000 0.000 2.9399 130.99 0.091865 0.093215 0.094586 0.095976 0.097387 33.49 34.49 GS Finance Corp. 40055A5H6 12/26/17 12/26/24 100.000 0.000 3.0002 126.97 0.093880 0.095289 0.096718 0.098169 0.099641 34.06 35.09 GS FINANCE CORP 40057KXY4 02/28/22 02/28/29 100.000 0.000 3.2400 0.090000 0.091458 0.092939 0.094445 27.45 33.56 GS Finance Corp. 40055QV90 09/28/18 10/09/25 100.000 0.000 4.1100 141.82 0.129147 0.131801 0.134510 0.137274 0.140095 47.41 49.38 GS Finance Corp. 40055Q3U4 05/30/18 12/11/25 100.000 0.000 4.0583 155.01 0.129914 0.132550 0.135240 0.137984 0.140784 47.35 49.29 GS Finance Corp. 40056YFG4 03/04/20 03/03/23 100.000 0.000 1.5749 29.05 0.044786 0.045138 0.045494 16.27 2.82 GS Finance Corp. 40055Q3V2 05/30/18 06/12/28 100.000 0.000 4.3000 164.86 0.138821 0.141806 0.144855 0.147969 0.151150 50.63 52.83 GS Finance Corp. 40055Q3S9 05/30/18 06/08/28 100.000 0.000 4.3000 164.86 0.138755 0.141738 0.144786 0.147899 0.151079 50.63 52.83 GS Finance Corp. 40056FXA8 09/05/19 03/03/23 100.000 0.000 2.2054 52.27 0.064001 0.064707 0.065421 23.33 4.06 GS Finance Corp. 40055QDU3 06/29/18 07/11/28 100.000 0.000 4.3600 163.26 0.138042 0.141051 0.144126 0.147268 0.150479 51.27 53.53 GS FINANCE CORP 40057KXV0 02/28/22 03/01/29 100.000 0.000 3.2400 0.090024 0.091483 0.092965 0.094471 27.45 33.56 GS Finance Corp. 40055QUW0 09/28/18 10/09/25 100.000 0.000 4.1100 141.82 0.129147 0.131801 0.134510 0.137274 0.140095 47.41 49.38 GS Finance Corp. 40055A5G8 12/26/17 12/26/24 100.000 0.000 3.0002 126.97 0.093880 0.095289 0.096718 0.098169 0.099641 34.06 35.09 GS Finance Corp. 40057J3N4 08/31/21 09/10/31 100.000 0.000 2.2800 7.67 0.063373 0.064096 0.064826 0.065565 0.066313 23.11 23.64 GS Finance Corp. 40057K6Q1 11/29/21 11/30/26 100.000 0.000 2.0600 1.83 0.057225 0.057814 0.058410 0.059012 0.059619 20.74 21.17 GS FINANCE CORP 36264H495 04/22/22 05/03/29 100.000 0.000 4.4749 0.124302 0.124472 0.127257 0.130104 0.133015 31.15 46.66 GS Finance Corp. 40056YNR1 03/27/20 03/27/25 100.000 0.000 3.8599 69.70 0.113549 0.115740 0.117974 0.120251 0.122571 41.69 43.31 GS Finance Corp. 40055QV58 09/04/18 09/04/25 100.000 0.000 3.9600 139.31 0.123732 0.126182 0.128680 0.131228 0.133826 45.56 47.39 GS Finance Corp. 40057J3M6 08/31/21 09/12/28 100.000 0.000 1.9000 6.39 0.052813 0.053314 0.053821 0.054332 0.054848 19.21 19.58 GS Finance Corp. 40056YNS9 03/27/20 03/27/23 100.000 0.000 3.5399 63.79 0.103646 0.105481 0.107348 37.99 9.23 GS Finance Corp. 40055QE40 06/29/18 12/29/23 100.000 0.000 3.7950 140.87 0.120242 0.122524 0.124848 0.127217 43.71 45.12 GS Finance Corp. 40055QUU4 09/28/18 10/09/25 100.000 0.000 4.1100 141.82 0.129147 0.131801 0.134510 0.137274 0.140095 47.41 49.38 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055Q3R1 05/30/18 11/28/25 100.000 0.000 4.0503 154.69 0.129433 0.132054 0.134728 0.137457 0.140240 47.24 49.18 GS FINANCE CORP 40057KY23 02/28/22 02/26/27 100.000 0.000 2.9749 0.082637 0.083853 0.085100 0.086366 25.19 30.73 GS FINANCE CORP 40057LSD4 04/22/22 04/26/27 100.000 0.000 4.2500 0.118056 0.118112 0.120622 0.123185 0.125803 29.57 44.22 GS Finance Corp. 40055Q3P5 05/30/18 06/10/25 100.000 0.000 4.0101 153.05 0.128139 0.130708 0.133329 0.136002 0.138729 46.70 48.59 GS Finance Corp. 40057HG87 06/30/21 06/29/28 100.000 0.000 1.9816 9.96 0.055588 0.056139 0.056695 0.057257 0.057824 20.11 20.51 GS Finance Corp. 40054KAE6 04/28/16 01/28/22 100.000 0.000 2.5498 154.67 0.080906 2.18 GS FINANCE CORP 40057LT50 05/03/22 05/03/27 100.000 0.000 4.3101 0.119724 0.122304 0.124940 0.127633 28.64 44.81 GS Finance Corp. 40055QVB5 09/04/18 09/06/23 100.000 0.000 3.6999 129.69 0.114749 0.116872 0.119034 0.121236 42.18 29.56 GS FINANCE CORP 40057LC25 03/31/22 04/11/29 100.000 0.000 3.8100 0.105832 0.105955 0.107974 0.110031 0.112127 28.87 39.57 GS Finance Corp. 40056XTK2 12/03/19 12/03/24 100.000 0.000 2.4500 51.91 0.071453 0.072328 0.073214 0.074111 0.075019 25.93 26.57 GS Finance Corp. 40057J3Y0 08/31/21 03/02/28 100.000 0.000 1.7999 6.05 0.050004 0.050454 0.050908 0.051366 0.051828 18.19 18.52 GS FINANCE CORP 40057LSP7 04/28/22 04/24/24 100.000 0.000 2.4919 0.069220 0.070063 0.070936 0.071820 16.88 25.50 GS Finance Corp. 40056FP90 06/21/19 06/23/22 100.000 0.000 2.5898 67.21 0.076731 13.20 GS Finance Corp. 40056F6F7 04/30/19 01/28/22 100.000 0.000 2.6755 73.56 0.078889 2.13 GS Finance Corp. 40054KJ72 09/30/16 10/02/23 100.000 0.000 2.6002 145.37 0.082199 0.083268 0.084350 0.085447 29.98 23.06 GS Finance Corp. 40057J3X2 08/31/21 08/31/28 100.000 0.000 1.9000 6.39 0.052777 0.053272 0.053784 0.054289 0.054811 19.21 19.58 GS Finance Corp. 40057JDX1 09/30/21 10/02/29 100.000 0.000 2.0967 5.30 0.058248 0.058859 0.059476 0.060100 0.060730 21.19 21.64 GS Finance Corp. 36253M695 09/14/17 09/14/23 100.000 0.000 2.6628 120.41 0.082221 0.083316 0.084425 0.085549 30.03 21.56 GS Finance Corp. 40055A5L7 12/26/17 01/07/25 100.000 0.000 2.9999 126.97 0.092570 0.093958 0.095368 0.096798 0.098250 34.06 35.09 GS Finance Corp. 36253M687 09/14/17 09/15/22 100.000 0.000 2.3683 106.49 0.072286 0.073142 18.51 GS Finance Corp. 40055AWP8 05/03/18 05/04/23 100.000 0.000 3.6800 142.87 0.116150 0.118287 0.120463 42.44 14.82 GS Finance Corp. 40054LUG7 10/30/17 10/30/24 100.000 0.000 3.0002 132.23 0.093880 0.095289 0.096718 0.098169 0.099641 34.22 35.26 GS Finance Corp. 40055QUZ3 09/28/18 10/09/25 100.000 0.000 4.1100 141.82 0.129147 0.131801 0.134510 0.137274 0.140095 47.41 49.38 GS Finance Corp. 40054KAB2 04/29/16 04/27/23*** 100.000 1.250 2.8316 167.49 0.085996 0.086722 0.087458 *** *** 31.18 *** GS Finance Corp. 40056EM21 01/03/19 01/03/24 100.000 0.000 4.2400 133.87 0.130802 0.133575 0.136407 0.139299 0.142252 48.59 50.67 GS Finance Corp. 40056F6B6 04/30/19 04/28/22 100.000 0.000 2.9263 80.66 0.087397 10.23 GS Finance Corp. 40054LLU6 08/16/17 08/26/24 100.000 0.000 2.9499 136.72 0.092199 0.093559 0.094939 0.096339 0.097760 33.78 34.78 GS Finance Corp. 40054LUF9 10/30/17 10/30/25 100.000 0.000 3.1001 136.88 0.097388 0.098898 0.100431 0.101988 0.103568 35.52 36.63 GS FINANCE CORP 40057KXZ1 02/28/22 03/09/29 100.000 0.000 3.2400 0.090000 0.090089 0.091548 0.093031 0.094539 27.46 33.56 GS FINANCE CORP 40057LBZ3 03/31/22 04/11/29 100.000 0.000 3.8100 0.105832 0.105955 0.107974 0.110031 0.112127 28.87 39.57 GS Finance Corp. 40057JN77 10/29/21 10/29/27 100.000 0.000 2.0450 3.52 0.056805 0.057386 0.057973 0.058565 0.059164 20.63 21.05 GS FINANCE CORP 40057LBY6 03/31/22 03/31/28 100.000 0.000 3.7350 0.103749 0.105686 0.107660 0.109671 28.29 38.76 GS Finance Corp. 40056FXS9 08/30/19 03/04/25 100.000 0.000 2.3825 56.91 0.069409 0.070236 0.071073 0.071920 0.072776 25.33 25.94 GS Finance Corp. 40057JN69 10/29/21 10/31/28 100.000 0.000 2.2300 3.84 0.061950 0.062640 0.063339 0.064045 0.064759 22.51 23.02 GS Finance Corp. 40057KHF3 12/27/21 01/09/29 100.000 0.000 2.2401 0.25 0.062224 0.062270 0.062968 0.063673 0.064386 22.54 23.04 GS Finance Corp. 40054KS23 12/21/16 12/21/23 100.000 0.000 3.2002 173.08 0.104188 0.105855 0.107548 0.109269 37.84 37.95 GS FINANCE CORP 40057LBX8 03/31/22 01/03/25 100.000 0.000 3.1443 0.087342 0.088051 0.089435 0.090841 23.80 32.44 GS Finance Corp. 40057JN51 10/29/21 10/31/28 100.000 0.000 2.2300 3.84 0.061950 0.062640 0.063339 0.064045 0.064759 22.51 23.02 GS Finance Corp. 40057HGN4 06/30/21 07/10/31 100.000 0.000 2.3900 12.02 0.066432 0.067226 0.068030 0.068843 0.069665 24.33 24.92 GS Finance Corp. 40056XCQ7 09/11/19 03/10/22 100.000 0.000 1.8400 43.14 0.053014 3.66 GS FINANCE CORP 40057LSZ5 04/26/22 05/07/29 100.000 0.000 4.5200 0.125555 0.125728 0.128570 0.131475 0.134447 30.96 47.13 GS Finance Corp. 40055A5W3 12/26/17 12/26/24 100.000 0.000 3.0002 126.97 0.093880 0.095289 0.096718 0.098169 0.099641 34.06 35.09 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JN44 10/29/21 10/29/27 100.000 0.000 2.0450 3.52 0.056805 0.057386 0.057973 0.058565 0.059164 20.63 21.05 GS Finance Corp. 40055A5T0 12/13/17 12/23/24 100.000 0.000 3.0499 130.43 0.095705 0.097165 0.098646 0.100151 0.101678 34.74 35.81 GS FINANCE CORP 40057LBV2 03/31/22 04/02/26 100.000 0.000 3.5449 0.098471 0.098490 0.100236 0.102012 0.103821 26.85 36.72 GS Finance Corp. 40054LUM4 09/29/17 03/31/23 100.000 0.000 2.6512 118.63 0.081832 0.082917 0.084016 29.85 7.48 GS Finance Corp. 40055QED0 07/05/18 07/05/23 100.000 0.000 3.7500 138.40 0.116450 0.118633 0.120858 0.123124 43.09 22.65 GS Finance Corp. 36255U232 08/03/18 08/05/25 100.000 0.000 4.0135 145.20 0.125631 0.128152 0.130724 0.133347 0.136023 46.42 48.31 GS FINANCE CORP 40057LSW2 05/04/22 05/02/24 100.000 0.000 2.4980 0.069389 0.070246 0.071124 0.072012 16.50 25.55 GS Finance Corp. 40055QVC3 09/28/18 10/10/28 100.000 0.000 4.3700 151.34 0.138399 0.141423 0.144513 0.147670 0.150897 50.86 53.11 GS Finance Corp. 40056E3F3 10/31/18 10/29/26 100.000 0.000 4.2586 142.94 0.134219 0.137077 0.139995 0.142976 0.146021 49.19 51.31 GS Finance Corp. 40055AWU7 05/03/18 05/04/23 100.000 0.000 3.6800 142.87 0.116150 0.118287 0.120463 42.44 14.82 GS Finance Corp. 36253M711 09/14/17 09/14/23 100.000 0.000 2.6628 120.41 0.082221 0.083316 0.084425 0.085549 30.03 21.56 GS Finance Corp. 36253M703 09/14/17 09/15/22 100.000 0.000 2.3683 106.49 0.072286 0.073142 18.51 GS FINANCE CORP 40057LST9 05/04/22 05/04/27 100.000 0.000 4.3200 0.119999 0.122591 0.125239 0.127944 28.59 44.91 GS Finance Corp. 40056E3G1 10/31/18 10/31/24 100.000 0.000 4.0300 134.85 0.126178 0.128721 0.131314 0.133960 0.136660 46.20 48.08 GS FINANCE CORP 40057LSU6 04/21/22 10/23/23 100.000 0.000 1.8152 0.050423 0.050428 0.050886 0.051348 12.64 14.94 GS Finance Corp. 36256M569 11/15/18 11/14/23 100.000 0.000 3.9688 130.84 0.124026 0.126487 0.128997 0.131557 45.33 40.84 GS Finance Corp. 40054KJG2 09/30/16 10/12/23 100.000 0.000 2.5000 139.43 0.078695 0.079679 0.080675 0.081684 28.66 22.85 GS Finance Corp. 40057J4L7 08/25/21 08/28/28 100.000 0.000 1.8700 6.55 0.051953 0.052439 0.052929 0.053424 0.053924 18.91 19.27 GS Finance Corp. 40054KB62 05/31/16 05/31/23 100.000 0.000 2.8999 174.50 0.094374 0.095742 0.097130 34.31 14.47 GS FINANCE CORP 40057LKT7 03/30/22 04/09/29 100.000 0.000 3.8500 0.106945 0.107048 0.109109 0.111209 0.113350 29.18 40.01 GS FINANCE CORP 40057KYQ0 02/24/22 02/27/29 100.000 0.000 3.1601 0.087779 0.087802 0.089190 0.090599 0.092030 27.13 32.71 GS Finance Corp. 40057KHP1 12/15/21 12/21/22 100.000 0.000 0.5363 0.24 0.014898 0.014938 5.22 GS Finance Corp. 40056F6X8 05/03/19 05/03/24 100.000 0.000 3.2700 90.18 0.098506 0.100117 0.101754 0.103417 0.105108 35.94 37.13 GS Finance Corp. 36256M502 11/15/18 07/28/22 100.000 0.000 3.7853 124.52 0.116366 0.118569 24.48 GS Finance Corp. 40054KJE7 09/30/16 10/01/26 100.000 0.000 3.0000 169.34 0.096720 0.098170 0.099643 0.101138 0.102655 35.34 36.41 GS Finance Corp. 40057H6T2 05/28/21 06/10/31 100.000 0.000 2.4200 14.35 0.068090 0.068914 0.069748 0.070592 0.071446 24.70 25.30 GS Finance Corp. 40054L3Y8 04/28/17 04/28/25 100.000 0.000 3.3000 165.38 0.106213 0.107966 0.109747 0.111558 0.113399 38.77 40.06 GS FINANCE CORP 40057KYP2 02/24/22 02/25/27 100.000 0.000 2.9000 0.080562 0.081730 0.082916 0.084118 24.88 29.94 GS FINANCE CORP 40057LL33 03/30/22 03/30/26 100.000 0.000 3.5451 0.098475 0.100220 0.101997 0.103805 26.85 36.73 GS Finance Corp. 40056EUU0 02/28/19 11/30/23 100.000 0.000 3.5488 105.20 0.108617 0.110545 0.112506 0.114503 39.57 37.37 GS Finance Corp. 40057H6S4 05/28/21 06/10/31 100.000 0.000 2.4200 14.35 0.068090 0.068914 0.069748 0.070592 0.071446 24.70 25.30 GS Finance Corp. 40056EUV8 02/28/19 12/01/25 100.000 0.000 3.8350 114.07 0.118300 0.120568 0.122880 0.125236 0.127638 43.13 44.80 GS FINANCE CORP 40057LL25 03/31/22 04/01/27 100.000 0.000 3.6600 0.101676 0.103537 0.105432 0.107361 27.72 37.96 GS Finance Corp. 40056FH65 05/17/19 05/19/22 100.000 0.000 2.9099 78.72 0.086898 11.99 GS Finance Corp. 40054L3S1 04/28/17 04/30/24 100.000 0.000 3.0498 152.03 0.097095 0.098575 0.100078 0.101605 0.103154 35.40 36.49 GS Finance Corp. 40057E5Y9 06/03/20 12/04/24 100.000 0.000 1.7526 27.92 0.049976 0.050414 0.050856 0.051301 0.051751 18.09 18.41 GS Finance Corp. 40054LV76 10/31/17 11/12/24 100.000 0.000 3.0000 132.23 0.093969 0.095379 0.096810 0.098262 0.099736 34.22 35.26 GS Finance Corp. 40057H6R6 05/28/21 05/31/28 100.000 0.000 1.9100 11.32 0.053569 0.054081 0.054597 0.055119 0.055645 19.41 19.78 GS Finance Corp. 40054KJB3 09/30/16 06/30/22 100.000 0.000 2.1888 121.16 0.068162 12.20 GS Finance Corp. 40054LME1 08/30/17 08/28/25 100.000 0.000 3.0491 140.24 0.095579 0.097036 0.098515 0.100017 0.101542 35.03 36.11 GS Finance Corp. 40056EV47 02/28/19 03/02/27 100.000 0.000 3.9567 117.83 0.121271 0.123671 0.126117 0.128612 0.131157 44.67 46.45 GS Finance Corp. 40056F6S9 04/30/19 01/29/26 100.000 0.000 3.5433 98.36 0.106514 0.108401 0.110322 0.112276 0.114265 39.26 40.67 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054L3R3 04/28/17 10/28/22 100.000 0.000 2.7000 133.60 0.084620 0.085763 25.34 GS Finance Corp. 40054LUU6 10/31/17 10/31/24 100.000 0.000 2.9999 132.22 0.093872 0.095280 0.096709 0.098160 0.099632 34.22 35.25 GS Finance Corp. 40057H6Q8 05/28/21 05/31/28 100.000 0.000 1.9100 11.32 0.053569 0.054081 0.054597 0.055119 0.055645 19.41 19.78 GS Finance Corp. 40056EV54 02/28/19 02/28/25 100.000 0.000 3.7301 110.77 0.113642 0.115762 0.117921 0.120120 0.122360 41.82 43.39 GS Finance Corp. 40054LUT9 10/31/17 07/31/23 100.000 0.000 2.7496 120.64 0.084615 0.085778 0.086957 0.088153 31.02 18.39 GS Finance Corp. 40054L3U6 04/27/17 04/29/25 100.000 0.000 3.3000 165.49 0.106233 0.107985 0.109767 0.111578 0.113419 38.78 40.07 GS Finance Corp. 40057H6P0 05/28/21 12/01/26 100.000 0.000 1.5051 8.92 0.042127 0.042444 0.042763 0.043085 0.043409 15.24 15.47 GS Finance Corp. 40056XTW6 12/27/19 12/28/27 100.000 0.000 2.7733 56.96 0.081406 0.082535 0.083679 0.084840 0.086016 29.52 30.34 GS Finance Corp. 40054LV92 10/31/17 11/12/24 100.000 0.000 3.0000 132.23 0.093969 0.095379 0.096810 0.098262 0.099736 34.22 35.26 GS Finance Corp. 40057JN93 10/29/21 10/31/28 100.000 0.000 2.2300 3.84 0.061950 0.062640 0.063339 0.064045 0.064759 22.51 23.02 GS Finance Corp. 40054KJD9 09/30/16 10/02/25 100.000 0.000 2.8001 157.30 0.089396 0.090648 0.091917 0.093204 0.094509 32.63 33.55 GS Finance Corp. 40057KHK2 12/27/21 12/28/28 100.000 0.000 2.2401 0.25 0.062228 0.062925 0.063629 0.064342 0.065063 22.53 23.04 GS Finance Corp. 40054LV84 10/31/17 11/12/24 100.000 0.000 3.0000 132.23 0.093969 0.095379 0.096810 0.098262 0.099736 34.22 35.26 GS Finance Corp. 40056YFZ2 02/28/20 03/01/28 100.000 0.000 2.3000 43.03 0.066130 0.066890 0.067659 0.068438 0.069225 24.13 24.69 GS Finance Corp. 40056F6R1 04/30/19 01/30/24 100.000 0.000 3.2726 90.57 0.097796 0.099396 0.101023 0.102676 0.104356 35.98 37.17 GS Finance Corp. 40057JN85 10/29/21 10/29/26 100.000 0.000 1.8600 3.20 0.051667 0.052147 0.052632 0.053122 0.053616 18.75 19.10 GS Finance Corp. 40054KJC1 09/30/16 10/02/23 100.000 0.000 2.5002 139.44 0.078648 0.079631 0.080627 0.081634 28.67 22.03 GS Finance Corp. 40056FY66 09/05/19 09/02/22 100.000 0.000 2.1097 49.96 0.061106 0.061750 14.84 GS Finance Corp. 40054LMF8 08/30/17 08/30/23 100.000 0.000 2.7001 123.35 0.083495 0.084610 0.085765 0.086910 30.54 20.71 GS Finance Corp. 40055AGK7 02/16/18 02/28/25 100.000 0.000 3.6799 151.82 0.116277 0.118416 0.120595 0.122814 0.125074 42.78 44.36 GS Finance Corp. 40057JW85 11/29/21 05/27/27 100.000 0.000 2.1329 1.90 0.059248 0.059873 0.060512 0.061157 0.061809 21.48 21.94 GS Finance Corp. 40056F7A7 04/30/19 01/28/22 100.000 0.000 2.6755 73.56 0.078889 2.13 GS Finance Corp. 40054LN34 08/31/17 09/12/24 100.000 0.000 2.8996 132.99 0.090463 0.091775 0.093105 0.094455 0.095825 33.09 34.06 GS Finance Corp. 40055A6J1 12/27/17 01/04/28 100.000 0.000 3.2999 140.30 0.102857 0.104554 0.106279 0.108033 0.109815 37.94 39.20 GS Finance Corp. 40057JW93 11/29/21 11/29/28 100.000 0.000 2.4100 2.14 0.066944 0.067750 0.068567 0.069393 0.070229 24.30 24.89 GS Finance Corp. 40054LN26 08/31/17 06/02/23 100.000 0.000 2.6505 120.98 0.082356 0.083448 0.084554 29.91 12.77 GS Finance Corp. 40057JW77 11/29/21 11/29/28 100.000 0.000 2.4100 2.14 0.066944 0.067750 0.068567 0.069393 0.070229 24.30 24.89 GS Finance Corp. 40055AGL5 02/16/18 02/28/25 100.000 0.000 3.6799 151.82 0.116277 0.118416 0.120595 0.122814 0.125074 42.78 44.36 GS Finance Corp. 40057JF68 09/30/21 10/02/28 100.000 0.000 1.9700 4.98 0.054727 0.055267 0.055811 0.056361 0.056916 19.90 20.29 GS Finance Corp. 40055A6K8 12/27/17 01/08/25 100.000 0.000 2.9998 126.87 0.092566 0.093954 0.095364 0.096794 0.098246 34.06 35.09 GS Finance Corp. 40056XM78 12/02/19 11/30/23 100.000 0.000 2.3118 48.99 0.067228 0.068005 0.068791 0.069586 24.39 22.78 GS Finance Corp. 40057JW69 11/29/21 05/27/27 100.000 0.000 2.1329 1.90 0.059248 0.059873 0.060512 0.061157 0.061809 21.48 21.94 GS Finance Corp. 40054LN59 08/31/17 09/12/24 100.000 0.000 2.8996 132.99 0.090463 0.091775 0.093105 0.094455 0.095825 33.09 34.06 GS Finance Corp. 40054KBA3 05/27/16 05/30/24 100.000 0.000 2.8998 174.78 0.094393 0.095761 0.097150 0.098558 0.099987 34.31 35.32 GS Finance Corp. 40057JF50 09/30/21 10/02/28 100.000 0.000 1.9700 4.98 0.054727 0.055267 0.055811 0.056361 0.056916 19.90 20.29 GS FINANCE CORP 40057LKZ3 03/31/22 03/31/28 100.000 0.000 3.7350 0.103749 0.105686 0.107660 0.109671 28.29 38.76 GS Finance Corp. 40054L4B7 04/28/17 04/24/23*** 100.000 1.250 2.8079 135.70 0.083768 0.084457 0.085155 *** *** 30.37 *** GS Finance Corp. 40056FYB5 09/05/19 09/02/22 100.000 0.000 2.1097 49.96 0.061106 0.061750 14.84 GS Finance Corp. 40055A6H5 12/27/17 01/08/25 100.000 0.000 2.9998 126.87 0.092566 0.093954 0.095364 0.096794 0.098246 34.06 35.09 GS Finance Corp. 40057E6E2 05/29/20 05/29/26 100.000 0.000 2.0800 33.43 0.059598 0.060218 0.060844 0.061477 0.062117 21.61 22.06 GS Finance Corp. 40056YXG4 04/14/20 04/14/27 100.000 0.000 2.3699 41.22 0.068200 0.069008 0.069826 0.070653 0.071490 24.82 25.41 GS Finance Corp. 40057JF43 09/30/21 10/01/26 100.000 0.000 1.5801 3.99 0.043893 0.044240 0.044589 0.044941 0.045297 15.93 16.18 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057E6D4 06/03/20 06/03/24 100.000 0.000 1.6451 26.19 0.046834 0.047219 0.047608 0.047999 0.048394 16.95 17.23 GS Finance Corp. 40056XM52 12/02/19 12/01/22 100.000 0.000 2.1584 45.69 0.062581 0.063257 20.77 GS FINANCE CORP 40057LKX8 03/25/22 03/27/25 100.000 0.000 3.2501 0.090281 0.090297 0.091764 0.093255 0.094771 25.06 33.59 GS Finance Corp. 40057JF35 09/30/21 10/02/28 100.000 0.000 1.9700 4.98 0.054727 0.055267 0.055811 0.056361 0.056916 19.90 20.29 GS Finance Corp. 40055A6F9 12/27/17 01/08/25 100.000 0.000 2.9998 126.87 0.092566 0.093954 0.095364 0.096794 0.098246 34.06 35.09 GS Finance Corp. 40057JW51 11/29/21 05/29/26 100.000 0.000 1.9350 1.72 0.053749 0.054269 0.054794 0.055324 0.055859 19.48 19.86 GS Finance Corp. 40054KJJ6 09/29/16 10/01/24 100.000 0.000 2.7000 151.39 0.085776 0.086934 0.088107 0.089297 0.090502 31.30 32.15 GS Finance Corp. 40057JF27 09/30/21 09/30/27 100.000 0.000 1.7751 4.49 0.049307 0.049745 0.050187 0.050632 0.051081 17.91 18.23 GS Finance Corp. 40056XM37 12/02/19 12/01/22 100.000 0.000 2.1584 45.69 0.062581 0.063257 20.77 GS Finance Corp. 40056YXF6 04/14/20 10/15/25 100.000 0.000 2.1451 37.26 0.061526 0.062186 0.062853 0.063527 0.064209 22.37 22.85 GS Finance Corp. 40057J4N3 08/25/21 03/01/27 100.000 0.000 1.5774 5.52 0.043830 0.044175 0.044524 0.044875 0.045229 15.92 16.18 GS Finance Corp. 40054CBU7 02/26/16 02/28/23 100.000 0.000 2.7500 173.19 0.088784 0.090005 0.091243 32.48 5.20 GS Finance Corp. 40056F6Z3 05/03/19 11/03/22 100.000 0.000 3.0450 83.77 0.091223 0.092612 27.80 GS Finance Corp. 40054LVA9 10/31/17 11/09/27 100.000 0.000 3.3500 148.61 0.106369 0.108151 0.109962 0.111804 0.113677 38.80 40.11 GS Finance Corp. 40056F6Y6 05/03/19 11/03/22 100.000 0.000 3.0450 83.77 0.091223 0.092612 27.80 GS Finance Corp. 40054CBT0 02/18/16 02/17/22 100.000 0.000 2.8500 180.71 0.092492 4.25 GS Finance Corp. 40057FS62 03/31/21 03/29/29 100.000 0.000 2.1944 16.58 0.061620 0.062296 0.062979 0.063670 0.064369 22.43 22.92 GS Finance Corp. 40055APE1 03/29/18 10/01/25 100.000 0.000 3.9000 156.16 0.124043 0.126462 0.128928 0.131442 0.134005 45.53 47.32 GS Finance Corp. 40056EEG9 11/30/18 12/02/26 100.000 0.000 4.4667 146.10 0.141693 0.144857 0.148092 0.151400 0.154781 51.76 54.10 GS Finance Corp. 40054LMZ4 08/31/17 09/03/24 100.000 0.000 2.9002 133.01 0.090417 0.091728 0.093058 0.094408 0.095777 33.10 34.06 GS Finance Corp. 40057JWA0 11/29/21 11/29/28 100.000 0.000 2.4100 2.14 0.066944 0.067750 0.068567 0.069393 0.070229 24.30 24.89 GS Finance Corp. 40056Y6P4 01/31/20 01/31/24 100.000 0.000 2.1851 42.60 0.062708 0.063393 0.064086 0.064786 0.065494 22.91 23.41 GS Finance Corp. 40055APF8 03/29/18 12/31/24 100.000 0.000 3.8275 153.08 0.122582 0.124928 0.127319 0.129756 0.132239 44.56 46.28 GS FINANCE CORP 40057LCS8 03/31/22 04/02/29 100.000 0.000 3.8100 0.105832 0.105855 0.107871 0.109926 0.112020 28.87 39.57 GS FINANCE CORP 40057LTU5 05/04/22 11/02/23 100.000 0.000 1.8465 0.051293 0.051761 0.052239 12.18 15.67 GS Finance Corp. 40055QNS7 08/16/18 08/27/25 100.000 0.000 3.9600 141.56 0.123881 0.126333 0.128835 0.131386 0.133987 45.65 47.48 GS Finance Corp. 40056YGN8 02/28/20 08/28/25 100.000 0.000 2.0300 37.91 0.058122 0.058712 0.059308 0.059910 0.060518 21.18 21.61 GS Finance Corp. 40057H7F1 05/28/21 05/31/28 100.000 0.000 1.9100 11.32 0.053569 0.054081 0.054597 0.055119 0.055645 19.41 19.78 GS FINANCE CORP 40057LCQ2 03/31/22 04/02/29 100.000 0.000 3.8100 0.105832 0.105855 0.107871 0.109926 0.112020 28.87 39.57 GS Finance Corp. 40055APD3 03/29/18 03/30/23 100.000 0.000 3.6000 143.44 0.113311 0.115351 0.117427 41.53 10.45 GS Finance Corp. 40054LEF7 06/30/17 03/30/23 100.000 0.000 2.6506 125.93 0.082350 0.083441 0.084547 30.04 7.52 GS Finance Corp. 40056FYH2 08/30/19 06/02/22 100.000 0.000 1.9802 47.13 0.057505 8.68 GS Finance Corp. 40057JEZ5 09/30/21 09/30/27 100.000 0.000 1.7751 4.49 0.049307 0.049745 0.050187 0.050632 0.051081 17.91 18.23 GS Finance Corp. 40054LN75 08/31/17 08/28/23 100.000 1.250 2.7089 120.84 0.079821 0.080432 0.081051 0.081678 29.00 19.33 GS Finance Corp. 40056Y6J8 01/31/20 01/31/23 100.000 0.000 2.0501 39.93 0.058716 0.059318 0.059926 21.43 1.74 GS FINANCE CORP 40057KQM8 01/24/22 01/22/27 100.000 0.000 2.4107 0.066965 0.067763 0.068580 0.069406 22.69 24.80 GS Finance Corp. 40054LN67 08/31/17 09/14/27 100.000 0.000 2.9002 133.02 0.090498 0.091810 0.093141 0.094492 0.095862 33.10 34.06 GS Finance Corp. 40057JEY8 09/22/21 03/24/27 100.000 0.000 1.6075 4.42 0.044657 0.045016 0.045377 0.045742 0.046110 16.21 16.47 GS Finance Corp. 40054L4C5 04/25/17 04/25/24 100.000 0.000 3.0999 154.99 0.098892 0.100425 0.101982 0.103562 0.105167 36.08 37.21 GS FINANCE CORP 40057L2N0 02/14/22 02/14/29 100.000 0.000 2.9501 0.081946 0.083155 0.084381 0.085626 26.14 30.49 GS Finance Corp. 40057FJM7 02/24/21 02/24/28 100.000 0.000 1.5700 13.43 0.043954 0.044299 0.044647 0.044998 0.045351 15.97 16.23 GS Finance Corp. 40056FPU3 07/03/19 07/08/24 100.000 0.000 2.7199 69.72 0.079778 0.080863 0.081963 0.083077 0.084207 29.29 30.10 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JEX0 09/22/21 09/25/28 100.000 0.000 1.9000 5.23 0.052785 0.053286 0.053792 0.054303 0.054819 19.19 19.56 GS Finance Corp. 40056EVD7 02/28/19 03/02/22 100.000 0.000 3.2599 96.28 0.098214 5.99 GS Finance Corp. 40057E6W2 05/29/20 06/01/28 100.000 0.000 2.3367 37.61 0.067219 0.068004 0.068798 0.069602 0.070415 24.39 24.96 GS Finance Corp. 40055Q5H1 06/05/18 06/05/23 100.000 0.000 3.6299 137.15 0.114360 0.116436 0.118549 41.65 18.26 GS Finance Corp. 40055APM3 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40056FYT6 08/22/19 08/31/22 100.000 0.000 2.2099 53.21 0.064176 0.064877 15.47 GS Finance Corp. 40054LVS0 10/31/17 10/31/24 100.000 0.000 2.9999 132.22 0.093872 0.095280 0.096709 0.098160 0.099632 34.22 35.25 GS Finance Corp. 40055APN1 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40056YGZ1 02/28/20 03/11/30 100.000 0.000 2.4800 46.46 0.071547 0.072434 0.073332 0.074241 0.075162 26.11 26.76 GS Finance Corp. 40056EEQ7 11/30/18 08/31/23 100.000 0.000 4.0588 132.13 0.125922 0.128449 0.131085 0.133716 46.42 31.81 GS Finance Corp. 40056FYU3 08/30/19 09/01/22 100.000 0.000 2.1600 51.48 0.062639 0.063316 15.16 GS Finance Corp. 40056XDT0 09/27/19 10/05/26 100.000 0.000 2.7000 62.55 0.079181 0.080250 0.081333 0.082431 0.083544 28.88 29.67 GS Finance Corp. 40056XME3 11/29/19 05/30/25 100.000 0.000 2.4675 52.57 0.071992 0.072880 0.073779 0.074690 0.075611 26.13 26.78 GS Finance Corp. 40055AGZ4 01/31/18 02/12/25 100.000 0.000 3.4499 143.51 0.108142 0.110007 0.111905 0.113835 0.115799 39.79 41.17 GS FINANCE CORP 40057LLL3 04/05/22 04/07/27 100.000 0.000 3.4801 0.096669 0.096687 0.098370 0.100081 0.101823 25.86 36.01 GS Finance Corp. 40054LW67 10/30/17 11/08/22 100.000 0.000 2.6000 113.74 0.080129 0.081171 24.79 GS Finance Corp. 40055APL5 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40056YXV1 04/13/20 04/11/25 100.000 0.000 2.5468 44.42 0.073470 0.074406 0.075353 0.076313 0.077285 26.77 27.45 GS Finance Corp. 40054LEN0 06/29/17 06/29/23 100.000 0.000 2.6999 128.44 0.084617 0.085759 0.086917 30.67 15.47 GS Finance Corp. 40056YH56 02/28/20 03/11/27 100.000 0.000 2.2100 41.33 0.063498 0.064199 0.064909 0.065626 0.066351 23.14 23.65 GS Finance Corp. 40057JNT9 10/29/21 10/31/29 100.000 0.000 2.3400 4.03 0.065005 0.065766 0.066535 0.067314 0.068101 23.63 24.19 GS Finance Corp. 40054L4L5 04/28/17 01/30/24 100.000 0.000 3.0000 149.41 0.094594 0.096013 0.097453 0.098915 0.100399 34.74 35.79 GS Finance Corp. 40057HHL7 06/30/21 06/28/29 100.000 0.000 2.1192 10.66 0.059483 0.060114 0.060750 0.061394 0.062045 21.53 21.99 GS Finance Corp. 40056YH72 02/28/20 02/28/23 100.000 0.000 1.8799 35.07 0.053707 0.054212 0.054721 19.55 3.12 GS Finance Corp. 40054LEM2 06/29/17 07/01/25 100.000 0.000 3.0998 148.65 0.098904 0.100437 0.101994 0.103574 0.105180 35.88 37.00 GS Finance Corp. 40056YXW9 04/13/20 04/11/24 100.000 0.000 2.3867 41.59 0.068692 0.069511 0.070341 0.071180 0.072030 25.01 25.61 GS Finance Corp. 40056YH64 02/28/20 08/28/24 100.000 0.000 1.9925 37.20 0.057018 0.057586 0.058160 0.058739 0.059324 20.77 21.18 GS Finance Corp. 40056YPD0 03/31/20 04/01/27 100.000 0.000 3.3000 59.08 0.096288 0.097876 0.099491 0.101133 0.102802 35.24 36.41 GS Finance Corp. 40056EEJ3 11/30/18 12/03/24 100.000 0.000 4.2600 138.97 0.134332 0.137193 0.140115 0.143099 0.146147 49.04 51.15 GS Finance Corp. 40056Y6Q2 01/31/20 01/31/23 100.000 0.000 2.1001 40.92 0.060193 0.060825 0.061464 21.98 1.78 GS Finance Corp. 40057FSG0 03/24/21 03/24/31 100.000 VARIES 2.5493 19.50 0.069591 0.068354 0.066311 0.064873 0.064410 24.51 23.43 GS Finance Corp. 40057JWC6 11/29/21 12/08/28 100.000 0.000 2.4099 2.14 0.066983 0.067790 0.068607 0.069434 0.070271 24.30 24.89 GS Finance Corp. 40055APG6 04/05/18 04/17/23 100.000 0.000 3.4899 138.15 0.109550 0.111461 0.113406 40.07 12.02 GS Finance Corp. 40054KSN7 01/30/17 01/30/25 100.000 0.000 3.3999 180.42 0.109913 0.111782 0.113682 0.115615 0.117580 40.47 41.86 GS Finance Corp. 40056YGS7 02/28/20 03/11/27 100.000 0.000 2.2100 41.33 0.063498 0.064199 0.064909 0.065626 0.066351 23.14 23.65 GS Finance Corp. 40057JWB8 11/29/21 12/08/28 100.000 0.000 2.4099 2.14 0.066983 0.067790 0.068607 0.069434 0.070271 24.30 24.89 GS Finance Corp. 40055AHE0 02/28/18 02/27/25 100.000 0.000 3.6753 150.21 0.115960 0.118090 0.120261 0.122471 0.124721 42.66 44.24 GS Finance Corp. 40054LNL4 08/31/17 09/03/24 100.000 0.000 2.9002 133.01 0.090417 0.091728 0.093058 0.094408 0.095777 33.10 34.06 GS Finance Corp. 40055APU5 03/29/18 10/10/25 100.000 0.000 3.9000 156.17 0.124163 0.126584 0.129053 0.131569 0.134135 45.53 47.32 GS Finance Corp. 40057HQK9 07/30/21 08/01/28 100.000 0.000 1.7900 7.51 0.049724 0.050169 0.050618 0.051071 0.051528 18.11 18.44 GS Finance Corp. 40056E4V7 10/31/18 07/31/23 100.000 0.000 3.8487 128.50 0.118729 0.121014 0.123343 0.125716 43.85 26.21 GS Finance Corp. 40054KBW5 05/31/16 05/29/23 100.000 1.250 2.9093 169.69 0.088742 0.089527 0.090325 32.14 13.37 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054LNK6 08/31/17 09/03/24 100.000 0.000 2.9002 133.01 0.090417 0.091728 0.093058 0.094408 0.095777 33.10 34.06 GS Finance Corp. 40057HQJ2 07/30/21 04/30/27 100.000 0.000 1.5401 6.47 0.042944 0.043275 0.043608 0.043944 0.044282 15.56 15.80 GS Finance Corp. 40055APV3 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40055AHF7 02/28/18 02/27/25 100.000 0.000 3.6753 150.21 0.115960 0.118090 0.120261 0.122471 0.124721 42.66 44.24 GS Finance Corp. 40056E4X3 10/31/18 07/31/25 100.000 0.000 4.1350 138.60 0.128552 0.131210 0.133923 0.136692 0.139518 47.57 49.56 GS Finance Corp. 40056Y7A6 01/27/20 02/05/30 100.000 0.000 2.6900 52.88 0.077824 0.078871 0.079932 0.081007 0.082096 28.51 29.28 GS Finance Corp. 40056E4W5 10/31/18 04/30/26 100.000 0.000 4.2103 141.23 0.132524 0.135314 0.138163 0.141071 0.144041 48.55 50.62 GS Finance Corp. 40055QWR9 09/28/18 09/30/26 100.000 0.000 4.1967 144.98 0.132073 0.134845 0.137674 0.140563 0.143513 48.55 50.61 GS Finance Corp. 40055AHD2 02/28/18 03/11/25 100.000 0.000 3.6869 150.74 0.116539 0.118688 0.120876 0.123104 0.125373 42.82 44.41 GS FINANCE CORP 40057LLS8 03/29/22 03/27/25 100.000 0.000 3.1595 0.087765 0.089136 0.090545 0.091975 24.00 32.61 GS Finance Corp. 40054KT63 01/31/17 07/29/22 100.000 0.000 2.9200 153.30 0.092406 0.093755 19.46 GS Finance Corp. 40054LVX9 10/31/17 10/31/22 100.000 0.000 2.6001 113.75 0.080087 0.081128 24.13 GS Finance Corp. 40056EET1 11/30/18 06/01/26 100.000 0.000 4.4283 144.77 0.140298 0.143404 0.146579 0.149825 0.153142 51.26 53.55 GS Finance Corp. 40054KBS4 05/31/16 05/31/24 100.000 0.000 3.0499 184.24 0.100065 0.101591 0.103141 0.104713 0.106310 36.39 37.51 GS Finance Corp. 40056EW61 03/05/19 03/04/24 100.000 0.000 3.5562 104.64 0.107874 0.109793 0.111745 0.113732 0.115754 39.63 41.05 GS Finance Corp. 40055APR2 03/29/18 04/10/28 100.000 0.000 4.0900 164.30 0.131071 0.133752 0.136487 0.139278 0.142126 48.11 50.09 GS Finance Corp. 40054KT55 01/31/17 01/31/24 100.000 0.000 3.2500 171.89 0.104372 0.106069 0.107792 0.109544 0.111324 38.40 39.65 GS FINANCE CORP 40057LLQ2 04/05/22 04/03/24 100.000 0.000 2.1915 0.060875 0.061535 0.062209 0.062891 16.25 22.39 GS Finance Corp. 36259E770 02/05/20 08/05/25 100.000 0.000 2.1693 41.98 0.062242 0.062917 0.063599 0.064289 0.064987 22.73 23.22 GS Finance Corp. 40054KT48 01/31/17 01/29/27 100.000 0.000 3.6999 197.67 0.121197 0.123439 0.125722 0.128048 0.130417 44.72 46.39 GS Finance Corp. 36257D808 07/03/19 01/03/24 100.000 0.000 2.6546 67.99 0.077733 0.078764 0.079810 0.080869 0.081943 28.54 29.30 GS Finance Corp. 40057E6Y8 05/29/20 06/01/28 100.000 0.000 2.3367 37.61 0.067219 0.068004 0.068798 0.069602 0.070415 24.39 24.96 GS Finance Corp. 40056XDX1 10/08/19 10/09/29 100.000 0.000 2.9000 66.36 0.085336 0.086573 0.087829 0.089102 0.090394 31.15 32.06 GS Finance Corp. 40056FYV1 08/30/19 03/04/27 100.000 0.000 2.5733 61.57 0.075251 0.076219 0.077200 0.078193 0.079199 27.49 28.20 GS Finance Corp. 36256M858 02/05/19 02/05/24 100.000 0.000 3.5778 108.56 0.108597 0.110539 0.112517 0.114530 0.116578 40.02 41.46 GS FINANCE CORP 40057LLP4 04/05/22 04/03/25 100.000 0.000 3.1988 0.088854 0.090260 0.091703 0.093170 23.76 33.01 GS Finance Corp. 40056EES3 11/30/18 09/02/25 100.000 0.000 4.3363 141.68 0.135575 0.138514 0.141518 0.144586 0.147721 50.04 52.24 GS Finance Corp. 40055APP6 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40055QWN8 09/28/18 09/30/24 100.000 0.000 3.9849 137.25 0.124631 0.127114 0.129647 0.132230 0.134865 45.77 47.61 GS Finance Corp. 40054KBT2 05/31/16 05/29/26 100.000 0.000 3.2989 200.57 0.109694 0.111503 0.113343 0.115212 0.117112 39.93 41.26 GS Finance Corp. 40057J5G7 09/03/21 09/06/28 100.000 0.000 1.8400 6.03 0.051120 0.051590 0.052065 0.052544 0.053027 18.60 18.94 GS Finance Corp. 40055Q5L2 06/05/18 06/05/23 100.000 0.000 3.6299 137.15 0.114360 0.116436 0.118549 41.65 18.26 GS Finance Corp. 40056FYW9 08/30/19 09/02/25 100.000 0.000 2.4350 58.19 0.071004 0.071869 0.072744 0.073629 0.074526 25.92 26.56 GS Finance Corp. 40055AHM2 02/28/18 03/11/25 100.000 0.000 3.6869 150.74 0.116539 0.118688 0.120876 0.123104 0.125373 42.82 44.41 GS Finance Corp. 40057JG91 09/30/21 10/02/28 100.000 0.000 1.9700 4.98 0.054727 0.055267 0.055811 0.056361 0.056916 19.90 20.29 GS Finance Corp. 40054KTB2 01/27/17 01/29/24 100.000 0.000 3.1998 169.35 0.102550 0.104191 0.105858 0.107552 0.109272 37.72 38.93 GS Finance Corp. 40055AHN0 02/28/18 11/29/23 100.000 0.000 3.5414 144.45 0.112229 0.114216 0.116238 0.118297 40.89 38.50 GS Finance Corp. 40057KAK9 12/31/21 01/03/29 100.000 0.000 2.2100 0.061388 0.061399 0.062078 0.062764 0.063457 22.29 22.72 GS Finance Corp. 40057HR51 07/30/21 08/01/29 100.000 0.000 1.9200 8.05 0.053335 0.053847 0.054364 0.054886 0.055413 19.45 19.82 GS Finance Corp. 40057KAJ2 12/31/21 01/03/29 100.000 0.000 2.2100 0.061388 0.061399 0.062078 0.062764 0.063457 22.29 22.72 GS Finance Corp. 40057CSE2 09/03/20 12/01/22 100.000 0.000 0.5992 7.98 0.016768 0.016819 5.54 GS Finance Corp. 40056Y7G3 01/22/20 03/20/25 100.000 0.000 2.3879 47.20 0.068999 0.069823 0.070657 0.071500 0.072354 25.16 25.76 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AHK6 02/28/18 03/10/28 100.000 0.000 3.9678 162.99 0.126631 0.129143 0.131705 0.134318 0.136983 46.60 48.47 GS Finance Corp. 40054KTD8 01/30/17 01/30/24 100.000 0.000 3.2500 171.89 0.104372 0.106069 0.107792 0.109544 0.111324 38.40 39.65 GS Finance Corp. 40055A7J0 12/26/17 01/05/23 100.000 0.000 2.6999 113.66 0.082433 0.083546 0.084674 30.27 0.34 GS Finance Corp. 40054K2A3 02/29/16 02/27/26 100.000 0.000 3.6002 231.68 0.121666 0.123856 0.126086 0.128355 0.130666 44.74 46.37 GS Finance Corp. 40057HQP8 07/30/21 08/11/31 100.000 0.000 2.1800 9.15 0.060596 0.061257 0.061924 0.062599 0.063282 22.12 22.60 GS Finance Corp. 40055AHL4 02/28/18 03/11/25 100.000 0.000 3.6869 150.74 0.116539 0.118688 0.120876 0.123104 0.125373 42.82 44.41 GS Finance Corp. 40057JG67 09/30/21 03/30/28 100.000 0.000 1.8725 4.73 0.052014 0.052501 0.052992 0.053489 0.053989 18.90 19.26 GS Finance Corp. 40056XN77 11/29/19 12/01/27 100.000 0.000 2.7267 58.22 0.079969 0.081059 0.082164 0.083284 0.084420 29.05 29.85 GS Finance Corp. 40057HZB9 08/31/21 08/30/29 100.000 0.000 2.0160 6.78 0.056001 0.056560 0.057136 0.057706 0.058294 20.40 20.81 GS Finance Corp. 40057KAH6 12/31/21 07/02/26 100.000 0.000 1.8399 0.051114 0.052059 18.54 18.83 GS Finance Corp. 40057EQ75 12/29/20 12/28/27 100.000 0.000 1.4339 14.47 0.040401 0.040690 0.040982 0.041276 0.041572 14.60 14.81 GS Finance Corp. 40055AYK7 04/26/18 05/07/25 100.000 0.000 3.9700 155.74 0.126697 0.129212 0.131777 0.134392 0.137060 46.34 48.20 GS FINANCE CORP 40057KRG0 02/03/22 02/05/29 100.000 0.000 2.7600 0.076667 0.076679 0.077737 0.078809 0.079897 25.30 28.49 GS Finance Corp. 40057HQN3 07/30/21 08/11/31 100.000 0.000 2.1800 9.15 0.060596 0.061257 0.061924 0.062599 0.063282 22.12 22.60 GS Finance Corp. 40055AHJ9 02/28/18 03/11/25 100.000 0.000 3.6869 150.74 0.116539 0.118688 0.120876 0.123104 0.125373 42.82 44.41 GS Finance Corp. 40057HQM5 07/30/21 04/30/27 100.000 0.000 1.5401 6.47 0.042944 0.043275 0.043608 0.043944 0.044282 15.56 15.80 GS FINANCE CORP 40057L3F6 03/03/22 03/04/27 100.000 0.000 2.8099 0.078060 0.079156 0.080269 0.081396 23.39 28.96 GS Finance Corp. 40055AHG5 02/28/18 02/27/25 100.000 0.000 3.7053 151.52 0.117026 0.119194 0.121402 0.123651 0.125942 43.06 44.67 GS FINANCE CORP 40057LLX7 04/14/22 04/21/27 100.000 0.000 3.9900 0.110832 0.110918 0.113131 0.115388 0.117690 28.66 41.45 GS Finance Corp. 40056YQ56 03/31/20 03/30/28 100.000 0.000 3.3672 60.31 0.098336 0.099992 0.101675 0.103387 0.105127 36.00 37.23 GS Finance Corp. 40057FSX3 03/24/21 03/24/31 100.000 VARIES 2.5501 19.54 0.069969 0.069090 0.068465 0.067978 0.067909 24.88 24.51 GS Finance Corp. 40055AHH3 02/28/18 03/11/25 100.000 0.000 3.6869 150.74 0.116539 0.118688 0.120876 0.123104 0.125373 42.82 44.41 GS Finance Corp. 40057HQL7 07/30/21 08/01/28 100.000 0.000 1.7900 7.51 0.049724 0.050169 0.050618 0.051071 0.051528 18.11 18.44 GS Finance Corp. 40057FBU7 02/26/21 02/28/28 100.000 0.000 1.6601 14.11 0.046500 0.046886 0.047275 0.047667 0.048063 16.90 17.19 GS Finance Corp. 40055AYW1 05/17/18 05/29/25 100.000 0.000 3.9900 153.90 0.127439 0.129982 0.132575 0.135220 0.137917 46.50 48.37 GS Finance Corp. 40056YHR8 02/12/20 02/23/27 100.000 0.000 2.3500 45.07 0.067655 0.068450 0.069254 0.070068 0.070891 24.70 25.29 GS Finance Corp. 40056EWK0 03/05/19 09/06/22 100.000 0.000 3.3375 97.95 0.100716 0.102396 24.98 GS Finance Corp. 40055QGE6 06/27/18 06/27/23 100.000 5.000 3.5005 122.46 0.097698 0.097636 0.097472 35.16 17.16 GS Finance Corp. 40055AYU5 05/17/18 05/29/25 100.000 0.000 3.9900 153.90 0.127439 0.129982 0.132575 0.135220 0.137917 46.50 48.37 GS Finance Corp. 40055AZ67 05/09/18 05/08/25 100.000 0.000 3.9777 154.40 0.126810 0.129332 0.131904 0.134528 0.137203 46.38 48.24 GS Finance Corp. 40055AQE0 03/29/18 03/31/25 100.000 0.000 3.8700 154.88 0.122949 0.125328 0.127753 0.130225 0.132745 45.13 46.89 GS Finance Corp. 40055QGB2 06/29/18 12/31/25 100.000 0.000 4.1267 153.95 0.132264 0.134993 0.137779 0.140622 0.143523 48.11 50.12 GS Finance Corp. 40057KAQ6 12/31/21 01/12/29 100.000 0.000 2.2100 0.061390 0.061435 0.062114 0.062800 0.063494 22.29 22.72 GS Finance Corp. 40057JXA9 11/29/21 05/29/29 100.000 0.000 2.4617 2.19 0.068382 0.069224 0.070076 0.070938 0.071811 24.82 25.44 GS Finance Corp. 40056EWJ3 03/05/19 09/06/22 100.000 0.000 3.3375 97.95 0.100716 0.102396 24.98 GS Finance Corp. 40056YZ49 04/13/20 04/13/27 100.000 0.000 2.8100 49.09 0.081391 0.082534 0.083694 0.084870 0.086062 29.69 30.53 GS Finance Corp. 40054K2H8 02/26/16 08/28/23 100.000 0.000 3.2000 204.01 0.105866 0.107560 0.109281 0.111029 38.84 26.21 GS Finance Corp. 40057KAP8 12/31/21 01/12/29 100.000 0.000 2.2100 0.061390 0.061435 0.062114 0.062800 0.063494 22.29 22.72 GS Finance Corp. 40055AHU4 02/28/18 03/11/25 100.000 0.000 3.6869 150.74 0.116539 0.118688 0.120876 0.123104 0.125373 42.82 44.41 GS FINANCE CORP 36264H651 05/04/22 05/03/29 100.000 0.000 4.5500 0.126390 0.129250 0.132190 0.135197 30.12 47.40 GS Finance Corp. 40057KAN3 12/31/21 07/01/27 100.000 0.000 2.0000 0.055558 0.056114 0.056675 0.057242 0.057814 20.16 20.51 GS Finance Corp. 40055AYT8 05/17/18 05/29/25 100.000 0.000 3.9900 153.90 0.127439 0.129982 0.132575 0.135220 0.137917 46.50 48.37 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057LUQ2 05/04/22 05/02/24 100.000 0.000 2.4980 0.069389 0.070246 0.071124 0.072012 16.50 25.55 GS Finance Corp. 40054KL87 10/28/16 10/30/24 100.000 0.000 2.7498 151.83 0.087573 0.088777 0.089997 0.091235 0.092489 31.89 32.77 GS Finance Corp. 40057KAM5 12/31/21 01/03/29 100.000 0.000 2.2100 0.061388 0.061399 0.062078 0.062764 0.063457 22.29 22.72 GS Finance Corp. 40055AQA8 03/28/18 03/27/25 100.000 0.000 3.8492 154.12 0.122172 0.124524 0.126920 0.129363 0.131853 44.85 46.59 GS FINANCE CORP 40057LUP4 05/04/22 05/02/25 100.000 0.000 3.8015 0.105596 0.107581 0.109626 0.111709 25.14 39.34 GS Finance Corp. 40055AYR2 04/26/18 10/28/25 100.000 0.000 4.0117 157.47 0.128086 0.130655 0.133276 0.135950 0.138676 46.90 48.80 GS Finance Corp. 40057KAL7 12/31/21 07/01/27 100.000 0.000 2.0000 0.055558 0.056114 0.056675 0.057242 0.057814 20.16 20.51 GS Finance Corp. 40055AQB6 03/28/18 03/26/26 100.000 0.000 3.9333 157.71 0.125190 0.127652 0.130163 0.132722 0.135333 45.98 47.81 GS Finance Corp. 40054LWV2 10/25/17 04/25/23 100.000 0.000 2.6502 116.45 0.081791 0.082875 0.083973 29.78 9.57 GS Finance Corp. 40057HAC4 05/14/21 05/14/31 100.000 VARIES 2.5799 16.24 0.071155 0.070640 0.070118 0.069589 0.069585 25.47 25.12 GS Finance Corp. 40054KD29 06/29/16 06/27/24 100.000 0.000 2.7999 165.42 0.090613 0.091881 0.093167 0.094472 0.095794 32.86 33.79 GS Finance Corp. 40057HJ50 06/30/21 09/30/27 100.000 0.000 1.8350 9.25 0.051207 0.051677 0.052151 0.052629 0.053112 18.60 18.95 GS Finance Corp. 40055AQP5 03/29/18 04/10/28 100.000 0.000 4.0900 164.30 0.131071 0.133752 0.136487 0.139278 0.142126 48.11 50.09 GS Finance Corp. 40057HJ43 06/30/21 06/29/28 100.000 0.000 1.9816 9.96 0.055588 0.056139 0.056695 0.057257 0.057824 20.11 20.51 GS Finance Corp. 40055AQM2 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40056XNH5 11/29/19 12/10/26 100.000 0.000 2.6400 56.33 0.077344 0.078365 0.079399 0.080447 0.081509 28.07 28.82 GS Finance Corp. 40057J6E1 08/31/21 08/31/36 100.000 VARIES 2.5599 8.60 0.071108 0.069875 0.068627 0.066937 0.065770 25.07 24.05 GS Finance Corp. 40054KLC8 10/31/16 11/09/23 100.000 0.000 2.6003 142.91 0.082244 0.083313 0.084396 0.085494 29.91 26.19 GS Finance Corp. 40056XNE2 12/02/19 12/04/24 100.000 0.000 2.4200 51.33 0.070546 0.071400 0.072264 0.073138 0.074023 25.60 26.22 GS Finance Corp. 40054LFP4 06/30/17 06/26/23 100.000 1.250 2.7083 125.61 0.080419 0.081038 0.081665 29.07 14.29 GS Finance Corp. 40055AQK6 03/29/18 04/09/25 100.000 0.000 3.8700 154.89 0.123066 0.125447 0.127874 0.130349 0.132871 45.13 46.89 GS Finance Corp. 40055Q6F4 05/29/18 06/07/23 100.000 0.000 3.7299 141.86 0.118014 0.120215 0.122457 42.99 19.10 GS FINANCE CORP 40057LML2 04/13/22 04/23/29 100.000 0.000 4.0900 0.113611 0.113740 0.116066 0.118440 0.120862 29.50 42.54 GS Finance Corp. 40056FAB1 05/03/19 05/14/24 100.000 0.000 3.2699 90.18 0.098602 0.100214 0.101852 0.103518 0.105210 35.94 37.12 GS Finance Corp. 40056FZS7 08/30/19 09/04/24 100.000 0.000 2.3300 55.62 0.067808 0.068598 0.069397 0.070205 0.071023 24.74 25.32 GS Finance Corp. 40057JGE0 09/30/21 10/12/28 100.000 0.000 1.9700 4.98 0.054758 0.055298 0.055842 0.056392 0.056948 19.90 20.29 GS Finance Corp. 40057JGC4 09/15/21 09/15/31 100.000 VARIES 2.2298 6.57 0.061938 0.061390 0.060836 0.060570 0.060339 22.08 21.80 GS Finance Corp. 40054KTP1 01/31/17 01/26/23*** 100.000 1.250 3.0595 156.79 0.092326 0.093207 0.094102 *** *** 33.67 *** GS FINANCE CORP 40057L3V1 03/03/22 03/05/30 100.000 0.000 3.1233 0.086759 0.086774 0.088129 0.089506 0.090904 26.02 32.30 GS Finance Corp. 362273AG9 12/17/15 06/19/23 100.000 0.000 2.9199 191.32 0.096532 0.097941 0.099371 35.04 16.69 GS Finance Corp. 40057HAL4 05/19/21 05/18/28 100.000 0.000 1.9374 11.97 0.054336 0.054863 0.055394 0.055931 0.056473 19.70 20.08 GS Finance Corp. 40056YZE7 04/30/20 10/30/25 100.000 0.000 2.2800 38.59 0.065525 0.066272 0.067028 0.067792 0.068565 23.82 24.36 GS Finance Corp. 40054KLJ3 10/28/16 10/30/23 100.000 0.000 2.5999 143.05 0.082188 0.083257 0.084339 0.085435 29.91 25.41 GS Finance Corp. 40054KD94 06/30/16 09/30/22 100.000 0.000 2.4488 143.36 0.077295 0.078242 20.96 GS Finance Corp. 40055QY48 09/28/18 06/29/23 100.000 0.000 3.8199 131.27 0.120012 0.122304 0.124640 43.63 22.19 GS Finance Corp. 40055QPC0 08/31/18 09/03/24 100.000 0.000 3.8250 134.79 0.119079 0.121357 0.123678 0.126043 0.128453 43.82 45.51 GS Finance Corp. 40056EFX1 12/05/18 12/05/23 100.000 0.000 4.1700 135.21 0.131100 0.133834 0.136624 0.139473 47.83 46.15 GS Finance Corp. 40055AZG5 05/02/18 05/15/28 100.000 0.000 4.2400 166.24 0.136616 0.139512 0.142470 0.145490 0.148574 49.97 52.11 GS Finance Corp. 40057FD43 01/29/21 01/29/36 100.000 VARIES 2.3895 21.90 0.065508 0.064631 0.063057 0.061691 0.060600 23.05 22.08 GS Finance Corp. 40055QY63 10/03/18 10/03/23 100.000 0.000 3.8100 130.31 0.118522 0.120780 0.123081 0.125425 43.48 33.90 GS Finance Corp. 40056YZD9 05/05/20 05/03/24 100.000 0.000 1.8596 31.13 0.053104 0.053598 0.054097 0.054600 0.055107 19.26 19.62 GS FINANCE CORP 40057LEB3 03/31/22 12/31/26 100.000 0.000 3.6314 0.100871 0.101787 0.103635 0.105516 0.107432 27.50 37.65 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QPB2 08/31/18 09/02/26 100.000 0.000 4.0567 143.42 0.127142 0.129721 0.132352 0.135037 0.137776 46.86 48.78 GS Finance Corp. 40056XEZ5 10/02/19 10/04/24 100.000 0.000 2.4700 56.74 0.072074 0.072964 0.073865 0.074777 0.075701 26.26 26.92 GS FINANCE CORP 40057LEA5 03/31/22 10/03/28 100.000 0.000 3.7725 0.104792 0.104825 0.106802 0.108817 0.110870 28.58 39.17 GS Finance Corp. 40057FU28 04/09/21 04/09/31 100.000 VARIES 2.4795 17.92 0.067318 0.065742 0.064240 0.063310 0.063282 23.70 22.88 GS Finance Corp. 40055AR25 03/14/18 03/25/25 100.000 0.000 3.7899 153.29 0.120199 0.122477 0.124798 0.127163 0.129572 44.12 45.81 GS Finance Corp. 40054KD86 06/24/16 06/26/23 100.000 0.000 2.6499 156.39 0.085089 0.086216 0.087358 30.85 15.29 GS Finance Corp. 40056XNL6 11/29/19 12/10/26 100.000 0.000 2.6400 56.33 0.077344 0.078365 0.079399 0.080447 0.081509 28.07 28.82 GS Finance Corp. 40054KLG9 10/31/16 10/31/22 100.000 0.000 2.4001 131.28 0.075116 0.076018 22.62 GS FINANCE CORP 40057LNA5 04/06/22 04/06/27 100.000 0.000 3.5800 0.099445 0.101225 0.103037 0.104881 26.50 37.08 GS Finance Corp. 40057FUA0 03/31/21 03/31/28 100.000 VARIES 2.1198 15.93 0.058624 0.058362 0.058184 0.058023 0.058102 21.02 20.91 GS Finance Corp. 40056FRX5 07/31/19 07/31/25 100.000 0.000 2.8851 71.78 0.084866 0.086090 0.087332 0.088592 0.089870 31.14 32.05 GS Finance Corp. 40054KLR5 10/31/16 10/29/26 100.000 0.000 2.9991 166.39 0.096671 0.098120 0.099591 0.101085 0.102601 35.24 36.31 GS Finance Corp. 40056XFJ0 10/31/19 05/01/25 100.000 0.000 2.5800 57.21 0.075443 0.076416 0.077402 0.078400 0.079412 27.45 28.16 GS Finance Corp. 40054KDE3 06/30/16 07/02/24 100.000 0.000 2.7499 162.17 0.087576 0.088781 0.090001 0.091239 0.092493 32.18 33.07 GS Finance Corp. 40056EXC7 02/21/19 02/18/22 100.000 0.000 3.2181 95.67 0.096793 4.55 GS Finance Corp. 40056FRU1 07/31/19 04/29/22 100.000 0.000 2.2579 55.86 0.065965 7.78 GS Finance Corp. 40057EZL4 01/29/21 01/31/28 100.000 0.000 1.4700 13.60 0.041136 0.041438 0.041743 0.042049 0.042358 14.95 15.18 GS Finance Corp. 40056EGA0 11/30/18 11/30/28 100.000 0.000 4.6200 151.42 0.147181 0.150581 0.154059 0.157618 0.161259 53.81 56.32 GS Finance Corp. 40057HB33 05/28/21 05/31/28 100.000 0.000 1.9100 11.32 0.053569 0.054081 0.054597 0.055119 0.055645 19.41 19.78 GS Finance Corp. 40056XWH5 12/31/19 12/30/24 100.000 2.000 2.4808 50.12 0.069604 0.070467 0.069963 0.070831 0.070331 25.21 25.34 GS Finance Corp. 40057F2Y9 01/29/21 02/10/31 100.000 0.000 1.8800 17.42 0.052744 0.053240 0.053740 0.054246 0.054755 19.22 19.58 GS FINANCE CORP 36264H107 03/16/22 03/14/25 100.000 0.000 3.0228 0.083967 0.085222 0.086510 0.087818 24.06 31.19 GS Finance Corp. 40054LGG3 06/30/17 06/30/25 100.000 0.000 3.0999 148.56 0.098891 0.100423 0.101980 0.103561 0.105166 35.88 37.00 GS Finance Corp. 40057EZK6 01/29/21 07/31/28 100.000 0.000 1.5383 14.24 0.043060 0.043391 0.043725 0.044061 0.044400 15.66 15.90 GS Finance Corp. 40057HS27 07/30/21 11/01/27 100.000 0.000 1.6399 6.89 0.045743 0.046118 0.046496 0.046877 0.047262 16.58 16.85 GS FINANCE CORP 36264H131 03/16/22 03/16/27 100.000 0.000 3.4238 0.095106 0.096735 0.098391 0.100075 27.28 35.47 GS Finance Corp. 40055QGX4 07/17/18 07/28/25 100.000 0.000 4.0100 147.09 0.125632 0.128151 0.130720 0.133341 0.136014 46.46 48.34 GS Finance Corp. 40056XFE1 11/05/19 08/03/23 100.000 0.000 2.2501 49.44 0.064991 0.065723 0.066462 0.067210 23.75 14.22 GS Finance Corp. 40055AZM2 05/30/18 05/30/25 100.000 0.000 4.0099 153.05 0.127993 0.130559 0.133177 0.135847 0.138571 46.70 48.59 GS Finance Corp. 40057EZJ9 01/29/21 01/31/28 100.000 0.000 1.4700 13.60 0.041136 0.041438 0.041743 0.042049 0.042358 14.95 15.18 GS Finance Corp. 40056XWF9 12/31/19 12/29/22 100.000 1.500 2.2043 44.55 0.062115 0.062800 22.36 GS FINANCE CORP 36264H123 03/16/22 03/14/25 100.000 0.000 3.0228 0.083967 0.085222 0.086510 0.087818 24.06 31.19 GS Finance Corp. 40057ER90 12/29/20 01/08/31 100.000 0.000 1.9000 19.20 0.053305 0.053811 0.054322 0.054838 0.055359 19.46 19.83 GS Finance Corp. 40057F2X1 01/29/21 02/10/31 100.000 0.000 1.8800 17.42 0.052744 0.053240 0.053740 0.054246 0.054755 19.22 19.58 GS Finance Corp. 40056XWG7 12/31/19 12/29/23 100.000 1.600 2.3779 47.90 0.067094 0.067363 0.067636 0.067912 24.20 24.26 GS Finance Corp. 40055Q6X5 05/25/18 11/25/26 100.000 0.000 4.2450 163.30 0.136593 0.139492 0.142453 0.145477 0.148565 49.91 52.05 GS Finance Corp. 40054KLQ7 10/31/16 10/31/23 100.000 0.000 2.6000 142.89 0.082180 0.083248 0.084330 0.085427 29.91 25.41 GS Finance Corp. 40054KDA1 06/03/16 06/05/23 100.000 0.000 3.0002 180.71 0.098186 0.099659 0.101154 35.69 15.58 GS Finance Corp. 40055QGV8 07/17/18 07/28/25 100.000 0.000 4.0100 147.09 0.125632 0.128151 0.130720 0.133341 0.136014 46.46 48.34 GS Finance Corp. 40055QXX5 09/28/18 06/30/25 100.000 0.000 4.0788 140.67 0.129223 0.131859 0.134548 0.137292 0.140092 47.00 48.94 GS Finance Corp. 40056XNS1 11/22/19 11/23/29 100.000 0.000 2.9800 64.37 0.087829 0.089137 0.090466 0.091814 0.093182 31.95 32.91 GS Finance Corp. 40055AQZ3 03/14/18 03/25/25 100.000 0.000 3.7899 153.29 0.120199 0.122477 0.124798 0.127163 0.129572 44.12 45.81 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 36264H149 03/16/22 03/16/27 100.000 0.000 3.4238 0.095106 0.096735 0.098391 0.100075 27.28 35.47 GS Finance Corp. 40056XNT9 11/13/19 11/10/22 100.000 0.000 2.2750 49.46 0.066107 0.066859 20.56 GS Finance Corp. 40055AZL4 05/30/18 05/30/25 100.000 0.000 4.0099 153.05 0.127993 0.130559 0.133177 0.135847 0.138571 46.70 48.59 GS Finance Corp. 40055AZY6 05/29/18 05/29/26 100.000 0.000 4.1267 157.92 0.132248 0.134976 0.137761 0.140604 0.143505 48.28 50.29 GS Finance Corp. 40054KUL8 01/30/17 07/30/24 100.000 0.000 3.3302 176.44 0.107328 0.109116 0.110932 0.112780 0.114657 39.50 40.83 GS Finance Corp. 40057FLX0 03/12/21 03/12/36 100.000 VARIES 2.8689 22.85 0.078046 0.076376 0.073545 0.071162 0.069761 27.31 25.63 GS Finance Corp. 40056XFQ4 10/31/19 11/02/27 100.000 0.000 2.8600 63.57 0.084099 0.085302 0.086521 0.087759 0.089014 30.63 31.52 GS Finance Corp. 36260W405 04/20/21 04/20/26 100.000 0.000 0.8823 6.16 0.024616 0.024724 0.024833 0.024943 0.025053 8.90 8.98 GS Finance Corp. 40054KDJ2 06/30/16 06/28/23 100.000 1.250 2.6041 148.34 0.078076 0.078640 0.079212 28.21 14.02 GS Finance Corp. 40054LXN9 10/31/17 10/31/24 100.000 0.000 2.9999 132.22 0.093872 0.095280 0.096709 0.098160 0.099632 34.22 35.25 GS Finance Corp. 40057FLW2 03/11/21 03/11/31 100.000 VARIES 2.5191 20.20 0.069107 0.068228 0.066388 0.065062 0.064695 24.42 23.47 GS Finance Corp. 40056XG34 10/31/19 11/02/22 100.000 0.000 2.3000 50.88 0.066886 0.067655 20.27 GS Finance Corp. 40054LXR0 10/31/17 11/10/27 100.000 0.000 3.3499 148.61 0.106376 0.108158 0.109970 0.111811 0.113684 38.80 40.11 GS Finance Corp. 40057HJK7 06/16/21 06/16/31 100.000 VARIES 2.3104 12.51 0.063554 0.062923 0.062286 0.061641 0.061724 22.75 22.30 GS Finance Corp. 40054KDM5 06/30/16 07/12/23 100.000 0.000 2.6003 152.78 0.082262 0.083331 0.084415 0.085512 30.17 16.32 GS Finance Corp. 40055AZX8 05/29/18 05/29/24 100.000 0.000 3.9300 149.93 0.125098 0.127556 0.130062 0.132618 0.135224 45.64 47.45 GS Finance Corp. 40054KDL7 06/30/16 09/30/22 100.000 0.000 2.4488 143.36 0.077295 0.078242 20.96 GS Finance Corp. 36260W421 05/06/21 05/04/28 100.000 0.000 1.9831 12.98 0.055625 0.056177 0.056734 0.057296 0.057864 20.19 20.59 GS Finance Corp. 40056EGG7 11/29/18 06/01/22 100.000 0.000 3.8525 125.13 0.120020 18.00 GS Finance Corp. 40057ERB5 12/29/20 06/28/28 100.000 0.000 1.5125 15.27 0.042651 0.042973 0.043298 0.043626 0.043956 15.41 15.65 GS Finance Corp. 40057KC27 12/31/21 07/05/29 100.000 0.000 2.3116 0.064212 0.064233 0.064976 0.065727 0.066486 23.32 23.79 GS Finance Corp. 40055ARE9 04/02/18 03/31/23 100.000 0.000 3.5367 140.43 0.111045 0.113008 0.115007 40.69 10.24 GS Finance Corp. 40057HJH4 06/23/21 12/28/26 100.000 0.000 1.6224 8.48 0.045444 0.045813 0.046184 0.046559 0.046937 16.43 16.70 GS Finance Corp. 40054KDF0 06/30/16 07/02/26 100.000 0.000 3.0000 178.05 0.096728 0.098179 0.099651 0.101146 0.102663 35.61 36.68 GS Finance Corp. 40055AAD9 01/03/18 01/03/23 100.000 0.000 2.6999 113.08 0.082379 0.083491 0.084618 30.26 0.17 GS Finance Corp. 40057ERA7 12/29/20 06/28/28 100.000 0.000 1.5125 15.27 0.042651 0.042973 0.043298 0.043626 0.043956 15.41 15.65 GS Finance Corp. 40057HJG6 06/23/21 06/26/28 100.000 0.000 1.9299 10.08 0.054136 0.054658 0.055186 0.055718 0.056256 19.59 19.97 GS Finance Corp. 40056FB87 05/06/19 05/04/23 100.000 0.000 3.1376 86.12 0.094193 0.095670 0.097171 34.35 11.95 GS Finance Corp. 40055QYA4 10/03/18 10/17/23 100.000 0.000 3.8100 130.33 0.118698 0.120959 0.123263 0.125612 43.48 35.68 GS Finance Corp. 40056FRY3 07/31/19 01/31/23 100.000 0.000 2.5974 64.44 0.075973 0.076960 0.077959 27.83 2.26 GS Finance Corp. 40057JPN0 10/29/21 11/09/28 100.000 0.000 2.2300 3.84 0.061984 0.062675 0.063374 0.064080 0.064795 22.51 23.02 GS Finance Corp. 40057CKY6 09/03/20 09/06/24 100.000 0.000 0.9900 13.20 0.027776 0.027914 0.028052 0.028191 0.028330 10.06 10.16 GS Finance Corp. 40056FAX3 04/11/19 04/11/24 100.000 0.000 3.3601 94.99 0.101443 0.103147 0.104880 0.106642 0.108434 37.10 38.36 GS FINANCE CORP 40057LFA4 03/31/22 04/11/29 100.000 0.000 3.8100 0.105832 0.105955 0.107974 0.110031 0.112127 28.87 39.57 GS Finance Corp. 36257W178 08/05/19 08/05/24 100.000 0.000 2.7442 67.78 0.080499 0.081603 0.082723 0.083858 0.085008 29.50 30.32 GS Finance Corp. 40057CTW1 09/30/20 09/30/26 100.000 0.000 1.5050 18.97 0.042436 0.042755 0.043077 0.043401 0.043728 15.39 15.63 GS Finance Corp. 40057JHJ8 10/05/21 10/03/31 100.000 0.000 2.4583 5.87 0.068287 0.069117 0.069967 0.070827 0.071697 24.88 25.50 GS Finance Corp. 40056EPF9 01/31/19 02/02/27 100.000 0.000 4.1367 127.01 0.127324 0.129957 0.132645 0.135389 0.138189 47.10 49.07 GS Finance Corp. 40055ARR0 03/21/18 03/20/25 100.000 0.000 3.7991 152.83 0.120377 0.122663 0.124993 0.127368 0.129787 44.21 45.91 GS Finance Corp. 40056XG91 11/05/19 11/03/22 100.000 0.000 2.1195 46.51 0.061404 0.062055 18.66 GS Finance Corp. 40057CTV3 09/30/20 09/30/26 100.000 0.000 1.5050 18.97 0.042436 0.042755 0.043077 0.043401 0.043728 15.39 15.63 GS Finance Corp. 40056X5V4 09/30/19 10/09/26 100.000 0.000 2.7800 64.20 0.081662 0.082797 0.083948 0.085115 0.086298 29.79 30.62 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KDT0 06/09/16 06/09/23 100.000 0.000 2.9998 180.10 0.098155 0.099627 0.101121 35.67 15.98 GS Finance Corp. 40056FSD8 07/31/19 07/29/22 100.000 0.000 2.4693 61.19 0.072037 0.072926 15.14 GS Finance Corp. 40056FK46 06/17/19 06/26/26 100.000 0.000 3.2600 85.58 0.098261 0.099862 0.101490 0.103144 0.104826 35.68 36.85 GS Finance Corp. 40054LH31 07/31/17 05/01/23 100.000 0.000 2.6501 123.44 0.082337 0.083428 0.084534 29.97 10.14 GS Finance Corp. 40057JHH2 10/05/21 10/05/28 100.000 0.000 2.0500 4.90 0.056943 0.057527 0.058116 0.058712 0.059314 20.71 21.13 GS Finance Corp. 40054LH23 07/31/17 07/31/24 100.000 0.000 2.9499 138.18 0.092126 0.093485 0.094864 0.096263 0.097683 33.82 34.83 GS FINANCE CORP 40057L4Z1 03/01/22 02/28/25 100.000 0.000 2.5668 0.071301 0.072200 0.073127 0.074066 21.50 26.39 GS Finance Corp. 40057JQ82 10/07/21 10/07/27 100.000 0.000 1.8000 4.20 0.050000 0.050450 0.050904 0.051362 0.051825 18.16 18.49 GS Finance Corp. 40057JQ74 10/07/21 10/10/28 100.000 0.000 2.0200 4.71 0.056120 0.056687 0.057259 0.057837 0.058422 20.40 20.81 GS Finance Corp. 40057EAE7 05/29/20 06/01/27 100.000 0.000 2.2400 36.04 0.064345 0.065066 0.065795 0.066531 0.067277 23.34 23.86 GS Finance Corp. 40054KUQ7 02/01/17 06/02/22 100.000 0.000 2.8998 152.10 0.092585 13.98 GS Finance Corp. 40054LY57 11/09/17 05/11/23 100.000 0.000 2.5499 110.74 0.078398 0.079397 0.080410 28.50 10.45 GS Finance Corp. 40054LXT6 10/31/17 11/12/24 100.000 0.000 3.0000 132.23 0.093969 0.095379 0.096810 0.098262 0.099736 34.22 35.26 GS Finance Corp. 40056FSC0 07/31/19 08/10/26 100.000 0.000 3.0000 74.73 0.088520 0.089848 0.091195 0.092563 0.093952 32.48 33.47 GS Finance Corp. 40054KV29 02/27/17 08/26/24 100.000 0.000 3.2501 169.07 0.104367 0.106063 0.107786 0.109538 0.111318 38.30 39.56 GS Finance Corp. 40056YJF2 02/20/20 02/15/23 100.000 0.000 1.9251 36.37 0.055019 0.055549 0.056084 20.05 2.47 GS FINANCE CORP 40057KL84 01/31/22 01/31/29 100.000 0.000 2.7900 0.077501 0.078582 0.079679 0.080790 25.82 28.82 GS Finance Corp. 40056X6B7 10/03/19 07/06/23 100.000 0.000 2.3413 53.65 0.067753 0.068546 0.069348 0.070160 24.81 12.98 GS Finance Corp. 40056FSQ9 08/05/19 08/14/24 100.000 0.000 2.7501 67.93 0.080736 0.081846 0.082971 0.084112 0.085269 29.57 30.39 GS Finance Corp. 40055ARW9 03/29/18 04/10/28 100.000 0.000 4.0900 164.30 0.131071 0.133752 0.136487 0.139278 0.142126 48.11 50.09 GS Finance Corp. 40055AJG3 02/22/18 06/22/26 100.000 0.000 3.8739 159.61 0.124662 0.127077 0.129538 0.132047 0.134605 45.36 47.13 GS FINANCE CORP 40057KL68 01/31/22 07/29/27 100.000 0.000 2.5682 0.071340 0.072251 0.073179 0.074119 23.75 26.46 GS Finance Corp. 40056FSN6 07/31/19 07/31/25 100.000 0.000 2.8851 71.78 0.084866 0.086090 0.087332 0.088592 0.089870 31.14 32.05 GS FINANCE CORP 40057KL50 01/31/22 01/31/29 100.000 0.000 2.7900 0.077501 0.078582 0.079679 0.080790 25.82 28.82 GS Finance Corp. 40056YS39 03/31/20 04/01/27 100.000 0.000 3.3000 59.08 0.096288 0.097876 0.099491 0.101133 0.102802 35.24 36.41 GS FINANCE CORP 40057KL43 01/31/22 07/30/26 100.000 0.000 2.3787 0.066076 0.066862 0.067657 0.068462 21.99 24.46 GS Finance Corp. 40057KCA9 12/10/21 12/10/26 100.000 0.000 1.9700 1.15 0.054721 0.055260 0.055804 0.056354 0.056909 19.82 20.21 GS Finance Corp. 40055ARV1 03/21/18 03/20/25 100.000 0.000 3.7991 152.83 0.120377 0.122663 0.124993 0.127368 0.129787 44.21 45.91 GS Finance Corp. 40057FE42 02/03/21 02/03/28 100.000 0.000 1.4700 13.44 0.041132 0.041434 0.041739 0.042046 0.042355 14.95 15.17 GS Finance Corp. 40054KDV5 06/17/16 06/15/23 100.000 2.000 2.6630 150.05 0.076843 0.077126 0.077413 27.72 12.70 GS Finance Corp. 40056E6W3 11/05/18 11/03/23 100.000 0.000 3.9463 131.29 0.123229 0.125661 0.128140 0.130669 45.08 39.15 GS Finance Corp. 40056EPG7 01/31/19 01/31/25 100.000 0.000 3.9350 120.52 0.120490 0.122860 0.125277 0.127742 0.130256 44.53 46.30 GS Finance Corp. 40057J7L4 08/17/21 08/16/29 100.000 0.000 2.0292 7.55 0.056367 0.056936 0.057514 0.058097 0.058687 20.55 20.97 GS Finance Corp. 40056X5Z5 10/03/19 10/15/24 100.000 0.000 2.4599 56.43 0.071815 0.072698 0.073593 0.074498 0.075414 26.15 26.79 GS Finance Corp. 40055ART6 03/21/18 03/21/24 100.000 0.000 3.6850 147.96 0.116315 0.118459 0.120641 0.122864 0.125128 42.69 44.28 GS Finance Corp. 40054LHH0 07/28/17 07/28/23 100.000 0.000 2.7502 128.49 0.085213 0.086385 0.087573 0.088777 31.25 18.34 GS Finance Corp. 40056X6K7 09/30/19 09/29/22 100.000 0.000 2.2654 52.07 0.065824 0.066570 17.78 GS Finance Corp. 40056FBU8 05/02/19 05/02/24 100.000 0.000 3.3001 91.14 0.099485 0.101127 0.102795 0.104491 0.106215 36.31 37.51 GS Finance Corp. 40054LHJ6 07/28/17 07/30/25 100.000 0.000 3.0997 145.82 0.097391 0.098900 0.100433 0.101990 0.103570 35.79 36.91 GS Finance Corp. 40057CM81 08/31/20 08/31/26 100.000 0.000 1.3750 18.48 0.038720 0.038984 0.039255 0.039522 0.039796 14.05 14.25 GS Finance Corp. 40056FBV6 05/10/19 05/11/23 100.000 0.000 3.1001 84.69 0.093005 0.094447 0.095911 33.89 12.47 GS Finance Corp. 40057HST8 07/30/21 08/01/28 100.000 0.000 1.7900 7.51 0.049724 0.050169 0.050618 0.051071 0.051528 18.11 18.44 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056YJM7 02/21/20 02/21/30 100.000 VARIES 2.5596 47.16 0.069543 0.069011 0.068671 0.068361 0.068087 24.83 24.59 GS Finance Corp. 40057CM73 08/31/20 08/31/26 100.000 0.000 1.3750 18.48 0.038720 0.038984 0.039255 0.039522 0.039796 14.05 14.25 GS Finance Corp. 40056FSU0 08/05/19 02/03/23 100.000 0.000 2.5838 63.72 0.075543 0.076519 0.077508 27.66 2.48 GS Finance Corp. 40056FT62 08/05/19 08/04/22 100.000 0.000 2.4693 60.83 0.072037 0.072926 15.50 GS Finance Corp. 40054KVB9 02/27/17 02/27/25 100.000 0.000 3.3001 171.86 0.106217 0.107969 0.109751 0.111562 0.113403 38.99 40.29 GS Finance Corp. 40056EPQ5 01/31/19 02/02/22 100.000 0.000 3.5001 106.63 0.106055 3.29 GS Finance Corp. 40056FST3 08/05/19 02/03/22 100.000 0.000 2.0460 50.20 0.059189 1.89 GS Finance Corp. 40055AJN8 02/27/18 03/08/23 100.000 0.000 3.4252 139.52 0.107266 0.109103 0.110971 39.36 7.44 GS Finance Corp. 40054LYD0 11/15/17 11/25/24 100.000 0.000 2.9499 128.51 0.092199 0.093559 0.094939 0.096339 0.097760 33.54 34.53 GS Finance Corp. 40056FKE4 07/03/19 07/03/24 100.000 0.000 2.7200 69.71 0.079749 0.080834 0.081933 0.083047 0.084177 29.29 30.10 GS Finance Corp. 40056FKB0 06/28/19 06/28/24 100.000 0.000 2.6900 69.32 0.079885 0.080959 0.082048 0.083151 0.084270 28.96 29.74 GS Finance Corp. 40056XGF7 11/05/19 11/03/22 100.000 0.000 2.1195 46.51 0.061404 0.062055 18.66 GS Finance Corp. 40054KVC7 02/27/17 02/27/24 100.000 0.000 3.1501 163.51 0.100718 0.102304 0.103915 0.105552 0.107214 36.94 38.11 GS Finance Corp. 40056FSS5 08/05/19 02/05/25 100.000 0.000 2.8100 69.45 0.082537 0.083696 0.084872 0.086065 0.087274 30.26 31.12 GS FINANCE CORP 40057KL92 01/31/22 02/09/29 100.000 0.000 2.7900 0.077499 0.077553 0.078635 0.079732 0.080844 25.82 28.82 GS Finance Corp. 40056FKC8 06/28/19 06/30/26 100.000 0.000 2.9700 76.75 0.088824 0.090143 0.091482 0.092840 0.094219 32.22 33.18 GS Finance Corp. 40055QR95 08/31/18 03/04/26 100.000 0.000 4.0083 141.62 0.125475 0.127990 0.130555 0.133172 0.135841 46.22 48.09 GS Finance Corp. 40057JR73 10/21/21 10/21/36 100.000 VARIES 2.8389 5.52 0.078858 0.077218 0.075554 0.073572 0.073176 27.86 26.68 GS Finance Corp. 40056X6P6 09/30/19 10/09/26 100.000 0.000 2.7800 64.20 0.081662 0.082797 0.083948 0.085115 0.086298 29.79 30.62 GS FINANCE CORP 40057LFX4 04/05/22 04/05/27 100.000 0.000 3.4801 0.096669 0.098351 0.100062 0.101803 25.86 36.01 GS FINANCE CORP 40057LG96 03/30/22 03/30/27 100.000 0.000 3.6901 0.102502 0.104393 0.106319 0.108280 27.95 38.28 GS Finance Corp. 40055QR79 08/31/18 06/02/23 100.000 0.000 3.6500 128.32 0.114063 0.116145 0.118264 41.56 17.86 GS Finance Corp. 40056FTA3 08/05/19 08/04/22 100.000 0.000 2.4693 60.83 0.072037 0.072926 15.50 GS Finance Corp. 40056XXT8 02/05/20 02/14/25 100.000 0.000 2.1100 40.82 0.060519 0.061157 0.061802 0.062454 0.063113 22.08 22.55 GS Finance Corp. 40055QA69 05/24/18 08/26/25 100.000 0.000 4.1042 157.73 0.130132 0.132802 0.135527 0.138309 0.141147 48.00 49.99 GS Finance Corp. 40055AJY4 02/27/18 02/26/26 100.000 0.000 3.8056 156.00 0.120607 0.122902 0.125241 0.127624 0.130052 44.41 46.12 GS Finance Corp. 40055QR87 08/31/18 06/02/25 100.000 0.000 3.8963 137.47 0.122724 0.125115 0.127552 0.130037 0.132570 44.75 46.51 GS Finance Corp. 40056XXQ4 02/05/20 02/05/24 100.000 0.000 2.0150 38.95 0.057681 0.058262 0.058849 0.059442 0.060041 21.04 21.47 GS Finance Corp. 40055ABF3 12/19/17 06/19/25 100.000 0.000 3.1000 132.11 0.097386 0.098895 0.100428 0.101985 0.103565 35.37 36.47 GS Finance Corp. 40056XXR2 02/05/20 02/05/24 100.000 0.000 2.0150 38.95 0.057681 0.058262 0.058849 0.059442 0.060041 21.04 21.47 GS Finance Corp. 40055AK89 02/27/18 02/27/25 100.000 0.000 3.7200 152.27 0.117562 0.119749 0.121976 0.124245 0.126556 43.26 44.89 GS Finance Corp. 40055AJS7 02/28/18 08/31/23 100.000 0.000 3.4583 140.82 0.108332 0.110184 0.112110 0.114027 39.79 27.14 GS Finance Corp. 40057HKH2 07/06/21 07/06/28 100.000 0.000 1.9099 9.28 0.053054 0.053560 0.054072 0.054588 0.055110 19.37 19.74 GS Finance Corp. 40057FN42 03/31/21 03/30/28 100.000 0.000 2.0392 15.40 0.057222 0.057805 0.058394 0.058990 0.059591 20.81 21.24 GS Finance Corp. 40056FKY0 06/28/19 07/09/26 100.000 0.000 2.9701 76.77 0.087592 0.088893 0.090213 0.091552 0.092912 32.22 33.18 GS Finance Corp. 40057FW42 04/30/21 05/12/31 100.000 0.000 2.4800 16.66 0.069800 0.070665 0.071541 0.072428 0.073327 25.37 26.00 GS Finance Corp. 40054KNF9 11/28/16 11/28/23 100.000 0.000 3.0601 167.25 0.098942 0.100455 0.101993 0.103553 35.99 33.63 GS FINANCE CORP 40057L6B2 03/02/22 03/02/27 100.000 0.000 2.9701 0.082502 0.083727 0.084970 0.086232 24.81 30.66 GS Finance Corp. 40054KW77 02/28/17 02/26/23*** 100.000 1.250 2.9063 146.00 0.085207 0.087376 0.086707 *** *** 31.69 *** GS Finance Corp. 40054KF50 07/29/16 08/09/23 100.000 0.000 2.5301 146.08 0.079751 0.080760 0.081782 0.082816 29.18 18.01 GS Finance Corp. 40057CDX6 07/31/20 08/02/28 100.000 0.000 1.6767 23.99 0.047365 0.047762 0.048163 0.048566 0.048973 17.24 17.53 GS Finance Corp. 40056EYX0 03/29/19 12/29/23 100.000 0.000 3.2563 93.12 0.098857 0.100466 0.102102 0.103764 35.88 36.85 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054LZ98 11/30/17 12/03/24 100.000 0.000 2.9998 129.40 0.093892 0.095301 0.096730 0.098181 0.099653 34.13 35.17 GS Finance Corp. 40054KF84 07/29/16 07/31/23 100.000 0.000 2.6502 153.46 0.083981 0.085093 0.086221 0.087363 30.77 18.23 GS Finance Corp. 40054KNH5 11/28/16 11/27/26 100.000 0.000 3.4699 191.47 0.114466 0.116452 0.118472 0.120527 0.122618 41.70 43.16 GS Finance Corp. 40056FL94 07/03/19 01/03/23 100.000 0.000 2.5175 64.39 0.073518 0.074444 0.075381 26.96 0.15 GS Finance Corp. 40057CMG3 08/31/20 09/10/30 100.000 0.000 1.9400 26.15 0.054970 0.055503 0.056042 0.056585 0.057134 20.00 20.39 GS Finance Corp. 40056FL60 06/28/19 12/31/24 100.000 0.000 2.7600 71.18 0.082118 0.083251 0.084400 0.085565 0.086746 29.77 30.60 GS Finance Corp. 40054KVS2 02/28/17 02/28/24 100.000 0.000 3.0999 160.63 0.098892 0.100425 0.101982 0.103562 0.105167 36.26 37.39 GS Finance Corp. 40054LZ72 11/30/17 12/03/24 100.000 0.000 2.9998 129.40 0.093892 0.095301 0.096730 0.098181 0.099653 34.13 35.17 GS Finance Corp. 40054KF27 07/29/16 05/01/25 100.000 0.000 2.7700 160.92 0.088916 0.090147 0.091396 0.092661 0.093945 32.38 33.28 GS Finance Corp. 40057HTE0 07/28/21 02/01/27 100.000 0.000 1.5051 6.40 0.041812 0.042127 0.042444 0.042763 0.043085 15.20 15.43 GS Finance Corp. 40056EYS1 03/29/19 03/31/25 100.000 0.000 3.4250 98.14 0.103578 0.105352 0.107156 0.108991 0.110858 37.93 39.24 GS Finance Corp. 40057JA89 09/03/21 09/05/31 100.000 0.000 2.2400 7.34 0.062230 0.062927 0.063632 0.064344 0.065065 22.69 23.20 GS Finance Corp. 40056XXZ4 01/31/20 07/31/25 100.000 0.000 2.2875 44.63 0.065747 0.066499 0.067260 0.068029 0.068807 24.03 24.59 GS Finance Corp. 40057HTD2 07/28/21 07/31/28 100.000 0.000 1.8200 7.74 0.050560 0.051020 0.051484 0.051953 0.052426 18.42 18.76 GS Finance Corp. 40056EYT9 03/29/19 03/31/22 100.000 0.000 2.9501 84.07 0.088178 7.85 GS Finance Corp. 40056YJY1 02/26/20 03/07/30 100.000 0.000 2.4900 46.80 0.071838 0.072732 0.073638 0.074555 0.075483 26.23 26.88 GS Finance Corp. 40056YJX3 02/26/20 03/07/30 100.000 0.000 2.4900 46.80 0.071838 0.072732 0.073638 0.074555 0.075483 26.23 26.88 GS Finance Corp. 40054KVT0 02/28/17 08/26/22 100.000 0.000 2.6997 138.66 0.084597 0.085739 20.09 GS Finance Corp. 40054LZ80 11/30/17 12/03/24 100.000 0.000 2.9998 129.40 0.093892 0.095301 0.096730 0.098181 0.099653 34.13 35.17 GS Finance Corp. 40054KF35 07/29/16 07/30/26 100.000 0.000 2.9298 170.84 0.094130 0.095509 0.096908 0.098328 0.099768 34.55 35.57 GS Finance Corp. 40054KNC6 11/28/16 11/28/23 100.000 0.000 3.0998 169.57 0.100421 0.101978 0.103558 0.105163 36.54 34.15 GS Finance Corp. 40057FEZ3 02/26/21 02/28/28 100.000 0.000 1.6601 14.11 0.046500 0.046886 0.047275 0.047667 0.048063 16.90 17.19 GS FINANCE CORP 40057L6J5 02/24/22 03/06/29 100.000 0.000 3.1600 0.087778 0.087870 0.089259 0.090669 0.092102 27.13 32.71 GS Finance Corp. 40054LZC1 11/30/17 12/03/24 100.000 0.000 2.9998 129.40 0.093892 0.095301 0.096730 0.098181 0.099653 34.13 35.17 GS Finance Corp. 40056XHF6 10/31/19 10/31/22 100.000 0.000 2.2999 50.88 0.066875 0.067644 20.13 GS Finance Corp. 40054LZB3 11/30/17 08/31/23 100.000 0.000 2.7995 120.35 0.086312 0.087507 0.088745 0.089974 31.58 21.43 GS Finance Corp. 40056EZB7 03/29/19 12/31/25 100.000 0.000 3.5625 102.24 0.109065 0.111008 0.112985 0.114997 0.117046 39.62 41.04 GS Finance Corp. 40054LQQ0 09/15/17 09/26/24 100.000 0.000 2.8003 126.88 0.087013 0.088231 0.089467 0.090719 0.091990 31.78 32.67 GS Finance Corp. 40056EZA9 03/29/19 04/01/27 100.000 0.000 3.6700 105.45 0.111672 0.113721 0.115808 0.117933 0.120097 40.94 42.46 GS Finance Corp. 40057JAE6 08/31/21 09/12/28 100.000 0.000 1.9000 6.39 0.052813 0.053314 0.053821 0.054332 0.054848 19.21 19.58 GS Finance Corp. 40056FLC7 07/03/19 01/03/23 100.000 0.000 2.5175 64.39 0.073518 0.074444 0.075381 26.96 0.15 GS Finance Corp. 40054LZE7 11/30/17 12/03/25 100.000 0.000 3.1001 133.96 0.097413 0.098923 0.100457 0.102014 0.103595 35.43 36.53 GS Finance Corp. 40056XHC3 10/07/19 10/06/22 100.000 0.000 2.1388 48.67 0.061989 0.062651 17.17 GS Finance Corp. 40056EQM3 01/31/19 11/02/23 100.000 0.000 3.8087 116.54 0.117395 0.119630 0.121908 0.124230 42.93 37.11 GS Finance Corp. 40054LQS6 09/15/17 06/15/23 100.000 0.000 2.5996 117.33 0.080589 0.081637 0.082698 29.23 13.56 GS Finance Corp. 40056FCP8 05/31/19 05/31/24 100.000 0.000 3.1099 83.10 0.093315 0.094766 0.096240 0.097736 0.099256 33.95 35.01 GS Finance Corp. 40056EQN1 01/31/19 10/31/25 100.000 0.000 4.0688 124.90 0.126269 0.128838 0.131459 0.134134 0.136862 46.24 48.14 GS Finance Corp. 40057FW83 04/30/21 05/02/28 100.000 0.000 2.0200 13.56 0.056685 0.057258 0.057836 0.058420 0.059010 20.58 21.00 GS Finance Corp. 40055QJ52 07/31/18 07/30/26 100.000 0.000 4.1364 150.31 0.129917 0.132604 0.135347 0.138146 0.141003 48.07 50.08 GS Finance Corp. 40055AC70 01/31/18 02/11/25 100.000 0.000 3.4199 142.18 0.107078 0.108909 0.110772 0.112666 0.114592 39.39 40.75 GS Finance Corp. 40057FF74 02/12/21 02/12/31 100.000 VARIES 1.9200 16.95 0.052913 0.052487 0.052473 0.052487 0.052560 18.91 18.90 GS FINANCE CORP 40057LP96 04/29/22 05/01/29 100.000 0.000 4.4700 0.124167 0.124197 0.126973 0.129811 0.132712 30.22 46.57 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KEY8 07/29/16 05/01/23 100.000 0.000 2.4799 143.02 0.078414 0.079386 0.080371 28.52 9.64 GS Finance Corp. 40057FW75 04/30/21 05/02/28 100.000 0.000 2.0200 13.56 0.056685 0.057258 0.057836 0.058420 0.059010 20.58 21.00 GS Finance Corp. 40055QJ60 07/31/18 07/31/24 100.000 0.000 3.9250 142.18 0.122513 0.124918 0.127369 0.129869 0.132418 45.27 47.07 GS Finance Corp. 40055AC88 01/31/18 01/30/25 100.000 0.000 3.4101 141.73 0.106624 0.108442 0.110291 0.112171 0.114084 39.27 40.62 GS Finance Corp. 40057FF66 02/26/21 02/28/28 100.000 0.000 1.6601 14.11 0.046500 0.046886 0.047275 0.047667 0.048063 16.90 17.19 GS Finance Corp. 40056EQL5 01/31/19 07/31/26 100.000 0.000 4.1350 126.95 0.127236 0.129867 0.132552 0.135292 0.138089 47.08 49.05 GS Finance Corp. 40057H2H2 04/21/21 04/21/27 100.000 0.000 1.7850 12.43 0.050027 0.050474 0.050924 0.051379 0.051837 18.15 18.48 GS Finance Corp. 40057FW67 04/30/21 10/30/26 100.000 0.000 1.6375 10.98 0.045858 0.046233 0.046612 0.046993 0.047378 16.62 16.90 GS Finance Corp. 40055QAB8 06/04/18 06/13/25 100.000 0.000 3.9400 149.71 0.125582 0.128056 0.130579 0.133151 0.135774 45.74 47.56 GS Finance Corp. 40055AC54 01/31/18 01/30/25 100.000 0.000 3.4101 141.73 0.106624 0.108442 0.110291 0.112171 0.114084 39.27 40.62 GS Finance Corp. 40057FF58 02/26/21 08/28/28 100.000 0.000 1.7417 14.81 0.048807 0.049232 0.049661 0.050093 0.050529 17.75 18.06 GS Finance Corp. 40057FW59 04/30/21 10/30/26 100.000 0.000 1.6375 10.98 0.045858 0.046233 0.046612 0.046993 0.047378 16.62 16.90 GS Finance Corp. 40057FF41 02/26/21 03/10/31 100.000 0.000 2.1500 18.30 0.060416 0.061065 0.061722 0.062385 0.063056 22.01 22.49 GS Finance Corp. 40055AC62 01/31/18 02/11/25 100.000 0.000 3.4199 142.18 0.107078 0.108909 0.110772 0.112666 0.114592 39.39 40.75 GS Finance Corp. 40055QRR5 08/31/18 09/12/25 100.000 0.000 3.9600 139.83 0.123896 0.126349 0.128851 0.131402 0.134004 45.58 47.41 GS Finance Corp. 40054LQZ0 09/28/17 09/28/23 100.000 0.000 2.7500 123.37 0.085208 0.086380 0.087568 0.088772 31.11 23.60 GS Finance Corp. 40054KNV4 11/28/16 11/28/22 100.000 0.000 2.8500 155.00 0.091200 0.092499 30.06 GS Finance Corp. 40056EA81 10/29/18 04/28/22 100.000 0.000 3.6667 122.21 0.113572 13.29 GS Finance Corp. 40055AKQ9 02/28/18 03/10/28 100.000 0.000 3.9678 162.99 0.126631 0.129143 0.131705 0.134318 0.136983 46.60 48.47 GS Finance Corp. 40057JRM0 10/27/21 04/29/27 100.000 0.000 1.9850 3.53 0.055145 0.055692 0.056245 0.056803 0.057367 20.02 20.42 GS Finance Corp. 40056F2U8 04/03/19 10/04/22 100.000 0.000 3.0851 87.68 0.092521 0.093948 25.52 GS Finance Corp. 40057JRL2 10/27/21 10/30/28 100.000 0.000 2.2700 4.04 0.063066 0.063782 0.064506 0.065238 0.065979 22.92 23.44 GS Finance Corp. 40056EA32 10/12/18 10/24/25 100.000 0.000 4.2199 143.98 0.133053 0.135860 0.138727 0.141654 0.144643 48.78 50.86 GS Finance Corp. 40056F2T1 04/03/19 10/04/22 100.000 0.000 3.0851 87.68 0.092521 0.093948 25.52 GS Finance Corp. 40054KFB7 07/28/16 07/30/24 100.000 0.000 2.6502 153.55 0.083987 0.085100 0.086227 0.087370 0.088528 30.77 31.59 GS Finance Corp. 40057HU73 08/04/21 08/03/28 100.000 0.000 1.7533 7.16 0.048702 0.049127 0.049558 0.049992 0.050430 17.74 18.05 GS Finance Corp. 40054LA53 04/28/17 10/31/24 100.000 0.000 3.1210 155.82 0.099676 0.101231 0.102811 0.104415 0.106045 36.35 37.50 GS Finance Corp. 40054LQU1 09/28/17 09/30/25 100.000 0.000 3.1000 140.00 0.097402 0.098911 0.100444 0.102001 0.103582 35.61 36.73 GS Finance Corp. 40055AL21 02/14/18 02/14/23 100.000 0.000 3.3099 135.89 0.103137 0.104843 0.106578 37.91 4.58 GS Finance Corp. 40054LR97 09/29/17 10/10/24 100.000 0.000 2.9500 132.76 0.092210 0.093571 0.094951 0.096351 0.097772 33.66 34.66 GS Finance Corp. 40054KNU6 11/28/16 11/27/24 100.000 0.000 3.2301 177.24 0.105307 0.107007 0.108736 0.110492 0.112276 38.33 39.58 GS Finance Corp. 40056FLD5 07/03/19 07/15/24 100.000 0.000 2.7200 69.73 0.079823 0.080908 0.082009 0.083124 0.084254 29.29 30.10 GS Finance Corp. 40054LR89 09/29/17 10/10/24 100.000 0.000 2.9500 132.76 0.092210 0.093571 0.094951 0.096351 0.097772 33.66 34.66 GS Finance Corp. 40056FM44 06/28/19 03/30/22 100.000 0.000 2.3598 60.65 0.069115 6.15 GS Finance Corp. 40054LJ39 07/31/17 08/09/24 100.000 0.000 2.9498 138.18 0.092188 0.093547 0.094927 0.096327 0.097748 33.82 34.83 GS Finance Corp. 40057E2G1 04/30/20 04/30/27 100.000 0.000 2.4600 41.68 0.070887 0.071759 0.072641 0.073535 0.074439 25.78 26.42 GS Finance Corp. 40056YCH5 01/24/20 01/25/30 100.000 0.000 2.7100 53.51 0.078385 0.079448 0.080524 0.081615 0.082721 28.74 29.53 GS Finance Corp. 40055QRZ7 08/31/18 09/12/25 100.000 0.000 3.9600 139.83 0.123896 0.126349 0.128851 0.131402 0.134004 45.58 47.41 GS Finance Corp. 40054LZS6 11/30/17 12/12/24 100.000 0.000 2.9999 129.40 0.093965 0.095375 0.096805 0.098257 0.099731 34.14 35.17 GS Finance Corp. 40055ACL9 01/31/18 01/30/25 100.000 0.000 3.3896 140.83 0.105911 0.107706 0.109531 0.111388 0.113276 39.00 40.33 GS Finance Corp. 40057FWL4 04/30/21 05/02/28 100.000 0.000 2.0200 13.56 0.056685 0.057258 0.057836 0.058420 0.059010 20.58 21.00 GS Finance Corp. 40054LRB2 09/29/17 10/12/27 100.000 0.000 3.3500 151.91 0.106411 0.108194 0.110006 0.111849 0.113722 38.91 40.23 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JS80 10/20/21 10/20/31 100.000 VARIES 2.6096 5.15 0.072489 0.071985 0.071474 0.070786 0.070282 25.93 25.52 GS Finance Corp. 40055QAV4 06/15/18 06/26/25 100.000 0.000 4.0700 153.53 0.130339 0.132992 0.135698 0.138460 0.141277 47.43 49.38 GS Finance Corp. 40055ATK3 04/17/18 04/28/25 100.000 0.000 3.7800 148.91 0.119844 0.122109 0.124417 0.126768 0.129164 43.84 45.51 GS Finance Corp. 40054LJ54 07/31/17 08/09/27 100.000 0.000 3.3497 158.17 0.106361 0.108142 0.109954 0.111795 0.113668 39.12 40.44 GS Finance Corp. 40056YL77 03/09/20 05/11/22 100.000 0.000 1.4901 27.26 0.042432 5.52 GS Finance Corp. 40055QS94 09/07/18 09/08/23 100.000 0.000 3.7000 129.34 0.114739 0.116862 0.119024 0.121225 42.17 29.80 GS Finance Corp. 40054LZU1 11/30/17 12/12/24 100.000 0.000 2.9999 129.40 0.093965 0.095375 0.096805 0.098257 0.099731 34.14 35.17 GS Finance Corp. 40055QB84 06/29/18 07/11/25 100.000 0.000 4.0800 152.13 0.128108 0.130721 0.133388 0.136109 0.138886 47.49 49.44 GS Finance Corp. 40054LJ47 07/31/17 08/09/24 100.000 0.000 2.9498 138.18 0.092188 0.093547 0.094927 0.096327 0.097748 33.82 34.83 GS Finance Corp. 40056FDA0 05/17/19 05/29/26 100.000 0.000 3.4900 95.00 0.105825 0.107672 0.109551 0.111463 0.113408 38.55 39.91 GS Finance Corp. 40055ACK1 01/31/18 10/31/23 100.000 0.000 3.2433 134.47 0.101647 0.103296 0.104971 0.106673 37.09 31.69 GS Finance Corp. 40057FNY6 03/31/21 04/09/31 100.000 0.000 2.5000 18.90 0.070357 0.071236 0.072127 0.073028 0.073941 25.63 26.28 GS Finance Corp. 40054LZT4 11/30/17 12/12/24 100.000 0.000 2.9999 129.40 0.093965 0.095375 0.096805 0.098257 0.099731 34.14 35.17 GS Finance Corp. 40057EKV8 11/30/20 11/30/27 100.000 0.000 1.4899 16.26 0.042006 0.042319 0.042634 0.042952 0.043272 15.20 15.43 GS Finance Corp. 40056XZ41 01/31/20 02/11/27 100.000 0.000 2.4300 47.47 0.070043 0.070894 0.071755 0.072627 0.073510 25.61 26.23 GS Finance Corp. 40054KWL6 02/17/17 08/19/24 100.000 0.000 3.2499 170.11 0.104388 0.106084 0.107808 0.109559 0.111340 38.34 39.59 GS Finance Corp. 40057EKU0 11/30/20 11/30/27 100.000 0.000 1.4899 16.26 0.042006 0.042319 0.042634 0.042952 0.043272 15.20 15.43 GS Finance Corp. 40057FNX8 03/31/21 04/09/31 100.000 0.000 2.5000 18.90 0.070357 0.071236 0.072127 0.073028 0.073941 25.63 26.28 GS Finance Corp. 40056XYT7 01/31/20 02/02/28 100.000 0.000 2.5000 48.86 0.072092 0.072993 0.073905 0.074829 0.075764 26.39 27.05 GS Finance Corp. 40055ATJ6 04/17/18 04/28/25 100.000 0.000 3.7800 148.91 0.119844 0.122109 0.124417 0.126768 0.129164 43.84 45.51 GS Finance Corp. 40055ACE5 01/18/18 01/29/25 100.000 0.000 3.3498 140.36 0.104631 0.106384 0.108166 0.109977 0.111819 38.52 39.82 GS Finance Corp. 40056XZ25 01/31/20 02/11/30 100.000 0.000 2.6400 51.65 0.076337 0.077345 0.078366 0.079400 0.080449 27.95 28.69 GS Finance Corp. 40057HCZ1 05/28/21 05/28/31 100.000 VARIES 2.4405 14.42 0.067178 0.066556 0.065927 0.065291 0.065337 24.03 23.60 GS Finance Corp. 40055QAR3 06/15/18 06/26/25 100.000 0.000 4.0700 153.53 0.130339 0.132992 0.135698 0.138460 0.141277 47.43 49.38 GS Finance Corp. 40054LRA4 09/29/17 10/10/24 100.000 0.000 2.9500 132.76 0.092210 0.093571 0.094951 0.096351 0.097772 33.66 34.66 GS Finance Corp. 40055ACF2 01/18/18 01/29/25 100.000 0.000 3.3498 140.36 0.104631 0.106384 0.108166 0.109977 0.111819 38.52 39.82 GS Finance Corp. 40055ATH0 04/17/18 04/28/25 100.000 0.000 3.7800 148.91 0.119844 0.122109 0.124417 0.126768 0.129164 43.84 45.51 GS Finance Corp. 40055QSC7 08/08/18 02/06/26 100.000 0.000 4.0319 145.27 0.126217 0.128761 0.131357 0.134005 0.136707 46.64 48.54 GS Finance Corp. 40054LRL0 09/28/17 10/11/22 100.000 0.000 2.5499 113.96 0.078458 0.079459 22.15 GS Finance Corp. 40055ATU1 04/02/18 10/03/24 100.000 0.000 3.7376 148.90 0.118200 0.120409 0.122659 0.124951 0.127286 43.34 44.98 GS FINANCE CORP 40057KVD2 02/04/22 02/04/27 100.000 0.000 2.5400 0.070556 0.071452 0.072359 0.073278 23.20 26.15 GS Finance Corp. 40055QBB7 06/29/18 07/11/25 100.000 0.000 4.0800 152.13 0.128108 0.130721 0.133388 0.136109 0.138886 47.49 49.44 GS FINANCE CORP 40057LQ79 04/29/22 05/01/28 100.000 0.000 4.3700 0.121390 0.121420 0.124073 0.126784 0.129554 29.54 45.48 GS Finance Corp. 40057FX58 04/05/21 10/03/24 100.000 0.000 1.0638 7.87 0.029704 0.029862 0.030021 0.030181 0.030341 10.75 10.86 GS FINANCE CORP 40057LQ61 04/29/22 07/30/26 100.000 0.000 4.1237 0.114549 0.115743 0.118129 0.120565 27.90 42.82 GS Finance Corp. 40056FUM5 07/22/19 07/21/22 100.000 0.000 2.4693 61.76 0.072037 0.072926 14.57 GS Finance Corp. 40057FX41 04/05/21 04/02/26 100.000 0.000 1.5814 11.71 0.044268 0.044618 0.044971 0.045327 0.045685 16.06 16.32 GS Finance Corp. 40055AU47 04/30/18 05/09/25 100.000 0.000 4.0400 158.14 0.129215 0.131825 0.134488 0.137204 0.139976 47.26 49.19 GS Finance Corp. 40057H3F5 05/05/21 05/05/28 100.000 0.000 2.0100 13.21 0.056394 0.056961 0.057533 0.058111 0.058695 20.47 20.88 GS Finance Corp. 40056FDH5 05/31/19 06/11/26 100.000 0.000 3.3900 90.85 0.102527 0.104265 0.106032 0.107830 0.109657 37.29 38.57 GS FINANCE CORP 40057LPT2 04/29/22 05/01/29 100.000 0.000 4.4700 0.124167 0.124197 0.126973 0.129811 0.132712 30.22 46.57 GS Finance Corp. 40055AU54 04/30/18 05/09/28 100.000 0.000 4.3200 169.87 0.139513 0.142526 0.145605 0.148750 0.151963 51.08 53.31 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QSB9 08/08/18 02/06/26 100.000 0.000 4.0319 145.27 0.126217 0.128761 0.131357 0.134005 0.136707 46.64 48.54 GS Finance Corp. 40056FM85 06/28/19 06/30/25 100.000 0.000 2.8299 73.03 0.084344 0.085537 0.086748 0.087975 0.089220 30.58 31.45 GS Finance Corp. 40055ALA3 02/20/18 02/20/25 100.000 0.000 3.7500 154.41 0.118632 0.120856 0.123122 0.125431 0.127783 43.70 45.35 GS Finance Corp. 40056EZU5 04/03/19 04/04/24 100.000 0.000 3.3401 95.21 0.100800 0.102483 0.104195 0.105935 0.107704 36.89 38.13 GS Finance Corp. 40055AU39 04/30/18 05/09/25 100.000 0.000 4.0400 158.14 0.129215 0.131825 0.134488 0.137204 0.139976 47.26 49.19 GS Finance Corp. 40054LAE4 03/20/17 09/20/22 100.000 0.000 2.9898 152.46 0.094916 0.096334 24.84 GS Finance Corp. 40055AD20 01/30/18 02/08/23 100.000 0.000 3.1499 130.35 0.097681 0.099220 0.100782 35.89 3.73 GS FINANCE CORP 40057LQ20 04/27/22 04/25/25 100.000 0.000 3.7917 0.105326 0.107300 0.109335 0.111407 25.83 39.27 GS Finance Corp. 40054LZV9 11/30/17 12/13/27 100.000 0.000 3.3000 143.12 0.104613 0.106339 0.108094 0.109878 0.111691 38.03 39.30 GS Finance Corp. 40056XYY6 01/31/20 02/11/27 100.000 0.000 2.4300 47.47 0.070043 0.070894 0.071755 0.072627 0.073510 25.61 26.23 GS Finance Corp. 36257D436 05/01/19 09/20/23 100.000 0.000 3.1913 88.15 0.095607 0.097132 0.098682 0.100257 35.00 25.84 GS Finance Corp. 40057K3Z4 12/03/21 12/05/28 100.000 0.000 2.2800 1.77 0.063341 0.064063 0.064793 0.065532 0.066279 22.97 23.50 GS Finance Corp. 40057E2H9 04/30/20 01/30/26 100.000 0.000 2.3100 39.11 0.066037 0.066799 0.067571 0.068351 0.069141 24.14 24.70 GS Finance Corp. 40055A2Z9 11/30/17 12/12/22 100.000 0.000 2.6499 113.58 0.081856 0.082940 28.11 GS Finance Corp. 40057HUS7 08/04/21 08/04/31 100.000 0.000 2.1800 8.90 0.060555 0.061215 0.061883 0.062557 0.063239 22.11 22.60 GS FINANCE CORP 40057L7L9 02/24/22 02/23/24 100.000 0.000 1.6034 0.044539 0.044894 0.045254 0.045617 13.72 16.32 GS Finance Corp. 40056XQW9 12/04/19 02/03/22 100.000 0.000 1.5999 33.63 0.045635 1.46 GS Finance Corp. 40054LAR5 05/30/17 11/29/22 100.000 0.000 2.6501 128.34 0.082867 0.083965 27.38 GS Finance Corp. 40054LS47 09/29/17 10/01/24 100.000 0.000 2.9500 132.75 0.092145 0.093504 0.094883 0.096283 0.097703 33.66 34.66 GS FINANCE CORP 40057KVK6 02/03/22 02/05/30 100.000 0.000 2.8333 0.078702 0.078715 0.079830 0.080961 0.082108 25.98 29.27 GS Finance Corp. 40054LAQ7 05/30/17 05/30/25 100.000 0.000 3.1002 151.55 0.098903 0.100436 0.101993 0.103574 0.105180 35.98 37.10 GS Finance Corp. 40055QBK7 06/08/18 10/08/26 100.000 0.000 4.1144 156.32 0.130912 0.133605 0.136354 0.139159 0.142021 48.06 50.06 GS Finance Corp. 40054LS39 09/29/17 06/29/23 100.000 0.000 2.6502 118.58 0.082334 0.083425 0.084530 29.84 15.05 GS FINANCE CORP 40057L7J4 03/02/22 03/12/29 100.000 0.000 3.1999 0.088887 0.088966 0.090390 0.091836 0.093305 26.76 33.12 GS Finance Corp. 40056FV36 08/02/19 02/03/22 100.000 0.000 2.0917 51.52 0.060577 1.94 GS Finance Corp. 40057C5A5 06/30/20 06/29/28 100.000 0.000 1.9400 29.44 0.055471 0.056009 0.056552 0.057101 0.057654 20.07 20.46 GS Finance Corp. 40057FFY5 02/22/21 02/23/28 100.000 0.000 1.5700 13.52 0.043957 0.044302 0.044650 0.045000 0.045353 15.98 16.23 GS Finance Corp. 40056EAL2 09/28/18 09/28/23 100.000 0.000 3.8299 131.63 0.119211 0.121494 0.123820 0.126191 43.76 33.49 GS FINANCE CORP 40057LPZ8 04/11/22 04/03/25 100.000 0.000 3.3832 0.093979 0.095498 0.097113 0.098756 24.57 34.96 GS FINANCE CORP 40057LHH7 03/28/22 04/06/29 100.000 0.000 3.6600 0.101666 0.101749 0.103611 0.105507 0.107438 27.93 37.97 GS Finance Corp. 40054LAM6 05/31/17 11/30/22 100.000 0.000 2.6502 128.35 0.082876 0.083974 27.46 GS Finance Corp. 40057FX82 04/30/21 05/02/29 100.000 0.000 2.1733 14.59 0.061032 0.061695 0.062366 0.063044 0.063729 22.17 22.65 GS Finance Corp. 40054LAP9 05/31/17 05/31/24 100.000 0.000 2.9498 143.75 0.093480 0.094859 0.096258 0.097677 0.099118 33.99 35.00 GS Finance Corp. 40055AU88 04/30/18 05/09/25 100.000 0.000 4.0400 158.14 0.129215 0.131825 0.134488 0.137204 0.139976 47.26 49.19 GS FINANCE CORP 40057LQ95 04/29/22 01/30/25 100.000 0.000 3.5568 0.098801 0.099690 0.101462 0.103267 24.04 36.75 GS Finance Corp. 40054LJA3 07/31/17 08/09/24 100.000 0.000 2.9498 138.18 0.092188 0.093547 0.094927 0.096327 0.097748 33.82 34.83 GS Finance Corp. 40057FWV2 04/30/21 05/12/31 100.000 0.000 2.4800 16.66 0.069800 0.070665 0.071541 0.072428 0.073327 25.37 26.00 GS Finance Corp. 40055ATX5 04/30/18 04/30/25 100.000 0.000 4.0400 158.14 0.129087 0.131694 0.134355 0.137069 0.139838 47.26 49.19 GS Finance Corp. 40054LS21 09/29/17 10/01/24 100.000 0.000 2.9500 132.75 0.092145 0.093504 0.094883 0.096283 0.097703 33.66 34.66 GS Finance Corp. 40055ACW5 01/30/18 01/29/26 100.000 0.000 3.4733 144.52 0.108829 0.110719 0.112642 0.114598 0.116588 40.10 41.50 GS Finance Corp. 40056XZC3 01/31/20 02/11/30 100.000 0.000 2.6400 51.65 0.076337 0.077345 0.078366 0.079400 0.080449 27.95 28.69 GS Finance Corp. 40055QK68 08/06/18 08/04/23 100.000 0.000 3.7554 135.00 0.116611 0.118800 0.121031 0.123304 43.02 26.19 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057LQ87 04/29/22 05/10/29 100.000 0.000 4.3900 0.121943 0.122107 0.124787 0.127526 0.130325 29.68 45.70 GS Finance Corp. 40057EM38 11/30/20 05/30/28 100.000 0.000 1.5518 16.93 0.043776 0.044115 0.044458 0.044803 0.045150 15.84 16.09 GS Finance Corp. 40056F3Z6 03/28/19 03/30/23 100.000 0.000 3.1250 89.33 0.093819 0.095284 0.096773 34.31 8.61 GS Finance Corp. 40056F3Y9 03/28/19 03/28/24 100.000 0.000 3.3001 94.52 0.099485 0.101127 0.102795 0.104491 0.106215 36.42 37.63 GS Finance Corp. 40057FP57 03/31/21 09/29/28 100.000 0.000 2.1210 16.02 0.059539 0.060171 0.060809 0.061454 0.062105 21.66 22.13 GS Finance Corp. 40055ADF1 01/31/18 02/11/25 100.000 0.000 3.4199 142.18 0.107078 0.108909 0.110772 0.112666 0.114592 39.39 40.75 GS Finance Corp. 40055QC42 06/29/18 07/01/26 100.000 0.000 4.1733 155.80 0.133987 0.136783 0.139637 0.142551 0.145526 48.74 50.79 GS Finance Corp. 40055QSU7 08/09/18 08/13/25 100.000 0.000 3.9699 142.79 0.124134 0.126598 0.129111 0.131673 0.134287 45.82 47.66 GS Finance Corp. 40054KGK6 08/31/16 06/01/22 100.000 0.000 2.1998 123.86 0.068548 10.28 GS Finance Corp. 40055ADC8 01/31/18 02/11/25 100.000 0.000 3.4199 142.18 0.107078 0.108909 0.110772 0.112666 0.114592 39.39 40.75 GS Finance Corp. 40055A3B1 11/30/17 05/31/23 100.000 0.000 2.7000 115.83 0.083493 0.084620 0.085762 30.33 12.78 GS Finance Corp. 40054KXL5 02/28/17 08/29/22 100.000 0.000 2.0900 105.92 0.063753 0.064416 15.29 GS FINANCE CORP 40057LQD6 04/29/22 01/30/25 100.000 0.000 3.5568 0.098801 0.099690 0.101462 0.103267 24.04 36.75 GS Finance Corp. 40055ADD6 01/31/18 02/11/25 100.000 0.000 3.4199 142.18 0.107078 0.108909 0.110772 0.112666 0.114592 39.39 40.75 GS Finance Corp. 40057FP40 03/31/21 09/29/28 100.000 0.000 2.1210 16.02 0.059539 0.060171 0.060809 0.061454 0.062105 21.66 22.13 GS Finance Corp. 40057FP24 03/31/21 04/01/27 100.000 0.000 1.8100 13.67 0.050736 0.051195 0.051659 0.052126 0.052598 18.43 18.77 GS FINANCE CORP 40057LQC8 04/29/22 05/10/29 100.000 0.000 4.4700 0.124166 0.124335 0.127114 0.129955 0.132860 30.23 46.57 GS Finance Corp. 40055AUC9 04/30/18 05/09/28 100.000 0.000 4.3200 169.87 0.139513 0.142526 0.145605 0.148750 0.151963 51.08 53.31 GS Finance Corp. 40057FP32 03/31/21 04/01/27 100.000 0.000 1.7900 13.52 0.050168 0.050617 0.051070 0.051528 0.051989 18.22 18.55 GS Finance Corp. 40056FMH5 06/28/19 06/30/22 100.000 0.000 2.4001 61.67 0.070775 12.67 GS FINANCE CORP 40057LQB0 04/29/22 05/10/29 100.000 0.000 4.4700 0.124166 0.124335 0.127114 0.129955 0.132860 30.23 46.57 GS Finance Corp. 40054LJJ4 07/31/17 07/31/24 100.000 0.000 2.9499 138.18 0.092126 0.093485 0.094864 0.096263 0.097683 33.82 34.83 GS FINANCE CORP 40057KVN0 02/04/22 02/04/27 100.000 0.000 2.5000 0.069444 0.070312 0.071191 0.072081 22.84 25.73 GS FINANCE CORP 40057LQA2 04/29/22 07/29/27 100.000 0.000 4.2951 0.119307 0.120588 0.123178 0.125823 29.07 44.67 GS Finance Corp. 40056F3T0 03/28/19 03/30/26 100.000 2.000 3.6081 101.39 0.104404 0.105285 0.106182 0.107095 0.108025 37.91 38.56 GS Finance Corp. 40055QSN3 09/06/18 09/06/23 100.000 0.000 3.6500 127.61 0.113009 0.115072 0.117172 0.119310 41.53 29.09 GS Finance Corp. 40055AUA3 04/30/18 05/09/25 100.000 0.000 4.0400 158.14 0.129215 0.131825 0.134488 0.137204 0.139976 47.26 49.19 GS Finance Corp. 40056FUX1 08/02/19 02/03/22 100.000 0.000 2.0917 51.52 0.060577 1.94 GS Finance Corp. 40055AUB1 04/30/18 05/09/25 100.000 0.000 4.0400 158.14 0.129215 0.131825 0.134488 0.137204 0.139976 47.26 49.19 GS Finance Corp. 40057HE48 05/28/21 05/28/31 100.000 VARIES 2.4396 14.38 0.066221 0.064657 0.063515 0.062705 0.062541 23.47 22.69 GS Finance Corp. 40056XAG1 09/30/19 09/29/22 100.000 0.000 2.2654 52.07 0.065824 0.066570 17.78 GS Finance Corp. 40057CFU0 07/31/20 08/02/27 100.000 0.000 1.5699 22.45 0.044301 0.044648 0.044999 0.045352 0.045708 16.11 16.37 GS Finance Corp. 40056EJS8 12/06/18 12/08/22 100.000 0.000 4.0067 129.52 0.125393 0.127905 42.71 GS Finance Corp. 40055AUP0 04/30/18 11/10/25 100.000 0.000 4.0867 160.09 0.130935 0.133610 0.136340 0.139126 0.141969 47.89 49.87 GS Finance Corp. 40057CFT3 07/31/20 08/02/27 100.000 0.000 1.5699 22.45 0.044301 0.044648 0.044999 0.045352 0.045708 16.11 16.37 GS FINANCE CORP 40057LQM6 04/13/22 04/11/25 100.000 0.000 3.4028 0.094522 0.096112 0.097748 0.099411 24.51 35.16 GS Finance Corp. 40057CFS5 07/31/20 08/11/27 100.000 0.000 1.5700 22.45 0.044319 0.044667 0.045017 0.045371 0.045727 16.12 16.37 GS Finance Corp. 40056EJQ2 12/28/18 12/27/24 100.000 0.000 4.4909 142.95 0.142507 0.145707 0.148979 0.152324 0.155744 51.90 54.26 GS Finance Corp. 40054KGR1 08/04/16 08/06/26 100.000 0.000 2.8502 165.41 0.091221 0.092521 0.093840 0.095177 0.096533 33.45 34.41 GS Finance Corp. 40057CFR7 07/31/20 08/11/27 100.000 0.000 1.5700 22.45 0.044319 0.044667 0.045017 0.045371 0.045727 16.12 16.37 GS Finance Corp. 40056XZU3 02/05/20 02/03/23 100.000 0.000 1.8668 36.05 0.053317 0.053815 0.054317 19.43 1.74 GS Finance Corp. 40054LJP0 07/31/17 07/31/24 100.000 0.000 2.9499 138.18 0.092126 0.093485 0.094864 0.096263 0.097683 33.82 34.83 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KGM2 08/31/16 05/30/25 100.000 0.000 2.6499 150.86 0.084520 0.085640 0.086774 0.087924 0.089089 30.70 31.52 GS Finance Corp. 40056YM76 04/03/20 04/05/23 100.000 0.000 2.5099 44.49 0.072388 0.073296 0.074216 26.38 6.98 GS Finance Corp. 40054KGL4 08/31/16 06/01/23 100.000 0.000 2.3999 135.79 0.075565 0.076472 0.077389 27.42 11.61 GS Finance Corp. 40056FN27 06/28/19 12/31/26 100.000 0.000 3.0233 78.17 0.090539 0.091908 0.093297 0.094708 0.096139 32.84 33.84 GS Finance Corp. 40055ADK0 01/31/18 02/11/25 100.000 0.000 3.4199 142.18 0.107078 0.108909 0.110772 0.112666 0.114592 39.39 40.75 GS Finance Corp. 40056XZS8 02/05/20 02/03/23 100.000 0.000 1.8668 36.05 0.053317 0.053815 0.054317 19.43 1.74 GS Finance Corp. 40055ADG9 01/31/18 02/11/28 100.000 0.000 3.6599 152.80 0.115554 0.117669 0.119822 0.122015 0.124247 42.58 44.15 GS Finance Corp. 40057JST4 11/03/21 11/02/28 100.000 0.000 2.2046 3.55 0.061239 0.061910 0.062592 0.063282 0.063980 22.25 22.74 GS Finance Corp. 40057EM61 11/30/20 12/10/30 100.000 0.000 1.8600 20.32 0.052660 0.053149 0.053644 0.054142 0.054646 19.07 19.42 GS Finance Corp. 40057EM46 11/30/20 05/30/28 100.000 0.000 1.5518 16.93 0.043776 0.044115 0.044458 0.044803 0.045150 15.84 16.09 GS Finance Corp. 40057FGF5 02/11/21 02/11/24 100.000 0.000 0.6198 5.52 0.017271 0.017325 0.017378 0.017432 0.017486 6.24 6.28 GS Finance Corp. 40055A3G0 12/05/17 12/05/22 100.000 0.000 2.6501 113.18 0.081788 0.082872 27.51 GS Finance Corp. 40054KGN0 08/31/16 09/12/23 100.000 0.000 2.4502 138.80 0.076937 0.077880 0.078834 0.079800 28.07 19.96 GS Finance Corp. 36260W587 05/19/21 06/03/26 100.000 0.000 1.4218 8.78 0.039796 0.040079 0.040364 0.040651 0.040940 14.39 14.60 GS Finance Corp. 40055QBU5 06/29/18 07/01/24 100.000 0.000 3.9250 145.98 0.124942 0.127394 0.129894 0.132444 0.135043 45.42 47.22 GS FINANCE CORP 40057LQH7 04/14/22 04/20/26 100.000 0.000 3.7400 0.103889 0.103954 0.105898 0.107878 0.109896 26.85 38.76 GS Finance Corp. 40055ALY1 02/28/18 08/28/25 100.000 0.000 3.7368 152.89 0.118162 0.120370 0.122619 0.124910 0.127244 43.48 45.12 GS FINANCE CORP 36261Y566 01/20/22 02/05/29 100.000 0.000 2.6418 0.073385 0.073465 0.074436 0.075419 0.076415 25.19 27.26 GS Finance Corp. 40057EM53 11/30/20 12/10/30 100.000 0.000 1.8600 20.32 0.052660 0.053149 0.053644 0.054142 0.054646 19.07 19.42 GS Finance Corp. 40054LBL7 05/31/17 05/26/23*** 100.000 1.250 2.7568 130.46 0.082050 0.082703 0.083364 *** *** 29.70 *** GS Finance Corp. 40055AE78 02/05/18 02/03/23 100.000 0.000 3.2054 132.26 0.099503 0.101098 0.102718 36.58 3.29 GS Finance Corp. 40056YE34 02/06/20 02/19/30 100.000 0.000 2.5700 49.81 0.074246 0.075200 0.076166 0.077145 0.078136 27.15 27.86 GS Finance Corp. 40055A3U9 11/22/17 05/31/23 100.000 0.000 2.7513 118.82 0.085303 0.086477 0.087666 30.99 13.06 GS Finance Corp. 40057KFD0 12/07/21 12/06/29 100.000 0.000 2.4094 1.61 0.066929 0.067731 0.068547 0.069373 0.070208 24.28 24.87 GS Finance Corp. 40056ESL3 02/05/19 02/05/24 100.000 0.000 3.5800 108.63 0.108670 0.110615 0.112595 0.114611 0.116662 40.04 41.49 GS Finance Corp. 40057JKP0 09/30/21 10/12/29 100.000 0.000 2.0967 5.30 0.058283 0.058894 0.059511 0.060135 0.060766 21.19 21.64 GS Finance Corp. 40057C5X5 07/06/20 01/03/25 100.000 0.000 1.2962 19.39 0.036470 0.036706 0.036944 0.037183 0.037424 13.26 13.43 GS Finance Corp. 40056FEL5 05/31/19 06/02/22 100.000 0.000 2.8299 75.39 0.084344 12.74 GS Finance Corp. 40055ADU8 02/05/18 02/03/23 100.000 0.000 3.2054 132.26 0.099503 0.101098 0.102718 36.58 3.29 GS Finance Corp. 40055A3P0 11/30/17 05/31/23 100.000 0.000 2.7499 118.08 0.085202 0.086374 0.087561 30.96 13.05 GS Finance Corp. 40056F4H5 04/03/19 02/02/23 100.000 0.000 3.1275 88.95 0.093395 0.094856 0.096339 34.32 2.99 GS FINANCE CORP 40057LR37 05/04/22 05/05/27 100.000 0.000 4.3200 0.120014 0.122607 0.125255 0.127961 28.59 44.92 GS Finance Corp. 40057FXR0 04/06/21 01/06/23 100.000 0.000 0.5194 3.83 0.014447 0.014484 0.014522 5.22 0.07 GS Finance Corp. 40054KGT7 08/26/16 08/28/23 100.000 0.000 2.5001 142.11 0.078644 0.079627 0.080623 0.081631 28.73 19.29 GS Finance Corp. 40055QL26 07/31/18 08/11/25 100.000 0.000 4.0600 147.39 0.127390 0.129976 0.132614 0.135306 0.138053 47.06 48.99 GS Finance Corp. 40056FMW2 07/03/19 07/01/22 100.000 0.000 2.3820 60.85 0.070191 12.63 GS FINANCE CORP 40057LQQ7 04/13/22 04/23/29 100.000 0.000 4.0900 0.113611 0.113740 0.116066 0.118440 0.120862 29.50 42.54 GS Finance Corp. 40054KXY7 03/30/17 04/01/24 100.000 0.000 3.1002 157.48 0.098912 0.100445 0.102002 0.103583 0.105189 36.16 37.29 GS Finance Corp. 40054LBJ2 05/31/17 06/11/24 100.000 0.000 2.9497 143.74 0.093560 0.094940 0.096341 0.097761 0.099203 33.99 35.00 GS Finance Corp. 40055AUQ8 04/30/18 11/10/25 100.000 0.000 4.0867 160.09 0.130935 0.133610 0.136340 0.139126 0.141969 47.89 49.87 GS Finance Corp. 40057H4D9 05/03/21 05/01/28 100.000 0.000 1.9900 13.19 0.055821 0.056376 0.056937 0.057504 0.058076 20.26 20.67 GS Finance Corp. 40054KXX9 03/30/17 04/01/25 100.000 0.000 3.3001 168.36 0.106226 0.107979 0.109761 0.111572 0.113413 38.88 40.17 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057LQR5 04/07/22 04/07/37 100.000 VARIES 3.9995 0.111096 0.109707 0.108290 0.106845 29.21 39.00 GS Finance Corp. 40057CG70 07/23/20 07/24/25 100.000 0.000 1.2699 18.38 0.035727 0.035954 0.036182 0.036412 0.036643 12.97 13.14 GS Finance Corp. 40056FEG6 05/31/19 06/02/25 100.000 0.000 3.2500 86.97 0.097874 0.099465 0.101081 0.102724 0.104393 35.61 36.78 GS Finance Corp. 40054LSV7 09/13/17 09/12/24 100.000 0.000 2.8499 129.42 0.088644 0.089907 0.091188 0.092488 0.093806 32.42 33.35 GS Finance Corp. 40057J2H8 08/31/21 08/31/28 100.000 0.000 1.9000 6.39 0.052777 0.053272 0.053784 0.054289 0.054811 19.21 19.58 GS Finance Corp. 40056XRY4 01/03/20 10/03/24 100.000 0.000 2.4313 49.42 0.070456 0.071312 0.072179 0.073056 0.073944 25.67 26.30 GS Finance Corp. 40056EKC1 12/27/18 12/27/28 100.000 0.000 4.7400 151.50 0.151535 0.155126 0.158803 0.162567 0.166419 55.23 57.88 GS Finance Corp. 40055QCM2 06/29/18 03/30/23 100.000 0.000 3.7238 138.17 0.116632 0.118804 0.121016 42.78 10.77 GS Finance Corp. 40057J2G0 08/31/21 08/31/28 100.000 0.000 1.9000 6.39 0.052777 0.053272 0.053784 0.054289 0.054811 19.21 19.58 GS Finance Corp. 40054LSU9 09/29/17 10/01/24 100.000 0.000 2.9500 132.75 0.092145 0.093504 0.094883 0.096283 0.097703 33.66 34.66 GS Finance Corp. 40055AMP9 02/26/18 03/05/25 100.000 0.000 3.7000 151.53 0.116959 0.119123 0.121326 0.123571 0.125857 43.00 44.61 GS Finance Corp. 40054KPR1 11/25/16 11/26/24 100.000 0.000 3.2499 178.72 0.106074 0.107798 0.109549 0.111330 0.113139 38.62 39.88 GS Finance Corp. 40056XRZ1 01/03/20 01/05/24 100.000 0.000 2.3449 47.60 0.067463 0.068254 0.069054 0.069864 0.070683 24.71 25.29 GS Finance Corp. 40054KYF7 03/31/17 04/02/24 100.000 0.000 3.1000 157.47 0.098913 0.100446 0.102003 0.103584 0.105190 36.16 37.29 GS Finance Corp. 40057J2F2 08/31/21 08/31/28 100.000 0.000 1.9000 6.39 0.052777 0.053272 0.053784 0.054289 0.054811 19.21 19.58 GS Finance Corp. 40054LBV5 05/31/17 05/31/24 100.000 0.000 2.9498 143.75 0.093480 0.094859 0.096258 0.097677 0.099118 33.99 35.00 GS Finance Corp. 40055QCJ9 06/29/18 07/11/28 100.000 0.000 4.3600 163.26 0.138042 0.141051 0.144126 0.147268 0.150479 51.27 53.53 GS Finance Corp. 40057J2E5 08/31/21 08/31/27 100.000 0.000 1.7001 5.71 0.047224 0.047621 0.048030 0.048434 0.048850 17.17 17.46 GS Finance Corp. 40056FF59 05/31/19 06/03/27 100.000 0.000 3.4933 93.72 0.105843 0.107692 0.109573 0.111487 0.113434 38.54 39.90 GS Finance Corp. 40054KYE0 03/31/17 10/03/22 100.000 0.000 2.7999 141.31 0.088162 0.089396 24.20 GS Finance Corp. 40056XAT3 09/30/19 09/30/27 100.000 0.000 2.8633 66.17 0.084189 0.085394 0.086617 0.087857 0.089115 30.75 31.63 GS Finance Corp. 40055QKX9 07/31/18 05/01/23 100.000 0.000 3.7275 134.70 0.116765 0.118941 0.121158 42.69 14.54 GS Finance Corp. 40057J2D7 08/31/21 08/31/27 100.000 0.000 1.7001 5.71 0.047224 0.047621 0.048030 0.048434 0.048850 17.17 17.46 GS Finance Corp. 40056XAS5 09/30/19 03/28/25 100.000 0.000 2.5900 59.71 0.075735 0.076715 0.077709 0.078715 0.079734 27.62 28.34 GS Finance Corp. 40057FXZ2 04/09/21 04/09/31*** 100.000 VARIES 2.4796 17.97 0.068010 0.067132 0.066730 *** *** 24.22 *** GS Finance Corp. 40055QKY7 07/31/18 08/11/25 100.000 0.000 4.0600 147.39 0.127390 0.129976 0.132614 0.135306 0.138053 47.06 48.99 GS Finance Corp. 40057J2C9 08/31/21 08/31/26 100.000 0.000 1.5000 5.04 0.041665 0.041974 0.042293 0.042606 0.042929 15.13 15.36 GS FINANCE CORP 40057LA92 02/28/22 02/29/24 100.000 0.000 1.7601 0.048892 0.049325 0.049757 0.050197 14.87 17.94 GS Finance Corp. 40054LST2 09/29/17 09/29/22 100.000 0.000 2.5498 113.87 0.078383 0.079383 21.19 GS Finance Corp. 40055QL75 07/31/18 08/11/25 100.000 0.000 4.0600 147.39 0.127390 0.129976 0.132614 0.135306 0.138053 47.06 48.99 GS Finance Corp. 40055QTG7 09/04/18 09/08/25 100.000 0.000 3.9400 138.58 0.123088 0.125513 0.127986 0.130507 0.133078 45.30 47.10 GS Finance Corp. 40057JKT2 09/30/21 09/30/31 100.000 VARIES 2.4405 6.17 0.067792 0.067264 0.066729 0.066481 0.066272 24.21 23.94 GS Finance Corp. 40056ESM1 02/05/19 02/03/22 100.000 0.000 3.1595 95.38 0.094904 3.04 GS Finance Corp. 40054LSS4 09/29/17 09/26/24 100.000 1.500 2.9596 129.52 0.087246 0.087920 0.088605 0.089299 0.090004 31.66 32.16 GS Finance Corp. 40055QKW1 07/31/18 05/01/25 100.000 0.000 4.0263 146.14 0.127330 0.129894 0.132509 0.135176 0.137898 46.61 48.51 GS Finance Corp. 40056XB39 10/03/19 10/05/22 100.000 0.000 2.2701 51.99 0.065979 0.066728 18.21 General Cable Corp. 369300AL2 12/18/09 11/15/29*** 100.000 VARIES 12.5014 360.15 1.068699 1.127185 1.189327 *** *** 400.81 *** Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22 100.000 0.000 2.5001 187.60 0.081625 0.082645 17.32 Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22 100.000 0.000 2.4699 185.15 0.080483 0.081477 17.08 Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29*** 100.000 VARIES 4.3665 40.63 0.113381 0.113745 0.114200 *** *** 40.89 *** Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26*** 100.000 VARIES 3.7570 38.19 0.018707 0.018831 0.018865 *** *** 6.78 *** Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23 100.000 0.000 3.2490 223.30 0.108658 0.110423 0.112216 0.114039 40.07 20.75 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23 100.000 0.000 3.2992 227.09 0.111505 0.113345 0.115215 0.117115 40.82 31.10 Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23 100.000 0.000 3.2499 223.92 0.109540 0.111320 0.113129 0.114967 40.10 30.20 Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22 100.000 0.000 2.4698 185.22 0.080473 0.081467 16.92 Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27 100.000 VARIES 3.5339 143.90 0.097845 0.097921 0.097985 0.098036 0.098078 35.24 35.29 Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27 100.000 VARIES 2.7977 13.69 0.009116 0.009244 0.009373 0.009504 0.009637 3.31 3.40 Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23*** 100.000 VARIES 3.9815 40.26 0.111612 0.111399 0.111182 *** *** 40.11 *** Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22 100.000 0.000 3.1002 224.73 0.105198 0.106828 35.01 Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28*** 100.000 VARIES 5.0554 44.55 0.124358 0.125086 0.125832 *** *** 45.07 *** Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25*** 100.000 2.000 3.6202 39.79 0.111353 0.112363 0.113392 *** *** 40.51 *** Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25*** 100.000 VARIES 3.7599 5.67 0.015603 0.015467 0.015291 *** *** 5.58 *** Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28 100.000 VARIES 3.1064 12.69 0.008557 0.008690 0.008825 0.008962 0.009101 3.14 3.24 Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28*** 100.000 VARIES 4.8903 45.00 0.125429 0.126082 0.126751 *** *** 45.47 *** Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23 100.000 0.000 2.9999 218.90 0.101125 0.102642 0.104182 36.84 13.23 Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23 100.000 0.000 3.2499 236.68 0.111340 0.113149 0.114988 40.52 17.25 Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25*** 100.000 VARIES 3.9131 3.32 0.009185 0.009094 0.009002 *** *** 3.27 *** Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23*** 100.000 VARIES 4.5507 45.95 0.126052 0.125129 0.125577 *** *** 45.78 *** Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27*** 100.000 VARIES 3.6188 18.88 0.011137 0.011304 0.011447 *** *** 4.05 *** Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22 100.000 0.000 2.9999 223.05 0.101125 0.102642 27.17 Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26 100.000 0.000 3.4990 231.49 0.117647 0.119705 0.121800 0.123930 0.126099 43.47 45.00 Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22 100.000 0.000 3.0000 219.72 0.101146 0.102663 30.72 Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24 100.000 0.000 3.2988 217.02 0.109730 0.111540 0.113380 0.115250 0.117151 40.48 41.82 Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28 100.000 VARIES 3.3846 19.56 0.013055 0.013276 0.013501 0.013729 0.013962 4.78 4.94 Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23 100.000 0.000 2.5999 188.04 0.085435 0.086546 0.087671 31.09 10.61 Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23 100.000 0.000 3.2000 210.16 0.107522 0.109242 0.110990 0.112766 39.03 39.72 Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25*** 100.000 VARIES 3.3914 34.01 0.094483 0.094495 0.094474 *** *** 34.02 *** Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22 100.000 0.000 3.4944 284.47 0.122996 4.80 Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23 100.000 0.000 3.0000 195.82 0.099635 0.101129 0.102646 0.104186 36.14 37.02 Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22 100.000 0.000 3.4944 284.47 0.122996 4.80 Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28*** 100.000 VARIES 4.2924 39.02 0.108815 0.109432 0.110171 *** *** 39.47 *** Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27*** 100.000 VARIES 3.9238 3.84 0.010713 0.010740 0.010767 *** *** 3.87 *** Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23 100.000 0.000 3.1988 222.75 0.107512 0.109231 0.110978 39.43 6.77 Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23 100.000 0.000 3.1988 222.75 0.107512 0.109231 0.110978 39.43 6.77 Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25 100.000 0.000 3.5990 253.63 0.123818 0.126034 0.128314 0.130611 0.132974 45.52 47.18 Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23 100.000 0.000 3.0000 220.33 0.101129 0.102646 0.104186 36.88 11.77 Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28*** 100.000 VARIES 4.9007 45.10 0.125663 0.126307 0.126968 *** *** 45.56 *** Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29*** 100.000 VARIES 4.4103 40.45 0.112951 0.113424 0.113940 *** *** 40.79 *** Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22 100.000 0.000 2.9499 227.71 0.100576 17.80 Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28*** 100.000 VARIES 4.9491 42.73 0.119646 0.120609 0.121594 *** *** 43.28 *** Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22 100.000 0.000 3.1500 223.05 0.105539 0.107201 21.41 Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25 100.000 0.000 3.7000 265.38 0.128065 0.130435 0.132848 0.135305 0.137808 47.25 49.02 Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28*** 100.000 VARIES 4.3421 39.33 0.109640 0.110278 0.111060 *** *** 39.81 *** Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23 100.000 0.000 3.1489 209.46 0.105495 0.107156 0.108843 0.110557 38.38 36.01 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28*** 100.000 VARIES 4.4916 40.72 0.113898 0.114535 0.115298 *** *** 41.17 *** Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25*** 100.000 VARIES 3.7095 2.96 0.008209 0.008144 0.008078 *** *** 2.94 *** Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28*** 100.000 VARIES 4.4921 41.06 0.114860 0.115459 0.116165 *** *** 41.49 *** Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22 100.000 0.000 2.9500 227.62 0.100580 17.90 Goldman Sachs Group, Inc 40055AHP5 03/05/18 03/03/23 100.000 0.000 3.4453 139.51 0.107838 0.109696 0.111585 39.60 6.92 Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22 100.000 0.000 2.8501 210.61 0.095151 0.096507 25.74 Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28 100.000 VARIES 3.7824 22.73 0.016601 0.016914 0.017234 0.017560 0.017892 6.04 6.27 Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28*** 100.000 VARIES 4.3920 40.04 0.111964 0.112545 0.113255 *** *** 40.45 *** Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30 100.000 VARIES 3.7644 11.80 0.008383 0.008541 0.008702 0.008865 0.009032 3.05 3.17 Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23 100.000 0.000 3.1499 209.84 0.105562 0.107225 0.108914 0.110629 38.41 36.03 Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26*** 100.000 VARIES 3.8760 4.03 0.011260 0.011268 0.011277 *** *** 4.06 *** Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23 100.000 0.000 3.1002 231.25 0.105180 0.106810 0.108466 38.47 9.33 Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23 100.000 0.000 2.8001 206.59 0.093190 0.094494 0.095817 34.02 8.53 Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23 100.000 0.000 3.2489 229.87 0.109519 0.111298 0.113106 40.28 3.51 Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23 100.000 0.000 3.2489 229.87 0.109519 0.111298 0.113106 40.28 3.51 Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23 100.000 0.000 3.3498 237.73 0.113585 0.115488 0.117422 0.119389 41.81 25.01 Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28*** 100.000 VARIES 4.3925 40.29 0.112502 0.113030 0.113678 *** *** 40.67 *** Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26*** 100.000 VARIES 2.2302 14.40 0.008011 0.008100 0.008191 *** *** 2.91 *** Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22 100.000 0.000 3.1503 248.18 0.108902 15.90 Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22 100.000 0.000 3.1499 248.36 0.108895 15.79 Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23 100.000 0.000 3.1488 209.45 0.105482 0.107143 0.108830 0.110543 38.38 35.90 Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25 100.000 0.000 3.4490 231.39 0.117602 0.119630 0.121693 0.123792 0.125927 42.84 44.33 Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23 100.000 0.000 3.2500 229.95 0.109544 0.111324 0.113133 40.30 3.28 Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28 100.000 VARIES 3.7555 9.82 0.007610 0.007753 0.007898 0.008047 0.008198 2.79 2.90 Goldman Sachs Group, Inc 40055AJF5 03/05/18 03/03/23 100.000 0.000 3.4453 139.51 0.107838 0.109696 0.111585 39.60 6.92 Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27*** 100.000 VARIES 3.9047 4.89 0.013697 0.013808 0.013921 *** *** 4.97 *** Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25*** 100.000 VARIES 3.6654 3.17 0.008825 0.008783 0.008740 *** *** 3.16 *** Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23 100.000 0.000 3.1500 212.81 0.105557 0.107220 0.108908 0.110624 38.50 32.87 Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29*** 100.000 VARIES 4.6241 41.26 0.115264 0.115972 0.116727 *** *** 41.77 *** Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25 100.000 0.000 3.6499 264.29 0.125971 0.128270 0.130611 0.132995 0.135422 46.57 48.28 Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23 100.000 0.000 3.3501 240.36 0.113587 0.115489 0.117424 0.119391 41.90 22.19 Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26 100.000 VARIES 3.5868 16.38 0.014601 0.014863 0.015130 0.015401 0.015677 5.38 5.58 Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28 100.000 VARIES 3.7010 17.35 0.013345 0.013592 0.013843 0.014100 0.014360 4.87 5.05 Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28 100.000 VARIES 3.6601 10.14 0.008364 0.008517 0.008673 0.008832 0.008993 3.04 3.16 Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26*** 100.000 VARIES 2.3290 8.08 0.004378 0.004429 0.004481 *** *** 1.59 *** Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25 100.000 0.000 3.4498 234.98 0.117657 0.119687 0.121751 0.123851 0.125988 42.97 44.47 Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27*** 100.000 VARIES 3.8872 188.95 0.108321 0.108384 0.108449 *** *** 39.02 *** Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23 100.000 0.000 3.1491 212.64 0.105521 0.107183 0.108871 0.110585 38.49 32.97 Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28*** 100.000 VARIES 4.6926 43.30 0.121039 0.121581 0.122221 *** *** 43.69 *** Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23 100.000 0.000 3.1502 212.72 0.105556 0.107219 0.108907 0.110623 38.50 32.87 Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28*** 100.000 VARIES 4.6888 42.62 0.118994 0.119692 0.120406 *** *** 43.10 *** Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22 100.000 0.500 3.2799 38.27 0.107753 0.109292 28.62 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29*** 100.000 VARIES 4.6202 42.07 0.117375 0.117949 0.118580 *** *** 42.48 *** Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28*** 100.000 VARIES 4.8590 43.81 0.122324 0.123067 0.123828 *** *** 44.27 *** Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25*** 100.000 VARIES 3.7872 3.89 0.010777 0.010676 0.010573 *** *** 3.84 *** Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27*** 100.000 VARIES 3.6989 17.35 0.010360 0.010495 0.010586 *** *** 3.77 *** Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22 100.000 0.000 3.2498 233.22 0.111316 0.113124 40.29 Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23 100.000 0.000 3.2500 233.68 0.111324 0.113133 0.114971 40.42 20.12 Goldman Sachs Group, Inc 38150AM36 04/29/22 04/29/32 100.000 VARIES 4.0171 0.017696 0.016526 0.015333 0.014115 4.21 5.59 Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27*** 100.000 VARIES 3.6688 16.64 0.009779 0.009924 0.010046 *** *** 3.56 *** Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27*** 100.000 VARIES 4.0948 38.03 0.106251 0.106833 0.107427 *** *** 38.40 *** Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28*** 100.000 VARIES 4.9004 44.09 0.123268 0.124052 0.124854 *** *** 44.59 *** Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28*** 100.000 VARIES 4.6902 42.65 0.119056 0.119740 0.120440 *** *** 43.12 *** Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28*** 100.000 VARIES 4.1925 37.48 0.104623 0.105229 0.106045 *** *** 37.94 *** Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27 100.000 VARIES 3.6160 160.73 0.100222 0.100349 0.100454 0.100539 0.100606 36.14 36.20 Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27 100.000 VARIES 3.5643 156.26 0.098293 0.098455 0.098594 0.098713 0.098813 35.46 35.55 Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25*** 100.000 VARIES 3.9250 4.75 0.013061 0.012924 0.012785 *** *** 4.67 *** Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24 100.000 VARIES 3.1510 138.33 0.088101 0.088087 0.088040 0.087956 0.087840 31.71 31.65 Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23 100.000 0.000 3.3498 241.14 0.115466 0.117400 0.119367 41.92 21.25 Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22 100.000 0.000 3.1000 214.41 0.103557 0.105163 25.76 Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27*** 100.000 VARIES 4.6427 42.96 0.120049 0.120770 0.121507 *** *** 43.44 *** Goldman Sachs Group, Inc 38148TDB2 09/29/15 09/28/23 100.000 0.000 3.3000 227.26 0.111548 0.113388 0.115259 0.117161 40.83 31.12 Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23 100.000 0.000 3.1502 228.50 0.107209 0.108898 0.110613 39.00 16.48 Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25 100.000 0.000 3.6001 250.00 0.123876 0.126106 0.128376 0.130687 0.133039 45.41 47.06 Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30*** 100.000 VARIES 3.7833 3.61 0.010144 0.010123 0.010401 *** *** 3.71 *** Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28*** 100.000 VARIES 4.2915 38.04 0.105584 0.104472 0.107076 *** *** 38.52 *** Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27 100.000 VARIES 3.5451 150.37 0.097485 0.097658 0.097809 0.097941 0.098055 35.16 35.26 Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25 100.000 0.000 3.5000 256.89 0.121830 0.123962 0.126131 0.128339 0.130585 44.38 45.94 Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27 100.000 VARIES 3.5757 150.50 0.099254 0.099384 0.099487 0.099560 0.099610 35.77 35.84 Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27 100.000 VARIES 3.6040 152.34 0.099275 0.099442 0.099586 0.099710 0.099813 35.80 35.89 Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27*** 100.000 VARIES 3.6048 151.46 0.098980 0.099170 0.099337 *** *** 35.70 *** Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22 103.480 VARIES 4.8564 48.81 0.133703 22.06 HAMILTON OHIO CITY SCH 407774GJ1 09/10/20 12/01/25 93.492 0.000 1.2920 15.89 0.034087 0.034307 0.034528 0.034751 0.034976 12.32 12.48 HENDERSON TEX INDPT SCH 425308PA5 11/12/20 08/15/26 92.809 0.000 1.3001 13.77 0.033848 0.034068 0.034289 0.034512 0.034737 12.29 12.45 HENDERSON TEX INDPT SCH 425308NW9 11/12/20 08/15/22 98.865 0.000 0.6502 7.32 0.017943 0.018002 4.03 HENDERSON TEX INDPT SCH 425308NZ2 11/12/20 08/15/25 95.364 0.000 1.0000 10.87 0.026692 0.026825 0.026959 0.027094 0.027230 9.67 9.77 HENDERSON TEX INDPT SCH 425308NX7 11/12/20 08/15/23 97.956 0.000 0.7500 8.37 0.020525 0.020602 0.020679 0.020757 7.42 4.65 HENDERSON TEX INDPT SCH 425308NY5 11/12/20 08/15/24 96.681 0.000 0.9000 9.92 0.024337 0.024446 0.024556 0.024667 0.024778 8.81 8.89 HSBC USA INC 40441XPU8 10/20/22 10/20/25 100.000 0.000 5.0853 0.141258 0.144850 0.148533 10.03 52.02 HSBC USA INC 40441XGN4 08/31/22 09/02/25 100.000 0.000 4.1176 0.114378 0.114404 0.116759 0.119163 13.84 42.18 HSBC USA INC 40441X0Q7 08/23/22 08/25/25 100.000 0.000 3.9204 0.108900 0.108924 0.111059 0.113236 13.94 40.14 HSBC USA INC 40441XUW8 01/17/22 05/17/24 100.000 0.000 5.4491 0.151364 0.154113 0.158312 0.162625 0.167056 52.87 58.15 HSBC USA INC 40441XND8 09/23/22 09/23/25 100.000 0.000 4.1568 0.115467 0.117867 0.120316 11.32 42.48 HSBC USA INC 40441B744 12/05/22 12/04/24 100.000 0.000 5.2019 0.144497 0.148235 0.152090 3.76 52.90 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA INC 40441XQZ6 11/03/22 11/03/25 100.000 0.000 5.0247 0.139575 0.143082 0.146676 8.10 51.29 HSBC USA INC 40439J6A8 06/02/22 06/03/24 100.000 0.000 2.6129 0.072581 0.073534 0.074495 0.075468 15.20 26.70 HSBC USA INC 40441B827 11/30/22 11/24/28 100.000 0.000 4.4700 0.124167 0.126849 0.129684 3.85 45.39 HSBC USA INC 40441XSD3 11/03/22 05/03/24 100.000 0.000 5.2316 0.145322 0.149124 0.153024 8.43 53.45 HSBC USA INC 40441XSC5 10/31/22 04/30/24 100.000 0.000 5.2803 0.146675 0.150547 0.154522 8.95 53.98 HSBC USA INC 40441XSA9 11/08/22 12/08/23 100.000 0.000 5.5573 0.154369 0.155084 0.159394 8.20 53.04 HSBC USA INC 40441XKU3 09/30/22 09/30/25 100.000 0.000 4.9585 0.137736 0.141151 0.144650 12.53 50.83 HSBC USA INC 40441XKT6 10/05/22 10/06/25 100.000 0.000 4.9075 0.136319 0.139683 0.143110 11.72 50.26 HSBC USA INC 40441XSJ0 11/08/22 11/10/25 100.000 0.000 5.3365 0.148236 0.148280 0.152237 0.156299 7.86 54.50 HSBC USA INC 40441XTK6 11/25/22 05/28/24 100.000 0.000 5.5164 0.153233 0.153304 0.157532 0.161877 5.52 56.23 HSBC USA INC 40441XTJ9 12/05/22 03/05/24 100.000 0.000 5.4457 0.151269 0.153329 0.157504 3.93 55.55 HSBC USA INC 40441XTH3 11/25/22 02/26/24 100.000 0.000 5.5803 0.155008 0.157195 0.161581 5.58 57.02 HSBC USA INC 40441XTL4 12/05/22 06/05/24 100.000 0.000 5.3407 0.148353 0.152314 0.156382 3.86 54.33 HSBC USA INC 40441XUY4 11/28/22 11/28/25 100.000 0.000 5.0853 0.141258 0.144850 0.148533 4.66 51.74 HSBC USA, Inc. 40432X5T4 01/15/13 01/15/43 100.000 0.000 4.5776 500.20 0.186815 0.191091 0.195465 0.199939 0.204515 69.46 72.67 HSBC USA, Inc. 40435U3T9 02/04/20 02/05/24 100.000 0.000 1.7442 33.70 0.049732 0.050166 0.050604 0.051045 0.051490 18.11 18.43 HSBC USA, Inc. 40435U3S1 02/04/20 02/06/23 100.000 0.000 1.7448 33.72 0.049752 0.050186 0.050624 18.12 1.77 HSBC USA, Inc. 40435FQZ3 12/29/17 12/31/24 100.000 0.000 2.1006 87.31 0.063442 0.064108 0.064781 0.065462 0.066149 22.96 23.45 HSBC USA, Inc. 40435FR90 08/31/18 09/02/25 100.000 0.000 3.6706 129.06 0.113739 0.115827 0.117952 0.120117 0.122322 41.82 43.37 HSBC USA, Inc. 40435FZN0 05/02/18 05/02/23 100.000 0.000 3.6133 140.24 0.113770 0.115826 0.117918 41.57 14.27 HSBC USA, Inc. 40433UQV1 07/29/16 07/31/23 100.000 0.000 2.6252 151.92 0.083086 0.084176 0.085281 0.086401 30.44 18.03 HSBC USA, Inc. 40435FJ99 07/27/18 07/28/25 100.000 0.000 3.7400 135.46 0.116115 0.118286 0.120498 0.122751 0.125047 42.86 44.48 HSBC USA, Inc. 40435FB48 05/24/18 05/27/25 100.000 0.000 2.6745 100.47 0.081550 0.082641 0.083746 0.084866 0.086001 29.63 30.43 HSBC USA, Inc. 40435FRS8 02/02/18 02/02/23 100.000 VARIES 3.1727 123.94 0.088018 0.088055 0.088093 31.70 2.73 HSBC USA, Inc. 40435FAQ0 07/03/17 07/01/22 100.000 0.000 2.5570 120.97 0.079618 14.33 HSBC USA, Inc. 40435FJB4 10/31/17 04/28/23 100.000 0.000 2.7712 121.62 0.085923 0.087114 0.088321 31.30 10.33 HSBC USA, Inc. 40435FS24 08/31/18 08/31/23 100.000 0.000 3.5246 123.66 0.108723 0.110618 0.112589 0.114551 39.95 27.27 HSBC USA, Inc. 40433UQZ2 07/29/16 07/31/23 100.000 0.000 2.6252 151.92 0.083086 0.084176 0.085281 0.086401 30.44 18.03 HSBC USA, Inc. 40432X7E5 01/29/13 01/29/43 100.000 0.000 4.6460 506.55 0.190687 0.195117 0.199650 0.204288 0.209033 70.81 74.14 HSBC USA, Inc. 40433UZY5 11/10/16 11/10/22 100.000 0.000 2.5056 136.60 0.078828 0.079815 24.54 HSBC USA, Inc. 40435UEW0 02/22/19 02/22/24 100.000 0.000 3.3153 98.57 0.099981 0.101639 0.103324 0.105036 0.106777 36.72 37.95 HSBC USA, Inc. 40435FJL2 10/25/17 10/25/24 100.000 0.000 3.0894 136.87 0.097012 0.098511 0.100032 0.101578 0.103147 35.39 36.50 HSBC USA, Inc. 40435UEV2 02/22/19 02/22/24 100.000 0.000 3.3153 98.57 0.099981 0.101639 0.103324 0.105036 0.106777 36.72 37.95 HSBC USA, Inc. 40435FBB2 07/27/17 07/27/22 100.000 0.000 2.6657 124.41 0.082321 0.083418 17.16 HSBC USA, Inc. 40435FK22 07/27/18 07/27/23 100.000 0.000 3.5941 129.89 0.111097 0.113094 0.115126 0.117195 40.97 24.09 HSBC USA, Inc. 40435FJQ1 10/30/17 10/30/24 100.000 0.500 3.1256 137.00 0.096469 0.097976 0.099073 0.100622 0.101760 35.16 36.11 HSBC USA, Inc. 40435UNY6 06/19/19 06/20/22 100.000 0.000 2.3706 61.52 0.069851 11.80 HSBC USA, Inc. 40432XZ79 05/21/14 05/21/29*** 100.000 VARIES 3.9810 38.76 0.107874 0.108031 0.108191 *** *** 38.88 *** HSBC USA, Inc. 40432XHZ7 07/26/13 07/26/23*** 100.000 VARIES 1.5824 3.01 0.008410 0.008476 0.008543 *** *** 3.06 *** HSBC USA, Inc. 40435FTA5 02/28/18 02/28/25 100.000 0.000 3.5313 143.98 0.110876 0.112834 0.114826 0.116853 0.118917 40.75 42.21 HSBC USA, Inc. 40435FCC9 07/28/17 07/29/24 100.000 0.000 3.0414 142.92 0.095333 0.096782 0.098254 0.099748 0.101265 35.02 36.10 HSBC USA, Inc. 40434V780 07/13/16 06/30/23 100.000 0.000 2.5156 146.45 0.080106 0.081113 0.082133 29.02 14.70 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40433X316 08/12/13 08/14/23 100.000 0.000 3.8455 376.39 0.144904 0.147690 0.150530 0.153424 53.44 34.09 HSBC USA, Inc. 40435FTN7 02/08/18 02/09/23 100.000 0.000 3.1077 127.73 0.096172 0.097667 0.099184 35.32 3.77 HSBC USA, Inc. 40435FTR8 02/13/18 02/13/23 100.000 VARIES 3.1734 122.99 0.088037 0.088074 0.088112 31.71 3.70 HSBC USA, Inc. 40433BUB2 12/03/14 12/04/23 100.000 0.000 2.9962 234.30 0.102498 0.104033 0.105592 0.107174 37.26 35.45 HSBC USA, Inc. 40435FV46 07/31/18 08/01/23 100.000 0.000 3.6433 131.43 0.112792 0.114847 0.116939 0.119069 41.60 24.94 HSBC USA, Inc. 40435G725 08/31/17 08/30/24 100.000 0.000 2.8720 131.64 0.089418 0.090688 0.092005 0.093311 0.094666 32.73 33.68 HSBC USA, Inc. 40432XJY8 08/23/13 08/23/23*** 98.875 VARIES 1.6689 3.93 0.010988 0.011080 0.011172 *** *** 4.00 *** HSBC USA, Inc. 40433UTZ9 09/30/16 10/02/23 100.000 0.000 2.3972 133.36 0.075025 0.075924 0.076834 0.077755 27.33 20.99 HSBC USA, Inc. 40433UUA2 09/30/16 10/02/23 100.000 0.000 2.3972 133.36 0.075025 0.075924 0.076834 0.077755 27.33 20.99 HSBC USA, Inc. 40435FN29 07/09/18 07/10/23 100.000 0.000 3.5252 129.23 0.108755 0.110672 0.112622 0.114608 40.16 21.64 HSBC USA, Inc. 40433BEJ3 06/27/14 06/27/29*** 100.000 VARIES 4.0230 39.44 0.109720 0.109837 0.109957 *** *** 39.52 *** HSBC USA, Inc. 40432XKQ3 09/26/13 09/26/23*** 100.000 VARIES 3.9579 39.51 0.109789 0.109826 0.109864 *** *** 39.54 *** HSBC USA, Inc. 40435FW60 08/30/18 08/30/23 100.000 0.000 3.5443 124.39 0.109396 0.111313 0.113307 0.115293 40.20 27.44 HSBC USA, Inc. 40432XKX8 09/12/13 09/12/23*** 98.875 VARIES 1.6700 3.94 0.011017 0.011109 0.011202 *** *** 4.00 *** HSBC USA, Inc. 40434N283 06/03/16 05/26/23 100.000 0.000 2.4858 147.76 0.079062 0.080044 0.081039 28.71 11.75 HSBC USA, Inc. 40435FVW4 03/06/18 03/06/26 100.000 0.000 3.5803 145.20 0.112606 0.114622 0.116673 0.118762 0.120888 41.37 42.86 HSBC USA, Inc. 40435UAL8 11/16/18 11/16/23 100.000 2.000 3.7066 118.51 0.108482 0.109463 0.110462 0.111480 39.32 34.98 HSBC USA, Inc. 40435UAK0 11/20/18 11/20/23 100.000 0.000 3.7182 121.59 0.115354 0.117499 0.119683 0.121909 42.09 38.58 HSBC USA, Inc. 40432XLT6 09/30/13 10/02/23*** 100.000 VARIES 1.5394 2.78 0.007796 0.007856 0.007916 *** *** 2.83 *** HSBC USA, Inc. 40435UJQ8 04/02/19 04/04/22 100.000 0.000 2.5379 71.76 0.075096 6.98 HSBC USA, Inc. 40434V293 09/02/16 08/25/23 100.000 0.000 2.5349 143.73 0.079826 0.080838 0.081863 0.082900 29.18 19.34 HSBC USA, Inc. 40433UWA0 10/31/16 10/31/23 100.000 0.000 2.6044 143.14 0.082337 0.083409 0.084495 0.085595 29.97 25.46 HSBC USA, Inc. 40435F5S2 10/23/18 10/23/23 100.000 0.000 3.8181 128.23 0.118801 0.121069 0.123381 0.125736 43.49 36.45 HSBC USA, Inc. 40435F5R4 10/23/18 10/23/23 100.000 0.000 3.8181 128.23 0.118801 0.121069 0.123381 0.125736 43.49 36.45 HSBC USA, Inc. 40435FG43 06/29/18 06/29/23 100.000 0.000 3.5351 130.71 0.111010 0.112972 0.114969 40.32 20.46 HSBC USA, Inc. 40435FG35 06/29/18 06/30/25 100.000 0.000 3.7007 137.17 0.116886 0.119049 0.121252 0.123495 0.125780 42.47 44.06 HSBC USA, Inc. 40435B247 12/30/16 12/22/23 100.000 0.000 3.3412 180.32 0.109455 0.111284 0.113143 0.115033 39.77 40.05 HSBC USA, Inc. 40433UVZ6 10/31/16 10/31/23 100.000 0.000 2.6044 143.14 0.082337 0.083409 0.084495 0.085595 29.97 25.46 HSBC USA, Inc. 40434E127 03/03/16 02/24/23 100.000 0.000 2.1215 130.88 0.066149 0.066850 0.067559 24.12 3.58 HSBC USA, Inc. 40434G775 04/30/15 05/02/22 100.000 0.000 2.2886 163.91 0.073716 8.92 HSBC USA, Inc. 40433UFF8 12/31/15 01/02/24 100.000 0.000 1.6730 105.18 0.050937 0.051363 0.051792 0.052225 0.052662 18.57 18.88 HSBC USA, Inc. 40434C386 06/16/14 12/16/22 100.000 0.000 3.2386 274.17 0.114472 0.116325 39.83 HSBC USA, Inc. 40435B304 10/06/16 09/29/23 100.000 0.000 2.5061 139.32 0.078808 0.079795 0.080795 0.081807 28.73 21.84 HSBC USA INC 40441XDM9 07/05/22 07/05/24 100.000 0.000 3.6664 0.101844 0.103711 0.105613 17.92 37.66 HSBC USA, Inc. 40435FH91 08/09/18 08/09/23 100.000 VARIES 3.6010 121.93 0.099820 0.099871 0.099923 0.099975 35.96 21.79 HSBC USA, Inc. 40435FPC5 12/18/17 06/18/25 100.000 0.000 2.0994 87.95 0.063399 0.064064 0.064737 0.065416 0.066103 22.96 23.45 HSBC USA, Inc. 40435FXS1 04/30/18 05/01/23 100.000 0.000 3.7905 147.78 0.120092 0.122368 0.124687 43.92 14.96 HSBC USA, Inc. 40434K354 12/30/15 12/23/22 100.000 0.000 1.6731 105.19 0.051345 0.051774 18.15 HSBC USA INC 40441XDT4 07/07/22 07/08/24 100.000 0.000 3.8136 0.105933 0.107964 0.110023 18.43 39.21 HSBC USA, Inc. 40435FPK7 12/27/17 12/29/25 100.000 0.000 3.2733 139.09 0.103552 0.105247 0.106969 0.108720 0.110499 37.59 38.83 HSBC USA, Inc. 40435FPY7 01/31/18 01/31/25 100.000 0.000 3.4220 142.26 0.107043 0.108875 0.110738 0.112632 0.114560 39.42 40.78 HSBC USA, Inc. 40435G295 09/14/17 09/14/23 100.000 0.000 1.9320 86.14 0.057956 0.058516 0.059081 0.059652 21.09 15.05 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40432XNT4 12/04/13 12/04/28*** 100.000 VARIES 3.4249 32.87 0.091610 0.091835 0.092064 *** *** 33.03 *** HSBC USA, Inc. 40435G279 09/14/17 09/15/22 100.000 0.000 1.9322 86.16 0.057967 0.058527 14.82 HSBC USA, Inc. 40434E267 02/04/16 01/27/23 100.000 0.000 1.8122 112.48 0.055570 0.056074 0.056582 20.25 1.47 HSBC USA, Inc. 40435FZ34 09/28/18 09/28/23 100.000 0.000 3.7109 127.33 0.115103 0.117238 0.119414 0.121629 42.22 32.28 HSBC USA, Inc. 40435FZ26 09/28/18 09/29/25 100.000 0.000 3.8667 132.96 0.120499 0.122829 0.125204 0.127625 0.130092 44.23 45.96 HSBC USA, Inc. 40432X5F4 12/21/12 12/21/22 100.000 VARIES 1.3476 4.08 0.011444 0.011521 4.02 HSBC USA, Inc. 40435FHY6 10/12/17 10/12/22 100.000 0.000 2.6944 119.58 0.083303 0.084425 23.61 HSBC USA, Inc. 40436A347 02/28/19 02/24/23 100.000 0.000 3.2374 95.58 0.097410 0.098987 0.100589 35.76 5.33 HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27 92.155 0.000 1.4000 3.51 0.035839 0.036017 0.036269 0.036523 0.036779 13.00 13.18 HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26 94.447 0.000 1.1800 3.03 0.030958 0.031088 0.031271 0.031456 0.031641 11.22 11.35 HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25 96.116 0.000 1.0300 2.70 0.027501 0.027602 0.027744 0.027887 0.028030 9.95 10.06 HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24 97.885 0.000 0.7500 2.00 0.020392 0.020446 0.020523 0.020600 0.020677 7.37 7.42 HUTTO TEX INDPT SCH DIST 4484922U1 09/23/21 08/01/23 99.096 0.000 0.4900 1.32 0.013487 0.013511 0.013544 0.013577 4.87 2.85 ILLINOIS FIN AUTH EDL FA 452029AH4 11/01/18 11/01/23 94.876 6.010 7.2500 30.33 0.029872 0.030955 0.032077 0.033240 11.08 9.83 ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25 76.873 6.500 12.0451 128.15 0.285654 0.302857 0.321097 0.340435 0.360938 111.28 125.09 ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25 76.873 6.500 11.1575 180.95 0.281175 0.296861 0.313422 0.330907 0.349367 108.92 121.41 Illinois Student Asst Co 452281JD1 10/27/10 04/25/23*** 95.305 VARIES N/A 1.52 0.002711 0.002062 0.000676 *** *** 0.53 *** JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22 104.761 4.250 3.2383 144.32 0.090842 0.090401 29.90 JACKSONVILLE TEX INDPT 469736PL0 12/09/21 02/15/24 98.015 0.000 0.9203 0.55 0.025057 0.025099 0.025214 0.025330 0.025447 9.05 9.13 JACKSONVILLE TEX INDPT 469736PK2 12/09/21 02/15/23 99.363 0.000 0.5407 0.33 0.014923 0.014938 0.014979 5.38 0.66 JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28 90.653 0.000 1.3001 11.24 0.032982 0.033197 0.033413 0.033630 0.033848 11.97 12.13 JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27 93.165 0.000 1.0801 9.59 0.028125 0.028277 0.028430 0.028583 0.028738 10.19 10.30 JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25 96.591 0.000 0.7600 6.99 0.020481 0.020558 0.020637 0.020715 0.020794 7.41 7.46 JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24 97.673 0.000 0.6602 6.14 0.017979 0.018039 0.018098 0.018158 0.018218 6.50 6.54 JOHNSON & UN CNTYS ILL 478169AA3 07/19/17 12/01/27*** 100.000 5.700 5.6760 254.84 0.157856 0.157843 0.157829 *** *** 56.83 *** JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25 95.042 0.000 1.0381 12.77 0.027666 0.027809 0.027954 0.028099 0.028245 10.02 10.13 JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24 96.406 0.000 0.9380 11.70 0.025334 0.025453 0.025572 0.025692 0.025813 9.17 9.26 JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26 92.615 0.000 1.3020 15.63 0.033896 0.034116 0.034338 0.034562 0.034787 12.30 12.46 JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27 90.795 0.000 1.4021 16.51 0.035815 0.036066 0.036319 0.036574 0.036830 13.01 13.19 JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28 87.771 0.000 1.8099 17.85 0.044719 0.045124 0.045532 0.045944 0.046360 16.28 16.58 JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25 95.255 0.000 1.1500 12.28 0.030688 0.030865 0.031042 0.031221 0.031400 11.13 11.26 JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27 90.367 0.000 1.6300 16.54 0.041411 0.041748 0.042088 0.042431 0.042777 15.06 15.31 JOURDANTON TEX INDPT SCH 481124FJ9 11/19/20 02/15/26 92.951 0.000 1.4001 14.60 0.036524 0.036779 0.037037 0.037296 0.037557 13.26 13.45 JOURDANTON TEX INDPT SCH 481124FE0 11/19/20 02/15/22 99.260 0.000 0.6003 6.67 0.016626 0.73 JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24 96.976 0.000 0.9502 10.32 0.025777 0.025899 0.026022 0.026146 0.026270 9.34 9.42 JOURDANTON TEX INDPT SCH 481124FF7 11/19/20 02/15/23 98.447 0.000 0.7002 7.72 0.019248 0.019316 0.019383 6.96 0.85 JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29 85.363 0.000 1.9300 18.52 0.046418 0.046866 0.047318 0.047775 0.048236 16.91 17.24 JPMORGAN CHASE FINANCE 48133DJ68 06/23/22 06/23/25 100.000 0.000 3.4100 0.094722 0.096337 0.097980 0.099650 17.82 35.00 JPMORGAN CHASE FINANCE 48133GC92 07/06/22 07/03/25 100.000 0.000 4.8100 0.133611 0.136771 0.140060 23.38 49.82 JPMORGAN CHASE FINANCE 48133GTK9 07/06/22 07/03/25 100.000 0.000 4.8100 0.133611 0.136771 0.140060 23.38 49.82 JPMORGAN CHASE FINANCE 48133GTD5 06/30/22 07/01/27 100.000 0.000 5.0100 0.142672 0.142672 0.149910 25.19 52.01 JPMORGAN CHASE FINANCE 48133GNZ2 07/06/22 07/06/26 100.000 0.000 4.9300 0.136944 0.140320 0.143779 23.97 51.10 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMORGAN CHASE FINANCE 48133GNR0 06/30/22 07/02/25 100.000 0.000 4.8100 0.133611 0.133647 0.136861 0.140153 24.19 49.86 JPMORGAN CHASE FINANCE 48133GNV1 07/06/22 07/03/25 100.000 0.000 4.8100 0.133611 0.136771 0.140060 23.38 49.82 JPMORGAN CHASE FINANCE 48133GNX7 06/30/22 07/02/25 100.000 0.000 4.8100 0.133611 0.133647 0.136861 0.140153 24.19 49.86 JPMORGAN CHASE FINANCE 48133GPA5 07/06/22 07/06/27 100.000 0.000 5.0100 0.139167 0.142653 0.146226 24.35 51.96 JPMORGAN CHASE FINANCE 48133GPC1 06/30/22 07/01/27 100.000 0.000 5.0100 0.142672 0.142672 0.149910 25.19 52.01 JPMORGAN CHASE FINANCE 48133LHN5 07/11/22 07/11/24 100.000 0.000 4.6100 0.128056 0.131007 0.134027 21.77 47.65 JP Morgan Chase & Co. 48125UUT7 08/31/15 08/31/25*** 100.000 VARIES 2.5712 2.95 0.008235 0.008205 0.008448 *** *** 3.03 *** JP Morgan Chase & Co. 48126DVG1 02/28/13 02/28/23*** 100.000 VARIES 3.2856 35.39 0.098324 0.097415 0.099784 *** *** 35.90 *** JP Morgan Chase & Co. 48125UUL4 08/31/15 08/31/35*** 100.000 VARIES 4.2124 41.79 0.116986 0.118170 0.119379 *** *** 42.62 *** JP Morgan Chase & Co. 48126D3X5 05/31/13 05/31/23*** 100.000 VARIES 3.5785 39.20 0.110056 0.110981 0.111922 *** *** 39.84 *** JP Morgan Chase & Co. 48126DV89 05/17/13 05/17/28*** 100.000 VARIES 3.8747 34.38 0.096269 0.096959 0.097662 *** *** 34.84 *** JP Morgan Chase & Co. 48125UTG7 06/30/15 06/30/30*** 100.000 VARIES 4.4810 39.92 0.111148 0.111320 0.111758 *** *** 40.04 *** JP Morgan Chase & Co. 48128GYV6 12/20/18 12/20/28 100.000 VARIES 3.6202 15.72 0.013078 0.013314 0.013555 0.013801 0.014051 4.76 4.93 JP Morgan Chase & Co. 48128GYU8 12/19/18 11/10/36 47.489 0.000 4.2056 63.94 0.062574 0.063890 0.065233 0.066605 0.068006 22.90 23.87 JP Morgan Chase & Co. 48128GYQ7 11/27/18 11/27/68 12.184 0.000 4.2547 16.96 0.016338 0.016686 0.017041 0.017403 0.017774 5.97 6.22 JP Morgan Chase & Co. 48126NHJ9 07/31/13 07/31/23*** 100.000 VARIES 3.9757 43.67 0.122005 0.123194 0.124406 *** *** 44.50 *** JP Morgan Chase & Co. 48125XTB2 06/15/11 06/15/23*** 100.000 VARIES 5.0712 51.22 0.141821 0.141496 0.141186 *** *** 50.99 *** JP Morgan Chase & Co. 48125XKM7 04/08/11 04/08/22 100.000 VARIES 5.1602 51.94 0.143805 13.95 JP Morgan Chase & Co. 48130WND9 01/31/19 02/02/26 100.000 0.000 3.7407 114.30 0.114019 0.116152 0.118324 0.120537 0.122792 42.07 43.66 JP Morgan Chase & Co. 48126DS59 04/30/13 04/30/28*** 100.000 VARIES 3.8928 34.54 0.096525 0.097127 0.097741 *** *** 34.93 *** JP Morgan Chase & Co. 48126DJ91 04/30/13 04/28/23*** 100.000 VARIES 3.1390 34.08 0.095473 0.096197 0.096933 *** *** 34.59 *** JP Morgan Chase & Co. 48126NWV5 10/31/13 10/31/23*** 100.000 VARIES 3.8580 41.76 0.117041 0.118039 0.119055 *** *** 42.44 *** JP Morgan Chase & Co. 48126N5L7 03/28/14 03/28/29*** 100.000 VARIES 4.4199 41.56 0.115537 0.115645 0.115929 *** *** 41.65 *** JP Morgan Chase & Co. 48126DZQ5 03/28/13 03/31/23*** 100.000 VARIES 3.3453 36.71 0.102750 0.103569 0.104439 *** *** 37.29 *** JP Morgan Chase & Co. 48130W5U1 03/29/19 03/31/26 100.000 0.000 3.2713 93.57 0.098558 0.100170 0.101808 0.103474 0.105166 36.07 37.26 JP Morgan Chase & Co. 48128GF88 05/24/17 05/24/27*** 100.000 VARIES 2.5870 16.20 0.009671 0.009796 0.009923 *** *** 3.51 *** JP Morgan Chase & Co. 48126DQL6 01/31/13 01/31/23*** 100.000 VARIES 3.1823 34.23 0.095494 0.096138 0.097667 *** *** 34.82 *** JP Morgan Chase & Co. 48125UY71 09/18/15 09/18/30*** 100.000 VARIES 2.6025 4.01 0.011040 0.011183 0.011329 *** *** 4.03 *** JP Morgan Chase & Co. 48126NMH7 08/30/13 08/31/23*** 100.000 VARIES 4.2968 47.00 0.130786 0.129939 0.133428 *** *** 47.91 *** JP Morgan Chase & Co. 48127F731 04/30/14 04/30/24 100.000 0.000 3.8108 335.84 0.140498 0.143176 0.145904 0.148684 0.151517 51.39 53.37 JP Morgan Chase & Co. 48130U2N4 10/31/18 10/31/25 100.000 0.000 4.1115 137.73 0.129039 0.131692 0.134399 0.137162 0.139982 47.26 49.22 JP Morgan Chase & Co. 48130UU29 11/30/18 11/28/25 100.000 0.000 4.1207 134.18 0.129333 0.131998 0.134718 0.137493 0.140326 47.22 49.18 JP Morgan Chase & Co. 48126NCW5 06/28/13 06/30/23*** 100.000 VARIES 4.3049 47.36 0.133421 0.134738 0.136083 *** *** 48.27 *** JP Morgan Chase & Co. 46625HME7 07/31/15 07/31/35*** 100.000 VARIES 4.4624 45.32 0.126653 0.127565 0.128496 *** *** 46.04 *** JP Morgan Chase & Co. 48126NTC1 11/20/13 11/20/28*** 100.000 VARIES 4.6982 43.79 0.122436 0.123213 0.124009 *** *** 44.28 *** JP Morgan Chase & Co. 48126NSZ1 10/31/13 10/31/28*** 100.000 VARIES 4.4385 41.32 0.115399 0.116072 0.116760 *** *** 41.75 *** JPMORGAN CHASE FINANCE 48133NXZ6 10/12/22 04/11/24 100.000 0.000 4.7400 0.131667 0.134770 0.137964 10.40 48.46 JPMORGAN CHASE FINANCE 48133ME71 09/30/22 10/02/29 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 13.38 54.32 JPMORGAN CHASE FINANCE 48133MDX5 10/19/22 10/21/24 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 9.70 49.56 JPMORGAN CHASE FINANCE 48133MDL1 09/28/22 09/24/25 100.000 0.000 4.9800 0.138333 0.141701 0.145230 12.87 51.08 JPMORGAN CHASE FINANCE 48133M5M8 10/05/22 10/05/27 100.000 0.000 5.1900 0.144167 0.147908 0.151746 12.40 53.23 JPMORGAN CHASE FINANCE 48133NRB6 10/26/22 10/26/28 100.000 0.000 5.2600 0.146111 0.149954 0.153898 9.50 53.80 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMORGAN CHASE FINANCE 48133NA32 10/14/22 04/16/24 100.000 0.000 4.7400 0.131667 0.131701 0.134823 0.138018 10.14 48.45 JPMORGAN CHASE FINANCE 48133M5B2 10/05/22 10/05/27 100.000 0.000 5.1900 0.144167 0.147908 0.151746 12.40 53.23 JPMORGAN CHASE FINANCE 48133NRE0 10/26/22 10/26/26 100.000 0.000 5.1000 0.141667 0.145279 0.148984 9.21 52.13 JPMORGAN CHASE FINANCE 48133NAU2 09/27/22 09/17/27 100.000 0.000 5.1900 0.144167 0.147700 0.151533 13.55 53.30 JPMORGAN CHASE FINANCE 48133M6A3 10/05/22 10/05/27 100.000 0.000 5.0100 0.139167 0.142653 0.146226 11.97 51.33 JPMORGAN CHASE FINANCE 48133M6X3 09/30/22 10/02/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 12.59 51.05 JPMORGAN CHASE FINANCE 48133MYT1 09/21/22 09/21/26 100.000 0.000 5.1000 0.141667 0.145279 0.148984 14.17 52.38 JPMORGAN CHASE FINANCE 48133MC73 09/28/22 09/28/26 100.000 0.000 4.9300 0.136944 0.140320 0.143779 12.74 50.54 JPMORGAN CHASE FINANCE 48133MC57 09/28/22 09/28/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 13.12 52.12 JPMORGAN CHASE FINANCE 48133NEZ7 10/05/22 10/03/25 100.000 0.000 4.9800 0.138333 0.141740 0.145269 11.90 51.02 JPMORGAN CHASE FINANCE 48133MQ60 09/30/22 09/30/27 100.000 0.000 5.1900 0.144167 0.147908 0.151746 13.12 53.26 JPMORGAN CHASE FINANCE 48133LCE0 08/03/22 08/01/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 19.77 49.64 JPMORGAN CHASE FINANCE 48133LCA8 08/03/22 08/01/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 19.77 49.64 JPMORGAN CHASE FINANCE 48133MFW5 08/25/22 09/27/23 100.000 0.000 3.6100 0.100278 0.100600 0.102415 12.67 27.09 JPMORGAN CHASE FINANCE 48133MGT1 08/18/22 08/20/24 100.000 0.000 4.6100 0.128056 0.128088 0.131041 0.134061 17.04 47.43 JPMORGAN CHASE FINANCE 48133MPW4 08/24/22 08/22/24 100.000 0.000 4.6100 0.128056 0.130974 0.133993 16.26 47.39 JPMORGAN CHASE FINANCE 48133MPV6 08/24/22 08/22/24 100.000 0.000 4.6100 0.128056 0.130974 0.133993 16.26 47.39 JPMORGAN CHASE FINANCE 48133MHH6 08/18/22 08/20/24 100.000 0.000 4.6100 0.128056 0.128088 0.131041 0.134061 17.04 47.43 JPMORGAN CHASE FINANCE 48133MHT0 08/18/22 08/19/27 100.000 0.000 5.0100 0.139167 0.142672 0.146246 18.51 51.67 JPMORGAN CHASE FINANCE 48133LF72 08/24/22 08/24/26 100.000 0.000 4.9300 0.136944 0.140320 0.143779 17.39 50.78 JPMORGAN CHASE FINANCE 48133LF64 08/24/22 08/24/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 17.92 52.37 JPMORGAN CHASE FINANCE 48133E181 08/03/22 08/05/25 100.000 0.000 4.8100 0.133611 0.133647 0.136861 0.140153 19.78 49.64 JPMORGAN CHASE FINANCE 48133LCH3 08/03/22 08/03/26 100.000 0.000 4.9300 0.136944 0.140320 0.143779 20.27 50.92 JPMORGAN CHASE FINANCE 48133LCJ9 08/03/22 08/03/27 100.000 0.000 5.0100 0.139167 0.142653 0.146226 20.60 51.77 JPMORGAN CHASE FINANCE 48133L2U5 08/10/22 09/08/23 100.000 0.000 3.7400 0.103889 0.104191 0.106139 14.68 26.09 JPMORGAN CHASE FINANCE 48133LUQ3 08/03/22 08/01/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 19.77 49.64 JPMORGAN CHASE FINANCE 48133LX23 08/10/22 08/08/24 100.000 0.000 4.6100 0.128056 0.130974 0.133993 18.06 47.47 JPMORGAN CHASE FINANCE 48133LX49 08/10/22 08/08/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 18.84 49.60 JPMORGAN CHASE FINANCE 48133LFC1 08/03/22 08/01/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 19.77 49.64 JPMorgan Chase Financial 48130WJW2 12/19/18 12/19/23 100.000 0.000 3.8702 123.32 0.120607 0.122941 0.125320 0.127745 43.90 44.05 JPMorgan Chase Financial 48132HKM3 12/24/19 12/22/23 100.000 0.000 2.2002 45.18 0.063843 0.064545 0.065255 0.065973 23.12 23.03 JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24 100.000 0.000 2.5905 63.89 0.075734 0.076715 0.077709 0.078715 0.079735 27.74 28.46 JPMorgan Chase Financial 48132C3P6 08/05/19 04/29/22 100.000 0.000 2.4505 60.38 0.071877 8.48 JPMorgan Chase Financial 48132C3Q4 08/05/19 07/29/22 100.000 0.000 2.4606 60.61 0.071747 0.072630 15.08 JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24 100.000 0.000 2.5905 63.89 0.075734 0.076715 0.077709 0.078715 0.079735 27.74 28.46 JPMorgan Chase Financial 48130UE92 10/31/18 10/31/22 100.000 0.000 3.6920 122.98 0.114450 0.116563 34.60 JPMORGAN CHASE FINANCE 48133DZS2 04/05/22 04/03/25 100.000 0.000 2.1708 0.060300 0.060948 0.061609 0.062278 16.10 22.18 JPMORGAN CHASE FINANCE 48133DZT0 04/05/22 04/05/27 100.000 0.000 2.6911 0.074752 0.075758 0.076777 0.077810 19.97 27.63 JPMORGAN CHASE FINANCE 48133DZZ6 04/05/22 04/03/25 100.000 0.000 2.1708 0.060300 0.060948 0.061609 0.062278 16.10 22.18 JPMorgan Chase Financial 48130UMA0 09/27/18 09/28/23 100.000 0.000 3.8719 133.27 0.120678 0.123014 0.125396 0.127824 44.30 33.92 JPMorgan Chase Financial 48132K3E3 06/03/20 05/31/23 100.000 0.000 2.7309 43.74 0.078989 0.080068 0.081161 28.70 12.09 JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25 100.000 0.000 2.3804 44.57 0.068929 0.069749 0.070580 0.071420 0.072270 25.01 25.61 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132K3G8 06/03/20 05/31/23 100.000 0.000 2.7309 43.74 0.078989 0.080068 0.081161 28.70 12.09 JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25 100.000 0.000 3.8909 140.87 0.121325 0.123685 0.126091 0.128544 0.131045 44.82 46.58 JPMorgan Chase Financial 48130U4D4 11/05/18 10/31/23 100.000 0.000 3.8416 127.63 0.119553 0.121850 0.124190 0.126576 43.74 37.56 JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26 100.000 0.000 2.5004 46.84 0.072087 0.072988 0.073901 0.074825 0.075760 26.34 27.00 JPMorgan Chase Financial 48130U4E2 11/05/18 10/31/23 100.000 0.000 3.8416 127.63 0.119553 0.121850 0.124190 0.126576 43.74 37.56 JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27 100.000 0.000 2.6405 49.52 0.076279 0.077286 0.078307 0.079340 0.080388 27.90 28.64 JPMorgan Chase Financial 48130U4F9 11/05/18 10/31/23 100.000 0.000 3.8416 127.63 0.119553 0.121850 0.124190 0.126576 43.74 37.56 JPMORGAN CHASE FINANCE 48133F7C3 06/03/22 06/05/25 100.000 0.000 3.4100 0.094722 0.094740 0.096355 0.097998 0.099669 19.75 35.07 JPMorgan Chase Financial 48132HTV4 01/31/20 01/31/22 100.000 0.000 2.1007 40.93 0.060210 1.75 JPMorgan Chase Financial 48130U4G7 11/05/18 10/31/23 100.000 0.000 3.8416 127.63 0.119553 0.121850 0.124190 0.126576 43.74 37.56 JPMorgan Chase Financial 48132MSE2 07/31/20 08/02/27 100.000 0.000 3.0406 43.78 0.087064 0.088388 0.089732 0.091096 0.092481 31.98 32.96 JPMorgan Chase Financial 48130U4H5 11/05/18 10/31/23 100.000 0.000 3.8416 127.63 0.119553 0.121850 0.124190 0.126576 43.74 37.56 JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25 100.000 0.000 3.8909 140.87 0.121325 0.123685 0.126091 0.128544 0.131045 44.82 46.58 JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26 100.000 0.000 2.6396 54.23 0.077292 0.078312 0.079345 0.080393 0.081454 28.01 28.75 JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24 100.000 0.000 3.1311 86.22 0.093977 0.095448 0.096943 0.098460 0.100002 34.28 35.36 JPMORGAN CHASE FINANCE 48133FYV1 06/03/22 06/04/26 100.000 0.000 3.5700 0.099167 0.100947 0.102749 0.104583 20.67 36.76 JPMorgan Chase Financial 48130W2J9 03/12/19 07/12/22 100.000 0.000 3.0703 89.19 0.091572 0.092977 17.74 JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25 100.000 0.000 1.9604 36.26 0.056053 0.056603 0.057158 0.057718 0.058284 20.41 20.82 JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25 100.000 0.000 1.9604 36.26 0.056053 0.056603 0.057158 0.057718 0.058284 20.41 20.82 JPMORGAN CHASE FINANCE 48133GKM4 06/07/22 06/07/23 100.000 0.000 2.7700 0.076944 0.078010 15.72 12.17 JPMORGAN CHASE FINANCE 48133F7H2 05/31/22 05/30/25 100.000 0.000 3.4100 0.094722 0.096337 0.097980 0.099650 20.04 35.08 JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24 100.000 0.000 3.8413 116.22 0.117326 0.119579 0.121876 0.124217 0.126602 43.29 44.97 JPMorgan Chase Financial 48130U4J1 11/05/18 10/31/23 100.000 0.000 3.8416 127.63 0.119553 0.121850 0.124190 0.126576 43.74 37.56 JPMorgan Chase Financial 48132H2W1 03/04/20 11/30/22 100.000 0.000 1.7402 32.14 0.049818 0.050252 16.47 JPMorgan Chase Financial 48130U4K8 10/10/18 10/10/23 100.000 0.000 3.8717 131.69 0.120660 0.122995 0.125376 0.127803 44.24 35.42 JPMORGAN CHASE FINANCE 48133GKN2 06/07/22 06/05/25 100.000 0.000 3.4100 0.094722 0.096319 0.097962 0.099632 19.36 35.06 JPMorgan Chase Financial 48132MSH5 08/05/20 11/05/24 100.000 0.000 2.7803 39.62 0.079945 0.081057 0.082184 0.083326 0.084485 29.11 29.92 JPMorgan Chase Financial 48132H2Y7 03/04/20 02/28/23 100.000 0.000 1.7504 32.33 0.049896 0.050333 0.050773 18.15 2.89 JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25 100.000 0.000 2.3402 46.69 0.067316 0.068103 0.068900 0.069706 0.070522 24.64 25.22 JPMorgan Chase Financial 48132H2X9 03/04/20 02/28/23 100.000 0.000 1.7536 32.39 0.049990 0.050428 0.050870 18.18 2.90 JPMorgan Chase Financial 48132MSJ1 07/31/20 08/02/27 100.000 0.000 3.0406 43.78 0.087064 0.088388 0.089732 0.091096 0.092481 31.98 32.96 JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27*** 100.000 VARIES 2.4049 11.35 0.006910 0.006992 0.007077 *** *** 2.52 *** JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25 100.000 0.000 1.9626 36.30 0.056118 0.056669 0.057225 0.057787 0.058354 20.44 20.84 JPMorgan Chase Financial 48132CFB4 05/31/19 05/31/22 100.000 0.000 2.8011 74.60 0.083411 12.43 JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24 100.000 0.000 2.8505 75.54 0.084952 0.086162 0.087390 0.088636 0.089899 30.88 31.76 JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25 100.000 0.000 3.8909 140.87 0.121325 0.123685 0.126091 0.128544 0.131045 44.82 46.58 JPMorgan Chase Financial 46647MRM7 04/25/18 04/25/23 100.000 0.000 3.6617 143.04 0.115488 0.117602 0.119756 42.24 13.65 JPMorgan Chase Financial 48132CFD0 05/31/19 11/30/22 100.000 0.000 2.8805 76.78 0.085945 0.087182 28.50 JPMorgan Chase Financial 48130WLN9 12/24/18 12/22/23 100.000 0.000 3.8705 122.73 0.120591 0.122924 0.125303 0.127728 43.88 44.42 JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26 100.000 0.000 3.4005 91.14 0.102757 0.104504 0.106281 0.108088 0.109925 37.42 38.70 JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24 100.000 0.000 3.1310 83.68 0.093995 0.095467 0.096961 0.098479 0.100021 34.20 35.27 JPMorgan Chase Financial 48132HMH2 02/05/20 01/31/23 100.000 0.000 2.1108 40.83 0.060492 0.061131 0.061776 22.09 1.79 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132HMG4 02/05/20 10/31/22 100.000 0.000 2.1004 40.65 0.060501 0.061136 18.20 JPMorgan Chase Financial 48132MSW2 08/05/20 08/03/23 100.000 0.000 2.7311 38.88 0.077939 0.079003 0.080082 0.081176 28.57 17.17 JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25 100.000 0.000 2.4900 51.10 0.072697 0.073602 0.074519 0.075446 0.076386 26.34 27.00 JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26 100.000 0.000 2.6396 54.23 0.077292 0.078312 0.079345 0.080393 0.081454 28.01 28.75 JPMorgan Chase Financial 48132H3H3 02/28/20 02/28/23 100.000 0.000 1.7503 32.62 0.049906 0.050343 0.050783 18.15 2.89 JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25 100.000 0.000 2.7505 63.50 0.080692 0.081802 0.082927 0.084067 0.085223 29.45 30.27 JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24 100.000 0.000 2.2798 46.75 0.065910 0.066661 0.067421 0.068189 0.068967 24.00 24.55 JPMorgan Chase Financial 48132C4Z3 07/17/19 01/18/22 100.000 0.000 2.1209 53.18 0.061455 1.04 JPMorgan Chase Financial 48132H3G5 02/28/20 11/30/22 100.000 0.000 1.7401 32.44 0.049830 0.050263 16.47 JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26 100.000 0.000 2.8905 66.81 0.085036 0.086265 0.087512 0.088777 0.090060 31.06 31.96 JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25 100.000 0.000 1.9606 36.60 0.056079 0.056629 0.057184 0.057744 0.058310 20.42 20.83 JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24 100.000 0.000 2.5908 59.73 0.075770 0.076751 0.077746 0.078753 0.079773 27.63 28.35 JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25 100.000 0.000 3.9304 146.45 0.125098 0.127557 0.130064 0.132620 0.135226 45.50 47.31 JPMorgan Chase Financial 48132F5V4 12/03/19 05/31/22 100.000 0.000 2.0803 43.95 0.060218 8.97 JPMorgan Chase Financial 48132MCQ2 06/30/20 06/30/27 100.000 0.000 3.0400 46.39 0.088355 0.089698 0.091061 0.092445 0.093850 32.05 33.03 JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24 100.000 0.000 2.3202 49.11 0.067475 0.068258 0.069050 0.069851 0.070661 24.48 25.05 JPMORGAN CHASE FINANCE 48133FZW8 05/25/22 05/24/29 100.000 0.000 3.8000 0.105556 0.107550 0.109593 0.111676 22.87 39.24 JPMorgan Chase Financial 48129MM60 07/25/18 07/25/23 100.000 0.000 3.6610 132.67 0.113388 0.115464 0.117577 0.119730 41.85 24.37 JPMorgan Chase Financial 48132MCS8 06/30/20 06/30/25 100.000 0.000 2.8198 42.98 0.081688 0.082839 0.084007 0.085192 0.086393 29.62 30.46 JPMorgan Chase Financial 48132HMV1 01/31/20 10/31/22 100.000 0.000 2.1002 40.94 0.060511 0.061146 18.21 JPMorgan Chase Financial 48130WV24 05/03/19 01/31/22 100.000 0.000 2.7705 76.01 0.081856 2.37 JPMorgan Chase Financial 48132MCU3 06/30/20 06/30/25 100.000 0.000 2.8198 42.98 0.081688 0.082839 0.084007 0.085192 0.086393 29.62 30.46 JPMorgan Chase Financial 48130WV32 05/03/19 04/29/22 100.000 0.000 2.8015 76.87 0.083399 9.84 JPMorgan Chase Financial 48132HMX7 01/31/20 01/31/23 100.000 0.000 2.1102 41.12 0.060492 0.061130 0.061775 22.09 1.79 JPMorgan Chase Financial 48130WV40 05/03/19 04/29/22 100.000 0.000 2.8015 76.87 0.083399 9.84 JPMorgan Chase Financial 48132M2E0 09/03/20 12/05/24 100.000 0.000 2.7805 37.38 0.079962 0.081074 0.082201 0.083344 0.084503 29.04 29.86 JPMorgan Chase Financial 48132M2H3 08/31/20 08/31/27 100.000 0.000 3.0406 41.17 0.087049 0.088358 0.089716 0.091065 0.092465 31.90 32.88 JPMorgan Chase Financial 48132HML3 02/05/20 01/31/23 100.000 0.000 2.1108 40.83 0.060492 0.061131 0.061776 22.09 1.79 JPMorgan Chase Financial 48130UWQ4 06/29/21 06/29/28 100.000 0.000 1.0202 5.16 0.028483 0.028628 0.028774 0.028921 0.029069 10.28 10.39 JPMorgan Chase Financial 48132M2F7 09/03/20 03/05/25 100.000 0.000 2.7911 37.51 0.079722 0.080835 0.081963 0.083107 0.084267 29.16 29.98 JPMorgan Chase Financial 48132HMK5 02/05/20 01/31/23 100.000 0.000 2.1108 40.83 0.060492 0.061131 0.061776 22.09 1.79 JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25 100.000 0.000 2.4004 51.12 0.069940 0.070780 0.071629 0.072489 0.073359 25.38 25.99 JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25 100.000 0.000 2.3404 45.35 0.067300 0.068087 0.068884 0.069690 0.070506 24.61 25.19 JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24 100.000 0.000 2.2505 47.87 0.065379 0.066114 0.066858 0.067610 0.068371 23.71 24.25 JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25 100.000 0.000 2.3404 45.35 0.067300 0.068087 0.068884 0.069690 0.070506 24.61 25.19 JPMorgan Chase Financial 48130U5P6 10/11/18 10/12/23 100.000 0.000 3.8719 131.58 0.120678 0.123014 0.125396 0.127824 44.24 35.67 JPMorgan Chase Financial 48132F6H4 12/03/19 11/30/22 100.000 0.000 2.1009 44.39 0.060838 0.061477 20.13 JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26 100.000 0.000 2.6400 56.33 0.077287 0.078308 0.079341 0.080389 0.081450 28.07 28.82 JPMorgan Chase Financial 48132MCL3 06/30/20 06/30/27 100.000 0.000 3.0400 46.39 0.088355 0.089698 0.091061 0.092445 0.093850 32.05 33.03 JPMorgan Chase Financial 48130WMQ1 12/31/18 12/29/23 100.000 0.000 3.8703 122.00 0.120599 0.122933 0.125312 0.127737 43.85 45.30 JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24 100.000 0.000 2.1403 50.70 0.062020 0.062676 0.063354 0.064025 0.064718 22.61 23.09 JPMorgan Chase Financial 48132HF98 02/28/20 02/28/22 100.000 0.000 2.1016 39.27 0.060239 3.43 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132FPT7 10/04/19 07/07/22 100.000 0.000 1.8407 41.94 0.052805 0.053291 9.91 JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24 100.000 0.000 2.1904 46.57 0.063555 0.064251 0.064955 0.065666 0.066385 23.05 23.56 JPMorgan Chase Financial 48132H4H2 02/28/20 11/30/22 100.000 0.000 2.1104 39.44 0.060825 0.061467 20.13 JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24 100.000 0.000 3.1311 86.22 0.093977 0.095448 0.096943 0.098460 0.100002 34.28 35.36 JPMORGAN CHASE FINANCE 48133DD72 03/29/22 03/28/24 100.000 0.000 3.0930 0.085917 0.087238 0.088587 0.089957 23.49 31.90 JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24 100.000 0.000 3.1311 86.22 0.093977 0.095448 0.096943 0.098460 0.100002 34.28 35.36 JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25 100.000 0.000 2.3404 45.68 0.067321 0.068109 0.068906 0.069712 0.070528 24.62 25.20 JPMorgan Chase Financial 48132H4J8 02/28/20 11/30/23 100.000 0.000 2.1703 40.58 0.062615 0.063295 0.063982 0.064676 22.71 21.17 JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26 100.000 0.000 3.2710 91.69 0.098558 0.100170 0.101808 0.103473 0.105166 36.00 37.19 JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26 100.000 0.000 2.6400 56.33 0.077287 0.078308 0.079341 0.080389 0.081450 28.07 28.82 JPMorgan Chase Financial 48132MCX7 07/06/20 06/30/23 100.000 0.000 2.7300 41.12 0.078946 0.080024 0.081116 28.62 14.52 JPMorgan Chase Financial 48132MCY5 07/06/20 06/30/23 100.000 0.000 2.7300 41.12 0.078946 0.080024 0.081116 28.62 14.52 JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24 100.000 0.000 2.3202 49.11 0.067475 0.068258 0.069050 0.069851 0.070661 24.48 25.05 JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25 100.000 0.000 2.3804 44.57 0.068929 0.069749 0.070580 0.071420 0.072270 25.01 25.61 JPMorgan Chase Financial 48132F7L4 12/03/19 11/30/22 100.000 0.000 2.1009 44.39 0.060838 0.061477 20.13 JPMorgan Chase Financial 48130WVN8 02/28/19 02/28/22 100.000 0.000 2.9919 88.08 0.089512 5.10 JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26 100.000 0.000 3.2713 93.57 0.098558 0.100170 0.101808 0.103474 0.105166 36.07 37.26 JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26 100.000 0.000 3.2713 93.57 0.098558 0.100170 0.101808 0.103474 0.105166 36.07 37.26 JPMorgan Chase Financial 48132HWD0 02/03/20 02/03/22 100.000 0.000 2.1007 40.75 0.060210 1.93 JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24 100.000 0.000 2.3202 49.38 0.067495 0.068278 0.069070 0.069871 0.070682 24.49 25.06 JPMORGAN CHASE FINANCE 48133DUS7 04/05/22 04/06/26 100.000 0.000 2.4607 0.068359 0.069200 0.070051 0.070913 18.26 25.21 JPMorgan Chase Financial 48132M3R0 08/27/20 08/29/22 100.000 0.000 2.7124 36.91 0.077413 0.078457 18.61 JPMorgan Chase Financial 48132F7M2 12/03/19 11/30/22 100.000 0.000 2.1009 44.39 0.060838 0.061477 20.13 JPMORGAN CHASE FINANCE 48133FBL8 05/04/22 05/02/25 100.000 0.000 3.4117 0.094769 0.096368 0.098012 0.099684 22.55 35.18 JPMorgan Chase Financial 48130WNE7 01/31/19 02/02/22 100.000 0.000 3.1416 95.30 0.094357 2.93 JPMorgan Chase Financial 48132HEZ1 12/06/19 12/08/22 100.000 0.000 2.1104 44.41 0.061142 0.061788 20.72 JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25 100.000 0.000 3.9714 155.28 0.126594 0.129108 0.131672 0.134286 0.136953 46.34 48.19 JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26 100.000 0.000 2.7505 61.08 0.080693 0.081803 0.082928 0.084069 0.085225 29.39 30.20 JPMorgan Chase Financial 48132F7E0 11/29/19 05/31/22 100.000 0.000 2.0810 44.20 0.060253 8.98 JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26 100.000 0.000 3.4010 92.59 0.102802 0.104550 0.106328 0.108136 0.109975 37.47 38.76 JPMorgan Chase Financial 48132FPZ3 10/31/19 04/29/22 100.000 0.000 2.2311 49.33 0.064782 7.64 JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26 100.000 0.000 3.4005 91.14 0.102757 0.104504 0.106281 0.108088 0.109925 37.42 38.70 JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25 100.000 0.000 3.9714 155.28 0.126594 0.129108 0.131672 0.134286 0.136953 46.34 48.19 JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25 100.000 0.000 3.9714 155.28 0.126594 0.129108 0.131672 0.134286 0.136953 46.34 48.19 JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26 100.000 0.000 3.4005 91.14 0.102757 0.104504 0.106281 0.108088 0.109925 37.42 38.70 JPMorgan Chase Financial 48130W4J7 03/29/19 03/31/22 100.000 0.000 2.6812 76.17 0.079610 7.09 JPMorgan Chase Financial 48132HFA5 12/06/19 12/08/22 100.000 0.000 2.1104 44.41 0.061142 0.061788 20.72 JPMorgan Chase Financial 48132CYH0 07/31/19 01/31/23 100.000 0.000 2.2402 55.39 0.065062 0.065791 0.066528 23.77 1.93 JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26 100.000 0.000 2.8100 72.50 0.083707 0.084883 0.086076 0.087285 0.088511 30.35 31.21 JPMorgan Chase Financial 48132FQP4 11/05/19 10/31/22 100.000 0.000 2.2406 49.22 0.065055 0.065784 19.58 JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25 100.000 0.000 2.5507 99.89 0.077436 0.078423 0.079423 0.080436 0.081462 28.23 28.96 JPMorgan Chase Financial 48132FQN9 11/05/19 04/29/22 100.000 0.000 2.2312 49.01 0.064767 7.64 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132CYG2 07/31/19 01/31/22 100.000 0.000 2.1006 51.87 0.060841 1.76 JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24 100.000 0.000 2.5102 64.57 0.074214 0.075146 0.076089 0.077044 0.078011 26.89 27.57 JPMorgan Chase Financial 48129MSR8 06/04/18 06/02/23 100.000 0.000 3.7008 140.10 0.116854 0.119016 0.121218 42.58 18.30 JPMorgan Chase Financial 48132CPX5 06/28/19 03/31/23 100.000 0.000 2.2397 57.49 0.065420 0.066152 0.066893 23.82 5.95 JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26 100.000 0.000 2.6402 56.95 0.077301 0.078322 0.079356 0.080403 0.081465 28.09 28.84 JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26 100.000 0.000 3.1201 81.69 0.093645 0.095106 0.096590 0.098097 0.099627 34.01 35.08 JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26 100.000 0.000 3.5710 103.68 0.108373 0.110308 0.112277 0.114282 0.116322 39.76 41.20 JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24 100.000 0.000 2.4504 54.28 0.071464 0.072340 0.073226 0.074123 0.075031 25.99 26.63 JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26 100.000 0.000 3.7407 114.29 0.113995 0.116127 0.118299 0.120512 0.122766 42.07 43.66 JPMORGAN CHASE FINANCE 48133FBM6 05/04/22 05/02/25 100.000 0.000 3.4117 0.094769 0.096368 0.098012 0.099684 22.55 35.18 JPMORGAN CHASE FINANCE 48133FBP9 05/04/22 05/02/25 100.000 0.000 3.4117 0.094769 0.096368 0.098012 0.099684 22.55 35.18 JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26 100.000 0.000 3.7407 114.29 0.113995 0.116127 0.118299 0.120512 0.122766 42.07 43.66 JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24 100.000 0.000 2.5104 62.23 0.073300 0.074220 0.075151 0.076095 0.077050 26.83 27.51 JPMorgan Chase Financial 48130UHC2 10/03/18 09/29/23 100.000 0.000 3.8721 132.56 0.120621 0.122956 0.125337 0.127763 44.28 34.03 JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24 100.000 0.000 2.1409 49.16 0.062056 0.062721 0.063392 0.064070 0.064756 22.58 23.07 JPMORGAN CHASE FINANCE 48133FBR5 05/04/22 05/04/26 100.000 0.000 3.5721 0.099224 0.100996 0.102800 0.104636 23.62 36.89 JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24 100.000 0.000 2.3206 51.01 0.067483 0.068266 0.069058 0.069859 0.070670 24.53 25.10 JPMorgan Chase Financial 48132FHY5 09/30/19 03/31/22 100.000 0.000 2.0511 47.06 0.059348 5.28 JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24 100.000 0.000 2.4204 59.95 0.070546 0.071400 0.072264 0.073139 0.074024 25.81 26.44 JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25 100.000 0.000 4.1116 141.87 0.129071 0.131724 0.134432 0.137196 0.140016 47.43 49.40 JPMorgan Chase Financial 48132CPR8 06/28/19 06/30/22 100.000 0.000 2.5296 65.08 0.074835 13.40 JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25 100.000 0.000 4.1116 141.87 0.129071 0.131724 0.134432 0.137196 0.140016 47.43 49.40 JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26 100.000 0.000 2.8100 72.50 0.083707 0.084883 0.086076 0.087285 0.088511 30.35 31.21 JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25 100.000 0.000 4.1116 141.87 0.129071 0.131724 0.134432 0.137196 0.140016 47.43 49.40 JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26 100.000 0.000 2.8103 69.87 0.082545 0.083705 0.084882 0.086074 0.087284 30.28 31.13 JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26 100.000 0.000 2.8100 72.50 0.083707 0.084883 0.086076 0.087285 0.088511 30.35 31.21 JPMorgan Chase Financial 48130UHY4 10/03/18 09/29/23 100.000 0.000 3.8721 132.56 0.120621 0.122956 0.125337 0.127763 44.28 34.03 JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26 100.000 0.000 2.8103 69.87 0.082545 0.083705 0.084882 0.086074 0.087284 30.28 31.13 JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26 100.000 0.000 2.8103 69.87 0.082545 0.083705 0.084882 0.086074 0.087284 30.28 31.13 JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24 100.000 0.000 3.0015 85.23 0.089785 0.091132 0.092500 0.093888 0.095297 32.82 33.81 JPMORGAN CHASE FINANCE 48133F2H7 06/03/22 06/05/25 100.000 0.000 3.4100 0.094722 0.094740 0.096355 0.097998 0.099669 19.75 35.07 JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24 100.000 0.000 3.0015 85.23 0.089785 0.091132 0.092500 0.093888 0.095297 32.82 33.81 JPMORGAN CHASE FINANCE 48133F2K0 06/03/22 06/03/27 100.000 0.000 3.6700 0.101944 0.103815 0.105720 0.107660 21.26 37.82 JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24 100.000 0.000 3.0015 85.23 0.089785 0.091132 0.092500 0.093888 0.095297 32.82 33.81 JPMORGAN CHASE FINANCE 48133F2L8 05/31/22 05/30/25 100.000 0.000 3.4100 0.094722 0.096337 0.097980 0.099650 20.04 35.08 JPMorgan Chase Financial 48130W5T4 03/29/19 03/31/22 100.000 0.000 2.6812 76.17 0.079610 7.09 JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24 100.000 0.000 2.7908 47.38 0.080814 0.081941 0.083085 0.084244 0.085420 29.43 30.26 JPMorgan Chase Financial 48130WNW7 01/31/19 01/31/22 100.000 0.000 3.1417 95.29 0.094342 2.74 JPMorgan Chase Financial 48132CHN6 06/05/19 02/28/22 100.000 0.000 2.5202 66.58 0.074030 4.22 JPMorgan Chase Financial 48132CHQ9 06/05/19 05/31/22 100.000 0.000 2.5307 66.84 0.074833 11.15 JPMorgan Chase Financial 48130UZ65 12/05/18 11/30/23 100.000 0.000 3.8710 125.04 0.120572 0.122906 0.125284 0.127709 43.97 41.66 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132CHP1 06/05/19 05/31/22 100.000 0.000 2.5307 66.84 0.074833 11.15 JPMorgan Chase Financial 48130W5H0 04/03/19 03/31/22 100.000 0.000 2.6818 75.87 0.079606 7.08 JPMorgan Chase Financial 48130UZ73 12/05/18 11/30/23 100.000 0.000 3.8710 125.04 0.120572 0.122906 0.125284 0.127709 43.97 41.66 JPMorgan Chase Financial 48132CYS6 08/05/19 07/29/22 100.000 0.000 1.9004 46.56 0.054805 0.055326 11.49 JPMorgan Chase Financial 48130UZ81 12/05/18 11/30/23 100.000 0.000 3.8710 125.04 0.120572 0.122906 0.125284 0.127709 43.97 41.66 JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24 100.000 0.000 2.8505 75.54 0.084952 0.086162 0.087390 0.088636 0.089899 30.88 31.76 JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27 100.000 0.000 3.0407 51.70 0.088376 0.089720 0.091084 0.092469 0.093874 32.22 33.21 JPMorgan Chase Financial 48130UZ99 12/05/18 11/30/23 100.000 0.000 3.8710 125.04 0.120572 0.122906 0.125284 0.127709 43.97 41.66 JPMorgan Chase Financial 48130W5K3 04/03/19 03/31/22 100.000 0.000 2.6818 75.87 0.079606 7.08 JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24 100.000 0.000 2.8505 75.54 0.084952 0.086162 0.087390 0.088636 0.089899 30.88 31.76 JPMorgan Chase Financial 48130UHX6 10/03/18 09/29/23 100.000 0.000 3.8721 132.56 0.120621 0.122956 0.125337 0.127763 44.28 34.03 JPMORGAN CHASE FINANCE 48133F2C8 05/25/22 05/25/27 100.000 0.000 3.6700 0.101944 0.103815 0.105720 0.107660 22.09 37.85 JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24 103.000 0.250 3.1279 152.65 0.100404 0.101866 0.103350 0.104858 0.106389 36.91 37.99 JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27 100.000 0.000 2.6405 51.65 0.076286 0.077293 0.078313 0.079347 0.080395 27.95 28.70 JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24 100.000 0.000 3.0015 85.23 0.089785 0.091132 0.092500 0.093888 0.095297 32.82 33.81 JPMorgan Chase Financial 48132FJB3 10/03/19 03/31/22 100.000 0.000 2.2314 51.08 0.064785 5.77 JPMorgan Chase Financial 48130WXE6 02/28/19 05/31/22 100.000 0.000 3.0304 89.27 0.091452 13.63 JPMorgan Chase Financial 48132FJC1 10/03/19 09/30/22 100.000 0.000 2.2406 51.30 0.065062 0.065791 17.63 JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24 100.000 0.000 2.4507 56.21 0.071459 0.072335 0.073221 0.074119 0.075027 26.04 26.69 JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26 100.000 0.000 3.5711 105.85 0.108364 0.110299 0.112268 0.114273 0.116313 39.84 41.28 JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24 100.000 0.000 3.0015 85.23 0.089785 0.091132 0.092500 0.093888 0.095297 32.82 33.81 JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24 100.000 0.000 2.4507 56.21 0.071459 0.072335 0.073221 0.074119 0.075027 26.04 26.69 JPMorgan Chase Financial 48132KPW9 05/05/20 07/29/22 100.000 0.000 2.7205 45.79 0.078131 0.079194 16.44 JPMORGAN CHASE FINANCE 48133F2M6 05/31/22 05/28/27 100.000 0.000 3.6700 0.101944 0.103794 0.105699 0.107639 21.57 37.84 JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26 100.000 0.000 2.8904 69.36 0.085033 0.086248 0.087508 0.088759 0.090056 31.13 32.04 JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24 100.000 0.000 3.0015 85.23 0.089785 0.091132 0.092500 0.093888 0.095297 32.82 33.81 JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25 100.000 0.000 3.9300 146.30 0.125124 0.127583 0.130090 0.132646 0.135253 45.49 47.30 JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26 100.000 0.000 2.8904 69.36 0.085033 0.086248 0.087508 0.088759 0.090056 31.13 32.04 JPMorgan Chase Financial 48132KPX7 05/05/20 01/31/23 100.000 0.000 1.7300 28.94 0.049091 0.049516 0.049944 17.88 1.45 JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27 100.000 0.000 2.6405 49.52 0.076279 0.077286 0.078307 0.079340 0.080388 27.90 28.64 JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24 100.000 0.000 1.6800 32.65 0.048054 0.048458 0.048865 0.049275 0.049689 17.42 17.72 JPMorgan Chase Financial 48132HPD8 01/31/20 07/31/23 100.000 0.000 1.6802 32.64 0.047858 0.048260 0.048666 0.049075 17.42 10.24 JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25 100.000 0.000 2.5307 56.09 0.073925 0.074860 0.075807 0.076766 0.077738 26.90 27.58 JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24 100.000 0.000 3.2313 94.72 0.097196 0.098757 0.100362 0.101974 0.103631 35.66 36.82 JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24 100.000 0.000 3.2313 94.72 0.097196 0.098757 0.100362 0.101974 0.103631 35.66 36.82 JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24 100.000 0.000 2.3812 52.71 0.069350 0.070176 0.071012 0.071857 0.072712 25.22 25.82 JPMorgan Chase Financial 48130WXT3 03/05/19 02/28/22 100.000 0.000 2.9917 87.45 0.089457 5.10 JPMorgan Chase Financial 48132CRL9 07/03/19 03/31/22 100.000 0.000 2.3601 60.31 0.069100 6.15 JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24 100.000 0.000 3.3109 97.14 0.099785 0.101428 0.103116 0.104814 0.106559 36.63 37.85 JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24 100.000 0.000 3.3109 97.14 0.099785 0.101428 0.103116 0.104814 0.106559 36.63 37.85 JPMorgan Chase Financial 48132CRM7 07/03/19 06/30/22 100.000 0.000 2.3700 60.53 0.069813 12.50 JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26 100.000 0.000 2.9402 74.14 0.086597 0.087871 0.089162 0.090473 0.091803 31.81 32.76 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132CJ20 08/30/19 02/28/23 100.000 0.000 2.4808 59.31 0.072386 0.073284 0.074193 26.44 4.23 JPMorgan Chase Financial 48130UAC9 09/06/18 08/31/23 100.000 0.000 3.7714 132.09 0.117115 0.119299 0.121574 0.123841 43.10 29.47 JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25 100.000 0.000 4.0210 142.09 0.125851 0.128367 0.130963 0.133581 0.136282 46.39 48.27 JPMorgan Chase Financial 48132CJ46 08/30/19 02/28/22 100.000 0.000 2.4410 58.33 0.071167 4.06 JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25 100.000 0.000 4.0210 142.09 0.125851 0.128367 0.130963 0.133581 0.136282 46.39 48.27 JPMorgan Chase Financial 46647MNK5 09/27/17 09/27/23 100.000 0.000 2.9208 131.54 0.091110 0.092441 0.093790 0.095160 33.29 25.19 JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25 100.000 0.000 4.0210 142.09 0.125851 0.128367 0.130963 0.133581 0.136282 46.39 48.27 JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25 100.000 0.000 4.1113 138.37 0.129063 0.131716 0.134424 0.137187 0.140007 47.28 49.25 JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24 100.000 0.000 3.2313 94.72 0.097196 0.098757 0.100362 0.101974 0.103631 35.66 36.82 JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25 100.000 0.000 3.9611 151.07 0.126222 0.128722 0.131271 0.133871 0.136522 46.05 47.89 JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26 100.000 0.000 2.7505 61.08 0.080693 0.081803 0.082928 0.084069 0.085225 29.39 30.20 JPMorgan Chase Financial 48132FJP2 09/09/19 09/09/22 100.000 0.000 2.0307 47.82 0.058736 0.059332 14.67 JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24 100.000 0.000 3.2313 94.72 0.097196 0.098757 0.100362 0.101974 0.103631 35.66 36.82 JPMorgan Chase Financial 48130WHB0 01/02/19 12/29/23 100.000 0.000 3.8699 121.75 0.120559 0.122892 0.125270 0.127694 43.83 45.28 JPMORGAN CHASE FINANCE 48133FDZ5 05/04/22 05/04/27 100.000 0.000 3.6712 0.101978 0.103850 0.105756 0.107698 24.28 37.95 JPMorgan Chase Financial 48132T2K1 05/10/21 05/08/31 100.000 0.000 2.1502 13.83 0.060363 0.061012 0.061668 0.062331 0.063001 21.92 22.39 JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24 100.000 0.000 1.8698 33.17 0.053654 0.054155 0.054662 0.055173 0.055688 19.41 19.77 JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26 100.000 0.000 3.7408 111.11 0.113988 0.116120 0.118292 0.120505 0.122759 41.95 43.54 JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26 100.000 0.000 3.7408 111.11 0.113988 0.116120 0.118292 0.120505 0.122759 41.95 43.54 JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27 100.000 0.000 2.2306 39.66 0.064057 0.064771 0.065493 0.066224 0.066962 23.32 23.84 JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26 100.000 0.000 2.0908 37.14 0.059919 0.060545 0.061178 0.061818 0.062464 21.80 22.26 JPMorgan Chase Financial 48130WPY1 02/05/19 01/31/22 100.000 0.000 3.1213 94.18 0.093642 2.72 JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24 100.000 0.000 1.9300 34.25 0.055445 0.055980 0.056520 0.057065 0.057616 20.06 20.45 JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26 100.000 0.000 3.6910 110.57 0.112344 0.114417 0.116528 0.118679 0.120869 41.37 42.91 JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24 100.000 0.000 3.3109 97.14 0.099785 0.101428 0.103116 0.104814 0.106559 36.63 37.85 JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24 100.000 0.000 2.3702 60.54 0.069812 0.070640 0.071477 0.072324 0.073181 25.29 25.89 JPMorgan Chase Financial 48130WGY1 01/02/19 12/29/23 100.000 0.000 3.8699 121.75 0.120559 0.122892 0.125270 0.127694 43.83 45.28 JPMorgan Chase Financial 48130WGZ8 01/02/19 12/29/23 100.000 0.000 3.8699 121.75 0.120559 0.122892 0.125270 0.127694 43.83 45.28 JPMorgan Chase Financial 48132CRR6 07/03/19 06/30/22 100.000 0.000 2.3700 60.53 0.069813 12.50 JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24 100.000 0.000 2.3702 60.54 0.069812 0.070640 0.071477 0.072324 0.073181 25.29 25.89 JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26 100.000 0.000 2.6398 53.93 0.077277 0.078297 0.079331 0.080378 0.081439 28.01 28.75 JPMorgan Chase Financial 48130WHA2 01/02/19 12/29/23 100.000 0.000 3.8699 121.75 0.120559 0.122892 0.125270 0.127694 43.83 45.28 JPMorgan Chase Financial 48130WYT2 03/05/19 02/28/22 100.000 0.000 2.9917 87.45 0.089457 5.10 JPMORGAN CHASE FINANCE 48133FEL5 04/29/22 05/01/25 100.000 0.000 3.4121 0.094781 0.094799 0.096416 0.098061 0.099734 23.04 35.21 JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMORGAN CHASE FINANCE 48133FEN1 04/29/22 05/01/25 100.000 0.000 3.4121 0.094781 0.094799 0.096416 0.098061 0.099734 23.04 35.21 JPMORGAN CHASE FINANCE 48133FEM3 04/29/22 05/01/25 100.000 0.000 3.4121 0.094781 0.094799 0.096416 0.098061 0.099734 23.04 35.21 JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26 100.000 0.000 2.4202 55.71 0.070543 0.071396 0.072260 0.073135 0.074020 25.71 26.33 JPMORGAN CHASE FINANCE 48133FEP6 04/29/22 04/29/27 100.000 0.000 3.6716 0.101988 0.103860 0.105767 0.107708 24.80 37.97 JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26 100.000 0.000 2.8906 70.13 0.085032 0.086261 0.087508 0.088772 0.090056 31.16 32.06 JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26 100.000 0.000 2.0908 37.14 0.059919 0.060545 0.061178 0.061818 0.062464 21.80 22.26 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25 100.000 0.000 3.8909 140.87 0.121325 0.123685 0.126091 0.128544 0.131045 44.82 46.58 JPMorgan Chase Financial 48129MQ74 07/30/18 07/28/23 100.000 0.000 3.6712 132.49 0.113715 0.115803 0.117928 0.120093 41.96 24.80 JPMorgan Chase Financial 48130WHM6 01/02/19 12/29/23 100.000 0.000 3.8699 121.75 0.120559 0.122892 0.125270 0.127694 43.83 45.28 JPMorgan Chase Financial 48130WHN4 01/02/19 12/29/23 100.000 0.000 3.8699 121.75 0.120559 0.122892 0.125270 0.127694 43.83 45.28 JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24 100.000 0.000 3.4409 104.23 0.104043 0.105833 0.107654 0.109506 0.111390 38.32 39.65 JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26 100.000 0.000 3.2709 90.50 0.098535 0.100147 0.101785 0.103449 0.105141 35.96 37.15 JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26 100.000 0.000 3.2709 90.50 0.098535 0.100147 0.101785 0.103449 0.105141 35.96 37.15 JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26 100.000 0.000 2.6406 58.58 0.077312 0.078333 0.079367 0.080415 0.081477 28.14 28.89 JPMorgan Chase Financial 48130WR94 04/30/19 10/31/22 100.000 0.000 2.8813 79.38 0.085970 0.087208 25.93 JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24 100.000 0.000 3.4413 102.58 0.104105 0.105896 0.107718 0.109572 0.111457 38.27 39.60 JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24 100.000 0.000 2.4507 53.93 0.071451 0.072326 0.073213 0.074110 0.075018 25.99 26.63 JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25 100.000 0.000 3.9611 151.07 0.126222 0.128722 0.131271 0.133871 0.136522 46.05 47.89 JPMorgan Chase Financial 48129MXY7 07/05/18 06/30/23 100.000 0.000 3.6903 136.08 0.116446 0.118594 0.120782 42.31 21.62 JPMorgan Chase Financial 48130WQZ7 02/05/19 01/31/22 100.000 0.000 3.1213 94.18 0.093642 2.72 JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24 100.000 0.000 2.1403 50.70 0.062020 0.062676 0.063354 0.064025 0.064718 22.61 23.09 JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24 100.000 0.000 2.1403 50.70 0.062020 0.062676 0.063354 0.064025 0.064718 22.61 23.09 JPMORGAN CHASE FINANCE 48133FVU6 05/03/22 04/03/24 100.000 0.000 3.0925 0.085902 0.087008 0.088354 0.089720 20.54 31.80 JPMorgan Chase Financial 48129MH25 08/03/18 07/31/23 100.000 0.000 3.6608 131.76 0.113348 0.115423 0.117535 0.119687 41.81 24.95 JPMorgan Chase Financial 48129MY34 09/06/18 08/31/23 100.000 0.000 3.7714 132.09 0.117115 0.119299 0.121574 0.123841 43.10 29.47 JPMorgan Chase Financial 48130WR37 04/30/19 04/29/22 100.000 0.000 2.6815 73.72 0.079609 9.39 JPMorgan Chase Financial 48132FD37 11/29/19 11/30/22 100.000 0.000 2.1007 44.63 0.060846 0.061485 20.13 JPMorgan Chase Financial 46647MSA2 06/20/18 06/20/23 100.000 0.000 3.7406 139.80 0.118295 0.120507 0.122761 43.03 20.75 JPMorgan Chase Financial 48132HAZ5 01/02/20 12/30/22 100.000 0.000 2.1100 42.81 0.061117 0.061762 22.06 JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27 100.000 0.000 2.6405 49.52 0.076279 0.077286 0.078307 0.079340 0.080388 27.90 28.64 JPMorgan Chase Financial 48132KBS3 04/03/20 12/30/22 100.000 0.000 1.7402 30.70 0.049820 0.050253 17.96 JPMorgan Chase Financial 48132HAY8 01/02/20 12/30/22 100.000 0.000 2.1100 42.81 0.061117 0.061762 22.06 JPMorgan Chase Financial 48132KBU8 04/03/20 03/31/23 100.000 0.000 1.7507 30.88 0.049910 0.050347 0.050788 18.13 4.52 JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25 100.000 0.000 1.9606 34.63 0.056069 0.056618 0.057174 0.057734 0.058300 20.38 20.79 JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26 100.000 0.000 3.6909 109.90 0.112340 0.114413 0.116524 0.118675 0.120865 41.34 42.88 JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25 100.000 0.000 4.1114 139.15 0.129067 0.131720 0.134428 0.137192 0.140012 47.32 49.28 JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25 100.000 0.000 1.9606 34.63 0.056069 0.056618 0.057174 0.057734 0.058300 20.38 20.79 JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25 100.000 0.000 4.1115 137.73 0.129039 0.131692 0.134399 0.137162 0.139982 47.26 49.22 JPMorgan Chase Financial 48132KBV6 04/03/20 03/31/23 100.000 0.000 1.7507 30.88 0.049910 0.050347 0.050788 18.13 4.52 JPMorgan Chase Financial 48132FDL7 08/28/19 08/26/22 100.000 0.000 2.4612 58.97 0.071785 0.072668 17.03 JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24 100.000 0.000 2.3399 47.56 0.068071 0.068867 0.069673 0.070488 0.071313 24.66 25.24 JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24 100.000 0.000 2.3200 47.15 0.067466 0.068249 0.069041 0.069841 0.070652 24.43 25.01 JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24 100.000 0.000 2.4507 53.93 0.071451 0.072326 0.073213 0.074110 0.075018 25.99 26.63 JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24 100.000 0.000 2.5405 60.77 0.074220 0.075157 0.076117 0.077079 0.078063 27.12 27.81 JPMorgan Chase Financial 48130WAB7 12/05/18 11/30/23 100.000 0.000 3.8710 125.04 0.120572 0.122906 0.125284 0.127709 43.97 41.66 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132HAW2 01/02/20 09/30/22 100.000 0.000 2.0804 42.23 0.059915 0.060539 16.23 JPMorgan Chase Financial 48130WAC5 12/05/18 11/30/23 100.000 0.000 3.8710 125.04 0.120572 0.122906 0.125284 0.127709 43.97 41.66 JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24 100.000 0.000 2.3102 45.11 0.066806 0.067578 0.068359 0.069148 0.069947 24.28 24.85 JPMorgan Chase Financial 48132HAX0 01/02/20 12/30/22 100.000 0.000 2.0900 42.40 0.060515 0.061147 21.84 JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25 100.000 0.000 2.8498 46.04 0.082013 0.083176 0.084367 0.085563 0.086789 30.02 30.88 JPMorgan Chase Financial 48132KCD5 04/03/20 03/31/22 100.000 0.000 1.7210 30.36 0.049044 4.36 JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27 100.000 0.000 2.6405 58.58 0.077316 0.078337 0.079371 0.080419 0.081481 28.14 28.88 JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25 100.000 0.000 2.6709 63.96 0.078222 0.079267 0.080325 0.081398 0.082485 28.61 29.38 JPMorgan Chase Financial 48132KCF0 04/03/20 06/30/22 100.000 0.000 1.7300 30.52 0.049521 8.86 JPMorgan Chase Financial 48132KCH6 04/03/20 09/30/22 100.000 0.000 1.7309 30.53 0.049334 0.049761 13.35 JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26 100.000 0.000 2.8904 69.36 0.085033 0.086248 0.087508 0.088759 0.090056 31.13 32.04 JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27 100.000 0.000 2.6405 51.65 0.076286 0.077293 0.078313 0.079347 0.080395 27.95 28.70 JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26 100.000 0.000 2.5004 48.86 0.072092 0.072994 0.073906 0.074830 0.075766 26.39 27.05 JPMorgan Chase Financial 48129MX92 09/06/18 08/31/23 100.000 0.000 3.7714 132.09 0.117115 0.119299 0.121574 0.123841 43.10 29.47 JPMorgan Chase Financial 48129MG42 08/03/18 07/31/23 100.000 0.000 3.6608 131.76 0.113348 0.115423 0.117535 0.119687 41.81 24.95 JPMorgan Chase Financial 48132HBC5 12/26/19 09/30/22 100.000 0.000 2.0996 42.99 0.060508 0.061144 16.39 JPMorgan Chase Financial 48132CU76 09/05/19 08/31/22 100.000 0.000 2.0306 48.05 0.058716 0.059306 14.14 JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24 100.000 0.000 2.3400 47.97 0.068101 0.068897 0.069704 0.070519 0.071344 24.67 25.25 JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24 100.000 0.000 3.1311 86.50 0.094001 0.095473 0.096967 0.098486 0.100027 34.29 35.37 JPMorgan Chase Financial 48132HBE1 12/26/19 12/30/22 100.000 0.000 2.1096 43.17 0.061126 0.061771 22.06 JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24 100.000 0.000 3.1313 86.41 0.094007 0.095479 0.096973 0.098492 0.100034 34.29 35.37 JPMorgan Chase Financial 48132KCA1 03/31/20 03/31/23 100.000 0.000 1.7509 31.04 0.049925 0.050362 0.050803 18.13 4.52 JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26 100.000 0.000 3.4011 94.24 0.102786 0.104534 0.106312 0.108119 0.109958 37.53 38.82 JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27 100.000 0.000 3.0405 49.13 0.088363 0.089706 0.091070 0.092454 0.093860 32.14 33.13 JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25 100.000 0.000 1.9604 34.80 0.056073 0.056623 0.057178 0.057739 0.058305 20.39 20.79 JPMORGAN CHASE FINANCE 48133NX78 11/02/22 10/31/24 100.000 0.000 4.8500 0.134722 0.137953 0.141298 7.95 49.48 JPMORGAN CHASE FINANCE 48133PMP5 11/28/22 11/28/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 4.57 50.65 JPMORGAN CHASE FINANCE 48133PMT7 11/28/22 11/28/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 4.57 50.65 JPMORGAN CHASE FINANCE 48133NXD5 10/31/22 10/29/27 100.000 0.000 5.1900 0.144167 0.147887 0.151725 8.79 53.04 JPMORGAN CHASE FINANCE 48133PMV2 11/28/22 11/26/27 100.000 0.000 5.1900 0.144167 0.147866 0.151703 4.76 52.83 JPMORGAN CHASE FINANCE 48133NPD4 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133NPE4 11/02/22 10/31/25 100.000 0.000 4.9800 0.138333 0.141740 0.145269 8.16 50.84 JPMORGAN CHASE FINANCE 48133NQA9 10/31/22 10/30/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 8.44 50.85 JPMORGAN CHASE FINANCE 48133P5C3 12/02/22 12/04/24 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 3.91 49.28 JPMORGAN CHASE FINANCE 48133NPT9 11/03/22 11/05/24 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 7.82 49.47 JPMORGAN CHASE FINANCE 48133NQB7 11/03/22 11/05/26 100.000 0.000 5.1000 0.141667 0.141707 0.145320 0.149026 8.22 52.07 JPMORGAN CHASE FINANCE 48133NQG6 10/31/22 10/31/28 100.000 0.000 5.2600 0.146111 0.149954 0.153898 8.91 53.77 JPMORGAN CHASE FINANCE 48133NQJ0 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133NZQ4 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133PGH0 12/05/22 12/05/24 100.000 0.000 4.8500 0.134722 0.137989 0.141335 3.50 49.26 JPMORGAN CHASE FINANCE 48133NQX9 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133NRN0 10/31/22 10/29/27 100.000 0.000 5.1900 0.144167 0.147887 0.151725 8.79 53.04 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMORGAN CHASE FINANCE 48133PGQ0 12/05/22 12/04/25 100.000 0.000 4.9800 0.138333 0.141759 0.145288 3.60 50.60 JPMORGAN CHASE FINANCE 48133NRS9 10/31/22 10/29/27 100.000 0.000 5.1900 0.144167 0.147887 0.151725 8.79 53.04 JPMORGAN CHASE FINANCE 48133NRF7 11/03/22 11/04/27 100.000 0.000 5.1900 0.144167 0.147929 0.151767 8.36 53.01 JPMORGAN CHASE FINANCE 48133PGK3 12/05/22 12/04/25 100.000 0.000 4.9800 0.138333 0.141759 0.145288 3.60 50.60 JPMORGAN CHASE FINANCE 48133PGN7 12/05/22 12/04/25 100.000 0.000 4.9800 0.138333 0.141759 0.145288 3.60 50.60 JPMORGAN CHASE FINANCE 48133PGP2 12/05/22 12/05/24 100.000 0.000 4.8500 0.134722 0.137989 0.141335 3.50 49.26 JPMORGAN CHASE FINANCE 48133NSD1 10/31/22 10/30/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 8.44 50.85 JPMORGAN CHASE FINANCE 48133NSE9 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133NRU4 11/03/22 05/03/24 100.000 0.000 4.7400 0.131667 0.134787 0.137982 7.64 48.33 JPMORGAN CHASE FINANCE 48133NRX8 10/31/22 10/30/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 8.44 50.85 JPMORGAN CHASE FINANCE 48133PHT3 12/05/22 12/05/24 100.000 0.000 4.8500 0.134722 0.137989 0.141335 3.50 49.26 JPMORGAN CHASE FINANCE 48133NSK5 10/31/22 10/29/27 100.000 0.000 5.1900 0.144167 0.147887 0.151725 8.79 53.04 JPMORGAN CHASE FINANCE 48133NC71 10/31/22 10/30/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 8.44 50.85 JPMORGAN CHASE FINANCE 48133NTQ1 11/02/22 11/01/29 100.000 0.000 5.2900 0.146944 0.150810 0.154798 8.67 54.07 JPMORGAN CHASE FINANCE 48133NTW8 10/31/22 10/31/28 100.000 0.000 5.2600 0.146111 0.149954 0.153898 8.91 53.77 JPMORGAN CHASE FINANCE 48133NTP3 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133PKK8 12/05/22 12/04/25 100.000 0.000 4.9800 0.138333 0.141759 0.145288 3.60 50.60 JPMORGAN CHASE FINANCE 48133PBQ5 12/02/22 12/04/24 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 3.91 49.28 JPMORGAN CHASE FINANCE 48133PKQ5 12/05/22 06/04/24 100.000 0.000 4.7400 0.131667 0.134770 0.137964 3.42 48.13 JPMORGAN CHASE FINANCE 48133PKX0 11/28/22 11/26/27 100.000 0.000 5.1900 0.144167 0.147866 0.151703 4.76 52.83 JPMORGAN CHASE FINANCE 48133NNU8 10/31/22 10/29/26 100.000 0.000 5.1000 0.141667 0.145259 0.148963 8.64 52.10 JPMORGAN CHASE FINANCE 48133NNZ7 11/03/22 11/05/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 8.03 50.82 JPMORGAN CHASE FINANCE 48133PLE1 12/05/22 12/03/27 100.000 0.000 5.1900 0.144167 0.147866 0.151703 3.75 52.78 JPMORGAN CHASE FINANCE 48133PLJ0 11/28/22 11/28/25 100.000 0.000 4.9800 0.138333 0.141778 0.145308 4.57 50.65 JPMORGAN CHASE FINANCE 48133LR20 08/31/22 08/29/25 100.000 0.000 4.8100 0.133611 0.136789 0.140097 16.17 49.47 JPMORGAN CHASE FINANCE 48133LR53 09/06/22 03/05/24 100.000 0.000 4.4000 0.122222 0.124896 0.127644 14.06 45.11 JPMORGAN CHASE FINANCE 48133M2V1 09/30/22 10/01/26 100.000 0.000 5.1000 0.141667 0.145299 0.149004 12.89 52.31 JPMORGAN CHASE FINANCE 48133LQN5 07/19/22 07/17/24 100.000 0.000 4.8100 0.133611 0.136789 0.140079 21.64 49.73 JPMORGAN CHASE FINANCE 48133M2P4 10/05/22 10/03/24 100.000 0.000 4.8500 0.134722 0.137953 0.141298 11.59 49.66 JPMORGAN CHASE FINANCE 48133MUF5 09/02/22 01/05/29 100.000 0.000 5.9000 0.163889 0.167193 0.172125 19.50 61.04 JPMORGAN CHASE FINANCE 48133M3B4 10/04/22 10/02/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 11.62 49.25 JPMORGAN CHASE FINANCE 48133LRJ3 07/27/22 07/27/27 100.000 0.000 5.0100 0.139167 0.142653 0.146226 21.43 51.81 JPMORGAN CHASE FINANCE 48133MLL2 08/30/22 08/28/26 100.000 0.000 4.9300 0.136944 0.140283 0.143741 16.57 50.74 JPMORGAN CHASE FINANCE 48133M3A6 10/05/22 10/03/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 11.49 49.24 JPMORGAN CHASE FINANCE 48133M3T5 10/05/22 10/03/25 100.000 0.000 4.9800 0.138333 0.141740 0.145269 11.90 51.02 JPMORGAN CHASE FINANCE 48133M3V0 10/05/22 10/05/26 100.000 0.000 5.1000 0.141667 0.145279 0.148984 12.18 52.28 JPMORGAN CHASE FINANCE 48133M3X6 09/30/22 10/02/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 12.59 51.05 JPMORGAN CHASE FINANCE 48133M3W8 10/05/22 10/05/27 100.000 0.000 5.1900 0.144167 0.147908 0.151746 12.40 53.23 JPMORGAN CHASE FINANCE 48133PET6 11/09/22 11/07/24 100.000 0.000 4.8500 0.134722 0.137953 0.141298 7.01 49.44 JPMORGAN CHASE FINANCE 48133M3Z1 09/30/22 09/30/27 100.000 0.000 5.1900 0.144167 0.147908 0.151746 13.12 53.26 JPMORGAN CHASE FINANCE 48133LB92 09/06/22 09/03/26 100.000 0.000 4.9300 0.136944 0.140264 0.143721 15.75 50.70 JPMORGAN CHASE FINANCE 48133M3Y4 09/30/22 10/02/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 12.59 51.05 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMORGAN CHASE FINANCE 48133M3N8 10/05/22 10/03/25 100.000 0.000 4.9800 0.138333 0.141740 0.145269 11.90 51.02 JPMORGAN CHASE FINANCE 48133PNQ2 11/08/22 11/07/24 100.000 0.000 4.8500 0.134722 0.137971 0.141317 7.14 49.44 JPMORGAN CHASE FINANCE 48133PWG4 11/23/22 11/24/23 100.000 0.000 4.0800 0.113333 0.115658 4.31 37.03 JPMORGAN CHASE FINANCE 48133M4P2 10/05/22 04/04/24 100.000 0.000 4.7400 0.131667 0.134770 0.137964 11.32 48.51 JPMORGAN CHASE FINANCE 48133LKB7 07/13/22 07/11/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 22.45 49.77 JPMORGAN CHASE FINANCE 48133MNW6 09/02/22 09/05/24 100.000 0.000 4.6100 0.128056 0.128105 0.131058 0.134078 15.24 47.34 JPMORGAN CHASE FINANCE 48133LCM2 07/29/22 07/31/25 100.000 0.000 4.8100 0.133611 0.133629 0.136843 0.140134 20.31 49.67 JPMORGAN CHASE FINANCE 48133LCP5 07/29/22 07/31/25 100.000 0.000 4.8100 0.133611 0.133629 0.136843 0.140134 20.31 49.67 JPMORGAN CHASE FINANCE 48133MG87 09/07/22 09/05/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 15.23 49.42 JPMORGAN CHASE FINANCE 48133LM90 09/06/22 09/05/25 100.000 0.000 4.8100 0.133611 0.136807 0.140097 15.37 49.43 JPMORGAN CHASE FINANCE 48133PPW7 11/09/22 11/07/24 100.000 0.000 4.8500 0.134722 0.137953 0.141298 7.01 49.44 JPMORGAN CHASE FINANCE 48133LN32 09/06/22 09/05/25 100.000 0.000 4.8100 0.133611 0.136807 0.140097 15.37 49.43 JPMORGAN CHASE FINANCE 48133LN81 09/06/22 09/03/27 100.000 0.000 5.0100 0.139167 0.142595 0.146167 16.00 51.54 JPMORGAN CHASE FINANCE 48133LVV1 08/31/22 08/29/25 100.000 0.000 4.8100 0.133611 0.136789 0.140097 16.17 49.47 JPMORGAN CHASE FINANCE 48133LVU3 09/06/22 09/05/25 100.000 0.000 4.8100 0.133611 0.136807 0.140097 15.37 49.43 JPMORGAN CHASE FINANCE 48133PRX3 11/16/22 05/15/25 100.000 0.000 4.9200 0.136667 0.140010 0.143454 6.15 50.11 JPMORGAN CHASE FINANCE 48133PRY1 11/16/22 11/16/27 100.000 0.000 5.1900 0.144167 0.147908 0.151746 6.49 52.91 JPMORGAN CHASE FINANCE 48133LNU2 07/20/22 07/18/25 100.000 0.000 4.8100 0.133611 0.136789 0.140079 21.51 49.73 JPMORGAN CHASE FINANCE 48133LFG2 07/29/22 07/31/25 100.000 0.000 4.8100 0.133611 0.133629 0.136843 0.140134 20.31 49.67 JPMORGAN CHASE FINANCE 48133PSB0 11/21/22 01/06/25 100.000 0.000 4.8500 0.134722 0.135539 0.138826 5.39 49.37 JPMORGAN CHASE FINANCE 48133LGG1 07/27/22 07/27/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 21.73 52.56 JPMORGAN CHASE FINANCE 48133LGJ5 07/27/22 07/27/26 100.000 0.000 5.0100 0.139167 0.142653 0.146226 21.43 51.81 JPMORGAN CHASE FINANCE 48133MSU0 10/05/22 10/03/25 100.000 0.000 4.9800 0.138333 0.141740 0.145269 11.90 51.02 JPMORGAN CHASE FINANCE 48133LQ21 08/31/22 08/31/27 100.000 0.000 5.0100 0.139167 0.142614 0.146226 16.84 51.58 JPMORGAN CHASE FINANCE 48133LQ70 08/31/22 08/29/25 100.000 0.000 4.8100 0.133611 0.136789 0.140097 16.17 49.47 JPMORGAN CHASE FINANCE 48133M2F6 09/30/22 10/02/25 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 12.59 51.05 JPMORGAN CHASE FINANCE 48133PTX1 11/18/22 11/20/24 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 5.79 49.37 JPMORGAN CHASE FINANCE 48133PTY9 11/18/22 11/20/24 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 5.79 49.37 JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39 57.665 0.000 3.0607 18.51 0.049963 0.050727 0.051504 0.052292 0.053092 18.36 18.92 JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38 60.454 0.000 2.9608 18.77 0.050639 0.051389 0.052149 0.052921 0.053705 18.59 19.15 Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3500 423.99 0.125070 0.129041 0.133138 0.137365 0.141726 45.87 48.83 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3498 438.54 0.129039 0.133136 0.137363 0.141724 0.146223 47.44 50.50 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 465.48 0.136542 0.140843 0.145280 0.149856 0.154576 50.19 53.40 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 495.25 0.145277 0.149853 0.154573 0.159442 0.164464 53.40 56.82 Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23 36.102 0.000 6.2997 526.96 0.154577 0.159446 0.164468 0.169648 56.82 55.21 Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22 38.700 0.000 6.2498 558.22 0.163245 0.168346 54.79 Jeferies Group LLC 47233JKK3 10/31/22 05/02/25 100.000 0.000 5.9500 0.165278 0.165332 0.170251 0.175316 10.09 60.99 Jeferies Group LLC 47233JKJ6 10/31/22 11/02/26 100.000 0.000 6.2900 0.174722 0.174783 0.180280 0.185950 10.66 64.57 Jeferies Group LLC 47233JKP2 10/28/22 10/29/25 100.000 0.000 6.0700 0.168611 0.173757 0.179030 10.62 62.27 Jefferies Group LLC 47233JBT4 03/21/19 03/21/31 100.000 VARIES 4.2780 14.89 0.012245 0.012507 0.012774 0.013047 0.013327 4.51 4.70 Jefferies Group LLC 47233JBW7 05/31/19 05/31/39 100.000 VARIES 5.4586 9.65 0.007896 0.006990 0.006059 0.005103 0.005242 2.62 1.98 Jefferies Group LLC 47233JBV9 04/30/19 04/30/34 100.000 VARIES 5.1653 13.84 0.012014 0.011112 0.010188 0.009239 0.009478 4.05 3.45 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Jefferies Group LLC 47233JBY3 06/26/19 06/26/39 100.000 VARIES 5.4862 14.38 0.013107 0.012113 0.011091 0.010042 0.008964 4.53 3.79 Jefferies Group LLC 47233JBC1 10/31/17 10/31/37 100.000 VARIES 5.1265 204.48 0.131876 0.131416 0.131111 0.130947 0.130904 47.35 47.16 Jefferies Group LLC 47233JBB3 10/31/17 10/31/37 100.000 VARIES 5.1557 203.13 0.130480 0.129901 0.129477 0.129180 0.128990 46.81 46.53 Jefferies Group LLC 47233JBE7 12/28/17 12/28/37 100.000 VARIES 4.3011 25.93 0.013440 0.012359 0.011255 0.011497 0.011744 4.64 4.10 Jefferies Group LLC 47233JBG2 01/31/18 01/31/38 100.000 VARIES 5.0271 186.35 0.129069 0.129345 0.129647 0.129979 0.130347 46.60 46.84 Jefferies Group LLC 47233JBK3 03/29/18 03/29/38 100.000 VARIES 5.3355 194.79 0.140491 0.140711 0.140964 0.141245 0.141533 50.66 50.85 Jefferies Group LLC 47233JBJ6 02/28/18 02/28/38 100.000 VARIES 4.1737 12.78 0.006404 0.006536 0.006674 0.006812 0.006956 2.36 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ KIRBYVILLE TEX CONS INDP 497332KB1 09/29/20 02/15/25 95.643 0.000 1.0201 12.30 0.027345 0.027485 0.027625 0.027766 0.027908 9.91 10.01 KIRBYVILLE TEX CONS INDP 497332KC9 09/29/20 02/15/26 93.418 0.000 1.2700 14.97 0.033324 0.033536 0.033749 0.033963 0.034179 12.09 12.25 KIRBYVILLE TEX CONS INDP 497332KD7 09/29/20 02/15/27 91.602 0.000 1.3800 15.96 0.035541 0.035787 0.036034 0.036282 0.036533 12.91 13.08 Kansas City Southern 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ LITTLE ELM TEX INDPT SCH 5370962Y4 12/19/19 08/15/25 86.818 0.000 2.5148 45.29 0.063210 0.064005 0.064810 0.065625 0.066450 23.12 23.70 LITTLE ELM TEX INDPT SCH 5370962V0 12/19/19 08/15/22 95.004 0.000 1.9389 38.03 0.052830 0.053342 11.93 LITTLE ELM TEX INDPT SCH 5370963A5 12/19/19 08/15/27 80.942 0.000 2.7808 46.78 0.065449 0.066359 0.067281 0.068217 0.069165 23.97 24.65 LOCKHART TEX INDPT SCH 539770LC9 10/15/20 08/01/24 97.118 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Bank PLC 5394E8BB4 07/23/12 07/23/22 100.000 VARIES 2.8121 3.01 0.008431 0.008550 1.72 Lloyds TSB Bank PLC 5394E8AN9 04/26/12 04/26/27*** 100.000 VARIES 4.6791 42.74 0.119878 0.120977 0.122101 *** *** 43.50 *** Lloyds TSB Bank PLC 5394E8CL1 04/25/14 04/25/34*** 100.000 VARIES 3.7159 28.85 0.080743 0.081283 0.082134 *** *** 29.26 *** Lloyds TSB Bank PLC 5394E8CE7 11/27/13 11/27/33*** 100.000 VARIES 4.4797 36.66 0.102277 0.102895 0.103528 *** *** 36.97 *** Lloyds TSB Bank PLC 5394E8CD9 11/27/13 11/27/28*** 97.000 VARIES 4.8307 43.33 0.120628 0.120836 0.121049 *** *** 43.48 *** Lloyds TSB Bank PLC 5394E8CC1 10/25/13 10/25/33*** 100.000 VARIES 5.0339 41.03 0.114156 0.114741 0.115342 *** *** 41.28 *** Lloyds TSB Bank PLC 5394E8BY4 07/29/13 07/29/33*** 100.000 VARIES 4.1865 26.83 0.075484 0.076972 0.078490 *** *** 27.90 *** Lloyds TSB Bank PLC 5394E8BV0 07/26/13 07/26/33*** 100.000 VARIES 4.0718 31.98 0.089302 0.090533 0.091790 *** *** 32.76 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Lloyds TSB Bank PLC 5394E8BT5 07/05/13 07/05/33*** 100.000 VARIES 4.1638 33.97 0.095205 0.096833 0.098495 *** *** 35.15 *** Lloyds TSB Bank PLC 5394E8BR9 04/26/13 04/26/33*** 100.000 VARIES 3.6255 27.12 0.076819 0.078159 0.079576 *** *** 28.08 *** Lloyds TSB Bank PLC 5394E8BN8 02/22/13 02/22/33*** 100.000 VARIES 3.6892 30.32 0.084284 0.084453 0.084626 *** *** 30.42 *** Lloyds TSB Bank PLC 5394E8BK4 01/31/13 01/31/33*** 100.000 VARIES 3.6033 30.63 0.085138 0.085232 0.085589 *** *** 30.73 *** Lloyds TSB Bank PLC 5394E8BE8 07/23/12 07/23/24*** 96.000 VARIES 4.6384 29.53 0.010613 0.010859 0.011111 *** *** 3.94 *** MADISON OHIO LOC SCH DIS 558090KE5 12/30/19 12/01/30 70.024 0.000 3.2899 47.32 0.068129 0.069250 0.070389 0.071547 0.072724 24.80 25.62 MADISON OHIO LOC SCH DIS 558090KF2 12/30/19 12/01/31 66.986 0.000 3.3899 46.68 0.067281 0.068422 0.069581 0.070761 0.071960 24.50 25.33 MANSFIELD TEX INDPT SCH 564386RT9 10/29/20 02/15/24 97.062 0.000 0.9071 10.36 0.024635 0.024746 0.024859 0.024971 0.025085 8.92 9.00 MARSHALL TEX INDPT SCH 572682RV6 02/11/21 02/15/25 96.566 0.000 0.8731 7.51 0.023523 0.023626 0.023729 0.023833 0.023937 8.52 8.59 MARSHALL TEX INDPT SCH 572682RW4 02/11/21 02/15/26 95.015 0.000 1.0230 8.66 0.027142 0.027281 0.027421 0.027561 0.027702 9.83 9.93 MARSHALL TEX INDPT SCH 572682RT1 02/11/21 02/15/23 99.173 0.000 0.4133 3.65 0.011411 0.011435 0.011458 4.12 0.50 MARSHALL TEX INDPT SCH 572682RU8 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32 65.193 0.000 3.3310 45.32 0.064335 0.065407 0.066496 0.067604 0.068729 23.42 24.20 MIDLOTHIAN TEX INDPT SCH 5978517L2 11/19/20 02/15/22 99.335 0.000 0.5392 5.99 0.014938 0.66 MIDLOTHIAN TEX INDPT SCH 5978517M0 11/19/20 02/15/23 98.612 0.000 0.6252 6.90 0.017205 0.017259 0.017313 6.22 0.76 MINERAL WELLS TEX INDPT 603109RL5 03/31/21 02/15/23 99.152 0.000 0.4547 3.40 0.012544 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01/01/19 12/31/23*** 100.000 VARIES 0.0000 531.25 0.780014 0.859779 0.947702 *** *** 295.33 *** MOOD MEDIA BORROWER LLC 614875AC6 06/28/19 12/31/23 84.250 VARIES 20.4523 531.26 0.780014 0.859779 0.947702 1.044615 295.33 357.67 MOOD MEDIA BORROWER LLC U55360AB4 06/28/19 12/31/23*** 100.000 VARIES 16.1998 531.25 0.780014 0.859779 0.947702 *** *** 295.33 *** MORGAN STANLEY FINANCE 61774FAE2 09/29/22 10/01/24 100.000 0.000 4.9820 0.138389 0.138427 0.141875 0.145410 12.74 51.08 MORGAN STANLEY FINANCE 61773QWA3 06/14/22 09/14/23 100.000 0.000 3.1935 0.088708 0.089417 0.090844 17.55 22.88 MORGAN STANLEY FINANCE 61773QJ34 04/27/22 04/26/29 100.000 0.000 4.3151 0.119864 0.122436 0.125077 0.127776 29.41 44.90 MORGAN STANLEY FINANCE 61773QZQ5 05/04/22 05/04/22 100.000 0.000 4.0095 0.00 MORGAN STANLEY FINANCE 61774DNM5 06/10/22 06/10/27 100.000 0.000 4.2071 0.116864 0.119322 0.121832 0.124395 23.54 43.51 MORGAN STANLEY FINANCE 61773QZT9 04/29/22 04/29/27 100.000 0.000 3.9369 0.109358 0.111511 0.113706 0.115944 26.60 40.81 MORGAN STANLEY FINANCE 61773QZU6 04/29/22 05/01/29 100.000 0.000 4.1304 0.114733 0.114760 0.117130 0.119549 0.122018 27.91 42.90 MORGAN STANLEY FINANCE 61773QZD4 04/27/22 04/27/27 100.000 0.000 4.1211 0.114475 0.116834 0.119241 0.121698 28.08 42.80 MORGAN STANLEY FINANCE 61773Y359 04/22/22 05/05/26 100.000 0.000 3.9175 0.108819 0.108973 0.111108 0.113284 0.115503 27.25 40.64 MORGAN STANLEY FINANCE 61774DGB7 06/03/22 06/05/25 100.000 0.000 3.5556 0.098767 0.098786 0.100542 0.102330 0.104149 20.59 36.61 MORGAN STANLEY FINANCE 61774DGQ4 06/08/22 06/08/27 100.000 0.000 4.1771 0.116031 0.118454 0.120928 0.123454 23.61 43.20 MORGAN STANLEY FINANCE 61773QZR3 05/04/22 05/04/27 100.000 0.000 4.1269 0.114636 0.117002 0.119416 0.121880 27.30 42.83 MORGAN STANLEY FINANCE 61773QG29 04/29/22 10/29/27 100.000 0.000 3.9912 0.110867 0.113079 0.115336 0.117637 26.97 41.40 MORGAN STANLEY FINANCE 61773QX27 04/29/22 05/01/29 100.000 0.000 4.1304 0.114733 0.114760 0.117130 0.119549 0.122018 27.91 42.90 MORGAN STANLEY FINANCE 61773QVF3 05/04/22 11/02/23 100.000 0.000 3.2368 0.089911 0.091350 0.092828 21.39 27.76 MORGAN STANLEY FINANCE 61773QVD8 05/04/22 08/01/24 100.000 0.000 3.2166 0.089350 0.090045 0.091493 0.092964 21.28 33.11 MORGAN STANLEY FINANCE 61773QVE6 04/28/22 05/31/24 100.000 0.000 3.3113 0.091981 0.092251 0.093779 0.095331 0.096910 22.46 34.14 MORGAN STANLEY FINANCE 61773Y474 05/04/22 11/05/25 100.000 0.000 3.8947 0.108186 0.110305 0.112453 0.114642 25.76 40.34 MORGAN STANLEY FINANCE 61773QUY3 04/25/22 10/25/23 100.000 0.000 3.0862 0.085728 0.087051 0.088394 21.18 25.83 MORGAN STANLEY FINANCE 61773QUZ0 04/27/22 10/26/23 100.000 0.000 3.2353 0.089869 0.091315 0.092792 22.02 27.20 MORGAN STANLEY FINANCE 61773QUX5 04/25/22 10/24/23 100.000 0.000 3.0862 0.085728 0.087043 0.088386 21.18 25.75 MORGAN STANLEY FINANCE 61773QE47 04/27/22 04/26/29 100.000 0.000 4.3151 0.119864 0.122436 0.125077 0.127776 29.41 44.90 MORGAN STANLEY FINANCE 61773QE39 04/27/22 04/27/27 100.000 0.000 4.1211 0.114475 0.116834 0.119241 0.121698 28.08 42.80 MORGAN STANLEY FINANCE 61773QVB2 04/29/22 08/30/24 100.000 0.000 3.5449 0.098469 0.099643 0.101389 0.103206 23.97 36.62 MORGAN STANLEY FINANCE 61773QVC0 04/29/22 04/30/25 100.000 0.000 3.8590 0.107194 0.109274 0.111383 0.113532 26.07 39.98 MORGAN STANLEY FINANCE 61773QVA4 04/29/22 11/29/24 100.000 0.000 3.9696 0.110267 0.110631 0.112827 0.115067 0.117350 26.83 41.17 MORGAN STANLEY FINANCE 61773QYA1 05/04/22 05/04/27 100.000 0.000 4.1269 0.114636 0.117002 0.119416 0.121880 27.30 42.83 MORGAN STANLEY FINANCE 61773Q6U8 06/03/22 06/04/27 100.000 0.000 4.0488 0.112467 0.114756 0.117079 0.119449 23.45 41.86 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773QYD5 04/29/22 05/01/29 100.000 0.000 4.1304 0.114733 0.114760 0.117130 0.119549 0.122018 27.91 42.90 MORGAN STANLEY FINANCE 61773QYB9 05/04/22 05/04/27 100.000 0.000 4.1269 0.114636 0.117002 0.119416 0.121880 27.30 42.83 MORGAN STANLEY FINANCE 61774D5R4 10/05/22 10/05/27 100.000 0.000 5.5476 0.154100 0.158374 0.162767 13.25 56.99 MORGAN STANLEY FINANCE 61774D5S2 10/05/22 10/05/27 100.000 0.000 5.5476 0.154100 0.158374 0.162767 13.25 56.99 MORGAN STANLEY FINANCE 61774D5P8 09/30/22 10/02/29 100.000 0.000 5.6163 0.156008 0.156057 0.160439 0.164945 14.20 57.76 MORGAN STANLEY FINANCE 61774D5Q6 10/05/22 10/05/27 100.000 0.000 5.5476 0.154100 0.158374 0.162767 13.25 56.99 MORGAN STANLEY FINANCE 61774HJT6 10/06/22 10/08/24 100.000 0.000 4.9491 0.137475 0.137513 0.140916 0.144403 11.69 50.69 MORGAN STANLEY FINANCE 61774D5J2 09/30/22 10/02/29 100.000 0.000 5.6163 0.156008 0.156057 0.160439 0.164945 14.20 57.76 MORGAN STANLEY FINANCE 61774DNB9 06/03/22 06/04/27 100.000 0.000 4.0488 0.112467 0.114756 0.117079 0.119449 23.45 41.86 MORGAN STANLEY FINANCE 61774DNL7 06/10/22 06/10/27 100.000 0.000 4.2071 0.116864 0.119322 0.121832 0.124395 23.54 43.51 MORGAN STANLEY FINANCE 61774FFY3 09/30/22 10/02/29 100.000 0.000 5.6163 0.156008 0.156057 0.160439 0.164945 14.20 57.76 MORGAN STANLEY FINANCE 61774B283 07/06/22 07/05/29 100.000 0.000 4.7119 0.130886 0.133953 0.137108 22.91 48.77 MORGAN STANLEY FINANCE 61774D7N1 10/05/22 10/03/25 100.000 0.000 5.2781 0.146614 0.150440 0.154410 12.61 54.16 MORGAN STANLEY FINANCE 61774D7M3 09/30/22 09/30/27 100.000 0.000 5.4789 0.152192 0.156361 0.160644 13.85 56.31 MORGAN STANLEY FINANCE 61774D7K7 09/30/22 10/02/25 100.000 0.000 5.2218 0.145050 0.145092 0.148880 0.152767 13.20 53.60 MORGAN STANLEY FINANCE 61774DGV3 06/03/22 06/04/27 100.000 0.000 4.0488 0.112467 0.114756 0.117079 0.119449 23.45 41.86 MORGAN STANLEY FINANCE 61774FEW8 10/05/22 10/05/27 100.000 0.000 5.5476 0.154100 0.158374 0.162767 13.25 56.99 MORGAN STANLEY FINANCE 61774FEE8 09/30/22 09/30/27 100.000 0.000 5.4789 0.152192 0.156361 0.160644 13.85 56.31 MORGAN STANLEY FINANCE 61773QWJ4 07/07/22 07/05/24 100.000 0.000 3.5515 0.098653 0.100385 0.102168 17.17 36.45 MORGAN STANLEY FINANCE 61774HFR4 09/30/22 09/30/27 100.000 0.000 5.4789 0.152192 0.156361 0.160644 13.85 56.31 MORGAN STANLEY FINANCE 61773QVY2 06/15/22 01/15/25 100.000 0.000 3.9475 0.109653 0.110013 0.112185 0.114399 21.55 40.72 MORGAN STANLEY FINANCE 61773QVZ9 06/09/22 12/11/24 100.000 0.000 3.5284 0.098011 0.098030 0.099760 0.101520 0.103311 19.84 36.30 MORGAN STANLEY FINANCE 61774HF52 10/05/22 10/06/23 100.000 0.000 4.2222 0.117283 0.119773 10.09 32.70 MORGAN STANLEY FINANCE 61773QVW6 06/07/22 10/07/24 100.000 0.000 3.5478 0.098550 0.099715 0.101484 0.103285 20.20 36.52 MORGAN STANLEY FINANCE 61774HEU8 09/29/22 10/01/24 100.000 0.000 4.9580 0.137722 0.137760 0.141175 0.144675 12.67 50.83 MORGAN STANLEY FINANCE 61773QVX4 06/21/22 06/20/25 100.000 0.000 4.3761 0.121558 0.124203 0.126921 0.129698 23.13 45.26 MORGAN STANLEY FINANCE 61773QVU0 06/08/22 12/07/23 100.000 0.000 2.9709 0.082525 0.083744 0.084988 16.78 28.36 MORGAN STANLEY FINANCE 61773QVV8 06/21/22 06/20/25 100.000 0.000 4.3761 0.121558 0.124203 0.126921 0.129698 23.13 45.26 MORGAN STANLEY FINANCE 61774D1A5 06/28/22 07/26/24 100.000 0.000 3.7340 0.103722 0.104023 0.105966 0.107944 19.03 38.41 MORGAN STANLEY FINANCE 61773QVR7 06/03/22 06/05/25 100.000 0.000 3.6428 0.101189 0.101209 0.103053 0.104930 0.106841 21.10 37.54 MORGAN STANLEY FINANCE 61773QVS5 06/02/22 11/30/23 100.000 0.000 2.9497 0.081936 0.083131 0.084357 17.16 27.57 MORGAN STANLEY FINANCE 61774E428 10/05/22 10/03/29 100.000 0.000 5.7054 0.158483 0.162954 0.167603 13.63 58.66 MORGAN STANLEY FINANCE 61774FFZ0 10/05/22 10/05/27 100.000 0.000 5.5476 0.154100 0.158374 0.162767 13.25 56.99 MORGAN STANLEY FINANCE 61774DMB0 06/30/22 07/02/29 100.000 0.000 4.7878 0.132994 0.133030 0.136214 0.139475 24.08 49.62 MORGAN STANLEY FINANCE 61774DML8 07/06/22 07/06/27 100.000 0.000 4.5507 0.126408 0.129285 0.132226 22.12 47.04 MORGAN STANLEY FINANCE 61774DMJ3 06/06/22 06/04/27 100.000 0.000 4.1122 0.114228 0.116550 0.118947 0.121392 23.48 42.52 MORGAN STANLEY FINANCE 61773Y789 06/03/22 12/03/25 100.000 0.000 3.7094 0.103039 0.104950 0.106896 0.108879 21.49 38.24 MORGAN STANLEY FINANCE 61774FAF9 10/05/22 08/04/25 100.000 0.000 5.2329 0.145358 0.147873 0.151742 12.50 53.72 MORGAN STANLEY FINANCE 61774FAC6 09/30/22 10/02/25 100.000 0.000 5.2793 0.146647 0.146690 0.150562 0.154537 13.35 54.20 MORGAN STANLEY FINANCE 61774FAD4 09/21/22 09/19/24 100.000 0.000 4.5365 0.126014 0.128840 0.131763 12.60 46.46 MORGAN STANLEY FINANCE 61774DTP2 07/13/22 07/13/26 100.000 0.000 4.3472 0.120756 0.123380 0.126062 20.29 44.84 MORGAN STANLEY FINANCE 61774FAB8 09/14/22 09/12/24 100.000 0.000 4.1940 0.116500 0.118916 0.121410 12.47 42.91 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61774DLG0 06/30/22 07/02/29 100.000 0.000 4.7878 0.132994 0.133030 0.136214 0.139475 24.08 49.62 MORGAN STANLEY FINANCE 61774DLD7 06/23/22 12/22/25 100.000 0.000 4.3932 0.122033 0.124699 0.127438 0.130237 22.97 45.43 MORGAN STANLEY FINANCE 61773Q6B0 06/03/22 06/04/27 100.000 0.000 4.0488 0.112467 0.114756 0.117079 0.119449 23.45 41.86 Marion CNTY SD #133, IL 568870BN8 05/05/15 12/01/23*** 119.592 VARIES 3.7759 40.34 0.110342 0.109016 0.107666 *** *** 39.40 *** Marion CNTY SD #133, IL 568870BM0 05/05/15 12/01/22 117.424 VARIES 3.5754 37.29 0.101905 0.100623 33.40 Mashantucket Western 574754AM9 07/01/13 07/01/36*** 14.695 VARIES N/A 115.87 0.331636 0.335314 0.339354 *** *** 120.75 *** Mashantucket Western 574754AL1 07/01/13 07/01/26*** 53.461 6.350 N/A 117.49 0.334636 0.343755 0.353578 *** *** 123.83 *** Mclean County, IL 582001FF5 06/30/14 12/01/22 111.828 VARIES 3.8797 39.80 0.109465 0.108625 35.97 Mclean County, IL 582001FG3 06/30/14 12/01/23*** 110.876 VARIES 4.1300 42.71 0.117709 0.116985 0.116246 *** *** 42.20 *** Mclean County, IL 582001FH1 06/30/14 12/01/24*** 109.553 VARIES 4.3801 45.45 0.125462 0.124864 0.124252 *** *** 45.02 *** Miami-Dade County, FL 59333MXE0 12/15/09 12/15/26*** 73.673 5.760 8.7676 144.47 0.054398 0.056783 0.059272 *** *** 20.09 *** Morgan Stanley 61760QAK0 03/30/12 03/30/32*** 100.000 VARIES 5.8741 49.26 0.137526 0.138251 0.139209 *** *** 49.79 *** Morgan Stanley 61745E3Y5 07/29/11 07/29/26*** 100.000 VARIES 5.4529 46.98 0.131491 0.133057 0.134667 *** *** 48.10 *** Morgan Stanley 61761JXP9 03/03/15 03/03/25 100.000 0.000 3.5983 275.75 0.126029 0.128296 0.130604 0.132954 0.135346 46.32 48.00 Morgan Stanley 61768CAV9 10/31/16 10/31/23 100.000 0.000 2.9263 162.07 0.093994 0.095369 0.096765 0.098180 34.25 29.19 Morgan Stanley 61766B259 05/04/16 11/03/23 100.000 0.000 3.0362 185.94 0.099534 0.101045 0.102579 0.104136 36.28 31.26 Morgan Stanley 61745E3T6 12/27/11 12/27/26*** 100.000 VARIES 6.9292 61.22 0.172510 0.174245 0.176040 *** *** 62.43 *** Morgan Stanley 61760QAG9 03/15/12 03/15/32*** 100.000 VARIES 5.5710 47.78 0.133260 0.133886 0.134530 *** *** 48.22 *** Morgan Stanley 61745EE49 04/15/11 04/15/26*** 100.000 VARIES 5.7613 55.86 0.155784 0.156377 0.156933 *** *** 56.28 *** Morgan Stanley 61745EV65 01/20/09 01/20/24*** 100.000 VARIES 5.9022 57.40 0.159870 0.160607 0.161365 *** *** 57.93 *** Morgan Stanley 61745E3S8 07/29/11 07/29/31*** 100.000 VARIES 5.6231 49.44 0.137688 0.138248 0.138824 *** *** 49.84 *** Morgan Stanley 61761JGH6 05/30/13 05/31/33*** 100.000 VARIES 4.3438 39.98 0.109913 0.109421 0.110134 *** *** 40.04 *** Morgan Stanley 61764V828 06/03/15 12/05/22 100.000 0.000 3.2131 233.29 0.109820 0.111584 37.00 Morgan Stanley 61760QAP9 03/30/12 03/30/27*** 100.000 VARIES 5.8451 51.83 0.145028 0.146139 0.147472 *** *** 52.63 *** Morgan Stanley 61760QJA3 11/25/15 11/25/25*** 100.000 VARIES 2.4581 3.14 0.008871 0.008980 0.009090 *** *** 3.22 *** Morgan Stanley 61760QAN4 03/30/12 03/30/32*** 100.000 VARIES 6.0912 53.30 0.148332 0.148612 0.149269 *** *** 53.54 *** Morgan Stanley 61761JGS2 05/24/13 05/24/33*** 100.000 VARIES 4.1821 38.05 0.105809 0.105944 0.106083 *** *** 38.13 *** Morgan Stanley 61760QJK1 02/17/16 02/17/26*** 100.000 VARIES 2.3885 36.91 0.017337 0.017544 0.017754 *** *** 6.33 *** Morgan Stanley 61760QJJ4 01/28/16 01/28/23*** 100.000 VARIES 2.2365 19.54 0.009550 0.009657 0.009765 *** *** 3.49 *** Morgan Stanley 61760QAW4 04/30/12 04/30/32*** 100.000 VARIES 5.9580 50.53 0.141328 0.142201 0.143089 *** *** 51.14 *** Morgan Stanley 61745EN64 05/19/11 05/19/26*** 100.000 VARIES 5.5224 51.24 0.142408 0.140782 0.144098 *** *** 51.75 *** Morgan Stanley 61758S559 09/02/14 07/03/23 100.000 0.000 3.4567 285.65 0.121373 0.123471 0.125605 0.127776 44.83 23.25 Morgan Stanley 61745EN72 09/30/11 09/30/31*** 100.000 VARIES 6.1252 51.27 0.143568 0.144762 0.145994 *** *** 52.12 *** Morgan Stanley 61745E4E8 07/29/11 07/29/26*** 100.000 VARIES 5.4933 50.68 0.141487 0.142618 0.143780 *** *** 51.49 *** Morgan Stanley 617482UH5 05/31/11 05/29/26*** 100.000 VARIES 5.3835 52.15 0.145009 0.145134 0.145502 *** *** 52.24 *** Morgan Stanley 61760QJT2 03/20/17 03/20/27*** 100.000 VARIES 2.5542 12.52 0.007200 0.007292 0.007385 *** *** 2.63 *** Morgan Stanley 61760QJS4 02/24/17 02/24/27*** 100.000 VARIES 2.8869 25.15 0.013806 0.014006 0.014208 *** *** 5.06 *** Morgan Stanley 61761JHD4 06/28/13 06/28/33*** 100.000 VARIES 5.2916 47.98 0.133387 0.133528 0.133672 *** *** 48.05 *** Morgan Stanley 61765U803 03/03/16 09/01/23 100.000 0.000 3.5888 230.39 0.121206 0.123381 0.125595 0.127849 44.55 30.55 Morgan Stanley 617482VB7 06/30/11 06/30/31*** 100.000 VARIES 5.5330 50.07 0.139182 0.139257 0.139570 *** *** 50.12 *** Morgan Stanley 61766B135 04/05/16 10/04/23 100.000 0.000 3.0621 190.57 0.100524 0.102063 0.103625 0.105212 36.74 28.58 Morgan Stanley 61745EF97 08/31/11 08/31/31*** 100.000 VARIES 5.6735 51.02 0.141495 0.139873 0.142907 *** *** 51.52 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QHT4 10/07/15 10/07/25*** 100.000 VARIES 2.4403 3.53 0.009940 0.010061 0.010184 *** *** 3.62 *** Morgan Stanley 61745E4T5 01/13/12 01/13/32*** 100.000 VARIES 6.1787 50.15 0.139824 0.140774 0.141754 *** *** 50.83 *** Morgan Stanley 617482UY8 06/15/11 06/13/31*** 100.000 VARIES 5.5345 49.59 0.137997 0.138269 0.138549 *** *** 49.74 *** Morgan Stanley 61766B168 04/05/16 10/04/23 100.000 0.000 3.0621 190.57 0.100524 0.102063 0.103625 0.105212 36.74 28.58 Morgan Stanley 61745EF63 05/18/10 05/18/25*** 100.000 VARIES 6.0399 59.09 0.164504 0.164862 0.165231 *** *** 59.32 *** Morgan Stanley 61745EW49 01/30/09 01/30/24*** 100.000 VARIES 6.4553 63.01 0.175452 0.176115 0.176800 *** *** 63.49 *** Morgan Stanley 61745EW23 06/23/11 06/23/26*** 100.000 VARIES 5.4880 47.87 0.135101 0.136621 0.138345 *** *** 48.94 *** Morgan Stanley 61760S621 03/18/14 07/18/22 100.000 0.000 3.7451 335.03 0.136568 0.139125 27.36 Morgan Stanley 61745EW31 10/27/11 10/27/31*** 100.000 VARIES 6.4618 63.53 0.177037 0.177551 0.178082 *** *** 63.89 *** Morgan Stanley 61745EF22 04/15/11 04/15/26*** 100.000 VARIES 5.8397 61.11 0.169365 0.168987 0.168192 *** *** 60.81 *** Morgan Stanley 61745E4L2 07/29/11 07/29/26*** 100.000 VARIES 5.5117 48.03 0.134361 0.135837 0.137353 *** *** 49.09 *** Morgan Stanley 61760QHZ0 11/10/15 11/10/25*** 100.000 VARIES 2.5656 3.17 0.008946 0.009061 0.009177 *** *** 3.25 *** Morgan Stanley 61765R669 11/04/15 05/05/23 100.000 0.000 3.3210 224.91 0.112417 0.114284 0.116182 41.02 14.41 Morgan Stanley 61761JWZ8 02/24/15 02/24/23 100.000 0.000 3.1504 238.91 0.107227 0.108916 0.110631 39.34 5.86 Morgan Stanley 6174824H4 04/30/13 04/28/23*** 100.000 VARIES 3.0093 29.66 0.082709 0.082987 0.083287 *** *** 29.86 *** Morgan Stanley 61760QAC8 02/29/12 02/29/32*** 100.000 VARIES 5.1025 47.73 0.132137 0.130325 0.132795 *** *** 47.98 *** Morgan Stanley 61760QAB0 02/29/12 02/29/32*** 100.000 VARIES 5.1014 44.14 0.122444 0.121076 0.123738 *** *** 44.60 *** Morgan Stanley 61761JGF0 05/08/13 05/06/33*** 100.000 VARIES 3.9967 36.84 0.102371 0.102440 0.102510 *** *** 36.87 *** Morgan Stanley 61758S625 10/03/14 03/31/22 100.000 0.000 3.6906 303.39 0.132385 11.78 Morgan Stanley 61766F839 02/03/17 02/03/22 100.000 0.000 3.0758 161.74 0.098019 3.14 Morgan Stanley 61765U175 12/03/15 06/02/23 100.000 0.000 3.3916 226.82 0.115265 0.117220 0.119208 41.96 18.00 Morgan Stanley 61745E5Z0 01/31/12 01/31/32*** 100.000 VARIES 5.6272 49.40 0.137561 0.138113 0.138681 *** *** 49.79 *** Morgan Stanley 61745E5X5 03/22/11 03/22/31*** 100.000 VARIES 5.8739 57.84 0.160995 0.161394 0.161804 *** *** 58.11 *** Morgan Stanley 61760QCK8 02/28/13 03/01/23*** 100.000 VARIES 1.9099 3.59 0.010064 0.010161 0.010258 *** *** 3.66 *** Morgan Stanley 61760QKZ6 03/22/18 03/22/28 100.000 VARIES 3.8651 146.14 0.107052 0.105368 0.107132 0.105424 0.106578 38.77 38.73 Morgan Stanley 61760QCW2 06/28/13 06/28/28*** 100.000 VARIES 4.2811 40.23 0.112752 0.113454 0.114007 *** *** 40.72 *** Morgan Stanley 61760QCV4 06/28/13 06/28/28*** 100.000 VARIES 4.3010 40.38 0.113185 0.113888 0.114446 *** *** 40.88 *** Morgan Stanley 6174824W1 05/30/13 05/30/28*** 100.000 VARIES 3.5684 34.51 0.096134 0.096343 0.096556 *** *** 34.66 *** Morgan Stanley 61745EX63 06/30/11 06/30/31*** 100.000 VARIES 5.7759 49.91 0.139383 0.139979 0.140591 *** *** 50.29 *** Morgan Stanley 61762P476 08/09/13 08/09/23 100.000 0.000 4.3446 434.53 0.170207 0.173905 0.177682 0.181542 63.00 39.43 Morgan Stanley 61760QCT9 06/28/13 06/28/28*** 100.000 VARIES 4.5851 40.47 0.113701 0.114622 0.115565 *** *** 41.10 *** Morgan Stanley 61745E5S6 08/22/11 08/22/31*** 100.000 VARIES 5.6565 51.07 0.142368 0.143036 0.143724 *** *** 51.55 *** Morgan Stanley 61745EG62 04/25/11 04/25/23*** 100.000 VARIES 5.6779 56.87 0.156149 0.155202 0.156021 *** *** 56.81 *** Morgan Stanley 61760QCS1 06/07/13 06/07/28*** 100.000 VARIES 4.0272 35.31 0.098949 0.099697 0.100460 *** *** 35.79 *** Morgan Stanley 61760QLC6 05/03/18 05/03/28 100.000 VARIES 3.4370 13.55 0.009683 0.009849 0.010018 0.010190 0.010366 3.54 3.66 Morgan Stanley 61760QCQ5 06/28/13 06/28/28*** 100.000 VARIES 3.9696 35.79 0.100381 0.101071 0.101776 *** *** 36.27 *** Morgan Stanley 61760QLB8 04/03/18 04/03/28 100.000 VARIES 3.4407 20.73 0.014503 0.014752 0.015006 0.015264 0.015527 5.31 5.49 Morgan Stanley 61760QLA0 04/03/18 04/03/28 100.000 VARIES 3.1280 9.45 0.006652 0.006756 0.006861 0.006969 0.007078 2.43 2.51 Morgan Stanley 61761JB24 07/06/15 07/06/22 100.000 0.000 3.3973 244.22 0.115508 0.117471 21.72 Morgan Stanley 61761JJB6 06/18/13 06/18/32*** 100.000 VARIES 4.7373 44.13 0.122673 0.122794 0.122918 *** *** 44.19 *** Morgan Stanley 61760QLN2 07/31/18 07/31/23 100.000 VARIES 3.2828 10.21 0.008402 0.008540 0.008680 0.008823 3.09 1.84 Morgan Stanley 61760QLM4 06/29/18 06/29/23 100.000 VARIES 3.2564 10.69 0.008717 0.008859 0.009004 3.16 1.60 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QCZ5 07/31/13 07/31/33*** 100.000 VARIES 4.4981 39.35 0.109697 0.110297 0.110910 *** *** 39.78 *** Morgan Stanley 61760QCY8 07/31/13 07/31/28*** 100.000 VARIES 4.5084 41.87 0.116752 0.117464 0.118192 *** *** 42.38 *** Morgan Stanley 61760QLJ1 06/29/18 06/29/23 100.000 VARIES 3.3558 14.22 0.011332 0.011522 0.011716 4.11 2.09 Morgan Stanley 61760QLX0 09/26/18 09/26/28 100.000 VARIES 3.8192 8.82 0.006824 0.006955 0.007087 0.007223 0.007361 2.51 2.60 Morgan Stanley 61745E6D8 03/23/11 03/23/26*** 100.000 VARIES 5.5647 55.54 0.154442 0.154614 0.154701 *** *** 55.66 *** Morgan Stanley 61745E6E6 08/24/11 08/24/23*** 100.000 VARIES 4.5799 46.13 0.128014 0.127822 0.127626 *** *** 46.00 *** Morgan Stanley 61760QDE1 08/28/13 08/28/33*** 100.000 VARIES 4.4982 37.43 0.104188 0.104710 0.105244 *** *** 37.73 *** Morgan Stanley 61760QDD3 08/19/13 08/19/33*** 100.000 VARIES 4.5466 38.68 0.107757 0.108352 0.108960 *** *** 39.06 *** Morgan Stanley 61760QDB7 08/19/13 08/19/33*** 100.000 VARIES 4.7352 43.65 0.121715 0.122311 0.122922 *** *** 44.08 *** Morgan Stanley 61760QBJ2 05/31/12 05/31/27*** 100.000 VARIES 6.1478 52.08 0.146354 0.147938 0.149571 *** *** 53.07 *** Morgan Stanley 61766B366 06/03/16 12/05/23 100.000 0.000 3.0194 181.96 0.098918 0.100411 0.101927 0.103466 35.96 34.32 Morgan Stanley 61765G804 09/03/15 03/03/23 100.000 0.000 3.4969 245.33 0.119595 0.121686 0.123814 43.93 7.68 Morgan Stanley 61760QBH6 05/31/12 05/31/27*** 100.000 VARIES 6.1478 52.08 0.146354 0.147938 0.149571 *** *** 53.07 *** Morgan Stanley 61760QBG8 05/16/12 05/16/22 100.000 VARIES 3.9371 9.27 0.026378 3.56 Morgan Stanley 61745E6Y2 08/12/11 08/12/23*** 100.000 VARIES 5.0167 50.40 0.139929 0.139791 0.139648 *** *** 50.31 *** Morgan Stanley 61760QJV7 03/31/17 03/31/27*** 100.000 VARIES 2.8769 20.18 0.011299 0.011461 0.011626 *** *** 4.13 *** Morgan Stanley 61745E6V8 04/15/10 04/15/25*** 100.000 VARIES 5.5533 54.96 0.152855 0.153039 0.153229 *** *** 55.09 *** Morgan Stanley 61766V578 04/05/17 10/04/23 100.000 0.000 3.3161 168.70 0.106798 0.108568 0.110369 0.112199 39.08 30.46 Morgan Stanley 61768CST5 12/08/17 06/10/24 100.000 0.000 3.1083 133.55 0.097695 0.099213 0.100755 0.102321 0.103911 35.51 36.62 Morgan Stanley 61760QKF0 12/30/16 12/30/26*** 100.000 VARIES 2.8667 23.10 0.012498 0.012677 0.012859 *** *** 4.53 *** Morgan Stanley 61760QKE3 12/28/16 12/28/26*** 100.000 VARIES 2.2900 13.31 0.007232 0.007315 0.007399 *** *** 2.62 *** Morgan Stanley 61745EH46 04/26/11 04/26/26*** 100.000 VARIES 5.7525 50.49 0.140336 0.141063 0.143661 *** *** 51.58 *** Morgan Stanley 61745E6R7 03/25/11 03/25/31*** 100.000 VARIES 5.9463 53.48 0.149531 0.150596 0.151692 *** *** 54.23 *** Morgan Stanley 61760QKA1 09/30/16 09/30/26*** 100.000 VARIES 2.5378 34.34 0.017769 0.017994 0.018223 *** *** 6.48 *** Morgan Stanley 61745EY47 06/30/11 06/30/26*** 100.000 VARIES 5.5720 51.98 0.145905 0.146960 0.147955 *** *** 52.72 *** Morgan Stanley 61764C275 11/05/14 04/29/22 100.000 0.000 3.5062 282.43 0.124151 14.65 Morgan Stanley 61762GBE3 03/11/14 03/04/24*** 100.000 VARIES 3.8517 39.29 0.108852 0.108497 0.108137 *** *** 39.04 *** Morgan Stanley 61762GBF0 03/31/14 03/29/29*** 100.000 VARIES 4.2966 46.14 0.128099 0.128034 0.127687 *** *** 46.07 *** Morgan Stanley 61761JZB8 06/03/15 06/03/22 100.000 0.000 3.2133 233.31 0.109809 16.69 Morgan Stanley 61760QBZ6 10/10/12 10/10/24*** 100.000 VARIES 4.6395 46.39 0.128874 0.128876 0.128877 *** *** 46.40 *** Morgan Stanley 61760QBY9 10/15/12 10/15/24*** 100.000 VARIES 4.4801 44.81 0.124456 0.124434 0.124412 *** *** 44.80 *** Morgan Stanley 61760QKK9 06/30/17 06/30/27 100.000 VARIES 2.7385 19.24 0.011372 0.011528 0.011686 0.011846 0.012008 4.12 4.24 Morgan Stanley 617482H23 03/16/12 03/16/27*** 100.000 VARIES 6.4024 60.26 0.167597 0.168095 0.168610 *** *** 60.53 *** Morgan Stanley 61760QKH6 02/21/17 02/21/27*** 100.000 VARIES 2.7058 12.71 0.007183 0.007280 0.007379 *** *** 2.63 *** Morgan Stanley 61760QCG7 01/31/13 01/31/23*** 100.000 VARIES 2.1326 3.68 0.010295 0.010404 0.010515 *** *** 3.76 *** Morgan Stanley 61760QKU7 09/29/17 09/29/27 100.000 VARIES 2.7477 17.51 0.010770 0.010917 0.011067 0.011220 0.011374 3.93 4.04 Morgan Stanley 61760QCD4 12/28/12 12/28/22 100.000 VARIES 2.1577 3.37 0.009507 0.009610 3.41 Morgan Stanley 61760QCB8 11/28/12 11/28/27*** 100.000 VARIES 4.4679 50.34 0.139460 0.139162 0.138858 *** *** 50.13 *** Morgan Stanley 61745E7E5 08/31/11 08/31/26*** 100.000 VARIES 5.5216 47.37 0.132113 0.131529 0.135350 *** *** 48.51 *** Morgan Stanley 61760QKR4 09/15/17 09/15/27 100.000 VARIES 2.6232 17.34 0.010600 0.010739 0.010880 0.011022 0.011167 3.87 3.97 Morgan Stanley 61760QKQ6 08/02/17 08/02/27 100.000 VARIES 2.7106 20.06 0.011926 0.012088 0.012252 0.012418 0.012586 4.37 4.49 Morgan Stanley 617482XG4 08/30/11 08/29/31*** 100.000 VARIES 6.1189 55.32 0.151159 0.152009 0.151198 *** *** 55.33 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61766YAN1 09/30/16 09/30/26*** 100.000 VARIES 2.2435 16.67 0.008840 0.008939 0.009039 *** *** 3.22 *** Morgan Stanley 61765U381 01/05/16 07/06/23 100.000 0.000 3.3685 221.47 0.112451 0.114345 0.116271 0.118229 41.49 21.86 Morgan Stanley 617482PU2 12/22/10 12/22/25*** 100.000 VARIES 6.2468 58.92 0.164672 0.165401 0.166153 *** *** 59.43 *** Morgan Stanley 61765R271 09/18/15 03/20/23 100.000 0.000 3.6136 252.53 0.124465 0.126714 0.129003 45.67 10.19 Morgan Stanley 61760QEZ3 09/17/14 09/17/34*** 100.000 VARIES 2.6675 3.72 0.010461 0.010601 0.010742 *** *** 3.82 *** Morgan Stanley 61766YAD3 05/25/16 05/25/23*** 100.000 VARIES 1.9635 15.73 0.008010 0.008088 0.008168 *** *** 2.90 *** Morgan Stanley 61745EZ87 07/07/11 07/07/26*** 100.000 VARIES 5.7789 54.41 0.151701 0.152310 0.152937 *** *** 54.94 *** Morgan Stanley 61761JKY4 09/30/13 09/30/33*** 100.000 VARIES 4.8148 44.53 0.123725 0.123869 0.124017 *** *** 44.59 *** Morgan Stanley 61745EJ28 04/29/11 04/29/26*** 100.000 VARIES 5.7372 51.83 0.145219 0.146447 0.147710 *** *** 52.65 *** Morgan Stanley 61760QFH2 10/30/14 10/30/24*** 100.000 VARIES 2.1052 20.49 0.057170 0.057382 0.057596 *** *** 20.65 *** Morgan Stanley 61765G309 07/06/15 01/05/23 100.000 0.000 3.3974 244.22 0.115502 0.117464 0.119459 42.63 0.48 Morgan Stanley 61745ER60 05/31/11 05/31/31*** 100.000 VARIES 5.6682 49.64 0.138465 0.139007 0.139564 *** *** 49.98 *** Morgan Stanley 61766F250 11/03/16 05/03/24 100.000 0.000 2.9896 165.53 0.096327 0.097767 0.099228 0.100712 0.102217 35.11 36.16 Morgan Stanley 61767BAA8 02/22/16 02/23/26*** 100.000 VARIES 3.7844 223.49 0.106802 0.106852 0.106903 *** *** 38.47 *** Morgan Stanley 61766B598 07/06/16 01/04/22 100.000 0.000 2.5838 151.25 0.081591 0.24 Morgan Stanley 61764V364 04/06/15 04/05/22 100.000 0.000 2.9611 219.00 0.099562 9.36 Morgan Stanley 61760QDL5 09/26/13 09/26/33*** 100.000 VARIES 4.6879 40.29 0.112267 0.112754 0.113253 *** *** 40.60 *** Morgan Stanley 61761JJP5 07/31/13 07/29/33*** 100.000 VARIES 4.8133 44.13 0.122545 0.122634 0.122725 *** *** 44.16 *** Morgan Stanley 61760QMF8 11/28/18 11/28/28 100.000 VARIES 3.9167 17.56 0.013374 0.013636 0.013903 0.014176 0.014453 4.88 5.07 Morgan Stanley 61745EJ93 09/09/11 09/09/26*** 100.000 VARIES 5.8527 53.00 0.148174 0.149393 0.150649 *** *** 53.84 *** Morgan Stanley 61761JJY6 07/15/13 07/15/33*** 99.000 VARIES 4.8838 45.57 0.126590 0.126725 0.126863 *** *** 45.64 *** Morgan Stanley 61760QDR2 11/27/13 11/27/33*** 100.000 VARIES 4.4302 36.80 0.102842 0.103568 0.104309 *** *** 37.20 *** Morgan Stanley 61766B564 07/06/16 01/03/24 100.000 0.000 2.7558 162.02 0.087757 0.088966 0.090192 0.091434 0.092694 32.24 33.14 Morgan Stanley 61760QEC4 03/31/14 03/31/34*** 100.000 VARIES 4.3149 38.00 0.105779 0.106011 0.106314 *** *** 38.17 *** Morgan Stanley 617482RH9 02/28/11 02/27/26*** 100.000 VARIES 5.9551 56.79 0.158088 0.158511 0.159140 *** *** 57.12 *** Morgan Stanley 61766YAB7 05/25/16 05/25/26*** 100.000 VARIES 2.2927 18.75 0.009430 0.009538 0.009647 *** *** 3.42 *** Morgan Stanley 61760QMM3 02/25/19 02/25/29*** 100.000 VARIES 3.3395 15.76 0.013749 0.013979 0.014212 *** *** 5.05 *** Morgan Stanley 61760QMZ4 06/19/20 06/19/30 100.000 VARIES 1.9060 28.91 0.051960 0.052139 0.052306 0.052456 0.052593 18.74 18.86 Morgan Stanley 61761JKL2 08/30/13 08/30/33*** 100.000 VARIES 5.0532 46.49 0.127703 0.127139 0.127976 *** *** 46.54 *** Morgan Stanley 61760QGW8 07/31/15 07/31/27*** 100.000 VARIES 2.7281 3.78 0.010596 0.010741 0.010887 *** *** 3.88 *** Morgan Stanley 61760QGV0 07/31/15 07/31/27*** 100.000 VARIES 2.7160 3.39 0.009498 0.009627 0.009758 *** *** 3.48 *** Morgan Stanley 61761JMZ9 12/26/13 06/27/22 100.000 0.000 3.9457 367.70 0.149838 26.37 Morgan Stanley 61761JMW6 11/29/13 03/29/22 100.000 0.000 3.7206 347.53 0.137955 12.14 Morgan Stanley 61745ET27 05/31/11 05/31/26*** 100.000 VARIES 5.5394 54.01 0.150265 0.150440 0.150765 *** *** 54.14 *** Morgan Stanley 61760QGP3 06/30/15 06/30/22 100.000 VARIES 1.5573 3.90 0.010750 1.92 Morgan Stanley 61764V646 05/05/15 11/03/22 100.000 0.000 3.1620 232.24 0.107683 0.109385 32.83 Morgan Stanley 6174464Q9 03/20/08 03/20/23*** 78.350 2.624 4.6440 44.70 0.125266 0.126482 0.127726 *** *** 45.56 *** Morgan Stanley 61765G564 08/05/15 02/03/23 100.000 0.000 3.4449 244.59 0.117434 0.119457 0.121514 43.24 3.89 Morgan Stanley 61745E2F7 11/28/11 11/28/26*** 100.000 VARIES 6.0157 54.07 0.151820 0.153109 0.154437 *** *** 54.97 *** Morgan Stanley 61745E2E0 07/11/11 07/11/23*** 100.000 VARIES 5.5160 55.61 0.154332 0.154071 0.153803 *** *** 55.42 *** Morgan Stanley 61745EL58 09/16/11 09/16/31*** 100.000 VARIES 5.8547 50.96 0.142532 0.143324 0.144139 *** *** 51.62 *** Morgan Stanley 6174464P1 03/20/08 03/20/23*** 81.700 2.935 4.6422 44.95 0.125796 0.126823 0.127875 *** *** 45.68 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61760QHA5 08/28/15 08/28/25*** 100.000 VARIES 2.5293 2.87 0.008045 0.008147 0.008250 *** *** 2.94 *** Morgan Stanley 61761JNF2 12/26/13 12/27/33*** 100.000 VARIES 4.7412 44.12 0.121189 0.120645 0.121430 *** *** 44.14 *** Morgan Stanley 61760QHQ0 09/30/15 09/30/22 100.000 VARIES 1.6929 3.59 0.010049 0.010134 2.72 Morgan Stanley 61766F466 12/05/16 06/05/24 100.000 0.000 3.5039 192.68 0.115791 0.117820 0.119884 0.121985 0.124122 42.16 43.65 Morgan Stanley 61761JLY3 10/31/13 10/31/33*** 100.000 VARIES 4.7082 42.81 0.118829 0.118945 0.119065 *** *** 42.81 *** Morgan Stanley 61764V570 04/01/15 11/07/25 100.000 0.000 3.4095 256.41 0.118387 0.120405 0.122457 0.124545 0.126668 43.20 44.69 Morgan Stanley 61745EU66 06/10/11 06/10/26*** 100.000 VARIES 5.3579 52.92 0.146927 0.146882 0.147034 *** *** 52.89 *** Morgan Stanley 61761JLU1 09/30/13 09/30/33*** 100.000 VARIES 4.8742 46.01 0.127829 0.127939 0.128052 *** *** 46.06 *** Morgan Stanley 61745E2S9 07/13/11 07/13/31*** 100.000 VARIES 5.5541 48.86 0.135894 0.136195 0.136505 *** *** 49.08 *** Morgan Stanley 61745ED65 04/08/11 04/08/26*** 100.000 VARIES 5.9065 59.21 0.164806 0.165146 0.165172 *** *** 59.42 *** Morgan Stanley 61762GFA7 10/30/15 10/30/23 100.000 0.000 3.5009 238.81 0.119760 0.121857 0.123990 0.126160 43.75 37.46 Morgan Stanley 61761JDB2 02/20/13 02/18/33*** 100.000 VARIES 4.5201 40.72 0.113178 0.113292 0.113407 *** *** 40.80 *** Morgan Stanley 61745E2M2 11/30/11 11/30/31*** 100.000 VARIES 6.5857 57.92 0.161331 0.162045 0.162783 *** *** 58.25 *** Morgan Stanley 61745E2K6 01/21/11 01/21/26*** 100.000 VARIES 5.7295 49.18 0.137769 0.139757 0.141802 *** *** 50.60 *** Morgan Stanley 61760E341 06/29/11 06/24/26*** 100.000 1.000 5.3273 82.28 0.236398 0.241955 0.247660 *** *** 86.18 *** Morgan Stanley 61765R438 10/05/15 04/04/23 100.000 0.000 3.3207 228.15 0.112385 0.114251 0.116148 41.12 10.80 Morgan Stanley 61745E3D1 02/14/11 02/14/31*** 100.000 VARIES 6.0719 50.94 0.142421 0.143750 0.145118 *** *** 51.88 *** Morgan Stanley 61760QGA6 05/27/15 05/27/30*** 100.000 VARIES 2.7018 3.23 0.009135 0.009259 0.009384 *** *** 3.32 *** Morgan Stanley 61760QGB4 05/20/15 05/20/25*** 100.000 VARIES 2.6352 2.97 0.008395 0.008505 0.008618 *** *** 3.05 *** Morgan Stanley 61745EM81 05/17/11 05/17/23*** 100.000 VARIES 5.1511 51.73 0.143522 0.143376 0.143234 *** *** 51.63 *** Morgan Stanley 61745EM32 09/22/11 09/22/26*** 100.000 VARIES 5.5348 50.07 0.140035 0.141066 0.142125 *** *** 50.81 *** Morgan Stanley 61745E2Z3 11/30/11 11/30/31*** 100.000 VARIES 6.7334 56.89 0.159188 0.160101 0.161045 *** *** 57.53 *** Morgan Stanley Finance 61773E700 10/05/21 10/04/28 100.000 0.000 2.0411 4.88 0.056698 0.057273 0.057858 0.058448 0.059045 20.62 21.04 Morgan Stanley Finance 61771BJV7 07/06/20 07/03/25 100.000 0.000 1.2523 18.73 0.035220 0.035440 0.035662 0.035886 0.036110 12.80 12.96 Morgan Stanley Finance 61768CRZ2 10/31/17 10/31/23 100.000 0.000 2.9977 132.11 0.093795 0.095201 0.096628 0.098076 34.19 29.15 Morgan Stanley Finance 61768CB89 02/28/18 03/03/26 100.000 0.000 3.7712 154.39 0.119452 0.121704 0.123999 0.126337 0.128720 43.94 45.62 Morgan Stanley Finance 61768R583 08/15/18 08/14/25 100.000 0.000 3.9076 139.69 0.121895 0.124277 0.126705 0.129180 0.131704 44.97 46.74 Morgan Stanley Finance 61771BJQ8 06/30/20 06/30/27 100.000 0.000 1.6297 24.69 0.046385 0.046763 0.047144 0.047528 0.047916 16.77 17.04 Morgan Stanley Finance 61769HKB0 08/05/19 08/04/22 100.000 0.000 2.5169 62.03 0.073495 0.074420 15.82 MORGAN STANLEY FINANCE 61773Y110 03/21/22 09/21/26 100.000 0.000 3.2764 0.091012 0.092503 0.094019 0.095559 25.63 33.88 Morgan Stanley Finance 61769HJV8 08/05/19 08/05/24 100.000 0.000 2.7548 68.05 0.080826 0.081939 0.083068 0.084212 0.085372 29.63 30.45 MORGAN STANLEY FINANCE 61773HZ28 02/09/22 02/09/26 100.000 0.000 2.3951 0.066531 0.067328 0.068134 0.068950 21.54 24.61 Morgan Stanley Finance 61771V3W8 06/30/21 06/29/28 100.000 0.000 1.9839 9.98 0.055652 0.056204 0.056762 0.057325 0.057893 20.14 20.54 Morgan Stanley Finance 61769HJU0 07/02/19 07/03/24 100.000 0.000 2.6771 68.67 0.078433 0.079483 0.080547 0.081625 0.082718 28.80 29.58 MORGAN STANLEY FINANCE 61774DFZ5 06/01/22 05/29/26 100.000 0.000 3.7654 0.104594 0.106542 0.108548 0.110591 22.03 38.85 Morgan Stanley Finance 61771V3Q1 07/06/21 07/06/26 100.000 0.000 1.4969 7.28 0.041582 0.041893 0.042206 0.042522 0.042841 15.13 15.36 Morgan Stanley Finance 61769HJY2 07/31/19 05/02/23 100.000 0.000 2.6026 64.60 0.076639 0.077636 0.078647 27.89 9.52 Morgan Stanley Finance 61769HTA3 09/30/19 06/29/23 100.000 0.000 2.4287 55.91 0.071227 0.072092 0.072967 25.80 12.99 Morgan Stanley Finance 61768T381 11/05/18 11/05/25 100.000 0.000 4.2534 142.09 0.134050 0.136901 0.139813 0.142786 0.145823 49.09 51.20 MORGAN STANLEY FINANCE 61773HY94 02/09/22 02/08/29 100.000 0.000 2.8839 0.080108 0.081257 0.082428 0.083617 25.96 29.80 Morgan Stanley Finance 61769HKS3 08/05/19 08/05/24 100.000 0.000 2.7548 68.05 0.080826 0.081939 0.083068 0.084212 0.085372 29.63 30.45 Morgan Stanley Finance 61766YFJ5 03/03/21 03/02/23 100.000 0.000 0.4795 3.97 0.013350 0.013382 0.013414 4.82 0.82 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61769HKR5 08/05/19 08/04/22 100.000 0.000 2.5169 62.03 0.073495 0.074420 15.82 Morgan Stanley Finance 61770FCR5 01/29/20 01/28/27 100.000 0.000 2.4281 47.50 0.069928 0.070777 0.071636 0.072506 0.073386 25.59 26.21 Morgan Stanley Finance 61770FLC8 02/19/20 02/19/25 100.000 0.000 2.1606 40.94 0.061982 0.062651 0.063328 0.064012 0.064704 22.61 23.10 Morgan Stanley Finance 61770G641 04/03/20 04/06/26 100.000 0.000 2.6405 46.85 0.076306 0.077314 0.078334 0.079368 0.080416 27.82 28.56 MORGAN STANLEY FINANCE 61773U548 03/03/22 03/04/26 100.000 0.000 2.5450 0.070700 0.071599 0.072511 0.073433 21.17 26.15 Morgan Stanley Finance 61770FCS3 01/30/20 02/01/24 100.000 0.000 2.0269 39.47 0.058034 0.058622 0.059216 0.059816 0.060422 21.18 21.61 Morgan Stanley Finance 61771BJP0 06/30/20 06/30/27 100.000 0.000 1.6297 24.69 0.046385 0.046763 0.047144 0.047528 0.047916 16.77 17.04 Morgan Stanley Finance 61768R591 08/15/18 08/15/24 100.000 0.000 3.7617 134.19 0.116853 0.119051 0.121290 0.123572 0.125896 43.07 44.70 Morgan Stanley Finance 61768CSH1 10/30/17 10/28/32 100.000 0.000 3.7753 158.52 0.104903 0.106884 0.105378 0.107367 0.106057 38.15 38.34 Morgan Stanley Finance 61771BRF3 07/31/20 08/02/27 100.000 0.000 1.3386 19.12 0.037685 0.037937 0.038191 0.038447 0.038704 13.69 13.87 Morgan Stanley Finance 61771BRE6 07/31/20 08/04/27 100.000 0.000 1.3386 19.12 0.037688 0.037940 0.038194 0.038450 0.038707 13.69 13.87 MORGAN STANLEY FINANCE 61773N858 02/03/22 02/05/29 100.000 0.000 2.6759 0.074332 0.074343 0.075337 0.076345 0.077367 24.53 27.60 Morgan Stanley Finance 61768CZF7 02/28/18 02/27/25 100.000 0.000 3.6613 149.61 0.115462 0.117576 0.119728 0.121920 0.124152 42.48 44.05 Morgan Stanley Finance 61770FC38 04/30/20 04/30/27 100.000 0.000 2.2634 38.30 0.065031 0.065767 0.066511 0.067264 0.068025 23.63 24.17 Morgan Stanley Finance 61770FKC9 02/28/20 08/29/24 100.000 0.000 1.8417 34.35 0.052588 0.053069 0.053560 0.054051 0.054551 19.14 19.49 Morgan Stanley Finance 61769HAR6 06/05/19 06/05/24 100.000 0.000 2.9744 78.92 0.088952 0.090275 0.091618 0.092980 0.094363 32.33 33.30 Morgan Stanley Finance 61770FC46 04/30/20 04/30/27 100.000 0.000 2.2634 38.30 0.065031 0.065767 0.066511 0.067264 0.068025 23.63 24.17 Morgan Stanley Finance 61769HAQ8 06/05/19 12/06/22 100.000 0.000 2.7658 73.22 0.082296 0.083434 27.77 Morgan Stanley Finance 61770FST4 04/03/20 10/05/22 100.000 0.000 2.4324 43.10 0.070073 0.070925 19.35 Morgan Stanley Finance 61769HAP0 05/31/19 05/31/24 100.000 0.000 3.0990 82.79 0.092961 0.094402 0.095865 0.097350 0.098858 33.82 34.87 Morgan Stanley Finance 61771EJJ8 11/12/20 11/10/22 100.000 0.000 0.4618 5.26 0.012888 0.012918 3.99 Morgan Stanley Finance 61770FBU9 01/31/20 08/01/24 100.000 0.000 2.1409 41.73 0.061402 0.062059 0.062724 0.063395 0.064074 22.42 22.90 Morgan Stanley Finance 61769HZU2 10/23/19 10/21/22 100.000 0.000 2.2217 49.57 0.064496 0.065212 18.83 Morgan Stanley Finance 61773FAG8 06/30/21 06/30/28 100.000 0.000 1.9839 9.98 0.055655 0.056207 0.056765 0.057328 0.057896 20.14 20.54 Morgan Stanley Finance 61768M576 03/05/18 03/05/25 100.000 0.000 3.7266 151.62 0.117799 0.119994 0.122229 0.124507 0.126827 43.32 44.95 Morgan Stanley Finance 61768M592 03/05/18 03/03/22 100.000 0.000 3.3336 134.74 0.103941 6.44 Morgan Stanley Finance 61770FL46 04/29/20 04/27/23 100.000 0.000 1.6712 28.23 0.047592 0.047989 0.048390 17.26 5.61 Morgan Stanley Finance 61771C409 07/06/20 07/06/27 100.000 0.000 1.6108 24.13 0.045467 0.045833 0.046202 0.046574 0.046949 16.56 16.83 Morgan Stanley Finance 61768M584 03/05/18 03/03/23 100.000 0.000 3.4611 140.19 0.108391 0.110267 0.112175 39.80 6.95 Morgan Stanley Finance 61769HAH8 06/05/19 06/05/24 100.000 0.000 2.9744 78.92 0.088952 0.090275 0.091618 0.092980 0.094363 32.33 33.30 Morgan Stanley Finance 61768CQT7 09/29/17 03/31/23 100.000 0.000 2.8669 128.81 0.089248 0.090527 0.091825 32.59 8.17 MORGAN STANLEY FINANCE 61773HXK0 01/31/22 01/31/29 100.000 0.000 2.7958 0.077661 0.078746 0.079847 0.080963 25.87 28.88 Morgan Stanley Finance 61771VD49 05/26/21 05/25/28 100.000 0.000 1.9994 11.96 0.056091 0.056652 0.057219 0.057791 0.058368 20.33 20.74 MORGAN STANLEY FINANCE 61773HXL8 02/03/22 02/04/27 100.000 0.000 2.4163 0.067125 0.067936 0.068757 0.069587 22.14 24.85 Morgan Stanley Finance 61770FJW7 03/04/20 09/01/22 100.000 0.000 1.5946 29.42 0.045355 0.045717 10.95 MORGAN STANLEY FINANCE 61773HX95 02/28/22 02/26/27 100.000 0.000 2.9302 0.081395 0.082575 0.083784 0.085012 24.81 30.25 Morgan Stanley Finance 61769HK38 12/02/19 12/02/24 100.000 0.000 2.3657 50.16 0.068878 0.069692 0.070517 0.071351 0.072195 24.99 25.58 Morgan Stanley Finance 61768DDL6 09/28/18 09/30/25 100.000 0.000 4.1262 142.40 0.129586 0.132259 0.134988 0.137773 0.140615 47.62 49.61 MORGAN STANLEY FINANCE 61773QZF9 04/27/22 04/26/29 100.000 0.000 4.3166 0.119906 0.122479 0.125123 0.127823 29.42 44.92 Morgan Stanley Finance 61770C111 10/03/19 04/03/24 100.000 0.000 2.1674 49.59 0.062858 0.063540 0.064228 0.064924 0.065628 22.87 23.37 MORGAN STANLEY FINANCE 61773QA33 06/05/22 06/05/27 100.000 0.000 3.4184 0.094956 0.096579 0.098229 0.099908 19.60 35.15 Morgan Stanley Finance 61769HB87 10/30/19 05/02/24 100.000 0.000 2.3725 52.52 0.069094 0.069914 0.070743 0.071582 0.072431 25.12 25.72 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768R781 10/03/18 10/04/23 100.000 0.000 3.8198 130.67 0.118874 0.121145 0.123458 0.125816 43.60 34.13 Morgan Stanley Finance 61771VX54 05/28/21 05/31/28 100.000 0.000 1.9431 11.51 0.054505 0.055034 0.055569 0.056109 0.056654 19.75 20.14 Morgan Stanley Finance 61769HE43 10/25/19 10/25/24 100.000 0.250 2.3773 52.86 0.068896 0.069633 0.070378 0.071132 0.071895 25.03 25.57 Morgan Stanley Finance 61766X483 09/06/17 09/06/23 100.000 0.000 2.9385 134.31 0.091728 0.093076 0.094443 0.095831 33.58 23.39 Morgan Stanley Finance 61766X459 09/06/17 03/05/24 100.000 0.000 3.0212 138.32 0.094609 0.096038 0.097489 0.098961 0.100456 34.65 35.71 Morgan Stanley Finance 61773FDC4 08/04/21 08/04/26 100.000 0.000 1.7696 7.23 0.049157 0.049592 0.050030 0.050473 0.050920 17.90 18.22 Morgan Stanley Finance 61773FLT8 08/31/21 08/31/28 100.000 0.000 1.9137 6.43 0.053158 0.053661 0.054180 0.054693 0.055222 19.35 19.72 Morgan Stanley Finance 61768P157 04/05/18 04/03/25 100.000 0.000 3.8093 151.58 0.120727 0.123026 0.125369 0.127757 0.130191 44.28 45.99 Morgan Stanley Finance 61768P124 04/04/18 04/05/22 100.000 0.000 3.4793 137.81 0.109061 10.25 Morgan Stanley Finance 61773HBE8 11/29/21 11/29/28 100.000 0.000 2.4000 2.13 0.066666 0.067466 0.068276 0.069095 0.069924 24.20 24.78 MORGAN STANLEY FINANCE 61773QDP1 03/23/22 03/22/29 100.000 0.000 3.3861 0.094059 0.095642 0.097261 0.098908 26.31 35.05 Morgan Stanley Finance 61773HBC2 11/08/21 11/06/26 100.000 0.000 1.8561 2.73 0.051560 0.052033 0.052516 0.053003 0.053495 18.70 19.05 MORGAN STANLEY FINANCE 61773QDM8 03/23/22 03/23/28 100.000 0.000 3.3224 0.092290 0.093823 0.095382 0.096966 25.81 34.36 Morgan Stanley Finance 61772X691 06/03/21 06/05/28 100.000 0.000 1.9849 11.48 0.055690 0.056243 0.056801 0.057365 0.057934 20.18 20.58 Morgan Stanley Finance 61768Y307 06/05/19 03/05/24 100.000 0.000 2.9394 78.00 0.087192 0.088474 0.089774 0.091093 0.092432 31.92 32.86 MORGAN STANLEY FINANCE 61773QDN6 03/23/22 03/23/27 100.000 0.000 3.2206 0.089461 0.090901 0.092365 0.093852 25.01 33.28 Morgan Stanley Finance 61769HUJ2 09/13/19 03/15/23 100.000 0.000 2.3832 56.02 0.069420 0.070247 0.071084 25.32 5.26 Morgan Stanley Finance 61771VFW5 03/31/21 03/30/28 100.000 0.000 2.1048 15.90 0.059082 0.059704 0.060332 0.060967 0.061609 21.50 21.95 Morgan Stanley Finance 61770FFB7 02/28/20 02/28/25 100.000 0.000 1.9133 35.70 0.054687 0.055210 0.055738 0.056272 0.056810 19.91 20.29 Morgan Stanley Finance 61773FUK7 09/30/21 10/02/28 100.000 0.000 2.0246 5.12 0.056244 0.056813 0.057388 0.057969 0.058556 20.45 20.87 Morgan Stanley Finance 61768Y356 06/05/19 06/03/22 100.000 0.000 2.6952 71.30 0.080038 12.17 Morgan Stanley Finance 61771BMB7 06/26/20 12/29/25 100.000 0.000 1.3458 20.51 0.038147 0.038404 0.038663 0.038923 0.039185 13.78 13.97 Morgan Stanley Finance 61771BMA9 06/26/20 06/28/27 100.000 0.000 1.6168 24.68 0.046014 0.046385 0.046760 0.047138 0.047520 16.63 16.90 Morgan Stanley Finance 61772X659 06/03/21 06/05/28 100.000 0.000 1.9849 11.48 0.055690 0.056243 0.056801 0.057365 0.057934 20.18 20.58 Morgan Stanley Finance 61773FU84 11/03/21 11/03/26 100.000 0.000 1.8149 2.92 0.050413 0.050870 0.051332 0.051798 0.052268 18.28 18.62 MORGAN STANLEY FINANCE 61773QLH0 03/17/22 03/12/26 100.000 0.000 3.0167 0.083797 0.085026 0.086309 0.087611 23.93 31.12 Morgan Stanley Finance 61773FCU5 07/30/21 08/01/28 100.000 0.000 1.7934 7.52 0.049818 0.050265 0.050715 0.051170 0.051629 18.15 18.48 Morgan Stanley Finance 61768DH57 02/28/19 03/02/22 100.000 0.000 3.1591 93.19 0.094939 5.79 Morgan Stanley Finance 61768DH40 03/05/19 03/04/24 100.000 0.000 3.5292 103.81 0.106984 0.108872 0.110793 0.112748 0.114737 39.30 40.70 Morgan Stanley Finance 61771BLH5 07/06/20 07/03/25 100.000 0.000 1.2523 18.73 0.035220 0.035440 0.035662 0.035886 0.036110 12.80 12.96 Morgan Stanley Finance 61770FW77 05/21/20 05/21/27 100.000 0.000 2.1231 34.62 0.060872 0.061518 0.062172 0.062832 0.063498 22.08 22.55 Morgan Stanley Finance 61770FW85 05/20/20 05/20/25 100.000 0.000 1.7889 29.17 0.051036 0.051493 0.051953 0.052418 0.052887 18.49 18.83 Morgan Stanley Finance 61768J870 12/05/17 12/04/24 100.000 0.000 3.1714 136.72 0.099902 0.101486 0.103096 0.104730 0.106391 36.34 37.50 Morgan Stanley Finance 61770FW93 05/21/20 05/21/27 100.000 0.000 2.1231 34.62 0.060872 0.061518 0.062172 0.062832 0.063498 22.08 22.55 Morgan Stanley Finance 61770E232 01/03/20 01/05/27 100.000 0.000 2.6098 53.08 0.075379 0.076363 0.077359 0.078369 0.079391 27.66 28.39 Morgan Stanley Finance 61768C3H8 06/29/18 07/01/25 100.000 0.000 4.0272 150.02 0.128648 0.131239 0.133882 0.136577 0.139328 46.78 48.68 Morgan Stanley Finance 61770FW28 05/29/20 05/29/26 100.000 0.000 1.7764 28.50 0.050671 0.051121 0.051575 0.052033 0.052495 18.35 18.68 MORGAN STANLEY FINANCE 61773QLL1 03/09/22 03/09/27 100.000 0.000 2.7515 0.076430 0.077482 0.078548 0.079628 22.44 28.33 Morgan Stanley Finance 61770FW36 05/29/20 06/01/27 100.000 0.000 1.9425 31.20 0.055551 0.056091 0.056636 0.057186 0.057741 20.13 20.52 MORGAN STANLEY FINANCE 61773QLJ6 03/17/22 03/12/27 100.000 0.000 3.2312 0.089756 0.091165 0.092638 0.094135 25.64 33.41 Morgan Stanley Finance 61771BKY9 06/30/20 06/30/27 100.000 0.000 1.6297 24.69 0.046385 0.046763 0.047144 0.047528 0.047916 16.77 17.04 Morgan Stanley Finance 61768Y299 06/05/19 06/05/24 100.000 0.000 2.9744 78.92 0.088953 0.090275 0.091618 0.092981 0.094363 32.33 33.30 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773QKV0 03/16/22 03/16/28 100.000 0.000 3.3682 0.093560 0.095135 0.096738 0.098367 26.83 34.88 Morgan Stanley Finance 61773HQY8 12/28/21 12/28/26 100.000 0.000 1.9271 0.16 0.053531 0.054047 0.054568 0.055093 0.055624 19.37 19.74 Morgan Stanley Finance 61773HQZ5 12/28/21 12/28/28 100.000 0.000 2.1941 0.18 0.060948 0.061616 0.062292 0.062976 0.063667 22.07 22.55 Morgan Stanley Finance 61771BKZ6 06/30/20 12/30/27 100.000 0.000 1.6965 25.71 0.048334 0.048744 0.049158 0.049575 0.049995 17.48 17.77 Morgan Stanley Finance 61769H2T1 12/18/19 12/17/26 100.000 0.000 2.5573 53.11 0.074736 0.075691 0.076659 0.077639 0.078632 27.10 27.80 Morgan Stanley Finance 61770FV86 05/29/20 06/01/27 100.000 0.000 1.9425 31.20 0.055551 0.056091 0.056636 0.057186 0.057741 20.13 20.52 Morgan Stanley Finance 61771V4K3 06/23/21 12/23/26 100.000 0.000 1.5784 8.25 0.044192 0.044540 0.044892 0.045246 0.045603 15.98 16.23 Morgan Stanley Finance 61771V4J6 06/23/21 06/22/28 100.000 0.000 1.8975 9.91 0.053207 0.053712 0.054221 0.054736 0.055255 19.25 19.62 Morgan Stanley Finance 61770FV94 05/29/20 06/01/27 100.000 0.000 1.9425 31.20 0.055551 0.056091 0.056636 0.057186 0.057741 20.13 20.52 Morgan Stanley Finance 61769HTU9 10/03/19 10/03/24 100.000 0.000 2.1901 50.12 0.063545 0.064241 0.064944 0.065655 0.066374 23.12 23.63 Morgan Stanley Finance 61768CSS7 10/31/17 10/31/22 100.000 0.000 2.8463 125.09 0.088527 0.089787 26.70 Morgan Stanley Finance 61770FED4 01/29/20 01/27/23 100.000 0.000 2.0128 39.26 0.057611 0.058190 0.058776 21.02 1.53 Morgan Stanley Finance 61769H2F1 12/27/19 12/27/24 100.000 0.000 2.5252 51.76 0.073753 0.074684 0.075627 0.076582 0.077549 26.73 27.41 Morgan Stanley Finance 61769HL78 11/06/19 05/05/22 100.000 0.000 2.1373 46.84 0.061943 7.68 Morgan Stanley Finance 61769HCK9 05/24/19 05/26/22 100.000 0.000 2.9183 78.34 0.087166 12.64 Morgan Stanley Finance 61771VVY3 04/30/21 04/28/28 100.000 0.000 2.0160 13.53 0.056559 0.057129 0.057705 0.058286 0.058874 20.54 20.95 Morgan Stanley Finance 61769Q543 09/05/19 09/06/22 100.000 0.000 2.1338 50.54 0.061847 0.062507 15.27 Morgan Stanley Finance 61768CSU2 11/30/17 11/29/24 100.000 0.000 3.1215 134.94 0.098136 0.099668 0.101223 0.102803 0.104407 35.70 36.83 Morgan Stanley Finance 61769HTM7 10/03/19 10/05/22 100.000 0.000 2.1500 49.19 0.062341 0.063011 17.20 Morgan Stanley Finance 61769Q535 09/05/19 09/06/23 100.000 0.000 2.2400 53.11 0.065061 0.065790 0.066526 0.067272 23.72 16.43 Morgan Stanley Finance 61772Y863 09/03/21 09/06/28 100.000 0.000 1.8357 6.02 0.051000 0.051468 0.051941 0.052417 0.052899 18.55 18.89 Morgan Stanley Finance 61768C2K2 05/30/18 05/29/26 100.000 0.000 4.0544 154.85 0.129595 0.132222 0.134903 0.137638 0.140428 47.30 49.23 Morgan Stanley Finance 61773FT45 10/29/21 10/31/28 100.000 0.000 2.2359 3.85 0.062112 0.062806 0.063508 0.064218 0.064936 22.57 23.08 MORGAN STANLEY FINANCE 61773QST7 03/30/22 03/31/27 100.000 0.000 3.6190 0.100529 0.102348 0.104200 0.106085 27.41 37.52 Morgan Stanley Finance 61769HDG7 06/03/19 06/03/24 100.000 0.000 3.3497 89.43 0.101105 0.102799 0.104520 0.106271 0.108051 36.80 38.04 Morgan Stanley Finance 61768CTQ0 11/30/17 12/03/25 100.000 0.000 3.2697 141.73 0.103435 0.105126 0.106845 0.108591 0.110367 37.64 38.88 Morgan Stanley Finance 61773N163 12/20/21 01/04/29 100.000 0.000 2.2783 0.70 0.063285 0.063341 0.064063 0.064792 0.065530 22.93 23.45 Morgan Stanley Finance 61769HM77 12/02/19 12/02/24 100.000 0.000 2.3657 50.16 0.068878 0.069692 0.070517 0.071351 0.072195 24.99 25.58 MORGAN STANLEY FINANCE 61774DGA9 06/01/22 06/01/27 100.000 0.000 3.9473 0.109647 0.111811 0.114018 0.116268 23.09 40.78 Morgan Stanley Finance 61769H3D5 12/27/19 06/26/24 100.000 0.000 2.4842 50.91 0.072492 0.073393 0.074304 0.075227 0.076162 26.27 26.92 Morgan Stanley Finance 61769HM51 12/02/19 12/02/24 100.000 0.000 2.3657 50.16 0.068878 0.069692 0.070517 0.071351 0.072195 24.99 25.58 Morgan Stanley Finance 61769H3B9 12/26/19 06/25/24 100.000 0.000 2.4842 50.98 0.072493 0.073393 0.074305 0.075228 0.076162 26.27 26.93 Morgan Stanley Finance 61768DFQ3 10/31/18 10/30/25 100.000 0.000 4.1832 140.27 0.131566 0.134318 0.137128 0.139996 0.142924 48.20 50.24 Morgan Stanley Finance 61770FE36 04/30/20 04/30/27 100.000 0.000 2.2634 38.30 0.065031 0.065767 0.066511 0.067264 0.068025 23.63 24.17 Morgan Stanley Finance 61771BKP8 06/16/20 06/16/27 100.000 0.000 1.6181 25.16 0.046046 0.046419 0.046794 0.047173 0.047554 16.65 16.93 Morgan Stanley Finance 61768CL47 03/29/18 03/30/23 100.000 0.000 3.6383 145.06 0.114670 0.116756 0.118880 42.04 10.58 MORGAN STANLEY FINANCE 61773HA33 01/26/22 01/26/27 100.000 0.000 2.3686 0.065796 0.066575 0.067363 0.068161 22.16 24.35 Morgan Stanley Finance 61770FE69 05/05/20 11/03/22 100.000 0.000 1.4528 24.26 0.041239 0.041539 12.51 Morgan Stanley Finance 61770FDU7 01/28/20 01/29/30 100.000 0.000 2.6694 52.38 0.077166 0.078196 0.079239 0.080297 0.081369 28.28 29.04 MORGAN STANLEY FINANCE 61773HA25 01/26/22 01/25/29 100.000 0.000 2.6702 0.074172 0.075157 0.076160 0.077177 25.00 27.55 Morgan Stanley Finance 61770G708 04/03/20 04/07/26 100.000 0.000 2.6405 46.85 0.076314 0.077321 0.078342 0.079376 0.080424 27.82 28.56 Morgan Stanley Finance 61770C343 11/05/19 05/03/24 100.000 0.000 2.2919 50.36 0.066623 0.067386 0.068159 0.068940 0.069730 24.21 24.77 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773QC64 04/29/22 05/01/29 100.000 0.000 4.1317 0.114770 0.114796 0.117168 0.119588 0.122059 27.92 42.91 MORGAN STANLEY FINANCE 61773QKF5 03/31/22 04/03/29 100.000 0.000 3.7117 0.103102 0.103134 0.105048 0.106998 0.108984 28.12 38.51 MORGAN STANLEY FINANCE 61773QKG3 03/31/22 04/03/29 100.000 0.000 3.7117 0.103102 0.103134 0.105048 0.106998 0.108984 28.12 38.51 Morgan Stanley Finance 61769H2Y0 12/26/19 12/24/26 100.000 0.000 2.7295 56.12 0.080031 0.081123 0.082230 0.083352 0.084490 29.02 29.82 Morgan Stanley Finance 61769HFT7 07/03/19 01/03/23 100.000 0.000 2.4864 63.58 0.072565 0.073467 0.074380 26.61 0.15 MORGAN STANLEY FINANCE 61773QFJ3 03/31/22 04/03/29 100.000 0.000 3.7117 0.103102 0.103134 0.105048 0.106998 0.108984 28.12 38.51 Morgan Stanley Finance 61768D8A6 05/31/19 03/03/23 100.000 0.000 2.9097 77.62 0.086277 0.087532 0.088805 31.58 5.51 Morgan Stanley Finance 61773HLN7 12/23/21 12/26/28 100.000 0.000 2.2328 0.50 0.062035 0.062727 0.063428 0.064136 0.064852 22.46 22.97 MORGAN STANLEY FINANCE 61773QFH7 03/31/22 04/03/29 100.000 0.000 3.7117 0.103102 0.103134 0.105048 0.106998 0.108984 28.12 38.51 MORGAN STANLEY FINANCE 61773H2Y4 02/24/22 02/23/27 100.000 0.000 2.8221 0.078392 0.079492 0.080614 0.081751 24.21 29.11 Morgan Stanley Finance 61770G203 03/04/20 09/03/25 100.000 0.000 1.8551 34.28 0.052975 0.053466 0.053962 0.054463 0.054968 19.28 19.64 Morgan Stanley Finance 61773FWH2 09/07/21 09/08/22 100.000 0.000 0.1948 0.62 0.005412 0.005417 1.34 Morgan Stanley Finance 61768CWE3 12/29/17 12/31/25 100.000 0.000 3.3131 140.68 0.104968 0.106706 0.108474 0.110271 0.112098 38.10 39.38 Morgan Stanley Finance 61770G211 03/04/20 03/04/27 100.000 0.000 2.0962 38.80 0.060077 0.060707 0.061343 0.061986 0.062636 21.89 22.35 Morgan Stanley Finance 61768Q601 07/05/18 07/05/22 100.000 0.000 3.6810 135.71 0.114072 0.116172 21.37 MORGAN STANLEY FINANCE 61773Q5Q8 06/03/22 06/04/26 100.000 0.000 3.8630 0.107306 0.109390 0.111503 0.113656 22.38 39.88 Morgan Stanley Finance 61770FYL4 05/05/20 05/05/25 100.000 0.000 1.8350 30.71 0.052387 0.052867 0.053353 0.053842 0.054336 19.00 19.35 Morgan Stanley Finance 61769Q881 10/03/19 04/03/25 100.000 0.000 2.2103 50.59 0.064156 0.064865 0.065582 0.066306 0.067039 23.35 23.87 Morgan Stanley Finance 61773F5Q2 10/21/21 10/23/28 100.000 0.000 2.2503 4.38 0.062517 0.063220 0.063931 0.064651 0.065378 22.73 23.24 Morgan Stanley Finance 61769P529 05/05/20 05/05/27 100.000 0.000 2.0902 35.04 0.059900 0.060526 0.061159 0.061798 0.062444 21.75 22.20 Morgan Stanley Finance 61769HFS9 07/03/19 07/03/24 100.000 0.000 2.6772 68.59 0.078428 0.079478 0.080542 0.081620 0.082712 28.80 29.58 Morgan Stanley Finance 61773HDE6 11/24/21 05/24/27 100.000 0.000 2.0320 2.09 0.056444 0.057018 0.057597 0.058182 0.058773 20.47 20.88 Morgan Stanley Finance 61773HDF3 11/24/21 11/24/28 100.000 0.000 2.2835 2.35 0.063431 0.064155 0.064887 0.065628 0.066377 23.02 23.55 Morgan Stanley Finance 61770FYH3 04/22/20 10/22/25 100.000 0.000 1.9271 32.99 0.055093 0.055624 0.056160 0.056701 0.057247 20.00 20.39 Morgan Stanley Finance 61766W352 06/05/17 12/05/23 100.000 0.000 3.0702 149.50 0.097816 0.099318 0.100842 0.102390 35.56 33.96 Morgan Stanley Finance 61768Q619 07/05/18 07/05/22 100.000 0.000 3.6810 135.71 0.114072 0.116172 21.37 Morgan Stanley Finance 61770FGP5 02/28/20 03/02/27 100.000 0.000 2.1748 40.65 0.062417 0.063096 0.063782 0.064476 0.065177 22.75 23.25 Morgan Stanley Finance 61768DZW8 02/28/19 02/29/24 100.000 0.000 3.4964 103.55 0.105922 0.107764 0.109658 0.111564 0.113526 38.92 40.29 Morgan Stanley Finance 61768CX28 05/30/18 05/30/25 100.000 0.000 3.9488 150.57 0.125776 0.128259 0.130792 0.133374 0.136007 45.88 47.71 Morgan Stanley Finance 61769HP82 11/29/19 05/30/24 100.000 0.000 2.3629 50.30 0.068799 0.069612 0.070434 0.071266 0.072108 24.96 25.56 Morgan Stanley Finance 61770FGS9 03/04/20 03/04/24 100.000 0.000 1.7557 32.43 0.050066 0.050506 0.050949 0.051396 0.051848 18.21 18.53 Morgan Stanley Finance 61769HXH3 11/05/19 11/05/24 100.000 0.000 2.3221 51.04 0.067550 0.068334 0.069128 0.069930 0.070742 24.55 25.12 Morgan Stanley Finance 61768K562 01/03/18 01/04/22 100.000 0.000 2.8170 118.22 0.086304 0.26 MORGAN STANLEY FINANCE 61773QF61 04/11/22 04/10/25 100.000 0.000 3.3450 0.092917 0.094462 0.096042 0.097648 24.28 34.55 Morgan Stanley Finance 61773FVU4 09/22/21 03/22/27 100.000 0.000 1.5893 4.37 0.044147 0.044498 0.044851 0.045208 0.045567 16.03 16.28 Morgan Stanley Finance 61770C640 12/04/19 12/04/24 100.000 0.000 2.3719 50.15 0.069068 0.069888 0.070716 0.071555 0.072404 25.06 25.65 Morgan Stanley Finance 61768C5S2 07/31/18 07/31/25 100.000 0.000 4.0045 145.23 0.125286 0.127795 0.130354 0.132964 0.135626 46.32 48.19 MORGAN STANLEY FINANCE 61774DJV0 05/31/22 06/01/29 100.000 0.000 4.1329 0.114803 0.117188 0.119610 0.122082 24.29 42.77 MORGAN STANLEY FINANCE 61773FFC2 03/24/22 03/25/27 100.000 0.000 3.3435 0.092883 0.094436 0.096014 0.097620 25.88 34.59 Morgan Stanley Finance 61770FXY7 04/01/20 05/28/27 100.000 0.000 2.8687 51.15 0.083541 0.084739 0.085955 0.087187 0.088438 30.37 31.25 Morgan Stanley Finance 61768CWL7 12/18/17 06/18/25 100.000 0.000 3.2094 137.14 0.101259 0.102884 0.104535 0.106212 0.107917 36.79 37.98 MORGAN STANLEY FINANCE 61773FFB4 03/24/22 03/26/25 100.000 0.000 3.1571 0.087698 0.087713 0.089098 0.090504 0.091933 24.43 32.60 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768D8J7 06/05/19 06/03/22 100.000 0.000 2.6953 71.31 0.080041 12.17 MORGAN STANLEY FINANCE 61773H2P3 02/24/22 02/23/29 100.000 0.000 3.0802 0.085561 0.086871 0.088209 0.089568 26.43 31.86 MORGAN STANLEY FINANCE 61773Q4Z9 06/03/22 06/04/27 100.000 0.000 4.0488 0.112467 0.114756 0.117079 0.119449 23.45 41.86 Morgan Stanley Finance 61769HET8 06/28/19 06/28/24 100.000 0.000 2.6301 67.74 0.077991 0.079017 0.080056 0.081109 0.082175 28.27 29.02 MORGAN STANLEY FINANCE 61773QVH9 05/05/22 05/02/25 100.000 0.000 3.8097 0.105825 0.107807 0.109861 0.111953 25.09 39.42 Morgan Stanley Finance 61769P495 05/05/20 05/05/26 100.000 0.000 1.9401 32.49 0.055474 0.056013 0.056556 0.057105 0.057658 20.13 20.52 Morgan Stanley Finance 61773F4D2 10/27/21 04/27/27 100.000 0.000 1.9805 3.52 0.055014 0.055559 0.056109 0.056665 0.057226 19.97 20.37 Morgan Stanley Finance 61773F4E0 10/27/21 10/26/28 100.000 0.000 2.2698 4.04 0.063050 0.063762 0.064486 0.065218 0.065958 22.92 23.44 Morgan Stanley Finance 61768DHE8 10/31/18 05/01/23 100.000 VARIES 3.8571 127.38 0.116807 0.119060 0.120288 42.67 14.44 Morgan Stanley Finance 61769HEN1 06/28/19 12/30/22 100.000 0.000 2.4358 62.61 0.071893 0.072768 25.97 MORGAN STANLEY FINANCE 61773H2F5 02/28/22 02/28/29 100.000 0.000 3.1853 0.088482 0.089891 0.091323 0.092777 26.98 32.97 Morgan Stanley Finance 61768X101 03/05/19 03/03/23 100.000 0.000 3.3204 97.43 0.100131 0.101794 0.103484 36.74 6.42 MORGAN STANLEY FINANCE 61773QVQ9 05/31/22 05/29/25 100.000 0.000 3.5672 0.099089 0.100846 0.102645 0.104476 20.96 36.74 MORGAN STANLEY FINANCE 61773H2E8 02/28/22 02/28/29 100.000 0.000 3.1853 0.088482 0.089891 0.091323 0.092777 26.98 32.97 MORGAN STANLEY FINANCE 61773N437 01/05/22 01/04/29 100.000 0.000 2.2590 0.062751 0.063455 0.064172 0.064897 22.46 23.23 Morgan Stanley Finance 61769HER2 07/03/19 07/01/22 100.000 0.000 2.4284 62.06 0.071643 12.90 Morgan Stanley Finance 61770FGC4 03/04/20 03/03/23 100.000 0.000 1.6561 30.57 0.047153 0.047544 0.047938 17.14 2.97 Morgan Stanley Finance 61768CUZ8 12/27/17 12/27/24 100.000 0.000 3.2580 138.41 0.102987 0.104665 0.106370 0.108103 0.109864 37.39 38.62 Morgan Stanley Finance 61768CNA1 07/31/17 07/29/22 100.000 0.000 2.8126 131.39 0.087357 0.088585 18.39 Morgan Stanley Finance 61768CVQ7 12/29/17 06/30/23 100.000 0.000 3.0395 128.44 0.095267 0.096714 0.098184 34.56 17.57 Morgan Stanley Finance 61771VXF2 06/02/21 06/01/26 100.000 0.000 1.4602 8.49 0.040857 0.041155 0.041455 0.041758 0.042063 14.78 15.00 Morgan Stanley Finance 61768DQE8 12/05/18 12/05/23 100.000 0.000 4.0845 132.29 0.128090 0.130706 0.133376 0.136099 46.72 45.04 Morgan Stanley Finance 61773FMJ9 09/03/21 09/03/26 100.000 0.000 1.3944 4.57 0.038734 0.039004 0.039276 0.039550 0.039826 14.06 14.25 Morgan Stanley Finance 61769HNV3 09/05/19 09/05/24 100.000 0.000 2.3651 56.14 0.068862 0.069676 0.070500 0.071334 0.072177 25.13 25.72 Morgan Stanley Finance 61768CVR5 12/08/17 06/10/24 100.000 0.000 3.1083 133.55 0.097695 0.099213 0.100755 0.102321 0.103911 35.51 36.62 Morgan Stanley Finance 61766V867 05/03/17 11/03/23 100.000 0.000 3.2047 159.77 0.102711 0.104357 0.106029 0.107728 37.46 32.33 Morgan Stanley Finance 61769HNU5 09/05/19 09/05/24 100.000 0.000 2.3651 56.14 0.068862 0.069676 0.070500 0.071334 0.072177 25.13 25.72 MORGAN STANLEY FINANCE 61773QUW7 04/14/22 10/11/24 100.000 0.000 2.9922 0.083117 0.084340 0.085602 0.086883 21.46 30.79 Morgan Stanley Finance 61770FX27 05/21/20 05/21/26 100.000 0.000 1.9379 31.57 0.055410 0.055946 0.056489 0.057036 0.057589 20.09 20.48 Morgan Stanley Finance 61773FDV2 07/28/21 01/28/27 100.000 0.000 1.4801 6.29 0.041115 0.041419 0.041725 0.042034 0.042345 14.95 15.17 Morgan Stanley Finance 61768DHP3 10/16/18 10/14/22 100.000 0.000 3.7996 128.41 0.118138 0.120383 33.84 Morgan Stanley Finance 61768CVP9 12/29/17 06/30/23 100.000 0.000 3.0395 128.44 0.095267 0.096714 0.098184 34.56 17.57 Morgan Stanley Finance 61772Y145 07/06/21 07/06/28 100.000 0.000 1.9323 9.39 0.053674 0.054193 0.054716 0.055245 0.055779 19.60 19.98 Morgan Stanley Finance 61770FX35 05/21/20 05/21/27 100.000 0.000 2.1231 34.62 0.060872 0.061518 0.062172 0.062832 0.063498 22.08 22.55 Morgan Stanley Finance 61770FFJ0 02/04/20 02/04/25 100.000 0.000 2.0787 40.26 0.059562 0.060181 0.060806 0.061438 0.062077 21.74 22.19 Morgan Stanley Finance 61773FDU4 07/28/21 07/27/28 100.000 0.000 1.8084 7.69 0.050235 0.050686 0.051145 0.051607 0.052074 18.31 18.64 Morgan Stanley Finance 61769HNY7 08/30/19 06/02/23 100.000 0.000 2.2160 52.86 0.064693 0.065409 0.066134 23.46 9.99 Morgan Stanley Finance 61768CNB9 08/01/17 02/01/22 100.000 0.000 2.7076 126.14 0.083753 2.51 MORGAN STANLEY FINANCE 61773QDQ9 03/23/22 03/23/27 100.000 0.000 3.2206 0.089461 0.090901 0.092365 0.093852 25.01 33.28 Morgan Stanley Finance 61773FUT8 10/05/21 10/05/26 100.000 0.000 1.5992 3.82 0.044423 0.044778 0.045136 0.045497 0.045861 16.12 16.38 Morgan Stanley Finance 61768C4Q7 06/29/18 06/30/23 100.000 0.000 3.7636 139.64 0.119130 0.121372 0.123656 43.30 22.13 Morgan Stanley Finance 61770FX84 06/03/20 06/02/23 100.000 0.000 1.1097 17.62 0.031341 0.031515 0.031690 11.32 4.79 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768DHK4 10/22/18 10/20/23 100.000 0.000 3.9969 134.69 0.124995 0.127493 0.130041 0.132640 45.81 38.05 Morgan Stanley Finance 61771VXK1 05/28/21 05/31/28 100.000 0.000 1.9431 11.51 0.054505 0.055034 0.055569 0.056109 0.056654 19.75 20.14 Morgan Stanley Finance 61770E307 01/03/20 01/03/25 100.000 0.000 2.3534 47.77 0.067707 0.068504 0.069310 0.070125 0.070950 24.80 25.39 Morgan Stanley Finance 61770FX68 06/03/20 06/03/25 100.000 0.000 1.5338 24.40 0.043592 0.043926 0.044263 0.044603 0.044945 15.77 16.01 MORGAN STANLEY FINANCE 61773Q3X5 06/03/22 06/04/27 100.000 0.000 4.0488 0.112467 0.114756 0.117079 0.119449 23.45 41.86 MORGAN STANLEY FINANCE 61773HC23 01/12/22 01/11/29 100.000 0.000 2.5645 0.071237 0.072145 0.073070 0.074007 25.02 26.46 Morgan Stanley Finance 61768CMZ7 07/31/17 07/29/22 100.000 0.000 2.8125 131.39 0.087354 0.088582 18.39 Morgan Stanley Finance 61768DBW4 08/09/18 08/11/25 100.000 0.000 3.9321 141.35 0.122787 0.125201 0.127663 0.130173 0.132732 45.32 47.12 Morgan Stanley Finance 61768DBX2 08/29/18 08/29/23 100.000 0.000 3.6325 127.76 0.112412 0.114442 0.116532 0.118637 41.34 28.12 MORGAN STANLEY FINANCE 61773N767 02/03/22 02/05/29 100.000 0.000 2.6759 0.074332 0.074343 0.075337 0.076345 0.077367 24.53 27.60 Morgan Stanley Finance 61768C7D3 07/17/18 07/17/23 100.000 2.500 3.7523 132.89 0.108398 0.110432 0.109905 0.111967 39.64 21.91 Morgan Stanley Finance 61773F7L1 11/09/21 11/09/26 100.000 0.000 1.7857 2.58 0.049604 0.050046 0.050493 0.050944 0.051399 17.98 18.31 Morgan Stanley Finance 61768DKG9 11/30/18 12/03/25 100.000 0.000 4.2632 139.08 0.134446 0.137312 0.140239 0.143229 0.146282 49.08 51.19 Morgan Stanley Finance 61769Q212 08/05/19 02/05/25 100.000 0.000 2.8032 69.27 0.082326 0.083480 0.084650 0.085836 0.087039 30.18 31.04 Morgan Stanley Finance 61769Q220 08/05/19 08/03/23 100.000 0.000 2.6268 64.80 0.076864 0.077874 0.078897 0.079933 28.15 16.91 Morgan Stanley Finance 61770FAP1 01/23/20 01/22/27 100.000 0.000 2.5533 50.43 0.073673 0.074613 0.075566 0.076530 0.077507 26.99 27.69 MORGAN STANLEY FINANCE 61773Q7G8 05/25/22 05/23/24 100.000 0.000 3.3425 0.092847 0.094382 0.095959 0.097563 20.11 34.38 Morgan Stanley Finance 61771VSK7 04/28/21 10/28/26 100.000 0.000 1.6286 11.02 0.045606 0.045978 0.046352 0.046730 0.047110 16.53 16.80 MORGAN STANLEY FINANCE 61773Q7H6 05/25/22 05/23/25 100.000 0.000 3.7175 0.103264 0.105162 0.107117 0.109108 22.38 38.36 Morgan Stanley Finance 61771VSJ0 04/28/21 04/27/28 100.000 0.000 1.9961 13.51 0.055998 0.056557 0.057121 0.057692 0.058267 20.33 20.74 Morgan Stanley Finance 61770FJD9 02/07/20 08/09/23 100.000 0.000 1.9816 38.18 0.056702 0.057263 0.057831 0.058404 20.67 12.71 Morgan Stanley Finance 61772X220 05/05/21 05/03/28 100.000 0.000 2.0240 13.30 0.056785 0.057360 0.057940 0.058527 0.059119 20.61 21.03 Morgan Stanley Finance 61769H7Q2 02/05/20 02/05/25 100.000 0.000 1.9970 38.60 0.057151 0.057722 0.058298 0.058880 0.059468 20.84 21.26 Morgan Stanley Finance 61769HZ57 01/02/20 06/30/22 100.000 0.000 2.1271 43.17 0.061633 11.03 Morgan Stanley Finance 61773E528 10/05/21 10/04/28 100.000 0.000 2.0411 4.88 0.056698 0.057273 0.057858 0.058448 0.059045 20.62 21.04 Morgan Stanley Finance 61766X848 10/04/17 10/04/23 100.000 0.000 2.9409 131.86 0.091812 0.093162 0.094532 0.095922 33.53 26.06 MORGAN STANLEY FINANCE 61773QZ93 05/31/22 05/31/29 100.000 0.000 4.2085 0.116903 0.119363 0.121874 0.124439 24.74 43.58 Morgan Stanley Finance 61769HHQ1 07/01/19 07/01/25 100.000 0.000 2.7490 70.64 0.081756 0.082879 0.084019 0.085174 0.086344 29.63 30.45 Morgan Stanley Finance 61768DBS3 08/07/18 08/07/23 100.000 0.000 3.7613 135.10 0.116837 0.119034 0.121273 0.123553 43.10 26.61 Morgan Stanley Finance 61770FB96 04/30/20 02/01/27 100.000 0.000 2.2244 37.65 0.063526 0.064233 0.064947 0.065670 0.066400 23.21 23.73 Morgan Stanley Finance 61771BHX5 06/17/20 06/17/25 100.000 0.000 1.3734 21.29 0.038940 0.039208 0.039477 0.039748 0.040021 14.07 14.27 Morgan Stanley Finance 61768CYW1 01/31/18 01/31/23 100.000 0.000 3.2187 133.34 0.099981 0.101590 0.103225 36.77 2.99 Morgan Stanley Finance 61770FZV1 04/30/20 04/30/27 100.000 0.000 2.2634 38.30 0.065031 0.065767 0.066511 0.067264 0.068025 23.63 24.17 Morgan Stanley Finance 61770FZW9 05/05/20 11/03/22 100.000 0.000 1.4528 24.26 0.041239 0.041539 12.51 Morgan Stanley Finance 61772Y475 08/04/21 08/03/28 100.000 0.000 1.7696 7.23 0.049156 0.049588 0.050027 0.050470 0.050916 17.90 18.22 Morgan Stanley Finance 61769HRA5 08/30/19 09/01/26 100.000 0.000 2.4648 58.92 0.071909 0.072795 0.073692 0.074600 0.075520 26.26 26.91 MORGAN STANLEY FINANCE 61773QGX1 04/05/22 04/05/27 100.000 0.000 3.4199 0.094996 0.096620 0.098273 0.099953 25.41 35.37 Morgan Stanley Finance 61770FAB2 02/05/20 02/05/25 100.000 0.000 1.9970 38.60 0.057151 0.057722 0.058298 0.058880 0.059468 20.84 21.26 MORGAN STANLEY FINANCE 61773H4Y2 02/28/22 02/28/29 100.000 0.000 3.1853 0.088482 0.089891 0.091323 0.092777 26.98 32.97 MORGAN STANLEY FINANCE 61773QHB8 04/05/22 04/05/27 100.000 1.750 3.4182 0.094949 0.096572 0.096561 0.098211 25.40 34.90 Morgan Stanley Finance 61768J441 11/03/17 11/03/23 100.000 0.000 2.9727 130.67 0.092920 0.094301 0.095703 0.097125 33.86 29.16 Morgan Stanley Finance 61768CZ59 05/31/18 11/30/23 100.000 0.000 3.6409 138.16 0.114751 0.116840 0.118967 0.121133 41.82 39.53 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61768J458 11/03/17 11/05/24 100.000 0.000 3.0987 136.53 0.097357 0.098866 0.100397 0.101953 0.103533 35.49 36.60 Morgan Stanley Finance 61770FZZ2 05/05/20 05/05/25 100.000 0.000 1.8350 30.71 0.052387 0.052867 0.053353 0.053842 0.054336 19.00 19.35 Morgan Stanley Finance 61770FAJ5 02/05/20 02/05/24 100.000 0.000 1.9189 37.07 0.054851 0.055377 0.055908 0.056445 0.056986 20.00 20.38 MORGAN STANLEY FINANCE 61773QHA0 04/05/22 04/05/27 100.000 0.000 3.4199 0.094996 0.096620 0.098273 0.099953 25.41 35.37 Morgan Stanley Finance 61773G234 11/03/21 11/03/28 100.000 0.000 2.2272 3.59 0.061868 0.062557 0.063253 0.063958 0.064670 22.48 22.98 Morgan Stanley Finance 61769H6X8 01/31/20 01/31/25 100.000 0.000 2.1858 42.62 0.062730 0.063416 0.064109 0.064810 0.065518 22.91 23.42 Morgan Stanley Finance 61769H6W0 01/31/20 01/31/25 100.000 0.000 2.1858 42.62 0.062730 0.063416 0.064109 0.064810 0.065518 22.91 23.42 Morgan Stanley Finance 61769HXY6 10/31/19 05/04/23 100.000 0.000 2.3061 51.02 0.067081 0.067855 0.068637 24.38 8.44 MORGAN STANLEY FINANCE 61773U266 02/16/22 03/05/29 100.000 0.000 3.0399 0.084441 0.084577 0.085862 0.087167 0.088492 26.79 31.45 Morgan Stanley Finance 61768CXC6 01/31/18 01/30/25 100.000 0.000 3.4110 141.77 0.106656 0.108475 0.110325 0.112207 0.114121 39.28 40.63 MORGAN STANLEY FINANCE 61773Q6G9 05/25/22 11/25/26 100.000 0.000 4.1277 0.114658 0.117025 0.119440 0.121905 24.85 42.74 Morgan Stanley Finance 61768CXJ1 01/31/18 07/31/23 100.000 0.000 3.3080 137.25 0.103070 0.104775 0.106508 0.108270 37.93 22.58 MORGAN STANLEY FINANCE 61773Q6H7 05/25/22 11/25/25 100.000 0.000 3.8756 0.107656 0.109742 0.111868 0.114036 23.33 40.04 Morgan Stanley Finance 61769HH32 11/27/19 08/27/24 100.000 0.000 2.3730 50.68 0.068695 0.069510 0.070335 0.071170 0.072014 25.08 25.68 Morgan Stanley Finance 61769HPC3 09/05/19 09/02/22 100.000 0.000 2.1339 50.54 0.061836 0.062496 15.02 Morgan Stanley Finance 61769HXR1 10/31/19 10/31/25 100.000 0.000 2.5933 57.51 0.075846 0.076830 0.077826 0.078835 0.079857 27.60 28.32 Morgan Stanley Finance 61768Y687 07/03/19 07/06/23 100.000 0.000 2.5444 65.10 0.074360 0.075306 0.076264 0.077234 27.27 14.28 Morgan Stanley Finance 61769HPA7 09/05/19 09/02/22 100.000 0.000 2.1339 50.54 0.061836 0.062496 15.02 Morgan Stanley Finance 61768Y679 07/03/19 07/06/22 100.000 0.000 2.4288 62.07 0.070819 0.071679 13.26 Morgan Stanley Finance 61773F6S7 11/01/21 11/01/28 100.000 0.000 2.1922 3.65 0.060894 0.061561 0.062236 0.062918 0.063608 22.12 22.61 Morgan Stanley Finance 61769HXW0 11/05/19 08/04/22 100.000 0.000 2.1452 47.09 0.061854 0.062518 13.29 Morgan Stanley Finance 61769H6T7 01/23/20 01/22/27 100.000 0.000 2.5533 50.43 0.073673 0.074613 0.075566 0.076530 0.077507 26.99 27.69 Morgan Stanley Finance 61768DAR6 08/31/18 09/03/25 100.000 0.000 3.9373 138.97 0.122981 0.125402 0.127871 0.130388 0.132955 45.29 47.09 Morgan Stanley Finance 61769HH40 11/27/19 02/26/26 100.000 0.000 2.5493 54.53 0.074022 0.074965 0.075921 0.076888 0.077868 27.06 27.75 Morgan Stanley Finance 61768CH42 03/29/18 03/31/25 100.000 0.000 3.8850 155.52 0.123488 0.125887 0.128333 0.130825 0.133367 45.33 47.11 Morgan Stanley Finance 61771C136 06/03/20 06/03/26 100.000 0.000 1.6786 26.73 0.047813 0.048214 0.048619 0.049027 0.049438 17.31 17.60 Morgan Stanley Finance 61770FYU4 04/30/20 10/30/25 100.000 0.000 1.9442 32.84 0.055595 0.056136 0.056682 0.057233 0.057789 20.18 20.57 MORGAN STANLEY FINANCE 61773Q5X3 05/31/22 05/31/29 100.000 0.000 4.2085 0.116903 0.119363 0.121874 0.124439 24.74 43.58 MORGAN STANLEY FINANCE 61773Q5Y1 05/31/22 05/31/29 100.000 0.000 4.2085 0.116903 0.119363 0.121874 0.124439 24.74 43.58 Morgan Stanley Finance 61768CXY8 01/31/18 02/01/24 100.000 0.000 3.3672 139.85 0.105137 0.106907 0.108707 0.110537 0.112398 38.70 40.02 MORGAN STANLEY FINANCE 61773Q5U9 05/31/22 05/28/27 100.000 0.000 4.0281 0.111892 0.114120 0.116419 0.118763 23.68 41.65 Morgan Stanley Finance 61769H7N9 01/31/20 02/02/27 100.000 0.000 2.4454 47.77 0.070459 0.071321 0.072193 0.073076 0.073969 25.78 26.41 Morgan Stanley Finance 61769H7M1 01/31/20 02/02/27 100.000 0.000 2.4454 47.77 0.070459 0.071321 0.072193 0.073076 0.073969 25.78 26.41 Morgan Stanley Finance 61770FHN9 03/04/20 03/05/25 100.000 0.000 1.7527 32.37 0.049981 0.050419 0.050861 0.051307 0.051756 18.17 18.49 Morgan Stanley Finance 61770FHP4 03/04/20 03/05/25 100.000 0.000 1.7527 32.37 0.049981 0.050419 0.050861 0.051307 0.051756 18.17 18.49 MORGAN STANLEY FINANCE 61773Q5T2 05/31/22 05/31/29 100.000 0.000 4.2085 0.116903 0.119363 0.121874 0.124439 24.74 43.58 Morgan Stanley Finance 61768CXW2 01/31/18 07/31/25 100.000 0.000 3.4534 143.64 0.108139 0.110006 0.111906 0.113838 0.115803 39.83 41.22 Morgan Stanley Finance 61771VQW3 04/30/21 05/02/28 100.000 0.000 2.0160 13.53 0.056571 0.057141 0.057717 0.058299 0.058887 20.54 20.95 Morgan Stanley Finance 61769H7L3 01/31/20 02/02/27 100.000 0.000 2.4454 47.77 0.070459 0.071321 0.072193 0.073076 0.073969 25.78 26.41 Morgan Stanley Finance 61769H7K5 01/31/20 02/02/27 100.000 0.000 2.4454 47.77 0.070459 0.071321 0.072193 0.073076 0.073969 25.78 26.41 Morgan Stanley Finance 61766X822 10/04/17 10/04/23 100.000 0.000 2.9409 131.86 0.091812 0.093162 0.094532 0.095922 33.53 26.06 Morgan Stanley Finance 61769HYC3 11/05/19 11/03/22 100.000 0.000 2.1789 47.84 0.063199 0.063888 19.21 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773H3V9 03/03/22 03/04/27 100.000 0.000 2.7394 0.076101 0.077144 0.078201 0.079272 22.80 28.21 Morgan Stanley Finance 61770E588 02/05/20 02/05/25 100.000 0.000 1.9970 38.60 0.057152 0.057722 0.058299 0.058881 0.059469 20.84 21.26 MORGAN STANLEY FINANCE 61773H3T4 03/03/22 03/04/27 100.000 0.000 2.7394 0.076101 0.077144 0.078201 0.079272 22.80 28.21 Morgan Stanley Finance 61770FYX8 04/30/20 04/30/27 100.000 0.000 2.2634 38.30 0.065031 0.065767 0.066511 0.067264 0.068025 23.63 24.17 MORGAN STANLEY FINANCE 61774HK31 11/16/22 11/14/24 100.000 0.000 5.2055 0.144597 0.148319 0.152179 6.51 53.08 MORGAN STANLEY FINANCE 61774DWU7 07/29/22 07/29/27 100.000 0.000 4.3358 0.120439 0.123050 0.125717 18.31 44.63 MORGAN STANLEY FINANCE 61774DWT0 07/29/22 07/31/25 100.000 0.000 4.0373 0.112147 0.112160 0.114424 0.116734 17.05 41.48 MORGAN STANLEY FINANCE 61774HB23 11/23/22 05/21/27 100.000 0.000 5.3341 0.148169 0.152077 0.156133 5.63 54.36 MORGAN STANLEY FINANCE 61774DWH6 08/03/22 08/03/27 100.000 0.000 4.0342 0.112061 0.114321 0.116627 16.59 41.42 MORGAN STANLEY FINANCE 61774DWE3 07/29/22 07/31/29 100.000 0.000 4.4850 0.124583 0.124599 0.127393 0.130250 18.94 46.21 MORGAN STANLEY FINANCE 61774DWF0 07/29/22 07/31/29 100.000 0.000 4.4850 0.124583 0.124599 0.127393 0.130250 18.94 46.21 MORGAN STANLEY FINANCE 61774HB31 11/23/22 05/23/28 100.000 0.000 5.4757 0.152103 0.156267 0.160545 5.78 55.83 MORGAN STANLEY FINANCE 61774DWJ2 07/06/22 07/06/26 100.000 0.000 4.3555 0.120986 0.123621 0.126313 21.17 44.96 MORGAN STANLEY FINANCE 61774HZY7 11/15/22 11/15/27 100.000 0.000 5.6531 0.157031 0.161469 0.166033 7.22 57.74 MORGAN STANLEY FINANCE 61774HZZ4 11/16/22 11/14/25 100.000 0.000 5.2838 0.146772 0.150607 0.154586 6.60 53.90 MORGAN STANLEY FINANCE 61774HJ33 11/29/22 11/29/27 100.000 0.000 5.2152 0.144867 0.148644 0.152520 4.64 53.08 MORGAN STANLEY FINANCE 61774HJ41 11/22/22 11/22/27 100.000 0.000 5.3302 0.148061 0.152007 0.156058 5.77 54.32 MORGAN STANLEY FINANCE 61774DF85 07/29/22 07/30/27 100.000 0.000 4.3358 0.120439 0.123064 0.125732 18.31 44.63 MORGAN STANLEY FINANCE 61774DMM6 07/06/22 07/06/27 100.000 0.000 4.5507 0.126408 0.129285 0.132226 22.12 47.04 MORGAN STANLEY FINANCE 61774HYZ5 11/28/22 11/28/29 100.000 0.000 5.3723 0.149231 0.153239 0.157355 4.92 54.71 MORGAN STANLEY FINANCE 61774HA73 12/05/22 12/03/27 100.000 0.000 5.0920 0.141444 0.145006 0.148697 3.68 51.76 MORGAN STANLEY FINANCE 617741ZU5 12/05/22 12/04/25 100.000 0.000 4.9291 0.136919 0.140275 0.143732 3.56 50.08 MORGAN STANLEY FINANCE 61774DYU5 07/20/22 07/20/27 100.000 0.000 4.4916 0.124767 0.127569 0.130434 20.09 46.33 MORGAN STANLEY FINANCE 61774DA23 07/29/22 07/29/27 100.000 0.000 4.3358 0.120439 0.123050 0.125717 18.31 44.63 MORGAN STANLEY FINANCE 61774B275 07/06/22 01/06/26 100.000 0.000 4.2080 0.116889 0.119348 0.121859 20.46 43.39 MORGAN STANLEY FINANCE 61774DPZ4 06/17/22 06/17/27 100.000 0.000 4.9268 0.136856 0.140227 0.143681 0.147221 26.60 51.20 MORGAN STANLEY FINANCE 61774HD54 11/04/22 11/04/27 100.000 0.000 5.8518 0.162550 0.167306 0.172201 9.27 59.92 MORGAN STANLEY FINANCE 61774HLB2 11/03/22 11/04/27 100.000 0.000 5.8023 0.161175 0.165877 0.170689 9.35 59.41 MORGAN STANLEY FINANCE 61774H2U1 12/01/22 12/03/25 100.000 0.000 5.0815 0.141153 0.141193 0.144780 0.148458 4.24 51.68 MORGAN STANLEY FINANCE 61774DPD3 06/23/22 06/23/27 100.000 0.000 4.6901 0.130281 0.133336 0.136462 0.139663 24.52 48.61 MORGAN STANLEY FINANCE 61774H2K3 11/30/22 11/30/27 100.000 0.000 5.1973 0.144369 0.148121 0.151970 4.48 52.88 MORGAN STANLEY FINANCE 61774HKX5 11/03/22 11/04/27 100.000 0.000 5.8023 0.161175 0.165877 0.170689 9.35 59.41 MORGAN STANLEY FINANCE 61774DPN1 06/21/22 06/21/27 100.000 0.000 4.6797 0.129992 0.133033 0.136146 0.139332 24.73 48.52 MORGAN STANLEY FINANCE 61774HKW7 11/03/22 11/04/27 100.000 0.000 5.8023 0.161175 0.165877 0.170689 9.35 59.41 MORGAN STANLEY FINANCE 61774HKC1 10/31/22 10/29/27 100.000 0.000 5.7935 0.160931 0.165566 0.170362 9.82 59.35 MORGAN STANLEY FINANCE 61774HKA5 10/31/22 10/30/25 100.000 0.000 5.5515 0.154208 0.158489 0.162888 9.41 56.81 MORGAN STANLEY FINANCE 61774HKB3 10/31/22 10/29/27 100.000 0.000 5.7935 0.160931 0.165566 0.170362 9.82 59.35 MORGAN STANLEY FINANCE 61774HKL1 11/03/22 11/05/25 100.000 0.000 5.5897 0.155269 0.155318 0.159659 0.164121 9.01 57.19 MORGAN STANLEY FINANCE 61774HKH0 11/03/22 11/04/27 100.000 0.000 5.8023 0.161175 0.165877 0.170689 9.35 59.41 MORGAN STANLEY FINANCE 61773QWL9 07/13/22 01/11/24 100.000 0.000 3.7773 0.104925 0.106885 0.108903 17.63 38.80 MORGAN STANLEY FINANCE 61773QWM7 07/20/22 07/18/25 100.000 0.000 4.0774 0.113261 0.115545 0.117900 18.24 41.94 MORGAN STANLEY FINANCE 61773QWK1 07/20/22 07/18/25 100.000 0.000 4.1950 0.116528 0.118945 0.121440 18.76 43.19 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773QWH8 07/05/22 07/03/25 100.000 0.000 4.1999 0.116664 0.119087 0.121587 20.53 43.31 MORGAN STANLEY FINANCE 61773QWF2 07/06/22 07/03/25 100.000 0.000 4.0520 0.112556 0.114798 0.117124 19.70 41.74 MORGAN STANLEY FINANCE 61773QWG0 06/29/22 06/27/24 100.000 0.000 3.6988 0.102744 0.104623 0.106558 0.108529 18.71 38.03 MORGAN STANLEY FINANCE 617741LA4 10/31/22 10/31/29 100.000 0.000 5.9019 0.163942 0.168780 0.173760 10.00 60.49 MORGAN STANLEY FINANCE 61760QNL4 07/29/22 07/29/27 100.000 VARIES 4.1020 0.113944 0.113409 0.112910 17.32 40.77 MORGAN STANLEY FINANCE 61773QWQ8 07/29/22 07/29/25 100.000 0.000 3.8215 0.106153 0.108181 0.110248 16.14 39.20 MORGAN STANLEY FINANCE 617741KZ0 10/31/22 10/31/29 100.000 0.000 5.9019 0.163942 0.168780 0.173760 10.00 60.49 MORGAN STANLEY FINANCE 61773QWN5 07/29/22 03/14/25 100.000 0.000 3.8193 0.106092 0.106598 0.108634 0.110708 16.18 39.18 MORGAN STANLEY FINANCE 61774HYW2 11/28/22 11/28/29 100.000 0.000 5.3723 0.149231 0.153239 0.157355 4.92 54.71 MORGAN STANLEY FINANCE 61774HNH7 10/31/22 10/31/29 100.000 0.000 5.9019 0.163942 0.168780 0.173760 10.00 60.49 MORGAN STANLEY FINANCE 61773QWD7 06/25/22 12/27/24 100.000 0.000 4.2371 0.117697 0.117725 0.120219 0.122766 0.125367 21.91 43.76 MORGAN STANLEY FINANCE 61773QWE5 06/30/22 07/02/25 100.000 0.000 4.0382 0.112172 0.112197 0.114463 0.116774 20.31 41.62 MORGAN STANLEY FINANCE 61773QWB1 06/23/22 12/21/23 100.000 0.000 3.7562 0.104339 0.106277 0.108273 19.64 37.56 MORGAN STANLEY FINANCE 61774DB48 08/03/22 08/03/27 100.000 0.000 4.0342 0.112061 0.114321 0.116627 16.59 41.42 MORGAN STANLEY FINANCE 61774HUW6 11/03/22 11/04/27 100.000 0.000 5.8023 0.161175 0.165877 0.170689 9.35 59.41 MORGAN STANLEY FINANCE 61774HUS5 11/09/22 11/09/27 100.000 0.000 5.8138 0.161494 0.166189 0.171020 8.40 59.48 MORGAN STANLEY FINANCE 61774DA64 08/03/22 08/03/27 100.000 0.000 4.0342 0.112061 0.114321 0.116627 16.59 41.42 MORGAN STANLEY FINANCE 61774DUS4 07/29/22 07/31/29 100.000 0.000 4.4850 0.124583 0.124599 0.127393 0.130250 18.94 46.21 MORGAN STANLEY FINANCE 61774DUP0 08/03/22 08/03/27 100.000 0.000 4.0342 0.112061 0.114321 0.116627 16.59 41.42 MORGAN STANLEY FINANCE 61774HQG6 10/31/22 10/29/27 100.000 0.000 5.7935 0.160931 0.165566 0.170362 9.82 59.35 MORGAN STANLEY FINANCE 61774DMK0 07/06/22 07/06/27 100.000 0.000 4.5507 0.126408 0.129285 0.132226 22.12 47.04 MORGAN STANLEY FINANCE 61774HQF8 10/31/22 10/29/27 100.000 0.000 5.7935 0.160931 0.165566 0.170362 9.82 59.35 MORGAN STANLEY FINANCE 61774DME4 06/30/22 07/02/29 100.000 0.000 4.7878 0.132994 0.133030 0.136214 0.139475 24.08 49.62 MORGAN STANLEY FINANCE 61774HH84 11/29/22 11/29/27 100.000 0.000 5.2152 0.144867 0.148644 0.152520 4.64 53.08 MORGAN STANLEY FINANCE 61774HQ27 11/10/22 05/07/26 100.000 0.000 5.6730 0.157583 0.161979 0.166573 8.04 58.01 MORGAN STANLEY FINANCE 61774HXH6 12/05/22 12/03/27 100.000 0.000 5.0920 0.141444 0.145006 0.148697 3.68 51.76 MORGAN STANLEY FINANCE 61774FAL6 11/03/22 11/05/25 100.000 0.000 5.6239 0.156219 0.156268 0.160662 0.165180 9.06 57.55 MORGAN STANLEY FINANCE 61774DLE5 06/23/22 12/22/26 100.000 0.000 4.6126 0.128128 0.131066 0.134089 0.137182 24.11 47.78 MORGAN STANLEY FINANCE 61774DD38 07/25/22 04/24/25 100.000 0.000 4.1367 0.114908 0.116083 0.118484 0.120935 18.00 42.55 MORGAN STANLEY FINANCE 61774HXP8 12/28/22 11/26/27 100.000 0.000 5.2889 0.146914 0.150108 0.154078 0.44 53.71 MORGAN STANLEY FINANCE 61774FAH5 10/31/22 10/29/25 100.000 0.000 5.5763 0.154897 0.159192 0.163631 9.45 57.08 MORGAN STANLEY FINANCE 61774HG51 11/16/22 11/16/27 100.000 0.000 5.4032 0.150089 0.154144 0.158308 6.75 55.13 MORGAN STANLEY FINANCE 61774HXB9 12/05/22 12/03/27 100.000 0.000 5.0920 0.141444 0.145006 0.148697 3.68 51.76 MORGAN STANLEY FINANCE 61774HXD5 11/28/22 11/26/27 100.000 0.000 5.2889 0.146914 0.150756 0.154742 4.85 53.85 MORGAN STANLEY FINANCE 61774DG35 08/03/22 08/03/27 100.000 0.000 4.0342 0.112061 0.114321 0.116627 16.59 41.42 MORGAN STANLEY FINANCE 61774HSE9 10/27/22 10/29/25 100.000 0.000 5.7140 0.158722 0.158773 0.163309 0.167974 10.16 58.55 MORGAN STANLEY FINANCE 61774HB56 09/23/22 09/25/29 100.000 0.000 5.1656 0.143489 0.143530 0.147237 0.151040 14.07 53.06 MORGAN STANLEY FINANCE 61774HRA8 10/26/22 01/26/26 100.000 0.000 5.7002 0.158339 0.160595 0.165172 10.29 58.47 MORGAN STANLEY FINANCE 61766YMJ7 11/29/22 11/28/25 100.000 VARIES 5.2840 0.146778 0.144763 0.142717 4.70 52.34 MORGAN STANLEY FINANCE 61774B788 08/17/22 09/06/29 100.000 0.000 4.2693 0.118592 0.118859 0.121396 0.123987 15.92 43.84 MORGAN STANLEY FINANCE 61774HAG3 09/13/22 09/13/27 100.000 0.000 4.6526 0.129239 0.132245 0.135322 13.96 47.72 MORGAN STANLEY FINANCE 61774HQK7 10/13/22 10/13/27 100.000 0.000 5.4140 0.150389 0.154460 0.158641 11.73 55.52 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61774D4E4 09/02/22 09/03/26 100.000 0.000 4.3303 0.120286 0.122905 0.125566 14.31 44.40 MORGAN STANLEY FINANCE 61774HUB2 11/02/22 11/02/27 100.000 0.000 5.7872 0.160756 0.165407 0.170193 9.48 59.27 MORGAN STANLEY FINANCE 61774FFW7 09/06/22 09/03/27 100.000 0.000 4.5585 0.126625 0.129463 0.132414 14.56 46.78 MORGAN STANLEY FINANCE 61774DR33 09/06/22 09/03/27 100.000 0.000 4.5585 0.126625 0.129463 0.132414 14.56 46.78 MORGAN STANLEY FINANCE 61774HDH8 09/23/22 09/25/24 100.000 0.000 4.6094 0.128039 0.128072 0.131023 0.134043 12.55 47.21 MORGAN STANLEY FINANCE 61774DQ91 08/31/22 08/30/29 100.000 0.000 3.8529 0.107025 0.109064 0.111188 12.95 39.40 MORGAN STANLEY FINANCE 61774DQ83 08/31/22 08/30/29 100.000 0.000 3.8529 0.107025 0.109064 0.111188 12.95 39.40 MORGAN STANLEY FINANCE 61774D7D3 09/02/22 07/06/28 100.000 0.000 4.5332 0.125922 0.127888 0.130787 14.98 46.54 MORGAN STANLEY FINANCE 61774HL71 11/28/22 11/28/25 100.000 0.000 5.1721 0.143669 0.147385 0.151196 4.74 52.64 MORGAN STANLEY FINANCE 61774DP76 09/06/22 09/05/25 100.000 0.000 4.2264 0.117400 0.119867 0.122400 13.50 43.29 MORGAN STANLEY FINANCE 61774DP27 09/06/22 09/03/27 100.000 0.000 4.5585 0.126625 0.129463 0.132414 14.56 46.78 MORGAN STANLEY FINANCE 61774DP35 08/31/22 08/31/27 100.000 0.000 3.6468 0.101300 0.103127 0.105028 12.26 37.25 MORGAN STANLEY FINANCE 61774HSY5 10/28/22 10/28/27 100.000 0.000 5.8614 0.162817 0.167588 0.172500 10.26 60.08 MORGAN STANLEY FINANCE 61774H256 12/01/22 12/04/24 100.000 0.000 5.1428 0.142856 0.142917 0.146592 0.150361 4.29 52.31 MORGAN STANLEY FINANCE 61774HWJ3 10/14/22 10/16/24 100.000 0.000 5.1050 0.141806 0.141846 0.145466 0.149179 10.92 52.27 MORGAN STANLEY FINANCE 61773QWU9 08/24/22 02/23/24 100.000 0.000 3.6443 0.101231 0.103065 0.104943 12.86 37.25 MORGAN STANLEY FINANCE 61774DT23 09/06/22 09/03/27 100.000 0.000 4.5585 0.126625 0.129463 0.132414 14.56 46.78 MORGAN STANLEY FINANCE 61774HVS4 10/26/22 10/26/27 100.000 0.000 5.9864 0.166289 0.171266 0.176393 10.81 61.42 MORGAN STANLEY FINANCE 61774HA32 11/28/22 11/28/29 100.000 0.000 5.3723 0.149231 0.153239 0.157355 4.92 54.71 MORGAN STANLEY FINANCE 61774DS57 08/31/22 08/30/29 100.000 0.000 3.8529 0.107025 0.109064 0.111188 12.95 39.40 MORGAN STANLEY FINANCE 61774FGV8 09/16/22 09/18/24 100.000 0.000 4.3614 0.121150 0.121179 0.123822 0.126522 12.72 44.65 MORGAN STANLEY FINANCE 61774DA98 08/03/22 08/01/25 100.000 0.000 3.6630 0.101750 0.103593 0.105490 15.06 37.52 MORGAN STANLEY FINANCE 61774DR90 09/06/22 09/03/27 100.000 0.000 4.5585 0.126625 0.129463 0.132414 14.56 46.78 MORGAN STANLEY FINANCE 61774DR82 09/06/22 09/03/27 100.000 0.000 4.5585 0.126625 0.129463 0.132414 14.56 46.78 MORGAN STANLEY FINANCE 61774HXA1 12/05/22 12/03/27 100.000 0.000 5.0920 0.141444 0.145006 0.148697 3.68 51.76 MORGAN STANLEY FINANCE 61774HGY8 09/28/22 09/26/25 100.000 0.000 5.0419 0.140053 0.143544 0.147163 13.02 51.72 MORGAN STANLEY FINANCE 61774DM61 08/31/22 08/29/25 100.000 0.000 3.0960 0.086000 0.087316 0.088676 10.41 31.52 MORGAN STANLEY FINANCE 61774H6P8 12/02/22 12/02/27 100.000 0.000 5.0920 0.141444 0.145046 0.148738 4.10 51.78 MORGAN STANLEY FINANCE 61774HWU8 10/26/22 10/24/24 100.000 0.000 5.4629 0.151747 0.155846 0.160103 9.86 55.93 MORGAN STANLEY FINANCE 61773QWX3 08/31/22 02/28/25 100.000 0.000 4.1979 0.116608 0.119029 0.121527 14.11 43.02 MORGAN STANLEY FINANCE 61774DM79 08/31/22 08/31/27 100.000 0.000 3.6468 0.101300 0.103127 0.105028 12.26 37.25 NATIONAL BANK OF CANADA 63305LLR2 05/20/22 05/31/24 100.000 0.000 3.4031 0.094530 0.094620 0.096230 0.097867 0.099532 20.96 35.04 NEW CANEY TEX INDPT SCH 643154GS0 09/24/20 02/15/26 93.251 0.000 1.3001 15.47 0.034069 0.034290 0.034513 0.034738 0.034963 12.36 12.53 NEW CANEY TEX INDPT SCH 643154GR2 09/24/20 02/15/25 95.484 0.000 1.0550 12.84 0.028245 0.028394 0.028544 0.028695 0.028846 10.24 10.34 NEW CANEY TEX INDPT SCH 643154GT8 09/24/20 02/15/27 91.352 0.000 1.4201 16.57 0.036493 0.036752 0.037013 0.037276 0.037540 13.25 13.44 NEW CANEY TEX INDPT SCH 643154GQ4 09/24/20 02/15/24 96.820 0.000 0.9550 11.79 0.025904 0.026028 0.026152 0.026277 0.026403 9.38 9.47 NEW CANEY TEX INDPT SCH 643154GP6 09/24/20 02/15/23 98.305 0.000 0.7160 8.96 0.019677 0.019748 0.019818 7.12 0.87 NEW SUMMERFIELD TEX INDP 648839DF2 12/10/21 08/15/24 97.361 0.000 1.0001 0.57 0.027048 0.027096 0.027232 0.027368 0.027505 9.77 9.87 NEW SUMMERFIELD TEX INDP 648839DG0 12/10/21 08/15/25 95.168 0.000 1.3500 0.75 0.035688 0.035775 0.036017 0.036260 0.036505 12.91 13.08 NEW SUMMERFIELD TEX INDP 648839DH8 12/10/21 08/15/26 93.331 0.000 1.4799 0.81 0.038366 0.038469 0.038753 0.039040 0.039329 13.88 14.08 NEW SUMMERFIELD TEX INDP 648839DJ4 12/10/21 08/15/27 90.678 0.000 1.7299 0.92 0.043574 0.043710 0.044088 0.044469 0.044854 15.78 16.04 NJ Econ Dev Auth 64578JAP1 09/07/07 07/01/23 36.303 0.000 6.5093 545.36 0.164250 0.169595 0.175115 60.09 31.52 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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ NJ Econ Dev Auth 64578JAN6 09/07/07 07/01/22 38.760 0.000 6.4993 580.93 0.174854 31.47 NORTHMONT OHIO CITY SCH 666586LX8 07/22/20 11/01/27 86.846 0.000 1.9479 24.63 0.048167 0.048636 0.049109 0.049588 0.050071 17.48 17.82 NORTHMONT OHIO CITY SCH 666586LY6 07/22/20 11/01/28 83.705 0.000 2.1609 26.37 0.051641 0.052199 0.052763 0.053333 0.053909 18.76 19.17 NORTHMONT OHIO CITY SCH 666586LZ3 07/22/20 11/01/29 81.177 0.000 2.2609 26.77 0.052465 0.053058 0.053658 0.054264 0.054878 19.07 19.50 NORTHMONT OHIO CITY SCH 666586MA7 07/22/20 11/01/30 78.570 0.000 2.3609 27.07 0.053093 0.053720 0.054354 0.054996 0.055645 19.30 19.76 NORTHMONT OHIO CITY SCH 666586MB5 07/22/20 11/01/31 75.897 0.000 2.4609 27.27 0.053527 0.054185 0.054852 0.055527 0.056210 19.47 19.95 NORTHRIDGE OHIO LOC SCH 666705GM4 02/10/21 12/01/35 64.917 0.000 2.9389 17.14 0.054262 0.055059 0.055868 0.056689 0.057522 19.73 20.31 NORTHRIDGE OHIO LOC SCH 666705GN2 02/10/21 12/01/36 62.076 0.000 3.0389 16.95 0.053695 0.054511 0.055339 0.056180 0.057034 19.53 20.12 NORTHRIDGE OHIO LOC SCH 666705GP7 02/10/21 12/01/37 59.656 0.000 3.0969 16.60 0.052611 0.053426 0.054253 0.055093 0.055946 19.14 19.73 NORTHRIDGE OHIO LOC SCH 666705GQ5 02/10/21 12/01/38 57.346 0.000 3.1468 16.22 0.051410 0.052219 0.053041 0.053875 0.054723 18.70 19.30 NORTHWEST OHIO LOC SCH 667712CP6 11/15/19 12/01/39 47.272 0.000 3.7730 39.15 0.053479 0.054488 0.055516 0.056564 0.057631 19.50 20.24 NORTHWEST OHIO LOC SCH 667712CQ4 11/15/19 12/01/40 45.070 0.000 3.8230 37.84 0.051716 0.052704 0.053711 0.054738 0.055785 18.86 19.58 NORTHWEST OHIO LOC SCH 667712CN1 11/15/19 12/01/38 49.534 0.000 3.7230 40.46 0.055239 0.056267 0.057315 0.058382 0.059468 20.13 20.89 NORTHWEST TEX INDPT SCH 667826BS9 04/07/22 02/15/24 96.351 0.000 2.0128 0.053871 0.054257 0.054803 0.055354 14.27 19.78 NORWOOD OHIO CITY SCH DI 669674DL4 11/16/21 11/01/25 94.686 0.000 1.3842 1.64 0.036407 0.036638 0.036891 0.037146 0.037404 13.18 13.36 NORWOOD OHIO CITY SCH DI 669674DK6 11/16/21 11/01/24 96.929 0.000 1.0571 1.28 0.028462 0.028600 0.028751 0.028903 0.029056 10.29 10.40 NORWOOD OHIO CITY SCH DI 669674DJ9 11/16/21 11/01/23 98.714 0.000 0.6620 0.82 0.018153 0.018208 0.018268 0.018329 6.55 5.49 NORWOOD OHIO CITY SCH DI 669674DP5 11/16/21 11/01/28 86.798 0.000 2.0451 2.22 0.049309 0.049771 0.050280 0.050794 0.051313 17.89 18.26 NORWOOD OHIO CITY SCH DI 669674DN0 11/16/21 11/01/27 89.476 0.000 1.8750 2.10 0.046601 0.047002 0.047442 0.047887 0.048336 16.90 17.21 NORWOOD OHIO CITY SCH DI 669674DM2 11/16/21 11/01/26 92.475 0.000 1.5840 1.83 0.040688 0.040984 0.041308 0.041636 0.041965 14.74 14.97 NORWOOD OHIO CITY SCH DI 669674DT7 11/16/21 11/01/32 74.157 0.000 2.7470 2.55 0.056586 0.057299 0.058086 0.058884 0.059692 20.59 21.15 NORWOOD OHIO CITY SCH DI 669674DS9 11/16/21 11/01/31 77.340 0.000 2.5970 2.51 0.055792 0.056456 0.057189 0.057932 0.058684 20.29 20.81 NORWOOD OHIO CITY SCH DI 669674DR1 11/16/21 11/01/30 80.778 0.000 2.3971 2.42 0.053786 0.054377 0.055029 0.055688 0.056356 19.54 20.01 NORWOOD OHIO CITY SCH DI 669674DQ3 11/16/21 11/01/29 83.708 0.000 2.2471 2.35 0.052249 0.052787 0.053380 0.053980 0.054586 18.97 19.40 NUTRIEN LTD 67077MAD0 04/10/18 04/01/25 94.730 3.000 3.8693 26.40 0.021116 0.021525 0.021941 0.022366 0.022799 7.75 8.05 NUTRIEN LTD 67077MAE8 04/10/18 12/15/26 97.410 4.000 4.3616 9.94 0.008095 0.008271 0.008451 0.008636 0.008824 2.95 3.08 NUTRIEN LTD 67077MAJ7 04/10/18 10/01/22 98.300 3.150 3.5643 13.96 0.011110 0.011308 3.04 NY State Dorm Auth 649902ZR7 10/20/09 09/15/25*** 86.380 5.800 7.2575 89.60 0.030442 0.031546 0.032691 *** *** 11.40 *** National Rural Utilities 637432KV6 02/06/08 12/15/23 87.915 0.000 0.8138 105.09 0.022241 0.022332 0.022423 0.022514 8.03 7.73 National Rural Utilities 637432LL7 02/06/08 12/15/22 88.108 0.000 0.8539 110.81 0.023518 0.023619 8.11 Natixis US MTN LLC 63873HME1 10/31/13 10/31/33*** 100.000 VARIES 4.5708 38.46 0.107433 0.107964 0.108508 *** *** 38.84 *** Natixis US MTN LLC 63873HKC7 04/30/14 04/30/34*** 100.000 VARIES 4.2409 37.04 0.103190 0.103477 0.103771 *** *** 37.24 *** Natixis US MTN LLC 63873HKA1 07/31/13 07/31/28*** 100.000 VARIES 4.2606 38.61 0.107744 0.108497 0.109266 *** *** 39.15 *** Natixis US MTN LLC 63873HJU9 04/30/14 04/30/34*** 100.000 VARIES 4.2419 36.88 0.102719 0.102986 0.103258 *** *** 37.06 *** Natixis US MTN LLC 63873HJT2 12/27/13 12/27/33*** 100.000 VARIES 4.8026 42.56 0.119256 0.119979 0.120720 *** *** 43.07 *** Natixis US MTN LLC 63873HMW1 11/27/13 11/27/33*** 100.000 VARIES 4.5649 40.55 0.113470 0.114125 0.114794 *** *** 41.01 *** Natixis US Medium 63873HLU6 07/31/14 07/31/34*** 100.000 VARIES 3.9932 37.67 0.104799 0.105028 0.105262 *** *** 37.84 *** Natixis US Medium Term 63873HLN2 08/29/13 08/29/33*** 100.000 VARIES 4.5781 42.38 0.116356 0.117711 0.117795 *** *** 42.90 *** Newark, NJ 6503668C4 04/10/03 04/01/32 15.279 0.000 6.5900 361.77 0.092666 0.095719 0.098873 0.102131 0.105496 34.47 36.78 Newark, NJ 6503668D2 04/10/03 04/01/33 14.320 0.000 6.5899 339.05 0.086847 0.089708 0.092664 0.095717 0.098871 32.30 34.47 Newark, NJ 6503667Z4 04/10/03 04/01/29 18.653 0.000 6.5700 439.38 0.112383 0.116074 0.119887 0.123826 0.127893 41.80 44.59 Newark, NJ 6503668A8 04/10/03 04/01/30 17.440 0.000 6.5800 411.87 0.105423 0.108891 0.112474 0.116174 0.119996 39.21 41.83 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Newark, NJ 6503668B6 04/10/03 04/01/31 16.302 0.000 6.5901 386.00 0.098873 0.102131 0.105496 0.108973 0.112563 36.78 39.24 Newark, NJ 6503667T8 04/10/03 04/01/23 28.029 0.000 6.4699 643.31 0.163347 0.168631 0.174086 60.72 15.67 Newark, NJ 6503667U5 04/10/03 04/01/24 26.193 0.000 6.4900 604.33 0.153673 0.158660 0.163809 0.169124 0.174612 57.13 60.90 Newark, NJ 6503667S0 04/10/03 04/01/22 30.037 0.000 6.4399 684.03 0.173305 15.60 Newark, NJ 6503667X9 04/10/03 04/01/27 21.327 0.000 6.5499 499.76 0.127640 0.131820 0.136137 0.140596 0.145200 47.47 50.63 Newark, NJ 6503667Y7 04/10/03 04/01/28 19.947 0.000 6.5600 468.65 0.119781 0.123710 0.127768 0.131959 0.136287 44.55 47.52 Newark, NJ 6503667V3 04/10/03 04/01/25 24.468 0.000 6.5100 567.47 0.144511 0.149215 0.154072 0.159087 0.164266 53.73 57.29 Newark, NJ 6503667W1 04/10/03 04/01/26 22.848 0.000 6.5299 532.64 0.135839 0.140274 0.144854 0.149583 0.154467 50.51 53.86 Nomura America Finance 65539AAG5 11/24/10 11/24/25*** 100.000 VARIES 5.5492 46.54 0.131835 0.133872 0.135965 *** *** 47.98 *** Nomura America Finance 65539ACG3 01/22/16 01/22/23*** 103.000 0.125 3.0300 200.88 0.101660 0.103148 0.104658 *** *** 37.34 *** Nomura America Finance 655365AA2 12/31/13 12/31/33*** 100.000 VARIES 4.5379 35.47 0.099780 0.101092 0.102435 *** *** 36.16 *** Nomura America Finance 65539ABB5 02/28/14 02/28/34*** 100.000 VARIES 4.5092 35.12 0.097567 0.096664 0.099465 *** *** 35.68 *** Nomura America Finance 65539ABC3 05/30/14 05/30/34*** 100.000 VARIES 3.7543 32.63 0.090785 0.090907 0.091173 *** *** 32.72 *** Nomura America Finance 65539ABE9 07/29/14 07/29/34*** 100.000 VARIES 4.2954 29.23 0.081677 0.082430 0.083200 *** *** 29.77 *** Nomura America Finance 65539ABL3 12/24/14 12/24/34*** 100.000 VARIES 2.8015 26.28 0.073582 0.073978 0.074380 *** *** 26.57 *** OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36 49.134 0.000 4.2087 49.13 0.062592 0.063909 0.065254 0.066627 0.068029 22.99 23.96 Oregon Community College 68583RAU6 04/23/03 06/30/22 30.636 0.000 6.2613 663.45 0.168645 30.19 Oregon Community College 68583RAV4 04/23/03 06/30/23 28.748 0.000 6.2713 624.21 0.158792 0.163771 0.168906 58.07 30.23 Oregon School Boards 686053CM9 04/21/03 06/30/22 30.636 0.000 6.2595 663.47 0.168599 30.18 Oregon School Boards 686053CN7 04/21/03 06/30/23 28.748 0.000 6.2695 624.23 0.158749 0.163726 0.168858 58.06 30.23 PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25 95.500 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ PORT ARTHUR TEX INDPT SC 733505TZ4 10/29/20 02/15/29 86.188 0.000 1.8000 18.31 0.043712 0.044105 0.044502 0.044902 0.045306 15.91 16.20 PORT ARTHUR TEX INDPT SC 733505TV3 10/29/20 02/15/25 95.741 0.000 1.0160 11.45 0.027238 0.027377 0.027516 0.027656 0.027796 9.87 9.97 PORT ARTHUR TEX INDPT SC 733505TW1 10/29/20 02/15/26 93.487 0.000 1.2760 14.05 0.033473 0.033686 0.033901 0.034118 0.034335 12.15 12.30 PORT ARTHUR TEX INDPT SC 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74444KAM6 12/23/19 11/01/24 98.973 6.750 7.0031 3.87 0.005718 0.005919 0.006126 0.006340 0.006562 2.12 2.27 Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25*** 100.000 VARIES 7.7501 186.85 0.533670 0.550468 0.567894 *** *** 198.77 *** Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25*** 100.000 VARIES 7.7501 186.85 0.533670 0.550468 0.567894 *** *** 198.77 *** Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53*** 81.968 4.750 5.9941 5.06 0.005378 0.005539 *** *** *** 1.96 *** Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40*** 82.961 4.550 5.9712 12.52 0.013293 0.013690 *** *** *** 4.86 *** Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58*** 83.618 5.000 6.1032 3.21 0.003415 0.003519 *** *** *** 1.25 *** Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40*** 82.961 4.550 5.9712 12.52 0.013293 0.013690 *** *** *** 4.86 *** QBE Funding Trust G7303WAA9 04/15/02 04/15/22 59.358 0.000 2.6250 398.94 0.071972 7.49 Quicksilver Resources In 74837RAA2 11/01/04 11/01/24*** 98.500 VARIES 6.7503 157.74 0.452717 0.465696 0.479093 *** *** 166.90 *** Quicksilver Resources In 74837RAB0 11/01/04 11/01/24*** 98.500 VARIES 6.7503 157.74 0.452717 0.465696 0.479093 *** *** 166.90 *** RENO NEV 1999 SPL ASSMT 759830AT9 09/22/16 06/01/25*** 97.746 3.000 3.3004 12.91 0.007441 0.007564 0.007689 *** *** 2.71 *** RICE TEX CONS INDPT SCH 762825MH7 10/14/21 02/15/26 94.740 0.000 1.2499 2.53 0.032894 0.033032 0.033239 0.033446 0.033655 11.91 12.06 RICE TEX CONS INDPT SCH 762825MJ3 10/14/21 02/15/27 92.580 0.000 1.4499 2.87 0.037288 0.037469 0.037741 0.038015 0.038290 13.52 13.71 RICE TEX CONS INDPT SCH 762825MK0 10/14/21 02/15/28 90.395 0.000 1.6000 3.09 0.040175 0.040392 0.040715 0.041040 0.041369 14.58 14.80 RICE TEX CONS INDPT SCH 762825MG9 10/14/21 02/15/25 96.406 0.000 1.1001 2.27 0.029459 0.029568 0.029730 0.029894 0.030058 10.66 10.78 RIVERSIDE OHIO LOC SCH 769229CY9 12/30/19 10/01/39 46.260 0.000 3.9408 37.65 0.054227 0.055295 0.056385 0.057496 0.058629 19.91 20.70 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ROBSTOWN TEX INDPT SCH 771146ZW0 12/22/21 02/15/36 67.008 0.000 2.8499 0.48 0.053046 0.053269 0.054028 0.054798 0.055579 19.27 19.80 ROCKWALL TEX INDPT SCH 774286AR9 09/17/20 02/15/24 97.085 0.000 0.8691 10.92 0.023624 0.023727 0.023830 0.023933 0.024037 8.55 8.63 ROCKWALL TEX INDPT SCH 774286AS7 09/17/20 02/15/25 95.825 0.000 0.9691 12.02 0.026024 0.026150 0.026277 0.026404 0.026532 9.43 9.52 ROCKWALL TEX INDPT SCH 774286AP3 09/17/20 02/15/22 99.237 0.000 0.5435 6.97 0.015056 0.66 ROCKWALL TEX INDPT SCH 774286AQ1 09/17/20 02/15/23 98.414 0.000 0.6641 8.45 0.018265 0.018326 0.018387 6.60 0.81 ROCKWALL TEX INDPT SCH 774286AW8 09/17/20 02/15/32 78.736 0.000 2.1059 21.56 0.046947 0.047441 0.047941 0.048445 0.048956 17.12 17.49 ROCKWALL TEX INDPT SCH 774286AT5 09/17/20 02/15/26 93.705 0.000 1.2051 14.63 0.031714 0.031905 0.032098 0.032291 0.032486 11.50 11.64 ROCKWALL TEX INDPT SCH 774286AV0 09/17/20 02/15/31 81.236 0.000 2.0059 21.18 0.046095 0.046557 0.047024 0.047496 0.047972 16.80 17.14 ROCKWALL TEX INDPT SCH 774286AU2 09/17/20 02/15/27 91.998 0.000 1.3051 15.56 0.033750 0.033970 0.034192 0.034415 0.034639 12.25 12.41 ROYAL BANK OF CANADA 78016FM35 06/30/22 07/01/27 100.000 0.000 4.6500 0.132186 0.132186 0.138405 23.38 48.14 ROYSE CITY TEX INDPT SCH 780869VS9 10/08/20 02/15/23 98.369 0.000 0.7001 8.50 0.019245 0.019312 0.019380 6.96 0.85 Randolph & Perry CNTYS 752368BC3 05/16/13 12/01/22 107.818 VARIES 3.5344 35.89 0.099101 0.098643 32.62 Randolph County, IL 752535DQ4 01/30/13 12/01/22 68.391 0.000 3.8997 281.33 0.104221 0.106253 34.76 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24*** 100.000 VARIES 8.7500 276.91 0.795580 0.826058 0.857828 *** *** 298.49 *** Regal Beloit Corporation 758750AA1 04/05/04 03/15/24*** 100.000 VARIES 8.7500 276.91 0.795580 0.826058 0.857828 *** *** 298.49 *** ROYAL BANK OF CANADA 78016FG40 03/31/22 04/01/27 100.000 0.000 3.4090 0.094704 0.096318 0.097960 0.099630 25.81 35.27 Royal Bank of Canada 78013XLY2 06/29/18 06/30/22 100.000 0.000 3.4324 126.71 0.107415 19.23 Royal Bank of Canada 78013X3H9 03/29/19 03/30/23 100.000 0.000 2.8294 80.52 0.084321 0.085513 0.086723 30.79 7.72 ROYAL BANK OF CANADA 78016HEA4 12/07/22 12/04/26 100.000 0.000 4.9771 0.138253 0.141636 0.145161 3.32 50.57 Royal Bank of Canada 78013XMP0 06/29/18 06/30/22 100.000 0.000 3.3884 125.01 0.105879 18.95 Royal Bank of Canada 78010UVX2 06/30/14 06/30/29*** 100.000 VARIES 3.5597 34.80 0.096832 0.096953 0.097075 *** *** 34.88 *** Royal Bank of Canada 78013XCS5 01/31/18 01/31/23 100.000 0.000 3.0653 126.65 0.094714 0.096165 0.097639 34.80 2.83 Royal Bank of Canada 78014RDL1 04/30/21 04/30/41 100.000 VARIES 2.5777 17.20 0.070734 0.069856 0.068966 0.068065 0.067152 25.20 24.55 Royal Bank of Canada 78013GJR7 10/18/17 10/18/23 100.000 0.000 2.1352 93.38 0.064571 0.065260 0.065957 0.066661 23.47 19.06 Royal Bank of Canada 78014RDG2 03/15/21 03/15/41 100.000 VARIES 2.5737 20.24 0.069553 0.067589 0.067669 0.067750 0.067833 24.49 24.39 Royal Bank of Canada 78013XTK4 12/31/18 06/30/22 100.000 0.000 3.2158 100.53 0.098299 17.60 Royal Bank of Canada 78013XL97 10/31/18 10/31/22 100.000 0.000 3.5349 117.50 0.109076 0.111004 32.96 Royal Bank of Canada 78013X3E6 03/29/19 03/31/22 100.000 0.000 2.7531 78.28 0.081891 7.29 Royal Bank of Canada 78013XM62 10/31/18 11/02/22 100.000 0.000 3.5454 117.86 0.109455 0.111395 33.30 Royal Bank of Canada 78012KDH7 06/29/15 06/29/35*** 100.000 VARIES 3.4100 31.70 0.088332 0.088520 0.088712 *** *** 31.83 *** Royal Bank of Canada 78010UDU8 02/28/14 02/28/34*** 100.000 VARIES 4.0700 36.79 0.101885 0.100547 0.102548 *** *** 37.02 *** ROYAL BANK OF CANADA 78016FQM9 08/08/22 08/06/27 100.000 0.000 4.2200 0.117222 0.119668 0.122193 16.76 43.36 ROYAL BANK OF CANADA 78016FHT4 04/29/22 04/29/27 100.000 0.000 3.8373 0.106593 0.108638 0.110723 0.112847 25.92 39.75 Royal Bank of Canada 78013XFK9 02/28/18 02/28/23 100.000 0.000 3.2254 130.82 0.100211 0.101827 0.103469 36.77 5.90 Royal Bank of Canada 78012KP84 05/18/17 02/21/23 100.000 0.000 2.4412 118.65 0.075193 0.076111 0.077040 27.47 3.85 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31*** 100.000 VARIES 4.0300 39.27 0.109165 0.109279 0.109396 *** *** 39.35 *** Royal Bank of Canada 78013X4T2 04/30/19 04/28/23 100.000 0.000 2.9042 80.04 0.086690 0.087948 0.089225 31.59 10.44 Royal Bank of Canada 78015KDC5 11/29/19 12/01/25 100.000 0.000 2.1621 45.95 0.062705 0.063383 0.064068 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78010UWN3 09/29/14 09/29/34*** 100.000 VARIES 3.6300 34.77 0.096713 0.096838 0.096966 *** *** 34.86 *** ROYAL BANK OF CANADA 78016FXU3 11/03/22 11/05/24 100.000 0.000 5.5183 0.153286 0.153333 0.157564 0.161911 8.89 56.44 Royal Bank of Canada 78013XNY0 07/31/18 07/29/22 100.000 0.000 3.5199 126.75 0.108554 0.110465 22.92 Royal Bank of Canada 78013XWF1 01/31/19 08/02/22 100.000 0.000 3.5183 107.21 0.106655 0.108532 22.84 Royal Bank of Canada 78013XWE4 01/31/19 02/01/24 100.000 0.000 3.6269 110.67 0.110230 0.112228 0.114264 0.116336 0.118445 40.65 42.14 Royal Bank of Canada 78013X5E4 04/30/19 05/01/23 100.000 0.000 2.8548 78.63 0.085129 0.086344 0.087577 31.01 10.51 Royal Bank of Canada 78009Q489 09/26/13 09/26/22 100.000 0.000 3.5770 340.48 0.131946 0.134306 35.39 ROYAL BANK OF CANADA 78016FKA1 05/27/22 05/27/27 100.000 0.000 4.0397 0.112214 0.114480 0.116793 0.119152 24.09 41.79 Royal Bank of Canada 78013XYV4 02/28/19 03/02/23 100.000 0.000 3.1550 93.06 0.094807 0.096302 0.097821 34.76 5.97 ROYAL BANK OF CANADA 78015B435 10/06/22 09/28/28 100.000 0.000 5.5234 0.153428 0.157477 0.161826 13.04 56.74 ROYAL BANK OF CANADA 78016FC69 01/31/22 01/29/27 100.000 0.000 2.1539 0.059830 0.060471 0.061122 0.061780 19.90 22.09 ROYAL BANK OF CANADA 78016H6T2 12/05/22 12/04/24 100.000 0.000 5.1726 0.143683 0.147379 0.151190 3.74 52.59 ROYAL BANK OF CANADA 78016H6R6 12/05/22 01/04/24 100.000 0.000 5.6419 0.156719 0.157432 0.161873 4.07 57.46 Royal Bank of Canada 78013XGY8 03/29/18 03/30/23 100.000 0.000 3.2987 130.78 0.102758 0.104453 0.106176 37.61 9.45 Royal Bank of Canada 78013X6W3 05/31/19 06/01/23 100.000 0.000 2.5276 67.13 0.074768 0.075712 0.076669 27.14 11.50 Royal Bank of Canada 78016FAH7 12/28/21 12/28/26 100.000 0.000 1.7360 0.14 0.048222 0.048641 0.049063 0.049489 0.049918 17.44 17.74 Royal Bank of Canada 78013XPT9 07/31/18 07/31/22 100.000 0.000 3.5174 126.65 0.108481 0.110389 23.02 Royal Bank of Canada 78013XYA0 02/28/19 02/28/25 100.000 0.000 3.2010 94.47 0.096263 0.097803 0.099369 0.100959 0.102575 35.31 36.45 ROYAL BANK OF CANADA 78016H6X3 11/29/22 11/28/25 100.000 0.000 5.4830 0.152306 0.156458 0.160747 4.87 55.86 Royal Bank of Canada 78012KT64 05/31/17 06/01/23 100.000 0.000 2.5535 123.42 0.079514 0.080529 0.081558 28.87 12.23 ROYAL BANK OF CANADA 78016FDV3 02/25/22 02/25/27 100.000 0.000 2.4504 0.068066 0.068900 0.069745 0.070599 20.93 25.17 Royal Bank of 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0.108919 35.56 Royal Bank of Canada 78013XRF7 08/31/18 08/31/22 100.000 0.000 3.4339 120.32 0.105644 0.107438 25.58 Royal Bank of Canada 78014RBV1 12/27/19 12/27/34 100.000 VARIES 2.5623 50.96 0.069088 0.069156 0.069225 0.069295 0.069365 24.88 24.93 Royal Bank of Canada 78014RBT6 11/27/19 11/27/34 100.000 VARIES 2.3582 48.83 0.063650 0.063711 0.063774 0.063836 0.063900 22.93 22.97 Royal Bank of Canada 78013XJD1 04/30/18 07/28/22 100.000 0.000 3.5027 135.95 0.108903 0.110810 22.89 SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29 87.035 0.000 1.6799 17.33 0.041162 0.041508 0.041856 0.042208 0.042563 14.97 15.23 SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28 89.146 0.000 1.5800 16.69 0.039621 0.039934 0.040250 0.040568 0.040888 14.41 14.63 SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30 84.805 0.000 1.7800 17.90 0.042530 0.042909 0.043290 0.043676 0.044064 15.48 15.76 SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24 97.404 0.000 0.9500 6.05 0.025771 0.025893 0.026016 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27 89.911 0.000 1.8499 10.89 0.046436 0.046866 0.047299 0.047737 0.048178 16.91 17.23 SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28 87.094 0.000 2.0498 11.69 0.049871 0.050382 0.050898 0.051420 0.051947 18.19 18.56 SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26 93.647 0.000 1.2111 14.98 0.031861 0.032054 0.032248 0.032444 0.032640 11.56 11.70 SAN ELIZARIO TEX INDPT 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34*** 100.000 VARIES 4.0888 39.17 0.109343 0.110168 0.110847 *** *** 39.74 *** SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31*** 100.000 VARIES 3.8227 26.43 0.072714 0.074104 0.075521 *** *** 26.85 *** SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31*** 100.000 VARIES 4.2878 33.32 0.091547 0.090515 0.090028 *** *** 32.63 *** SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31*** 100.000 VARIES 3.8136 26.83 0.074747 0.075070 0.075400 *** *** 27.07 *** SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26*** 100.000 VARIES 1.6326 54.01 0.025882 0.026093 0.026306 *** *** 9.40 *** SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33*** 91.000 VARIES 4.0761 36.66 0.102550 0.103637 0.104577 *** *** 37.42 *** SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34*** 100.000 VARIES 3.4030 32.96 0.090393 0.091307 0.091230 *** *** 33.26 *** SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26*** 100.000 VARIES 4.0468 35.73 0.100019 0.100989 0.102269 *** *** 36.46 *** SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31*** 100.000 VARIES 3.8090 26.98 0.073832 0.074374 0.074105 *** *** 27.08 *** SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32*** 100.000 VARIES 2.3463 21.22 0.059271 0.059450 0.059630 *** *** 21.39 *** SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32*** 100.000 VARIES 2.3877 21.23 0.059094 0.059089 0.059084 *** *** 21.27 *** SG Structured 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*** *** 30.79 *** SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32*** 90.000 VARIES 4.3778 37.54 0.105820 0.106910 0.108024 *** *** 38.36 *** SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34*** 100.000 VARIES 3.3123 31.78 0.088833 0.089260 0.089694 *** *** 32.09 *** SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32*** 90.000 VARIES 4.3778 37.53 0.105818 0.106908 0.108022 *** *** 38.36 *** SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33*** 100.000 VARIES 4.5906 43.11 0.120311 0.121184 0.122077 *** *** 43.74 *** SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27*** 100.000 VARIES 2.2060 20.05 0.055519 0.054771 0.055840 *** *** 20.17 *** SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33*** 100.000 VARIES 4.5832 44.35 0.123952 0.125068 0.126210 *** *** 45.16 *** SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32*** 100.000 VARIES 2.2189 18.94 0.052432 0.051669 0.052618 *** *** 19.02 *** SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33*** 100.000 VARIES 4.5941 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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 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SHALLOWATER TEX INDPT SC 819309MJ1 11/20/20 02/15/23 98.515 0.000 0.6701 7.37 0.018429 0.018491 0.018553 6.66 0.82 SOCIETE GENERALE 83369NP38 07/14/22 07/14/37 100.000 VARIES 4.8000 0.133333 0.127867 0.122269 22.27 45.17 SOCIETE GENERALE 83369NUQ1 06/21/22 12/18/24 100.000 0.000 4.8300 0.134167 0.137353 0.140670 0.144067 25.53 50.13 SOCIETE GENERALE 83369NNM8 06/23/22 06/20/25 100.000 0.000 4.3300 0.120278 0.122838 0.125498 0.128215 22.64 44.76 SOCIETE GENERALE 83369NUJ7 04/26/22 04/24/37 97.000 VARIES 3.9100 0.105353 0.102502 0.099618 0.096678 25.62 35.99 SOCORRO TEX INDPT SCH DI 833715HG3 06/11/20 08/15/27 86.381 0.000 2.0499 27.86 0.050384 0.050900 0.051422 0.051949 0.052482 18.37 18.75 SOCORRO TEX INDPT SCH DI 833715HD0 06/11/20 08/15/24 93.056 0.000 1.7299 25.28 0.045633 0.046027 0.046425 0.046827 0.047232 16.61 16.90 SOCORRO TEX INDPT SCH DI 833715HE8 06/11/20 08/15/25 90.905 0.000 1.8499 26.43 0.047738 0.048180 0.048625 0.049075 0.049529 17.39 17.71 SOCORRO TEX INDPT SCH DI 833715HB4 06/11/20 08/15/22 97.007 0.000 1.3999 21.29 0.038349 0.038617 8.64 SOCORRO TEX INDPT SCH DI 833715HC2 06/11/20 08/15/23 95.211 0.000 1.5501 23.16 0.041748 0.042072 0.042398 0.042726 15.18 9.56 SOUTH TEXAS CMNTY COLLEG 84055QGN4 07/23/20 08/15/25 90.800 0.000 1.9159 25.27 0.049312 0.049784 0.050261 0.050743 0.051229 17.97 18.31 STEPHENVILLE TEX INDPT 859128HW3 06/25/20 02/15/23 96.808 0.000 1.2330 18.22 0.033623 0.033831 0.034039 12.20 1.50 STEPHENVILLE TEX INDPT 859128HX1 06/25/20 02/15/24 94.854 0.000 1.4570 21.13 0.039029 0.039314 0.039600 0.039889 0.040179 14.18 14.39 San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7298 420.49 0.101290 0.104191 0.107176 0.110247 0.113405 37.69 39.88 San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 397.39 0.095725 0.098467 0.101288 0.104190 0.107175 35.62 37.69 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7297 444.93 0.107175 0.110245 0.113404 0.116653 0.119995 39.88 42.20 San Luis Obispo County 798703AU8 07/02/03 09/01/22 34.700 0.000 5.5996 616.94 0.147188 0.151309 36.07 San Luis Obispo County 798703AV6 07/02/03 09/01/23 32.578 0.000 5.6397 585.77 0.140167 0.144119 0.148183 0.152362 52.13 36.32 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7298 498.15 0.119997 0.123434 0.126971 0.130608 0.134350 44.65 47.25 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7298 470.79 0.113406 0.116655 0.119997 0.123434 0.126971 42.20 44.65 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6797 555.71 0.133369 0.137156 0.141051 0.145057 0.149176 49.62 52.47 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 526.11 0.126450 0.130054 0.133760 0.137572 0.141493 47.05 49.77 Santa Monica School, CA 802498PT6 10/11/16 07/01/32*** 95.746 3.000 3.3503 11.75 0.006864 0.006979 *** *** *** 2.49 *** Seacor Holdings, Inc. 811904AN1 05/15/18 05/15/30*** 100.000 3.250 7.6251 296.97 0.248199 0.254219 0.260470 *** *** 91.00 *** SOCIETE GENERALE 83369NMB3 05/17/22 05/17/29 100.000 0.000 4.0200 0.111667 0.113911 0.116201 0.118536 25.11 41.62 SOCIETE GENERALE 83369NT59 11/25/22 11/28/25 100.000 0.000 5.3450 0.148472 0.148538 0.152508 0.156584 5.35 54.45 SOCIETE GENERALE 83369NQA1 08/31/22 08/29/25 100.000 0.000 4.3230 0.120083 0.122650 0.125316 14.53 44.33 SOCIETE GENERALE 83369NRA0 09/30/22 10/02/25 100.000 0.000 5.1500 0.143056 0.143096 0.146781 0.150561 13.02 52.84 SOCIETE GENERALE 83369NUY4 10/17/22 10/15/27 100.000 0.000 3.0001 0.083336 0.084572 0.085841 6.17 30.41 Societe Generale Medium 83369EG95 11/15/17 11/14/22 100.000 VARIES 2.7307 118.48 0.084538 0.085693 26.67 Societe Generale SA 83369NKA7 03/14/22 03/14/34 100.000 VARIES 3.6098 0.100273 0.098573 0.096843 0.097682 28.60 35.08 Societe Generale SA 83369ER51 01/31/18 07/31/23 100.000 0.000 3.1299 129.46 0.096926 0.098443 0.099984 0.101549 35.63 21.18 Societe Generale SA 83369FCD7 11/07/18 11/07/22 100.000 VARIES 3.3999 106.39 0.093851 0.094144 28.77 Societe Generale SA 83369F3S4 02/28/18 02/27/25 100.000 0.000 3.2782 133.09 0.102028 0.103701 0.105400 0.107128 0.108884 37.45 38.69 Societe Generale SA 83369FE86 03/11/19 03/11/22 100.000 VARIES 3.0803 86.18 0.085584 5.99 Societe Generale SA 83369FUX3 06/05/19 06/03/22 100.000 0.000 2.4706 65.21 0.072963 11.09 Societe Generale SA 83369N2F6 05/28/21 05/28/31 100.000 VARIES 2.3296 13.75 0.063750 0.062989 0.062460 0.062092 0.061895 22.77 22.40 Societe Generale SA 83369F3F2 01/31/18 01/30/25 100.000 0.000 3.2105 132.98 0.099698 0.101298 0.102924 0.104576 0.106255 36.67 37.85 Societe Generale SA 83369FAD9 06/13/18 06/13/22 100.000 VARIES 3.2002 113.90 0.089076 14.43 Societe Generale SA 83369FAF4 06/20/18 06/20/22 100.000 VARIES 3.2003 113.28 0.089081 15.05 Societe Generale SA 83369FA72 06/04/18 06/06/22 100.000 VARIES 2.9511 105.49 0.082085 0.083296 12.73 Societe Generale SA 83369FSM0 04/24/19 04/21/22 100.000 0.000 2.8816 79.91 0.085958 9.46 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Societe Generale SA 83369NAX8 08/25/21 08/25/26 100.000 VARIES 1.2819 4.49 0.035608 0.035836 0.035496 0.035724 0.035508 12.85 12.82 Societe Generale SA 83369FBT3 09/25/18 09/25/23 100.000 0.000 3.7818 130.24 0.117545 0.119768 0.122033 0.124340 43.15 32.63 Societe Generale SA 83369M5J7 04/06/21 04/06/36 100.000 VARIES 2.6792 19.56 0.072475 0.070990 0.069880 0.069112 0.068631 25.60 24.91 Societe Generale SA 83369M5M0 04/16/21 04/19/36 100.000 VARIES 2.6494 18.65 0.071896 0.070587 0.069629 0.068974 0.068568 25.48 24.87 Societe Generale SA 83369M5T5 04/30/21 04/30/31 100.000 VARIES 2.3695 15.79 0.064676 0.063781 0.063132 0.062712 0.062484 23.03 22.61 Societe Generale SA 83369FXR3 08/05/19 08/05/25 100.000 0.000 2.3103 56.82 0.067194 0.067970 0.068755 0.069549 0.070353 24.56 25.13 Societe Generale SA 83369FP84 03/06/19 03/04/22 100.000 0.000 2.9316 85.54 0.087565 5.52 Societe Generale SA 83369MMN9 02/10/20 02/03/22 100.000 0.000 1.8806 36.05 0.053708 1.72 Societe Generale SA 83369FHE0 12/04/19 02/03/22 100.000 0.000 2.1751 45.94 0.062636 2.00 Societe Generale SA 83369FHF7 11/29/19 03/29/22 100.000 0.000 2.1604 45.94 0.062424 5.49 Societe Generale SA 83369F7H4 05/23/18 05/23/22 100.000 VARIES 2.8699 103.10 0.079653 11.31 Societe Generale SA 83369M3N0 02/26/21 02/26/41 100.000 VARIES 2.4596 20.77 0.067796 0.067264 0.066273 0.065345 0.064569 24.12 23.48 Societe Generale SA 83369F7M3 05/30/18 05/31/22 100.000 VARIES 3.3928 121.91 0.094403 14.07 Societe Generale SA 83369N3U2 06/22/21 06/22/26 100.000 0.000 1.3580 7.13 0.037978 0.038236 0.038496 0.038757 0.039020 13.72 13.91 Societe Generale SA 83369FF44 05/08/19 05/09/22 100.000 VARIES 2.7601 73.02 0.076627 9.81 Societe Generale SA 83369FF51 05/15/19 05/16/22 100.000 VARIES 2.6399 69.23 0.073163 9.88 Societe Generale SA 83369F4R5 03/02/18 03/04/25 100.000 0.000 3.3609 136.22 0.104929 0.106692 0.108485 0.110308 0.112162 38.51 39.81 Societe Generale SA 83369MJK9 12/16/19 12/16/22 100.000 0.000 2.2503 46.75 0.065370 0.066105 22.68 Societe Generale SA 83369FUZ8 06/05/19 06/03/22 100.000 0.000 2.4706 65.21 0.072963 11.09 Societe Generale SA 83369NUE8 03/28/22 03/29/32 100.000 VARIES 3.7300 0.103622 0.102964 0.102294 0.102812 28.23 36.93 Societe Generale SA 83369NDP2 10/20/21 10/20/31 100.000 VARIES 2.1499 4.24 0.059719 0.059167 0.058609 0.058551 0.058547 21.32 21.08 Societe Generale SA 83369MJQ6 12/20/19 12/21/26 100.000 0.100 2.4730 51.14 0.072015 0.072872 0.073738 0.074616 0.075504 26.10 26.72 Societe Generale SA 83369MJR4 12/18/19 12/21/23 100.000 2.100 2.2723 46.34 0.063361 0.063418 0.063476 0.063534 22.82 22.23 Societe Generale SA 83369NEQ9 11/17/21 11/17/31 100.000 VARIES 2.2499 2.75 0.062497 0.061950 0.061397 0.061318 0.061325 22.35 22.09 Societe Generale SA 83369FFK8 06/19/19 06/20/22 100.000 VARIES 2.4001 60.98 0.066701 11.27 SOCIETE GENERALE 883369NNW6 07/06/22 07/03/25 100.000 0.000 4.1200 0.114444 0.116763 0.119168 20.03 42.46 SOCIETE GENERALE 83369NNV8 07/06/22 07/05/24 100.000 0.000 4.1100 0.114167 0.116500 0.118894 19.98 42.35 SOCIETE GENERALE 83369NPJ36 07/29/22 07/29/37 100.000 VARIES 4.5700 0.126944 0.122863 0.118689 19.30 43.71 SOCIETE GENERALE 83369NPB0 07/14/22 07/14/25 100.000 0.000 4.2500 0.118056 0.120564 0.123126 19.72 43.80 Sprint Capital Corporati 852060AD4 05/18/18 11/15/28 96.500 6.875 7.3596 9.23 0.008117 0.008415 0.008725 0.009046 0.009379 3.00 3.23 St. Clair County, IL 788553GU3 04/13/17 12/01/27*** 101.642 4.000 3.8108 182.19 0.106920 0.106840 0.106758 *** *** 38.47 *** St. Clair County, IL 788553GS8 04/13/17 12/01/23*** 101.777 3.500 3.2006 152.84 0.089416 0.089292 0.089165 *** *** 32.16 *** St. Clair County, IL 788553GT6 04/13/17 12/01/26*** 102.645 4.000 3.6716 176.87 0.103505 0.103366 0.103223 *** *** 37.23 *** St. Clair County, IL 788553GR0 04/13/17 12/01/22 99.225 2.850 3.0005 6.40 0.004059 0.004120 1.35 TARKINGTON TEX INDPT SCH 876162HU5 03/09/21 02/15/23 99.211 0.000 0.4101 3.30 0.011323 0.011346 0.011369 4.09 0.50 TAYLOR TEX INDPT SCH DIS 877299QX8 06/30/21 02/15/39 58.349 0.000 3.0800 9.06 0.050112 0.050884 0.051668 0.052463 0.053271 18.39 18.96 TAYLOR TEX INDPT SCH DIS 877299QW0 06/30/21 02/15/38 60.655 0.000 3.0299 9.27 0.051243 0.052020 0.052808 0.053608 0.054420 18.80 19.37 THE BANK OF NOVA SCOTIA 06418B397 08/25/22 08/25/28 100.000 0.000 4.5710 0.126972 0.129874 0.132842 16.00 46.97 TITUS CNTY TEX 888514JX5 11/27/19 03/01/23 91.737 0.000 2.6615 52.27 0.071056 0.072002 0.072960 25.98 4.38 TITUS CNTY TEX 888514JY3 11/27/19 03/01/24 88.968 0.000 2.7616 52.65 0.071628 0.072617 0.073619 0.074636 0.075666 26.20 26.93 TITUS CNTY TEX 888514JW7 11/27/19 03/01/22 94.459 0.000 2.5361 51.24 0.069566 4.17 TOLAR TEX INDPT SCH DIST 889154FQ8 05/05/21 02/15/23 99.168 0.000 0.4705 3.06 0.012977 0.013007 0.013038 4.69 0.57 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ TOLAR TEX INDPT SCH DIST 889154FR6 05/05/21 02/15/24 98.186 0.000 0.6601 4.25 0.018036 0.018095 0.018155 0.018215 0.018275 6.52 6.56 TOLAR TEX INDPT SCH DIST 889154FS4 05/05/21 02/15/25 96.120 0.000 1.0502 6.63 0.028121 0.028269 0.028418 0.028567 0.028717 10.19 10.30 TOLAR TEX INDPT SCH DIST 889154FT2 05/05/21 02/15/26 93.773 0.000 1.3501 8.32 0.035299 0.035537 0.035777 0.036019 0.036262 12.82 12.99 TOLAR TEX INDPT SCH DIST 889154FU9 05/05/21 02/15/27 90.734 0.000 1.6899 10.08 0.042792 0.043154 0.043519 0.043886 0.044257 15.57 15.83 TOM BEAN TEX INDPT SCH 889608DJ1 11/06/20 02/15/26 93.785 0.000 1.2200 13.25 0.032084 0.032280 0.032477 0.032675 0.032875 11.64 11.78 TOM BEAN TEX INDPT SCH 889608DH5 11/06/20 02/15/25 96.111 0.000 0.9300 10.34 0.025007 0.025123 0.025240 0.025357 0.025475 9.06 9.14 TOM BEAN TEX INDPT SCH 889608DG7 11/06/20 02/15/24 97.323 0.000 0.8302 9.34 0.022588 0.022682 0.022776 0.022871 0.022966 8.17 8.24 TOM BEAN TEX INDPT SCH 889608DK8 11/06/20 02/15/27 92.075 0.000 1.3201 14.08 0.034108 0.034334 0.034560 0.034788 0.035018 12.38 12.54 TULOSO-MIDWAY TEX INDPT 899474WH9 12/16/20 08/15/23 97.895 0.000 0.8002 8.18 0.021875 0.021962 0.022050 0.022138 7.91 4.96 The Toronto Dominion Ban 89114YDW8 10/05/22 10/02/25 100.000 0.000 5.4200 0.150556 0.154568 0.158756 12.95 55.65 The Toronto Dominion Ban 89114YDS7 10/04/22 10/01/27 100.000 0.000 5.5900 0.155278 0.159545 0.164005 13.51 57.45 The Toronto Dominion Ban 89114YDX6 10/05/22 10/04/27 100.000 0.000 5.5900 0.155278 0.159594 0.164054 13.35 57.44 The Toronto-Dominion Ban 89114YB59 08/18/22 08/18/23 100.000 0.000 4.0800 0.113333 0.115645 15.07 26.14 The Toronto-Dominion Ban 89114YCX7 09/27/22 09/27/27 100.000 0.000 4.3000 0.119444 0.122013 0.124636 11.23 43.95 The Toronto-Dominion Ban 89114YC90 09/09/22 09/11/23 100.000 0.000 4.3000 0.119444 0.119473 0.122042 13.38 30.33 Toronto-Dominion Bank 89114RLC8 05/22/20 05/22/22 100.000 VARIES 0.9998 4.16 0.007182 1.01 The Toronto-Dominion Ban 89114V6L6 03/17/22 03/12/27 100.000 0.000 2.7306 0.075849 0.076856 0.077905 0.078968 21.65 28.09 Toronto-Dominion Bank 89114TRA2 09/09/21 09/09/24 100.000 VARIES 0.6023 1.87 0.016731 0.016751 0.016771 0.016776 0.016780 6.03 6.04 Toronto-Dominion Bank 89114TKW1 06/10/21 06/10/24 100.000 VARIES 0.5100 2.85 0.014179 0.014192 0.014193 0.014194 0.014180 5.11 5.11 Toronto-Dominion Bank 89114QS41 05/24/19 05/18/22 100.000 0.000 2.6800 71.77 0.079533 10.90 Toronto-Dominion Bank 89114QS33 05/24/19 05/18/22 100.000 0.000 2.6800 71.77 0.079533 10.90 The Toronto-Dominion Ban 89114Y3Z2 06/03/22 06/04/26 100.000 0.000 4.0000 0.111111 0.113346 0.115613 0.117925 23.17 41.34 Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 221.87 0.060959 0.062422 0.063920 0.065454 0.067025 22.48 23.58 Trenton, City of 895130K35 03/13/03 04/01/22 31.423 0.000 6.1698 670.80 0.166254 14.96 UBS AG 90279FDZ1 05/25/22 11/24/23 100.000 0.000 2.5700 0.071389 0.072301 0.073230 15.45 23.52 UBS AG 90279FEQ0 05/27/22 11/29/23 100.000 0.000 2.4400 0.067778 0.067787 0.068614 0.069451 14.53 22.66 UBS AG 90279FGH8 06/15/22 12/15/23 100.000 0.000 3.4000 0.094444 0.096050 0.097683 18.54 33.34 UBS AG 90279FGU9 06/15/22 12/14/23 100.000 0.000 3.4000 0.094444 0.096041 0.097674 18.54 33.24 USB AG 90279FJQ5 06/29/22 12/29/23 100.000 0.000 3.1800 0.088333 0.089738 0.091165 16.08 32.38 UBS AG 90261XDU3 07/20/07 07/20/27*** 100.000 VARIES 5.7801 41.23 0.115934 0.118310 0.120754 *** *** 42.94 *** UBS AG 90279FBV2 05/18/22 05/16/24 100.000 0.000 2.6700 0.074167 0.075146 0.076149 0.077166 16.58 27.32 UBS AG London Branch 90279DZA7 02/24/22 02/22/24 100.000 0.000 1.4007 0.038908 0.039178 0.039452 0.039728 11.98 14.22 UBS AG London Branch 90290V846 03/25/22 09/26/24 100.000 0.000 2.1890 0.060809 0.061474 0.062147 0.062827 16.85 22.38 UBS AG London Branch 90279FBA8 05/05/22 11/03/23 100.000 0.000 2.6625 0.073959 0.074933 0.075930 17.51 22.81 UBS AG London Branch 90279FAR2 05/12/22 05/14/24 100.000 0.000 2.7119 0.075330 0.075342 0.076363 0.077399 0.078448 17.30 27.78 UBS AG London Branch 90281B684 01/04/19 08/02/22 100.000 0.000 3.2800 102.27 0.099083 0.100708 21.20 UBS AG London Branch 90279FCA7 05/11/22 11/09/23 100.000 0.000 2.5223 0.070064 0.070938 0.071832 16.16 22.01 UBS AG London Branch 90276BZH9 05/26/21 05/25/28 100.000 0.000 1.7723 10.60 0.049665 0.050105 0.050549 0.050997 0.051449 17.99 18.31 UBS AG London Branch 90279FBW0 05/10/22 11/09/23 100.000 0.000 2.5222 0.070061 0.070939 0.071834 16.23 22.01 UBS AG London Branch 90279DE77 02/28/22 09/04/24 100.000 0.000 1.1977 0.033271 0.033277 0.033477 0.033677 0.033879 10.11 12.13 ULTRA RESOURCES INC 90400GAE1 12/21/18 07/12/24*** 100.000 9.000 9.0000 170.67 0.187722 0.202556 0.218833 *** *** 75.39 *** UBS AG London Branch 90279FKP5 07/07/22 12/29/23 100.000 0.000 2.9000 0.080556 0.081672 0.082856 14.02 29.45 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Union CNTY NJ IMPT Auth 906347UT4 11/25/15 12/01/47 18.159 0.000 5.4001 69.76 0.037534 0.038548 0.039589 0.040658 0.041755 13.76 14.51 Uruguay, Republic 917288BA9 05/29/03 01/15/33*** 61.000 3.875 N/A 56.66 0.158582 0.160782 0.163118 *** *** 58.24 *** VALLEY VIEW TEX INDPT SC 92021PAB2 10/23/20 08/15/23 98.385 0.000 0.5800 6.80 0.015926 0.015972 0.016018 0.016065 5.75 3.60 VALLEY VIEW TEX INDPT SC 92021PAA4 10/23/20 08/15/22 99.045 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10.87 0.022510 0.022602 5.06 WELLMAN-UNION TEX CONS 94990ABC5 08/26/20 08/15/25 94.037 0.000 1.2410 15.81 0.032808 0.033012 0.033217 0.033423 0.033630 11.90 12.05 WELLMAN-UNION TEX CONS 94990ABD3 08/26/20 08/15/26 91.400 0.000 1.5121 18.75 0.038955 0.039249 0.039546 0.039845 0.040146 14.16 14.37 WELLMAN-UNION TEX CONS 94990ABA9 08/26/20 08/15/23 97.296 0.000 0.9253 12.18 0.025231 0.025348 0.025465 0.025583 9.14 5.73 WELLMAN-UNION TEX CONS 94990ABB7 08/26/20 08/15/24 95.697 0.000 1.1111 14.40 0.029855 0.030021 0.030187 0.030355 0.030524 10.82 10.94 WELLMAN-UNION TEX CONS 94990ABG6 08/26/20 08/15/29 83.556 0.000 2.0130 22.86 0.047637 0.048117 0.048601 0.049090 0.049584 17.37 17.72 WELLMAN-UNION TEX CONS 94990ABE1 08/26/20 08/15/27 88.797 0.000 1.7121 20.64 0.042934 0.043301 0.043672 0.044046 0.044423 15.62 15.89 WELLMAN-UNION TEX CONS 94990ABF8 08/26/20 08/15/28 85.921 0.000 1.9131 22.33 0.046511 0.046956 0.047405 0.047858 0.048316 16.95 17.27 WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26 100.000 0.000 1.5302 34.81 0.043827 0.044163 0.044501 0.044841 0.045184 15.90 16.14 WESTMONT ILL PK DIST 96081RBB5 03/17/21 12/01/29 81.532 0.000 2.3589 15.25 0.054316 0.054957 0.055605 0.056261 0.056925 19.71 20.18 WESTMONT ILL PK DIST 96081RBC3 03/17/21 12/01/30 78.883 0.000 2.4587 15.38 0.054813 0.055486 0.056169 0.056859 0.057558 19.89 20.39 WESTMONT ILL PK DIST 96081RBA7 03/17/21 12/01/28 84.924 0.000 2.1318 14.34 0.051049 0.051593 0.052143 0.052698 0.053260 18.51 18.91 WESTMONT ILL PK DIST 96081RBF6 03/17/21 12/01/33 70.158 0.000 2.8086 15.63 0.055825 0.056609 0.057404 0.058210 0.059027 20.29 20.86 WESTMONT ILL PK DIST 96081RBG4 03/17/21 12/01/34 67.312 0.000 2.9086 15.54 0.055506 0.056313 0.057132 0.057963 0.058806 20.18 20.77 WESTMONT ILL PK DIST 96081RBD1 03/17/21 12/01/31 76.168 0.000 2.5588 15.46 0.055119 0.055824 0.056538 0.057262 0.057994 20.01 20.53 WESTMONT ILL PK DIST 96081RBE9 03/17/21 12/01/32 72.980 0.000 2.7087 15.68 0.055966 0.056724 0.057492 0.058270 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0.053880 0.054628 0.055386 19.20 19.74 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ WHITE SETTLEMENT TEX IND 964559Y36 11/25/20 08/15/34 69.435 0.000 2.6758 20.63 0.052610 0.053314 0.054027 0.054750 0.055483 19.26 19.78 WHITE SETTLEMENT TEX IND 964559Y28 11/25/20 08/15/33 72.207 0.000 2.5757 20.64 0.052627 0.053305 0.053992 0.054687 0.055391 19.25 19.75 WHITE SETTLEMENT TEX IND 964559W95 11/25/20 08/15/24 96.169 0.000 1.0521 11.17 0.028320 0.028469 0.028619 0.028769 0.028921 10.26 10.37 WHITE SETTLEMENT TEX IND 964559W87 11/25/20 08/15/23 97.900 0.000 0.7811 8.43 0.021361 0.021445 0.021529 0.021613 7.73 4.84 WHITE SETTLEMENT TEX IND 964559X37 11/25/20 08/15/26 91.950 0.000 1.4719 14.96 0.037996 0.038276 0.038557 0.038841 0.039127 13.81 14.01 WHITE SETTLEMENT TEX IND 964559X29 11/25/20 08/15/25 94.498 0.000 1.2019 12.55 0.031824 0.032015 0.032208 0.032401 0.032596 11.54 11.68 WIMBERLEY TEX INDPT SCH 972631ML6 07/21/20 08/15/40 54.518 0.000 3.0460 24.35 0.047641 0.048366 0.049103 0.049851 0.050610 17.48 18.02 WIMBERLEY TEX INDPT SCH 972631MK8 07/21/20 08/15/39 57.268 0.000 2.9450 24.72 0.048333 0.049044 0.049767 0.050499 0.051243 17.72 18.25 WIMBERLEY TEX INDPT SCH 972631MJ1 07/21/20 08/15/38 59.494 0.000 2.8950 25.24 0.049333 0.050048 0.050772 0.051507 0.052252 18.08 18.61 WINDTHORST TEX INDPT SCH 973814BZ8 11/24/20 08/01/24 95.931 0.000 1.1300 12.00 0.030347 0.030518 0.030690 0.030864 0.031038 11.01 11.13 WOODFORD & MARSHALL CNTY 979293BL0 08/07/18 12/01/22 106.949 5.250 3.4778 124.85 0.098274 0.097447 32.28 WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24 110.347 5.500 3.6329 134.75 0.106225 0.105379 0.104518 0.103642 0.102749 38.04 37.42 WOODFORD & MARSHALL CNTY 979293BM8 08/07/18 12/01/23 109.113 5.500 3.5804 131.11 0.103110 0.102221 0.101316 0.100394 36.91 33.27 Wells Fargo & Company 94986RK67 04/21/16 04/21/26*** 100.000 VARIES 2.1558 21.11 0.010235 0.010345 0.010457 *** *** 3.72 *** Wells Fargo & Company 95000N3F4 10/25/17 10/25/27 100.000 VARIES 2.7552 12.02 0.007761 0.007867 0.007976 0.008086 0.008197 2.83 2.91 Wells Fargo & Company 94986RB59 12/24/15 12/24/25*** 100.000 VARIES 2.3798 3.31 0.009367 0.009479 0.009592 *** *** 3.39 *** Wells Fargo & Company 95001B2K9 02/14/18 02/14/25*** 105.000 0.125 3.5350 152.68 0.116104 0.118095 0.120121 *** *** 42.71 *** Wells Fargo & Company 95000N3G2 10/20/17 10/20/27 100.000 VARIES 2.7158 13.20 0.008501 0.008617 0.008734 0.008853 0.008973 3.10 3.18 Wells Fargo & Company 95000N3B3 09/21/17 09/21/27 100.000 VARIES 2.5668 12.83 0.008123 0.008227 0.008332 0.008439 0.008548 2.96 3.04 Wells Fargo & Company 95000N3N7 01/31/18 01/31/38 100.000 VARIES 3.2610 11.31 0.006646 0.006755 0.006865 0.006977 0.007091 2.45 2.53 Wells Fargo & Company 95000N3M9 01/31/18 01/31/28 100.000 VARIES 3.2008 9.80 0.006593 0.006699 0.006806 0.006915 0.007025 2.42 2.50 Wells Fargo & Company 94986RB91 12/23/15 12/23/30*** 100.000 VARIES 2.5508 3.53 0.009980 0.010107 0.010236 *** *** 3.62 *** Wells Fargo & Company 94986RB75 12/23/15 12/23/27*** 100.000 VARIES 2.4986 3.38 0.009551 0.009670 0.009791 *** *** 3.46 *** Wells Fargo & Company 94986RZU8 11/13/15 11/13/30*** 100.000 VARIES 2.4455 3.10 0.008739 0.008846 0.008954 *** *** 3.18 *** Wells Fargo & Company 94986RMK4 12/27/12 12/28/22 100.000 VARIES 1.2833 4.14 0.011609 0.011683 4.16 Wells Fargo & Company 94986RE72 02/24/16 02/24/28*** 100.000 VARIES 1.9880 24.44 0.011383 0.011496 0.011610 *** *** 4.15 *** Wells Fargo & Company 94986RUW9 09/23/14 09/23/24*** 100.000 VARIES 2.5651 2.66 0.007483 0.007579 0.007676 *** *** 2.73 *** Wells Fargo & Company 94986RVA6 09/30/14 09/30/24*** 100.000 VARIES 2.5155 2.67 0.007497 0.007592 0.007687 *** *** 2.73 *** Wells Fargo & Company 94986RLY5 11/07/12 11/07/22 100.000 VARIES 1.1530 3.34 0.009338 0.009391 2.87 Wells Fargo & Company 95001D2G4 04/20/18 04/20/28 100.000 VARIES 3.4399 14.71 0.010413 0.010592 0.010774 0.010960 0.011148 3.81 3.94 Wells Fargo & Company 95001D2D1 03/21/18 03/21/30 100.000 VARIES 3.3176 11.58 0.007846 0.007976 0.008108 0.008243 0.008380 2.87 2.97 Wells Fargo & Company 94986RD40 01/26/16 01/26/26*** 100.000 VARIES 2.1764 20.69 0.009813 0.009920 0.010028 *** *** 3.59 *** Wells Fargo & Company 94986RLR0 10/03/12 10/03/22 100.000 VARIES 1.2945 4.27 0.011940 0.012017 3.26 Wells Fargo & Company 95001D2N9 07/03/18 07/03/28 100.000 VARIES 3.5475 19.67 0.013692 0.013935 0.014182 0.014433 0.014689 5.06 5.24 Wells Fargo & Company 95001D2X7 09/26/18 09/26/28 100.000 VARIES 3.7928 9.59 0.007427 0.007568 0.007711 0.007857 0.008006 2.73 2.83 Wells Fargo & Company 95001H6Q9 07/02/19 07/01/22 100.000 0.000 2.3500 60.08 0.069200 12.46 Wells Fargo & Company 95001D2R0 08/24/18 08/24/28 100.000 VARIES 3.6466 22.40 0.016105 0.016398 0.016697 0.017002 0.017312 5.93 6.14 Wells Fargo & Company 95000E3U1 10/20/17 10/22/24 100.000 0.250 1.8358 79.36 0.054339 0.054774 0.055213 0.055656 0.056103 19.70 20.02 Wells Fargo & Company 94986RTM3 03/27/14 03/27/23 100.000 0.000 3.5789 316.99 0.129715 0.132036 0.134398 47.56 11.56 Wells Fargo & Company 94986RWZ0 05/21/15 05/21/27*** 100.000 VARIES 2.2895 3.69 0.010393 0.010512 0.010632 *** *** 3.77 *** Wells Fargo & Company 94986RWJ6 03/31/15 03/31/25*** 100.000 VARIES 2.0659 20.36 0.056654 0.056756 0.056858 *** *** 20.43 *** Wells Fargo & Company 94986RNX5 03/27/13 03/27/25*** 100.000 VARIES 1.3587 4.02 0.011234 0.011311 0.011388 *** *** 4.07 *** ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo & Company 94986RG21 03/23/16 03/23/26*** 100.000 VARIES 2.2005 22.39 0.010912 0.011032 0.011154 *** *** 3.97 *** Wells Fargo & Company 94986RWQ0 04/22/15 04/22/30*** 100.000 VARIES 2.2225 21.25 0.059191 0.059328 0.059466 *** *** 21.35 *** Wells Fargo & Company 94986RX30 10/18/16 10/18/26*** 100.000 VARIES 2.2447 17.24 0.009031 0.009133 0.009235 *** *** 3.28 *** Wells Fargo & Company 94986RVZ1 02/27/15 02/27/25*** 100.000 VARIES 2.1821 3.74 0.010494 0.010608 0.010724 *** *** 3.83 *** Wells Fargo & Company 94986RF71 02/29/16 03/01/23*** 100.000 VARIES 1.9956 20.01 0.009773 0.009871 0.009969 *** *** 3.56 *** Wells Fargo & Company 94986RNW7 03/06/13 03/06/23*** 100.000 VARIES 1.1812 3.89 0.010864 0.010929 0.010993 *** *** 3.94 *** Wells Fargo & Company 94986RWD9 04/06/15 04/06/22 100.000 0.000 2.0104 144.26 0.063599 6.04 Wells Fargo & Company 94986RMV0 01/25/13 01/27/25*** 100.000 VARIES 1.1863 3.67 0.010241 0.010302 0.010363 *** *** 3.72 *** Wells Fargo & Company 95000N2D0 02/24/17 02/24/27*** 100.000 VARIES 2.7668 133.84 0.076595 0.076617 0.076639 *** *** 27.58 *** Wells Fargo & Company 94986RA35 11/30/15 11/30/27*** 100.000 VARIES 2.3691 3.42 0.009640 0.009754 0.009870 *** *** 3.50 *** Wells Fargo & Company 94986RZB0 10/05/15 10/05/27*** 100.000 VARIES 2.2452 3.79 0.010640 0.010760 0.010880 *** *** 3.87 *** Wells Fargo & Company 95000N2A6 02/23/17 02/23/22 100.000 VARIES 1.8572 14.26 0.008392 0.44 Wells Fargo & Company 94986RZN4 10/26/15 10/26/27*** 100.000 VARIES 2.3226 22.64 0.063025 0.063142 0.063260 *** *** 22.73 *** Wells Fargo & Company 95000N2K4 06/23/17 06/23/27 100.000 VARIES 2.5340 16.48 0.010012 0.010138 0.010267 0.010397 0.010529 3.63 3.72 Wells Fargo & Company 94986RZL8 10/09/15 10/09/27*** 100.000 VARIES 2.3811 4.33 0.012182 0.012327 0.012474 *** *** 4.44 *** Wells Fargo & Company 95001BBT0 02/05/19 02/03/22 100.000 0.000 2.8110 84.50 0.083713 2.68 Wells Fargo & Company 94986RZJ3 10/09/15 10/09/25*** 100.000 VARIES 2.2547 3.43 0.009626 0.009735 0.009845 *** *** 3.50 *** Wells Fargo & Company 95000N2J7 05/19/17 05/19/27*** 100.000 VARIES 2.6993 21.36 0.012304 0.012470 0.012639 *** *** 4.47 *** Wells Fargo & Company 94986RZ46 10/20/16 10/20/26*** 100.000 VARIES 2.2262 23.71 0.012439 0.012578 0.012718 *** *** 4.52 *** Wells Fargo & Company 95000N2T5 08/16/17 08/16/27 100.000 VARIES 2.5861 14.38 0.008907 0.009022 0.009138 0.009257 0.009376 3.26 3.34 Wells Fargo & Company 95000N2V0 08/31/17 08/31/29 100.000 VARIES 2.4309 13.04 0.008033 0.008130 0.008230 0.008329 0.008431 2.93 3.00 Wells Fargo & Company 94986RYP0 09/03/15 09/03/27*** 100.000 VARIES 2.4323 3.14 0.008815 0.008922 0.009031 *** *** 3.22 *** Wells Fargo & Company 95000N2P3 07/25/17 07/25/29 100.000 VARIES 2.6059 12.51 0.007517 0.007615 0.007714 0.007814 0.007916 2.75 2.83 Wells Fargo & Company 95000N2Y4 09/15/17 09/15/27 100.000 VARIES 2.8997 22.90 0.013458 0.013653 0.013851 0.014052 0.014255 4.92 5.07 Wells Fargo & Company 94986RZ79 11/04/16 11/06/23*** 100.000 0.250 2.8285 155.04 0.089380 0.090546 0.091729 *** *** 32.52 *** Wells Fargo & Company 95000N2Z1 09/20/17 09/20/27 100.000 VARIES 2.5328 12.74 0.008187 0.008290 0.008395 0.008502 0.008609 2.99 3.06 Wells Fargo & Company 95001BAQ7 12/07/18 12/05/23 100.000 0.000 3.0505 97.31 0.092778 0.094193 0.095629 0.097088 33.73 32.20 Wells Fargo & Company 94986RXR7 06/24/15 06/24/22 100.000 0.250 2.4237 27.48 0.077561 13.42 Wells Fargo & Company 94986RXQ9 06/30/15 06/30/27*** 100.000 VARIES 2.5017 3.53 0.009991 0.010116 0.010242 *** *** 3.62 *** Wells Fargo & Company 94986RXZ9 07/29/15 07/29/27*** 100.000 VARIES 2.4666 3.26 0.009135 0.009248 0.009362 *** *** 3.34 *** Wells Fargo & Company 94986RPH8 04/24/13 04/24/23*** 100.000 VARIES 1.3234 2.89 0.008084 0.008138 0.008191 *** *** 2.93 *** Wells Fargo & Company 95001BBB9 01/03/19 01/03/22 100.000 0.000 3.1102 96.82 0.093325 0.19 Wells Fargo & Company 94986RH53 03/16/16 03/16/22 100.000 0.000 2.2405 137.75 0.070350 5.28 Wells Fargo Finance LLC 95001HFH9 02/28/20 02/28/22 100.000 0.000 1.8710 34.90 0.053443 3.05 Wells Fargo Finance LLC 95001HFJ5 02/28/20 02/28/22 100.000 0.000 1.6007 29.80 0.045540 2.60 Wells Fargo Finance LLC 95001H5U1 05/30/19 06/03/22 100.000 0.000 2.3606 62.58 0.069547 10.57 Wells Fargo Finance LLC 95001H4M0 05/02/19 05/02/24 100.000 0.000 2.9409 80.90 0.087878 0.089171 0.090482 0.091812 0.093162 32.02 32.97 Wells Fargo Finance LLC 95001H6S5 08/07/19 02/06/23 100.000 0.000 1.8604 45.45 0.053625 0.054123 0.054627 19.54 1.91 Wells Fargo Finance LLC 95001H6T3 08/07/19 02/06/25 100.000 0.000 1.8602 45.45 0.053620 0.054119 0.054622 0.055131 0.055643 19.54 19.90 Wells Fargo Finance LLC 95001H6P1 07/02/19 07/03/23 100.000 0.000 2.3900 61.13 0.069625 0.070457 0.071299 0.072151 25.51 13.13 Wells Fargo Finance LLC 95001HC41 10/31/19 11/01/24 100.000 0.250 2.3100 51.00 0.066861 0.067553 0.068253 0.068961 0.069677 24.28 24.78 Wells Fargo Finance LLC 95001HB26 11/07/19 05/07/24 100.000 0.000 1.5803 34.43 0.045301 0.045659 0.046020 0.046383 0.046750 16.41 16.67 ----------------------------- *** Note: Securities noted with an asterisk for 2023 are under review and will be published when available. SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2022 1st 2022 2nd 2022 3rd 2023 2nd 2023 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/22 Period Period 2023 1st Period Period 2022 2023 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Wells Fargo Finance LLC 95001H3A7 02/11/19 09/28/23 96.600 0.000 3.5621 103.81 0.104889 0.106757 0.108658 0.110594 38.45 29.36 Will CNTY SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8744 400.09 0.137615 0.143033 0.148665 0.154518 0.160602 51.18 55.29 Will CNTY SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8993 370.42 0.127575 0.132613 0.137851 0.143296 0.148955 47.45 51.27 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3751 369.79 0.123394 0.127944 0.132662 0.137554 0.142626 46.07 49.54 Will County, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 436.48 0.121795 0.125358 0.129024 0.132798 0.136683 45.14 47.82 Will County, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.8000 460.76 0.128175 0.131892 0.135717 0.139653 0.143703 47.49 50.29 Williamson Jackson , IL 970013EN4 11/20/14 12/01/22 100.000 VARIES 2.9965 29.97 0.083240 0.083239 27.47 XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31 76.938 0.000 2.3800 21.50 0.052182 0.052803 0.053432 0.054067 0.054711 18.93 19.39 XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28 84.602 0.000 2.0800 20.64 0.049986 0.050506 0.051031 0.051562 0.052098 18.12 18.50 XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29 82.128 0.000 2.1800 21.00 0.050912 0.051467 0.052028 0.052595 0.053168 18.46 18.87 XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30 79.569 0.000 2.2800 21.29 0.051644 0.052233 0.052828 0.053430 0.054040 18.73 19.16 YPF SA 984245AU4 02/12/21 02/12/26 84.050 VARIES 11.5342 51.73 0.167303 0.176952 0.187157 0.181852 0.152748 64.73 61.64 YPF SA 984245AV2 02/12/21 06/30/29 62.500 VARIES 15.6363 66.65 0.230870 0.248919 0.268380 0.275247 0.282650 86.40 97.87 YPF SA 984245AW0 02/12/21 09/30/33 51.824 VARIES 14.1442 53.55 0.176670 0.189164 0.202542 0.211464 0.215614 68.20 75.71 YPF SA P989MJBR1 02/12/21 02/12/26 84.050 VARIES 11.5342 51.73 0.167303 0.176952 0.187157 0.181852 0.152748 64.73 61.64 YPF SA P989MJBS9 02/12/21 06/30/29 62.500 VARIES 15.6363 66.65 0.230870 0.248919 0.268380 0.275247 0.282650 86.40 97.87 YPF SA P989MJBT7 02/12/21 09/30/33 51.824 VARIES 14.1442 53.55 0.176670 0.189164 0.202542 0.211464 0.215614 68.20 75.71 YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32 74.040 0.000 2.5069 27.09 0.052944 0.053608 0.054280 0.054960 0.055649 19.36 19.85 YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33 70.834 0.000 2.6570 27.49 0.053768 0.054482 0.055206 0.055940 0.056683 19.68 20.21 YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28 85.466 0.000 1.9570 24.35 0.047434 0.047898 0.048367 0.048840 0.049318 17.29 17.63 YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29 83.069 0.000 2.0570 24.89 0.048510 0.049009 0.049513 0.050022 0.050537 17.69 18.06 YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30 80.420 0.000 2.1769 25.51 0.049764 0.050306 0.050853 0.051407 0.051966 18.16 18.56 YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31 76.994 0.000 2.3769 26.70 0.052130 0.052750 0.053377 0.054011 0.054653 19.05 19.50 YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25 93.296 0.000 1.3750 18.62 0.036157 0.036406 0.036656 0.036908 0.037162 13.13 13.31 YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26 90.614 0.000 1.6319 21.49 0.041794 0.042135 0.042478 0.042825 0.043174 15.20 15.45 YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27 88.221 0.000 1.7820 22.87 0.044502 0.044898 0.045298 0.045702 0.046109 16.20 16.49 YSLETA TEX INDPT SCH DIS 98816PDL3 07/22/20 08/15/22 98.183 0.000 0.8904 12.66 0.024514 0.024624 5.51 YSLETA TEX INDPT SCH DIS 98816PDM1 07/22/20 08/15/23 96.824 0.000 1.0561 14.82 0.028726 0.028877 0.029030 0.029183 10.41 6.53 YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24 95.004 0.000 1.2651 17.44 0.033836 0.034050 0.034266 0.034482 0.034700 12.28 12.43 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2022 1st 2022 2nd 2022 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/22 Period Period Period 2022 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625 710.08 0.342308 0.469016 0.141410 132.46 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875 682.48 0.336827 0.461421 0.139103 130.32 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375 558.25 0.311827 0.427377 0.128846 120.69 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375 467.34 0.232857 0.391160 0.232882 113.65 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000 393.55 0.221429 0.371492 0.221176 107.94 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375 371.53 0.217143 0.365635 0.217706 106.23 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750 320.26 0.209286 0.351934 0.209588 102.26 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500 288.26 0.204286 0.343425 0.204471 99.78 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125 279.68 0.183556 0.402210 0.129856 99.11 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125 263.02 0.181111 0.396961 0.128201 97.82 U.S. Treasury 912810QV3 02/15/12 02/15/42 100.000 0.750 224.06 0.175556 0.384751 0.124245 94.81 U.S. Treasury 912810RA8 02/15/13 02/15/43 100.000 0.625 203.03 0.172444 0.378122 0.122158 93.18 U.S. Treasury 912810RF7 02/15/14 02/15/44 100.000 1.375 186.78 0.170222 0.372983 0.120504 91.92 U.S. Treasury 912810RL4 02/15/15 02/15/45 100.000 0.750 174.57 0.168444 0.369171 0.119209 90.97 U.S. Treasury 912810RR1 02/15/16 02/15/46 100.000 1.000 167.32 0.167333 0.366906 0.118489 90.41 U.S. Treasury 912810RW0 02/15/17 02/15/47 100.000 0.875 145.81 0.164222 0.360166 0.116259 88.74 U.S. Treasury 912810SB5 02/15/18 02/15/48 100.000 1.000 121.63 0.160889 0.352486 0.113885 86.87 U.S. Treasury 912810SG4 02/15/19 02/15/49 100.000 1.000 99.17 0.157556 0.345470 0.111583 85.13 U.S. Treasury 912810SM1 02/15/20 02/15/50 100.000 0.250 75.82 0.154444 0.338122 0.109209 83.33 U.S. Treasury 912810SV1 02/15/21 02/15/51 100.000 0.125 62.37 0.152444 0.333867 0.107842 82.28 U.S. Treasury 9128282L3 07/15/17 07/15/27 100.000 0.375 130.70 0.178571 0.301989 0.179471 87.57 U.S. Treasury 9128283R9 01/15/18 01/15/28 100.000 0.500 121.31 0.177857 0.298895 0.178000 86.85 U.S. Treasury 9128284H0 04/15/18 04/15/23 100.000 0.625 113.52 0.222885 0.305410 0.092051 86.25 U.S. Treasury 9128285W6 01/15/19 01/15/29 100.000 0.875 95.39 0.173571 0.291989 0.173882 84.84 U.S. Treasury 9128286N5 04/15/19 04/15/24 100.000 0.500 96.67 0.219519 0.300765 0.090641 84.94 U.S. Treasury 9128287D6 07/15/19 07/15/29 100.000 0.250 81.30 0.171429 0.288232 0.171647 83.75 U.S. Treasury 912828B25 01/15/14 01/15/24 100.000 0.625 185.40 0.187857 0.315967 0.188176 91.81 U.S. Treasury 912828H45 01/15/15 01/15/25 100.000 0.250 167.76 0.185000 0.311326 0.185353 90.45 U.S. Treasury 912828N71 01/15/16 01/15/26 100.000 0.625 164.04 0.184286 0.310331 0.184765 90.16 U.S. Treasury 912828S50 07/15/16 07/15/26 100.000 0.125 153.89 0.182857 0.307624 0.183118 89.37 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 0.125 202.75 0.190714 0.320663 60.71 U.S. Treasury 912828UH1 01/15/13 01/15/23 100.000 0.125 198.28 0.190000 0.319392 0.190235 92.81 U.S. Treasury 912828V49 01/15/17 01/15/27 100.000 0.375 145.02 0.181429 0.305193 0.181765 88.68 U.S. Treasury 912828VM9 07/15/13 07/15/23 100.000 0.375 188.52 0.187857 0.316851 0.188647 92.05 U.S. Treasury 912828WU0 07/15/14 07/15/24 100.000 0.125 164.85 0.185000 0.310497 0.184882 90.22 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2022 1st 2022 2nd 2022 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/22 Period Period Period 2022 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912828X39 04/15/17 04/15/22 100.000 0.125 137.31 0.227692 23.68 U.S. Treasury 912828XL9 07/15/15 07/15/25 100.000 0.375 166.34 0.184286 0.310939 0.185118 90.33 U.S. Treasury 912828Y38 07/15/18 07/15/28 100.000 0.750 101.88 0.174286 0.293757 0.174882 85.34 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 75.04 0.170000 0.286575 0.170647 83.26 U.S. Treasury 912828ZJ2 04/15/20 04/15/25 100.000 0.125 70.80 0.214327 0.293716 0.088462 82.94 U.S. Treasury 912828ZZ6 07/15/20 07/15/30 100.000 0.125 78.78 0.170714 0.287569 0.171235 83.55 U.S. Treasury 91282CAQ4 10/15/20 10/15/25 100.000 0.125 65.98 0.213365 0.292350 0.088077 82.56 U.S. Treasury 91282CBF7 01/15/21 01/15/31 100.000 0.125 62.51 0.168571 0.283260 0.168647 82.30 U.S. Treasury 91282CCA7 04/15/21 04/15/26 100.000 0.125 54.68 0.211058 0.289235 0.087179 81.68 U.S. Treasury 91282CCM1 07/15/21 07/15/31 100.000 0.125 31.97 0.163571 0.275083 0.163824 79.93 U.S. Treasury 91282CDC2 10/15/21 10/15/26 100.000 0.125 12.19 0.202596 0.277596 0.083718 78.40 U.S. Treasury 91282CDX6 01/15/22 01/15/32 100.000 0.125 0.00 0.265967 0.158412 75.07 U.S. Treasury 912810TE8 02/15/22 02/15/52 100.000 0.125 0.00 0.312265 0.100863 70.54 U.S. Treasury 91282CEJ6 04/15/22 04/15/27 100.000 0.125 0.00 0.268689 0.080897 55.48 U.S. Treasury 91282CEZ0 07/15/22 07/15/32 100.000 0.625 0.00 0.151118 25.69 U.S. Treasury 91282CFR7 10/15/22 10/15/27 100.000 1.625 0.00 0.077179 6.02 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 2022). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/22 03/31/22 0.15 07/01/42 09/30/42 13.28 04/01/22 06/30/22 0.95 10/01/42 12/31/42 13.21 07/01/22 09/30/22 2.16 01/01/43 03/31/43 13.14 10/01/22 12/31/22 3.89 04/01/43 06/30/43 13.07 01/01/23 03/31/23 4.78 07/01/43 09/30/43 13.01 04/01/23 06/30/23 5.77 10/01/43 12/31/43 12.94 07/01/23 09/30/23 6.55 01/01/44 03/31/44 12.87 10/01/23 12/31/23 7.22 04/01/44 06/30/44 12.81 01/01/24 03/31/24 7.89 07/01/44 09/30/44 12.74 04/01/24 06/30/24 8.46 10/01/44 12/31/44 12.68 07/01/24 09/30/24 9.02 01/01/45 03/31/45 12.61 10/01/24 12/31/24 9.48 04/01/45 06/30/45 12.55 01/01/25 03/31/25 9.84 07/01/45 09/30/45 12.49 04/01/25 06/30/25 10.19 10/01/45 12/31/45 12.42 07/01/25 09/30/25 10.64 01/01/46 03/31/46 12.36 10/01/25 12/31/25 10.98 04/01/46 06/30/46 12.30 01/01/26 03/31/26 11.23 07/01/46 09/30/46 12.19 04/01/26 06/30/26 11.47 10/01/46 12/31/46 12.13 07/01/26 09/30/26 11.71 01/01/47 03/31/47 12.07 10/01/26 12/31/26 11.95 04/01/47 06/30/47 12.01 01/01/27 03/31/27 12.18 07/01/47 09/30/47 11.95 04/01/27 06/30/27 12.41 10/01/47 12/31/47 11.89 07/01/27 09/30/27 12.54 01/01/48 03/31/48 11.83 10/01/27 12/31/27 12.68 04/01/48 06/30/48 11.73 01/01/28 03/31/28 12.90 07/01/48 09/30/48 11.68 04/01/28 06/30/28 12.94 10/01/48 12/31/48 11.62 07/01/28 09/30/28 13.06 01/01/49 03/31/49 11.56 10/01/28 12/31/28 13.19 04/01/49 06/30/49 11.50 01/01/29 03/31/29 13.22 07/01/49 09/30/49 11.41 04/01/29 06/30/29 13.25 10/01/49 12/31/49 11.35 07/01/29 09/30/29 13.20 01/01/50 03/31/50 11.30 10/01/29 12/31/29 13.23 04/01/50 06/30/50 11.24 01/01/30 03/31/30 13.27 07/01/50 09/30/50 11.19 04/01/30 06/30/30 13.21 10/01/50 12/31/50 11.14 07/01/30 09/30/30 13.24 01/01/51 03/31/51 11.05 10/01/30 12/31/30 13.19 04/01/51 06/30/51 10.99 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/31 03/31/31 13.14 07/01/51 09/30/51 10.94 04/01/31 06/30/31 13.17 10/01/51 12/31/51 10.89 07/01/31 09/30/31 13.20 01/01/52 03/31/52 10.84 10/01/31 12/31/31 13.22 04/01/52 06/30/52 10.78 01/01/32 03/31/32 13.25 07/01/52 09/30/52 10.73 04/01/32 06/30/32 13.28 10/01/52 12/31/52 10.68 07/01/32 09/30/32 13.30 01/01/53 03/31/53 10.63 10/01/32 12/31/32 13.40 04/01/53 06/30/53 10.58 01/01/33 03/31/33 13.42 07/01/53 09/30/53 10.53 04/01/33 06/30/33 13.52 10/01/53 12/31/53 10.47 07/01/33 09/30/33 13.53 01/01/54 03/31/54 10.42 10/01/33 12/31/33 13.63 04/01/54 06/30/54 10.37 01/01/34 03/31/34 13.71 07/01/54 09/30/54 10.32 04/01/34 06/30/34 13.73 10/01/54 12/31/54 10.27 07/01/34 09/30/34 13.81 01/01/55 03/31/55 10.23 10/01/34 12/31/34 13.89 04/01/55 06/30/55 10.18 01/01/35 03/31/35 13.90 07/01/55 09/30/55 10.13 04/01/35 06/30/35 13.98 10/01/55 12/31/55 10.08 07/01/35 09/30/35 13.98 01/01/56 03/31/56 10.03 10/01/35 12/31/35 14.05 04/01/56 06/30/56 9.98 01/01/36 03/31/36 14.05 07/01/56 09/30/56 9.93 04/01/36 06/30/36 14.05 10/01/56 12/31/56 9.89 07/01/36 09/30/36 14.05 01/01/57 03/31/57 9.84 10/01/36 12/31/36 14.12 04/01/57 06/30/57 9.79 01/01/37 03/31/37 14.11 07/01/57 09/30/57 9.75 04/01/37 06/30/37 14.11 10/01/57 12/31/57 9.70 07/01/37 09/30/37 14.10 01/01/58 03/31/58 9.65 10/01/37 12/31/37 14.09 04/01/58 06/30/58 9.61 01/01/38 03/31/38 14.09 07/01/58 09/30/58 9.56 04/01/38 06/30/38 14.07 10/01/58 12/31/58 9.51 07/01/38 09/30/38 14.07 01/01/59 03/31/59 9.47 10/01/38 12/31/38 13.99 04/01/59 06/30/59 9.42 01/01/39 03/31/39 13.98 07/01/59 09/30/59 9.38 04/01/39 06/30/39 13.97 10/01/59 12/31/59 9.33 07/01/39 09/30/39 13.90 01/01/60 03/31/60 9.29 10/01/39 12/31/39 13.88 04/01/60 06/30/60 9.24 01/01/40 03/31/40 13.81 07/01/60 09/30/60 9.20 04/01/40 06/30/40 13.80 10/01/60 12/31/60 9.16 07/01/40 09/30/40 13.73 01/01/61 03/31/61 9.11 10/01/40 12/31/40 13.71 04/01/61 06/30/61 9.07 01/01/41 03/31/41 13.64 07/01/61 09/30/61 9.03 04/01/41 06/30/41 13.57 10/01/61 12/31/61 8.98 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 07/01/41 09/30/41 13.55 01/01/62 03/31/62 8.94 10/01/41 12/31/41 13.48 04/01/62 06/30/62 8.90 01/01/42 03/31/42 13.41 07/01/62 09/30/62 8.85 04/01/42 06/30/42 13.34 10/01/62 12/31/62 8.81 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 2022 - December 2023 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 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 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) --------- -------- -------- --------------- ------------------- 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 912796V22 05/24/22 01/25/22 99.909 0.91 912796Q36 05/26/22 11/26/21 99.965 0.35 912796V30 05/31/22 02/01/22 99.907 0.93 912796Q44 06/02/22 12/02/21 99.954 0.46 912796V89 06/07/22 02/08/22 99.888 1.12 912796R35 06/09/22 12/09/21 99.947 0.53 912796V97 06/14/22 02/15/22 99.858 1.42 912796J42 06/16/22 06/17/21 99.929 0.71 912796W21 06/21/22 02/22/22 99.818 1.82 912796R43 06/23/22 12/23/21 99.919 0.81 912796W39 06/28/22 03/01/22 99.812 1.88 912796R50 06/30/22 12/30/21 99.894 1.06 912796W88 07/05/22 03/08/22 99.823 1.77 912796R68 07/07/22 01/06/22 99.889 1.11 912796W96 07/12/22 03/15/22 99.818 1.82 912796K57 07/14/22 07/15/21 99.924 0.76 912796X20 07/19/22 03/22/22 99.780 2.20 912796S42 07/21/22 01/20/22 99.815 1.85 912796X38 07/26/22 03/29/22 99.765 2.35 912796S59 07/28/22 01/27/22 99.808 1.92 912796X46 08/02/22 04/05/22 99.734 2.66 912796S67 08/04/22 02/03/22 99.747 2.53 912796XL8 08/09/22 04/12/22 99.699 3.01 912796L64 08/11/22 08/12/21 99.919 0.81 912796XM6 08/16/22 04/19/22 99.681 3.19 912796T41 08/18/22 02/17/22 99.611 3.89 912796XN4 08/23/22 04/26/22 99.646 3.54 912796T58 08/25/22 02/24/22 99.641 3.59 912796XP9 08/30/22 05/03/22 99.633 3.67 912796T66 09/01/22 03/03/22 99.661 3.39 912796XU8 09/06/22 05/10/22 99.595 4.05 912796M71 09/08/22 09/09/21 99.924 0.76 912796XV6 09/13/22 05/17/22 99.617 3.83 912796U49 09/15/22 03/17/22 99.585 4.15 912796XW4 09/20/22 05/24/22 99.587 4.13 912796U56 09/22/22 03/24/22 99.560 4.40 912796XX2 09/27/22 05/31/22 99.577 4.23 912796U64 09/29/22 03/31/22 99.469 5.31 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) --------- -------- -------- --------------- ------------------- 912796YC7 10/04/22 06/07/22 99.541 4.59 912796M89 10/06/22 10/07/21 99.909 0.91 912796YD5 10/11/22 06/14/22 99.501 4.99 912796V55 10/13/22 04/14/22 99.383 6.17 912796YE3 10/18/22 06/21/22 99.309 6.91 912796V63 10/20/22 04/21/22 99.368 6.32 912796YF0 10/25/22 06/28/22 99.319 6.81 912796V71 10/27/22 04/28/22 99.307 6.93 912796YG8 11/01/22 07/05/22 99.278 7.22 912796N96 11/03/22 11/04/21 99.838 1.62 912796YP8 11/08/22 07/12/22 99.263 7.37 912796W54 11/10/22 05/12/22 99.300 7.00 912796YQ6 11/15/22 07/19/22 99.141 8.59 912796W62 11/17/22 05/19/22 99.247 7.53 912796YR4 11/22/22 07/26/22 99.101 8.99 912796W70 11/25/22 05/26/22 99.222 7.78 912796YS2 11/29/22 08/02/22 99.111 8.89 912796P94 12/01/22 12/02/21 99.757 2.43 912796YX1 12/06/22 08/09/22 99.098 9.02 912796X61 12/08/22 06/09/22 99.135 8.65 912796YY9 12/13/22 08/16/22 99.081 9.19 912796X79 12/15/22 06/16/22 98.908 10.92 912796YZ6 12/20/22 08/23/22 99.045 9.55 912796X87 12/22/22 06/23/22 98.792 12.08 912796ZA0 12/27/22 08/30/22 99.018 9.82 912796R27 12/29/22 12/30/21 99.606 3.94 912796ZH5 01/03/23 09/06/22 98.975 10.25 912796X95 01/05/23 07/07/22 98.736 12.64 912796ZJ1 01/10/23 09/13/22 98.944 10.56 912796XR5 01/12/23 07/14/22 98.643 13.57 912796ZK8 01/17/23 09/20/22 98.827 11.73 912796XS3 01/19/23 07/21/22 98.529 14.71 912796ZL6 01/24/23 09/27/22 98.813 11.87 912796S34 01/26/23 01/27/22 99.363 6.37 912796ZM4 01/31/23 10/04/22 98.813 11.87 912796XT1 02/02/23 08/04/22 98.559 14.41 912796ZT9 02/07/23 10/11/22 98.777 12.23 912796XZ7 02/09/23 08/11/22 98.463 15.37 912796ZU6 02/14/23 10/18/22 98.714 12.86 912796YA1 02/16/23 08/18/22 98.473 15.27 912796Y60 02/21/23 10/25/22 98.632 13.68 912796T33 02/23/23 02/24/22 98.842 11.58 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) --------- -------- -------- --------------- ------------------- 912796Y78 02/28/23 11/01/22 98.618 13.82 912796YB9 03/02/23 09/01/22 98.365 16.35 912796Y86 03/07/23 11/08/22 98.585 14.15 912796YK9 03/09/23 09/08/22 98.322 16.78 912796Z69 03/14/23 11/15/22 98.579 14.21 912796YL7 03/16/23 09/15/22 98.248 17.52 912796Z77 03/21/23 11/22/22 98.572 14.28 912796U31 03/23/23 03/24/22 98.392 16.08 912796Z85 03/28/23 11/29/22 98.546 14.54 912796YM5 03/30/23 09/29/22 98.054 19.46 912796Z93 04/04/23 12/06/22 98.536 14.64 912796YN3 04/06/23 10/06/22 98.054 19.46 912796CT4 04/11/23 12/13/22 98.546 14.54 912796YU7 04/13/23 10/13/22 97.963 20.37 912796CU1 04/18/23 12/20/22 98.532 14.68 912796V48 04/20/23 04/21/22 98.109 18.91 912796CV9 04/25/23 12/27/22 98.537 14.63 912796YV5 04/27/23 10/27/22 97.781 22.19 912796CW7 05/02/23 01/03/23 98.496 15.04 912796YW3 05/04/23 11/03/22 97.755 22.45 912797FD4 05/09/23 01/10/23 98.489 15.11 912796ZE2 05/11/23 11/10/22 97.730 22.70 912797FE2 05/16/23 01/17/23 98.453 15.47 912796W47 05/18/23 05/19/22 97.877 21.23 912797FF9 05/23/23 01/24/23 98.476 15.24 912796ZF9 05/25/23 11/25/22 97.727 22.73 912797FG7 05/30/23 01/31/23 98.473 15.27 912796ZG7 06/01/23 12/01/22 97.700 23.00 912797FM4 06/06/23 02/07/23 98.471 15.29 912796ZP7 06/08/23 12/08/22 97.690 23.10 912797FN2 06/13/23 02/14/23 98.446 15.54 912796X53 06/15/23 06/16/22 96.946 30.54 912797FP7 06/20/23 02/21/23 98.413 15.87 912796ZQ5 06/22/23 12/22/22 97.700 23.00 912796ZR3 06/29/23 12/29/22 97.674 23.26 912796ZS1 07/06/23 01/05/23 97.657 23.43 912796XQ7 07/13/23 07/14/22 97.007 29.93 912796ZZ5 07/20/23 01/19/23 97.631 23.69 912796Y29 07/27/23 01/26/23 97.631 23.69 912796Y37 08/03/23 02/02/23 97.634 23.66 912796XY0 08/10/23 08/11/22 96.764 32.36 912796Z36 08/17/23 02/16/23 97.553 24.47 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) --------- -------- -------- --------------- ------------------- 912796Z44 08/24/23 02/23/23 97.515 24.85 912796YH6 09/07/23 09/08/22 96.502 34.98 912796YJ2 10/05/23 10/06/22 96.001 39.99 912796YT0 11/02/23 11/03/22 95.445 45.55 912796ZD4 11/30/23 12/01/22 95.394 46.06 912796ZN2 12/28/23 12/29/22 95.435 45.65 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2022 Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385RH1 01/03/22 01/05/21 99.950 0.50 313385RJ7 01/04/22 02/02/21 99.944 0.56 313385RK4 01/05/22 03/03/21 99.966 0.34 313385RL2 01/06/22 03/03/21 99.966 0.34 313385RM0 01/07/22 02/16/21 99.982 0.18 313385RQ1 01/10/22 03/04/21 99.965 0.35 313385RR9 01/11/22 07/01/21 99.984 0.16 313385RS7 01/12/22 07/01/21 99.984 0.16 313385RT5 01/13/22 07/01/21 99.984 0.16 313385RU2 01/14/22 01/28/21 99.961 0.39 313385RY4 01/18/22 06/25/21 99.983 0.17 313385RZ1 01/19/22 06/25/21 99.983 0.17 313385SA5 01/20/22 06/25/21 99.983 0.17 313385SB3 01/21/22 06/25/21 99.983 0.17 313385SE7 01/24/22 07/20/21 99.979 0.21 313385SF4 01/25/22 07/20/21 99.979 0.21 313385SG2 01/26/22 03/01/21 99.982 0.18 313385SH0 01/27/22 03/01/21 99.982 0.18 313385SJ6 01/28/22 03/15/21 99.956 0.44 313385SM9 01/31/22 02/26/21 99.981 0.19 313385SN7 02/01/22 03/01/21 99.981 0.19 313385SP2 02/02/22 08/04/21 99.975 0.25 313385SQ0 02/03/22 02/08/21 99.940 0.60 313385SR8 02/04/22 02/08/21 99.940 0.60 313385SU1 02/07/22 02/11/21 99.940 0.60 313385SV9 02/08/22 02/17/21 99.941 0.59 313385SW7 02/09/22 10/21/21 99.991 0.09 313385SX5 02/10/22 02/17/21 99.940 0.60 313385SY3 02/11/22 02/17/21 99.940 0.60 313385TB2 02/14/22 08/02/21 99.978 0.22 313385TC0 02/15/22 07/23/21 99.977 0.23 313385TD8 02/16/22 04/16/21 99.958 0.43 313385TE6 02/17/22 08/02/21 99.978 0.22 313385TF3 02/18/22 09/01/21 99.979 0.21 313385TK2 02/22/22 09/20/21 99.985 0.15 313385TL0 02/23/22 06/10/21 99.982 0.18 Section III-B (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385TM8 02/24/22 06/15/21 99.982 0.18 313385TN6 02/25/22 07/01/21 99.977 0.23 313385TR7 02/28/22 03/30/21 99.991 0.09 313385TS5 03/01/22 09/01/21 99.990 0.10 313385TT3 03/02/22 09/01/21 99.977 0.23 313385TU0 03/03/22 06/25/21 99.979 0.21 313385TV8 03/04/22 08/31/21 99.985 0.15 313385TY2 03/07/22 10/05/21 99.983 0.17 313385TZ9 03/08/22 10/06/21 99.983 0.17 313385UA2 03/09/22 09/08/21 99.977 0.23 313385UB0 03/10/22 10/06/21 99.983 0.17 313385UC8 03/11/22 09/10/21 99.977 0.23 313385UF1 03/14/22 08/31/21 99.982 0.18 313385UG9 03/15/22 09/15/21 99.982 0.18 313385UH7 03/16/22 09/15/21 99.977 0.23 313385UJ3 03/17/22 03/17/21 99.929 0.71 313385UK0 03/18/22 03/18/21 99.929 0.71 313385UN4 03/21/22 09/30/21 99.981 0.19 313385UP9 03/22/22 09/20/21 99.975 0.25 313385UQ7 03/23/22 09/22/21 99.980 0.20 313385UR5 03/24/22 11/10/21 99.983 0.17 313385US3 03/25/22 09/24/21 99.979 0.21 313385UV6 03/28/22 09/20/21 99.979 0.21 313385UW4 03/29/22 09/20/21 99.979 0.21 313385UX2 03/30/22 09/03/21 99.986 0.14 313385UY0 03/31/22 08/30/21 99.979 0.21 313385UZ7 04/01/22 09/14/21 99.986 0.14 313385VC7 04/04/22 11/17/21 99.987 0.13 313385VD5 04/05/22 01/07/22 99.988 0.12 313385VE3 04/06/22 10/06/21 99.973 0.27 313385VF0 04/07/22 01/13/22 99.979 0.21 313385VG8 04/08/22 08/31/21 99.988 0.12 313385VK9 04/11/22 10/27/21 99.979 0.21 313385VL7 04/12/22 09/20/21 99.975 0.25 313385VM5 04/13/22 10/15/21 99.985 0.15 313385VN3 04/14/22 04/16/21 99.942 0.58 313385VS2 04/18/22 04/20/21 99.955 0.45 313385VT0 04/19/22 10/27/21 99.978 0.22 313385VU7 04/20/22 10/20/21 99.973 0.27 313385VV5 04/21/22 10/26/21 99.980 0.20 313385VW3 04/22/22 10/22/21 99.972 0.28 313385VZ6 04/25/22 06/23/21 99.962 0.38 Section III-B (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385WA0 04/26/22 10/18/21 99.984 0.16 313385WB8 04/27/22 09/30/21 99.974 0.26 313385WC6 04/28/22 09/03/21 99.984 0.16 313385WD4 04/29/22 06/22/21 99.961 0.39 313385WG7 05/02/22 05/05/21 99.955 0.45 313385WH5 05/03/22 05/04/21 99.955 0.45 313385WJ1 05/04/22 05/04/21 99.954 0.46 313385WK8 05/05/22 05/05/21 99.954 0.46 313385WL6 05/06/22 05/06/21 99.944 0.56 313385WP7 05/09/22 11/02/21 99.977 0.23 313385WQ5 05/10/22 05/10/21 99.949 0.51 313385WR3 05/11/22 11/17/21 99.983 0.17 313385WS1 05/12/22 05/12/21 99.954 0.46 313385WT9 05/13/22 10/29/21 99.984 0.16 313385WW2 05/16/22 05/17/21 99.944 0.56 313385WX0 05/17/22 05/17/21 99.948 0.52 313385WY8 05/18/22 05/20/21 99.955 0.45 313385WZ5 05/19/22 10/20/21 99.982 0.18 313385XA9 05/20/22 05/20/21 99.954 0.46 313385XD3 05/23/22 10/20/21 99.982 0.18 313385XE1 05/24/22 12/10/21 99.975 0.25 313385XF8 05/25/22 11/24/21 99.965 0.35 313385XG6 05/26/22 09/22/21 99.973 0.27 313385XH4 05/27/22 05/28/21 99.955 0.45 313385XM3 05/31/22 07/22/21 99.957 0.43 313385XN1 06/01/22 06/01/21 99.949 0.51 313385XP6 06/02/22 02/02/22 99.918 0.82 313385XQ4 06/03/22 11/09/21 99.980 0.20 313385XT8 06/06/22 02/01/22 99.917 0.83 313385XU5 06/07/22 12/03/21 99.951 0.49 313385XV3 06/08/22 12/08/21 99.935 0.65 313385XW1 06/09/22 06/25/21 99.971 0.29 313385XX9 06/10/22 06/14/21 99.950 0.50 313385YA8 06/13/22 06/14/21 99.949 0.51 313385YB6 06/14/22 06/15/21 99.949 0.51 313385YC4 06/15/22 06/15/21 99.949 0.51 313385YD2 06/16/22 06/16/21 99.949 0.51 313385YE0 06/17/22 06/18/21 99.944 0.56 313385YJ9 06/21/22 06/24/21 99.935 0.65 313385YK6 06/22/22 06/23/21 99.934 0.66 313385YL4 06/23/22 06/25/21 99.934 0.66 313385YM2 06/24/22 12/21/21 99.969 0.31 Section III-B (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385YQ3 06/27/22 01/13/22 99.904 0.96 313385YR1 06/28/22 03/02/22 99.895 1.05 313385YS9 06/29/22 01/25/22 99.895 1.05 313385YT7 06/30/22 11/04/21 99.964 0.36 313385YU4 07/01/22 07/01/21 99.934 0.66 313385YY6 07/05/22 12/08/21 99.954 0.46 313385YZ3 07/06/22 07/06/21 99.934 0.66 313385ZA7 07/07/22 10/27/21 99.979 0.21 313385ZB5 07/08/22 11/08/21 99.963 0.37 313385ZE9 07/11/22 12/13/21 99.953 0.47 313385ZF6 07/12/22 12/13/21 99.953 0.47 313385ZG4 07/13/22 12/13/21 99.953 0.47 313385ZH2 07/14/22 07/15/21 99.970 0.30 313385ZJ8 07/15/22 07/16/21 99.924 0.76 313385ZM1 07/18/22 12/23/21 99.960 0.40 313385ZN9 07/19/22 07/19/21 99.924 0.76 313385ZP4 07/20/22 12/08/21 99.950 0.50 313385ZQ2 07/21/22 12/03/21 99.968 0.32 313385ZR0 07/22/22 12/03/21 99.968 0.32 313385ZU3 07/25/22 01/14/22 99.861 1.39 313385ZV1 07/26/22 01/26/22 99.849 1.51 313385ZW9 07/27/22 12/07/21 99.955 0.45 313385ZX7 07/28/22 12/01/21 99.980 0.20 313385ZY5 07/29/22 12/09/21 99.929 0.71 313385A30 08/01/22 08/04/21 99.935 0.65 313385A48 08/02/22 08/03/21 99.934 0.66 313385A55 08/03/22 08/04/21 99.934 0.66 313385A63 08/04/22 08/04/21 99.934 0.66 313385A71 08/05/22 08/05/21 99.934 0.66 313385B21 08/08/22 12/23/21 99.956 0.44 313385B39 08/09/22 12/23/21 99.955 0.45 313385B47 08/10/22 04/20/22 99.720 2.80 313385B54 08/11/22 04/08/22 99.733 2.67 313385B62 08/12/22 12/29/21 99.956 0.44 313385B96 08/15/22 12/30/21 99.956 0.44 313385C20 08/16/22 12/30/21 99.955 0.45 313385C38 08/17/22 12/30/21 99.955 0.45 313385C46 08/18/22 01/28/22 99.798 2.02 313385C53 08/19/22 12/30/21 99.955 0.45 313385C87 08/22/22 08/27/21 99.935 0.65 313385C95 08/23/22 01/03/22 99.955 0.45 313385D29 08/24/22 01/03/22 99.955 0.45 Section III-B (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385D37 08/25/22 08/27/21 99.934 0.66 313385D45 08/26/22 12/28/21 99.953 0.47 313385D78 08/29/22 12/01/21 99.898 1.02 313385D86 08/30/22 12/01/21 99.977 0.23 313385D94 08/31/22 12/07/21 99.963 0.37 313385E28 09/01/22 09/07/21 99.935 0.65 313385E36 09/02/22 09/07/21 99.935 0.65 313385E77 09/06/22 11/16/21 99.951 0.49 313385E85 09/07/22 11/16/21 99.951 0.49 313385E93 09/08/22 11/16/21 99.951 0.49 313385F27 09/09/22 11/17/21 99.951 0.49 313385F50 09/12/22 09/15/21 99.975 0.25 313385F68 09/13/22 04/05/22 99.580 4.20 313385F76 09/14/22 11/17/21 99.950 0.50 313385F84 09/15/22 01/27/22 99.766 2.34 313385F92 09/16/22 09/17/21 99.934 0.66 313385G42 09/19/22 11/30/21 99.947 0.53 313385G59 09/20/22 11/19/21 99.932 0.68 313385G67 09/21/22 01/07/22 99.929 0.71 313385G75 09/22/22 03/23/22 99.535 4.65 313385G83 09/23/22 11/19/21 99.932 0.68 313385H33 09/26/22 11/19/21 99.931 0.69 313385H41 09/27/22 09/28/21 99.934 0.66 313385H58 09/28/22 11/19/21 99.930 0.70 313385H66 09/29/22 02/16/22 99.563 4.38 313385H74 09/30/22 10/08/21 99.931 0.69 313385J23 10/03/22 11/15/21 99.946 0.54 313385J31 10/04/22 11/30/21 99.944 0.56 313385J49 10/05/22 12/02/21 99.915 0.85 313385J56 10/06/22 11/18/21 99.946 0.54 313385J64 10/07/22 12/02/21 99.914 0.86 313385K21 10/11/22 12/03/21 99.913 0.87 313385K39 10/12/22 12/03/21 99.913 0.87 313385K47 10/13/22 12/03/21 99.913 0.87 313385K54 10/14/22 11/29/21 99.938 0.62 313385K88 10/17/22 11/24/21 99.941 0.59 313385K96 10/18/22 10/19/21 99.909 0.91 313385L20 10/19/22 11/24/21 99.941 0.59 313385L38 10/20/22 11/24/21 99.940 0.60 313385L46 10/21/22 01/07/22 99.920 0.80 313385L79 10/24/22 12/13/21 99.878 1.23 313385L87 10/25/22 12/13/21 99.877 1.23 Section III-B (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385L95 10/26/22 04/25/22 99.284 7.16 313385M29 10/27/22 12/13/21 99.876 1.24 313385M37 10/28/22 12/14/21 99.903 0.97 313385M60 10/31/22 12/01/21 99.884 1.16 313385M78 11/01/22 11/23/21 99.871 1.29 313385M86 11/02/22 12/13/21 99.874 1.26 313385M94 11/03/22 01/10/22 99.835 1.65 313385N28 11/04/22 11/22/21 99.875 1.25 313385N51 11/07/22 01/10/22 99.833 1.67 313385N69 11/08/22 01/07/22 99.716 2.84 313385N77 11/09/22 01/10/22 99.832 1.68 313385N85 11/10/22 11/22/21 99.863 1.37 313385P42 11/14/22 12/08/21 99.839 1.61 313385P59 11/15/22 12/14/21 99.869 1.31 313385P67 11/16/22 12/14/21 99.869 1.31 313385P75 11/17/22 12/14/21 99.869 1.31 313385P83 11/18/22 11/19/21 99.858 1.42 313385Q33 11/21/22 11/24/21 99.819 1.81 313385Q41 11/22/22 11/24/21 99.819 1.81 313385Q58 11/23/22 11/30/21 99.821 1.79 313385Q74 11/25/22 04/14/22 99.216 7.84 313385R24 11/28/22 11/29/21 99.818 1.82 313385R32 11/29/22 11/30/21 99.869 1.31 313385R40 11/30/22 12/09/21 99.832 1.68 313385R57 12/01/22 12/23/21 99.738 2.62 313385R65 12/02/22 02/03/22 99.497 5.03 313385R99 12/05/22 05/06/22 99.083 9.17 313385S23 12/06/22 01/07/22 99.871 1.30 313385S31 12/07/22 05/24/22 99.157 8.43 313385S49 12/08/22 05/05/22 99.024 9.76 313385S56 12/09/22 12/09/21 99.807 1.93 313385S80 12/12/22 12/22/21 99.714 2.86 313385S98 12/13/22 04/14/22 99.102 8.98 313385T22 12/14/22 12/22/21 99.712 2.88 313385T30 12/15/22 12/17/21 99.758 2.42 313385T48 12/16/22 12/20/21 99.739 2.61 313385T71 12/19/22 12/23/21 99.709 2.91 313385T89 12/20/22 12/22/21 99.698 3.02 313385T97 12/21/22 01/03/22 99.863 1.37 313385U20 12/22/22 12/23/21 99.707 2.93 313385U38 12/23/22 12/31/21 99.703 2.97 313385U79 12/27/22 04/07/22 99.017 9.83 Section III-B (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313385U87 12/28/22 04/08/22 99.083 9.17 313385U95 12/29/22 04/14/22 99.014 9.86 313385V29 12/30/22 03/10/22 99.263 7.37 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2022 Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589RK1 01/05/22 10/06/21 99.992 0.08 313589RS4 01/12/22 10/13/21 99.991 0.09 313589RU9 01/14/22 01/13/22 100.000 0.00 313589RZ8 01/19/22 10/20/21 99.990 0.10 313589SG9 01/26/22 10/27/21 99.990 0.10 313589SJ3 01/28/22 01/27/22 100.000 0.00 313589SM6 01/31/22 01/27/22 100.000 0.00 313589SP9 02/02/22 11/03/21 99.991 0.09 313589SW4 02/09/22 11/10/21 99.991 0.09 313589TD5 02/16/22 11/17/21 99.991 0.09 313589TF0 02/18/22 02/17/22 100.000 0.00 313589TR4 02/28/22 02/25/22 100.000 0.00 313589TT0 03/02/22 12/01/21 99.989 0.11 313589TV5 03/04/22 03/03/22 100.000 0.00 313589UA9 03/09/22 12/08/21 99.987 0.13 313589UC5 03/11/22 03/10/22 100.000 0.00 313589UH4 03/16/22 12/15/21 99.988 0.12 313589UK7 03/18/22 03/17/22 99.999 0.01 313589UQ4 03/23/22 02/23/22 99.998 0.02 313589UX9 03/30/22 03/02/22 99.993 0.07 313589VE0 04/06/22 01/05/22 99.983 0.17 313589VM2 04/13/22 01/12/22 99.972 0.28 313589VU4 04/20/22 01/19/22 99.957 0.43 313589WD1 04/29/22 04/28/22 99.999 0.01 313589WG4 05/02/22 11/01/21 99.990 0.10 313589WJ8 05/04/22 02/02/22 99.949 0.51 313589WR0 05/11/22 02/09/22 99.933 0.67 313589WW9 05/16/22 11/15/21 99.977 0.23 313589WY5 05/18/22 03/23/22 99.961 0.39 313589XF5 05/25/22 03/30/22 99.954 0.46 313589XN8 06/01/22 04/06/22 99.938 0.62 313589XV0 06/08/22 04/13/22 99.922 0.78 313589YC1 06/15/22 04/20/22 99.916 0.84 313589YK3 06/22/22 04/27/22 99.903 0.97 313589YU1 07/01/22 01/03/22 99.926 0.74 313589ZJ5 07/15/22 07/14/22 99.996 0.04 Section III-C (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589ZP1 07/20/22 05/25/22 99.855 1.45 313589ZY2 07/29/22 07/28/22 99.995 0.05 313589B44 08/10/22 05/11/22 99.748 2.52 313589C35 08/17/22 05/18/22 99.727 2.73 313589D91 08/31/22 06/01/22 99.702 2.98 313589E82 09/07/22 06/08/22 99.671 3.29 313589E90 09/08/22 07/29/22 99.756 2.44 313589F73 09/14/22 07/20/22 99.661 3.39 313589G64 09/21/22 06/22/22 99.532 4.68 313589H55 09/28/22 06/29/22 99.532 4.68 313589H71 09/30/22 09/29/22 99.993 0.07 313589J20 10/03/22 04/01/22 99.327 6.73 313589J46 10/05/22 09/07/22 99.806 1.94 313589J61 10/07/22 09/22/22 99.885 1.15 313589K36 10/12/22 08/17/22 99.629 3.71 313589K51 10/14/22 10/13/22 99.992 0.08 313589L27 10/19/22 08/24/22 99.610 3.90 313589M75 11/01/22 05/02/22 99.126 8.74 313589N74 11/09/22 09/14/22 99.549 4.51 313589P49 11/14/22 11/08/22 99.944 0.56 313589P56 11/15/22 05/16/22 99.066 9.34 313589P64 11/16/22 11/08/22 99.926 0.74 313589P72 11/17/22 11/08/22 99.916 0.84 313589Q30 11/21/22 11/15/22 99.944 0.56 313589Q55 11/23/22 09/28/22 99.510 4.90 313589R21 11/28/22 11/08/22 99.811 1.89 313589R47 11/30/22 10/05/22 99.496 5.04 313589R54 12/01/22 11/08/22 99.780 2.20 313589R62 12/02/22 11/09/22 99.780 2.20 313589R96 12/05/22 11/22/22 99.874 1.26 313589S20 12/06/22 11/28/22 99.922 0.78 313589S38 12/07/22 10/12/22 99.487 5.13 313589S46 12/08/22 11/09/22 99.722 2.78 313589S53 12/09/22 11/08/22 99.703 2.97 313589S87 12/12/22 11/10/22 99.693 3.07 313589S95 12/13/22 11/10/22 99.684 3.16 313589T29 12/14/22 11/30/22 99.864 1.36 313589T37 12/15/22 11/15/22 99.717 2.83 313589T45 12/16/22 11/14/22 99.689 3.11 313589T78 12/19/22 11/17/22 99.680 3.20 313589T86 12/20/22 11/15/22 99.660 3.40 313589T94 12/21/22 12/07/22 99.858 1.42 Section III-C (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313589U27 12/22/22 11/18/22 99.660 3.40 313589U84 12/28/22 11/08/22 99.507 4.93 313589U92 12/29/22 11/23/22 99.625 3.75 313589V26 12/30/22 11/17/22 99.552 4.48 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2022 Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313RH3 01/03/22 01/19/21 99.940 0.60 313313RJ9 01/04/22 01/03/22 99.990 0.10 313313RK6 01/05/22 03/30/21 99.940 0.60 313313RL4 01/06/22 01/15/21 99.900 1.00 313313RM2 01/07/22 02/11/21 99.920 0.80 313313RQ3 01/10/22 08/30/21 99.950 0.50 313313RR1 01/11/22 01/10/22 99.970 0.30 313313RS9 01/12/22 12/08/21 99.970 0.30 313313RT7 01/13/22 10/29/21 99.960 0.40 313313RU4 01/14/22 07/19/21 99.950 0.50 313313RY6 01/18/22 09/01/21 99.950 0.50 313313RZ3 01/19/22 02/17/21 99.920 0.80 313313SA7 01/20/22 05/24/21 99.970 0.30 313313SB5 01/21/22 09/02/21 99.950 0.50 313313SE9 01/24/22 09/02/21 99.950 0.50 313313SF6 01/25/22 03/25/21 99.940 0.60 313313SG4 01/26/22 09/17/21 99.960 0.40 313313SH2 01/27/22 01/28/21 99.910 0.90 313313SJ8 01/28/22 02/17/21 99.920 0.80 313313SM1 01/31/22 09/02/21 99.960 0.40 313313SN9 02/01/22 09/27/21 99.960 0.40 313313SP4 02/02/22 07/29/21 99.960 0.40 313313SQ2 02/03/22 10/28/21 99.950 0.50 313313SR0 02/04/22 04/30/21 99.950 0.50 313313SU3 02/07/22 04/30/21 99.950 0.50 313313SV1 02/08/22 06/03/21 99.970 0.30 313313SW9 02/09/22 01/05/22 99.960 0.40 313313SX7 02/10/22 09/01/21 99.950 0.50 313313SY5 02/11/22 09/16/21 99.960 0.40 313313TB4 02/14/22 02/11/22 99.990 0.10 313313TC2 02/15/22 02/16/21 99.920 0.80 313313TD0 02/16/22 05/11/21 99.950 0.50 313313TE8 02/17/22 12/16/21 99.970 0.30 313313TF5 02/18/22 12/27/21 99.950 0.50 313313TK4 02/22/22 05/11/21 99.950 0.50 313313TL2 02/23/22 10/29/21 99.950 0.50 Section III-D (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313TM0 02/24/22 02/23/22 99.970 0.30 313313TN8 02/25/22 04/26/21 99.940 0.60 313313TR9 02/28/22 05/07/21 99.950 0.50 313313TS7 03/01/22 06/22/21 99.940 0.60 313313TT5 03/02/22 04/08/21 99.940 0.60 313313TU2 03/03/22 10/28/21 99.950 0.50 313313TV0 03/04/22 11/10/21 99.950 0.50 313313TY4 03/07/22 09/28/21 99.960 0.40 313313TZ1 03/08/22 03/07/22 99.980 0.20 313313UA4 03/09/22 02/02/22 99.960 0.40 313313UB2 03/10/22 03/09/22 99.980 0.20 313313UC0 03/11/22 04/27/21 99.940 0.60 313313UF3 03/14/22 09/29/21 99.960 0.40 313313UG1 03/15/22 03/14/22 99.990 0.10 313313UH9 03/16/22 08/30/21 99.950 0.50 313313UJ5 03/17/22 05/07/21 99.950 0.50 313313UK2 03/18/22 03/17/22 99.750 2.50 313313UN6 03/21/22 04/21/21 99.930 0.70 313313UP1 03/22/22 07/30/21 99.950 0.50 313313UQ9 03/23/22 04/26/21 99.930 0.70 313313UR7 03/24/22 03/23/22 99.820 1.80 313313US5 03/25/22 04/28/21 99.950 0.50 313313UV8 03/28/22 10/04/21 99.950 0.50 313313UW6 03/29/22 03/28/22 99.840 1.60 313313UX4 03/30/22 02/23/22 99.920 0.80 313313UY2 03/31/22 06/02/21 99.970 0.30 313313UZ9 04/01/22 11/18/21 99.960 0.40 313313VC9 04/04/22 10/04/21 99.950 0.50 313313VD7 04/05/22 02/25/22 99.920 0.80 313313VE5 04/06/22 08/04/21 99.950 0.50 313313VF2 04/07/22 03/03/22 99.860 1.40 313313VG0 04/08/22 07/09/21 99.940 0.60 313313VK1 04/11/22 08/27/21 99.950 0.50 313313VL9 04/12/22 02/23/22 99.860 1.40 313313VM7 04/13/22 10/15/21 99.950 0.50 313313VN5 04/14/22 06/24/21 99.960 0.40 313313VS4 04/18/22 10/18/21 99.940 0.60 313313VT2 04/19/22 09/10/21 99.950 0.50 313313VU9 04/20/22 10/19/21 99.950 0.50 313313VV7 04/21/22 10/05/21 99.950 0.50 313313VW5 04/22/22 09/21/21 99.960 0.40 313313VZ8 04/25/22 10/20/21 99.950 0.50 Section III-D (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313WA2 04/26/22 02/24/22 99.780 2.20 313313WB0 04/27/22 06/23/21 99.950 0.50 313313WC8 04/28/22 10/01/21 99.950 0.50 313313WD6 04/29/22 10/25/21 99.940 0.60 313313WG9 05/02/22 09/17/21 99.950 0.50 313313WH7 05/03/22 05/03/21 99.950 0.50 313313WJ3 05/04/22 03/23/22 99.800 2.00 313313WK0 05/05/22 05/04/22 99.820 1.80 313313WL8 05/06/22 03/09/22 99.760 2.40 313313WP9 05/09/22 08/17/21 99.930 0.70 313313WQ7 05/10/22 03/29/22 99.800 2.00 313313WR5 05/11/22 10/29/21 99.930 0.70 313313WS3 05/12/22 05/26/21 99.960 0.40 313313WT1 05/13/22 05/12/22 99.400 6.00 313313WW4 05/16/22 11/03/21 99.930 0.70 313313WX2 05/17/22 03/21/22 99.670 3.30 313313WY0 05/18/22 09/21/21 99.950 0.50 313313WZ7 05/19/22 05/25/21 99.960 0.40 313313XA1 05/20/22 11/01/21 99.930 0.70 313313XD5 05/23/22 11/08/21 99.930 0.70 313313XE3 05/24/22 03/16/22 99.700 3.00 313313XF0 05/25/22 05/28/21 99.960 0.40 313313XG8 05/26/22 04/12/22 99.590 4.10 313313XH6 05/27/22 09/01/21 99.940 0.60 313313XM5 05/31/22 11/17/21 99.940 0.60 313313XN3 06/01/22 08/20/21 99.950 0.50 313313XP8 06/02/22 11/24/21 99.930 0.70 313313XQ6 06/03/22 10/29/21 99.920 0.80 313313XT0 06/06/22 10/12/21 99.940 0.60 313313XU7 06/07/22 08/20/21 99.940 0.60 313313XV5 06/08/22 11/19/21 99.940 0.60 313313XW3 06/09/22 06/08/22 99.400 6.00 313313XX1 06/10/22 10/12/21 99.940 0.60 313313YA0 06/13/22 10/28/21 99.920 0.80 313313YB8 06/14/22 04/14/22 99.400 6.00 313313YC6 06/15/22 11/04/21 99.940 0.60 313313YD4 06/16/22 07/16/21 99.930 0.70 313313YE2 06/17/22 04/19/22 99.440 5.60 313313YJ1 06/21/22 08/12/21 99.940 0.60 313313YK8 06/22/22 05/20/22 99.280 7.20 313313YL6 06/23/22 09/15/21 99.940 0.60 313313YM4 06/24/22 12/09/21 99.890 1.10 Section III-D (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313YQ5 06/27/22 11/01/21 99.920 0.80 313313YR3 06/28/22 10/04/21 99.940 0.60 313313YS1 06/29/22 11/15/21 99.920 0.80 313313YT9 06/30/22 05/27/22 99.190 8.10 313313YU6 07/01/22 08/16/21 99.950 0.50 313313YY8 07/05/22 11/24/21 99.900 1.00 313313YZ5 07/06/22 08/26/21 99.930 0.70 313313ZA9 07/07/22 12/16/21 99.870 1.30 313313ZB7 07/08/22 07/07/22 98.620 13.80 313313ZE1 07/11/22 07/08/22 98.620 13.80 313313ZF8 07/12/22 01/10/22 99.740 2.60 313313ZG6 07/13/22 06/21/22 98.650 13.50 313313ZH4 07/14/22 12/28/21 99.810 1.90 313313ZJ0 07/15/22 05/06/22 99.200 8.00 313313ZM3 07/18/22 12/17/21 99.870 1.30 313313ZN1 07/19/22 09/28/21 99.930 0.70 313313ZP6 07/20/22 12/20/21 99.860 1.40 313313ZQ4 07/21/22 04/27/22 99.150 8.50 313313ZR2 07/22/22 12/20/21 99.860 1.40 313313ZU5 07/25/22 09/24/21 99.940 0.60 313313ZV3 07/26/22 11/15/21 99.910 0.90 313313ZW1 07/27/22 05/09/22 99.150 8.50 313313ZX9 07/28/22 07/27/22 98.620 13.80 313313ZY7 07/29/22 06/08/22 99.060 9.40 313313A32 08/01/22 12/21/21 99.840 1.60 313313A40 08/02/22 03/11/22 99.330 6.70 313313A57 08/03/22 06/10/22 98.850 11.50 313313A65 08/04/22 08/03/22 97.950 20.50 313313A73 08/05/22 12/23/21 99.820 1.80 313313B23 08/08/22 11/24/21 99.870 1.30 313313B31 08/09/22 12/28/21 99.770 2.30 313313B49 08/10/22 11/04/21 99.900 1.00 313313B56 08/11/22 05/16/22 98.980 10.20 313313B64 08/12/22 08/11/22 97.900 21.00 313313B98 08/15/22 12/29/21 99.780 2.20 313313C22 08/16/22 02/07/22 99.420 5.80 313313C30 08/17/22 12/28/21 99.760 2.40 313313C48 08/18/22 10/19/21 99.910 0.90 313313C55 08/19/22 12/30/21 99.780 2.20 313313C89 08/22/22 12/31/21 99.770 2.30 313313C97 08/23/22 07/18/22 98.050 19.50 313313D21 08/24/22 12/29/21 99.770 2.30 Section III-D (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313D39 08/25/22 08/24/22 97.870 21.30 313313D47 08/26/22 02/24/22 99.300 7.00 313313D70 08/29/22 12/17/21 99.830 1.70 313313D88 08/30/22 08/01/22 97.850 21.50 313313D96 08/31/22 10/29/21 99.890 1.10 313313E20 09/01/22 12/23/21 99.790 2.10 313313E38 09/02/22 03/25/22 99.090 9.10 313313E79 09/06/22 01/26/22 99.560 4.40 313313E87 09/07/22 08/03/22 97.840 21.60 313313E95 09/08/22 08/05/22 97.870 21.30 313313F29 09/09/22 09/08/22 97.850 21.50 313313F52 09/12/22 01/31/22 99.510 4.90 313313F60 09/13/22 11/03/21 99.870 1.30 313313F78 09/14/22 10/04/21 99.910 0.90 313313F86 09/15/22 05/20/22 98.820 11.80 313313F94 09/16/22 02/07/22 99.340 6.60 313313G44 09/19/22 10/18/21 99.900 1.00 313313G51 09/20/22 12/28/21 99.740 2.60 313313G69 09/21/22 02/22/22 99.220 7.80 313313G77 09/22/22 10/14/21 99.910 0.90 313313G85 09/23/22 11/29/21 99.840 1.60 313313H35 09/26/22 02/17/22 99.190 8.10 313313H43 09/27/22 09/26/22 97.100 29.00 313313H50 09/28/22 02/15/22 99.140 8.60 313313H68 09/29/22 02/18/22 99.250 7.50 313313H76 09/30/22 12/30/21 99.750 2.50 313313J25 10/03/22 10/08/21 99.930 0.70 313313J33 10/04/22 06/08/22 98.620 13.80 313313J41 10/05/22 03/11/22 99.110 8.90 313313J58 10/06/22 11/04/21 99.850 1.50 313313J66 10/07/22 06/30/22 98.150 18.50 313313K23 10/11/22 03/23/22 99.020 9.80 313313K31 10/12/22 03/24/22 99.000 10.00 313313K49 10/13/22 04/13/22 98.800 12.00 313313K56 10/14/22 08/17/22 97.630 23.70 313313K80 10/17/22 12/27/21 99.730 2.70 313313K98 10/18/22 12/29/21 99.720 2.80 313313L22 10/19/22 04/18/22 98.740 12.60 313313L30 10/20/22 12/29/21 99.710 2.90 313313L48 10/21/22 02/07/22 99.280 7.20 313313L71 10/24/22 12/16/21 99.750 2.50 313313L89 10/25/22 12/17/21 99.760 2.40 Section III-D (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313L97 10/26/22 12/01/21 99.750 2.50 313313M21 10/27/22 07/29/22 97.560 24.40 313313M39 10/28/22 01/03/22 99.690 3.10 313313M62 10/31/22 04/25/22 98.700 13.00 313313M70 11/01/22 12/28/21 99.710 2.90 313313M88 11/02/22 09/07/22 97.240 27.60 313313M96 11/03/22 07/08/22 97.780 22.20 313313N20 11/04/22 04/13/22 98.750 12.50 313313N53 11/07/22 11/04/22 96.500 35.00 313313N61 11/08/22 12/01/21 99.750 2.50 313313N79 11/09/22 07/15/22 97.400 26.00 313313N87 11/10/22 04/27/22 98.590 14.10 313313P44 11/14/22 04/13/22 98.700 13.00 313313P51 11/15/22 12/20/21 99.740 2.60 313313P69 11/16/22 10/12/22 96.950 30.50 313313P77 11/17/22 02/28/22 99.050 9.50 313313P85 11/18/22 05/16/22 98.550 14.50 313313Q35 11/21/22 05/16/22 98.530 14.70 313313Q50 11/23/22 09/30/22 96.870 31.30 313313Q76 11/25/22 05/17/22 98.500 15.00 313313R26 11/28/22 05/17/22 98.500 15.00 313313R34 11/29/22 05/18/22 98.430 15.70 313313R42 11/30/22 10/14/22 96.650 33.50 313313R59 12/01/22 01/20/22 99.500 5.00 313313R67 12/02/22 06/03/22 98.350 16.50 313313R91 12/05/22 01/20/22 99.470 5.30 313313S25 12/06/22 01/19/22 99.470 5.30 313313S33 12/07/22 05/31/22 98.280 17.20 313313S41 12/08/22 09/01/22 97.000 30.00 313313S58 12/09/22 05/31/22 98.280 17.20 313313S82 12/12/22 04/01/22 98.650 13.50 313313S90 12/13/22 12/29/21 99.620 3.80 313313T24 12/14/22 10/20/22 96.500 35.00 313313T32 12/15/22 02/02/22 99.250 7.50 313313T40 12/16/22 02/11/22 98.970 10.30 313313T73 12/19/22 06/15/22 97.520 24.80 313313T81 12/20/22 09/21/22 96.650 33.50 313313T99 12/21/22 02/02/22 99.240 7.60 313313U22 12/22/22 11/08/22 96.210 37.90 313313U30 12/23/22 06/23/22 97.560 24.40 313313U71 12/27/22 02/28/22 98.950 10.50 313313U89 12/28/22 03/28/22 98.600 14.00 Section III-D (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313313U97 12/29/22 06/27/22 97.540 24.60 313313V21 12/30/22 11/07/22 96.070 39.30 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2022 Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397E23 09/01/22 06/01/22 99.704 2.96 313397E31 09/02/22 07/28/22 99.795 2.05 313397E72 09/06/22 06/06/22 99.686 3.14 313397E80 09/07/22 07/05/22 99.689 3.11 313397E98 09/08/22 08/15/22 99.862 1.38 313397A35 08/01/22 07/27/22 99.980 0.20 313397A43 08/02/22 07/28/22 99.980 0.20 313397A50 08/03/22 07/21/22 99.951 0.49 313397A68 08/04/22 08/03/22 99.995 0.05 313397A76 08/05/22 08/04/22 99.995 0.05 313397B34 08/09/22 08/03/22 99.966 0.34 313397B42 08/10/22 08/09/22 99.994 0.06 313397B59 08/11/22 08/01/22 99.943 0.57 313397B67 08/12/22 07/25/22 99.910 0.90 313397B91 08/15/22 08/11/22 99.978 0.22 313397C25 08/16/22 07/29/22 99.899 1.01 313397C33 08/17/22 05/16/22 99.737 2.63 313397C41 08/18/22 07/25/22 99.877 1.23 313397C58 08/19/22 08/03/22 99.909 0.91 313397C82 08/22/22 07/21/22 99.834 1.66 313397C90 08/23/22 07/20/22 99.825 1.75 313397D24 08/24/22 05/24/22 99.714 2.86 313397D32 08/25/22 07/25/22 99.830 1.70 313397D40 08/26/22 07/26/22 99.828 1.72 313397D73 08/29/22 06/27/22 99.717 2.83 313397D81 08/30/22 08/16/22 99.920 0.80 313397D99 08/31/22 07/26/22 99.799 2.01 313397F55 09/12/22 07/11/22 99.673 3.27 313397F63 09/13/22 09/07/22 99.966 0.34 313397F71 09/14/22 08/18/22 99.851 1.49 313397F89 09/15/22 08/16/22 99.831 1.69 313397F97 09/16/22 09/15/22 99.994 0.06 313397G47 09/19/22 09/16/22 99.983 0.17 313397G54 09/20/22 09/08/22 99.933 0.67 313397G62 09/21/22 09/15/22 99.966 0.34 313397G70 09/22/22 09/09/22 99.927 0.73 Section III-E (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313397G88 09/23/22 08/25/22 99.837 1.63 313397H38 09/26/22 08/17/22 99.774 2.26 313397H46 09/27/22 09/07/22 99.879 1.21 313397H53 09/28/22 09/06/22 99.867 1.33 313397H61 09/29/22 09/07/22 99.867 1.33 313397H79 09/30/22 09/06/22 99.855 1.45 313397J28 10/03/22 09/13/22 99.869 1.31 313397J36 10/04/22 09/06/22 99.821 1.79 313397J44 10/05/22 09/06/22 99.815 1.85 313397J51 10/06/22 09/06/22 99.808 1.92 313397J69 10/07/22 09/06/22 99.802 1.98 313397K26 10/11/22 09/16/22 99.833 1.67 313397K34 10/12/22 09/23/22 99.854 1.46 313397K42 10/13/22 09/16/22 99.820 1.80 313397K59 10/14/22 09/22/22 99.859 1.41 313397K83 10/17/22 09/09/22 99.735 2.65 313397K91 10/18/22 09/13/22 99.748 2.52 313397L41 10/21/22 09/26/22 99.821 1.79 313397L74 10/24/22 09/08/22 99.675 3.25 313397L90 10/26/22 09/27/22 99.791 2.09 313397M24 10/27/22 09/12/22 99.675 3.25 313397M65 10/31/22 09/08/22 99.623 3.77 313397P54 11/15/22 09/14/22 99.504 4.96 313397T35 12/15/22 01/26/22 99.551 4.49 313397UJ8 03/17/22 01/19/22 99.995 0.05 313397VF5 04/07/22 01/26/22 99.975 0.25 313397VV0 04/21/22 01/25/22 99.959 0.41 313397WC1 04/28/22 01/13/22 99.962 0.38 313397WQ0 05/10/22 01/14/22 99.948 0.52 313397ZY0 07/29/22 07/28/22 99.994 0.06 Section III-F FEDERAL AGRICULTURAL MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2022 Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LRH3 01/03/22 08/26/21 99.989 0.11 31315LRJ9 01/04/22 10/01/21 99.991 0.09 31315LRK6 01/05/22 11/02/21 99.996 0.04 31315LRL4 01/06/22 01/05/22 100.000 0.00 31315LRM2 01/07/22 01/06/22 100.000 0.00 31315LRQ3 01/10/22 01/07/22 100.000 0.00 31315LRR1 01/11/22 01/10/22 100.000 0.00 31315LRS9 01/12/22 08/26/21 99.985 0.15 31315LRT7 01/13/22 01/12/22 100.000 0.00 31315LRU4 01/14/22 04/08/21 99.961 0.39 31315LRY6 01/18/22 09/16/21 99.986 0.14 31315LRZ3 01/19/22 01/18/22 100.000 0.00 31315LSA7 01/20/22 01/19/22 100.000 0.00 31315LSB5 01/21/22 01/25/21 99.900 1.00 31315LSE9 01/24/22 01/21/22 100.000 0.00 31315LSF6 01/25/22 10/21/21 99.987 0.13 31315LSG4 01/26/22 08/26/21 99.983 0.17 31315LSH2 01/27/22 01/26/22 100.000 0.00 31315LSJ8 01/28/22 12/20/21 99.996 0.04 31315LSM1 01/31/22 11/23/21 99.992 0.08 31315LSN9 02/01/22 11/03/21 99.988 0.12 31315LSP4 02/02/22 11/04/21 99.988 0.12 31315LSQ2 02/03/22 01/25/22 99.999 0.01 31315LSR0 02/04/22 07/09/21 99.971 0.29 31315LSU3 02/07/22 02/04/22 100.000 0.00 31315LSV1 02/08/22 02/07/22 100.000 0.00 31315LSW9 02/09/22 02/08/22 100.000 0.00 31315LSX7 02/10/22 02/09/22 100.000 0.00 31315LSY5 02/11/22 02/10/22 100.000 0.00 31315LTB4 02/14/22 12/03/21 99.990 0.10 31315LTC2 02/15/22 07/08/21 99.969 0.31 31315LTD0 02/16/22 11/19/21 99.988 0.12 31315LTE8 02/17/22 02/16/22 100.000 0.00 31315LTF5 02/18/22 02/17/22 100.000 0.00 31315LTK4 02/22/22 02/18/22 100.000 0.00 31315LTL2 02/23/22 02/22/22 100.000 0.00 Section III-F (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LTM0 02/24/22 11/18/21 99.986 0.14 31315LTN8 02/25/22 12/14/21 99.990 0.10 31315LTR9 02/28/22 10/29/21 99.991 0.09 31315LTS7 03/01/22 11/26/21 99.985 0.15 31315LTT5 03/02/22 12/15/21 99.988 0.12 31315LTU2 03/03/22 03/02/22 100.000 0.00 31315LTY4 03/07/22 03/04/22 100.000 0.00 31315LTZ1 03/08/22 02/22/22 99.999 0.01 31315LUA4 03/09/22 03/01/22 99.999 0.01 31315LUB2 03/10/22 03/09/22 100.000 0.00 31315LUC0 03/11/22 02/22/22 99.998 0.02 31315LUF3 03/14/22 12/15/21 99.986 0.14 31315LUG1 03/15/22 06/02/21 99.976 0.24 31315LUH9 03/16/22 12/09/21 99.985 0.15 31315LTV0 03/04/22 03/03/22 100.000 0.00 31315LUJ5 03/17/22 02/11/22 99.997 0.03 31315LUK2 03/18/22 03/17/22 99.999 0.01 31315LUN6 03/21/22 03/18/22 99.998 0.02 31315LUP1 03/22/22 08/18/21 99.970 0.30 31315LUQ9 03/23/22 03/22/22 99.999 0.01 31315LUR7 03/24/22 06/02/21 99.975 0.25 31315LUS5 03/25/22 03/24/22 100.000 0.00 31315LUV8 03/28/22 12/10/21 99.984 0.16 31315LUW6 03/29/22 03/28/22 100.000 0.00 31315LUX4 03/30/22 01/31/22 99.977 0.23 31315LUY2 03/31/22 01/31/22 99.976 0.24 31315LUZ9 04/01/22 11/17/21 99.983 0.17 31315LVC9 04/04/22 01/04/22 99.985 0.15 31315LVD7 04/05/22 04/04/22 100.000 0.00 31315LVE5 04/06/22 04/05/22 100.000 0.00 31315LVF2 04/07/22 04/06/22 100.000 0.00 31315LVG0 04/08/22 04/07/22 99.999 0.01 31315LVK1 04/11/22 04/13/21 99.909 0.91 31315LVL9 04/12/22 04/04/22 99.996 0.04 31315LVM7 04/13/22 04/12/22 99.999 0.01 31315LVN5 04/14/22 01/31/22 99.959 0.41 31315LVS4 04/18/22 04/04/22 99.993 0.07 31315LVT2 04/19/22 04/18/22 99.999 0.01 31315LVU9 04/20/22 03/18/22 99.977 0.23 31315LVV7 04/21/22 04/20/22 99.999 0.01 31315LVW5 04/22/22 04/21/22 99.999 0.01 31315LVZ8 04/25/22 04/04/22 99.990 0.10 Section III-F (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LWA2 04/26/22 04/25/22 99.999 0.01 31315LWB0 04/27/22 01/28/22 99.951 0.49 31315LWC8 04/28/22 04/29/21 99.965 0.35 31315LWD6 04/29/22 01/27/22 99.951 0.49 31315LWG9 05/02/22 04/04/22 99.985 0.15 31315LWH7 05/03/22 03/31/22 99.982 0.18 31315LWJ3 05/04/22 05/03/22 100.000 0.00 31315LWK0 05/05/22 05/04/22 100.000 0.00 31315LWL8 05/06/22 05/05/22 99.998 0.02 31315LWP9 05/09/22 05/06/22 99.995 0.05 31315LWQ7 05/10/22 03/31/22 99.978 0.22 31315LWR5 05/11/22 03/02/22 99.948 0.52 31315LWS3 05/12/22 12/17/21 99.972 0.28 31315LWT1 05/13/22 05/12/22 99.998 0.02 31315LWW4 05/16/22 05/13/22 99.995 0.05 31315LWX2 05/17/22 05/16/22 99.998 0.02 31315LWY0 05/18/22 05/17/22 99.998 0.02 31315LWZ7 05/19/22 05/20/21 99.949 0.51 31315LXA1 05/20/22 05/19/22 99.998 0.02 31315LXD5 05/23/22 05/20/22 99.995 0.05 31315LXE3 05/24/22 11/24/21 99.970 0.30 31315LXF0 05/25/22 05/28/21 99.965 0.35 31315LXG8 05/26/22 03/03/22 99.925 0.75 31315LXH6 05/27/22 05/26/22 99.998 0.02 31315LXM5 05/31/22 11/19/21 99.968 0.32 31315LXN3 06/01/22 05/31/22 99.999 0.01 31315LXP8 06/02/22 03/01/22 99.910 0.90 31315LXQ6 06/03/22 06/02/22 99.998 0.02 31315LXT0 06/06/22 06/03/22 99.995 0.05 31315LXU7 06/07/22 06/06/22 99.998 0.02 31315LXV5 06/08/22 06/07/22 99.998 0.02 31315LXW3 06/09/22 06/02/22 99.988 0.12 31315LXX1 06/10/22 06/09/22 99.998 0.02 31315LYA0 06/13/22 12/08/21 99.948 0.52 31315LYB8 06/14/22 06/13/22 99.998 0.02 31315LYC6 06/15/22 12/08/21 99.948 0.52 31315LYD4 06/16/22 03/18/22 99.888 1.12 31315LYE2 06/17/22 12/08/21 99.947 0.53 31315LYJ1 06/21/22 06/17/22 99.984 0.16 31315LYK8 06/22/22 06/21/22 99.996 0.04 31315LYL6 06/23/22 06/22/22 99.996 0.04 31315LYM4 06/24/22 06/30/21 99.920 0.80 Section III-F (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LYQ5 06/27/22 06/24/22 99.988 0.12 31315LYR3 06/28/22 03/01/22 99.845 1.55 31315LYS1 06/29/22 06/28/22 99.996 0.04 31315LYT9 06/30/22 12/20/21 99.968 0.32 31315LYU6 07/01/22 10/22/21 99.965 0.35 31315LYY8 07/05/22 03/02/22 99.826 1.74 31315LYZ5 07/06/22 06/21/22 99.944 0.56 31315LZA9 07/07/22 07/06/22 99.996 0.04 31315LZB7 07/08/22 06/23/22 99.947 0.53 31315LZE1 07/11/22 07/08/22 99.989 0.11 31315LZF8 07/12/22 07/11/22 99.996 0.04 31315LZG6 07/13/22 07/12/22 99.996 0.04 31315LZH4 07/14/22 06/21/22 99.912 0.88 31315LZJ0 07/15/22 07/14/22 99.996 0.04 31315LZM3 07/18/22 06/24/22 99.910 0.90 31315LZN1 07/19/22 07/18/22 99.996 0.04 31315LZP6 07/20/22 07/19/22 99.996 0.04 31315LZQ4 07/21/22 07/20/22 99.996 0.04 31315LZR2 07/22/22 07/15/22 99.973 0.27 31315LZU5 07/25/22 07/06/22 99.929 0.71 31315LZV3 07/26/22 06/27/22 99.894 1.06 31315LZW1 07/27/22 07/18/22 99.966 0.34 31315LZX9 07/28/22 06/30/22 99.903 0.97 31315LZY7 07/29/22 03/30/22 99.745 2.55 31315LA32 08/01/22 04/27/22 99.760 2.40 31315LA40 08/02/22 03/02/22 99.766 2.34 31315LA57 08/03/22 08/02/22 99.994 0.06 31315LA65 08/04/22 08/03/22 99.994 0.06 31315LA73 08/05/22 07/28/22 99.957 0.43 31315LB23 08/08/22 08/05/22 99.983 0.17 31315LB31 08/09/22 08/02/22 99.960 0.40 31315LB49 08/10/22 08/05/22 99.972 0.28 31315LB56 08/11/22 07/25/22 99.915 0.85 31315LB64 08/12/22 07/25/22 99.910 0.90 31315LB98 08/15/22 08/11/22 99.977 0.23 31315LC22 08/16/22 08/15/22 99.994 0.06 31315LC30 08/17/22 08/16/22 99.994 0.06 31315LC48 08/18/22 01/28/22 99.801 1.99 31315LC55 08/19/22 07/29/22 99.880 1.20 31315LC89 08/22/22 08/19/22 99.982 0.18 31315LC97 08/23/22 08/22/22 99.994 0.06 31315LD21 08/24/22 08/23/22 99.994 0.06 Section III-F (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LD39 08/25/22 08/24/22 99.994 0.06 31315LD47 08/26/22 08/27/21 99.924 0.76 31315LD70 08/29/22 08/10/22 99.885 1.15 31315LD88 08/30/22 08/29/22 99.994 0.06 31315LD96 08/31/22 01/28/22 99.695 3.05 31315LE20 09/01/22 07/29/22 99.788 2.12 31315LE38 09/02/22 03/02/22 99.652 3.48 31315LE79 09/06/22 09/02/22 99.976 0.24 31315LE87 09/07/22 08/18/22 99.881 1.19 31315LE95 09/08/22 08/17/22 99.872 1.28 31315LF29 09/09/22 09/08/22 99.994 0.06 31315LF52 09/12/22 09/09/22 99.982 0.18 31315LF60 09/13/22 09/12/22 99.994 0.06 31315LF78 09/14/22 09/13/22 99.994 0.06 31315LF86 09/15/22 09/14/22 99.994 0.06 31315LF94 09/16/22 09/15/22 99.994 0.06 31315LG44 09/19/22 09/16/22 99.982 0.18 31315LG51 09/20/22 09/19/22 99.994 0.06 31315LG69 09/21/22 09/08/22 99.922 0.78 31315LG77 09/22/22 09/21/22 99.994 0.06 31315LG85 09/23/22 09/22/22 99.992 0.08 31315LH35 09/26/22 09/23/22 99.976 0.24 31315LH43 09/27/22 09/26/22 99.992 0.08 31315LH50 09/28/22 09/27/22 99.992 0.08 31315LH68 09/29/22 04/29/22 99.490 5.10 31315LH76 09/30/22 08/05/22 99.650 3.50 31315LJ25 10/03/22 06/14/22 99.460 5.40 31315LJ33 10/04/22 10/03/22 99.992 0.08 31315LJ41 10/05/22 09/21/22 99.906 0.94 31315LJ58 10/06/22 07/05/22 99.491 5.09 31315LJ66 10/07/22 09/28/22 99.931 0.69 31315LK23 10/11/22 09/29/22 99.910 0.90 31315LK31 10/12/22 10/11/22 99.992 0.08 31315LK49 10/13/22 10/12/22 99.992 0.08 31315LK56 10/14/22 09/14/22 99.775 2.25 31315LK80 10/17/22 10/13/22 99.968 0.32 31315LK98 10/18/22 10/05/22 99.897 1.03 31315LL22 10/19/22 10/18/22 99.992 0.08 31315LL30 10/20/22 09/29/22 99.843 1.57 31315LL48 10/21/22 10/19/22 99.984 0.16 31315LL71 10/24/22 10/21/22 99.976 0.24 31315LL89 10/25/22 10/24/22 99.992 0.08 Section III-F (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LL97 10/26/22 10/25/22 99.992 0.08 31315LM21 10/27/22 09/30/22 99.793 2.07 31315LM39 10/28/22 10/27/22 99.992 0.08 31315LM62 10/31/22 03/30/22 99.277 7.23 31315LM70 11/01/22 07/29/22 99.356 6.44 31315LM88 11/02/22 11/01/22 99.992 0.08 31315LM96 11/03/22 11/02/22 99.992 0.08 31315LN20 11/04/22 11/03/22 99.990 0.10 31315LN53 11/07/22 11/04/22 99.971 0.29 31315LN61 11/08/22 11/07/22 99.990 0.10 31315LN79 11/09/22 11/08/22 99.990 0.10 31315LN87 11/10/22 11/09/22 99.990 0.10 31315LP44 11/14/22 10/17/22 99.761 2.39 31315LP51 11/15/22 11/14/22 99.990 0.10 31315LP69 11/16/22 11/30/21 99.820 1.80 31315LP77 11/17/22 11/16/22 99.990 0.10 31315LP85 11/18/22 11/17/22 99.990 0.10 31315LQ35 11/21/22 11/18/22 99.970 0.30 31315LQ43 11/22/22 08/18/22 99.288 7.12 31315LQ50 11/23/22 11/22/22 99.990 0.10 31315LQ76 11/25/22 11/23/22 99.981 0.19 31315LR26 11/28/22 11/23/22 99.949 0.51 31315LR34 11/29/22 11/28/22 99.990 0.10 31315LR42 11/30/22 11/28/22 99.980 0.20 31315LR59 12/01/22 11/30/22 99.991 0.09 31315LR67 12/02/22 12/01/22 99.990 0.10 31315LR91 12/05/22 11/14/22 99.790 2.10 31315LS25 12/06/22 12/05/22 99.990 0.10 31315LS33 12/07/22 12/06/22 99.990 0.10 31315LS41 12/08/22 12/07/22 99.990 0.10 31315LS58 12/09/22 12/08/22 99.990 0.10 31315LS82 12/12/22 11/18/22 99.757 2.43 31315LS90 12/13/22 12/12/22 99.990 0.10 31315LT24 12/14/22 12/01/22 99.872 1.28 31315LT32 12/15/22 02/25/22 99.190 8.10 31315LT73 12/19/22 06/14/22 98.815 11.85 31315LV21 12/30/22 06/28/22 98.787 12.13 31315LT99 12/21/22 12/02/22 99.802 1.98 31315LT81 12/20/22 12/12/22 99.917 0.83 31315LT40 12/16/22 12/15/22 99.989 0.11 31315LU71 12/27/22 12/16/22 99.878 1.22 31315LU89 12/28/22 12/16/22 99.867 1.33 Section III-F (continued) Discount to be Issue Price Reported as 2022 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 31315LU22 12/22/22 12/21/22 99.989 0.11 31315LU30 12/23/22 12/22/22 99.989 0.11 31315LU97 12/29/22 12/28/22 99.989 0.11