SECTION I-A                                                                                                                                                        
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969,                        
and before January 1, 1985.  Debt instruments which matured or were entirely called before 2010 are not included. See Section I-B for corporate                    
discount debt instruments issued after 1984.                                                                                                                       
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of                       
rounding or updated information.                                                                                                                                   
                                                                                                                                             OID per               
                                                                                                         Daily OID per $1,000               $1,000 of              
                                                                                                          of Maturity Value                 Maturity               
                                                               Issue Price   Annual                    for Each Accrual Period              Value for              
                                                               (Percent of   Stated      Total      -------------------------------       Calendar Year            
                                           Issue    Maturity    Principal   Interest     OID to     2011 1st    2011 2nd   2012 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/11      Period     2012 1st    Period        2011       2012          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                                   
Fannie Mae                   313586QR3   07/05/84   07/05/14       3.625      0.000      643.35     0.205832    0.229270   0.256779      79.35      88.86          
Fannie Mae                   313586RC5   10/09/84   10/09/19       3.200      0.000      390.49     0.116840    0.128562   0.142237      43.63      48.20          
GMAC LLC                     36186CAC7   04/01/81   04/01/11      44.510      6.000      550.34     0.050643                              4.56                     
GMAC                         370424CF8   04/01/81   04/01/11      44.510      6.000      550.34     0.050643                              4.56                     
Pepsico Cap Resources        713440BA2   04/14/82   04/01/11       2.904      0.000      962.70     0.091782                              8.26                     
Pepsico Cap Resources        713440BB0   04/14/82   04/01/12       2.643      0.000      933.01     0.088951    0.088951                 32.47       8.09          
Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      301.41     0.087346    0.095762   0.105564      32.64      35.93          
Tennessee Gas Pipeline       880451AJ8   12/15/81   12/15/11      40.783      6.000      573.31     0.054831                             18.86                     
Transamerica Finl Corp       893502AP9   08/18/82   09/01/12       1.986      0.000      925.74     0.089331    0.089331                 32.61      21.80   




       


SECTION I-B                                                                                                                                                            
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after December 31, 1984.                       
Debt instruments which matured or were entirely called before 2011 are not included.  See Section I-A for corporate discount debt instruments                          
issued before 1985.                                                                                                                                                    
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of                           
rounding or updated information.                                                                                                                                       
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABN Amro Bank N.V.       00078U4U1 01/31/08 01/31/11    100.000     0.000    3.6165              0.109876                                                 3.19         
ABN Amro Bank N.V.       00078UER7 03/15/07 03/13/12    100.000     0.000    4.8108              0.157785   0.161580   0.165467                          58.32    11.91
ABN Amro Bank N.V.       00078UR51 12/28/07 12/28/11    100.000     0.000    4.0901              0.128290   0.130914                                     46.27         
ABN Amro Bank N.V.       00079FBH4 07/16/03 01/16/14    100.000     0.000    4.1274              0.152607   0.155756   0.158970   0.162251  0.165600     56.56    58.91
ABN Amro Bank N.V.       00079FBM3 08/13/03 11/13/13    100.000     0.000    4.3128              0.163247   0.166767   0.170363   0.174037  0.177790     59.74    62.35
ABN Amro Bank N.V.       00079FBR2 09/10/03 09/10/13    100.000     0.000    5.0200              0.197302   0.202254   0.207331   0.212535  0.217869     73.03    76.75
ABN Amro Bank N.V.       00079FBX9 10/08/03 10/08/13    100.000     0.000    5.1600              0.204752   0.210035   0.215454   0.221012  0.226714     75.55    79.50
ABN Amro Bank N.V.       00079FCY6 03/10/04 12/10/13    100.000     0.000    4.7792              0.182617   0.186981   0.191449   0.196024  0.200709     66.71    69.94
ABN Amro Bank N.V.       00079FDB5 03/24/04 12/24/13    100.000     0.000    4.7792              0.182617   0.186981   0.191449   0.196024  0.200709     66.59    69.81
ABN Amro Bank N.V.       00079FHN5 01/13/05 01/13/20    100.000    VARIES    4.7500              0.129865   0.130144   0.130430   0.130723  0.131062     46.90    47.11
ABN Amro Bank N.V.       00079FSU7 09/29/06 03/29/11    100.000     0.000    4.9533              0.167341                                                14.73         
Acco Brands Corporation  00081TAC2 09/30/09 03/15/15     98.502    10.625   10.9972     2.72     0.006387   0.006738   0.007108   0.007499  0.007911      2.44     2.71
ABN Amro Bank N.V.       00083GAW4 02/29/08 02/28/11    100.000     0.000    3.4724              0.104544                                                 6.06         
ABN Amro Bank N.V.       00083GFE9 03/31/08 03/31/11    100.000     0.000    2.9519              0.088230                                                 7.85         
ABN Amro Bank N.V.       00083GLZ5 04/28/08 04/28/11    100.000     0.000    3.6463              0.110864                                                12.97         
ACL I Corporation        00088JAA1 02/15/11 02/15/16     98.250    VARIES    N/A                            0.304552   0.321545   0.322082  0.322648     98.55   116.00
ACL I Corporation        00088JAB9 02/15/11 02/15/16     98.250    VARIES    N/A                            0.304552   0.321545   0.322082  0.322648     98.55   116.00
AIG FP Private Funding   001379AD8 09/01/06 09/01/11    100.000     0.000    5.1471              0.175204   0.179713                                     42.86         
AIG FP Private Funding   001379AE6 09/01/06 09/01/11    100.000     0.000    5.1471              0.175204   0.179713                                     42.86         
APP Finance VI           00202NAA3 11/18/97 11/18/12     20.424     0.000   10.8751   615.40     0.244427   0.257718   0.271732   0.286507               91.56    88.80
Advanced Medical Optics  00763MAF5 06/22/04 07/15/24    100.000    VARIES    7.7883              0.302937   0.312030   0.320799   0.329909  0.339374    113.66   120.21
Advanced Medical Optics  00763MAG3 06/22/04 07/15/24    100.000    VARIES    7.7883              0.302937   0.312030   0.320799   0.329909  0.339374    113.66   120.21
Advanced Medical Optics  00763MAK4 06/13/06 08/01/26    100.000    VARIES    7.9982              0.266799   0.278477   0.281360   0.292257  0.297109    101.72   107.37
Advanced Medical Optics  00763MAL2 06/13/06 08/01/26    100.000    VARIES    7.9982              0.266799   0.278477   0.281360   0.292257  0.297109    101.72   107.37
Alameda, CA              010781AQ5 03/14/02 02/01/12     97.458     7.625    8.0020    21.58     0.009311   0.009684   0.010071                           3.53      .30
Alliance One Intl, Inc.  018772AL7 07/02/09 07/15/16     95.177    10.000   11.0023     7.47     0.014644   0.015449   0.016299   0.017196  0.018142      5.69     6.33
Alliance One Intl, Inc.  018772AM5 07/02/09 07/15/16     95.177    10.000   11.0023     7.47     0.014644   0.015449   0.016299   0.017196  0.018142      5.69     6.33
Alliance One Intl, Inc.  018772AN3 07/02/09 07/15/16     95.177    10.000   11.0023     7.47     0.014644   0.015449   0.016299   0.017196  0.018142      5.69     6.33
Alliant Techsystems Inc. 018804AJ3 08/13/04 08/15/24    100.000    VARIES    6.9757              0.250042   0.255857   0.261874   0.268101  0.274546     92.67    97.12
Alliant Techsystems Inc. 018804AK0 08/13/04 08/15/24    100.000    VARIES    6.9757              0.250042   0.255857   0.261874   0.268101  0.274546     92.67    97.12
Alza Corporation         022615AC2 07/14/94 07/14/14     35.471     0.000    5.2499   477.87     0.118531   0.121642   0.124835   0.128112  0.131475     44.28    46.64
AAM Hldg, Inc.           024061AA1 02/11/04 02/15/24*   100.000     2.000    N/A                 0.151693   0.153893   0.157416                          41.46*        
AAM Hldg, Inc.           024061AB9 02/11/04 02/15/24*   100.000     2.000    N/A                 0.151693   0.153893   0.157416                          41.46*        
American Medical Systems 02744MAA6 06/27/06 07/01/36    100.000    VARIES    9.1005              0.333083   0.344131   0.355271   0.366917              121.90   129.99
American Medical Systems 02744MAB4 09/21/09 09/15/41    103.658    VARIES   14.0090              0.445024   0.468413   0.493440   0.520220  0.548877    169.55   188.34
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
AmerUs Group Co.         03072M504 05/16/06 05/16/11    102.760     6.583    5.9369              0.165432                                                22.33         
Amgen Inc.               031162AC4 03/01/02 03/01/32     71.423    VARIES    N/A                 0.115599   0.118185   0.120828   0.123530  0.129117     42.71    44.98
Amgen Inc.               031162AD2 03/01/02 03/01/32     71.423    VARIES    N/A                 0.115599   0.118185   0.120828   0.123530  0.126293     42.71    44.64
Amgen Inc.               031162AE0 03/01/02 03/01/32     71.423    VARIES    N/A                 0.115599   0.118185   0.120828   0.123530  0.126293     42.71    44.64
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES    4.4729              0.115602   0.118187   0.120831   0.123533  0.126296     42.71    44.64
Amgen Inc.               031162AL4 03/01/05 03/01/32     72.947    VARIES    4.4729              0.115602   0.118187   0.120831   0.123533  0.126296     42.71    44.64
Anixter, Inc.            035287AC5 03/11/09 03/15/14     92.625    10.000   12.0007    21.82     0.036960   0.039178   0.041529   0.044020  0.046662     14.19    15.94
Anixter International    035290AD7 07/07/03 07/07/33*    38.016    VARIES    7.2998              0.127335   0.131982                                     24.52*        
Anixter International    035290AE5 07/07/03 07/07/33*    38.016    VARIES    7.2998              0.127335   0.131982                                     24.52*        
Anixter International    035290AF2 07/07/03 07/07/33*    38.016    VARIES    7.2998              0.127335   0.131982                                     24.52*        
Anixter International    035290AG0 07/07/03 07/07/33*    38.016    VARIES    7.2998              0.127335   0.131982                                     24.52*        
Anoka CNTY HSG & REDEV   03622CAA3 12/15/10 05/01/17     97.561     8.000    8.5032      .13     0.008217   0.008481   0.008842   0.009218  0.009610      3.04     3.30
Apria Healthcare Group   037933AA6 08/20/03 09/01/33    100.000    VARIES    8.6241              0.357759   0.368722   0.380157   0.392086  0.404529    133.45   141.93
Apria Healthcare Group   037933AB4 08/20/03 09/01/33    100.000    VARIES    8.6241              0.357759   0.368722   0.380157   0.392086  0.404529    133.45   141.93
Apria Healthcare Group   037933AD0 05/27/09 11/01/14     97.050    11.250   12.0051     6.85     0.013158   0.013947   0.014785   0.015672  0.016613      4.98     5.59
Apria Healthcare Group   037933AE8 05/27/09 11/01/14     97.050    11.250   12.0051     6.85     0.013158   0.013947   0.014785   0.015672  0.016613      4.98     5.59
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875    N/A                 0.025182   0.025180   0.025178   0.025176  0.025174      9.06     9.06
Republic of Argentina    040114GA2 06/15/00 06/15/15     91.700    11.750   13.0226    40.99     0.020038   0.021343   0.022732   0.024213  0.025789      7.49     8.50
Republic of Argentina    040114GB0 07/21/00 07/21/30     80.144    10.250   12.8669    12.93     0.006003   0.006389   0.006800   0.007238  0.007703      2.36     2.67
Republic of Argentina    040114GG9 06/19/01 06/19/18     75.375     0.000    N/A                 0.663001   0.663334   0.667586   0.672157  0.680789    242.12   245.34
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250    12.000    N/A                 0.597157   0.594377   0.594895   0.595450  0.599320    217.42   217.89
Armor Holdings, Inc.     042260AC3 10/29/04 11/01/24*    99.000    VARIES    6.9998              0.262562   0.269807                                     80.07*        
Armstrong Cnty Ind Dev   04233KAB2 07/29/99 08/20/34      6.955     0.000    7.7498    96.24     0.034712   0.036057   0.037454   0.038905  0.040413     13.10    14.13
Ashland Inc.             044209AC8 05/27/09 06/01/17     96.577     9.125    9.7504     4.91     0.009358   0.009814   0.010292   0.010794  0.011320      3.48     3.83
Ashland Inc.             044209AD6 05/27/09 06/01/17     96.577     9.125    9.7504     4.91     0.009358   0.009814   0.010292   0.010794  0.011320      3.48     3.83
Azusa Calif Redev Agy    05502MAB9 06/16/92 12/01/12     16.502     0.000    9.0030   679.78     0.209698   0.219138   0.229003   0.239311               77.77    77.43
BNP Paribas              05567LA31 09/30/09 03/30/15    100.000     0.000    3.2105              0.092069   0.093547   0.095049   0.096574  0.098125     33.68    34.77
BNP Paribas              05567LB55 10/30/09 04/29/15    100.000     0.000    3.2308              0.092659   0.094156   0.095677   0.097223  0.098793     33.81    34.92
BNP Paribas              05567LD53 03/03/10 03/03/15    100.000     0.000    3.0717              0.086637   0.087968   0.089319   0.090691  0.092084     31.75    32.73
BNP Paribas              05567LE52 02/01/10 07/31/15    100.000     0.000    3.0492              0.084117   0.086815   0.086702   0.088991  0.089366     31.59    32.56
BNP Paribas              05567LH67 04/30/10 10/30/15    100.000     0.000    0.3103              0.008633   0.008646   0.008660   0.008673  0.008687      3.11     3.12
BNP Paribas              05567LYH4 03/31/09 03/31/14    100.000     0.000    2.9595              0.085913   0.087185   0.088475   0.089784  0.091113     31.39    32.33
BNP Paribas              05567LYQ4 04/30/09 04/30/15    100.000     0.000    2.9447              0.085466   0.086724   0.088001   0.089297  0.090611     31.15    32.07
BNP Paribas              05567LZA8 05/27/09 05/27/14    100.000     0.000    3.6129              0.105896   0.107809   0.109757   0.111739  0.113758     38.60    40.01
BNP Paribas              05567LZQ3 08/31/09 08/29/14    100.000     0.000    3.1719              0.089421   0.091339   0.091779   0.094259  0.095231     33.28    34.47
Ball Corporation         058498AM8 08/20/09 09/01/16     97.975     7.125    7.5008     3.16     0.006712   0.006963   0.007225   0.007495  0.007777      2.52     2.72
Ball Corporation         058498AN6 08/20/09 09/01/19     97.414     7.375    7.7505     2.47     0.005263   0.005467   0.005678   0.005898  0.006127      1.98     2.14
Banco Macro S.A.         05963GAA6 12/18/06 12/18/16    100.000     9.750    9.7499              0.270833   0.270833   0.270833   0.270833  0.270833     97.50    97.50
Banco Macro S.A.         05963GAB4 12/18/06 12/18/16    100.000     9.750    9.7499              0.270833   0.270833   0.270833   0.270833  0.270833     97.50    97.50
Bank of America Corp.    06048UAC8 05/28/08 05/28/14    100.000     0.000    4.8120              0.150543   0.154165   0.157874   0.161673  0.165562     55.09    57.77
Bank of America Corp.    06048UAD6 05/30/08 05/30/14    100.000     0.000    4.9682              0.156021   0.159896   0.163868   0.167939  0.172111     57.11    59.98
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048UAE4 05/30/08 05/30/14    100.000     0.000    4.8414              0.151570   0.155239   0.158997   0.162846  0.166788     55.46    58.17
Bank of America Corp.    06048UAH7 05/30/08 05/30/12    100.000     0.000    4.5482              0.141376   0.144591   0.147879                          51.68    22.03
Bank of America Corp.    06048UAK0 06/27/08 06/27/12    100.000     0.000    4.9877              0.156708   0.160616   0.164621                          57.15    28.97
Bank of America Corp.    06048UAL8 06/27/08 06/27/11    100.000     0.000    4.7827              0.149519                                                26.32         
Bank of America Corp.    06048UAN4 06/27/08 06/28/13    100.000     0.000    5.1535              0.162597   0.166787   0.171084   0.175493  0.180015     59.31    62.41
Bank of America Corp.    06048UAP9 06/27/08 06/28/13    100.000     0.000    5.1535              0.162597   0.166787   0.171084   0.175493  0.180015     59.31    62.41
Bank of America Corp.    06048UAW4 07/25/08 07/25/11    100.000     0.000    4.5484              0.138237   0.141380                                     28.77         
Bank of America Corp.    06048UAX2 07/25/08 07/25/13    100.000     0.000    5.2510              0.161796   0.166044   0.170404   0.174878  0.179470     60.35    63.56
Bank of America Corp.    06048UAY0 07/25/08 07/25/12    100.000     0.000    5.0268              0.154211   0.158087   0.162061   0.166134               57.44    33.79
Bank of America Corp.    06048UBB9 08/29/08 08/29/13    100.000     0.000    5.2705              0.159795   0.164907   0.167413   0.173713  0.177317     60.21    63.66
Bank of America Corp.    06048UBC7 08/29/08 08/30/13    100.000     0.000    5.2706              0.160698   0.164032   0.168354   0.172791  0.178319     60.21    63.67
Bank of America Corp.    06048UBF0 07/29/08 07/29/13    100.000     0.000    5.3290              0.164448   0.168830   0.173328   0.177946  0.182688     61.34    64.65
Bank of America Corp.    06048UBJ2 08/28/08 08/28/12    100.000     0.000    4.9000              0.149951   0.153625   0.157389   0.161245               55.56    38.00
Bank of America Corp.    06048UBP8 09/26/08 09/27/13    100.000     0.000    5.6306              0.174805   0.179727   0.184787   0.189989  0.195338     64.75    68.45
Bank of America Corp.    06048UBQ6 09/26/08 09/27/13    100.000     0.000    5.6306              0.174805   0.179727   0.184787   0.189989  0.195338     64.75    68.45
Bank of America Corp.    06048UBR4 09/26/08 09/27/13    100.000     0.000    5.5918              0.173470   0.178320   0.183306   0.188431  0.193699     64.25    67.89
Bank of America Corp.    06048UBV5 10/21/08 10/21/13    100.000     0.000    5.5528              0.172104   0.176882   0.181793   0.186840  0.192028     63.50    67.07
Bank of America Corp.    06048UBW3 10/30/08 10/30/13    100.000     0.000    5.1828              0.159483   0.163615   0.167855   0.172205  0.176668     58.67    61.75
Bank of America Corp.    06048UCC6 10/31/08 10/31/13    100.000     0.000    5.3679              0.165776   0.170225   0.174794   0.179485  0.184303     61.03    64.35
Bank of America Corp.    06048UCD4 10/22/08 10/22/13    100.000     0.000    5.5042              0.170434   0.175124   0.179944   0.184896  0.189985     62.86    66.36
Bank of America Corp.    06048UCE2 11/28/08 11/29/13    100.000     0.000    4.6361              0.141164   0.144437   0.147785   0.151211  0.154716     51.62    54.04
Bank of America Corp.    06048UCF9 11/28/08 11/29/13    100.000     0.000    4.4602              0.135339   0.138357   0.141443   0.144597  0.147822     49.46    51.69
Bank of America Corp.    06048UCJ1 11/28/08 11/28/11    100.000     0.000    3.3422              0.099203   0.100860                                     32.74         
Bank of America Corp.    06048UCL6 12/26/08 12/26/13    100.000     0.000    3.6761              0.109832   0.111851   0.113907   0.116001  0.118133     39.92    41.40
Bank of America Corp.    06048UCM4 12/26/08 12/26/13    100.000     0.000    3.7743              0.112985   0.115118   0.117290   0.119504  0.121759     41.08    42.65
Bank of America Corp.    06048UCT9 01/30/09 01/30/15    100.000     0.000    4.1274              0.121896   0.124412   0.126979   0.129600  0.132274     45.10    46.98
Bank of America Corp.    06048UCU6 01/30/09 01/30/15    100.000     0.000    4.0392              0.119137   0.121543   0.123997   0.126502  0.129056     44.06    45.85
Bank of America Corp.    06048WAF7 08/13/09 08/13/19    100.000    VARIES    6.4099              0.169751   0.170099   0.170459   0.170829  0.171212     61.27    61.54
Bank of America Corp.    06048WAG5 09/25/09 09/25/19    100.000    VARIES    5.6410              0.149770   0.150071   0.150380   0.150698  0.151025     54.03    54.26
Bank of America Corp.    06048WAH3 09/28/09 09/27/27    100.000    VARIES    5.4085              0.150797   0.151089   0.151389   0.151697  0.152013     54.40    54.61
Bank of America Corp.    06048WAJ9 10/21/09 10/21/14    100.000     1.000    4.6199              0.133032   0.135463   0.137951   0.140495  0.143099     48.67    50.48
Bank of America Corp.    06048WAL4 11/23/09 11/23/29    100.000    VARIES    5.3008              0.141727   0.138858   0.135912   0.136104  0.136301     50.28    48.98
Bank of America Corp.    06048WAN0 01/13/10 01/13/25    100.000    VARIES    5.4890              0.148271   0.143954   0.144161   0.144372  0.144590     51.91    52.01
Bank of America Corp.    06048WAU4 02/22/10 02/22/17    100.000    VARIES    4.7710              0.132377   0.132222   0.133017   0.133831  0.134240     47.71    48.19
Bank of America Corp.    06048WAZ3 02/26/10 02/26/30    100.000    VARIES    5.3809              0.144523   0.139443   0.134227   0.128870  0.129216     49.83    46.73
Bank of America Corp.    06048WBD1 03/19/10 03/19/20    100.000    VARIES    5.5724              0.154459   0.154119   0.155061   0.156030  0.156544     55.61    56.15
Bank of America Corp.    06048WBG4 04/01/10 04/01/15    100.000     0.500    4.3270              0.122496   0.124846   0.127247   0.129699  0.132205     44.95    46.70
Bank of America Corp.    06048WBK5 04/08/10 04/08/30    100.000    VARIES    5.4991              0.147789   0.142687   0.137445   0.132059  0.132403     51.43    48.09
Bank of America Corp.    06048WBN9 04/13/10 04/13/17    100.000    VARIES    5.0917              0.142211   0.143002   0.143658   0.144330  0.144615     51.45    51.91
Bank of America Corp.    06048WBP4 04/28/10 04/28/15    100.000     0.500    4.1699              0.117959   0.120129   0.122344   0.124605  0.126914     43.13    44.74
Bank of America Corp.    06048WBQ2 05/03/10 05/03/17    100.000     5.020    5.0199              0.139444   0.139444   0.139444   0.139444  0.139444     50.20    50.20
Bank of America Corp.    06048WBS8 05/13/10 05/13/30    100.000    VARIES    5.1306              0.136910   0.131159   0.125260   0.119210  0.119611     47.69    43.73
Bank of America Corp.    06048WBT6 05/03/10 05/03/17    100.000    VARIES    4.8505              0.135311   0.135898   0.136364   0.136842  0.137050     48.88    49.22
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WBY5 06/07/10 06/07/22    100.000    VARIES    4.6906              0.126838   0.123298   0.123544   0.123797  0.124055     44.95    44.53
Bank of America Corp.    06048WCB4 05/28/10 05/28/30    100.000    VARIES    5.5513              0.148462   0.142559   0.136493   0.130258  0.130654     51.99    47.82
Bank of America Corp.    06048WCC2 05/28/10 05/28/20    100.000    VARIES    5.2405              0.145019   0.144452   0.145501   0.146577  0.147034     52.12    52.62
Bank of America Corp.    06048WCJ7 06/24/10 06/24/30    100.000    VARIES    5.5091              0.145771   0.138309   0.138533   0.138764  0.139001     51.08    49.92
Bank of America Corp.    06048WCL2 07/01/10 07/01/22    100.000    VARIES    5.4618              0.148275   0.144739   0.144974   0.145216               52.74    52.23
Bank of America Corp.    06048WCQ1 06/29/10 06/29/20    100.000    VARIES    5.5309              0.153278   0.152908   0.153936   0.154993  0.155430     55.11    55.61
Bank of America Corp.    06048WCS7 07/12/10 07/12/30    100.000    VARIES    5.8002              0.161118   0.154512   0.147715   0.147913  0.148117     54.55    53.28
Bank of America Corp.    06048WCU2 06/28/10 06/28/30    100.000    VARIES    5.8695              0.158044   0.152900   0.153049   0.153202  0.153359     55.96    55.13
Bank of America Corp.    06048WCY4 08/12/10 08/12/30    100.000    VARIES    5.3993              0.149981   0.143531   0.136907   0.137109  0.137316     51.01    49.38
Bank of America Corp.    06048WDG2 08/17/10 08/17/20    100.000    VARIES    2.4229              0.008972   0.008586   0.008195   0.007800  0.007399      3.06     2.77
Bank of America Corp.    06048WDJ6 08/18/10 08/18/17    100.000    VARIES    2.2826              0.007851   0.007354   0.006851   0.006929  0.007008      2.60     2.50
Bank of America Corp.    06048WDK3 08/25/10 08/25/20    100.000    VARIES    2.3834              0.009263   0.008870   0.008473   0.008071  0.007664      3.16     2.88
Bank of America Corp.    06048WDM9 09/03/10 09/03/20    100.000    VARIES    2.5928              0.014654   0.013944   0.013225   0.013225  0.012496      5.24     4.72
Bank of America Corp.    06048WDQ0 10/01/10 10/01/20    100.000     5.052    5.0519              0.140333   0.140333   0.140333   0.140333  0.140333     50.52    50.52
Bank of America Corp.    06048WDS6 09/08/10 09/08/15    100.000    VARIES    1.8483              0.008564   0.008451   0.008336   0.008221  0.008104      3.04     2.95
Bank of America Corp.    06048WDT4 09/23/10 09/23/30    100.000    VARIES    5.3198              0.147774   0.142100   0.136274   0.136453  0.136636     51.05    49.13
Bank of America Corp.    06048WDU1 09/08/10 09/08/20    100.000    VARIES    2.4733              0.016204   0.015494   0.014776   0.014048  0.013311      5.54     5.02
Bank of America Corp.    06048WDW7 09/28/10 09/28/20    100.000    VARIES    2.6604              0.016957   0.016496   0.016028   0.015554  0.015073      5.94     5.60
Bank of America Corp.    06048WDZ0 09/28/10 09/28/20    100.000    VARIES    2.4632              0.011756   0.010601   0.009431   0.009547  0.009665      3.81     3.44
Bank of America Corp.    06048WEB2 09/28/10 09/28/20    100.000    VARIES    2.6493              0.016927   0.016139   0.015341   0.014533  0.013713      5.81     5.23
Bank of America Corp.    06048WEC0 09/28/10 09/28/15    100.000    VARIES    1.9786              0.013575   0.013063   0.012547   0.012671  0.012796      4.70     4.56
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES    5.2016              0.144472   0.141005   0.137448   0.133798  0.130053     50.85    48.26
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES    5.6998              0.158330   0.154926   0.151424   0.147823  0.144120     56.10    53.56
Bank of America Corp.    06048WEL0 11/18/10 11/18/20    100.000    VARIES    2.5529              0.015081   0.014685   0.014284   0.013877  0.013466      5.32     5.03
Bank of America Corp.    06048WEP1 11/19/10 11/19/20    100.000    VARIES    2.4291              0.021366   0.020445   0.019512   0.018569  0.017613      7.45     6.77
Bank of America Corp.    06048WEQ9 11/30/10 11/30/20    100.000    VARIES    1.9846              0.010685   0.010300   0.009912   0.009520  0.009124      3.75     3.47
Bank of America Corp.    06048WER7 12/03/10 12/03/15    100.000    VARIES    1.8507              0.008355   0.008060   0.007762   0.007833  0.007906      2.94     2.81
Bank of America Corp.    06048WES5 12/01/10 12/01/20    100.000    VARIES    2.5893              0.011370   0.011067   0.010761   0.010451  0.010136      4.02     3.80
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES    5.9911              0.166420   0.162253   0.157960   0.153538  0.148985     59.03    55.93
Bank of America Corp.    06048WEX4 12/10/10 12/10/20    100.000    VARIES    2.5961              0.011281   0.010981   0.010676   0.010367  0.010055      3.99     3.77
Bank of America Corp.    06048WEY2 01/13/11 01/13/31    100.000    VARIES    5.1716                         0.143658   0.139472   0.135177  0.135311     49.29    48.74
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES    5.4019                         0.150054   0.149605   0.149144  0.149184     51.99    53.70
Bank of America Corp.    06048WFC9 01/31/11 01/31/17    100.000     0.000    4.4000                         0.122223   0.124912   0.127660  0.130469     40.86    46.30
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES    5.5089                         0.153025   0.152649   0.152263  0.152297     47.85    54.84
Bank of America Corp.    06048WFG0 02/24/11 02/24/31    100.000    VARIES    5.9293                         0.164703   0.161351   0.157899  0.157998     50.14    57.04
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES    5.6398                         0.156664   0.152465   0.148148  0.148276     46.04    53.62
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES    5.2649                         0.146249   0.145711   0.145160  0.145208     44.68    52.29
Bank of America Corp.    06048WFL9 02/17/11 02/17/21    100.000     5.250    5.2499                         0.145833   0.145833   0.145833  0.145833     45.79    52.50
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES    5.0284                         0.139679   0.140397   0.141134  0.141888     40.59    50.84
Bank of America Corp.    06048WFR6 03/30/11 03/30/21    100.000    VARIES    4.5800                         0.127225   0.123777   0.120251  0.120568     34.16    43.63
Bank of America Corp.    06048WFS4 04/08/11 04/08/26    100.000    VARIES    5.2991                         0.147198   0.147418   0.147644  0.147876     38.73    53.15
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES    5.2101                         0.144728   0.145061   0.145402  0.145753     39.25    52.35
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES    N/A                            0.010636   0.010197   0.009753  0.009304      2.85     3.51
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES    5.3401                         0.148336   0.148589   0.148848  0.149113     38.44    53.58
Bank of America Corp.    06048WFX3 04/12/11 04/12/21    100.000    VARIES    4.8603                         0.135009   0.132215   0.129352  0.129606     34.75    46.88
Bank of America Corp.    06048WFY1 04/12/11 04/12/31    100.000    VARIES    5.7107                         0.158631   0.152849   0.146903  0.147077     40.63    53.50
Bank of America Corp.    06048WFZ8 04/12/11 04/12/26    100.000    VARIES    5.4304                         0.150847   0.147777   0.144625  0.144776     38.83    52.40
Bank of America Corp.    06048WGC8 05/27/11 05/27/31    100.000    VARIES    5.1374                         0.142708   0.137811   0.132789  0.132946     30.37    48.54
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES    2.2369                         0.062136   0.061590   0.061037  0.060478     12.23    22.05
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES    4.8973                         0.136039   0.135969   0.135897  0.135824     26.53    48.93
Bank of America Corp.    06048WGG9 06/27/11 06/27/31    100.000    VARIES    5.5241                         0.153449   0.148481   0.143375  0.143528     28.21    52.51
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES    5.1061                                    0.141838   0.141913  0.141990     24.68    51.10
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES    2.3482                         0.016739   0.016038   0.015329  0.014612      3.06     5.64
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31    100.000    VARIES    5.5581                                    0.154394   0.149421  0.144310     25.78    53.00
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES    5.1475                                    0.142987   0.142735  0.142476     23.88    51.34
Bank of America Corp.    06048WGS3 07/14/11 07/14/31    100.000    VARIES    5.5558                                    0.154330   0.153215  0.152070     25.77    54.98
Bank of America Corp.    06048WGU8 07/14/11 07/14/26    100.000    VARIES    5.3899                                    0.149722   0.146271  0.142727     25.00    52.11
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31    100.000    VARIES    5.2773                                    0.146592   0.141664  0.136607     19.94    50.53
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES    4.7456                                    0.131824   0.131657  0.131485     17.93    47.38
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES    5.0293                                    0.139704   0.134485  0.129136     17.46    48.03
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES    5.3141                                    0.147616   0.141943  0.136119     13.43    51.07
Bank of America Corp.    06048WHT0 10/13/11 10/13/31    100.000    VARIES    4.6986                                    0.130519   0.125102  0.119557     10.18    45.16
Bank of America Corp.    06048WJA9 11/04/11 11/04/31    100.000    VARIES    5.9879                                    0.166333   0.161333  0.156183      9.48    58.40
Bank of America Corp.    06048WJB7 11/02/11 11/02/15    100.000    VARIES    5.3627                                    0.148964   0.149235  0.149512      8.79    53.71
Bank of America Corp.    06048WJH4 11/21/11 11/21/31    100.000    VARIES    5.0461                                    0.140171   0.135297  0.130301      5.61    49.19
Bank of America Corp.    06048WJL5 11/08/11 11/08/13    100.000    VARIES    3.1041                                    0.011783   0.011966  0.011906       .63     4.28
Bank of America Corp.    06050MEK9 01/27/05 01/28/11    100.000     0.000    4.3233              0.151962                                                 4.10         
Bank of America Corp.    06050MEL7 01/28/05 01/28/11    100.000     1.000    4.3662              0.146358                                                 3.95         
Bank of America Corp.    06050MEZ6 07/29/05 07/29/11    100.000     1.500    4.5615              0.148222   0.150653                                     31.27         
Bank of America Corp.    06050MFK8 12/28/05 12/28/11    100.000     1.500    5.0510              0.168251   0.171448                                     60.64         
Bank of America Corp.    06050MFL6 03/24/06 03/25/11    100.000     0.000    5.1630              0.180423                                                15.16         
Bank of America Corp.    06050MFP7 04/28/06 04/28/11    100.000     1.750    5.5388              0.183189                                                21.43         
Bank of America Corp.    06050MFV4 06/27/06 06/27/11    100.000     0.000    5.6598              0.202106                                                35.57         
Bank of America Corp.    06050MFW2 07/28/06 01/28/11    100.000     0.000    5.5354              0.191296                                                 5.16         
Bank of America Corp.    06050MGB7 09/29/06 10/03/11    100.000     0.000    4.9679              0.168020   0.172194                                     46.45         
Bank of America Corp.    06050MGD3 09/18/06 09/19/11    100.000     0.000    5.1632              0.175889   0.180430                                     46.20         
Bank of America Corp.    06050MGF8 10/27/06 10/27/11    100.000     0.000    5.2609              0.179874   0.184605                                     54.09         
Bank of America Corp.    06050MGM3 12/22/06 12/27/11    100.000     0.000    4.9879              0.168853   0.173064                                     60.87         
Bank of America Corp.    06050MGN1 12/29/06 12/29/11    100.000     0.000    4.9680              0.167931   0.172103                                     60.87         
Bank of America Corp.    06050MGP6 02/23/07 02/23/12    100.000     0.000    5.2024              0.172969   0.177469   0.182085                          64.25     9.47
Bank of America Corp.    06050MGQ4 01/26/07 01/27/12    100.000     0.000    5.1926              0.172611   0.177093   0.181691                          64.34     4.72
Bank of America Corp.    06050MGU5 02/23/07 11/23/11    100.000     0.000    5.1129              0.171642   0.176030                                     56.06         
Bank of America Corp.    06050MGV3 02/23/07 02/24/12    100.000     0.000    5.1048              0.169186   0.173505   0.177933                          62.80     9.43
Bank of America Corp.    06050MGZ4 03/29/07 03/29/12    100.000     2.000    5.0300              0.155707   0.158226   0.160808                          56.98    14.15
Bank of America Corp.    06050MHB6 03/30/07 03/30/12    100.000     0.000    4.9829              0.164436   0.168533   0.172732                          60.69    15.37
Bank of America Corp.    06050MHD2 04/27/07 04/30/12    100.000     0.000    4.9782              0.164325   0.168415   0.172607                          60.40    20.54
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06050MHF7 05/25/07 02/27/12    100.000     0.000    5.2687              0.173368   0.177936   0.182623                          64.38    10.23
Bank of America Corp.    06050MHL4 06/29/07 06/29/12    100.000     2.650    5.5699              0.171916   0.174654   0.177468                          62.39    31.59
Bank of America Corp.    06050MHP5 07/27/07 07/28/11    100.000     0.000    5.3581              0.174449   0.179122                                     36.95         
Bank of America Corp.    06050MHT7 08/30/07 09/01/11    100.000     0.000    5.1144              0.165332   0.169560                                     40.44         
Bank of America Corp.    06050MHU4 08/31/07 09/02/11    100.000     0.000    5.0622              0.163418   0.167554                                     40.13         
Bank of America Corp.    06050MHV2 09/28/07 03/28/13    100.000     0.000    5.2121              0.168948   0.173351   0.177868   0.182504  0.187260     62.44    65.74
Bank of America Corp.    06050MHY6 11/30/07 11/30/12    100.000     1.250    4.9200              0.152673   0.155574   0.158548   0.161594               55.67    52.71
Bank of America Corp.    06050MJB4 11/29/07 12/01/11    100.000     0.000    4.6068              0.146740   0.150120                                     49.03         
Bank of America Corp.    06050MJE8 12/26/07 12/27/12    100.000     0.000    4.8121              0.154186   0.157896   0.161695   0.165585               56.20    58.26
Bank of America Corp.    06050MJF5 12/27/07 12/27/11    100.000     0.000    4.5091              0.143183   0.146411                                     51.55         
Bank of America Corp.    06050MJJ7 12/28/07 12/28/12    100.000     0.000    4.8609              0.155954   0.159744   0.163627   0.167604               56.85    59.13
Bank of America Corp.    06050MJN8 02/29/08 02/28/13    100.000     0.000    4.2547              0.130578   0.131182   0.135445   0.136823  0.142049     48.37    50.64
Bank of America Corp.    06050MJP3 02/29/08 03/04/13    100.000     0.000    4.1447              0.126919   0.127437   0.131508   0.132774  0.137772     46.97    49.11
Bank of America Corp.    06050MJR9 02/29/08 02/28/13    100.000     0.000    4.3135              0.132575   0.133226   0.137595   0.139035  0.144388     49.13    51.46
Bank of America Corp.    06050MJS7 02/28/08 08/28/13    100.000     0.000    4.4798              0.139017   0.142131   0.145315   0.148570  0.151898     51.38    53.71
Bank of America Corp.    06050MJU2 03/28/08 03/28/14    100.000     0.000    4.2156              0.129973   0.132712   0.135509   0.138366  0.141282     47.80    49.83
Bank of America Corp.    06050MJV0 03/28/08 03/28/11    100.000     0.000    3.0663              0.091910                                                 8.00         
Bank of America Corp.    06050MJX6 03/28/08 03/28/14    100.000     0.000    4.1175              0.126645   0.129253   0.131914   0.134630  0.137401     46.55    48.49
Bank of America Corp.    06050MJY4 03/28/08 03/28/14    100.000     0.000    4.1175              0.126645   0.129253   0.131914   0.134630  0.137401     46.55    48.49
Bank of America Corp.    06050MKB2 04/25/08 04/25/14    100.000     0.000    4.4504              0.138005   0.141076   0.144215   0.147425  0.150705     50.64    52.92
Bank of America Corp.    06050MKC0 04/25/08 04/25/14    100.000     0.000    4.4113              0.136660   0.139674   0.142755   0.145904  0.149122     50.14    52.38
Bank of America Corp.    06050MKF3 04/25/08 04/25/13    100.000     0.000    4.1763              0.128640   0.131327   0.134069   0.136868  0.139727     47.15    49.14
Bank of America Corp.    06050R122 04/01/11 03/29/16    100.000     0.000    3.4400                         0.095556   0.097181   0.098853  0.100553     25.95    35.60
Bank of America Corp.    06050R155 04/01/11 04/01/14    100.000     0.000    2.2100                         0.061390   0.062068   0.062754  0.063448     16.64    22.59
Bank of America Corp.    06050R197 04/01/11 03/29/16    100.000     0.000    3.4499                         0.095833   0.097467   0.099149  0.100859     26.03    35.70
Bank of America Corp.    06050R205 04/01/11 04/04/17    100.000     3.958    3.9579              0.109944   0.109944   0.109944   0.109944  0.109944     29.68    39.58
Bank of America Corp.    06050R296 05/05/11 04/29/16    100.000     0.000    3.4948                         0.097078   0.098718   0.100443  0.102198     23.01    36.06
Bank of America Corp.    06050R403 05/05/11 05/05/17    100.000     3.979    3.9789                         0.110528   0.110528   0.110528  0.110528     26.08    39.79
Bank of America Corp.    06050R429 05/05/11 04/29/14    100.000     0.000    2.0863                         0.057955   0.058539   0.059150  0.059767     13.71    21.26
Bank of America Corp.    06050R544 06/03/11 05/27/16    100.000     0.000    3.0781                         0.085505   0.086777   0.088113  0.089469     17.83    31.57
Bank of America Corp.    06050R585 06/03/11 06/01/16    100.000     0.000    3.1878                         0.088551   0.089947   0.091380  0.092837     18.46    32.73
Bank of America Corp.    06050R619 05/16/11 05/16/14    100.000     0.000    1.8675                         0.051876   0.052360   0.052849  0.053342     11.69    18.98
Bank of America Corp.    06050R627 06/03/11 06/03/14    100.000     0.000    1.7681                         0.049115   0.049549   0.049987  0.050429     10.23    17.94
Bank of America Corp.    06050R718 07/06/11 06/24/16    100.000     0.000    3.3893                         0.094149   0.095638   0.097259  0.098907     16.49    34.74
Bank of America Corp.    06050R783 07/01/11 06/30/17    100.000     3.855    3.8549                         0.104755   0.105907   0.104755  0.106492     19.28    38.55
Bank of America Corp.    06050R833 07/06/11 06/28/16    100.000     0.000    3.4408                         0.095579   0.097150   0.098822  0.100522     16.73    35.29
Bank of America Corp.    06051N112 07/01/11 06/30/17    100.000     0.000    3.8314                         0.104117   0.107267   0.108133  0.112031     19.16    39.42
Bank of America Corp.    06051N153 08/04/11 07/28/17    100.000     0.000    3.7886                                    0.105241   0.107168  0.109198     15.47    38.84
Bank of America Corp.    06051N179 08/04/11 08/01/16    100.000     0.000    3.3768                                    0.093802   0.095359  0.096969     13.79    34.52
Bank of America Corp.    06051N211 08/04/11 07/25/14    100.000     0.000    2.2505                                    0.062516   0.063184  0.063895      9.19    22.84
Bank of America Corp.    06051N286 07/14/11 07/14/15    100.000     3.046    3.0459                                    0.084611   0.084611  0.084611     14.13    30.46
Bank of America Corp.    06051N336 09/16/11 08/29/14    100.000     0.000    3.2883                                    0.089357   0.091679  0.092677      9.56    33.54
Bank of America Corp.    06051N351 09/16/11 09/16/15    100.000     3.922    3.9219                                    0.108944   0.108944  0.108944     11.44    39.22
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06051N427 09/16/11 09/29/17    100.000     0.000    4.4513                         0.123649   0.123847   0.126604  0.129422     13.00    45.59
Bank of America Corp.    06051N443 09/16/11 09/01/16    100.000     0.000    4.1772                                    0.116034   0.118256  0.120726     12.18    42.74
Bank of America Corp.    06051N468 10/06/11 09/30/14    100.000     0.000    4.9274                                    0.134629   0.137837  0.142009     11.71    50.55
Bank of America Corp.    06051N518 10/06/11 09/29/17    100.000     0.000    5.1703                                    0.143621   0.147189  0.150994     12.21    53.02
Bank of America Corp.    06051N609 11/03/11 10/29/13    100.000     0.000    3.8828                                    0.107856   0.109903  0.112037      6.26    39.46
Bank of America Corp.    06051N658 11/03/11 10/27/17    100.000     0.000    4.7610                                    0.132252   0.135295  0.138516      7.67    48.56
Bank of America Corp.    06051N732 11/03/11 10/31/14    100.000     0.000    4.0380                                    0.112167   0.114394  0.116703      6.51    41.06
Bank of America Corp.    06051N740 11/03/11 10/29/13    100.000     0.000    3.8828                                    0.107856   0.109903  0.112037      6.26    39.46
Bank of America Corp.    06051N815 11/30/11 11/29/13    100.000     0.000    4.4100                                    0.122501   0.125187  0.127947      3.80    44.76
Bank of America Corp.    06051N880 11/30/11 12/02/15    100.000     0.000    5.5599                         0.154444   0.154492   0.158787  0.163201      4.79    56.64
Bank of America Corp.    06051P117 11/30/11 11/29/13    100.000     0.000    4.9589                                    0.137748   0.141144  0.144644      4.27    50.42
Bank of America Corp.    06052E111 09/03/09 08/29/14    100.000     0.000    5.0623              0.145310   0.149806   0.151929   0.157486  0.160590     54.68    57.70
Bank of America Corp.    06052E145 09/08/09 08/30/11    100.000     0.000    3.0935              0.087570   0.088439                                     21.26         
Bank of America Corp.    06052E202 09/10/09 09/09/11    100.000     0.000    2.9599              0.084665   0.085918                                     21.22         
Bank of America Corp.    06052E277 10/06/09 09/27/13    100.000     0.000    4.5996              0.133563   0.136635   0.139777   0.142992  0.146281     49.22    51.51
Bank of America Corp.    06052E285 10/01/09 10/01/13    100.000     0.000    4.5899              0.133417   0.136478   0.139611   0.142815  0.146092     49.14    51.42
Bank of America Corp.    06052E293 10/06/09 09/27/11    100.000     0.000    2.7495              0.078439   0.079517                                     21.06         
Bank of America Corp.    06052E376 11/05/09 11/01/11    100.000     0.000    2.4099              0.068548   0.069374                                     20.71         
Bank of America Corp.    06052E467 11/05/09 11/04/14    100.000     0.000    4.6099              0.134009   0.137098   0.140258   0.143491  0.146799     49.16    51.45
Bank of America Corp.    06052E475 11/04/09 10/31/14    100.000     0.000    4.6625              0.135555   0.138715   0.141949   0.145258  0.148645     49.76    52.11
Bank of America Corp.    06052E483 11/05/09 11/01/11    100.000     0.000    2.4099              0.068548   0.069374                                     20.71         
Bank of America Corp.    06052E517 12/02/09 12/02/14    100.000     0.000    4.1500              0.120113   0.122605   0.125149   0.127746  0.130397     43.84    45.67
Bank of America Corp.    06052E525 02/04/10 01/30/15    100.000     0.000    4.0898              0.115879   0.118249   0.120667   0.123134  0.125652     42.87    44.64
Bank of America Corp.    06052E566 12/02/09 12/02/14    100.000     0.000    4.1500              0.120113   0.122605   0.125149   0.127746  0.130397     43.84    45.67
Bank of America Corp.    06052E574 12/02/09 12/02/14    100.000     0.000    4.1500              0.120113   0.122605   0.125149   0.127746  0.130397     43.84    45.67
Bank of America Corp.    06052E590 12/02/09 11/30/11    100.000     0.000    1.9800              0.055472   0.055715                                     18.52         
Bank of America Corp.    06052E608 12/11/09 12/09/11    100.000     0.000    2.1798              0.061871   0.062546                                     21.03         
Bank of America Corp.    06052E707 12/30/09 01/14/15    100.000     0.000    4.5896              0.130649   0.133647   0.136714   0.139851  0.143061     48.59    50.84
Bank of America Corp.    06052E848 02/04/10 02/03/15    100.000     0.000    4.0998              0.116208   0.118590   0.121021   0.123502  0.126033     42.98    44.76
Bank of America Corp.    06052E889 02/04/10 01/31/12    100.000     0.000    1.8526              0.050799   0.052119   0.051744                          18.93     1.55
Bank of America Corp.    06052H130 02/04/10 02/16/12    100.000     0.000    1.8998              0.053309   0.053816   0.054327                          19.42     2.44
Bank of America Corp.    06052H148 03/04/10 02/27/15    100.000     0.000    3.8898              0.110072   0.112213   0.114395   0.116620  0.118888     40.55    42.14
Bank of America Corp.    06052H262 03/04/10 02/29/12    100.000     0.000    1.7672              0.049242   0.048868   0.049841                          17.98     2.94
Bank of America Corp.    06052H353 04/06/10 03/27/15    100.000     0.000    4.2597              0.120722   0.123293   0.125919   0.128601  0.131340     44.41    46.32
Bank of America Corp.    06052H411 04/06/10 03/31/15    100.000     0.000    4.3022              0.121993   0.124617   0.127298   0.130036  0.132834     44.87    46.82
Bank of America Corp.    06052H486 04/05/10 03/30/12    100.000     0.000    1.9301              0.054119   0.054641   0.055169                          19.67     4.91
Bank of America Corp.    06052H551 05/06/10 04/28/15    100.000     0.000    4.0498              0.114673   0.116995   0.119364   0.121781  0.124247     42.00    43.71
Bank of America Corp.    06052H585 05/07/10 05/01/12    100.000     0.000    1.8799              0.052695   0.053190   0.053690                          19.12     6.44
Bank of America Corp.    06052H635 05/06/10 04/24/15    100.000     0.000    4.0496              0.114617   0.116938   0.119306   0.121722  0.124186     41.99    43.71
Bank of America Corp.    06052H676 05/06/10 04/24/15    100.000     0.000    4.1197              0.116638   0.119041   0.121493   0.123995  0.126550     42.75    44.53
Bank of America Corp.    06052H759 06/04/10 06/02/15    100.000     0.000    4.2100              0.119379   0.121892   0.124458   0.127078  0.129753     43.58    45.43
Bank of America Corp.    06052H783 06/04/10 05/30/12    100.000     0.000    1.7400              0.048747   0.049171   0.049599                          17.65     7.39
Bank of America Corp.    06052H809 05/12/10 05/30/12    100.000     0.000    1.7700              0.049646   0.050086   0.050529                          17.98     7.53
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06052H825 06/04/10 05/29/15    100.000     0.000    4.1399              0.117312   0.119741   0.122219   0.124749  0.127331     42.83    44.62
Bank of America Corp.    06052H874 05/11/10 05/10/13    100.000     0.000    2.6499              0.074579   0.075568   0.076569   0.077583  0.078611     27.13    27.85
Bank of America Corp.    06052K174 07/02/10 06/26/15    100.000     0.000    4.2398              0.120188   0.122735   0.125337   0.127994  0.130708     43.75    45.63
Bank of America Corp.    06052K182 07/02/10 06/29/12    100.000     0.000    1.7498              0.049026   0.049455   0.049888                          17.73     8.88
Bank of America Corp.    06052K216 06/30/10 07/02/13    100.000     0.000    2.6998              0.075006   0.076019   0.077045   0.078085  0.079139     27.55    28.30
Bank of America Corp.    06052K240 07/02/10 06/30/15    100.000     0.000    4.2198              0.119004   0.119534   0.123397   0.124631  0.129370     43.54    45.40
Bank of America Corp.    06052K257 07/02/10 06/30/15    100.000     0.000    4.2375              0.120189   0.122736   0.125336   0.127992  0.130704     43.73    45.60
Bank of America Corp.    06052K307 06/10/10 06/27/14    100.000     0.000    3.6995              0.104850   0.106790   0.108765   0.110777  0.112826     38.11    39.53
Bank of America Corp.    06052K406 08/05/10 07/27/12    100.000     0.000    1.6601              0.046115   0.046480   0.046866   0.047255               16.78     9.72
Bank of America Corp.    06052K448 08/09/10 07/31/15    100.000     0.000    3.8416              0.104393   0.108062   0.108342   0.111636  0.112544     39.38    40.90
Bank of America Corp.    06052K463 08/05/10 08/03/15    100.000     0.000    3.8498              0.106941   0.108977   0.111075   0.113213  0.115392     39.48    41.01
Bank of America Corp.    06052K513 09/02/10 09/01/15    100.000     0.000    3.5799              0.099443   0.101214   0.103025   0.104869  0.106747     36.55    37.87
Bank of America Corp.    06052K539 09/02/10 08/31/12    100.000     0.000    1.6721              0.046192   0.045814   0.046705   0.046584               16.85    11.33
Bank of America Corp.    06052K612 08/17/10 08/19/15    100.000     0.000    3.6100              0.100298   0.102109   0.103952   0.105828  0.107738     36.92    38.26
Bank of America Corp.    06052K679 10/01/10 10/01/15    100.000     0.000    3.5499              0.098611   0.100361   0.102143   0.103956  0.105801     36.13    37.43
Bank of America Corp.    06052K703 10/01/10 09/30/16    100.000     4.040    4.0399              0.110989   0.110383   0.110383   0.110383  0.110989     40.34    40.46
Bank of America Corp.    06052K745 10/01/10 10/01/12    100.000     0.000    1.4599              0.040554   0.040850   0.041148   0.041448               14.71    11.16
Bank of America Corp.    06052K760 10/04/10 09/30/20    100.000    VARIES    4.7910              0.131623   0.130129   0.129320   0.129391  0.130176     47.55    47.42
Bank of America Corp.    06052K836 10/14/10 10/30/15    100.000     0.000    3.1997              0.089009   0.090433   0.091880   0.093350  0.094844     32.47    33.52
Bank of America Corp.    06052R120 11/04/10 11/04/16    100.000     3.694    3.6939              0.102611   0.102611   0.102611   0.102611  0.102611     36.94    36.94
Bank of America Corp.    06052R179 10/13/10 10/30/15    100.000     0.000    3.3096              0.092080   0.093604   0.095153   0.096727  0.098328     33.61    34.73
Bank of America Corp.    06052R187 11/04/10 10/29/12    100.000     0.000    1.2001              0.033337   0.033532   0.033733   0.033935               12.06    10.09
Bank of America Corp.    06052R229 12/01/10 11/27/15    100.000     0.000    3.5799              0.099443   0.101184   0.102995   0.104839  0.106715     36.23    37.54
Bank of America Corp.    06052R278 12/01/10 12/01/16    100.000     4.030    4.0299              0.111944   0.111944   0.111944   0.111944  0.111944     40.30    40.30
Bank of America Corp.    06052R294 12/01/10 12/01/15    100.000     0.000    3.5800              0.099445   0.101225   0.103037   0.104881  0.106759     36.23    37.54
Bank of America Corp.    06052R427 12/30/10 12/28/15    100.000     0.000    4.0699              0.113054   0.115329   0.117676   0.120071  0.122514     41.12    42.81
Bank of America Corp.    06052R476 12/16/10 12/16/22    100.000     5.612    5.6119              0.155889   0.155889   0.155889   0.155889  0.155889     56.12    56.12
Bank of America Corp.    06052R500 01/18/11 01/29/16    100.000     0.000    3.9297              0.109159   0.109290   0.111437   0.113627  0.115860     37.81    41.18
Bank of America Corp.    06052R518 02/04/11 02/04/14    100.000     0.000    2.5900                         0.071945   0.072877   0.073820  0.074776     23.66    26.68
Bank of America Corp.    06052R575 02/04/11 02/02/16    100.000     0.000    3.9799                         0.110553   0.112728   0.114972  0.117259     36.47    41.66
Bank of America Corp.    06052R625 01/18/11 01/18/23    100.000     5.240    5.2399                         0.145556   0.145556   0.145556  0.145556     49.93    52.40
Bank of America Corp.    06052R633 02/04/11 02/02/16    100.000     0.000    3.7599                         0.104444   0.106385   0.108385  0.110423     34.44    39.26
Bank of America Corp.    06052R658 01/31/11 01/31/23    100.000     5.390    5.3899                         0.149722   0.149722   0.149722  0.149722     49.56    53.90
Bank of America Corp.    06052R666 02/03/11 02/02/18    100.000     0.000    4.4999                         0.124998   0.127795   0.130670  0.133610     41.42    47.39
Bank of America Corp.    06052R757 03/04/11 02/26/16    100.000     0.000    3.7898                         0.105275   0.107181   0.109212  0.111281     31.50    39.46
Bank of America Corp.    06052R773 03/04/11 03/04/14    100.000     0.000    2.4898                         0.069163   0.070024   0.070896  0.071779     20.64    25.57
Bank of America Corp.    06052R781 02/17/11 02/17/23    100.000     5.630    5.6299                         0.156389   0.156389   0.156389  0.156389     49.11    56.30
Bank of America Corp.    06052R807 02/17/11 02/17/16    100.000     4.091    4.0909                         0.113639   0.113639   0.113639  0.113639     35.68    40.91
Bank of America Corp.    06052R872 03/04/11 03/04/16    100.000     3.673    3.6729                         0.102028   0.102028   0.102028  0.102028     30.30    36.73
Bank of America Corp.    060900164 03/05/09 09/05/12    100.000     0.000    4.2742              0.126506   0.129209   0.131971   0.134791               46.66    32.71
Bank of America Corp.    060900198 02/27/09 03/04/14    100.000     0.000    4.4307              0.131551   0.134465   0.137444   0.140489  0.143601     48.57    50.75
Bank of America Corp.    060900206 02/27/09 02/28/14    100.000     0.000    4.6656              0.138134   0.139052   0.143860   0.145615  0.151482     51.29    53.91
Bank of America Corp.    060900248 03/05/09 03/06/12    100.000     0.000    4.1175              0.121600   0.124104   0.126659                          44.81     8.23
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    060900297 03/27/09 03/28/14    100.000     0.000    4.2742              0.126521   0.129225   0.131987   0.134807  0.137688     46.54    48.55
Bank of America Corp.    060900321 03/27/09 03/28/14    100.000     0.000    4.2350              0.125289   0.127942   0.130651   0.133418  0.136243     46.08    48.05
Bank of America Corp.    060900412 04/24/09 04/25/14    100.000     0.000    5.3679              0.161465   0.165798   0.170248   0.174818  0.179510     59.49    62.72
Bank of America Corp.    060900479 05/29/09 05/31/13    100.000     0.000    5.3386              0.158774   0.162121   0.166449   0.170892  0.176417     58.81    62.05
Bank of America Corp.    060900495 06/05/09 06/01/11    100.000     0.000    3.1942              0.093017                                                13.95         
Bank of America Corp.    060900586 06/26/09 06/28/13    100.000     0.000    5.6500              0.170681   0.175503   0.180461   0.185559  0.190801     62.34    65.91
Bank of America Corp.    060900594 06/26/09 06/28/13    100.000     0.000    5.6890              0.171957   0.176848   0.181879   0.187052  0.192373     62.81    66.44
Bank of America Corp.    060900610 06/26/09 07/06/11    100.000     0.000    3.4400              0.098967   0.100670                                     18.62         
Bank of America Corp.    060900750 07/31/09 07/26/13    100.000     0.000    5.6592              0.162489   0.169857   0.171815   0.178618  0.181676     62.12    65.69
Bank of America Corp.    060900768 07/31/09 08/02/11    100.000     0.000    3.4154              0.096025   0.099284                                     21.04         
Bank of America Corp.    060900776 07/31/09 07/30/13    100.000     0.000    5.6098              0.161090   0.168354   0.170254   0.176953  0.179939     61.53    65.03
Bank of America Corp.    060900784 07/06/09 06/29/12    100.000     0.000    4.5283              0.134409   0.137453   0.140565                          48.95    25.02
Bank of America Corp.    060900826 09/03/09 09/04/13    100.000     0.000    4.7200              0.136633   0.137577   0.142371   0.144147  0.149995     50.73    53.34
Barclays Bank PLC        067387AS9 10/30/09 10/30/14    100.000    VARIES    3.2808              0.091853   0.092364   0.092770   0.093004  0.093029     33.22    33.46
Barclays Bank PLC        067387AY6 11/30/10 02/28/13    100.000     0.000    1.3672              0.037769   0.037280   0.037947   0.037791  0.038680     13.72    13.95
Barclays Bank PLC        067387BC3 01/31/11 05/01/13    100.000     0.000    1.7399              0.048333   0.048546   0.048968   0.049394  0.049824     16.07    17.76
Barclays Bank PLC        067387BF6 02/25/11 01/02/13    100.000     0.000    1.5702                         0.043618   0.043859   0.044204  0.044551     13.39    15.98
Barclays Bank PLC        067387BJ8 03/31/11 07/01/13    100.000     0.000    1.6999              0.047221   0.047424   0.047827   0.048233               12.83    17.29
Barclays Bank PLC        06738C5K1 05/31/07 09/01/11    100.000     0.000    5.1701              0.168629   0.170168                                     41.26         
Barclays Bank PLC        06738CA33 02/28/07 08/28/12    100.000     0.000    4.9697              0.163928   0.168001   0.172176   0.176454               60.76    41.58
Barclays Bank PLC        06738CA66 02/28/07 09/04/12    100.000     0.000    5.1701              0.170855   0.172414   0.178815   0.181444               63.60    44.65
Barclays Bank PLC        06738CB24 03/28/07 09/28/12    100.000     0.000    4.9599              0.163549   0.167605   0.171762   0.176021               60.37    46.63
Barclays Bank PLC        06738CK57 03/28/07 06/28/11    100.000     0.000    5.3200              0.179952                                                31.85         
Barclays Bank PLC        06738CM30 04/27/07 10/29/12    100.000     0.000    5.0799              0.168242   0.172515   0.176897   0.181390               61.87    53.52
Barclays Bank PLC        06738CMS5 10/27/06 10/27/11    100.000     0.000    5.1100              0.173689   0.178127                                     52.21         
Barclays Bank PLC        06738CVD8 01/31/07 01/31/12    100.000     0.000    5.2399              0.174443   0.179013   0.183703                          65.02     5.33
Barclays Bank PLC        06738CVE6 01/31/07 07/31/12    100.000     0.000    5.2399              0.174441   0.179011   0.183701   0.188514               65.02    39.26
Barclays Bank PLC        06738CXS3 02/28/07 08/28/12    100.000     0.000    4.9697              0.163928   0.168001   0.172176   0.176454               60.76    41.58
Barclays Bank PLC        06738CZR3 03/01/07 03/01/11    100.000     0.000    4.9500              0.163167                                                 9.79         
Barclays Bank PLC        06738CZX0 03/09/07 03/09/17    100.000     0.000    5.5899              0.188327   0.193591   0.199002   0.204564  0.210281     69.94    73.91
Barclays Bank PLC        06738G4Z0 01/31/08 07/30/12    100.000     0.000    3.6623              0.108961   0.112795   0.112988   0.116321               41.09    24.45
Barclays Bank PLC        06738GDT4 06/19/07 06/17/11    100.000     0.000    5.2800              0.175966                                                29.21         
Barclays Bank PLC        06738GEN6 06/29/07 09/28/12    100.000     0.000    5.9100              0.198369   0.204231   0.210266   0.216479               73.57    57.26
Barclays Bank PLC        06738GES5 06/29/07 06/29/12    100.000     0.000    5.8900              0.200472   0.206376   0.212454                          73.26    37.82
Barclays Bank PLC        06738GGL8 07/16/07 10/14/11    100.000     0.000    5.2300              0.171784   0.176277                                     49.42         
Barclays Bank PLC        06738GH29 11/30/07 05/30/12    100.000     0.000    4.3699              0.138196   0.141216   0.144301                          50.48    21.50
Barclays Bank PLC        06738GW22 11/30/07 11/30/12    100.000     0.000    4.3699              0.138195   0.141215   0.144300   0.147453               50.48    48.04
Barclays Bank PLC        06738GX70 12/31/07 06/26/12    100.000     0.000    4.4399              0.140630   0.143752   0.146943                          51.22    25.71
Barclays Bank PLC        06738JFK5 09/30/10 09/30/25    100.000    VARIES    4.4611              0.123920   0.123586   0.123245   0.122896  0.122539     44.49    44.24
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES    1.0910              0.030307   0.029033   0.027752   0.027865  0.027977     10.56    10.02
Barclays Bank PLC        06738JHK3 09/30/10 09/30/20    100.000    VARIES    4.0513              0.112537   0.112425   0.112311   0.112194  0.112076     40.47    40.39
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES    4.2146              0.117075   0.117054   0.117033   0.117011  0.116989     42.14    42.12
Barclays Bank PLC        06738JJR6 10/07/10 10/07/20    100.000    VARIES    4.0416              0.112268   0.112292   0.112316   0.112340  0.112365     40.42    40.44
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738JJX3 10/07/10 10/07/25    100.000    VARIES    4.4615              0.123933   0.123599   0.123258   0.122909  0.122553     44.50    44.25
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25    100.000    VARIES    4.5900              0.127501   0.128355   0.128855   0.129367  0.129891     46.13    46.54
Barclays Bank PLC        06738JLS1 10/21/10 10/21/20    100.000    VARIES    4.0316              0.111991   0.112009   0.112027   0.112045  0.112064     40.32    40.34
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES    4.2148              0.117079   0.117058   0.117037   0.117016  0.116994     42.14    42.13
Barclays Bank PLC        06738JNK6 10/15/10 10/15/25    100.000    VARIES    4.7543              0.132065   0.131903   0.131737   0.131567  0.131393     47.49    47.37
Barclays Bank PLC        06738KA76 12/07/11 12/09/13    100.000     0.000    2.9799                         0.082776   0.082790   0.084024  0.085276      1.99    30.08
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES    5.5650                         0.154586   0.149612   0.144500  0.140019     46.68    51.73
Barclays Bank PLC        06738KAP6 02/02/11 02/02/16    100.000     1.000    3.3894                         0.094152   0.095277   0.096421  0.097585     31.14    34.85
Barclays Bank PLC        06738KAS0 02/09/11 05/09/12    100.000     0.000    1.2299              0.034165   0.034270   0.034481                          11.04     4.41
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES    4.8413                         0.134481   0.134879   0.135286  0.135800     43.36    48.76
Barclays Bank PLC        06738KBZ3 02/16/11 02/17/15    100.000     0.000    3.3099              0.091941   0.091951   0.093473   0.095020  0.096592     29.17    34.35
Barclays Bank PLC        06738KCF6 02/24/11 05/23/12    100.000     0.000    0.7203              0.020009   0.020045   0.020117                           6.15     2.86
Barclays Bank PLC        06738KCK5 02/24/11 02/22/13    100.000     0.000    1.5698                         0.043608   0.043946   0.044291  0.044639     13.43    15.97
Barclays Bank PLC        06738KCL3 02/24/11 02/22/13    100.000     0.000    1.5698                         0.043608   0.043946   0.044291  0.044639     13.43    15.97
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES    4.8210                         0.133917   0.134299   0.134691  0.135092     38.21    48.50
Barclays Bank PLC        06738KCQ2 03/10/11 03/10/26    100.000    VARIES    5.3754                         0.149319   0.145120   0.140808  0.136790     42.99    50.54
Barclays Bank PLC        06738KDG3 03/09/11 06/07/12    100.000     0.000    1.2497              0.034716   0.034822   0.035039                          10.16     5.47
Barclays Bank PLC        06738KDX6 03/31/11 03/31/26    100.000    VARIES    5.3512                         0.148646   0.147792   0.146916  0.147633     40.21    53.03
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES    5.1730                         0.143697   0.145867   0.148094  0.150379     42.20    53.42
Barclays Bank PLC        06738KEC1 03/16/11 06/14/12    100.000     0.000    1.2696              0.035268   0.035378   0.035602                          10.08     5.80
Barclays Bank PLC        06738KEG2 03/15/11 03/14/13    100.000     0.000    1.6600                         0.046113   0.046494   0.046880  0.047269     13.23    16.89
Barclays Bank PLC        06738KEH0 03/15/11 03/14/13    100.000     0.000    1.6600                         0.046113   0.046494   0.046880  0.047269     13.23    16.89
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES    5.0806                         0.141130   0.141646   0.142175  0.142717     37.16    51.18
Barclays Bank PLC        06738KEY3 04/08/11 04/08/26    100.000    VARIES    5.3548                         0.148747   0.149011   0.149282  0.150530     39.14    53.82
Barclays Bank PLC        06738KFN6 03/30/11 11/19/14    100.000     0.000    2.6999              0.074999   0.075275   0.076291   0.077321  0.078365     20.43    27.74
Barclays Bank PLC        06738KFQ9 04/28/11 04/28/31    100.000    VARIES    5.2023                         0.144510   0.140321   0.136023  0.134418     34.85    49.37
Barclays Bank PLC        06738KGB1 04/28/11 04/28/26    100.000    VARIES    5.0662                         0.140729   0.137257   0.133697  0.132909     33.98    48.50
Barclays Bank PLC        06738KGC9 04/07/11 04/12/16    100.000     0.000    3.5299              0.098054   0.098102   0.099834   0.101596  0.103389     26.04    36.54
Barclays Bank PLC        06738KGD7 04/07/11 04/12/17    100.000     0.000    3.8999              0.108331   0.108390   0.110504   0.112659  0.114856     28.78    40.51
Barclays Bank PLC        06738KHG9 04/29/11 05/01/14    100.000     0.500    1.3951              0.038755   0.038757   0.038930   0.039105  0.039281      9.39    14.07
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES    4.6808                         0.130025   0.130467   0.130920  0.131384     29.80    47.09
Barclays Bank PLC        06738KHN4 04/21/11 04/23/13    100.000     0.000    1.4397              0.039993   0.039997   0.040285   0.040575  0.040867     10.02    14.59
Barclays Bank PLC        06738KJF9 05/31/11 05/29/26    100.000    VARIES    4.6293                         0.128592   0.127715   0.126814  0.127216     27.10    45.80
Barclays Bank PLC        06738KJH5 05/06/11 05/09/14    100.000    VARIES    2.0355              0.056542   0.056550   0.056984   0.057423  0.057866     13.31    20.64
Barclays Bank PLC        06738KKG5 05/18/11 06/18/12    100.000     0.000    0.7496              0.020824   0.020837   0.020915                           4.65     3.49
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES    4.8716                         0.135324   0.135914   0.136518  0.137137     24.77    49.04
Barclays Bank PLC        06738KMB4 06/21/11 06/19/15    100.000     0.000    2.6199                         0.072775   0.073718   0.074684  0.075662     13.84    26.74
Barclays Bank PLC        06738KMD0 06/30/11 06/30/14    100.000     0.000    2.0801                         0.057782   0.058383   0.058990  0.059604     10.46    21.13
Barclays Bank PLC        06738KME8 06/29/11 12/27/12    100.000     0.000    1.0702                         0.029730   0.029887   0.030047                5.41    10.67
Barclays Bank PLC        06738KMR9 07/07/11 01/14/13    100.000     0.000    1.0701                         0.029727   0.029733   0.029892  0.030052      5.17    10.79
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES    4.8122                                    0.133675   0.134217  0.134773     20.45    48.39
Barclays Bank PLC        06738KNF4 07/29/11 07/31/17    100.000     0.000    3.5900                         0.099723   0.099743   0.101533  0.103356     15.26    36.78
Barclays Bank PLC        06738KNJ6 07/29/11 07/29/16    100.000     0.000    3.2800                                    0.091112   0.092606  0.094125     13.85    33.53
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KPB1 07/22/11 07/22/26    100.000    VARIES    5.0342                                    0.139841   0.143361  0.138493     22.23    50.76
Barclays Bank PLC        06738KPD7 07/22/11 01/22/13    100.000     0.000    1.0201                                    0.028337   0.028481  0.028627      4.51    10.27
Barclays Bank PLC        06738KQF1 08/31/11 08/31/17    100.000     0.000    3.9281                                    0.107916   0.108839  0.112816     13.27    40.27
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES    6.1335                                    0.168504   0.162409  0.160633     20.73    59.58
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES    4.6123                                    0.128121   0.128513  0.128914     18.71    46.31
Barclays Bank PLC        06738KQU8 08/03/11 08/03/16    100.000     0.000    3.0700                                    0.085278   0.086587  0.087916     12.62    31.33
Barclays Bank PLC        06738KRA1 09/08/11 09/08/16    100.000     0.000    3.5399                                    0.098331   0.100072  0.101843     11.11    36.11
Barclays Bank PLC        06738KRT0 08/17/11 02/19/13    100.000     0.000    1.5101                         0.041949   0.041953   0.042270  0.042589      5.62    15.24
Barclays Bank PLC        06738KSV4 09/14/11 09/14/26    100.000    VARIES    5.0468                                    0.140190   0.143028  0.145937     15.00    51.59
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES    5.4569                                    0.151583   0.147382  0.143066     13.79    53.04
Barclays Bank PLC        06738KTW1 06/23/11 12/21/12    100.000     0.000    0.7499                         0.020833   0.020910   0.020988                3.92     7.33
Barclays Bank PLC        06738KUD1 09/30/11 09/29/17    100.000     0.000    3.9799                                    0.110554   0.112742  0.114986     10.06    40.60
Barclays Bank PLC        06738KUP4 09/14/11 09/13/13    100.000     0.000    2.2199                                    0.061665   0.062346  0.063038      6.60    22.47
Barclays Bank PLC        06738KUQ2 10/12/11 10/12/16    100.000     0.000    3.6299                                    0.100831   0.102661  0.104524      7.97    36.92
Barclays Bank PLC        06738KVA6 09/21/11 09/19/13    100.000     0.000    2.1002                                    0.058339   0.058945  0.059564      5.83    21.24
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES    5.2986                         0.147183   0.147168   0.144075  0.140901     13.54    51.85
Barclays Bank PLC        06738KVN8 09/28/11 09/26/13    100.000     0.000    2.4199                                    0.067222   0.068026  0.068849      6.25    24.50
Barclays Bank PLC        06738KVS7 09/30/11 10/01/26    100.000    VARIES    5.0307                         0.139742   0.139736   0.138359  0.136949     12.72    49.81
Barclays Bank PLC        06738KWV9 09/30/11 10/03/17    100.000     0.000    3.9899                         0.110833   0.110870   0.113082  0.115338     10.09    40.70
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES    4.5597                         0.123904   0.125247   0.120205  0.118370      7.76    44.49
Barclays Bank PLC        06738KXT3 10/26/11 10/26/26    100.000    VARIES    5.0988                                    0.141636   0.139581  0.137474      9.21    50.35
Barclays Bank PLC        06738KXV8 10/28/11 10/28/16    100.000    VARIES    3.8804                                    0.107790   0.107523  0.107251      6.79    38.72
Barclays Bank PLC        06738KYG0 12/01/11 12/01/16    100.000     0.000    4.3799                                    0.121666   0.124330  0.127053      3.65    44.44
Barclays Bank PLC        06738KYT2 11/28/11 11/26/14    100.000     0.000    3.5899                                    0.099720   0.101490  0.103312      3.29    36.34
Barclays Bank PLC        06738KZM6 11/23/11 11/21/13    100.000     0.000    2.9002                                    0.080562   0.081717  0.082902      3.06    29.30
Barclays Bank PLC        06738KZQ7 11/25/11 11/25/15    100.000     0.000    3.8199                                    0.106108   0.108135  0.110200      3.82    38.71
Barclays Bank PLC        06738Q3V8 04/30/09 05/07/14    100.000     0.000    5.2000              0.156167   0.160227   0.164393   0.168667  0.173053     57.40    60.42
Barclays Bank PLC        06738Q4D7 04/30/09 05/07/14    100.000     0.000    4.9000              0.146503   0.150092   0.153770   0.157537  0.161397     53.78    56.45
Barclays Bank PLC        06738QDA3 08/29/08 08/31/11    100.000     0.000    3.9925              0.119393   0.119791                                     28.97         
Barclays Bank PLC        06738QDB1 08/26/08 08/30/13    100.000     0.000    4.4602              0.133900   0.136138   0.139174   0.142278  0.146250     49.94    52.38
Barclays Bank PLC        06738QDW5 09/10/08 09/08/11    100.000     0.000    3.7898              0.113461   0.115611                                     28.41         
Barclays Bank PLC        06738QK98 02/27/09 02/27/14    100.000     0.000    4.6599              0.138704   0.141936   0.145243   0.148627  0.152090     51.33    53.75
Barclays Bank PLC        06738QKP2 09/22/08 09/22/11    100.000     0.000    4.0900              0.123197   0.125716                                     32.61         
Barclays Bank PLC        06738QKR8 09/30/08 09/30/11    100.000     0.000    4.7401              0.144603   0.148030                                     39.52         
Barclays Bank PLC        06738QLE6 09/17/08 09/14/14    100.000     0.000    4.0500              0.121854   0.124322   0.126840   0.129408  0.132029     44.85    46.68
Barclays Bank PLC        06738QM21 02/27/09 03/07/14    100.000     0.000    4.6599              0.138884   0.142120   0.145431   0.148820  0.152287     51.33    53.75
Barclays Bank PLC        06738QV62 03/31/09 03/31/14    100.000     0.000    5.0055              0.149746   0.153494   0.157335   0.161273  0.165309     55.27    58.08
Barclays Bank PLC        06738QV70 03/31/09 03/31/14    100.000     0.000    5.0055              0.149746   0.153494   0.157335   0.161273  0.165309     55.27    58.08
Barclays Bank PLC        06738QX86 03/31/09 04/07/14    100.000     0.000    5.0056              0.148247   0.151127   0.154909   0.158786  0.163654     55.21    58.16
Barclays Bank PLC        06738R2Z8 07/18/08 01/19/11    100.000     0.000    3.9500              0.118664                                                 2.14         
Barclays Bank PLC        06738R5X0 07/30/08 07/28/11    100.000     0.000    4.2101              0.127081   0.129756                                     26.79         
Barclays Bank PLC        06738R6V3 07/25/08 07/30/13    100.000     0.000    4.7399              0.144693   0.148122   0.151632   0.155226  0.158905     53.75    56.33
Barclays Bank PLC        06738RA89 05/30/08 11/30/11    100.000     0.000    4.1499              0.127744   0.130394                                     42.50         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738RBT2 01/24/08 07/23/12    100.000     0.000    3.8000              0.115962   0.118165   0.120411   0.122698               42.85    24.73
Barclays Bank PLC        06738RC95 05/30/08 06/02/11    100.000     0.000    4.1499              0.127773                                                19.29         
Barclays Bank PLC        06738RDB9 02/29/08 02/28/11    100.000     0.000    3.1126              0.092888                                                 5.39         
Barclays Bank PLC        06738RDC7 02/29/08 11/29/12    100.000     0.000    3.5298              0.107354   0.107468   0.110566   0.111295               39.31    36.95
Barclays Bank PLC        06738RHU3 02/27/08 11/26/13    100.000     0.000    3.7400              0.115027   0.117178   0.119369   0.121601  0.123875     41.95    43.53
Barclays Bank PLC        06738RK54 05/29/08 05/26/11    100.000     0.000    4.1998              0.129393                                                18.76         
Barclays Bank PLC        06738RKA3 03/31/08 03/30/11    100.000     0.000    3.0827              0.091920                                                 8.09         
Barclays Bank PLC        06738RL87 06/30/08 06/29/11    100.000     0.000    4.2398              0.130783                                                23.28         
Barclays Bank PLC        06738RMA1 03/31/08 03/28/13    100.000     0.000    3.2999              0.099463   0.101104   0.102772   0.104468  0.106192     36.41    37.62
Barclays Bank PLC        06738RRP3 04/30/08 04/30/12    100.000     0.000    4.0000              0.122676   0.125130   0.127632                          44.91    15.19
Barclays Bank PLC        06738RRR9 04/30/08 04/25/14    100.000     0.000    3.9299              0.120256   0.122619   0.125029   0.127485  0.129991     44.03    45.78
Barclays Bank PLC        06738RRS7 04/30/08 04/28/11    100.000     0.000    3.7198              0.113281                                                13.25         
Barclays Bank PLC        06738RVW3 04/18/08 03/20/13    100.000     0.000    3.7399              0.113647   0.115772   0.117937   0.120143  0.122389     41.73    43.30
Barclays Bank PLC        06738RWH5 05/19/08 11/20/12    100.000     0.000    4.0899              0.125725   0.128297   0.130920   0.133597               45.94    42.25
Barclays Bank PLC        06738RXA9 05/30/08 05/25/11    100.000     0.000    4.1499              0.127671                                                18.38         
Barclays Bank PLC        06739H461 01/31/08 02/28/14    100.000     0.000    4.0805              0.125107   0.125579   0.129549   0.130755  0.135634     46.30    48.39
Barclays Bank PLC        06739H479 01/31/08 05/30/14    100.000     0.000    4.0799              0.127079   0.129671   0.132316   0.135016  0.137770     46.38    48.29
Barclays Bank PLC        06739H545 12/31/07 08/31/13    100.000     0.000    4.7069              0.147196   0.148204   0.153359   0.155262  0.161550     54.67    57.49
Barclays Bank PLC        06739H594 11/30/07 09/30/13    100.000     0.000    4.5700              0.144291   0.147588   0.150961   0.154410  0.157939     53.15    55.60
Barclays Bank PLC        06739J2D4 11/19/09 11/21/12    100.000     0.000    2.5698              0.073242   0.074183   0.075137   0.076102               26.61    24.22
Barclays Bank PLC        06739J2E2 11/19/09 11/21/11    100.000     0.000    1.5402              0.043449   0.043783                                     13.96         
Barclays Bank PLC        06739J5D1 11/27/09 11/27/14    100.000    VARIES    3.3906              0.094556   0.095371   0.095913   0.096120  0.096073     34.23    34.57
Barclays Bank PLC        06739J5L3 12/18/09 02/25/13    100.000     0.000    2.6199              0.074089   0.075060   0.076043   0.077039  0.078048     27.09    27.81
Barclays Bank PLC        06739J5R0 11/25/09 11/25/11    100.000     0.000    1.5200              0.042869   0.043195                                     13.95         
Barclays Bank PLC        06739J5V1 12/31/09 12/31/15    100.000     0.000    4.2300              0.122524   0.125115   0.127762   0.130464  0.133223     44.58    46.49
Barclays Bank PLC        06739J5W9 12/31/09 12/31/15    100.000     0.000    4.2300              0.122524   0.125115   0.127762   0.130464  0.133223     44.58    46.49
Barclays Bank PLC        06739J6B4 12/02/09 12/02/11    100.000     0.000    1.4897              0.042001   0.042314                                     13.96         
Barclays Bank PLC        06739J863 10/28/09 04/28/15    100.000     0.000    4.1800              0.121017   0.123546   0.126129   0.128765  0.131456     44.34    46.22
Barclays Bank PLC        06739JAB9 05/29/09 05/31/12    100.000     0.000    3.1001              0.089206   0.090093   0.091490                          32.80    13.81
Barclays Bank PLC        06739JAJ2 05/29/09 11/29/12    100.000     0.000    3.5899              0.105187   0.107075   0.108997   0.110954               38.33    36.10
Barclays Bank PLC        06739JBB8 05/27/09 06/06/14    100.000     0.000    4.9200              0.147186   0.150806   0.154516   0.158317  0.162212     53.82    56.50
Barclays Bank PLC        06739JBH5 05/29/09 05/29/29*   100.000    VARIES    5.8530              0.145266   0.139153                                     21.78*        
Barclays Bank PLC        06739JBJ1 05/29/09 06/06/14    100.000     0.000    3.5900              0.105263   0.107152   0.109076   0.111034  0.113027     38.33    39.72
Barclays Bank PLC        06739JD59 09/23/09 09/23/11    100.000     0.000    2.0099              0.056961   0.057534                                     15.03         
Barclays Bank PLC        06739JD83 09/30/09 09/30/24    100.000    VARIES    5.1625              0.134925   0.131820   0.128635   0.125368  0.124426     47.44    45.34
Barclays Bank PLC        06739JEB5 07/24/09 07/24/14    100.000     0.000    4.7799              0.139199   0.142526   0.145932   0.149420  0.152991     51.77    54.27
Barclays Bank PLC        06739JEK5 06/26/09 06/26/24    100.000    VARIES    5.6547              0.142380   0.137661   0.132809   0.127820  0.122690     50.36    46.86
Barclays Bank PLC        06739JEQ2 06/30/09 07/08/14    100.000     0.000    4.9699              0.145160   0.148767   0.152464   0.156253  0.160136     54.17    56.90
Barclays Bank PLC        06739JER0 06/30/09 07/08/14    100.000     0.000    4.9699              0.145160   0.148767   0.152464   0.156253  0.160136     54.17    56.90
Barclays Bank PLC        06739JES8 06/04/09 06/06/14    100.000     0.000    4.8900              0.146083   0.149655   0.153314   0.157062  0.160902     53.41    56.06
Barclays Bank PLC        06739JFY4 06/30/09 06/28/13    100.000     0.000    2.6799              0.077465   0.078503   0.079555   0.080621  0.081701     28.08    28.84
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06739JGP2 06/26/09 06/26/24    100.000    VARIES    5.6622              0.137640   0.131935   0.126069   0.120036  0.119223     48.47    44.26
Barclays Bank PLC        06739JGY3 06/17/09 06/15/12    100.000     0.000    4.8699              0.145361   0.148901   0.152527                          53.08    25.01
Barclays Bank PLC        06739JJS3 07/01/09 07/01/11    100.000     0.000    4.9199              0.147001                                                26.46         
Barclays Bank PLC        06739JJT1 07/01/09 07/01/11    100.000     0.000    2.6801              0.077482                                                13.95         
Barclays Bank PLC        06739JJU8 07/24/09 07/24/14    100.000     0.000    4.7799              0.139199   0.142526   0.145932   0.149420  0.152991     51.77    54.27
Barclays Bank PLC        06739JKC6 07/21/09 07/19/12    100.000     0.000    3.2699              0.093810   0.095344   0.096902   0.098487               34.55    19.47
Barclays Bank PLC        06739JKE2 07/24/09 08/07/14    100.000     0.000    4.7800              0.139441   0.142774   0.146186   0.149680  0.153257     51.77    54.27
Barclays Bank PLC        06739JKF9 07/15/09 07/15/11    100.000     0.000    2.6301              0.074994   0.075980                                     14.73         
Barclays Bank PLC        06739JKG7 07/24/09 07/24/13    100.000     0.000    4.2998              0.124633   0.127312   0.130049   0.132845  0.135701     46.20    48.21
Barclays Bank PLC        06739JKH5 07/24/09 07/24/14    100.000     0.000    4.7799              0.139199   0.142526   0.145932   0.149420  0.152991     51.77    54.27
Barclays Bank PLC        06739JKM4 07/24/09 07/24/14    100.000    VARIES    4.7816              0.134211   0.134930   0.135665   0.135891  0.135811     48.67    48.90
Barclays Bank PLC        06739JKN2 07/24/09 07/24/12    100.000     0.000    3.3900              0.097388   0.099038   0.100717   0.102424               35.88    20.75
Barclays Bank PLC        06739JKP7 07/24/09 07/24/12    100.000     0.000    3.3900              0.097388   0.099038   0.100717   0.102424               35.88    20.75
Barclays Bank PLC        06739JKQ5 07/08/09 07/08/11    100.000     0.000    2.5300              0.072069   0.072981                                     13.64         
Barclays Bank PLC        06739JKR3 07/08/09 07/08/11    100.000     0.000    2.5300              0.072069   0.072981                                     13.64         
Barclays Bank PLC        06739JKS1 07/07/09 07/07/14    100.000     0.000    4.7699              0.138893   0.142206   0.145597   0.149070  0.152625     51.76    54.26
Barclays Bank PLC        06739JLU5 07/15/09 07/15/11    100.000     0.000    2.6301              0.074994   0.075980                                     14.73         
Barclays Bank PLC        06739JMG5 07/20/09 07/19/12    100.000     0.000    3.5001              0.100649   0.102410   0.104202   0.106026               37.13    20.96
Barclays Bank PLC        06739JMH3 08/18/09 08/20/12    100.000     0.000    2.9800              0.085279   0.086550   0.087839   0.089148               31.26    20.35
Barclays Bank PLC        06739JMK6 07/23/09 07/23/24    100.000    VARIES    6.1912              0.161835   0.156607   0.151217   0.145661  0.139932     55.64    51.66
Barclays Bank PLC        06739JN90 10/21/09 10/21/11    100.000     0.000    1.9799              0.056092   0.056647                                     16.37         
Barclays Bank PLC        06739JNT6 08/03/09 08/03/11    100.000     0.000    2.5897              0.073813   0.074769                                     15.82         
Barclays Bank PLC        06739JNU3 08/12/09 08/12/13    100.000     0.000    3.8100              0.109905   0.111999   0.114133   0.116307  0.118523     40.53    42.09
Barclays Bank PLC        06739JNW9 08/21/09 08/21/24    100.000    VARIES    5.5443              0.142367   0.137450   0.132396   0.127202  0.121864     49.07    45.36
Barclays Bank PLC        06739JP72 10/28/09 10/26/11    100.000     0.000    1.8699              0.052913   0.053408                                     15.70         
Barclays Bank PLC        06739JPB3 08/12/09 08/11/11    100.000     0.000    2.3800              0.067692   0.068498                                     15.04         
Barclays Bank PLC        06739JPE7 08/30/09 09/08/14    100.000     0.000    3.8999              0.112695   0.114893   0.117133   0.119417  0.121746     41.47    43.10
Barclays Bank PLC        06739JQ63 11/30/09 11/30/15    100.000     0.000    3.9500              0.114100   0.116354   0.118652   0.120995  0.123385     41.62    43.28
Barclays Bank PLC        06739JQ71 11/30/09 11/30/15    100.000     0.000    3.9500              0.114100   0.116354   0.118652   0.120995  0.123385     41.62    43.28
Barclays Bank PLC        06739JR39 11/24/09 11/24/14    100.000    VARIES    3.4606              0.095605   0.096497   0.097127   0.097435  0.097498     34.63    35.03
Barclays Bank PLC        06739JR88 11/04/09 11/04/11    100.000     0.000    1.7800              0.050331   0.050779                                     15.33         
Barclays Bank PLC        06739JR96 11/04/09 11/04/13    100.000     0.000    3.1800              0.091166   0.092615   0.094088   0.095584  0.097104     33.25    34.31
Barclays Bank PLC        06739JSD6 09/17/09 09/19/12    100.000     0.000    2.8500              0.081455   0.082616   0.083793   0.084987               29.77    21.83
Barclays Bank PLC        06739JSJ3 08/19/09 08/19/11    100.000     0.000    2.2700              0.064497   0.065229                                     14.84         
Barclays Bank PLC        06739JST1 08/26/09 08/26/11    100.000     0.000    2.2599              0.064202   0.064927                                     15.22         
Barclays Bank PLC        06739JSU8 08/27/09 08/27/24    100.000    VARIES    5.3980              0.139154   0.134694   0.130113   0.125408  0.120577     48.17    44.81
Barclays Bank PLC        06739JTG8 09/03/09 09/06/11    100.000     0.000    2.1299              0.060444   0.061087                                     14.92         
Barclays Bank PLC        06739JTL7 10/01/09 10/07/14    100.000     0.000    3.7799              0.109074   0.111136   0.113236   0.115376  0.117557     39.99    41.51
Barclays Bank PLC        06739JTY9 09/16/09 09/16/11    100.000     0.000    2.1800              0.061886   0.062560                                     15.90         
Barclays Bank PLC        06739JXN8 09/30/09 09/30/11    100.000     0.000    2.0400              0.057831   0.058420                                     15.66         
Barclays Bank PLC        06739JXR9 10/02/09 10/03/13    100.000     0.000    3.4021              0.097757   0.099420   0.101111   0.102831  0.104581     35.79    37.01
Barclays Bank PLC        06739JXX6 10/14/09 10/14/11    100.000     0.000    2.0298              0.057536   0.058120                                     16.39         
Barclays Bank PLC        06739JXZ1 10/07/09 10/07/11    100.000     0.000    1.9497              0.055222   0.055761                                     15.34         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06739JYA5 09/30/09 09/30/19    100.000    VARIES    5.0571              0.136289   0.133655   0.130954   0.130112  0.129250     48.10    46.84
Barclays Bank PLC        06739JYY3 11/02/09 11/07/14    100.000     0.000    3.7399              0.107866   0.109883   0.111937   0.114031  0.116163     39.41    40.90
Barclays Bank PLC        06740H286 05/21/10 05/24/17    100.000     2.500    4.9967              0.140561   0.142338   0.144159   0.146026  0.147939     51.05    52.37
Barclays Bank PLC        06740JED8 12/24/09 12/24/24    100.000    VARIES    5.1791              0.135383   0.131106   0.126717   0.122216  0.117598     47.91    44.74
Barclays Bank PLC        06740JEH9 12/28/09 12/28/12    100.000     0.000    2.4098              0.068564   0.069391   0.070227   0.071073               24.84    25.22
Barclays Bank PLC        06740JEK2 12/28/09 12/26/14    100.000     0.000    3.6800              0.105999   0.107950   0.109936   0.111959  0.114019     38.53    39.96
Barclays Bank PLC        06740JEL0 12/24/09 12/24/14    100.000    VARIES    3.3891              0.094992   0.095867   0.096263   0.096313  0.096133     34.36    34.66
Barclays Bank PLC        06740JEU0 12/21/09 12/19/14    100.000     0.000    3.6999              0.106592   0.108564   0.110573   0.112618  0.114702     38.78    40.22
Barclays Bank PLC        06740JEY2 01/29/10 01/29/16    100.000     0.000    4.2199              0.119695   0.122220   0.124799   0.127432  0.130121     44.32    46.21
Barclays Bank PLC        06740JEZ9 01/29/10 01/29/16    100.000     0.000    4.2199              0.119695   0.122220   0.124799   0.127432  0.130121     44.32    46.21
Barclays Bank PLC        06740JFA3 01/29/10 01/29/16    100.000     0.000    4.2199              0.119695   0.122220   0.124799   0.127432  0.130121     44.32    46.21
Barclays Bank PLC        06740JFQ8 01/29/10 01/29/25    100.000    VARIES    5.7144              0.155333   0.151834   0.147274   0.142583  0.137758     54.07    50.73
Barclays Bank PLC        06740JFR6 01/29/10 01/29/15    100.000    VARIES    3.7589              0.106377   0.108376   0.109171   0.109982  0.109643     39.08    39.52
Barclays Bank PLC        06740JK33 02/26/10 02/29/16    100.000     0.000    4.3199              0.121944   0.122547   0.126569   0.127898  0.132826     45.19    47.34
Barclays Bank PLC        06740JL40 02/26/10 02/26/30    100.000    VARIES    5.5951              0.151220   0.146902   0.140444   0.133806  0.126981     52.32    47.68
Barclays Bank PLC        06740JL73 03/31/10 03/31/16    100.000     0.000    4.1299              0.117090   0.119508   0.121975   0.124494  0.127065     43.03    44.83
Barclays Bank PLC        06740JL81 03/31/10 03/31/16    100.000     0.000    4.1299              0.117090   0.119508   0.121975   0.124494  0.127065     43.03    44.83
Barclays Bank PLC        06740JL99 03/31/10 03/31/16    100.000     0.000    4.1299              0.117090   0.119508   0.121975   0.124494  0.127065     43.03    44.83
Barclays Bank PLC        06740JM64 03/12/10 03/12/25    100.000    VARIES    5.5350              0.149550   0.145232   0.140040   0.134705  0.129222     52.02    48.27
Barclays Bank PLC        06740JM98 03/10/10 03/10/17    100.000    VARIES    4.4514              0.123621   0.123590   0.123559   0.123527  0.124201     44.49    44.55
Barclays Bank PLC        06740JN71 03/04/10 03/04/15    100.000    VARIES    3.5183              0.098782   0.099850   0.101606   0.103392  0.105142     36.08    37.31
Barclays Bank PLC        06740JQW3 01/29/10 01/29/16    100.000     0.000    4.2199              0.119695   0.122220   0.124799   0.127432  0.130121     44.32    46.21
Barclays Bank PLC        06740JRD4 01/27/10 01/27/17    100.000     5.000    4.3944              0.121700   0.121322   0.123988   0.126712  0.127015     44.10    45.59
Barclays Bank PLC        06740JRE2 02/08/10 02/06/15    100.000     0.000    3.8699              0.109556   0.111675   0.113836   0.116039  0.118284     40.44    42.02
Barclays Bank PLC        06740JRH5 02/26/10 02/29/12    100.000     0.000    1.7202              0.047934   0.047558   0.048494                          17.50     2.86
Barclays Bank PLC        06740JRX0 01/26/10 11/05/12    100.000     0.000    2.4500              0.069354   0.070203   0.071063   0.071934               25.22    21.76
Barclays Bank PLC        06740JRY8 01/26/10 11/05/12    100.000     0.000    2.4500              0.069354   0.070203   0.071063   0.071934               25.22    21.76
Barclays Bank PLC        06740JSB7 02/22/10 02/20/15    100.000    VARIES    3.8626              0.109346   0.111458   0.113611   0.115805  0.116124     40.30    41.62
Barclays Bank PLC        06740JSC5 02/22/10 02/20/15    100.000     0.000    3.8600              0.109269   0.111378   0.113527   0.115718  0.117952     40.27    41.84
Barclays Bank PLC        06740JSJ0 02/19/10 02/19/25    100.000    VARIES    5.3591              0.144668   0.140357   0.135927   0.131378  0.126707     50.15    46.90
Barclays Bank PLC        06740JSM3 02/26/10 02/29/16    100.000     0.000    4.3199              0.121944   0.122547   0.126569   0.127898  0.132826     45.19    47.34
Barclays Bank PLC        06740JSN1 02/26/10 02/29/16    100.000     0.000    4.3199              0.121944   0.122547   0.126569   0.127898  0.132826     45.19    47.34
Barclays Bank PLC        06740JSP6 02/26/10 02/29/16    100.000     0.000    4.3199              0.121944   0.122547   0.126569   0.127898  0.132826     45.19    47.34
Barclays Bank PLC        06740JSY7 02/26/10 02/29/16    100.000     0.000    4.3199              0.121944   0.122547   0.126569   0.127898  0.132826     45.19    47.34
Barclays Bank PLC        06740JTK6 02/08/10 02/08/17    100.000    VARIES    4.5812              0.127310   0.127363   0.127417   0.127472  0.128007     45.86    45.96
Barclays Bank PLC        06740JVZ0 02/25/10 02/25/25    100.000    VARIES    5.5194              0.148735   0.144024   0.139215   0.134273  0.129195     51.50    47.97
Barclays Bank PLC        06740JWG1 02/17/10 07/24/14    100.000     0.000    3.4600              0.097564   0.099252   0.100969   0.102716  0.104493     35.96    37.22
Barclays Bank PLC        06740JZJ2 03/09/10 03/09/15    100.000     0.000    3.4999              0.098921   0.100653   0.102414   0.104206  0.106030     36.31    37.60
Barclays Bank PLC        06740L6Y6 06/24/10 06/24/25    100.000    VARIES    5.6560              0.151342   0.145410   0.141651   0.137786  0.133812     53.35    50.24
Barclays Bank PLC        06740L6Z3 06/30/10 06/30/25*   100.000    VARIES    5.7186              0.153465                                                27.47*        
Barclays Bank PLC        06740LAB1 03/26/10 03/26/25    100.000    VARIES    5.3753              0.144743   0.140048   0.134897   0.129608  0.124177     50.33    46.59
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740LAP0 04/07/10 04/07/15    100.000     0.000    3.6900              0.104393   0.106319   0.108280   0.110278  0.112313     38.25    39.68
Barclays Bank PLC        06740LAQ8 04/07/10 04/07/15    100.000     0.000    3.6900              0.104393   0.106319   0.108280   0.110278  0.112313     38.25    39.68
Barclays Bank PLC        06740LAR6 04/09/10 04/10/15    100.000     0.000    3.7199              0.105266   0.107224   0.109218   0.111250  0.113319     38.57    40.02
Barclays Bank PLC        06740LBD6 03/24/10 03/24/15    100.000     1.000    3.5999              0.101299   0.102623   0.103970   0.105341  0.106737     36.96    37.94
Barclays Bank PLC        06740LBJ3 04/30/10 04/29/16    100.000     0.000    4.4899              0.127505   0.130367   0.133294   0.136287  0.139346     46.78    48.90
Barclays Bank PLC        06740LBK0 04/30/10 04/29/16    100.000     0.000    4.4899              0.127505   0.130367   0.133294   0.136287  0.139346     46.78    48.90
Barclays Bank PLC        06740LBL8 04/30/10 04/29/16    100.000     0.000    4.4899              0.127505   0.130367   0.133294   0.136287  0.139346     46.78    48.90
Barclays Bank PLC        06740LBS3 04/30/10 04/30/13    100.000     0.000    2.6499              0.074586   0.075574   0.076576   0.077590  0.078618     27.15    27.87
Barclays Bank PLC        06740LBT1 04/30/10 04/30/13    100.000     0.000    2.6499              0.074586   0.075574   0.076576   0.077590  0.078618     27.15    27.87
Barclays Bank PLC        06740LBV6 04/07/10 04/07/25    100.000    VARIES    5.2962              0.142555   0.137870   0.132901   0.127799  0.122563     49.67    46.06
Barclays Bank PLC        06740LBW4 04/15/10 01/09/12    100.000     0.000    1.7702              0.049376   0.049813   0.050254                          18.00      .40
Barclays Bank PLC        06740LBY0 04/07/10 04/08/15    100.000     0.000    3.6920              0.104461   0.106389   0.108353   0.110353  0.112390     38.28    39.70
Barclays Bank PLC        06740LEM3 04/20/10 04/20/30    100.000    VARIES    5.5989              0.150549   0.145432   0.139700   0.133808  0.127752     52.51    48.38
Barclays Bank PLC        06740LEN1 04/30/10 04/30/12    100.000     0.000    1.9201              0.053850   0.054367   0.054889                          19.54     6.53
Barclays Bank PLC        06740LEZ4 04/22/10 04/22/25    100.000    VARIES    5.4765              0.147925   0.143608   0.138469   0.133188  0.127763     51.82    48.16
Barclays Bank PLC        06740LJ55 05/25/10 05/25/25    100.000    VARIES    6.0883              0.163275   0.157253   0.152477   0.147555  0.142484     57.31    53.65
Barclays Bank PLC        06740LJ63 05/25/10 05/25/25*   100.000    VARIES    6.0432              0.162868                                                23.45*        
Barclays Bank PLC        06740LL78 06/09/10 06/09/14    100.000     0.000    3.9099              0.110734   0.112899   0.115106   0.117356  0.119651     40.35    41.94
Barclays Bank PLC        06740LN84 06/30/10 06/28/12    100.000     0.000    2.3199              0.065183   0.065940   0.066704                          23.61    11.81
Barclays Bank PLC        06740LNW1 05/28/10 05/31/16    100.000     0.000    4.7600              0.133935   0.136374   0.139620   0.142943  0.147149     49.51    51.95
Barclays Bank PLC        06740LNY7 05/28/10 05/31/16    100.000     0.000    4.7600              0.133935   0.136374   0.139620   0.142943  0.147149     49.51    51.95
Barclays Bank PLC        06740LP66 06/02/10 06/02/25    100.000    VARIES    6.0388              0.161909   0.155894   0.150244   0.144423  0.138426     56.87    52.70
Barclays Bank PLC        06740LP90 06/30/10 06/30/16    100.000     0.000    4.3499              0.123461   0.126147   0.128890   0.131694  0.134558     44.93    46.91
Barclays Bank PLC        06740LQ24 06/30/10 06/30/16    100.000     0.000    4.3499              0.123461   0.126147   0.128890   0.131694  0.134558     44.93    46.91
Barclays Bank PLC        06740LQ40 06/09/10 06/09/25*   100.000    VARIES    5.8826              0.159225                                                25.16*        
Barclays Bank PLC        06740LQG3 05/28/10 05/31/13    100.000     0.000    3.3199              0.093778   0.095334   0.096917   0.098526  0.100161     34.14    35.28
Barclays Bank PLC        06740LQH1 05/28/10 05/31/16    100.000     0.000    4.7600              0.133935   0.136374   0.139620   0.142943  0.147149     49.51    51.95
Barclays Bank PLC        06740LTF2 05/10/10 05/08/15    100.000     0.000    3.8699              0.109556   0.111675   0.113836   0.116039  0.118284     40.05    41.61
Barclays Bank PLC        06740P2M7 10/20/10 10/27/11    100.000     0.000    0.7196              0.019992   0.020064                                      5.93         
Barclays Bank PLC        06740P3E4 11/04/10 10/29/12    100.000     0.000    1.0600              0.029445   0.029597   0.029754   0.029911               10.65     8.89
Barclays Bank PLC        06740P676 12/29/10 12/27/12    100.000     0.000    1.7601              0.048893   0.049318   0.049752   0.050190               17.68    17.79
Barclays Bank PLC        06740PA30 10/28/10 06/01/16    100.000     0.000    3.0699              0.085517   0.086829   0.088162   0.089516  0.090890     31.10    32.06
Barclays Bank PLC        06740PAD8 06/11/10 06/11/15    100.000     0.000    3.8599              0.109289   0.111399   0.113549   0.115740  0.117974     39.81    41.36
Barclays Bank PLC        06740PB21 11/03/10 11/01/13    100.000     0.000    1.4698              0.040830   0.041127   0.041429   0.041734  0.042040     14.79    15.01
Barclays Bank PLC        06740PB88 11/10/10 11/10/25    100.000    VARIES    4.7537              0.132048   0.129440   0.126771   0.124038  0.121240     46.80    44.86
Barclays Bank PLC        06740PBC9 06/24/10 06/26/18    100.000     0.000    4.9699              0.141525   0.145042   0.148646   0.152340  0.156125     51.62    54.21
Barclays Bank PLC        06740PBE5 06/25/10 06/25/17    100.000     1.000    4.7051              0.133121   0.135599   0.138136   0.140732  0.143390     48.40    50.23
Barclays Bank PLC        06740PBF2 07/28/10 07/28/16    100.000     0.000    3.6099              0.100277   0.102087   0.103930   0.105806  0.107716     36.98    38.33
Barclays Bank PLC        06740PBG0 07/28/10 07/28/16    100.000     0.000    3.6099              0.100277   0.102087   0.103930   0.105806  0.107716     36.98    38.33
Barclays Bank PLC        06740PBK1 06/30/10 06/30/15    100.000    VARIES    3.8043              0.107135   0.108622   0.109536   0.110469  0.110504     38.84    39.60
Barclays Bank PLC        06740PBQ8 07/23/10 07/23/20*   100.000    VARIES    4.7877              0.132992   0.131521   0.130015                          26.86*        
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740PBX3 07/06/10 07/06/20    100.000    VARIES    5.0546              0.140407   0.143082   0.145824   0.148017  0.150265     51.98    53.67
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES    4.9295              0.136932   0.133461   0.129904   0.125904  0.121805     48.45    45.79
Barclays Bank PLC        06740PCY0 07/28/10 07/26/12    100.000     0.000    1.7298              0.048052   0.048463   0.048882   0.049305               17.50    10.10
Barclays Bank PLC        06740PEV4 07/28/10 07/28/25    100.000    VARIES    5.0303              0.139731   0.136259   0.132699   0.130636  0.128522     48.60    46.76
Barclays Bank PLC        06740PF76 11/30/10 11/29/12    100.000     0.000    1.4600              0.040556   0.040850   0.041148   0.041449               14.67    13.55
Barclays Bank PLC        06740PHD1 08/31/10 08/31/16    100.000     0.000    3.3169              0.091627   0.091628   0.094172   0.094693  0.097859     33.76    35.02
Barclays Bank PLC        06740PHE9 08/31/10 08/31/16    100.000     0.000    3.3169              0.091627   0.091628   0.094172   0.094693  0.097859     33.76    35.02
Barclays Bank PLC        06740PHQ2 07/28/10 05/26/16    100.000     0.000    3.6099              0.101464   0.103295   0.105160   0.107058  0.108990     36.99    38.33
Barclays Bank PLC        06740PKG0 08/16/10 08/16/17    100.000    VARIES    3.6631              0.101754   0.103228   0.104728   0.105847  0.106986     37.30    38.21
Barclays Bank PLC        06740PKN5 08/31/10 08/31/15    100.000     0.000    2.6470              0.073123   0.072883   0.074659   0.074825  0.077072     26.83    27.65
Barclays Bank PLC        06740PKP0 09/03/10 09/03/15    100.000     0.000    2.6299              0.073055   0.074016   0.074989   0.075975  0.076974     26.70    27.41
Barclays Bank PLC        06740PL79 11/26/10 11/26/25    100.000    VARIES    5.0401              0.140003   0.139155   0.138285   0.137393  0.136479     50.19    49.56
Barclays Bank PLC        06740PM37 11/30/10 11/30/20    100.000    VARIES    4.6823              0.130065   0.130509   0.130963   0.131428  0.131904     46.93    47.26
Barclays Bank PLC        06740PMM5 08/27/10 08/29/18    100.000     0.000    3.8100              0.104122   0.106688   0.107539   0.110792  0.112286     38.90    40.54
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25    100.000    VARIES    4.4379              0.123277   0.120465   0.117591   0.115142  0.112639     43.28    41.37
Barclays Bank PLC        06740PMT0 08/26/10 08/26/20    100.000    VARIES    4.3098              0.119717   0.120800   0.121907   0.123037  0.124192     43.57    44.38
Barclays Bank PLC        06740PNB8 09/30/10 09/30/13    100.000     0.000    1.6198              0.044996   0.045360   0.045727   0.046098  0.046471     16.33    16.60
Barclays Bank PLC        06740PPZ3 09/30/10 09/28/12    100.000     0.000    1.2098              0.033608   0.033809   0.034014   0.034220               12.17     9.12
Barclays Bank PLC        06740PQB5 09/22/10 09/22/25    100.000    VARIES    4.6596              0.129433   0.127919   0.126369   0.126644  0.126926     46.02    45.60
Barclays Bank PLC        06740PQH2 09/30/10 09/29/17    100.000     0.000    3.3900              0.094168   0.095755   0.097379   0.099029  0.100708     34.48    35.66
Barclays Bank PLC        06740PR99 12/22/10 12/22/25    100.000    VARIES    5.0102              0.139173   0.141933   0.144762   0.147662  0.150635     50.65    52.69
Barclays Bank PLC        06740PS23 12/22/10 12/22/25    100.000    VARIES    5.0102              0.139173   0.141933   0.144762   0.147662  0.150635     50.65    52.69
Barclays Bank PLC        06740PSZ0 10/13/10 10/13/17    100.000     0.750    3.3000              0.091668   0.092836   0.094025   0.095232  0.096460     33.39    34.26
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES    5.2624              0.146179   0.142716   0.139162   0.136724  0.134221     51.99    49.65
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES    4.6202              0.128342   0.127136   0.125901   0.126240  0.126587     45.81    45.43
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25    100.000    VARIES    4.7398              0.131664   0.128859   0.125988   0.122912  0.119763     46.38    44.24
Barclays Bank PLC        06740PX35 12/15/10 12/21/11    100.000     0.000    0.8900              0.024727   0.024837                                      8.67         
Barclays Bank PLC        06740PX43 12/17/10 12/19/18    100.000     0.000    4.6599              0.129477   0.132494   0.135581   0.138740  0.141973     47.23    49.45
Barclays Bank PLC        06740PX50 12/17/10 12/19/18    100.000     0.000    4.6599              0.129477   0.132494   0.135581   0.138740  0.141973     47.23    49.45
Barclays Bank PLC        06740PYB6 12/22/10 12/29/11    100.000     0.000    0.8602              0.023901   0.024003                                      8.57         
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES    5.6002              0.155563   0.150585   0.145468   0.141462  0.137343     55.10    51.64
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES    4.9824                         0.138402   0.137698   0.136977  0.138598     47.91    49.59
Barclays Bank PLC        06740PYH3 12/27/10 12/24/15    100.000     0.700    3.3717              0.093658   0.094889   0.096161   0.097454  0.098769     33.96    34.87
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES    5.5228                         0.153412   0.149211   0.144893  0.142992     50.59    51.98
Barclays Bank PLC        06741JBM0 01/27/11 02/06/12    100.000     0.000    0.9002              0.025007   0.025013   0.025126                           8.37      .88
Barclays Bank PLC        06741JBW8 02/28/11 02/28/31    100.000    VARIES    5.4603                         0.148378   0.149041   0.146438  0.147839     45.63    53.92
Barclays Bank PLC        06741JCC1 02/03/11 02/03/26    100.000    VARIES    5.6829                         0.157861   0.154059   0.150149  0.138627     51.22    52.47
Barclays Bank PLC        06741JCE7 02/17/11 02/17/21    100.000    VARIES    4.9770                         0.138251   0.136162   0.134020  0.132613     43.13    48.16
Bill Barrett Corporation 06846NAB0 07/08/09 07/15/16     95.172     9.875   10.8760     7.44     0.014410   0.015445   0.016020   0.017076  0.017809      5.72     6.36
Bayonne Redev AGY, NJ    073009AR3 04/09/09 04/01/12     98.604     9.250    9.8017     7.63     0.013278   0.013929   0.014611                           5.02     1.32
Bear Stearns Co., Inc.   073928G23 08/31/04 07/01/19     51.530     1.000    5.9698   157.14     0.083731   0.086230   0.088804   0.091455               30.59    32.45
Bear Stearns Co., Inc.   073928JS3 06/03/99 06/30/11     46.328     0.000    6.4740   505.54     0.174197                                                31.18         
Bear Stearns Co., Inc.   073928WN9 02/27/02 08/15/13     49.000     0.000    6.3184   359.56     0.142467   0.149404   0.151611   0.158120  0.161342     54.53    58.03
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bear Stearns Co., Inc.   073928Y64 10/11/07 10/11/11     79.721     0.000    5.7469   159.77     0.150844   0.155178                                     43.02         
BellSouth Telecomm       079867AS6 12/13/95 12/15/95     25.235    VARIES    6.8500              0.131924   0.136442   0.141115   0.145949  0.150947     48.45    51.83
Berry Petroleum Company  085789AD7 05/27/09 06/01/14     93.546    10.250   12.0008    16.64     0.032344   0.034285   0.036342   0.038523  0.040835     12.11    13.61
Bexar Cnty Hsg Fin Corp  08837EAB7 09/28/05 04/01/22     39.225     0.000    5.7500   136.28     0.083222   0.085615   0.088077   0.090609  0.093214     30.83    32.63
City of Boston, MA       100853GH7 11/04/09 09/15/24     89.556     6.050    7.2062     4.80     0.011921   0.012351   0.012796   0.013257  0.013734      4.46     4.79
Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18     98.138     9.625    N/A                 0.272624   0.272632   0.272895   0.273172  0.273463     79.36    98.35
Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18     98.138     9.625    N/A                 0.272624   0.272632   0.272895   0.273172  0.273463     79.36    98.35
Bureau County SD #84, IL 121012AL2 06/04/10 12/01/15    106.570    VARIES    4.3645              0.131976   0.134856   0.127342   0.126635  0.125913     47.89    45.67
Bureau County SD #84, IL 121012AM0 06/04/10 12/01/16    106.150    VARIES    4.6174              0.139242   0.142456   0.134683   0.134104  0.133513     50.57    48.35
Bureau County SD #84, IL 121012AN8 06/04/10 12/01/17    105.324    VARIES    4.8691              0.145866   0.149418   0.141390   0.140943  0.140486     53.02    50.79
Bureau County SD #84, IL 121012AP3 06/04/10 12/01/18    105.836    VARIES    5.1194              0.154296   0.158245   0.149497   0.149058  0.148607     56.11    53.71
Bureau County SD #84, IL 121012AQ1 06/04/10 12/01/19    106.299    VARIES    5.3692              0.162727   0.167096   0.157599   0.157170  0.156728     59.21    56.63
Bureau County SD #84, IL 121012AR9 06/04/10 12/01/20    104.349    VARIES    5.6693              0.168911   0.173699   0.163858   0.163582  0.163298     61.52    58.92
Bureau County SD #84, IL 121012AS7 06/04/10 12/01/21    104.162    VARIES    5.9680              0.177746   0.183050   0.172349   0.172104  0.171852     64.78    61.99
Bureau County SD #84, IL 121012AT5 06/04/10 12/01/22    104.788    VARIES    6.1675              0.184969   0.190673   0.179207   0.178951  0.178687     67.44    64.45
Bureau County SD #175,IL 121088AJ7 09/15/10 12/01/12    105.544     0.000    2.1629              0.063703   0.064392   0.065088   0.065792               23.10    21.61
Bureau County SD #175,IL 121088AK4 09/15/10 12/01/13    106.280    VARIES    2.8304              0.084061   0.085250   0.081690   0.080940  0.080179     30.40    29.23
Bureau County SD #175,IL 121088AL2 09/15/10 12/01/14    106.822    VARIES    3.2818              0.098055   0.099664   0.095602   0.094892  0.094170     35.52    34.25
Bureau County SD #175,IL 121088AM0 09/15/10 12/01/15    108.915    VARIES    3.6318              0.110721   0.112731   0.107843   0.107027  0.106196     40.13    38.63
Bureau County SD #175,IL 121088AN8 09/15/10 12/01/16    107.815    VARIES    4.0822              0.123312   0.125829   0.120602   0.119945  0.119275     44.76    43.26
Bureau County SD #175,IL 121088AP3 09/15/10 12/01/17    106.920    VARIES    4.4822              0.134383   0.137394   0.131758   0.131225  0.130679     48.84    47.30
Bureau County SD #175,IL 121088AQ1 09/15/10 12/01/18    106.252    VARIES    4.8319              0.144069   0.147549   0.141467   0.141026  0.140574     52.41    50.82
Bureau County SD #175,IL 121088AR9 09/15/10 12/01/19    107.871    VARIES    5.0816              0.153901   0.157811   0.150970   0.150465  0.149947     56.02    54.23
Bureau County SD #175,IL 121088AS7 09/15/10 12/01/20    108.435    VARIES    5.2817              0.160865   0.165113   0.157828   0.157338  0.156835     58.58    56.70
Burlington Coat Factory  121577AA8 04/13/06 10/15/14*    75.522    VARIES   14.4995              0.402770                                                27.39*        
Burlington Coat Factory  121577AB6 04/13/06 10/15/14*    75.522    VARIES   14.4995              0.402770                                                27.39*        
Butler Cnty Dev Auth     12359RBB7 01/15/97 05/01/11     32.274     0.000    8.0687   651.41     0.215439                                                25.85         
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES    8.9994              0.329360   0.340274   0.351270   0.362760  0.374767    121.19   129.23
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES    8.9994              0.329360   0.340274   0.351270   0.362760  0.374767    121.19   129.23
CapitalSource Inc.       14055XAC6 07/07/04 07/15/34*   100.000    VARIES    8.1997              0.309044   0.317729                                     61.52*        
CapitalSource Inc.       14055XAD4 07/07/04 07/15/34*   100.000    VARIES    8.1997              0.309044   0.317729                                     61.52*        
CapitalSource Inc.       14055XAG7 07/30/07 07/15/12     98.000     7.250    7.7433    12.97     0.011772   0.012228   0.012701   0.013193                4.47     2.55
Cardinal Health 409, Inc 14150BAA2 04/10/07 04/15/15    100.000     9.500    9.4999              0.260989   0.259563   0.259563   0.259563  0.260989     94.89    95.11
Carol Stream PK DT, IL   143735LM8 07/15/08 10/01/27     93.383     5.750    6.3510     4.74     0.005768   0.005951   0.006140   0.006335  0.006536      2.14     2.28
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES    9.9395              0.679246   0.709816   0.741904   0.775588  0.810945    256.67   280.47
Century Alumium Company  156431AJ7 12/10/09 05/15/14     97.000     8.000    8.8326     6.18     0.017092   0.017847   0.018635   0.019458  0.020318      6.36     6.93
Chesapeake Energy Corp.  165167BZ9 05/15/07 05/15/37    100.000    VARIES    6.7505              0.218403   0.223431   0.228628   0.234001  0.239555     80.00    83.78
Chesapeake Energy Corp.  165167CA3 08/14/07 05/15/37     97.625    VARIES    8.0008              0.259888   0.267507   0.275430   0.283671  0.292240     95.65   101.41
Chesapeake Energy Corp.  165167CB1 05/27/08 12/15/38    100.000    VARIES    8.0007              0.257634   0.265440   0.273558   0.282001  0.290782     94.41   100.28
Chesapeake Energy Corp.  165167CD7 02/02/09 02/15/15     97.750     9.500   10.0055     5.77     0.009049   0.009502   0.009977   0.010477  0.011001      3.47     3.82
Citigroup, Inc.          172967416 12/22/09 12/15/12    100.000     6.150    N/A                 0.111031   0.082645   0.053381   0.023209               33.94    12.93
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup, Inc.          172967432 12/22/09 12/15/12    100.000     6.150    N/A                 0.111031   0.082645   0.053381   0.023209               33.94    12.93
Citibank CR Card Iss Tr  17305EEL5 06/25/08 06/20/12     94.946     6.300    7.7994    30.10     0.037136   0.038584   0.040089                          13.66     6.78
Citigroup Global Markets 17307EBE2 07/01/04 09/07/16     51.400     0.000    5.5371   219.20     0.110831   0.113900   0.117053   0.120294  0.123624     41.16    43.47
Citigroup Funding, Inc.  17308CKY1 08/24/07 08/31/12    100.000     1.080    5.0702              0.158053   0.158674   0.163732   0.165314               58.50    40.08
Citigroup Funding, Inc.  17308CMW3 02/26/09 02/26/14    100.000     1.500    7.7625              0.236678   0.244247   0.252109   0.260277  0.268762     88.50    94.31
Citigroup Funding, Inc.  17308CMX1 04/28/09 04/28/14    100.000    VARIES    7.9615              0.245181   0.251624   0.261640   0.268738  0.279436     90.46    96.59
Citigroup Funding, Inc.  17308CMY9 06/29/09 06/29/14    100.000    VARIES    6.6887              0.189473   0.188999   0.188508   0.188001  0.187477     68.12    67.77
Citigroup Funding, Inc.  17308CMZ6 08/28/09 08/28/14    100.000     1.500    5.6150              0.162481   0.165873   0.169360   0.172945  0.176631     59.95    62.51
Citigroup Funding, Inc.  17308CNM4 02/12/10 02/12/20    100.000    VARIES    4.5259              0.122909   0.120033   0.118506   0.116944  0.116266     43.12    42.07
Citigroup Funding, Inc.  17308CNQ5 03/17/10 03/19/12    100.000     0.000    1.5048              0.042120   0.042437   0.042756                          15.29     3.33
Citigroup Funding, Inc.  17308CPA8 04/29/10 04/29/25    100.000    VARIES    5.9021              0.160590   0.157132   0.153572   0.149906  0.146133     56.75    54.16
Citigroup Funding, Inc.  17308CPC4 05/07/10 05/07/20    100.000    VARIES    5.0486              0.137471   0.134630   0.133101   0.131534  0.130967     48.74    47.52
Citigroup Funding, Inc.  17308CPQ3 05/24/10 05/24/16    100.000     0.000    4.5502              0.129273   0.132214   0.135222   0.138299  0.141445     47.29    49.46
Citigroup Funding, Inc.  17308CPT7 06/30/10 06/30/25    100.000    VARIES    5.8893              0.160232   0.156770   0.155058   0.153295  0.151481     57.06    55.50
Citigroup Funding, Inc.  17308CQH2 09/28/10 09/28/15    100.000    VARIES    2.0287              0.013576   0.013052   0.012523   0.012650  0.012779      4.69     4.55
Citigroup Funding, Inc.  17308CRW8 06/29/11 12/21/16    100.000     0.500    3.5733                         0.099260   0.100718   0.102269  0.103848     18.08    36.57
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000    7.3199    45.69     0.032512   0.033702   0.034935   0.036214  0.037539     12.03    12.93
Citigroup Funding, Inc.  1730T0AW9 09/07/06 09/07/11    100.000     0.125    5.2915              0.180333   0.185012                                     45.20         
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES    5.8403              0.156156   0.156205   0.156256   0.156308  0.156362     56.24    56.28
Citigroup Funding, Inc.  1730T0CH0 03/28/07 03/28/37    100.000    VARIES    5.6199              0.150425   0.150473   0.150522   0.150573  0.150624     54.17    54.21
Citigroup Funding, Inc.  1730T0CU1 05/25/07 05/25/22    100.000    VARIES    5.6847              0.144850   0.145260   0.145681   0.146114  0.146560     52.25    52.55
Citigroup Funding, Inc.  1730T0DN6 08/06/07 08/06/37    100.000     7.100    7.0999              0.243140   0.251772   0.260709   0.269965  0.279548     91.63    98.25
Citigroup Funding, Inc.  1730T0EJ4 10/29/07 10/29/19    100.000    VARIES    5.6410              0.151082   0.151324   0.151573   0.151829  0.152092     54.46    54.64
Citigroup Funding, Inc.  1730T0EX3 01/30/08 01/30/13    100.000     2.000    4.5340              0.134294   0.136079   0.137904   0.139771  0.141680     49.21    50.55
Citigroup Funding, Inc.  1730T0FG9 02/08/08 02/09/15    100.000     0.250    4.4200              0.136175   0.139031   0.141950   0.144934  0.147983     50.36    52.50
Citigroup Funding, Inc.  1730T0FT1 05/28/08 05/28/13    100.000    VARIES    5.2999              0.167790   0.172236   0.176801   0.181486  0.186295     61.50    64.80
Citigroup Funding, Inc.  1730T0FZ7 06/27/08 06/27/11    100.000     0.000    5.1751              0.163339                                                28.75         
Citigroup Funding, Inc.  1730T0GD5 07/30/08 07/30/13    100.000     4.000    5.6733              0.163097   0.164572   0.166089   0.167648  0.169252     59.43    60.55
Citigroup Funding, Inc.  1730T0GK9 08/29/08 08/29/13    100.000    VARIES    5.6500              0.159867   0.165287   0.161968   0.168373  0.166009     59.60    60.95
Citigroup Funding, Inc.  1730T0GM5 09/26/08 09/26/11    100.000     0.000    4.9497              0.151619   0.155371                                     40.85         
Citigroup Funding, Inc.  1730T0GQ6 10/30/08 10/30/13    100.000     0.000    8.1000              0.263727   0.274408   0.285521   0.297085  0.309117     98.19   106.31
Citigroup Funding, Inc.  1730T0GU7 10/29/08 10/29/11    100.000     0.000    6.3999              0.201648   0.208100                                     61.25         
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES    8.1831              0.216864   0.213093   0.209168   0.205082  0.200829     76.91    74.04
Citigroup Funding, Inc.  1730T0GZ6 05/28/09 05/28/24    100.000    VARIES    8.3422              0.220288   0.216152   0.211844   0.207356  0.202680     78.28    75.15
Citigroup Funding, Inc.  1730T0HA0 06/26/09 06/26/24    100.000    VARIES    8.1209              0.211918   0.206987   0.201857   0.196519  0.190963     75.35    71.65
Citigroup Funding, Inc.  1730T0HF9 08/28/09 08/28/24*   100.000    VARIES    6.4968              0.172209   0.167877   0.163405                          40.20*        
Citigroup Funding, Inc.  1730T0HG7 08/27/09 08/27/24    100.000    VARIES    6.9432              0.184908   0.180719   0.176385   0.171901  0.167261     64.76    61.56
Citigroup Funding, Inc.  1730T0HJ1 03/26/10 03/26/25*   100.000    VARIES    4.5899              0.122775   0.117943                                     21.05*        
Citigroup Funding, Inc.  1730T0HL6 04/29/10 04/29/25    100.000    VARIES    5.9253              0.161239   0.157787   0.154232   0.150572  0.146803     56.99    54.40
Citigroup Funding, Inc.  1730T0HM4 09/25/09 09/26/11    100.000     0.000    2.8426              0.081229   0.082384                                     21.73         
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES    5.9941              0.159007   0.151285   0.148851   0.146344  0.143762     55.22    52.82
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  1730T0HQ5 10/29/09 10/29/24    100.000    VARIES    5.8766              0.156411   0.152845   0.149174   0.149541  0.149920     55.22    53.81
Citigroup Funding, Inc.  1730T0HY8 04/16/10 04/16/15    100.000    VARIES    1.3863              0.010336   0.010050   0.010120   0.010189  0.010260      3.65     3.67
Citigroup Funding, Inc.  1730T0JA8 04/26/10 04/26/20    100.000    VARIES    5.0570              0.138054   0.135575   0.133033   0.130427  0.129858     48.93    47.22
Citigroup Funding, Inc.  1730T0JB6 05/28/10 05/28/25    100.000    VARIES    5.1185              0.138713   0.135153   0.134066   0.132952  0.131808     49.14    47.99
Citigroup Funding, Inc.  1730T0JC4 05/14/10 05/14/15    100.000    VARIES    1.6896              0.014451   0.013963   0.014081   0.014199  0.014319      5.10     5.10
Citigroup Funding, Inc.  1730T0JF7 06/29/10 06/29/22    100.000    VARIES    5.2411              0.142123   0.138568   0.137512   0.136429  0.135318     50.52    49.31
Citigroup Funding, Inc.  1730T0JG5 06/11/10 06/11/13    100.000    VARIES    2.1871              0.017596   0.017211   0.017399   0.017589  0.017782      6.26     6.31
Citigroup Funding, Inc.  1730T0JH3 06/24/10 06/24/20    100.000    VARIES    5.3515              0.148172   0.147677   0.149008   0.150375  0.151025     53.26    53.90
Citigroup Funding, Inc.  1730T0KD0 09/17/10 09/17/30*   100.000    VARIES    5.4485              0.151348   0.147071   0.142678                          38.26*        
Citigroup Funding, Inc.  1730T0KE8 09/09/10 09/09/20    100.000    VARIES    4.7845              0.132905   0.134168   0.135461   0.136785  0.138141     48.36    49.30
Citigroup Funding, Inc.  1730T0KF5 09/14/10 09/14/15    100.000    VARIES    2.0255              0.020378   0.020083   0.019786   0.019485  0.019182      7.22     7.00
Citigroup Funding, Inc.  1730T0KG3 09/14/10 09/14/17    100.000    VARIES    2.5063              0.019843   0.019273   0.018696   0.018111  0.017519      6.92     6.50
Citigroup Funding, Inc.  1730T0KH1 09/23/10 09/23/17    100.000    VARIES    2.6179              0.021611   0.020060   0.018488   0.018730  0.018976      7.19     6.75
Citigroup Funding, Inc.  1730T0KJ7 09/30/10 09/30/20    100.000    VARIES    4.6622              0.129508   0.130613   0.131744   0.132901  0.134085     47.03    47.85
Citigroup Funding, Inc.  1730T0KK4 10/13/10 10/13/15    100.000    VARIES    2.0006              0.019683   0.019402   0.019118   0.018832  0.018543      7.00     6.79
Citigroup Funding, Inc.  1730T0KR9 10/29/10 10/29/15    100.000    VARIES    1.9200              0.017557   0.017316   0.017073   0.016827  0.016579      6.25     6.07
Citigroup Funding, Inc.  1730T0KT5 11/04/10 11/04/20    100.000    VARIES    2.4350              0.024864   0.023789   0.022702   0.021601  0.020487      8.63     7.85
Citigroup Funding, Inc.  1730T0KU2 11/04/10 11/04/20    100.000    VARIES    2.5364              0.027680   0.026440   0.025184   0.023913  0.022625      9.60     8.69
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES    5.1245              0.142349   0.138879   0.135320   0.131670  0.127926     50.33    47.75
Citigroup Funding, Inc.  1730T0KW8 11/30/10 11/28/16    100.000     0.000    3.8990              0.108306   0.110394   0.112546   0.114740  0.116977     39.51    41.06
Citigroup Funding, Inc.  1730T0KX6 11/23/10 11/23/16    100.000    VARIES    1.4929              0.019694   0.018991   0.018283   0.018419  0.018557      6.91     6.62
Citigroup Funding, Inc.  1730T0KY4 11/19/10 11/19/20    100.000    VARIES    4.7108              0.130858   0.130015   0.129151   0.129838  0.130541     46.89    46.68
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES    5.5698              0.154718   0.150131   0.145415   0.140569  0.135587     54.39    50.97
Citigroup Funding, Inc.  1730T0LA5 11/15/10 11/15/15    100.000    VARIES    1.7358              0.009774   0.009449   0.009121   0.009200  0.009280      3.43     3.31
Citigroup Funding, Inc.  1730T0LB3 11/15/10 11/15/20    100.000    VARIES    2.2798              0.020664   0.019821   0.018969   0.018108  0.017236      7.21     6.59
Citigroup Funding, Inc.  1730T0LT4 03/14/11 03/18/13    100.000     0.000    1.5300              0.042502   0.042510   0.042835   0.043163  0.043493     12.23    15.55
Citigroup Funding, Inc.  1730T0LU1 03/30/11 09/21/16    100.000     0.500    3.9296                         0.109158   0.110937   0.112843  0.114788     29.76    40.67
Citigroup Funding, Inc.  1730T0LW7 03/16/11 03/16/26    100.000    VARIES    4.7595                         0.132209   0.130067   0.127874  0.127985     37.45    46.21
Citigroup Funding, Inc.  1730T0LZ0 03/31/11 04/01/26    100.000    VARIES    5.1428              0.142855   0.142848   0.141680   0.140481  0.139253     38.61    50.57
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES    5.0031                         0.138977   0.138926   0.138874  0.138821     37.52    49.99
Citigroup Funding, Inc.  1730T0MB2 04/28/11 10/26/16    100.000     0.500    3.6902                         0.102508   0.104125   0.105790  0.107485     25.01    38.00
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES    1.9784                         0.019402   0.018706   0.018002  0.017292      4.71     6.52
Citigroup Funding, Inc.  1730T0MQ9 06/29/11 06/27/18    100.000     0.000    3.9199                         0.108888   0.110999   0.113174  0.115392     19.83    40.37
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES    4.6545                         0.129294   0.129070   0.128842  0.128862     24.69    46.42
Citigroup Funding, Inc.  1730T0MU0 07/28/11 01/25/17    100.000     0.500    3.3819                                    0.093944   0.095275  0.096651     14.37    34.48
Citigroup Funding, Inc.  1730T0NB1 08/10/11 08/08/13    100.000     0.000    1.7601                                    0.048893   0.049318  0.049752      6.89    17.80
Citigroup Funding, Inc.  1730T0ND7 08/05/11 08/05/21    100.000    VARIES    3.3224                                    0.092289   0.092438  0.092589     13.47    33.29
Citigroup Funding, Inc.  1730T0NH8 08/30/11 02/24/17    100.000     0.500    3.8048                                    0.105692   0.107380  0.109159     12.79    38.79
Citigroup Funding, Inc.  1730T0NK1 08/26/11 08/26/16    100.000    VARIES    1.7275                                    0.011543   0.011161  0.010775      1.44     3.99
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES    2.3031                                    0.018988   0.018009  0.017513      2.34     6.59
Citigroup Funding, Inc.  1730T0NN5 09/07/11 09/07/18    100.000    VARIES    2.5979                                    0.021137   0.020510  0.019874      2.41     7.35
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  1730T0NQ8 09/29/11 09/29/26    100.000    VARIES    6.2445                                    0.173459   0.172154  0.170807     15.96    61.97
Citigroup Funding, Inc.  1730T0NS4 09/29/11 09/27/17    100.000     0.500    4.1394                                    0.114985   0.117054  0.119190     10.58    42.16
Citigroup Funding, Inc.  1730T0PD5 10/28/11 10/27/17    100.000     0.500    3.9008                                    0.108357   0.110189  0.112067      6.83    39.58
Citigroup Funding, Inc.  17311G250 12/21/07 07/17/12    100.000     0.000    5.0040              0.157852   0.161801   0.165849                          58.85     2.65
Citigroup Funding, Inc.  17311G540 08/24/07 08/31/12    100.000     2.800    5.0771              0.150533   0.149906   0.153448   0.153702               55.19    37.33
Citigroup Funding, Inc.  17311GBD3 10/10/07 10/10/14    100.000     0.000    5.1599              0.167002   0.171311   0.175730   0.180264  0.184915     61.60    64.82
Citigroup Funding, Inc.  17311GBT8 11/27/09 11/28/11    100.000     0.000    1.8690              0.052897   0.053391                                     17.39         
Citigroup Funding, Inc.  17311GBW1 11/27/09 12/05/11    100.000     0.000    1.8714              0.052985   0.053481                                     17.79         
Citigroup Funding, Inc.  17313G332 09/29/08 10/06/11    100.000     0.000    5.4179              0.167659   0.172201                                     46.92         
Citigroup Funding, Inc.  17313G746 04/29/08 05/07/13    100.000     0.000    5.5901              0.178450   0.183438   0.188565   0.193836  0.199254     65.69    69.41
Citigroup Funding, Inc.  17313T250 10/29/09 11/08/12    100.000     0.000    3.5401              0.101940   0.103744   0.105581   0.107449               37.22    32.75
Citigroup Funding, Inc.  17313T375 08/28/09 02/27/12    100.000     0.000    4.0753              0.117853   0.120255   0.122705                          43.46     6.87
Citigroup Funding, Inc.  17313T433 07/29/09 08/24/11    100.000     0.000    3.0656              0.087975   0.089323                                     20.74         
Citigroup Funding, Inc.  17313T557 05/27/09 07/27/11    100.000     0.000    2.4856              0.071066   0.071949                                     14.80         
Citigroup Funding, Inc.  17314V346 05/27/10 05/26/16    100.000     0.000    4.4491              0.126321   0.129131   0.132004   0.134940  0.137942     46.18    48.26
Citigroup Funding, Inc.  17314V569 03/30/10 09/28/15    100.000     0.000    4.6162              0.131157   0.134184   0.137281   0.140450  0.143692     48.33    50.59
Citigroup Funding, Inc.  17314V585 02/17/10 02/14/14    100.000     0.000    3.4655              0.097905   0.099601   0.101327   0.103083  0.104869     36.02    37.28
Citigroup Funding, Inc.  17314V593 02/17/10 02/14/13    100.000     0.000    2.5263              0.071048   0.071945   0.072854   0.073774  0.074706     25.99    26.65
Citigroup Funding, Inc.  17314V668 02/25/10 08/26/15    100.000     0.000    4.3617              0.123818   0.126518   0.129278   0.132097  0.134978     45.74    47.76
Citigroup Funding, Inc.  17314V767 01/28/10 07/29/15    100.000     0.000    4.4348              0.125938   0.128731   0.131585   0.134503  0.137486     46.70    48.79
Citigroup Funding, Inc.  17314V841 12/29/09 06/24/15    100.000     0.000    3.7789              0.108918   0.110976   0.113073   0.115210  0.117387     39.61    41.12
Citigroup Funding, Inc.  17316G784 10/28/10 10/27/16    100.000     0.000    3.6054              0.100153   0.101948   0.103786   0.105657  0.107562     36.61    37.94
Citigroup Funding, Inc.  17317U717 08/30/11 11/23/16    100.000     0.000    3.7251                         0.103477   0.104365   0.106309  0.108289     12.55    38.07
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510    6.4444     1.86     0.011025   0.011381   0.011747   0.012126  0.012517      4.04     4.31
Clark CNTY SCH DIST, NV  181059QG4 07/08/10 06/15/20     94.976     5.510    6.1946     1.80     0.010652   0.010982   0.011322   0.011673  0.012035      3.90     4.15
Clark CNTY SCH DIST, NV  181059QH2 07/08/10 06/15/20     94.976     5.510    6.1946     1.80     0.010652   0.010982   0.011322   0.011673  0.012035      3.90     4.15
Cogent Communications    19239VAA2 06/11/07 06/15/14     97.750     1.000    1.3372    11.15     0.008942   0.009001   0.009062   0.009122  0.009183      3.23     3.27
Cogent Communications    19239VAB0 06/11/07 06/15/14     97.750     1.000    1.3372    11.15     0.008942   0.009001   0.009062   0.009122  0.009183      3.23     3.27
Community Unit SD #5, IL 193863AF4 06/26/08 12/01/11    103.045    VARIES    4.5929              0.128700   0.128148                                     42.37         
Community Unit SD #5, IL 193863AG2 06/26/08 12/01/12    102.941    VARIES    4.8027              0.135164   0.134741   0.134308   0.133865               48.56    44.24
Community Unit SD #5, IL 193863AH0 06/26/08 12/01/13    102.730    VARIES    4.9590              0.139805   0.139483   0.139153   0.138815  0.138469     50.25    50.01
Community Unit SD #5, IL 193863AJ6 06/26/08 12/01/14    102.273    VARIES    5.1132              0.143999   0.143775   0.143545   0.143309  0.143067     51.79    51.62
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000   10.5154              0.785838   0.824234   0.864649   0.907189  0.951966    295.80   325.57
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000   10.3810              0.764293   0.801080   0.839777   0.880483  0.923301    285.24   313.49
CompuCredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES    9.1300              0.348816   0.354296   0.369994   0.378183  0.396992    129.00   137.79
CompuCredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES    9.1300              0.348816   0.354296   0.369994   0.378183  0.396992    129.00   137.79
CompuCredit Corporation  20478NAC4 11/23/05 01/31/36    100.000     5.875    N/A                 0.289581   0.300345   0.301581   0.311376  0.314691    109.49   114.18
CompuCredit Corporation  20478NAD2 11/23/05 01/31/36    100.000     5.875    N/A                 0.289581   0.300345   0.301581   0.311376  0.314691    109.49   114.18
Conseco, Inc.            208464BG1 08/15/05 09/30/35     99.000     3.500    7.3752              0.250299   0.259529   0.269099   0.279023  0.289312     93.48   100.50
Conseco, Inc.            208464BH9 08/15/05 09/30/35     99.000     3.500    7.3752              0.250299   0.259529   0.269099   0.279023  0.289312     93.48   100.50
Convergys Corporation    212485AE6 10/13/09 09/15/29    114.396    VARIES   14.1017              0.486821   0.509885   0.534574   0.561004  0.589298    184.47   203.00
Cook County, Illinois    213309KR7 04/28/05 12/01/16     52.896     0.000    5.5696   193.58     0.111269   0.114368   0.117553   0.120827  0.124191     40.80    43.11
Cook County, Illinois    213309KS5 04/28/05 12/01/17     49.824     0.000    5.6095   183.84     0.105789   0.108756   0.111807   0.114943  0.118167     38.80    41.01
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, Illinois    213309KT3 04/28/05 12/01/18     46.339     0.000    5.7396   175.56     0.101385   0.104295   0.107288   0.110367  0.113534     37.20    39.37
Cook County, Illinois    213309KU0 04/28/05 12/01/19     43.603     0.000    5.7697   166.19     0.096056   0.098827   0.101678   0.104612  0.107630     35.25    37.31
Cook County, Illinois    213309KV8 04/28/05 12/01/20     40.881     0.000    5.8197   157.38     0.091088   0.093738   0.096466   0.099273  0.102162     33.43    35.40
Cook County, IL SD #88   214183KP9 06/15/10 06/01/30     25.818     0.000    6.8998     9.75     0.051058   0.052819   0.054641   0.056526  0.058476     18.81    20.13
Cook County, IL SD #88   214183KR5 06/15/10 12/01/26     33.796     0.000    6.6997    12.39     0.064839   0.067011   0.069256   0.071576  0.073974     23.87    25.49
Cook County, IL SD #88   214183KS3 06/15/10 12/01/27     31.374     0.000    6.7498    11.58     0.060656   0.062703   0.064819   0.067007  0.069268     22.33    23.86
Cook County, IL SD #88   214183KT1 06/15/10 12/01/28     29.098     0.000    6.7998    10.82     0.056685   0.058612   0.060605   0.062666  0.064796     20.87    22.31
Cook County, IL SD #88   214183KU8 06/15/10 12/01/29     26.961     0.000    6.8498    10.10     0.052920   0.054733   0.056607   0.058546  0.060551     19.49    20.85
Cook County, IL SD #89   214201FW0 09/07/05 12/01/11     73.907     0.000    4.9088   217.49     0.129902   0.133090                                     43.44         
Cook County, IL SD #89   214201FX8 09/07/05 12/01/12     70.159     0.000    4.9590   208.83     0.124896   0.127993   0.131167   0.134419               45.71    43.87
Cook County, IL SD #89   214201FY6 09/07/05 12/01/13     66.377     0.000    5.0390   201.16     0.120561   0.123599   0.126713   0.129905  0.133178     44.13    46.39
Cook County, IL SD #89   214201FZ3 09/07/05 12/01/14     62.531     0.000    5.1492   194.17     0.116713   0.119718   0.122800   0.125962  0.129205     42.74    44.97
Cook County, IL SD #89   214201GB5 12/13/07 12/01/14     67.830     0.000    5.6497   125.70     0.125586   0.129133   0.132781   0.136532  0.140389     46.07    48.70
Cook County, IL SD #89   214201GC3 12/13/07 12/01/15     63.659     0.000    5.7497   120.21     0.120297   0.123755   0.127313   0.130973  0.134739     44.14    46.71
Cook County, IL SD #89   214201GD1 12/13/07 12/01/16     59.629     0.000    5.8497   114.71     0.114971   0.118334   0.121795   0.125358  0.129024     42.20    44.70
Cook County, IL SD #89   214201GE9 12/13/07 12/01/17     55.745     0.000    5.9498   109.21     0.109639   0.112901   0.116259   0.119718  0.123279     40.26    42.69
Cook County, IL SD #89   214201GF6 12/13/07 12/01/18     52.014     0.000    6.0498   103.75     0.104319   0.107475   0.110726   0.114075  0.117526     38.32    40.67
Cook County, IL SD #89   214201GG4 12/13/07 12/01/19     48.439     0.000    6.1497    98.34     0.099039   0.102084   0.105223   0.108459  0.111794     36.39    38.66
Cook County, IL SD #89   214201GH2 12/13/07 12/01/20     45.022     0.000    6.2498    93.01     0.093820   0.096751   0.099775   0.102893  0.106108     34.48    36.67
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000    6.3498    87.78     0.088681   0.091497   0.094401   0.097399  0.100491     32.60    34.71
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000    6.3998    82.56     0.083476   0.086147   0.088904   0.091749  0.094685     30.69    32.69
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000    6.4498    77.57     0.078496   0.081028   0.083641   0.086338  0.089122     28.87    30.76
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000    6.4698    72.81     0.073696   0.076080   0.078541   0.081082  0.083705     27.11    28.89
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000    7.7796     2.37     0.074236   0.077123   0.080123   0.083240  0.086478     27.34    29.51
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000    7.9996     2.19     0.068516   0.071256   0.074106   0.077070  0.080153     25.25    27.31
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES    7.6950              0.234738   0.243769   0.233614   0.233251  0.232873     86.11    84.02
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000    8.2496     2.01     0.062863   0.065456   0.068156   0.070967  0.073895     23.18    25.13
Cook County, IL SD #104  214471HQ0 12/30/02 12/01/22     21.989     0.000    7.7496   184.27     0.086443   0.089793   0.093272   0.096886  0.100641     31.93    34.45
Cook County, IL SD #104  214471JT2 02/08/07 12/01/11     77.556     0.000    5.3485   177.25     0.140931   0.144700                                     47.19         
Cook County, IL SD #104  214471JU9 02/08/07 12/01/12     73.485     0.000    5.3685   168.64     0.134134   0.137735   0.141432   0.145229               49.16    47.36
Cook County, IL SD #104  214471JV7 02/08/07 12/01/13     69.553     0.000    5.3989   160.60     0.127819   0.131269   0.134813   0.138452  0.142190     46.85    49.41
Cook County, IL SD #123  214651JV4 10/15/07 12/01/13     71.288     0.000    5.5988   138.41     0.131780   0.135469   0.139262   0.143160  0.147168     48.33    51.07
Cook County, IL SD #123  214651JW2 10/15/07 12/01/14     66.759     0.000    5.7491   133.37     0.127302   0.130961   0.134726   0.138598  0.142582     46.71    49.43
Cook County, IL SD #123  214651JX0 10/15/07 12/01/15     62.337     0.000    5.8991   128.05     0.122530   0.126144   0.129864   0.133695  0.137638     44.98    47.67
Cook County, IL SD #123  214651JY8 10/15/07 12/01/16     58.297     0.000    5.9991   121.95     0.116886   0.120392   0.124003   0.127723  0.131554     42.92    45.54
Cook County, IL SD #123  214651JZ5 10/15/07 12/01/17     54.681     0.000    6.0492   115.42     0.110719   0.114068   0.117518   0.121073  0.124735     40.67    43.16
Cook County, IL SD #123  214651KA8 10/15/07 12/01/18     51.240     0.000    6.0992   109.13     0.104768   0.107963   0.111256   0.114649  0.118145     38.49    40.87
Cook County, IL SD #123  214651KB6 10/15/07 12/01/19     48.025     0.000    6.1392   103.01     0.098960   0.101998   0.105129   0.108356  0.111682     36.36    38.62
Cook County, IL SD #123  214651KC4 10/15/07 12/01/20     44.691     0.000    6.2294    97.39     0.093698   0.096617   0.099626   0.102729  0.105929     34.43    36.61
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000    6.2694    91.73     0.088312   0.091080   0.093935   0.096880  0.099917     32.46    34.53
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000    6.2794    86.26     0.083061   0.085669   0.088358   0.091132  0.093994     30.53    32.48
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000    6.2895    81.10     0.078107   0.080563   0.083097   0.085710  0.088405     28.71    30.54
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000    6.2995    76.24     0.073434   0.075747   0.078132   0.080593  0.083132     26.99    28.72
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000    6.3095    71.65     0.069027   0.071204   0.073451   0.075768  0.078158     25.37    27.00
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000    6.3195    67.32     0.064871   0.066921   0.069035   0.071217  0.073467     23.85    25.38
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000    6.3295    65.25     0.062883   0.064873   0.066926   0.069044  0.071229     23.12    24.60
Cook County, IL SD #127  214723CV8 09/07/05 12/01/19     46.971     0.000    5.3794   153.25     0.092672   0.095164   0.097724   0.100352  0.103052     33.96    35.81
Cook County, IL SD #127  214723CW6 09/07/05 12/01/20     44.082     0.000    5.4494   145.95     0.088420   0.090829   0.093304   0.095847  0.098458     32.41    34.20
Cook County, IL SD #127  214723CX4 09/07/05 12/01/21     41.315     0.000    5.5194   138.78     0.084234   0.086559   0.088948   0.091402  0.093925     30.88    32.61
Cook County, IL SD #127  214723CY2 09/07/05 12/01/22     38.734     0.000    5.5794   131.72     0.080075   0.082309   0.084605   0.086965  0.089391     29.36    31.03
Cook County, IL SD #127  214723CZ9 09/07/05 12/01/23     36.271     0.000    5.6395   124.86     0.076024   0.078168   0.080372   0.082638  0.084968     27.88    29.48
Cook County, IL SD #127  214723DA3 09/07/05 12/01/24     33.990     0.000    5.6895   118.19     0.072056   0.074106   0.076214   0.078382  0.080612     26.43    27.96
Cook County, IL SD #127  214723DC9 09/07/05 12/01/13     66.537     0.000    5.0090   200.29     0.119949   0.122954   0.126033   0.129190  0.132425     43.90    46.13
Cook County, Illinois    215030CN5 01/08/04 12/01/12     63.060     0.000    5.2494   274.90     0.131462   0.134913   0.138454   0.142088               48.16    46.34
Cook County, Illinois    215030CP0 01/08/04 12/01/13     58.732     0.000    5.4494   267.58     0.128825   0.132335   0.135941   0.139645  0.143450     47.22    49.83
Cook County, Illinois    215030CQ8 01/08/04 12/01/14     54.489     0.000    5.6495   259.11     0.125582   0.129130   0.132777   0.136528  0.140385     46.06    48.70
Cook County, Illinois    215030CR6 01/08/04 12/01/15     50.650     0.000    5.7994   248.51     0.121044   0.124554   0.128166   0.131883  0.135707     44.42    47.03
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27     94.524     6.000    6.5007     3.83     0.004688   0.004841   0.004998   0.005161  0.005328      1.72     1.84
Cook County, Illinois    215093EV3 06/17/03 12/01/13     59.669     0.000    4.9998   269.20     0.119760   0.122754   0.125823   0.128968  0.132192     43.83    46.05
Cook County, Illinois    215093EW1 06/17/03 12/01/14     55.539     0.000    5.1998   262.51     0.117628   0.120686   0.123824   0.127043  0.130346     43.08    45.35
Cook County, Illinois    215093EX9 06/17/03 12/01/15     51.495     0.000    5.3998   254.62     0.114915   0.118017   0.121204   0.124476  0.127837     42.12    44.42
Cook County, IL SD #153  215183FW9 12/10/03 12/01/12     60.122     0.000    5.7499   295.87     0.142600   0.146700   0.150917   0.155256               52.32    50.58
Cook County, IL SD #153  215183FX7 12/10/03 12/01/13     55.449     0.000    5.9998   287.18     0.139578   0.143766   0.148078   0.152521  0.157096     51.26    54.38
Cook County, IL SD #153  215183FY5 12/10/03 12/01/14     51.438     0.000    6.1497   274.47     0.134071   0.138194   0.142443   0.146823  0.151338     49.26    52.33
Cook County, IL SD #153  215183FZ2 12/10/03 12/01/15     47.578     0.000    6.2999   261.42     0.128334   0.132376   0.136546   0.140847  0.145284     47.17    50.19
Cook County, IL SD #153  215183GJ7 05/14/08 12/15/13     74.458     0.000    5.3491   110.99     0.126826   0.130218   0.133700   0.137276  0.140948     46.38    48.89
Cook County, IL SD #153  215183GK4 05/14/08 12/15/14     69.640     0.000    5.5691   108.33     0.124183   0.127641   0.131196   0.134849  0.138604     45.44    48.01
Cook County, IL SD #153  215183GL2 05/14/08 12/15/15     64.808     0.000    5.7992   105.24     0.121041   0.124551   0.128162   0.131879  0.135703     44.32    46.93
Cook County, IL SD #153  215183GM0 05/14/08 12/15/16     59.694     0.000    6.0984   102.42     0.116837   0.119742   0.123393   0.127155  0.131753     43.29    45.99
Cook County, IL SD #153  215183GN8 05/14/08 12/15/17     55.331     0.000    6.2694    97.63     0.113047   0.116590   0.120245   0.124014  0.127902     41.45    44.09
Cook County, IL SD #153  215183GP3 05/14/08 12/15/18     51.329     0.000    6.3994    92.57     0.107395   0.110831   0.114378   0.118038  0.121814     39.39    41.95
Cook County, IL SD #153  215183GQ1 05/14/08 12/15/19     47.338     0.000    6.5593    87.66     0.101928   0.105271   0.108723   0.112289  0.115972     37.40    39.90
Cook County, IL SD #155  215219EG7 02/01/01 12/01/14     37.337     0.000    7.2490   383.31     0.151454   0.156943   0.162632   0.168526  0.174635     55.85    59.97
Cook County, IL SD #155  215219EH5 02/01/01 12/01/15     34.277     0.000    7.3490   358.58     0.142300   0.147529   0.152950   0.158570  0.164397     52.49    56.42
Cook County, IL SD #155  215219FN1 06/30/03 12/01/18     44.637     0.000    5.2998   214.59     0.096877   0.099444   0.102079   0.104784  0.107561     35.49    37.40
Cook County, IL SD #155  215219FP6 06/30/03 12/01/19     41.690     0.000    5.3998   204.95     0.092857   0.095364   0.097939   0.100583  0.103299     34.03    35.89
Cook County, IL SD #155  215219FQ4 06/30/03 12/01/20     39.193     0.000    5.4498   194.82     0.088423   0.090832   0.093307   0.095850  0.098462     32.41    34.20
Cook County, IL SD #155  215219FR2 06/30/03 12/01/21     36.482     0.000    5.5497   185.34     0.084422   0.086765   0.089172   0.091647  0.094190     30.96    32.70
Cook County, IL SD #155  215219FS0 06/30/03 12/01/22     33.892     0.000    5.6497   175.93     0.080421   0.082693   0.085029   0.087431  0.089901     29.50    31.19
Cook County, IL SD #155  215219GA8 06/02/05 12/01/15     59.242     0.000    5.0500   190.15     0.109319   0.112080   0.114910   0.117811  0.120786     40.02    42.07
Cook County, IL SD #155  215219GB6 06/02/05 12/01/16     55.669     0.000    5.1601   183.10     0.105585   0.108309   0.111103   0.113970  0.116910     38.67    40.69
Cook County, IL SD #155  215219GC4 06/02/05 12/01/17     52.327     0.000    5.2501   175.52     0.101466   0.104129   0.106863   0.109668  0.112547     37.17    39.15
Cook County, IL SD #155  215219GD2 06/02/05 12/01/18     49.294     0.000    5.3100   167.50     0.096987   0.099562   0.102206   0.104919  0.107705     35.54    37.45
Cook County, IL SD #155  215219GE0 06/02/05 12/01/19     46.448     0.000    5.3600   159.52     0.092496   0.094975   0.097520   0.100133  0.102817     33.90    35.74
Cook County, IL SD #155  215219GF7 06/02/05 12/01/20     43.922     0.000    5.3801   151.49     0.087886   0.090251   0.092678   0.095171  0.097732     32.21    33.96
Cook County, IL SD #155  215219GG5 06/02/05 12/01/21     41.054     0.000    5.4700   144.30     0.083923   0.086218   0.088576   0.090999  0.093488     30.76    32.47
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #155  215219GH3 06/02/05 12/01/22     38.699     0.000    5.5000   136.88     0.079670   0.081861   0.084112   0.086426  0.088802     29.21    30.84
Cook County, IL SD #155  215219GQ3 06/02/05 12/01/23     36.261     0.000    5.5600   129.86     0.075709   0.077814   0.079977   0.082201  0.084486     27.76    29.33
Cook County, IL SD #155  215219GR1 06/02/05 12/01/24     34.002     0.000    5.6100   123.02     0.071823   0.073838   0.075909   0.078038  0.080227     26.34    27.84
Cook County, IL SD #155  215219HB5 06/29/06 12/01/16     54.002     0.000    5.9995   164.88     0.116891   0.120397   0.124009   0.127729  0.131561     42.93    45.54
Cook County, IL SD #155  215219HC3 06/29/06 12/01/17     50.621     0.000    6.0495   156.01     0.110723   0.114072   0.117522   0.121077  0.124739     40.67    43.16
Cook County, IL SD #155  215219HD1 06/29/06 12/01/18     47.405     0.000    6.0996   147.46     0.104772   0.107967   0.111260   0.114653  0.118150     38.49    40.87
Cook County, IL SD #155  215219HE9 06/29/06 12/01/19     44.524     0.000    6.1196   139.01     0.098813   0.101837   0.104953   0.108164  0.111474     36.30    38.56
Cook County, IL SD #155  215219HF6 06/29/06 12/01/20     41.744     0.000    6.1496   131.05     0.093217   0.096083   0.099038   0.102083  0.105222     34.25    36.39
Cook County, IL SD #155  215219HG4 06/29/06 12/01/21     39.173     0.000    6.1696   123.43     0.087836   0.090546   0.093339   0.096219  0.099187     32.27    34.30
Cook County, IL SD #155  215219HH2 06/29/06 12/01/22     36.688     0.000    6.1996   116.23     0.082770   0.085336   0.087981   0.090709  0.093520     30.42    32.33
Cook County, IL SD #155  215219HJ8 06/29/06 12/01/23     34.398     0.000    6.2197   109.37     0.077923   0.080346   0.082845   0.085421  0.088077     28.64    30.44
Cook County, IL SD #155  215219HK5 06/29/06 12/01/24     32.181     0.000    6.2498   102.88     0.073347   0.075639   0.078003   0.080441  0.082954     26.96    28.67
Cook County, IL SD #155  215219HL3 06/29/06 12/01/25     30.147     0.000    6.2697    96.73     0.068989   0.071152   0.073382   0.075683  0.078055     25.36    26.97
Cook County, IL SD #155  215219HM1 06/29/06 06/01/26     29.062     0.000    6.2996    93.75     0.066910   0.069017   0.071191   0.073434  0.075747     24.60    26.17
Cook County, IL SD #155  215219JE7 06/29/06 12/01/11     73.537     0.000    5.7490   214.05     0.150896   0.155233                                     50.58         
Cook County, IL SD #155  215219JF4 06/29/06 12/01/12     69.397     0.000    5.7692   202.80     0.143027   0.147153   0.151398   0.155765               52.48    50.75
Cook County, IL SD #155  215219JG2 06/29/06 12/01/13     65.418     0.000    5.7993   192.29     0.135704   0.139639   0.143688   0.147855  0.152142     49.80    52.73
Cook County, IL SD #155  215219JH0 06/29/06 12/01/14     61.530     0.000    5.8495   182.61     0.129020   0.132794   0.136678   0.140675  0.144789     47.36    50.17
Cook County, IL SD #155  215219JJ6 06/29/06 12/01/15     57.818     0.000    5.8994   173.23     0.122533   0.126148   0.129869   0.133700  0.137643     44.98    47.68
Cook County, IL SD #155  215219JK3 06/29/06 12/01/16     54.002     0.000    5.9995   164.88     0.116891   0.120397   0.124009   0.127729  0.131561     42.93    45.54
Cook County, IL SD #155  215219JL1 06/29/06 12/01/17     50.621     0.000    6.0495   156.01     0.110723   0.114072   0.117522   0.121077  0.124739     40.67    43.16
Cook County, IL SD #155  215219JM9 06/29/06 12/01/18     47.405     0.000    6.0996   147.46     0.104772   0.107967   0.111260   0.114653  0.118150     38.49    40.87
Cook County, IL SD #155  215219JN7 06/29/06 12/01/19     44.524     0.000    6.1196   139.01     0.098813   0.101837   0.104953   0.108164  0.111474     36.30    38.56
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000    6.7493    33.36     0.079103   0.081772   0.084532   0.087384  0.090333     29.12    31.12
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000    6.7993    31.22     0.074068   0.076586   0.079189   0.081881  0.084665     27.27    29.16
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000    6.8493    29.19     0.069282   0.071655   0.074109   0.076647  0.079272     25.51    27.29
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000    6.8993    27.27     0.064740   0.066973   0.069284   0.071674  0.074146     23.84    25.52
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000    6.9993    25.41     0.060371   0.062484   0.064671   0.066934  0.069276     22.24    23.83
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000    7.0994    23.63     0.056177   0.058171   0.060236   0.062374  0.064589     20.70    22.20
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000    7.1494    22.77     0.054148   0.056083   0.058088   0.060165  0.062315     19.96    21.41
Cook County, Illinois    215255EW6 06/30/04 12/01/11     66.619     0.000    5.5494   284.92     0.145940   0.149990                                     48.89         
Cook County, Illinois    215255EX4 06/30/04 12/01/12     62.198     0.000    5.7195   275.62     0.141930   0.145989   0.150164   0.154458               52.07    50.33
Cook County, Illinois    215255EY2 06/30/04 12/01/13     57.985     0.000    5.8696   264.93     0.137068   0.141090   0.145231   0.149493  0.153881     50.31    53.31
Cook County, Illinois    215255EZ9 06/30/04 12/01/14     53.847     0.000    6.0295   253.99     0.132065   0.136046   0.140148   0.144373  0.148726     48.50    51.47
Cook County, Illinois    215255FA3 06/30/04 12/01/15     50.015     0.000    6.1596   241.99     0.126333   0.130224   0.134235   0.138369  0.142631     46.42    49.32
Cook County SD #162, IL  215291LD5 06/30/11 12/01/13    100.000     0.000    2.9998                         0.083328   0.084376   0.085642  0.086926     15.11    30.68
Cook County SD #162, IL  215291LE3 06/30/11 12/01/14    100.000     0.000    3.2494                         0.090264   0.091494   0.092981  0.094491     16.37    33.30
Cook County SD #162, IL  215291LF0 06/30/11 12/01/15    100.000     0.000    3.9996                         0.111101   0.112965   0.115224  0.117529     20.17    41.21
Cook County SD #162, IL  215291LG8 06/30/11 12/01/16    100.000     0.000    4.3994                         0.122208   0.124463   0.127201  0.129999     22.19    45.47
Cook County SD #162, IL  215291LH6 06/30/11 12/01/17    100.000     0.000    4.7493                         0.131927   0.134555   0.137750  0.141021     23.96    49.21
Cook County SD #162, IL  215291LJ2 06/30/11 12/01/18    100.000     0.000    4.9995                         0.138877   0.141790   0.145334  0.148967     25.22    51.90
Cook County SD #162, IL  215291LK9 06/30/11 12/01/19    100.000     0.000    5.2494                         0.145819   0.149030   0.152941  0.156956     26.49    54.59
Cook County SD #162, IL  215291LL7 06/30/11 12/01/20    100.000     0.000    5.5207                         0.153354   0.156905   0.161237  0.165687     27.86    57.53
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County SD #162, IL  215291LM5 06/30/11 12/01/21    100.000     0.000    5.7496                         0.159711   0.163563   0.168265  0.173102     29.02    60.02
Cook County SD #162, IL  215291LP8 06/30/11 12/01/23    100.000     0.000    6.1246                         0.170129   0.174500   0.179844  0.185351     30.92    64.11
Cook County SD #162, IL  215291LQ6 06/30/11 12/01/24    100.000     0.000    6.2495                         0.173598   0.178149   0.183715  0.189456     31.56    65.47
Cook County SD #162, IL  215291LT0 06/30/11 12/01/27    100.000     0.000    6.7497                         0.187492   0.192800   0.199307  0.206033     34.10    70.98
Cook County SD #162, IL  215291LU7 06/30/11 12/01/28    100.000     0.000    6.8747                         0.190965   0.196471   0.203225  0.210210     34.73    72.36
Cook County SD #162, IL  215291LV5 06/30/11 12/01/29    100.000     0.000    6.9496                         0.193046   0.198673   0.205577  0.212720     35.11    73.19
Cook County SD #162, IL  215291LW3 06/30/11 12/01/30    100.000     0.000    6.9996                         0.194436   0.200144   0.207149  0.214399     35.36    73.74
Cook County, Illinois    215381HQ0 08/07/03 12/01/12     61.760     0.000    5.2392   288.07     0.131233   0.134671   0.138198   0.141819               48.07    46.26
Cook County, Illinois    215381HR8 08/07/03 12/01/13     57.537     0.000    5.4293   280.02     0.128425   0.131911   0.135492   0.139170  0.142948     47.07    49.66
Cook County, Illinois    215381HS6 08/07/03 12/01/14     53.466     0.000    5.6091   270.58     0.124881   0.128384   0.131984   0.135686  0.139492     45.80    48.41
Cook County, Illinois    215903EV3 06/17/03 12/01/13     59.669     0.000    4.9998   269.20     0.119760   0.122754   0.125823   0.128968  0.132192     43.83    46.05
Cook County, Illinois    215903EW1 06/17/03 12/01/14     55.539     0.000    5.1998   262.51     0.117628   0.120686   0.123824   0.127043  0.130346     43.08    45.35
Cook County, Illinois    215903EX9 06/17/03 12/01/15     51.495     0.000    5.3998   254.62     0.114915   0.118017   0.121204   0.124476  0.127837     42.12    44.42
Corvallie, Benton County 2208855G8 03/12/02 01/01/12     53.670     0.000    6.4489   401.80     0.168120   0.173541                                     61.50         
Corvallie, Benton County 2208855H6 03/12/02 01/01/13     49.793     0.000    6.5588   380.98     0.160130   0.165381   0.170805   0.176406               58.59    62.50
Corvallie, Benton County 2208855J2 03/12/02 01/01/14     46.414     0.000    6.6090   358.64     0.151050   0.156042   0.161198   0.166525               55.28    58.99
Corvallie, Benton County 2208855K9 03/12/02 01/01/15     43.223     0.000    6.6591   337.26     0.142337   0.147077   0.151974   0.157034               52.09    55.62
Corvallie, Benton County 2208855L7 03/12/02 01/01/16     39.945     0.000    6.7591   317.77     0.134661   0.139212   0.143917   0.148781               49.30    52.69
Corvallie, Benton County 2208855M5 03/12/02 01/01/17     37.109     0.000    6.8092   298.06     0.126566   0.130875   0.135331   0.139938               46.34    49.55
Corvallie, Benton County 2208855N3 03/12/02 01/01/18     34.442     0.000    6.8591   279.28     0.118834   0.122909   0.127124   0.131484               43.51    46.55
Corvallie, Benton County 2208855P8 03/12/02 01/01/19     31.935     0.000    6.9091   261.42     0.111462   0.115313   0.119296   0.123417               40.82    43.69
Corvallie, Benton County 2208855Q6 03/12/02 01/01/20     29.582     0.000    6.9592   244.45     0.104441   0.108075   0.111836   0.115727               38.25    40.96
Corvallie, Benton County 2208855R4 03/12/02 01/01/21     27.475     0.000    6.9893   228.33     0.097673   0.101086   0.104619   0.108275               35.78    38.32
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000    7.0193   213.15     0.091288   0.094492   0.097808   0.101241               33.44    35.83
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000    7.0594   198.82     0.085292   0.088302   0.091419   0.094646               31.25    33.49
Costco Companies, Inc.   22160QAA0 08/19/97 08/19/17     49.960     0.000    3.5000   294.83     0.076258   0.077592   0.078950   0.080332  0.081738     28.05    29.04
Costco Companies, Inc.   22160QAB8 08/19/97 08/19/17     49.960     0.000    3.5000   294.83     0.076258   0.077592   0.078950   0.080332  0.081738     28.05    29.04
Costco Companies, Inc.   22160QAC6 08/19/97 08/19/17     49.960     0.000    3.5000   294.83     0.076258   0.077592   0.078950   0.080332  0.081738     28.05    29.04
Credit Suisse USA, Inc.  22541FDR4 04/28/06 04/29/13    100.000     0.000    5.5223              0.196044   0.201457   0.207020   0.212736  0.218610     72.23    76.27
Credit Suisse USA, Inc.  22541FEJ1 12/28/06 01/14/11    100.000     0.000    4.9860              0.164922                                                 2.14         
Credit Suisse USA, Inc.  22541FEN2 01/31/07 01/31/11    100.000     0.000    5.2714              0.175678                                                 5.09         
Credit Suisse USA, Inc.  22541FER3 02/28/07 11/30/11    100.000     0.000    5.0891              0.170695   0.175038                                     56.94         
Credit Suisse USA, Inc.  22541HBF8 09/01/06 08/26/13    100.000     1.000    5.3576              0.177223   0.181226   0.185337   0.189558  0.193892     65.54    68.55
Credit Suisse USA, Inc.  22541HBK7 10/18/06 10/11/11    100.000     0.250    5.3153              0.180325   0.184933                                     51.32         
Credit Suisse USA, Inc.  22541HBQ4 02/13/07 02/07/14*   100.000     2.000    N/A                 0.162739   0.165538                                     13.47*        
Credit Suisse USA, Inc.  22541HBU5 04/27/07 04/21/14    100.000     0.250    5.0791              0.166697   0.170754   0.174914   0.179180  0.183554     61.32    64.34
Credit Suisse USA, Inc.  22541HBV3 05/11/07 05/05/14    100.000     1.750    5.1032              0.159631   0.162464   0.165369   0.168348  0.171403     58.30    60.41
Credit Suisse USA, Inc.  22541HCU4 03/04/11 03/01/16    100.000     0.000    3.0020                         0.083389   0.084620   0.085890  0.087180     24.91    31.00
Credit Suisse USA, Inc.  22541HCW0 06/23/11 06/22/18    100.000     0.000    3.6401                         0.101116   0.102947   0.104820  0.106728     19.03    37.43
Credit Suisse USA, Inc.  22546E2G8 03/31/11 03/31/15    100.000     0.000    2.6796                         0.074435   0.075432   0.076443  0.077467     20.26    27.52
Credit Suisse USA, Inc.  22546E4R2 04/29/11 04/29/16    100.000     0.000    3.1146                         0.086517   0.087864   0.089233  0.090622     21.02    32.05
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22546E4S0 04/28/11 04/27/15    100.000     0.000    2.6068                         0.072414   0.073353   0.074309  0.075277     17.66    26.70
Credit Suisse USA, Inc.  22546E6C3 05/31/11 05/31/16    100.000     0.000    2.8780                         0.079947   0.081097   0.082264  0.083448     16.90    29.48
Credit Suisse USA, Inc.  22546E6E9 05/31/11 05/31/16    100.000     0.000    2.7670                         0.076862   0.077925   0.079003  0.080096     16.25    28.31
Credit Suisse USA, Inc.  22546EB94 10/28/10 10/28/30    100.000    VARIES    3.9512              0.109757   0.110004   0.110257   0.110515  0.110777     39.59    39.77
Credit Suisse USA, Inc.  22546EN59 02/16/11 05/16/12    100.000     0.000    0.7902              0.021953   0.021996   0.022083                           6.93     2.98
Credit Suisse USA, Inc.  22546TAL5 06/30/11 06/30/16    100.000     0.000    3.0499                         0.084721   0.086013   0.087325  0.088656     15.34    31.20
Credit Suisse USA, Inc.  22546TEK3 09/29/11 10/01/15    100.000     0.000    1.1278                         0.031329   0.031331   0.031508  0.031685      2.88    11.34
Credit Suisse USA, Inc.  2254C0MP9 03/30/07 09/30/11    100.000     0.000    4.9795              0.164304   0.168394                                     44.93         
Credit Suisse USA, Inc.  2254C0MW4 04/27/07 10/31/11    100.000     0.000    4.9514              0.163290   0.167333                                     49.55         
Credit Suisse USA, Inc.  2254C0NA1 04/30/07 07/29/11    100.000     0.000    4.9688              0.161883   0.165905                                     34.40         
Credit Suisse USA, Inc.  2254C0NP8 05/17/07 05/17/12    100.000     0.000    5.0303              0.166269   0.170451   0.174738                          60.98    23.76
Credit Suisse USA, Inc.  2254M0BJ4 12/31/10 04/01/13    100.000     0.000    1.3660              0.037945   0.038076   0.038336   0.038598  0.038862     13.72    13.90
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES    2.0492                         0.012158   0.011708   0.011253  0.010793      3.74     4.01
Credit Suisse USA, Inc.  2254M0DD5 02/28/11 05/28/13    100.000     0.000    1.5362              0.042674   0.042834   0.043163   0.043495  0.043829     12.89    15.62
Credit Suisse USA, Inc.  2254M0GM2 07/29/11 07/29/16    100.000    VARIES    0.9093                                    0.001648   0.001656  0.001663       .25      .60
Credit Suisse USA, Inc.  2254M0H58 08/17/11 08/17/17    100.000    VARIES    1.2913                                    0.026678   0.026850  0.027023      3.57     9.68
Credit Suisse USA, Inc.  2254M0HK5 08/18/11 08/18/16    100.000    VARIES    1.4617                                    0.004882   0.004831  0.004779       .65     1.73
Credit Suisse USA, Inc.  2254M0HM1 08/26/11 08/26/17    100.000    VARIES    1.7291                                    0.000364   0.000367  0.000370       .05      .13
Credit Suisse USA, Inc.  2254M0HP4 09/06/11 09/06/18    100.000    VARIES    1.6149                                    0.000083   0.000081  0.000079       .01      .03
Credit Suisse USA, Inc.  2254M0HV1 09/13/11 09/13/16    100.000    VARIES    1.4720                                    0.003975   0.003932  0.003890       .43     1.41
Credit Suisse USA, Inc.  2254M0J64 09/15/11 09/15/14    100.000    VARIES    1.3976                                    0.015850   0.015796  0.015741      1.68     5.68
Credit Suisse USA, Inc.  2254M0JB3 09/30/11 09/30/14    100.000    VARIES    1.0663                                    0.015648   0.015731  0.015815      1.42     5.66
City of Crest Hill, IL   225903BX0 12/01/10 05/01/23     94.618     4.800    5.4004      .26     0.008606   0.008800   0.009038   0.009282  0.009532      3.16     3.33
Crosstex Energy, L.P.    22764LAA1 02/10/10 02/15/18     97.907     8.875    9.2505     1.66     0.005294   0.005539   0.005796   0.006064  0.006344      2.02     2.21
Crosstex Energy, L.P.    22764LAB9 02/10/10 02/15/18     97.907     8.875    9.2505     1.66     0.005294   0.005539   0.005796   0.006064  0.006344      2.02     2.21
Da-Lite screen Co., Inc. 233393AD9 03/24/10 04/15/15     97.305    12.500   13.2477     3.08     0.011662   0.012434   0.013258   0.014136  0.015072      4.46     5.07
Commnty Unit SD #429, IL 240847GK3 03/17/10 01/15/12    100.000     0.000    1.2395              0.034571   0.034785   0.035001                          12.56      .49
Commnty Unit SD #429, IL 240847GL1 03/17/10 01/15/13    100.000     0.000    1.8589              0.051953   0.052436   0.052923   0.053415  0.053911     18.95    19.30
De Witt Ford, IL         242015EL5 11/04/09 12/01/11    100.419    VARIES    3.7522              0.107112   0.107298                                     35.38         
De Witt Ford, IL         242015EQ4 10/28/10 12/01/13    100.029    VARIES    2.3589              0.065686   0.066461   0.065546   0.065541  0.065536     23.78    23.60
Deutsche Bank AG         25152C197 07/31/07 07/29/11    100.000     0.000    5.1754              0.167556   0.171892                                     35.63         
Deutsche Bank AG         25152C338 06/29/07 06/30/11    100.000     0.000    5.3500              0.178802                                                32.01         
Deutsche Bank AG         25152C411 05/31/07 05/31/11    100.000     0.000    5.2220              0.173738                                                25.89         
Deutsche Bank AG         25152C551 04/30/07 04/29/11    100.000     0.000    4.9528              0.163254                                                19.26         
Deutsche Bank AG         25152C601 01/31/07 01/31/11    100.000     0.000    5.1384              0.170469                                                 4.94         
Deutsche Bank AG         25152C791 02/28/07 02/29/12    100.000     0.000    5.0466              0.165979   0.167393   0.173502                          61.77    10.24
Deutsche Bank AG         25152CCG9 02/03/05 02/03/12    100.000     0.000    4.3481              0.153023   0.156350   0.159749                          56.68     5.11
Deutsche Bank AG         25152CDN3 08/30/05 09/02/11    100.000    VARIES    4.5019              0.125850   0.125456                                     30.26         
Deutsche Bank AG         25152CER3 01/31/06 02/02/11    100.000     0.000    4.9465              0.171243                                                 5.31         
Deutsche Bank AG         25152CHY5 01/05/07 01/06/12    100.000     0.000    5.0371              0.166555   0.170750   0.175051                          62.20      .88
Deutsche Bank AG         25153Q138 07/31/07 01/31/11    100.000     0.000    5.0770              0.163918                                                 4.75         
Deutsche Bank AG         25153Q609 09/28/07 09/30/13    100.000     0.000    4.9679              0.159931   0.163904   0.167975   0.172147  0.176424     59.02    61.99
Deutsche Bank AG         25154K239 08/12/09 02/12/13    100.000     0.000    2.6600              0.075869   0.076878   0.077900   0.078936  0.079986     27.78    28.52
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Deutsche Bank AG         2515A02U6 03/05/10 09/08/14    100.000     0.000    2.3900              0.067197   0.068000   0.068812   0.069634  0.070467     24.52    25.11
Deutsche Bank AG         2515A0AY9 02/20/07 02/20/22    100.000    VARIES    5.3403              0.138307   0.137093   0.136281   0.135448  0.134592     49.31    48.69
Deutsche Bank AG         2515A0C92 04/30/09 04/30/14    100.000    VARIES    3.7553              0.106412   0.106129   0.105840   0.105547  0.105247     38.22    38.01
Deutsche Bank AG         2515A0FC2 09/05/07 09/05/17    100.000    VARIES    5.2125              0.131869   0.129514   0.127098   0.125135  0.126257     46.50    45.30
Deutsche Bank AG         2515A0FN8 11/30/07 05/31/12    100.000     0.000    4.1077              0.128908   0.131555   0.134257                          47.05    20.00
Deutsche Bank AG         2515A0GL1 12/24/07 06/24/13    100.000     0.000    4.1474              0.130307   0.133009   0.135768   0.138583  0.141457     47.44    49.42
Deutsche Bank AG         2515A0HD8 11/29/07 11/29/12    100.000     0.000    4.2034              0.132284   0.135064   0.137903   0.140801               48.30    45.75
Deutsche Bank AG         2515A0HS5 11/16/07 05/16/11    100.000     0.000    4.3899              0.138912                                                18.75         
Deutsche Bank AG         2515A0HW6 11/29/07 09/29/11    100.000     0.000    4.0964              0.127652   0.130267                                     34.68         
Deutsche Bank AG         2515A0HY2 12/13/07 12/13/11    100.000     0.000    4.2850              0.135172   0.138069                                     46.75         
Deutsche Bank AG         2515A0L68 07/23/09 07/23/15    100.000     0.000    4.4552              0.129333   0.132214   0.135159   0.138170  0.141248     48.00    50.16
Deutsche Bank AG         2515A0LY7 12/21/07 12/21/11    100.000     0.000    4.2264              0.133098   0.135910                                     47.09         
Deutsche Bank AG         2515A0MA8 12/27/07 12/27/11    100.000     0.000    4.2565              0.134161   0.137016                                     48.28         
Deutsche Bank AG         2515A0MF7 01/29/08 01/31/11    100.000     0.000    3.0570              0.091624                                                 2.66         
Deutsche Bank AG         2515A0MH3 01/29/08 01/29/13    100.000     0.000    3.4575              0.104635   0.106444   0.108285   0.110157  0.112061     38.55    39.89
Deutsche Bank AG         2515A0MM2 01/25/08 01/25/13    100.000     0.000    3.4550              0.104555   0.106361   0.108199   0.110068  0.111969     38.53    39.88
Deutsche Bank AG         2515A0MT7 02/08/08 08/10/11    100.000     0.000    3.0462              0.091279   0.092669                                     20.24         
Deutsche Bank AG         2515A0N25 08/03/09 08/03/11    100.000     0.000    1.5225              0.042939   0.043266                                      9.16         
Deutsche Bank AG         2515A0NN9 03/20/08 03/22/12    100.000     0.000    3.4000              0.102770   0.104517   0.106294                          37.66     8.61
Deutsche Bank AG         2515A0NP4 03/20/08 03/22/12    100.000     0.000    2.9999              0.089788   0.091135   0.092502                          32.83     7.49
Deutsche Bank AG         2515A0NZ2 07/07/08 07/07/14    100.000     0.000    5.6904              0.176842   0.181873   0.187048   0.192370  0.197844     66.34    70.17
Deutsche Bank AG         2515A0PB3 06/24/08 06/23/11    100.000     0.000    4.0990              0.126004                                                21.67         
Deutsche Bank AG         2515A0PD9 06/25/08 12/27/12    100.000     0.000    4.4215              0.137043   0.140073   0.143170   0.146335               49.91    51.54
Deutsche Bank AG         2515A0PM9 05/30/08 05/30/12    100.000     0.000    4.0000              0.122676   0.125130   0.127632                          44.76    19.02
Deutsche Bank AG         2515A0Q89 08/28/09 08/28/29*   100.000    VARIES    4.1634              0.107663   0.106177                                     25.25*        
Deutsche Bank AG         2515A0R62 11/30/09 11/30/12    100.000     1.683    1.6829              0.046750   0.046750   0.046750   0.046750               16.83    15.38
Deutsche Bank AG         2515A0R70 11/30/09 11/28/14    100.000     2.791    2.7909              0.077528   0.077528   0.077528   0.077528  0.077528     27.91    27.91
Deutsche Bank AG         2515A0RP0 02/04/09 02/04/14    100.000    VARIES    2.1662              0.058728   0.058739   0.058852   0.059020  0.059226     21.16    21.27
Deutsche Bank AG         2515A0RU9 09/17/08 09/16/13    100.000     0.000    3.8059              0.113988   0.116158   0.118368   0.120620  0.122916     41.89    43.50
Deutsche Bank AG         2515A0S61 09/23/09 09/24/12    100.000     0.000    2.1657              0.061472   0.062138   0.062811   0.063491               22.38    16.64
Deutsche Bank AG         2515A0VL4 11/04/09 11/04/11    100.000     0.000    1.3174              0.037079   0.037323                                     11.28         
Deutsche Bank AG         2515A0VZ3 12/03/09 12/05/12    100.000     0.000    1.7995              0.050895   0.051353   0.051815   0.052281               18.43    17.39
Deutsche Bank AG         2515A0Y23 03/24/10 03/25/13    100.000     0.000    1.8011              0.050486   0.050941   0.051400   0.051863  0.052330     18.34    18.68
Diamond Resorts Corp.    25272PAA0 08/13/10 08/15/18     97.513    12.000   12.5004      .73     0.005270   0.005599   0.005949   0.006321  0.006716      2.05     2.31
Diamond Resorts Corp.    25272PAB8 08/13/10 08/15/18     97.513    12.000   12.5004      .73     0.005270   0.005599   0.005949   0.006321  0.006716      2.05     2.31
Diamond Resorts Corp.    25272PAC6 08/13/10 08/15/18     97.513    12.000   12.5004      .73     0.005270   0.005599   0.005949   0.006321  0.006716      2.05     2.31
Diversey Holdings, Inc.  255099AA1 11/24/09 05/15/20*    96.000    VARIES    N/A                 0.411303   0.418874   0.304122                         135.68*        
Domtar Corporation       257559AB0 11/19/07 12/01/13     93.400     5.375    6.7237    30.82     0.030722   0.031755   0.032823   0.033926  0.035067     11.31    12.08
Domtar Corporation       257559AG9 06/09/09 06/01/17     96.157    10.750   11.4987     5.10     0.010056   0.010634   0.011246   0.011892  0.012576      3.76     4.20
Douglas Cnty SD #302, IL 258741BP1 11/30/10 12/01/13     99.896    VARIES    2.3941              0.066440   0.067235   0.066383   0.066413  0.066443     24.06    23.91
Douglas Cnty SD #302, IL 258741BQ9 11/30/10 12/01/14    107.319    VARIES    2.9881              0.089086   0.090417   0.087407   0.086700  0.085982     32.26    31.30
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Douglas Cnty SD #302, IL 258741BR7 11/30/10 12/01/15    107.706    VARIES    3.3886              0.101392   0.103110   0.099758   0.099095  0.098421     36.76    35.75
Douglas Cnty SD #302, IL 258741BS5 11/30/10 12/01/16    109.259    VARIES    3.5892              0.108944   0.110900   0.107219   0.106526  0.105821     39.52    38.43
Downtown Dallas Dev Auth 261149BE7 11/07/07 08/15/12     77.223     0.000    5.4882   143.75     0.136805   0.140559   0.144417   0.148380               50.96    33.06
Downtown Dallas Dev Auth 261149BF4 11/07/07 08/15/13     72.742     0.000    5.5885   138.07     0.131577   0.135254   0.139033   0.142918  0.146912     49.04    51.82
Downtown Dallas Dev Auth 261149BG2 11/07/07 08/15/14     68.074     0.000    5.7585   133.44     0.127464   0.131135   0.134910   0.138795  0.142791     47.56    50.34
Downtown Dallas Dev Auth 261149BH0 11/07/07 08/15/15     63.688     0.000    5.8886   127.89     0.122374   0.125977   0.129686   0.133504  0.137435     45.70    48.43
Downtown Dallas Dev Auth 261149BJ6 11/07/07 08/15/16     59.688     0.000    5.9687   121.62     0.116500   0.119977   0.123557   0.127245  0.131042     43.53    46.16
Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17     55.746     0.000    6.0689   115.65     0.110932   0.114298   0.117767   0.121340  0.125022     41.47    44.03
Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18     52.073     0.000    6.1490   109.58     0.105217   0.108451   0.111786   0.115223  0.118765     39.35    41.81
Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19     48.734     0.000    6.1989   103.45     0.099403   0.102484   0.105661   0.108936  0.112312     37.19    39.53
Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20     45.395     0.000    6.2791    97.72     0.093992   0.096943   0.099986   0.103126  0.106363     35.18    37.43
Drummond Company, Inc.   262277AC0 10/20/09 10/15/14*    98.053     9.000    9.4992     3.90     0.009567   0.010022   0.010498                           3.15*        
DuPage County, IL SDN99  263417GR2 04/04/02 02/01/11     55.425     0.000    6.7986   440.27     0.182644                                                 5.48         
Duarte, Calif Redev Agy  263594AB9 06/16/92 12/01/12     16.484     0.000    9.0085   679.88     0.209806   0.219256   0.229132   0.239453               77.81    77.47
Dynegy Holdings, Inc.    26816LBA9 12/01/09 06/01/15     85.000     7.500   11.2291    22.92     0.063357   0.066914   0.070671   0.074639  0.078830     23.67    26.40
Dynegy Holdings, Inc.    26816LBB7 12/01/09 06/01/15     85.000     7.500   11.2291    22.92     0.063357   0.066914   0.070671   0.074639  0.078830     23.67    26.40
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000    6.4698   189.67     0.086413   0.089208   0.092094   0.095073  0.098149     32.12    34.24
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000    6.4999   177.96     0.081163   0.083801   0.086525   0.089337  0.092240     30.18    32.17
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000    6.5100   166.92     0.076152   0.078630   0.081190   0.083832  0.086561     28.31    30.19
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000    6.5300   156.49     0.071445   0.073777   0.076186   0.078674  0.081242     26.57    28.33
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000    6.5498   146.66     0.067002   0.069196   0.071462   0.073803  0.076220     24.92    26.58
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000    6.5600   137.45     0.062815   0.064876   0.067004   0.069201  0.071471     23.36    24.92
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000    6.5699   128.79     0.058879   0.060813   0.062811   0.064874  0.067005     21.90    23.36
Eastern Comm College, IA 276540XS5 06/18/09 06/01/11    103.810     4.000    2.0010              0.056134                                                 8.42         
Eastern Comm College, IA 276540XT3 06/18/09 06/01/12    103.664     4.000    2.7007              0.076445   0.075977   0.075502                          27.41    11.33
Eastern Comm College, IA 276540XU0 06/18/09 06/01/13    103.700     4.000    3.0004              0.085337   0.084951   0.084558   0.084160  0.083756     30.63    30.35
Eastern Comm College, IA 276540XV8 06/01/09 06/01/14    103.173     4.000    3.3062              0.093931   0.093647   0.093358   0.093064  0.092766     33.75    33.54
Eastern Comm College, IA 276540XW6 06/01/09 06/01/15    102.124     4.000    3.6031              0.101725   0.101556   0.101384   0.101208  0.101030     36.58    36.46
Eksportfinans ASA        282645UV0 05/03/10 02/05/16    100.000     0.000    2.8500              0.079743   0.080880   0.082032   0.083201  0.084387     29.25    30.09
Eksportfinans ASA        28264QR97 01/28/10 02/28/11    100.000     0.000    0.5673              0.015724                                                  .91         
EL Paso Corporation      28336LAA7 02/28/01 02/28/21     45.289     0.000    4.0000   215.85     0.072903   0.073149   0.075432   0.076104  0.078913     26.97    28.16
EL Paso Corporation      28336LAC3 02/28/01 02/28/21     45.289     0.000    4.0000   215.85     0.072903   0.073149   0.075432   0.076104  0.078913     26.97    28.16
EL Paso Corporation      28336LBS7 12/12/08 12/12/13     88.909    12.000   15.2500    36.03     0.058091   0.062521   0.067288   0.072419  0.077941     21.88    25.35
EL Paso Corporation      28336LBT5 02/09/09 02/15/16     95.535     8.250    9.1255     9.46     0.014888   0.015567   0.016278   0.017020  0.017797      5.67     6.20
Electronic Data SYS Corp 285661AB0 10/10/01 10/10/21     77.941    VARIES    5.3200              0.179991   0.183345   0.187798   0.192369  0.198144     66.96    70.43
Electronic Data SYS Corp 285661AE4 06/30/03 07/15/23    100.000    VARIES    5.7999              0.187620   0.189940   0.192326   0.194241  0.196211     68.74    70.23
Electronic Data SYS Corp 285661AF1 06/30/03 07/15/23    100.000    VARIES    5.7999              0.187620   0.189940   0.192326   0.194241  0.196211     68.74    70.23
Encore Acquisition Co.   29255WAJ9 04/27/09 05/01/16     92.228     9.500   11.1255    13.65     0.024893   0.026278   0.027740   0.029283  0.030912      9.38    10.45
Energy XXI Gulf Coast    29276KAL5 05/06/10 06/15/14*    70.120    16.000    N/A                 0.582201                                                 9.90*        
Essex Cnty Util Auth     296816AY7 03/30/99 04/01/12     60.121     0.000    3.9516   351.10     0.103510   0.105555   0.107640                          38.00     9.69
Euronet Worldwide, Inc.  298736AE9 10/04/05 10/15/25    100.000    VARIES    8.5029              0.305048   0.312214   0.321422   0.331022  0.342903    113.93   121.07
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Euronet Worldwide, Inc.  298736AF6 10/04/05 10/15/25    100.000    VARIES    8.5029              0.305048   0.312214   0.321422   0.331022  0.342903    113.93   121.07
European Investment Bank 298785DW3 03/10/06 03/10/21     44.672     0.000    5.4449   131.72     0.086043   0.088386   0.090792   0.093264  0.095803     31.92    33.69
First Citizens Bancorp   30244CAC0 03/24/98 03/15/28    100.000     8.250    8.2499              0.229167   0.229167   0.229167   0.229167  0.229167     82.50    82.50
FPL Group Inc.           302570BF2 05/26/09 06/01/14     98.500    VARIES    4.3841              0.121309   0.121776   0.122253   0.122741  0.122509     43.78    44.11
FPL Group Inc.           302570BK1 09/21/10 09/01/15     98.500    VARIES    2.7001              0.073879   0.074132   0.074421   0.074713  0.075009     26.71    26.91
FPL Group Inc.           302571609 05/26/09 06/01/14     98.500    VARIES    4.3841              0.121309   0.121776   0.122253   0.122741  0.122509     43.78    44.11
Freddie Mac              3128X0AS8 10/03/02 01/02/13     63.710     0.000    4.4476   278.57     0.110680   0.113141   0.115657   0.118229  0.120858     41.18    43.03
Freddie Mac              3128X0AT6 10/03/02 01/02/22     36.810     0.000    5.2599   196.71     0.080422   0.082537   0.084707   0.086935  0.089222     30.10    31.70
Freddie Mac              3128X0AU3 10/03/02 01/02/30     23.710     0.000    5.3523   129.41     0.053079   0.054500   0.055958   0.057456  0.058993     19.88    20.96
Freddie Mac              3128X0AV1 10/03/02 04/15/32     21.010     0.000    5.3530   114.70     0.047757   0.049035   0.050348   0.051695  0.053079     17.62    18.58
Freddie Mac              3128X0AW9 10/03/02 06/15/32     20.810     0.000    5.3554   113.67     0.047755   0.049033   0.050346   0.051694  0.053079     17.46    18.41
Freddie Mac              3128X0AX7 10/03/02 09/15/32     20.510     0.000    5.3601   112.16     0.046503   0.047749   0.049029   0.050343  0.051692     17.23    18.17
Freddie Mac              3128X0AY5 10/03/02 12/15/32     20.210     0.000    5.3650   110.64     0.046497   0.047744   0.049025   0.050340  0.051690     17.00    17.93
Freddie Mac              3128X0AZ2 10/03/02 01/02/34     19.160     0.000    5.3582   104.72     0.042960   0.044110   0.045292   0.046506  0.047752     16.09    16.96
Freddie Mac              3128X2SD8 01/30/04 04/01/11     74.840     0.000    4.0828   241.60     0.111144                                                10.00         
Freddie Mac              3128X2SE6 01/30/04 10/01/11     72.645     0.000    4.2100   242.84     0.112174   0.114535                                     30.71         
Freddie Mac              3128X2SF3 01/30/04 04/01/12     70.491     0.000    4.3258   243.05     0.112692   0.115129   0.117620                          41.45    10.59
Freddie Mac              3128X2SG1 01/30/04 10/01/12     68.379     0.000    4.4321   242.42     0.112782   0.115281   0.117836   0.120447               41.51    32.29
Freddie Mac              3128X2SH9 01/30/04 04/01/13     66.275     0.000    4.5362   241.31     0.112640   0.115195   0.117807   0.120479  0.123212     41.48    43.38
Freddie Mac              3128X2SJ5 01/30/04 10/01/13     64.227     0.000    4.6310   239.49     0.112131   0.114727   0.117384   0.120102  0.122883     41.31    43.24
Freddie Mac              3128X2SK2 01/30/04 04/01/14     62.210     0.000    4.7217   237.23     0.111394   0.114024   0.116716   0.119471  0.122292     41.05    43.02
Freddie Mac              3128X2SL0 01/30/04 10/01/14     60.256     0.000    4.8040   234.42     0.110366   0.113017   0.115732   0.118512  0.121358     40.69    42.67
Freddie Mac              3128X2SM8 01/30/04 04/01/15     58.361     0.000    4.8793   231.19     0.109106   0.111767   0.114494   0.117288  0.120149     40.24    42.23
Freddie Mac              3128X2SN6 01/30/04 10/01/15     56.535     0.000    4.9468   227.56     0.107625   0.110287   0.113015   0.115810  0.118674     39.71    41.70
Freddie Mac              3128X2SP1 01/30/04 04/01/16     54.741     0.000    5.0126   223.76     0.106049   0.108707   0.111431   0.114224  0.117087     39.14    41.13
Freddie Mac              3128X2SQ9 01/30/04 10/01/16     52.987     0.000    5.0758   219.79     0.104373   0.107022   0.109738   0.112523  0.115379     38.53    40.51
Freddie Mac              3128X2SR7 01/30/04 04/01/17     51.299     0.000    5.1327   215.58     0.102561   0.105193   0.107893   0.110662  0.113502     37.88    39.84
Freddie Mac              3128X2SS5 01/30/04 10/01/17     49.661     0.000    5.1861   211.24     0.100667   0.103277   0.105955   0.108703  0.111522     37.19    39.14
Freddie Mac              3128X2ST3 01/30/04 04/01/18     48.064     0.000    5.2374   206.83     0.098723   0.101308   0.103961   0.106683  0.109477     36.48    38.41
Freddie Mac              3128X2SU0 01/30/04 10/01/18     46.530     0.000    5.2834   202.30     0.096702   0.099256   0.101878   0.104570  0.107332     35.74    37.65
Freddie Mac              3128X2SV8 01/30/04 04/01/19     45.040     0.000    5.3272   197.73     0.094650   0.097171   0.099759   0.102416  0.105144     34.99    36.88
Freddie Mac              3128X2SW6 01/30/04 10/01/19     43.600     0.000    5.3679   193.13     0.092567   0.095052   0.097603   0.100222  0.102912     34.22    36.09
Freddie Mac              3128X2SX4 01/30/04 04/01/20     42.215     0.000    5.4047   188.51     0.090457   0.092902   0.095412   0.097991  0.100639     33.45    35.28
Freddie Mac              3128X2SY2 01/30/04 10/01/20     40.880     0.000    5.4384   183.90     0.088336   0.090738   0.093205   0.095740  0.098343     32.67    34.47
Freddie Mac              3128X34E0 03/01/05 03/28/13     70.400     0.000    4.3936   203.22     0.109480   0.111885   0.114343   0.116855  0.119422     40.30    42.09
Freddie Mac              3128X44Z1 04/20/06 06/28/12     72.625     0.000    5.2343   199.58     0.134555   0.138077   0.141691                          49.10    25.08
Freddie Mac              3128X4AC5 04/19/05 04/15/14     65.973     0.000    4.6809   199.16     0.110586   0.113174   0.115823   0.118534  0.121308     40.67    42.60
Freddie Mac              3128X4AD3 04/19/05 12/15/14     63.722     0.000    4.7214   194.24     0.108819   0.111388   0.114017   0.116709  0.119464     39.72    41.62
Freddie Mac              3128X4AE1 04/19/05 04/15/17     56.285     0.000    4.8518   176.92     0.098690   0.101084   0.103537   0.106048  0.108621     36.33    38.11
Freddie Mac              3128X4FV8 08/04/05 06/01/11     77.489     0.000    4.4255   207.07     0.120272                                                18.04         
Freddie Mac              3128X4GA3 08/04/05 12/01/11     75.722     0.000    4.4446   203.32     0.118153   0.120779                                     39.46         
Freddie Mac              3128X4GD7 08/04/05 06/01/12     73.943     0.000    4.4715   199.87     0.116237   0.118836   0.121493                          42.47    18.22
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X4GG0 08/04/05 12/01/12     72.215     0.000    4.4929   196.25     0.114192   0.116757   0.119380   0.122062               41.73    39.88
Freddie Mac              3128X4GK1 08/04/05 06/01/13     70.468     0.000    4.5226   192.91     0.112340   0.114880   0.117478   0.120134  0.122851     41.05    42.93
Freddie Mac              3128X4HU8 08/12/05 01/10/13     71.011     0.000    4.6724   200.61     0.115636   0.118338   0.121102   0.123932  0.126827     43.05    45.08
Freddie Mac              3128X4S77 03/24/06 06/20/16     59.540     0.000    5.1280   162.71     0.107822   0.110586   0.113422   0.116330  0.119313     39.38    41.42
Freddie Mac              3128X4U41 03/28/06 04/09/14     66.671     0.000    5.1122   181.10     0.119008   0.122050   0.125170   0.128370  0.131651     43.90    46.17
Freddie Mac              3128X4W56 04/04/06 04/04/36*    14.255     0.000    6.6001    51.42     0.035004   0.036159                                      9.76*        
Freddie Mac              3128X52H0 04/03/07 04/02/37     21.177     0.000    5.2421    45.30     0.036955   0.037923   0.038917   0.039937  0.040984     13.65    14.38
Freddie Mac              3128X52U1 04/04/07 07/31/14     70.210     0.000    4.8862   139.20     0.111894   0.114628   0.117429   0.120298  0.123237     41.61    43.67
Freddie Mac              3128X52W7 04/05/07 01/10/12     79.775     0.000    4.7983   154.82     0.124137   0.127115   0.130165                          46.26     1.17
Freddie Mac              3128X53Z9 04/13/07 04/30/13     74.533     0.000    4.9196   147.64     0.121022   0.123999   0.127049   0.130174  0.133376     44.47    46.69
Freddie Mac              3128X54N5 04/18/07 12/30/14     68.522     0.000    4.9690   136.63     0.113424   0.116242   0.119131   0.122090  0.125124     41.35    43.43
Freddie Mac              3128X55E4 05/04/07 05/04/37     16.728     0.000    6.0499    40.78     0.034633   0.035681   0.036760   0.037872  0.039018     12.78    13.56
Freddie Mac              3128X55H7 04/27/07 11/30/12     76.622     0.000    4.8161   146.76     0.121635   0.124564   0.127564   0.130635               44.50    42.52
Freddie Mac              3128X55L8 05/01/07 05/10/12     78.630     0.000    4.8418   150.84     0.125182   0.128212   0.131316                          45.92    16.94
Freddie Mac              3128X5DU9 07/11/06 08/15/12     72.660     0.000    5.3088   191.97     0.132797   0.136322   0.139941   0.143655               49.41    32.02
Freddie Mac              3128X5DV7 07/11/06 05/15/12     73.645     0.000    5.3020   194.32     0.136161   0.139771   0.143476                          50.00    19.23
Freddie Mac              3128X5EQ7 06/30/06 06/30/36*    12.330     0.000    7.1002    45.51     0.033288                                                 5.96*        
Freddie Mac              3128X5ES3 06/29/06 06/29/12     72.129     0.000    5.5200   200.56     0.141308   0.145208   0.149216                          51.59    26.56
Freddie Mac              3128X5FD5 07/13/06 12/28/12     70.884     0.000    5.3995   190.49     0.134828   0.138468   0.142206   0.146045               49.22    51.46
Freddie Mac              3128X5FH6 07/19/06 12/31/12     71.004     0.000    5.3796   189.36     0.134382   0.137997   0.141709   0.145520               49.04    51.56
Freddie Mac              3128X5FS2 07/21/06 06/28/13     69.242     0.000    5.3695   183.90     0.130648   0.134156   0.137757   0.141456  0.145253     47.69    50.28
Freddie Mac              3128X5HF8 08/10/06 01/31/11     79.500     0.000    5.1924   200.92     0.140585                                                 4.08         
Freddie Mac              3128X5HG6 08/10/06 10/31/12     72.515     0.000    5.2285   184.76     0.130992   0.134417   0.137931   0.141537               48.20    41.89
Freddie Mac              3128X5LH9 09/29/06 02/29/12     77.393     0.000    4.7840              0.123108   0.123998   0.128359                          45.74     7.57
Freddie Mac              3128X5LK2 10/02/06 10/02/34     24.784     0.000    5.0446    58.43     0.042388   0.043457   0.044553   0.045677  0.046829     15.64    16.44
Freddie Mac              3128X5MY1 10/25/06 05/30/14     68.360     0.000    5.0693   159.34     0.118184   0.121179   0.124251   0.127400  0.130629     43.27    45.49
Freddie Mac              3128X5P69 03/09/07 09/15/15     66.760     0.000    4.8010   132.37     0.105199   0.107724   0.110310   0.112958  0.115669     38.87    40.76
Freddie Mac              3128X5Q43 03/14/07 12/01/12     76.253     0.000    4.8003   150.60     0.121273   0.124184   0.127164   0.130217               44.36    42.51
Freddie Mac              3128X5Q76 03/14/07 06/01/12     78.159     0.000    4.7812   153.70     0.123726   0.126683   0.129712                          45.25    19.46
Freddie Mac              3128X5Q84 03/14/07 12/01/11     80.074     0.000    4.7686   157.02     0.126365   0.129378                                     42.24         
Freddie Mac              3128X5Q92 03/14/07 06/01/11     82.025     0.000    4.7562   160.39     0.129050                                                19.36         
Freddie Mac              3128X5R26 03/14/07 06/01/13     74.414     0.000    4.8117   147.34     0.118680   0.121535   0.124459   0.127453  0.130520     43.41    45.53
Freddie Mac              3128X5UN6 12/19/06 11/28/12     75.500     0.000    4.7858   158.74     0.120941   0.123835   0.126799   0.129833               44.25    42.01
Freddie Mac              3128X6AX4 05/24/07 09/30/14     69.050     0.000    5.1017   137.54     0.115851   0.118806   0.121836   0.124944  0.128131     42.78    44.99
Freddie Mac              3128X6EC6 06/14/07 08/31/12     75.547     0.000    5.4515   159.18     0.135235   0.136657   0.141924   0.144208               50.45    34.91
Freddie Mac              3128X6EQ5 06/22/07 06/22/37     12.693     0.000    7.0001    34.84     0.031402   0.032501   0.033638   0.034816  0.036034     11.52    12.34
Freddie Mac              3128X6FL5 07/13/07 07/13/37     12.693     0.000    7.0001    34.20     0.030340   0.031402   0.032501   0.033638  0.034816     11.48    12.29
Freddie Mac              3128X6GT7 07/10/07 09/30/14     67.455     0.000    5.5250   140.80     0.123411   0.126820   0.130324   0.133924  0.137624     45.67    48.23
Freddie Mac              3128X6HU3 07/20/07 09/28/18     54.270     0.000    5.5370   112.55     0.099360   0.102111   0.104938   0.107843  0.110829     36.78    38.85
Freddie Mac              3128X6JM9 07/31/07 08/01/11     81.360     0.000    5.2205   156.83     0.137730   0.141325                                     29.57         
Freddie Mac              3128X6JN7 07/31/07 08/01/12     77.040     0.000    5.2825   150.40     0.132206   0.135698   0.139282   0.142961               49.28    29.91
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X6JY3 08/03/07 09/01/11     81.672     0.000    5.0260   150.79     0.132851   0.136190                                     32.49         
Freddie Mac              3128X6JZ0 08/03/07 10/06/11     81.295     0.000    5.0204   149.95     0.132710   0.136041                                     37.09         
Freddie Mac              3128X6KX3 08/22/07 02/28/12     80.662     0.000    4.8063   139.82     0.123642   0.124549   0.129659                          46.04     7.52
Freddie Mac              3128X6NN2 10/02/07 05/10/13     77.376     0.000    4.6276   124.01     0.114653   0.117306   0.120020   0.122797  0.125639     42.03    43.99
Freddie Mac              3128X6PP5 10/11/07 07/02/15     68.530     0.000    4.9512   117.04     0.107697   0.110363   0.113096   0.115896  0.118765     40.22    42.23
Freddie Mac              3128X6QB5 10/19/07 08/31/15     68.362     0.000    4.8939   114.69     0.106160   0.106984   0.110807   0.112284  0.116939     39.47    41.58
Freddie Mac              3128X6QE9 10/19/07 08/30/13     76.143     0.000    4.7019   122.36     0.112364   0.114377   0.117066   0.119818  0.123309     41.96    44.12
Freddie Mac              3128X6QQ2 11/01/07 06/28/13     77.875     0.000    4.4676   117.00     0.111123   0.113605   0.116143   0.118737  0.121390     40.47    42.29
Freddie Mac              3128X6RF5 12/18/07 02/15/12     84.080     0.000    4.2125   113.53     0.109923   0.112238   0.114603                          40.63     5.04
Freddie Mac              3128X6TL0 12/20/07 08/15/13     80.325     0.000    3.9128   100.16     0.096762   0.098655   0.100585   0.102553  0.104559     35.69    37.11
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000    4.9802    36.72     0.036654   0.037567   0.038502   0.039461  0.040443     13.38    14.05
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000    4.4860    26.53     0.035981   0.036788   0.037613   0.038457  0.039320     13.17    13.77
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000    4.3499    26.09     0.036215   0.037003   0.037807   0.038630  0.039470     13.25    13.84
Freddie Mac              3128X7A61 06/05/08 10/10/14     76.930     0.000    4.1743    86.34     0.098292   0.100344   0.102438   0.104576  0.106759     36.09    37.61
Freddie Mac              3128X7LV4 05/13/08 07/01/12     87.140     0.000    3.3575    79.88     0.088722   0.090211   0.091726                          32.21    16.51
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000    5.1394    29.55     0.035364   0.036273   0.037205   0.038161  0.039141     12.90    13.57
Freddie Mac              3128X7Y57 09/11/08 02/01/11     93.027     0.000    3.0478    67.23     0.083392                                                 2.50         
Freddie Mac              3128X7Y65 09/11/08 02/01/12     89.190     0.000    3.4039    72.18     0.087933   0.090912   0.090952                          33.10     2.82
Freddie Mac              3128X8D58 05/13/09 07/15/11     97.122     0.000    1.3486    21.56     0.036962   0.037211                                      7.22         
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000    2.9999    25.11     0.035666   0.036201   0.036744   0.037295  0.037854     13.08    13.48
Freddie Mac              3128X93E8 04/12/10 04/12/35*    24.327     0.000    5.7350    10.13     0.039866                                                 4.03*        
Freddie Mac              3128X97E4 04/16/10 08/31/11     99.046     0.000    0.6996     4.94     0.019193   0.018946                                      4.60         
Freddie Mac              3128X97F1 04/16/10 11/30/11     98.577     0.000    0.8838     6.20     0.024335   0.024442                                      8.03         
Freddie Mac              3128X97G9 04/16/10 02/29/12     98.020     0.000    1.0708     7.51     0.028793   0.029107   0.028944                          10.59     1.71
Freddie Mac              3128X97H7 04/16/10 05/31/12     97.410     0.000    1.2393     8.61     0.033423   0.033446   0.033653                          12.21     5.08
Freddie Mac              3128X9B33 03/02/10 03/02/35*    23.800     0.000    5.8251    11.65     0.039632                                                 2.42*        
Freddie Mac              3128X9DH0 09/15/09 03/01/12     96.062     0.000    1.6390    20.52     0.044427   0.044791   0.045159                          16.15     2.71
Freddie Mac              3128X9E63 03/15/10 03/15/30*    32.813     0.000    5.6500    14.88     0.052954                                                 3.92*        
Freddie Mac              3128X9E71 03/22/10 03/22/35*    23.371     0.000    5.9000    10.80     0.039433                                                 3.19*        
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000    4.5438    15.79     0.039245   0.040137   0.041049   0.041981  0.042935     14.48    15.15
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000    4.5433    15.60     0.039246   0.040137   0.041049   0.041982  0.042935     14.32    14.98
Freddie Mac              3128X9NC0 11/12/09 03/25/11     99.240     0.000    0.5578     6.30     0.015452                                                 1.30         
Freddie Mac              3128X9P46 03/25/10 02/01/12     98.364     0.000    0.8935     6.75     0.024490   0.024600   0.024709                           8.87      .74
Freddie Mac              3128X9UD0 02/04/10 02/04/30*    32.496     0.000    5.6999    17.04     0.052918                                                 1.75*        
Freddie Mac              3128X9V31 03/12/10 02/15/12     98.173     0.000    0.9600     7.58     0.026289   0.026415   0.026542                           9.52     1.17
Freddie Mac              3128X9XC9 02/22/10 02/22/35*    23.829     0.000    5.8201    12.05     0.039646                                                 2.02*        
Freddie Mac              3128X9ZS2 03/02/10 03/02/35*    23.888     0.000    5.8099    11.66     0.039672                                                 2.42*        
Freddie Mac              3128X9ZU7 03/10/10 08/01/12     96.790     0.000    1.3686    10.74     0.036996   0.037249   0.037504   0.037760               13.44     7.92
Freddie Mac              312902LX5 12/17/99 12/17/29     14.255     0.000    6.6001   149.39     0.053386   0.055148   0.056968   0.058848  0.060790     19.59    20.90
Freddie Mac              312902VG1 04/25/00 01/04/21     25.643     0.000    6.6857   261.36     0.093101   0.096214   0.099430   0.102754  0.106189     35.20    37.59
Freddie Mac              312902VH9 04/25/00 01/04/22     24.042     0.000    6.6795   244.73     0.087155   0.090066   0.093074   0.096182  0.099395     32.95    35.18
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              312902VJ5 04/25/00 01/04/23     22.536     0.000    6.6749   229.19     0.081602   0.084325   0.087139   0.090048  0.093053     30.85    32.94
Freddie Mac              312902VK2 04/25/00 01/04/24     21.145     0.000    6.6664   214.67     0.076403   0.078950   0.081582   0.084301  0.087111     28.88    30.84
Freddie Mac              312902VL0 04/25/00 01/04/25     20.007     0.000    6.6235   201.33     0.071523   0.073891   0.076338   0.078867  0.081478     27.03    28.85
Freddie Mac              312902VM8 04/25/00 01/04/26     18.780     0.000    6.6160   188.69     0.067010   0.069227   0.071517   0.073883  0.076327     25.32    27.02
Freddie Mac              312902VN6 04/25/00 01/04/27     17.654     0.000    6.6033   176.91     0.062794   0.064867   0.067009   0.069222  0.071507     23.73    25.32
Freddie Mac              312902VS5 04/25/00 01/04/12     46.161     0.000    6.7212   473.91     0.169075   0.174757   0.180630                          63.93      .54
Freddie Mac              312902VT3 04/25/00 01/04/13     43.203     0.000    6.7221   443.63     0.158278   0.163598   0.169097   0.174780  0.180655     59.85    63.94
Freddie Mac              312902VU0 04/25/00 01/04/14     40.436     0.000    6.7227   415.27     0.148161   0.153142   0.158289   0.163610  0.169109     56.03    59.86
Freddie Mac              312902VV8 04/25/00 01/04/18     31.141     0.000    6.7034   318.55     0.113561   0.117368   0.121302   0.125367  0.129569     42.94    45.86
Freddie Mac              312902VW6 04/25/00 01/04/19     29.163     0.000    6.7017   298.22     0.106303   0.109865   0.113547   0.117351  0.121284     40.19    42.93
Freddie Mac              312902VX4 04/25/00 01/04/20     27.313     0.000    6.6997   279.18     0.099510   0.102844   0.106289   0.109849  0.113529     37.62    40.19
Freddie Mac              312902WJ4 04/25/00 01/04/11     49.272     0.000    6.7297   506.74     0.180853                                                  .54         
Freddie Mac              312902WK1 04/25/00 01/04/15     37.975     0.000    6.6992   388.13     0.138339   0.142973   0.147762   0.152712  0.157827     52.30    55.87
Freddie Mac              312902WL9 04/25/00 01/04/16     35.607     0.000    6.6893   363.19     0.129394   0.133721   0.138194   0.142816  0.147593     48.92    52.25
Freddie Mac              312902WM7 04/25/00 01/04/17     33.256     0.000    6.7048   340.29     0.121316   0.125383   0.129587   0.133931  0.138421     45.87    49.00
Freddie Mac              312923CN3 01/10/01 08/17/12     61.750     1.000    5.5038   313.33     0.112234   0.115323   0.118496   0.121757               41.80    27.37
Federal Home Loan Banks  3133704F2 07/09/10 07/15/11    100.000     0.000    0.4494              0.012486   0.012514                                      2.43         
Federal Home Loan Banks  313371AN6 10/19/10 10/19/15    100.000    VARIES    1.5154              0.042095   0.041572   0.041308   0.041358  0.041461     15.00    14.89
Federal Home Loan Banks  313371H74 10/22/10 11/16/11    100.000     0.000    0.2997              0.008327   0.008340                                      2.63         
Federal Home Loan Banks  313371W28 12/15/10 12/15/15*   100.000    VARIES    1.5977              0.044381   0.043681                                     11.21*        
Federal Home Loan Banks  3133722U7 12/28/10 12/28/15*   100.000    VARIES    1.7559              0.048778   0.047880                                     12.94*        
Federal Home Loan Banks  3133726U3 12/28/10 12/28/15*   100.000    VARIES    1.8831              0.052310   0.050906                                     13.84*        
Federal Home Loan Banks  313372A53 01/14/11 01/14/16*   100.000    VARIES    2.0817                         0.057828   0.056189                          15.47*        
Federal Home Loan Banks  313372BB9 01/07/11 01/07/16*   100.000    VARIES    2.1606                         0.060018   0.058303                          16.05*        
Federal Home Loan Banks  313372KD5 02/03/11 02/28/12    100.000     0.320    0.3199              0.008889   0.008889   0.008989                           2.91      .51
Federal Home Loan Banks  3133734F6 04/15/11 04/15/16    100.000    VARIES    2.5160                         0.069889   0.070489   0.071096  0.071403     17.94    25.55
Federal Home Loan Banks  3133736X5 03/30/11 03/30/16    100.000    VARIES    2.4313                         0.067537   0.068065   0.068598  0.068868     18.35    24.67
Federal Home Loan Banks  3133737L0 04/13/11 04/13/17    100.000    VARIES    2.7757                         0.077103   0.077849   0.078606  0.079065     19.95    28.26
Federal Home Loan Banks  313373B84 04/13/11 04/13/17    100.000    VARIES    2.7757                         0.077103   0.077849   0.078606  0.079065     19.95    28.26
Federal Home Loan Banks  313373D74 04/21/11 04/21/16    100.000    VARIES    2.4737                         0.068714   0.069277   0.069847  0.070136     17.22    25.10
Federal Home Loan Banks  313373DU3 04/25/11 04/25/14    100.000    VARIES    1.3833                         0.038427   0.038564   0.038702  0.038703      9.46    13.92
Federal Home Loan Banks  313373JP8 05/03/11 05/03/16*   100.000    VARIES    2.1983                         0.061064                                     10.99*        
Federal Home Loan Banks  313373NU2 04/28/11 04/28/15    100.000    VARIES    2.3656                         0.065711   0.066194   0.066683  0.066850     16.00    23.96
Federal Home Loan Banks  313373UX8 06/01/11 06/01/16*   100.000    VARIES    1.9198                         0.053329                                      9.60*        
Federal Home Loan Banks  313373YM8 05/26/11 11/26/14    100.000    VARIES    1.7361                         0.048227   0.048513   0.048705  0.048802     10.38    17.51
Federal Home Loan Banks  313374CU2 07/06/11 07/06/18    100.000    VARIES    2.0867                                    0.057966   0.058352  0.058742     10.14    21.07
Federal Home Loan Banks  313374N30 07/20/11 07/20/16    100.000    VARIES    1.7367                                    0.048243   0.047426  0.047114      7.77    17.04
Federal Home Loan Banks  313374N89 07/19/11 07/19/16    100.000    VARIES    1.8050                                    0.050140   0.049339  0.049032      8.12    17.73
Federal Home Loan Banks  313374NG1 07/19/11 07/19/16    100.000    VARIES    1.7626                                    0.048963   0.048140  0.047829      7.93    17.29
Federal Home Loan Banks  313374NV8 07/19/11 07/19/16    100.000    VARIES    1.8158                                    0.050440   0.049447  0.049140      8.17    17.77
Federal Home Loan Banks  313374PK0 07/27/11 07/27/16    100.000    VARIES    1.9074                                    0.052985   0.051900  0.051534      8.16    18.66
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Federal Home Loan Banks  313374PM6 07/19/11 07/19/16    100.000    VARIES    1.8551                                    0.051532   0.050464  0.050160      8.35    18.14
Federal Home Loan Banks  3133752R7 08/15/11 08/15/16*   100.000    VARIES    1.7105                                    0.047514                           4.28*        
Federal Home Loan Banks  313375LW5 09/01/11 09/04/12    100.000     0.000    0.2198                         0.006107   0.006107   0.006113                 .73     1.49
Federal Home Loan Banks  313376GF6 11/17/11 05/15/13    100.000     0.000    0.3095                                    0.008598   0.008611  0.008625       .38     3.10
Freddie Mac              3134A1BU3 09/25/96 06/01/16     23.214     0.000    7.5580   437.01     0.139605   0.144881   0.150356   0.156038  0.161935     51.53    55.50
Freddie Mac              3134A1CT5 10/21/96 09/15/16     23.550     0.000    7.3996   425.23     0.132914   0.137832   0.142931   0.148220  0.153703     49.80    53.55
Freddie Mac              3134A1DL1 11/01/96 02/01/16     25.038     0.000    7.3237   443.44     0.136968   0.141984   0.147183   0.152573  0.158160     51.74    55.60
Freddie Mac              3134A1FK1 11/20/96 09/03/19     20.641     0.000    7.0454   342.21     0.104945   0.108642   0.112469   0.116431  0.120533     39.33    42.15
Freddie Mac              3134A1H60 10/22/97 06/03/24     16.813     0.000    6.8126   238.80     0.076602   0.079212   0.081910   0.084700  0.087585     28.20    30.15
Freddie Mac              3134A1HH6 12/23/96 12/01/15     26.483     0.000    7.1396   443.51     0.139651   0.144636   0.149799   0.155147  0.160686     51.48    55.22
Freddie Mac              3134A1HU7 12/27/96 12/02/19     19.720     0.000    7.2067   334.64     0.105854   0.109668   0.113620   0.117714  0.121955     39.02    41.88
Freddie Mac              3134A1JD3 12/31/96 12/01/14     28.804     0.000    7.0673   473.86     0.148697   0.153952   0.159392   0.165024  0.170856     54.80    58.74
Freddie Mac              3134A1MX5 02/12/97 02/01/14     30.030     0.000    7.2159   503.43     0.156401   0.162044   0.167890   0.173948  0.180224     59.04    63.38
Freddie Mac              3134A1MY3 02/12/97 02/01/20     19.238     0.000    7.3061   328.77     0.102642   0.106391   0.110278   0.114306  0.118482     38.77    41.66
Freddie Mac              3134A1MZ0 02/12/97 03/01/16     25.716     0.000    7.2560   434.88     0.136191   0.141132   0.146253   0.151559  0.157057     51.13    54.90
Freddie Mac              3134A1NA4 02/12/97 01/02/19     20.877     0.000    7.2857   355.24     0.110154   0.114167   0.118326   0.122637  0.127104     41.84    44.94
Freddie Mac              3134A1X39 12/11/97 06/01/15     33.207     0.000    6.4099   424.78     0.134043   0.138339   0.142773   0.147349  0.152071     49.29    52.50
Freddie Mac              3134A2G77 12/28/98 11/15/28     20.230     0.000    5.4198   182.24     0.057496   0.059054   0.060654   0.062298  0.063986     21.12    22.28
Freddie Mac              3134A2HF8 06/30/98 11/24/14     38.078     0.000    5.9744   414.26     0.131138   0.135056   0.139090   0.143245  0.147524     48.21    51.13
Freddie Mac              3134A2HG6 06/30/98 12/11/25     19.896     0.000    5.9699   216.21     0.068620   0.070669   0.072778   0.074950  0.077188     25.16    26.68
Freddie Mac              3134A2NQ7 07/30/98 08/15/14     37.992     0.000    6.1246   423.85     0.133654   0.137747   0.141965   0.146313  0.150793     49.98    53.09
Freddie Mac              3134A3D29 09/09/99 08/15/27     14.928     0.000    6.9258   173.23     0.060463   0.062557   0.064723   0.066964  0.069283     22.72    24.32
Freddie Mac              3134A3ZU3 08/02/99 12/14/29     15.469     0.000    6.2410   157.31     0.053931   0.055614   0.057350   0.059139  0.060985     19.78    21.03
Freddie Mac              3134G14R2 03/14/11 03/14/36     24.535     0.000    5.6999                         0.038847   0.039954   0.041093  0.042264     11.27    14.84
Freddie Mac              3134G14S0 03/14/11 03/14/36     24.535     0.000    5.6999                         0.038847   0.039954   0.041093  0.042264     11.27    14.84
Freddie Mac              3134G16F6 03/07/11 03/07/36     25.758     0.000    5.4999                         0.039352   0.040434   0.041546  0.042689     11.69    15.01
Freddie Mac              3134G1A38 12/09/10 12/09/15    100.000    VARIES    1.5522              0.043119   0.042419   0.042263   0.042322  0.042424     15.38    15.23
Freddie Mac              3134G1A79 12/03/10 12/03/15    100.000    VARIES    1.5667              0.043520   0.042936   0.042782   0.042737  0.042800     15.54    15.39
Freddie Mac              3134G1B37 12/10/10 12/10/15*   100.000    VARIES    1.6590              0.046084   0.045314                                     11.41*        
Freddie Mac              3134G1B45 12/10/10 12/10/15*   100.000    VARIES    1.6721              0.046449   0.045647                                     11.49*        
Freddie Mac              3134G1BT0 04/23/10 07/15/11     99.343     0.000    0.5375     3.68     0.014851   0.014891                                      2.89         
Freddie Mac              3134G1BU7 04/23/10 02/15/12     98.295     0.000    0.9516     6.45     0.026061   0.026185   0.026309                           9.44     1.16
Freddie Mac              3134G1C85 12/23/10 12/23/15    100.000    VARIES    1.6590              0.046084   0.045314   0.044998   0.045084  0.045198     16.44    16.22
Freddie Mac              3134G1D27 12/10/10 12/10/15*   100.000    VARIES    1.6277              0.045215   0.044453                                     11.19*        
Freddie Mac              3134G1EA8 05/10/10 06/10/15     88.082     0.000    2.5118    14.24     0.062360   0.063144   0.063937   0.064740  0.065553     22.62    23.20
Freddie Mac              3134G1EF7 05/25/10 11/30/12     96.828     0.000    1.2849     7.53     0.034409   0.034441   0.034662   0.034885               12.57    11.62
Freddie Mac              3134G1F25 12/17/10 12/17/15    100.000    VARIES    1.7374              0.048262   0.047354   0.047041   0.047118  0.047226     17.19    16.95
Freddie Mac              3134G1F33 12/22/10 12/22/15    100.000    VARIES    1.7690              0.049141   0.048151   0.047840   0.047925  0.048042     17.50    17.24
Freddie Mac              3134G1F41 12/15/10 12/15/15    100.000    VARIES    1.7374              0.048262   0.047354   0.047041   0.047118  0.047226     17.19    16.95
Freddie Mac              3134G1F58 12/22/10 12/22/15    100.000    VARIES    1.7374              0.048262   0.047354   0.047041   0.047118  0.047226     17.20    16.95
Freddie Mac              3134G1F66 12/23/10 12/23/15    100.000    VARIES    1.7643              0.049011   0.047973   0.047661   0.047775  0.047921     17.45    17.18
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G1F82 12/21/10 12/21/40*    21.979     0.000    5.1145      .31     0.031226   0.032025                                     11.07*        
Freddie Mac              3134G1G65 12/30/10 12/30/15    100.000    VARIES    1.8431              0.051198   0.050070   0.049667   0.049773  0.049944     18.23    17.90
Freddie Mac              3134G1G99 12/28/10 12/28/40*    20.819     0.000    5.3000      .09     0.030650   0.031463                                     11.09*        
Freddie Mac              3134G1GH1 07/01/10 05/15/13     95.662     0.000    1.5498     7.42     0.041421   0.041742   0.042066   0.042392  0.042720     15.00    15.23
Freddie Mac              3134G1H31 01/13/11 01/13/34     32.115     0.000    4.9999                         0.044604   0.045719   0.046862  0.048033     15.71    17.05
Freddie Mac              3134G1H49 12/21/10 12/21/40*    21.545     0.000    5.1827      .31     0.031017   0.031821                                     11.00*        
Freddie Mac              3134G1H56 12/29/10 12/29/15    100.000    VARIES    1.8431              0.051198   0.050070   0.049667   0.049773  0.049944     18.23    17.90
Freddie Mac              3134G1HB3 06/30/10 06/30/15*   100.000    VARIES    2.4954              0.068798                                                 6.12*        
Freddie Mac              3134G1K78 12/30/10 12/30/15    100.000    VARIES    1.7379              0.048278   0.047309   0.046996   0.047103  0.047240     17.20    16.94
Freddie Mac              3134G1K94 12/30/10 12/30/15    100.000    VARIES    1.7251              0.047921   0.046896   0.046672   0.046775  0.046909     17.07    16.82
Freddie Mac              3134G1M27 12/29/10 12/29/15    100.000    VARIES    1.7775              0.049377   0.048273   0.048023   0.048111  0.048261     17.57    17.30
Freddie Mac              3134G1M50 12/30/10 12/30/15    100.000    VARIES    1.8432              0.051201   0.050041   0.049670   0.049776  0.049947     18.22    17.90
Freddie Mac              3134G1MN1 08/02/10 08/02/40     21.240     0.000    5.2315     4.60     0.030866   0.031673   0.032502   0.033352  0.034225     11.50    12.11
Freddie Mac              3134G1N34 12/29/10 12/29/15    100.000    VARIES    1.9355              0.053764   0.052403   0.052036   0.052137  0.052305     19.11    18.75
Freddie Mac              3134G1N59 12/29/10 12/29/15    100.000    VARIES    1.9355              0.053764   0.052403   0.052036   0.052137  0.052305     19.11    18.75
Freddie Mac              3134G1N67 12/30/10 12/30/15    100.000    VARIES    1.9486              0.054130   0.052763   0.052364   0.052468  0.052641     19.24    18.87
Freddie Mac              3134G1NL4 07/19/10 02/15/12     99.130     0.000    0.5565     2.48     0.015331   0.015373   0.015416                           5.54      .68
Freddie Mac              3134G1NW0 08/03/10 08/03/40     23.576     0.000    4.8749     4.72     0.031925   0.032704   0.033501   0.034317  0.035154     11.87    12.45
Freddie Mac              3134G1NY6 08/19/10 02/15/12     99.230     0.000    0.5198     1.89     0.014326   0.014365   0.014402                           5.17      .63
Freddie Mac              3134G1SL9 09/10/10 09/10/15*   100.000    VARIES    1.6223              0.045066   0.044744                                     11.16*        
Freddie Mac              3134G1TJ3 09/24/10 09/24/40     27.661     0.000    4.3300     3.23     0.033270   0.033991   0.034727   0.035478  0.036246     12.25    12.78
Freddie Mac              3134G1TV6 09/27/10 09/27/40     26.782     0.000    4.4400     3.10     0.033031   0.033765   0.034514   0.035281  0.036064     12.16    12.71
Freddie Mac              3134G1UN2 09/28/10 09/28/40     26.315     0.000    4.4999     3.06     0.032894   0.033634   0.034391   0.035164  0.035955     12.11    12.67
Freddie Mac              3134G1VL5 10/05/10 10/05/40*    23.072     0.000    4.9487     2.73     0.031716   0.032501                                      8.83*        
Freddie Mac              3134G1VW1 10/15/10 10/15/15    100.000    VARIES    1.5144              0.042067   0.041650   0.041387   0.041385  0.041435     15.02    14.90
Freddie Mac              3134G1WC4 10/28/10 10/28/15    100.000    VARIES    1.5309              0.042527   0.041949   0.041696   0.041792  0.041888     15.15    15.04
Freddie Mac              3134G1XY5 11/18/10 05/15/15     94.752     0.000    1.2037     1.36     0.031680   0.031871   0.032062   0.032255  0.032449     11.46    11.59
Freddie Mac              3134G1YT5 11/09/10 11/09/40     22.728     0.000    5.0000     1.64     0.031567   0.032356   0.033165   0.033994  0.034844     11.59    12.18
Freddie Mac              3134G1YZ1 11/16/10 11/16/40     22.728     0.000    5.0000     1.42     0.031567   0.032356   0.033165   0.033994  0.034844     11.58    12.16
Freddie Mac              3134G1ZF4 11/23/10 11/23/40     22.398     0.000    5.0500     1.19     0.031420   0.032213   0.033026   0.033860  0.034715     11.51    12.10
Freddie Mac              3134G1ZR8 12/02/10 12/02/15    100.000    VARIES    1.4369              0.039916   0.039505   0.039339   0.039372  0.039406     14.28    14.17
Freddie Mac              3134G1ZT4 12/09/10 12/09/15    100.000    VARIES    1.4945              0.041517   0.040996   0.040784   0.040829  0.040916     14.84    14.69
Freddie Mac              3134G1ZW7 12/01/10 12/01/15    100.000    VARIES    1.3705              0.038071   0.037561   0.037562   0.037610  0.037658     13.60    13.53
Freddie Mac              3134G1ZX5 11/23/10 11/23/40     22.486     0.000    5.0366     1.20     0.031459   0.032252   0.033064   0.033897  0.034750     11.53    12.12
Freddie Mac              3134G25L2 11/10/11 06/01/13     99.553     0.000    0.2876                         0.007917   0.007957   0.007968  0.007980       .40     2.87
Freddie Mac              3134G25M0 11/10/11 07/01/13     99.495     0.000    0.3086                         0.008525   0.008533   0.008546                 .43     3.07
Freddie Mac              3134G25N8 11/10/11 08/01/13     99.428     0.000    0.3328                                    0.009182   0.009199  0.009214       .47     3.31
Freddie Mac              3134G25P3 11/10/11 09/01/13     99.353     0.000    0.3592                                    0.009908   0.009926  0.009943       .51     3.57
Freddie Mac              3134G25Q1 11/10/11 10/01/13     99.288     0.000    0.3780                                    0.010422   0.010443  0.010463       .53     3.76
Freddie Mac              3134G25R9 11/10/11 12/01/13     99.135     0.000    0.4225                         0.011613   0.011638   0.011662  0.011687       .59     4.20
Freddie Mac              3134G25S7 11/10/11 01/01/14     99.053     0.000    0.4447                         0.012236   0.012245   0.012272                 .62     4.41
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G25T5 11/10/11 02/01/14     98.967     0.000    0.4671                                    0.012841   0.012857  0.012887       .65     4.63
Freddie Mac              3134G25U2 11/10/11 03/01/14     98.890     0.000    0.4841                                    0.013292   0.013318  0.013350       .68     4.80
Freddie Mac              3134G25V0 11/10/11 04/01/14     98.810     0.000    0.5011                                    0.013749   0.013782  0.013817       .70     4.96
Freddie Mac              3134G25W8 11/10/11 05/01/14     98.725     0.000    0.5191                                    0.014231   0.014272  0.014309       .73     5.14
Freddie Mac              3134G25X6 11/10/11 06/01/14     98.634     0.000    0.5383                         0.014748   0.014754   0.014794  0.014834       .75     5.32
Freddie Mac              3134G25Y4 11/10/11 07/01/14     98.551     0.000    0.5532                         0.015130   0.015158   0.015200                 .77     5.46
Freddie Mac              3134G25Z1 11/10/11 08/01/14     98.462     0.000    0.5695                                    0.015571   0.015598  0.015642       .79     5.62
Freddie Mac              3134G26B3 11/10/11 09/01/14     98.368     0.000    0.5867                                    0.016031   0.016062  0.016109       .82     5.79
Freddie Mac              3134G26C1 11/10/11 10/01/14     98.283     0.000    0.5998                                    0.016373   0.016414  0.016463       .84     5.91
Freddie Mac              3134G26D9 11/10/11 11/01/14     98.186     0.000    0.6162                                    0.016806   0.016858  0.016910       .86     6.07
Freddie Mac              3134G26E7 11/10/11 12/01/14     98.101     0.000    0.6278                         0.017097   0.017116   0.017170  0.017223       .87     6.17
Freddie Mac              3134G26F4 11/10/11 01/01/15     97.981     0.000    0.6502                         0.017694   0.017714   0.017772                 .90     6.39
Freddie Mac              3134G2AC6 03/28/11 03/28/36     25.758     0.000    5.4999                         0.039352   0.040434   0.041546  0.042689     10.84    14.97
Freddie Mac              3134G2B43 09/16/11 03/16/17    100.000    VARIES    1.3955                                    0.038765   0.038435  0.038267      4.07    13.84
Freddie Mac              3134G2CT7 04/01/11 04/01/14    100.000    VARIES    1.2448                         0.034579   0.034686   0.034794  0.034794      9.35    12.52
Freddie Mac              3134G2CV2 04/01/11 04/01/16    100.000    VARIES    2.1989                         0.061082   0.061433   0.061788  0.062124     16.52    22.24
Freddie Mac              3134G2E81 09/23/11 09/23/16    100.000    VARIES    1.3464                                    0.037400   0.037091  0.036990      3.67    13.37
Freddie Mac              3134G2EE8 04/25/11 04/25/36     26.392     0.000    5.4000                         0.039588   0.040657   0.041755  0.042882      9.81    14.98
Freddie Mac              3134G2HZ8 05/18/11 08/15/12     99.656     0.000    0.2776                         0.007686   0.007692   0.007703                1.71     1.73
Freddie Mac              3134G2JA1 05/18/11 02/15/13     99.131     0.000    0.5017                         0.013810   0.013832   0.013867  0.013902      3.08     5.00
Freddie Mac              3134G2JB9 05/18/11 08/15/13     98.365     0.000    0.7366                         0.020125   0.020164   0.020239  0.020313      4.49     7.29
Freddie Mac              3134G2JC7 05/18/11 02/15/14     97.359     0.000    0.9785                         0.026455   0.026526   0.026655  0.026786      5.91     9.61
Freddie Mac              3134G2JD5 05/18/11 02/15/15     94.531     0.000    1.5086                         0.039605   0.039758   0.040058  0.040360      8.85    14.45
Freddie Mac              3134G2JE3 05/18/11 02/15/16     91.147     0.000    1.9642                         0.049722   0.049969   0.050459  0.050955     11.12    18.21
Freddie Mac              3134G2LS9 06/28/11 06/28/41     20.819     0.000    5.3000                         0.030650   0.031463   0.032296  0.033152      5.61    11.48
Freddie Mac              3134G2N40 09/19/11 08/01/13     99.354     0.000    0.3474                                    0.009589   0.009602  0.009619       .98     3.46
Freddie Mac              3134G2N57 09/19/11 02/15/15     97.686     0.000    0.6886                                    0.018681   0.018738  0.018802      1.91     6.75
Freddie Mac              3134G2N65 09/19/11 08/01/15     96.933     0.000    0.8071                                    0.021729   0.021799  0.021887      2.22     7.86
Freddie Mac              3134G2NU2 06/23/11 10/01/13     98.610     0.000    0.6169                         0.016894   0.016927   0.016979  0.017032      3.18     6.11
Freddie Mac              3134G2TW2 08/17/11 08/17/37     26.289     0.000    5.2051                                    0.038010   0.039000  0.040015      5.09    14.13
Freddie Mac              3134G2UK6 08/23/11 08/23/16*   100.000    VARIES    1.7202                                    0.047785                           4.30*        
Freddie Mac              3134G2UV2 08/24/11 08/24/33     33.740     0.000    5.0000                                    0.046862   0.048033  0.049234      5.95    17.38
Freddie Mac              3134G2Z62 10/06/11 03/01/14     98.600     0.000    0.5876                                    0.016089   0.016132  0.016179      1.37     5.81
Fannie Mae               31359MEL3 01/29/99 06/01/17     34.790     0.000    5.8405   343.29     0.111593   0.114852   0.118206   0.121658  0.125211     40.96    43.39
Fannie Mae               31364KSS0 08/17/00 08/17/12     60.070     2.000    6.9636   324.21     0.120237   0.124424   0.128756   0.133239               45.18    29.91
Fannie Mae               3136F1EQ9 12/27/01 03/17/31     16.751     0.000    6.2082   123.16     0.049244   0.050772   0.052348   0.053973  0.055649     18.33    19.48
Fannie Mae               3136F2B31 12/20/02 12/30/32     19.252     0.000    5.5626   106.60     0.046212   0.047497   0.048818   0.050176  0.051572     16.87    17.82
Fannie Mae               3136F3LA2 04/04/03 10/03/33     20.285     0.000    5.2999   101.30     0.044204   0.045375   0.046578   0.047812  0.049079     16.33    17.21
Fannie Mae               3136F3ZC3 06/09/03 12/15/33     23.674     0.000    N/A                 0.045161   0.046246   0.047357   0.048495  0.049660     16.49    17.29
Fannie Mae               3136F4R55 01/07/04 12/15/34     18.268     0.000    5.5708    85.46     0.041391   0.042544   0.043729   0.044947  0.046199     15.15    16.00
Fannie Mae               3136F6G86 02/24/05 02/15/15     63.549     0.000    4.5968   193.70     0.104073   0.106465   0.108912   0.111415  0.113976     38.55    40.35
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Fannie Mae               3136F75W3 11/03/06 12/01/11     78.531     0.000    4.8158   172.04     0.127556   0.130628                                     42.65         
Fannie Mae               3136F7J73 06/16/06 07/10/11     84.228     0.000    N/A                 0.058529   0.049913                                      9.51         
Fannie Mae               3136F7MB0 11/17/05 06/07/12     73.724     0.000    4.7041   198.32     0.121869   0.124735   0.127669                          44.53    19.92
Fannie Mae               3136F7NJ2 11/15/05 02/28/14     67.000     0.000    4.8887   188.50     0.114044   0.114927   0.119030   0.120614  0.125610     42.40    44.67
Fannie Mae               3136F7NM5 11/15/05 11/15/30     26.938     0.000    5.3159    83.18     0.051710   0.053084   0.054495   0.055943  0.057430     18.99    20.01
Fannie Mae               3136F7Q34 07/14/06 10/31/14     63.950     0.000    5.4603   174.11     0.122274   0.125612   0.129041   0.132564  0.136183     45.03    47.52
Fannie Mae               3136F7QX8 01/06/06 10/10/13     69.750     0.000    4.6951   181.72     0.113470   0.116134   0.118861   0.121651  0.124507     41.77    43.75
Fannie Mae               3136F7UM7 02/22/06 10/01/12     96.825     4.318    4.8859    22.34     0.014323   0.014673   0.015032   0.015399                5.28     4.12
Fannie Mae               3136F8JD8 03/16/07 05/31/13     74.650     0.000    4.7639   146.11     0.117637   0.120439   0.123308   0.126245  0.129252     43.03    45.10
Fannie Mae               3136F8JY2 03/30/07 04/10/13     75.160     0.000    4.7935   146.30     0.118283   0.121118   0.124021   0.126994  0.130037     43.56    45.67
Fannie Mae               3136F8LJ2 05/16/07 10/01/29     60.778     0.000    N/A                 0.075022   0.074973   0.072139   0.072091  0.067117     26.74    25.51
Fannie Mae               3136F8LW3 05/03/07 06/01/15     75.398     0.000    N/A                 0.087291   0.083124   0.082919   0.078427  0.078221     30.54    28.90
Fannie Mae               3136F8NZ4 06/11/07 12/10/14     66.600     0.000    5.4956   141.62     0.122896   0.126273   0.129742   0.133308  0.136971     44.99    47.50
Fannie Mae               3136F8P25 02/08/08 02/08/38     16.973     0.000    6.0000    31.72     0.032081   0.033592   0.034035   0.035441  0.036108     12.27    13.02
Fannie Mae               3136F8QH1 07/11/07 02/28/14     69.767     0.000    5.4960   144.93     0.125582   0.126929   0.131850   0.134001  0.139965     46.86    49.65
Fannie Mae               3136F8QM0 07/30/07 07/30/37     12.693     0.000    7.0001    33.68     0.030340   0.031402   0.032501   0.033638  0.034816     11.44    12.25
Fannie Mae               3136F8RD9 08/09/07 04/10/12     79.420     0.000    4.9945   144.91     0.128841   0.132058   0.135356                          47.49    13.40
Fannie Mae               3136F8UT0 11/06/07 05/01/14     95.257     0.000    N/A                 0.018739   0.014521   0.011967   0.006258  0.006265      5.58     2.58
Fannie Mae               3136F8XP5 11/20/07 07/10/12     82.235     0.000    4.2600   115.40     0.108768   0.111084   0.113451   0.115867               40.37    21.88
Fannie Mae               3136F8YZ2 12/13/07 02/15/12     85.070     0.000    3.9122   106.78     0.102539   0.104544   0.106589                          37.83     4.69
Fannie Mae               3136F92T9 12/30/08 12/30/38     20.417     0.000    5.3667    22.85     0.033838   0.034746   0.035678   0.036636  0.037619     12.35    13.02
Fannie Mae               3136F9A45 08/01/08 07/01/11     89.720     0.000    3.7531    84.38     0.102334                                                18.42         
Fannie Mae               3136F9A52 08/01/08 12/30/11     87.670     0.000    3.8911    85.60     0.104001   0.106025                                     37.70         
Fannie Mae               3136F9A60 08/01/08 06/29/12     85.645     0.000    4.0007    86.07     0.104722   0.106817   0.108953                          38.09    19.39
Fannie Mae               3136F9A78 08/01/08 12/31/12     83.605     0.000    4.0950    86.18     0.104893   0.107041   0.109233   0.111469               38.15    39.62
Fannie Mae               3136F9B44 08/07/08 12/01/13     84.261     0.000    N/A                 0.081746   0.081469   0.077112   0.076838  0.072279     29.24    27.57
Fannie Mae               3136F9D91 09/04/08 04/01/12     91.994     0.000    N/A                 0.058821   0.041325   0.021936                          14.71     1.97
Fannie Mae               3136F9E25 09/04/08 04/01/14     83.238     0.000    N/A                 0.095264   0.094866   0.094461   0.094047  0.093626     34.15    33.86
Fannie Mae               3136F9FX6 04/03/08 12/30/12     93.811     0.000    N/A                 0.019914   0.020195   0.006800   0.006896                7.21     2.47
Fannie Mae               3136F9FY4 04/03/08 06/29/12     93.719     0.000    N/A                 0.027126   0.009135   0.009261                           6.49     1.65
Fannie Mae               3136F9FZ1 04/03/08 12/29/12     94.297     0.000    N/A                 0.016968   0.014191   0.006067   0.004143                5.59     1.83
Fannie Mae               3136FH5F8 08/07/09 12/30/11     96.465     0.000    1.5067    20.49     0.041231   0.041542                                     14.86         
Fannie Mae               3136FHET8 03/23/09 03/23/39*    16.247     0.000    6.1502    18.43     0.030396                                                 2.49*        
Fannie Mae               3136FHEU5 03/24/09 03/24/39*    16.247     0.000    6.1502    18.40     0.030396                                                 2.52*        
Fannie Mae               3136FHEY7 03/25/09 03/25/39*    16.778     0.000    6.0397    18.62     0.030777                                                 2.59*        
Fannie Mae               3136FHHU2 04/08/09 04/08/39*    20.368     0.000    5.3749    19.60     0.032929   0.033814                                      9.28*        
Fannie Mae               3136FMFS8 03/29/10 03/29/35*    24.535     0.000    5.6999    10.67     0.039954                                                 3.52*        
Fannie Mae               3136FMJU9 03/29/10 06/29/12     98.965     0.000    N/A                 0.015173   0.007281   0.002113                           4.02      .37
Fannie Mae               3136FRET6 03/25/11 11/01/12     99.132     0.000    0.5455              0.015023   0.015031   0.015072   0.015114                4.15     4.53
Fannie Mae               31398AE99 02/09/10 02/09/40     18.203     0.000    5.7599     9.50     0.029964   0.030827   0.031714   0.032628  0.033567     11.19    11.84
Fannie Mae               31398AR38 05/18/10 05/18/35*    24.239     0.000    5.7499     8.68     0.039828                                                 5.46*        
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Fannie Mae               31398AS29 06/01/10 06/01/35*    24.238     0.000    5.7501     8.16     0.039827                                                 5.97*        
Fannie Mae               31398AY30 07/20/10 07/20/40     21.392     0.000    5.2071     4.98     0.030942   0.031748   0.032574   0.033422  0.034292     11.55    12.16
Fannie Mae               31398AY71 07/20/10 07/20/40     21.422     0.000    5.2023     4.98     0.030957   0.031762   0.032588   0.033436  0.034306     11.55    12.16
Fannie Mae               31398AY89 08/10/10 08/10/40     21.076     0.000    5.2580     4.34     0.030783   0.031592   0.032423   0.033275  0.034150     11.46    12.07
FelCor Lodging Limited   31430QAZ0 10/01/09 10/01/14     87.750    10.000   13.4435    23.69     0.056843   0.060664   0.064741   0.069093  0.073737     21.86    24.90
FelCor Lodging Limited   31430QBA4 10/01/09 10/01/14     87.750    10.000   13.4435    23.69     0.056843   0.060664   0.064741   0.069093  0.073737     21.86    24.90
FiberTower Corporation   31567RAF7 12/22/09 01/01/16    100.000     9.000    N/A                 0.265623   0.273592   0.281799   0.290253               97.06   102.97
FiberTower Corporation   31567RAG5 12/22/09 01/01/16    100.000     9.000    N/A                 0.265623   0.273592   0.281799   0.290253               97.06   102.97
First Data Corporation.  319963AN4 10/24/07 09/24/15     94.796     9.875   10.8718    15.94     0.016310   0.017196   0.018131   0.019117  0.020156      6.21     6.90
First Data Corporation.  319963AP9 10/24/07 09/24/15     94.796     9.875   10.8718    15.94     0.016310   0.017196   0.018131   0.019117  0.020156      6.21     6.90
First Data Corporation.  319963AY0 12/17/10 01/15/21     94.750     8.250    9.0551      .13     0.009159   0.009225   0.009643   0.010079  0.010536      3.39     3.70
First Data Corporation.  319963AZ7 12/17/10 01/15/22     95.625    VARIES    N/A                 0.257690   0.259635   0.272229   0.285433  0.299279     95.53   104.87
First Data Corporation.  319963BA1 12/15/10 01/15/21     91.875    12.625   14.1624      .17     0.010743   0.010870   0.011640   0.012464  0.013347      4.04     4.62
First Data Corporation.  319963BB9 12/15/10 01/15/21     91.875    12.625   14.1624      .17     0.010743   0.010870   0.011640   0.012464  0.013347      4.04     4.62
Livingston CNTY SD#74,IL 33849YAA9 09/09/10 12/01/11    103.854     0.000    1.7204              0.049828   0.050256                                     16.52         
Livingston CNTY SD#74,IL 33849YAB7 09/09/10 12/01/12    105.832    VARIES    2.2283              0.065841   0.066575   0.063525   0.062716               23.77    20.82
Livingston CNTY SD#74,IL 33849YAC5 09/09/10 12/01/13    106.537    VARIES    2.8306              0.084308   0.085501   0.081846   0.081058  0.080260     30.49    29.28
Livingston CNTY SD#74,IL 33849YAD3 09/09/10 12/01/14    106.763    VARIES    3.2820              0.098062   0.099671   0.095608   0.094898  0.094176     35.52    34.25
Livingston CNTY SD#74,IL 33849YAE1 09/09/10 12/01/15    106.477    VARIES    3.6335              0.108359   0.110328   0.106024   0.105427  0.104819     39.29    38.03
Livingston CNTY SD#74,IL 33849YAF8 09/09/10 12/01/11    103.916     0.000    1.7198              0.049839   0.050267                                     16.52         
Livingston CNTY SD#74,IL 33849YAG6 09/09/10 12/01/12    105.941    VARIES    2.2282              0.065905   0.066639   0.063552   0.062728               23.79    20.82
Livingston CNTY SD#74,IL 33849YAH4 09/09/10 12/01/13    106.692    VARIES    2.8301              0.084418   0.085613   0.081911   0.081104  0.080287     30.53    29.29
Livingston CNTY SD#74,IL 33849YAJ0 09/09/10 12/01/14    106.763    VARIES    3.2820              0.098062   0.099671   0.095608   0.094898  0.094176     35.52    34.25
Livingston CNTY SD#74,IL 33849YAK7 09/09/10 12/01/15    106.477    VARIES    3.6335              0.108359   0.110328   0.106024   0.105427  0.104819     39.29    38.03
Frnkln & Hamltn HSD #103 35241RAF2 03/15/06 11/01/11     71.698     0.000    5.9985   235.05     0.157064   0.161775                                     47.97         
Franklin Cnty SD #47     352730CF0 02/15/07 12/01/13     68.938     0.000    5.5487   163.12     0.130793   0.134422   0.138151   0.141984  0.145923     47.96    50.66
Franklin Cnty SD #47     352730CG8 02/15/07 12/01/14     65.167     0.000    5.5688   154.81     0.124178   0.127635   0.131189   0.134842  0.138596     45.54    48.11
Franklin Cnty SD #47     352730CH6 02/15/07 12/01/15     61.525     0.000    5.5989   147.02     0.118004   0.121308   0.124704   0.128195  0.131784     43.28    45.73
Franklin Cnty SD #47     352730CJ2 02/15/07 12/01/16     57.942     0.000    5.6491   139.82     0.112336   0.115509   0.118771   0.122126  0.125576     41.21    43.57
College District #534 IL 360395FB8 07/22/10 12/01/11    103.252     0.000    2.2048              0.063738   0.064441                                     21.16         
College District #534 IL 360395FC6 07/22/10 12/01/12    105.163    VARIES    2.3712              0.069859   0.070687   0.067279   0.066579               25.22    22.08
College District #534 IL 360395FD4 07/22/10 12/01/13    105.996    VARIES    2.7756              0.082537   0.083683   0.079820   0.079154  0.078479     29.84    28.58
College District #534 IL 360395FE2 07/22/10 12/01/14    106.532    VARIES    3.1773              0.095095   0.096606   0.092201   0.091570  0.090929     34.42    33.04
College District #534 IL 360395FF9 07/22/10 12/01/15    107.053    VARIES    3.5779              0.107762   0.109689   0.104612   0.103999  0.103374     39.05    37.51
College District #534 IL 360395FG7 07/22/10 12/01/16    105.839    VARIES    4.0773              0.121626   0.124105   0.118452   0.117979  0.117496     44.14    42.53
College District #534 IL 360395FH5 07/22/10 12/01/17    105.580    VARIES    4.4767              0.133399   0.136385   0.130013   0.129596  0.129171     48.46    46.70
College District #534 IL 360395FJ1 07/22/10 12/01/18    103.358    VARIES    4.9260              0.143926   0.147471   0.140635   0.140405  0.140168     52.35    50.57
College District #534 IL 360395FK8 07/22/10 12/01/19    103.249    VARIES    5.2255              0.152677   0.156666   0.149141   0.148937  0.148728     55.58    53.64
College District #534 IL 360395FL6 07/22/10 12/01/20    101.888    VARIES    5.4261              0.156558   0.160805   0.153104   0.152999  0.152892     57.02    55.09
GWR Operating Partnershp 361990AA2 04/07/10 04/01/17     95.347    10.875   11.8737     3.34     0.013109   0.013887   0.014711   0.015585  0.016510      5.00     5.62
GATX Financial Corp.     36804PAC0 10/25/04 06/15/11     95.703     6.273    7.0956    39.35     0.022069                                                 3.62         
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GATX Financial Corp.     36804PAD8 10/25/04 06/15/11     95.703     6.273    7.0956    39.35     0.022069                                                 3.62         
GATX Financial Corp.     36804PAE6 10/25/04 06/15/11     95.703     6.273    7.0956    39.35     0.022069                                                 3.62         
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES   12.5014              0.373209   0.388724   0.405208   0.422723  0.441333    138.62   150.69
GMAC                     37042FDC9 01/16/97 01/15/12     34.258     0.000    7.2720   585.94     0.181477   0.188076   0.194914                          68.75     2.73
Goldman Sachs Group,Inc. 38141GBW3 02/01/02 02/01/12    100.000     0.000    6.6999              0.325875   0.336791   0.348074                         122.61    10.44
Goldman Sachs Group,Inc. 38141GCB8 04/08/02 04/08/12    100.000     2.000    6.6499              0.280794   0.288283   0.296021                         103.70    28.71
Goldman Sachs Group,Inc. 38141GCC6 04/10/02 04/10/12    100.000     2.500    6.7200              0.275035   0.281943   0.289083                         101.39    28.62
Goldman Sachs Group,Inc. 38141GCD4 04/29/02 04/29/12    100.000     3.500    6.8099              0.259676   0.265208   0.270928                          95.18    31.97
Goldman Sachs Group,Inc. 38141GCE2 07/03/02 07/03/12    100.000     3.000    6.3397              0.236179   0.241024   0.246023   0.251180               87.65    45.70
Goldman Sachs Group,Inc. 38141GCJ1 09/16/02 09/16/12    100.000     2.500    5.5999              0.203396   0.207147   0.211003   0.214966               74.70    54.52
Goldman Sachs Group,Inc. 38141GCK8 10/28/02 10/28/12    100.000     3.000    5.7299              0.202496   0.205910   0.209422   0.213035               73.95    62.85
Goldman Sachs Group,Inc. 38141GCV4 02/28/03 02/28/13    100.000     0.000    5.1699              0.209430   0.211341   0.219187   0.222409  0.231940     77.99    82.38
Goldman Sachs Group,Inc. 38141GCW2 02/27/03 02/27/13    100.000     0.500    5.1499              0.203024   0.207895   0.212890   0.218014  0.223271     75.19    78.85
Goldman Sachs Group,Inc. 38141GCX0 03/05/03 03/05/13    100.000     0.000    5.0499              0.203909   0.209057   0.214336   0.219748  0.225297     75.54    79.41
Goldman Sachs Group,Inc. 38141GCZ5 04/21/03 04/18/13    100.000     0.000    5.1500              0.209385   0.214777   0.220307   0.225980  0.231799     77.15    81.17
Goldman Sachs Group,Inc. 38141GDC5 04/21/03 04/21/13    100.000     2.250    5.1500              0.180456   0.183493   0.186609   0.189804  0.193082     65.94    68.21
Goldman Sachs Group,Inc. 38141GDF8 05/30/03 05/30/13    100.000     0.000    4.6300              0.181288   0.185485   0.189779   0.194172  0.198667     66.28    69.39
Goldman Sachs Group,Inc. 38141GDG6 06/11/03 06/11/13    100.000     3.000    4.2499              0.130930   0.131942   0.132975   0.134030  0.135107     47.36    48.10
Goldman Sachs Group,Inc. 38141GDH4 06/20/03 06/20/13    100.000     0.250    4.3500              0.164217   0.167637   0.171132   0.174704  0.178352     59.81    62.33
Goldman Sachs Group,Inc. 38141GDL5 08/07/03 08/07/11    100.000     0.000    5.0600              0.199417   0.204462                                     43.98         
Goldman Sachs Group,Inc. 38141GDS0 04/13/04 06/13/11    100.000     0.000    4.6749              0.176727                                                28.63         
Goldman Sachs Group,Inc. 38141GDW1 11/23/04 11/23/11    100.000     2.000    4.5999              0.150436   0.152619                                     48.83         
Goldman Sachs Group,Inc. 38141GDY7 01/11/05 01/11/12    100.000     1.000    4.7300              0.161768   0.164937   0.168181                          59.90     1.68
Goldman Sachs Group,Inc. 38141GEB6 02/15/05 02/15/12    100.000     2.000    4.5499              0.146275   0.148339   0.150450                          53.60     6.62
Goldman Sachs Group,Inc. 38141GEC4 06/29/05 06/29/12    100.000     1.000    4.6499              0.158332   0.161367   0.164473                          57.56    29.28
Goldman Sachs Group,Inc. 38141GEN0 06/28/06 06/28/11    100.000     0.125    5.8999              0.211867                                                37.50         
Goldman Sachs Group,Inc. 38141GFF6 12/28/07 12/28/17    100.000     0.000    5.8500              0.193187   0.198838   0.204654   0.210640  0.216802     70.60    74.79
Goldman Sachs Group,Inc. 38141GGH1 10/26/09 03/05/13    100.000     0.000    1.0049              0.028156   0.028297   0.028440   0.028583  0.028726     10.19    10.30
Goldman Sachs Group,Inc. 3814262A2 11/04/09 11/06/14    100.000     0.000    3.0642              0.087763   0.089107   0.090472   0.091859  0.093266     31.99    32.97
Goldman Sachs Group,Inc. 3814262B0 11/30/09 11/30/14    100.000     0.000    2.9158              0.083375   0.084591   0.085824   0.087075  0.088345     30.31    31.20
Goldman Sachs Group,Inc. 3814262C8 12/04/09 12/08/14    100.000     0.000    2.9817              0.085342   0.086614   0.087905   0.089216  0.090546     31.01    31.94
Goldman Sachs Group,Inc. 3814262D6 12/31/09 12/31/14    100.000     0.000    2.8111              0.080298   0.081427   0.082572   0.083732  0.084909     29.11    29.94
Goldman Sachs Group,Inc. 3814262E4 12/29/09 06/26/15    100.000     0.000    2.9758              0.085119   0.086386   0.087671   0.088976  0.090300     30.88    31.81
Goldman Sachs Group,Inc. 3814262F1 02/03/10 02/05/15    100.000     0.000    2.7204              0.076607   0.077649   0.078705   0.079776  0.080861     28.07    28.84
Goldman Sachs Group,Inc. 3814262H7 01/29/10 07/30/15    100.000     0.000    2.8531              0.080390   0.081537   0.082700   0.083880  0.085077     29.50    30.34
Goldman Sachs Group,Inc. 3814262J3 02/26/10 08/27/15    100.000     0.000    2.8595              0.080575   0.081727   0.082896   0.084081  0.085283     29.50    30.35
Goldman Sachs Group,Inc. 3814262K0 03/03/10 03/05/15    100.000     0.000    2.5727              0.072396   0.073327   0.074271   0.075226  0.076194     26.45    27.13
Goldman Sachs Group,Inc. 3814262L8 03/31/10 10/01/15    100.000     0.000    2.4854              0.069904   0.070773   0.071652   0.072543  0.073444     25.48    26.12
Goldman Sachs Group,Inc. 3814262M6 05/05/10 05/07/15    100.000     0.000    2.6855              0.075612   0.076627   0.077656   0.078699  0.079756     27.51    28.26
Goldman Sachs Group,Inc. 3814262N4 03/31/10 03/31/15    100.000     0.000    2.7100              0.076299   0.077333   0.078381   0.079443  0.080519     27.84    28.60
Goldman Sachs Group,Inc. 381426Y58 06/03/09 06/05/14    100.000     0.000    3.4499              0.100897   0.102637   0.104408   0.106209  0.108041     36.73    38.01
Goldman Sachs Group,Inc. 381426Z40 07/06/09 07/08/14    100.000     0.000    3.4489              0.099155   0.100865   0.102605   0.104374  0.106174     36.60    37.87
Goldman Sachs Group,Inc. 381426Z65 08/05/09 08/07/14    100.000     0.000    3.2499              0.093250   0.094765   0.096305   0.097870  0.099460     34.28    35.41
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 381426Z73 09/09/09 09/09/14    100.000     0.000    3.0499              0.087325   0.088656   0.090008   0.091381  0.092775     31.98    32.96
Goldman Sachs Group,Inc. 381426Z81 10/05/09 10/07/14    100.000     0.000    3.1498              0.090289   0.091711   0.093155   0.094622  0.096113     33.00    34.05
Goldman Sachs Group,Inc. 381426Z99 09/30/09 09/30/14    100.000     0.000    3.0503              0.087335   0.088667   0.090019   0.091392  0.092786     31.92    32.91
Goldman Sachs Group,Inc. 38143DAA7 09/03/09 09/09/14    100.000     0.000    3.1999              0.091805   0.093274   0.094766   0.096282  0.097823     33.65    34.73
Goldman Sachs Group,Inc. 38143U457 04/16/04 10/16/11    100.000     0.000    4.7359              0.178338   0.182561                                     51.59         
Goldman Sachs Group,Inc. 38143UAQ4 09/10/04 09/10/11    100.000    VARIES    4.5701              0.142837   0.144281                                     35.83         
Goldman Sachs Group,Inc. 38143UAS0 09/10/04 09/10/12    100.000     0.500    4.7699              0.171273   0.175027   0.178870   0.182805               63.18    45.25
Goldman Sachs Group,Inc. 38143UAX9 10/08/04 10/08/11    100.000     1.500    4.5499              0.152643   0.155168                                     42.74         
Goldman Sachs Group,Inc. 38143UB34 08/31/11 08/31/26    100.000    VARIES    5.7419                                    0.157745   0.154074  0.154581     19.40    56.67
Goldman Sachs Group,Inc. 38143UB91 09/01/11 09/01/16    100.000    VARIES    2.6249                                    0.008499   0.008342  0.008183      1.02     2.99
Goldman Sachs Group,Inc. 38143UBB6 03/16/05 03/16/12    100.000     1.000    5.0399              0.175339   0.179058   0.182870                          64.58    13.72
Goldman Sachs Group,Inc. 38143UBC4 04/13/05 04/13/12    100.000     0.500    4.9999              0.177900   0.182000   0.186203                          65.43    18.99
Goldman Sachs Group,Inc. 38143UBF7 08/18/05 08/18/11    100.000     0.000    4.8399              0.170761   0.174894                                     39.51         
Goldman Sachs Group,Inc. 38143UBH3 10/03/05 10/03/12    100.000     1.000    5.0999              0.174278   0.178013   0.181844   0.185773               64.08    50.17
Goldman Sachs Group,Inc. 38143UBN0 03/16/07 03/16/14    100.000     0.000    5.7599              0.195181   0.200802   0.206585   0.212534  0.218655     72.47    76.71
Goldman Sachs Group,Inc. 38143UBY6 08/22/07 02/22/11    100.000     0.000    5.3199              0.172988                                                 8.82         
Goldman Sachs Group,Inc. 38143UC41 09/15/11 09/15/26    100.000    VARIES    5.9696                                    0.165825   0.164142  0.162408     17.58    59.03
Goldman Sachs Group,Inc. 38143UC58 09/30/11 09/30/16    100.000     0.000    4.3397                                    0.120549   0.123165  0.125837     10.97    44.35
Goldman Sachs Group,Inc. 38143UCC3 10/22/07 09/26/11    100.000     0.000    5.2199              0.168619   0.173020                                     45.48         
Goldman Sachs Group,Inc. 38143UCG4 10/09/07 10/13/15    100.000     0.000    5.8199              0.192153   0.197744   0.203499   0.209420  0.215515     71.07    75.26
Goldman Sachs Group,Inc. 38143UCK5 01/31/08 01/31/15    100.000     1.000    5.2500              0.162165   0.165692   0.169312   0.173028  0.176841     60.09    62.76
Goldman Sachs Group,Inc. 38143UCN9 04/11/08 09/11/15    100.000     3.000    5.7277              0.170187   0.172674   0.175233   0.177865  0.180572     62.27    64.14
Goldman Sachs Group,Inc. 38143UCP4 05/07/08 05/07/15    100.000     1.000    4.0000              0.119785   0.121625   0.123502   0.125416  0.127369     43.65    45.01
Goldman Sachs Group,Inc. 38143UD99 09/20/11 09/20/16    100.000    VARIES    2.6408                                    0.008247   0.008094  0.007939       .83     2.91
Goldman Sachs Group,Inc. 38143UDB4 07/24/09 07/25/11    100.000     0.000    2.9229              0.083592   0.084813                                     17.27         
Goldman Sachs Group,Inc. 38143UDK4 02/05/09 05/05/12    100.000     0.000    5.2977              0.161276   0.165548   0.169933                          59.31    21.07
Goldman Sachs Group,Inc. 38143UDT5 07/24/09 07/25/11    100.000     0.000    2.9229              0.083592   0.084813                                     17.27         
Goldman Sachs Group,Inc. 38143UDU2 07/06/09 07/08/13    100.000     0.000    4.2600              0.123458   0.126087   0.128773   0.131516  0.134317     45.84    47.81
Goldman Sachs Group,Inc. 38143UDW8 07/10/09 07/10/14    100.000     1.000    4.6174              0.132957   0.135385   0.137869   0.140411  0.143011     49.14    50.97
Goldman Sachs Group,Inc. 38143UEF4 08/07/09 08/08/11    100.000     0.000    2.4971              0.071114   0.072002                                     15.59         
Goldman Sachs Group,Inc. 38143UEJ6 08/25/09 08/25/11    100.000     0.000    2.6782              0.076401   0.077424                                     18.06         
Goldman Sachs Group,Inc. 38143UEK3 08/25/09 02/25/11    100.000     0.000    2.0848              0.059126                                                 3.19         
Goldman Sachs Group,Inc. 38143UEL1 08/28/09 12/12/12    100.000     0.000    3.4679              0.100700   0.102446   0.104222   0.106029               36.63    35.86
Goldman Sachs Group,Inc. 38143UEN7 09/17/09 10/03/11    100.000     0.000    2.3500              0.066892   0.067678                                     18.34         
Goldman Sachs Group,Inc. 38143UEU1 10/29/09 10/29/24    100.000    VARIES    6.0484              0.159142   0.159347   0.159560   0.159778  0.160003     57.35    57.51
Goldman Sachs Group,Inc. 38143UEY3 10/30/09 10/30/14    100.000     1.000    3.9877              0.114114   0.115835   0.117591   0.119382  0.121208     41.60    42.88
Goldman Sachs Group,Inc. 38143UEZ0 10/29/09 10/29/16    100.000     1.000    4.6747              0.134681   0.137179   0.139736   0.142353  0.145031     49.25    51.10
Goldman Sachs Group,Inc. 38143UF63 10/31/11 05/01/17    100.000     0.000    3.8999                         0.108332   0.108345   0.110458  0.112612      6.61    39.64
Goldman Sachs Group,Inc. 38143UFM8 11/30/09 11/30/15    100.000     1.000    3.9589              0.113258   0.114950   0.116675   0.118435  0.120229     41.18    42.43
Goldman Sachs Group,Inc. 38143UFT3 12/30/09 12/30/24    100.000    VARIES    5.9598              0.157084   0.157282   0.157485   0.157695  0.157911     56.59    56.73
Goldman Sachs Group,Inc. 38143UFU0 12/17/09 06/17/11    100.000     0.000    1.2185              0.034263                                                 5.69         
Goldman Sachs Group,Inc. 38143UGH8 02/25/10 02/25/25    100.000    VARIES    5.9486              0.161068   0.156771   0.156969   0.157173  0.157383     56.69    56.60
Goldman Sachs Group,Inc. 38143UGW5 03/31/10 03/31/25    100.000    VARIES    5.7994              0.156908   0.152597   0.152798   0.153005  0.153218     55.34    55.08
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UHS3 04/15/10 04/15/15    100.000     1.000    3.9405              0.111068   0.112709   0.114382   0.116089  0.117829     40.53    41.75
Goldman Sachs Group,Inc. 38143UHT1 04/20/10 04/20/15    100.000     0.000    3.9150              0.110881   0.113052   0.115265   0.117521  0.119822     40.62    42.23
Goldman Sachs Group,Inc. 38143UJE2 05/26/10 05/26/16    100.000     0.000    5.1358              0.146325   0.150082   0.153936   0.157889  0.161944     53.62    56.41
Goldman Sachs Group,Inc. 38143UJL6 05/21/10 05/21/15    100.000     0.000    2.4439              0.068717   0.069556   0.070406   0.071267  0.072138     24.96    25.57
Goldman Sachs Group,Inc. 38143UJX0 06/24/10 06/24/16    100.000     0.000    4.3999              0.124909   0.127657   0.130465   0.133335  0.136268     45.50    47.52
Goldman Sachs Group,Inc. 38143UKX8 08/31/10 08/31/17    100.000     0.000    4.4059              0.121712   0.122365   0.126435   0.127816  0.132797     45.13    47.31
Goldman Sachs Group,Inc. 38143ULK5 07/28/10 07/28/17    100.000    VARIES    2.6534              0.017819   0.017028   0.016226   0.015414  0.015618      6.03     5.60
Goldman Sachs Group,Inc. 38143ULL3 07/29/10 07/29/15    100.000     0.000    3.7102              0.103062   0.104974   0.106921   0.108905  0.110925     38.03    39.46
Goldman Sachs Group,Inc. 38143ULM1 07/28/10 07/28/17    100.000    VARIES    2.6469              0.017637   0.016856   0.016064   0.015262  0.015464      5.97     5.55
Goldman Sachs Group,Inc. 38143ULN9 08/06/10 08/06/20    100.000    VARIES    2.8170              0.022917   0.021793   0.020652   0.019495  0.018322      7.72     6.89
Goldman Sachs Group,Inc. 38143ULQ2 08/20/10 08/20/15    100.000    VARIES    1.9250              0.007363   0.007093   0.006820   0.006886  0.006952      2.53     2.48
Goldman Sachs Group,Inc. 38143ULV1 08/26/10 08/26/20    100.000    VARIES    2.6793              0.025092   0.023913   0.022718   0.021507  0.020280      8.52     7.66
Goldman Sachs Group,Inc. 38143UMA6 08/20/10 08/20/20    100.000    VARIES    2.6781              0.015725   0.014987   0.014238   0.013479  0.012711      5.33     4.79
Goldman Sachs Group,Inc. 38143UMC2 08/26/10 08/26/15    100.000    VARIES    1.8192              0.007495   0.007235   0.006971   0.007035  0.007099      2.59     2.54
Goldman Sachs Group,Inc. 38143UME8 09/08/10 09/08/17    100.000    VARIES    2.3458              0.015162   0.014752   0.014337   0.013917  0.013493      5.29     4.99
Goldman Sachs Group,Inc. 38143UMH1 09/08/10 09/08/20    100.000    VARIES    2.6543              0.026620   0.025380   0.024122   0.022848  0.021558      9.08     8.16
Goldman Sachs Group,Inc. 38143UMJ7 09/10/10 09/10/20    100.000    VARIES    2.6625              0.017071   0.016273   0.015465   0.014645  0.013815      5.82     5.24
Goldman Sachs Group,Inc. 38143UMQ1 09/29/10 09/28/17    100.000     0.000    4.0718              0.113106   0.115396   0.117745   0.120143  0.122589     41.56    43.27
Goldman Sachs Group,Inc. 38143UMU2 09/21/10 09/21/20    100.000    VARIES    2.7708              0.022969   0.022135   0.021290   0.020434  0.019566      7.95     7.34
Goldman Sachs Group,Inc. 38143UMW8 09/21/10 09/21/17    100.000    VARIES    2.3116              0.019991   0.019209   0.018417   0.017617  0.017821      6.90     6.43
Goldman Sachs Group,Inc. 38143UNC1 10/12/10 10/12/15    100.000     0.000    3.1999              0.088886   0.090308   0.091753   0.093221  0.094713     32.48    33.53
Goldman Sachs Group,Inc. 38143UNG2 10/19/10 10/20/25    100.000    VARIES    4.9992              0.138861   0.137471   0.136047   0.134587  0.133091     49.54    48.50
Goldman Sachs Group,Inc. 38143UNH0 10/29/10 10/31/17    100.000     2.000    3.7647              0.104585   0.105508   0.106449   0.107407  0.108383     37.93    38.61
Goldman Sachs Group,Inc. 38143UNQ0 10/29/10 10/29/25    100.000    VARIES    4.8705              0.135294   0.133854   0.132378   0.130867  0.129318     48.27    47.19
Goldman Sachs Group,Inc. 38143UNT4 10/29/10 10/29/20    100.000    VARIES    2.0301              0.020613   0.019856   0.019091   0.018318  0.017537      7.19     6.64
Goldman Sachs Group,Inc. 38143UNU1 10/29/10 10/29/20    100.000    VARIES    2.3763              0.026063   0.024961   0.023846   0.022717  0.021575      9.05     8.24
Goldman Sachs Group,Inc. 38143UNV9 11/05/10 11/05/15    100.000    VARIES    1.6723              0.010667   0.010324   0.009979   0.010063  0.010147      3.74     3.62
Goldman Sachs Group,Inc. 38143UNX5 11/05/10 11/05/15    100.000    VARIES    1.6984              0.014169   0.013996   0.013822   0.013646  0.013468      5.05     4.92
Goldman Sachs Group,Inc. 38143UNY3 11/01/10 11/01/17    100.000    VARIES    1.9534              0.004584   0.004431   0.004276   0.004119  0.004160      1.60     1.50
Goldman Sachs Group,Inc. 38143UPE5 11/10/10 11/10/25    100.000    VARIES    4.9480              0.137446   0.136036   0.134591   0.133110  0.131593     49.08    48.03
Goldman Sachs Group,Inc. 38143UPF2 11/15/10 11/15/17    100.000    VARIES    2.1778              0.013666   0.013160   0.012648   0.012131  0.012263      4.78     4.44
Goldman Sachs Group,Inc. 38143UPG0 11/29/10 11/29/16    100.000     0.000    3.4000              0.094445   0.096051   0.097684   0.099345  0.101033     34.39    35.57
Goldman Sachs Group,Inc. 38143UPQ8 11/18/10 11/18/15    100.000    VARIES    1.6239              0.009399   0.009106   0.008810   0.008882  0.008954      3.31     3.19
Goldman Sachs Group,Inc. 38143UPS4 11/18/10 11/18/15    100.000    VARIES    1.6239              0.009399   0.009106   0.008810   0.008882  0.008953      3.31     3.19
Goldman Sachs Group,Inc. 38143UQC8 11/30/10 11/30/17    100.000    VARIES    2.2520              0.013003   0.012506   0.012004   0.011496  0.011625      4.56     4.22
Goldman Sachs Group,Inc. 38143UQF1 12/15/10 12/15/25    100.000    VARIES    5.1997              0.144437   0.143137   0.141803   0.140435  0.139031     51.72    50.76
Goldman Sachs Group,Inc. 38143UQG9 12/06/10 12/06/15    100.000    VARIES    1.5366              0.006575   0.006380   0.006184   0.006232  0.006279      2.32     2.24
Goldman Sachs Group,Inc. 38143UQJ3 12/28/10 12/28/16    100.000     0.000    3.5998              0.099996   0.101796   0.103628   0.105493  0.107392     36.33    37.65
Goldman Sachs Group,Inc. 38143UQN4 12/30/10 12/30/25    100.000    VARIES    5.4997              0.152772   0.151626   0.150448   0.149239  0.147996     54.79    53.94
Goldman Sachs Group,Inc. 38143UQP9 12/22/10 12/22/20    100.000    VARIES    2.3885              0.026015   0.024910   0.023791   0.022660  0.021514      9.15     8.34
Goldman Sachs Group,Inc. 38143UQQ7 01/31/11 01/31/17    100.000     0.000    3.6501                         0.101394   0.103245   0.105129  0.107048     33.84    38.08
Goldman Sachs Group,Inc. 38143UQS3 01/31/11 01/31/26    100.000    VARIES    5.2484                         0.145790   0.144513   0.143203  0.141858     48.06    51.39
Goldman Sachs Group,Inc. 38143UQT1 01/31/11 07/31/25    100.000    VARIES    5.7789                         0.160528   0.156337   0.152025  0.148675     52.50    54.35
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UQU8 01/31/11 01/31/26    100.000    VARIES    5.2476                         0.145767   0.145219   0.144656  0.144078     48.17    52.01
Goldman Sachs Group,Inc. 38143UQZ7 01/31/11 01/31/18    100.000    VARIES    1.9815                         0.018821   0.018386   0.017946  0.017502      6.16     6.41
Goldman Sachs Group,Inc. 38143URA1 01/31/11 01/31/16    100.000    VARIES    1.6251                         0.008921   0.008642   0.008362  0.008430      2.91     3.03
Goldman Sachs Group,Inc. 38143URD5 02/28/11 02/28/17    100.000     0.000    4.0298                         0.109507   0.112941   0.113964  0.118187     34.04    42.17
Goldman Sachs Group,Inc. 38143URJ2 02/28/11 02/28/17    100.000     0.000    4.1552                         0.112914   0.116526   0.117654  0.122089     35.11    43.54
Goldman Sachs Group,Inc. 38143URW3 03/31/11 03/31/17    100.000     0.000    3.9998                         0.111107   0.113329   0.115595  0.117907     30.31    41.62
Goldman Sachs Group,Inc. 38143URX1 03/31/11 03/31/17    100.000     0.000    3.9998                         0.111107   0.113329   0.115595  0.117907     30.31    41.62
Goldman Sachs Group,Inc. 38143USM4 03/18/11 03/18/21    100.000    VARIES    5.2913                         0.146983   0.147932   0.148906  0.149906     41.69    53.63
Goldman Sachs Group,Inc. 38143USN2 03/21/11 03/21/26    100.000    VARIES    6.0812                         0.168924   0.165614   0.162204  0.158201     46.97    58.27
Goldman Sachs Group,Inc. 38143UST9 03/18/11 03/18/16    100.000     1.000    3.6798                         0.102218   0.103587   0.104982  0.106403     29.07    37.83
Goldman Sachs Group,Inc. 38143USV4 03/23/11 03/23/16    100.000    VARIES    1.6343                         0.009066   0.008781   0.008494  0.008564      2.49     3.09
Goldman Sachs Group,Inc. 38143UTC5 03/25/11 03/28/16    100.000     0.000    3.6702              0.101951   0.101983   0.103854   0.105760  0.107701     28.32    38.09
Goldman Sachs Group,Inc. 38143UTJ0 04/29/11 05/01/17    100.000     0.000    3.7497              0.104160   0.104182   0.106135   0.108125  0.110153     25.33    38.81
Goldman Sachs Group,Inc. 38143UTM3 04/29/11 04/29/17    100.000     0.000    3.7501                         0.104172   0.106125   0.108115  0.110142     25.33    38.81
Goldman Sachs Group,Inc. 38143UTN1 04/13/11 04/13/21    100.000    VARIES    5.2207                         0.145022   0.145907   0.146816  0.147748     37.48    52.83
Goldman Sachs Group,Inc. 38143UTY7 04/27/11 04/27/16    100.000    VARIES    1.6045                         0.009238   0.008953   0.008666  0.008736      2.23     3.16
Goldman Sachs Group,Inc. 38143UUA7 04/29/11 04/29/21    100.000    VARIES    2.1672                         0.017867   0.017171   0.016468  0.015756      4.28     5.97
Goldman Sachs Group,Inc. 38143UUF6 05/11/11 05/11/16    100.000     0.000    3.3748                         0.093746   0.095328   0.096936  0.098572     21.64    34.77
Goldman Sachs Group,Inc. 38143UUJ8 05/31/11 05/31/17    100.000     0.000    3.9998                         0.111107   0.113329   0.115595  0.117907     23.51    41.35
Goldman Sachs Group,Inc. 38143UUU3 05/31/11 05/31/26    100.000    VARIES    5.4943                         0.152621   0.151091   0.149518  0.147902     32.16    54.01
Goldman Sachs Group,Inc. 38143UUY5 07/20/11 07/20/21    100.000     0.000    5.1298                                    0.142496   0.146151  0.149899     22.94    53.15
Goldman Sachs Group,Inc. 38143UVD0 06/06/11 06/06/26    100.000    VARIES    5.8161                         0.161559   0.157775   0.153881  0.147954     33.02    55.85
Goldman Sachs Group,Inc. 38143UVG3 06/07/11 06/07/21    100.000    VARIES    2.2754                         0.018651   0.017892   0.017125  0.016348      3.79     6.27
Goldman Sachs Group,Inc. 38143UVH1 06/30/11 06/30/17    100.000     0.000    3.7799                         0.104998   0.106982   0.109004  0.111064     19.01    38.88
Goldman Sachs Group,Inc. 38143UVK4 06/16/11 06/16/26    100.000    VARIES    5.4946                         0.152628   0.151098   0.149525  0.147910     29.74    54.06
Goldman Sachs Group,Inc. 38143UVS7 06/13/11 06/13/16    100.000     0.000    3.6198                         0.100552   0.102372   0.104225  0.106111     19.94    37.25
Goldman Sachs Group,Inc. 38143UVT5 06/13/11 06/13/17    100.000     0.000    4.0901                         0.113614   0.115937   0.118308  0.120728     22.54    42.25
Goldman Sachs Group,Inc. 38143UVV0 06/17/11 06/17/16    100.000    VARIES    2.0754                         0.013207   0.012686   0.012160  0.012286      2.55     4.47
Goldman Sachs Group,Inc. 38143UWD9 06/30/11 06/30/26    100.000    VARIES    5.6453                         0.156815   0.155557   0.154263  0.152933     28.38    55.76
Goldman Sachs Group,Inc. 38143UWL1 07/29/11 07/29/26    100.000    VARIES    5.3945                                    0.149849   0.148272  0.146652     22.78    53.18
Goldman Sachs Group,Inc. 38143UWM9 08/04/11 07/31/17    100.000     0.000    3.7994                                    0.103245   0.106319  0.107161     15.49    38.95
Goldman Sachs Group,Inc. 38143UXB2 08/15/11 08/15/26    100.000    VARIES    5.8794                                    0.163318   0.159954  0.156490     22.21    57.26
Goldman Sachs Group,Inc. 38143UXG1 08/31/11 01/31/17    100.000     0.000    3.7498                                    0.104161   0.105789  0.107772     12.60    38.34
Goldman Sachs Group,Inc. 38143UZA2 11/04/11 11/04/14    100.000    VARIES    2.8486                                    0.011684   0.011365  0.011041       .67     4.11
Goldman Sachs Group,Inc. 38143UZJ3 11/30/11 06/02/17    100.000     0.000    5.4499                         0.151387   0.151433   0.155559  0.159798      4.69    55.50
Goldman Sachs Group,Inc. 38143UZL8 11/14/11 11/14/14    100.000    VARIES    3.0057                                    0.016270   0.015802  0.015327       .76     5.73
Goldman Sachs Group,Inc. 38143UZM6 11/30/11 11/30/26    100.000    VARIES    7.1413                                    0.198371   0.197271  0.196133      6.15    71.15
Goldman Sachs Group,Inc. 38143UZV6 11/18/11 11/18/13    100.000     0.000    2.3999                                    0.066665   0.067465  0.068275      2.87    24.21
Goldman Sachs Group,Inc. 38143YAA1 03/07/05 03/07/11    100.000     0.000    4.6499              0.166322                                                10.98         
Goldman Sachs Group,Inc. 38145K853 01/02/09 01/04/11    100.000     0.000    5.6831              0.171764                                                  .52         
Goldman Sachs Group,Inc. 38145T292 11/25/09 11/28/11    100.000     0.000    1.6731              0.047265   0.047660                                     15.53         
Goldman Sachs Group,Inc. 38145T573 08/10/09 08/10/12    100.000     0.000    3.4194              0.098261   0.099941   0.101650   0.103388               36.15    22.57
Goldman Sachs Group,Inc. 38145T656 09/03/09 09/04/12    100.000     0.000    3.3182              0.095266   0.096846   0.098453   0.100086               34.95    24.22
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38145T854 07/31/09 07/31/12    100.000     0.000    3.6701              0.105724   0.107664   0.109639   0.111651               39.00    23.28
Goldman Sachs Group,Inc. 38145T888 08/11/09 12/11/12    100.000     0.000    3.6196              0.105476   0.107385   0.109329   0.111307               38.39    37.53
Goldman Sachs Group,Inc. 38145X202 06/25/10 07/05/11    100.000     0.000    0.9491              0.026372   0.026497                                      4.87         
Goldman Sachs Group,Inc. 38145X632 08/06/10 08/15/11    100.000     0.000    0.7273              0.020208   0.020282                                      4.54         
Goldman Sachs Group,Inc. 38146R386 10/17/11 10/20/14    100.000     0.000    4.3497                         0.120827   0.120871   0.123500  0.126186      8.94    44.36
Graphic Packaging Intl   38869PAE4 06/16/09 06/15/17     97.292     9.500    9.9998     3.72     0.007363   0.007732   0.008118   0.008524  0.008950      2.73     3.01
Graphic Packaging Intl   38869PAF1 06/16/09 06/15/17     97.292     9.500    9.9998     3.72     0.007363   0.007732   0.008118   0.008524  0.008950      2.73     3.01
Great Plains Energy,Inc. 391164803 05/18/09 06/15/42    100.000    VARIES   11.2196              0.314534   0.315036   0.317382   0.319859  0.321587    114.95   116.69
Great Plains Energy,Inc. 391164AC4 05/18/09 06/15/42    100.000    VARIES   11.2196              0.314534   0.315036   0.317382   0.319859  0.321587    114.95   116.69
Griffon Corporation      398433AA0 07/18/03 07/18/23    100.000    VARIES    8.5003              0.334992   0.344508   0.353668   0.363219  0.373175    125.35   132.22
Griffon Corporation      398433AB8 07/18/03 07/18/23    100.000    VARIES    8.5003              0.334992   0.344508   0.353668   0.363219  0.373175    125.35   132.22
HCA Inc.                 404119AY5 11/17/06 11/15/16*   100.000     9.625    N/A                 0.282264   0.282313                                     66.34*        
HCA Inc.                 404119AZ2 11/17/06 11/15/16*   100.000     9.625    N/A                 0.282264   0.282313                                     66.34*        
HCA Inc.                 404119BA6 11/17/06 11/15/16*   100.000     9.625    N/A                 0.282264   0.282313                                     66.34*        
HSBC USA, Inc.           4042K02W4 06/29/10 06/29/12    100.000     0.000    1.2997              0.036339   0.036576   0.036813                          13.13     6.55
HSBC USA, Inc.           4042K03B9 07/30/10 07/30/15    100.000     2.350    2.3499              0.065278   0.065278   0.065278   0.065278  0.065278     23.50    23.50
HSBC USA, Inc.           4042K03W3 07/30/10 08/01/13    100.000     2.350    2.3499              0.065278   0.065278   0.065278   0.065278  0.065278     23.50    23.50
HSBC USA, Inc.           4042K04T9 08/17/10 08/16/13    100.000     0.000    1.2967              0.036020   0.036252   0.036487   0.036723  0.036962     13.07    13.24
HSBC USA, Inc.           4042K04U6 08/31/10 08/29/13    100.000     1.300    1.2999              0.035519   0.035714   0.035326   0.035714  0.035519     12.98    13.02
HSBC USA, Inc.           4042K04V4 08/17/10 08/17/16    100.000     2.350    2.3499              0.065278   0.065278   0.065278   0.065278  0.065278     23.50    23.50
HSBC USA, Inc.           4042K0A88 10/15/09 10/14/11    100.000     0.000    1.4462              0.040756   0.041051                                     11.59         
HSBC USA, Inc.           4042K0B53 10/22/09 10/21/11    100.000     0.000    1.5163              0.042759   0.043084                                     12.46         
HSBC USA, Inc.           4042K0C60 11/04/09 11/03/11    100.000     0.000    1.4560              0.041036   0.041335                                     12.45         
HSBC USA, Inc.           4042K0E50 11/20/09 11/21/11    100.000     0.000    1.1974              0.033664   0.033866                                     10.81         
HSBC USA, Inc.           4042K0J22 12/23/09 12/22/11    100.000     0.000    1.3953              0.039300   0.039574                                     13.84         
HSBC USA, Inc.           4042K0P66 02/26/10 02/26/20    100.000     4.350    4.3499              0.120833   0.120833   0.120833   0.120833  0.120833     43.50    43.50
HSBC USA, Inc.           4042K0R49 03/31/10 03/31/16    100.000     3.250    3.2499              0.090278   0.090278   0.090278   0.090278  0.090278     32.50    32.50
HSBC USA, Inc.           4042K0T54 04/06/10 04/05/13    100.000     0.000    2.0440              0.057356   0.057942   0.058535   0.059133  0.059737     20.86    21.28
HSBC USA, Inc.           4042K0UD5 01/30/09 07/31/14    100.000     0.000    2.4845              0.070067   0.072114   0.071819   0.073510  0.073615     26.21    26.87
HSBC USA, Inc.           4042K0UX1 02/27/09 08/26/14    100.000     0.000    3.0323              0.088116   0.089452   0.090808   0.092185  0.093582     32.30    33.29
HSBC USA, Inc.           4042K0VV4 03/31/09 09/30/14    100.000     0.000    3.3762              0.098616   0.100280   0.101973   0.103695  0.105445     36.11    37.34
HSBC USA, Inc.           4042K0W35 04/27/10 04/22/14    100.000     0.000    2.6880              0.075645   0.076662   0.077692   0.078736  0.079794     27.56    28.30
HSBC USA, Inc.           4042K0W84 05/27/10 05/27/16    100.000     0.000    2.8554              0.080450   0.081598   0.082763   0.083945  0.085143     29.25    30.09
HSBC USA, Inc.           4042K0WU5 05/05/09 05/05/11    100.000    VARIES    1.9852              0.055076                                                 6.83         
HSBC USA, Inc.           4042K0XJ9 06/12/09 06/12/13    100.000     0.000    3.7732              0.110857   0.112948   0.115079   0.117250  0.119462     40.37    41.90
HSBC USA, Inc.           4042K0Y82 05/26/10 05/27/14    100.000     0.000    2.8563              0.080483   0.081632   0.082798   0.083980  0.085180     29.26    30.10
HSBC USA, Inc.           4042K0YF6 07/29/09 07/29/11    100.000     0.000    1.4379              0.040519   0.040810                                      8.48         
HSBC USA, Inc.           4042K0YZ2 09/10/09 09/09/11    100.000     0.000    1.1978              0.033673   0.033875                                      8.39         
HSBC USA, Inc.           4042K1AK9 11/30/10 11/29/12    100.000     0.000    1.1550              0.032086   0.032270   0.032456   0.032644               11.60    10.68
HSBC USA, Inc.           4042K1AL7 11/18/10 11/19/15    100.000     2.530    2.5299              0.070278   0.070278   0.070278   0.070278  0.070278     25.30    25.30
HSBC USA, Inc.           4042K1AN3 11/18/10 11/19/12    100.000     0.000    1.0998              0.030552   0.030720   0.030889   0.031059               11.04     9.85
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K1BL6 12/29/10 12/28/12    100.000     0.000    1.3010              0.036141   0.036375   0.036612   0.036850               13.05    13.11
HSBC USA, Inc.           4042K1BQ5 01/24/11 01/24/18    100.000     0.000    3.6480                         0.101334   0.103182   0.105064  0.106980     34.44    38.08
HSBC USA, Inc.           4042K1CG6 01/31/11 01/31/13    100.000     0.000    1.2570                         0.034919   0.035139   0.035360  0.035582     11.59    12.76
HSBC USA, Inc.           4042K1CU5 02/03/11 02/05/18    100.000     2.250    3.7875              0.105211   0.105220   0.106029   0.106853  0.107693     34.63    38.56
HSBC USA, Inc.           4042K1DR1 02/28/11 02/28/13    100.000     0.000    1.3600                         0.036958   0.037618   0.037463  0.038343     11.43    13.83
HSBC USA, Inc.           4042K1DS9 02/28/11 02/28/13    100.000     0.000    1.3600                         0.036958   0.037618   0.037463  0.038343     11.43    13.83
HSBC USA, Inc.           4042K1DX8 02/11/11 02/11/13    100.000     0.000    1.4687                         0.040798   0.041098   0.041400  0.041704     13.10    14.93
HSBC USA, Inc.           4042K1ED1 03/04/11 03/03/16    100.000     3.210    3.2099                         0.089167   0.089167   0.089167  0.089167     26.48    32.10
HSBC USA, Inc.           4042K1EP4 03/30/11 03/28/13    100.000     0.000    1.3746                         0.038185   0.038445   0.038709  0.038975     10.37    13.94
HSBC USA, Inc.           4042K1EQ2 03/30/11 03/28/13    100.000     0.000    1.3746                         0.038185   0.038445   0.038709  0.038975     10.37    13.94
HSBC USA, Inc.           4042K1FE8 03/24/11 03/24/18    100.000    VARIES    3.9708                         0.110302   0.110423   0.110548  0.110529     30.57    39.79
HSBC USA, Inc.           4042K1GC1 04/29/11 05/01/13    100.000     0.000    1.2550              0.034863   0.034865   0.035084   0.035304  0.035526      8.45    12.70
HSBC USA, Inc.           4042K1GG2 05/04/11 05/04/18    100.000    VARIES    3.6984                         0.102734   0.102579   0.102421  0.102445     24.34    36.89
HSBC USA, Inc.           4042K1GP2 05/06/11 05/06/16    100.000     2.990    2.9899                         0.083056   0.083056   0.083056  0.083056     19.52    29.90
HSBC USA, Inc.           4042K1GR8 05/31/11 05/30/13    100.000     0.000    1.1609                         0.031548   0.032079   0.031914  0.032631      6.80    11.73
HSBC USA, Inc.           4042K1HR7 05/23/11 05/23/13    100.000     0.000    1.1588                         0.032191   0.032378   0.032566  0.032754      7.02    11.70
HSBC USA, Inc.           4042K1HW6 06/21/11 06/20/13    100.000     0.000    1.0989                         0.030527   0.030693   0.030862  0.031032      5.80    11.08
HSBC USA, Inc.           4042K1HX4 06/10/11 06/10/19    100.000    VARIES    3.5773                         0.099372   0.099162   0.098948  0.098975     19.97    35.66
HSBC USA, Inc.           4042K1JT1 06/13/11 06/13/18    100.000    VARIES    3.3850                         0.094028   0.093151   0.092260  0.092394     18.60    33.36
HSBC USA, Inc.           4042K1KE2 07/29/11 07/31/17    100.000     0.000    2.9725                         0.082572   0.082586   0.083813  0.085059     12.64    30.33
HSBC USA, Inc.           4042K1KG7 07/29/11 07/31/17    100.000     0.000    2.9725                         0.082572   0.082586   0.083813  0.085059     12.64    30.33
HSBC USA, Inc.           4042K1KK8 07/13/11 01/11/13    100.000     0.000    0.6516                                    0.018101   0.018159  0.018218      3.04     6.55
HSBC USA, Inc.           4042K1NJ8 09/30/11 10/02/14    100.000     1.967    1.9669                         0.054639   0.054639   0.054639  0.054639      4.97    19.67
HSBC USA, Inc.           4042K1NQ2 10/13/11 10/15/13    100.000     0.000    1.5548                         0.043189   0.043193   0.043529  0.043867      3.37    15.66
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES    4.1952                                    0.116536   0.114319  0.112056      3.61    41.42
John Hancock Life Ins Co 41013MBT6 10/29/02 04/15/15     50.000     0.000    5.6403   287.84     0.121982   0.125423   0.128960   0.132597  0.136336     45.06    47.64
Harrisburg, PA           414738NS9 12/28/95 04/01/11     35.259     0.000    6.9490   630.62     0.186547                                                16.79         
Harrisburg, PA           414738NT7 12/28/95 04/01/12     32.621     0.000    7.0092   591.41     0.175585   0.181739   0.188108                          65.45    16.93
Harrisburg, PA           414738NU4 12/28/95 04/01/13     30.247     0.000    7.0491   553.32     0.164672   0.170476   0.176484   0.182705  0.189144     61.39    65.79
Harrisburg, PA           414738NV2 12/28/95 04/01/14     27.925     0.000    7.1092   517.76     0.154645   0.160142   0.165834   0.171729  0.177833     57.67    61.84
Harrisburg, PA           414738NW0 12/28/95 04/01/15     25.992     0.000    7.1193   483.01     0.144352   0.149490   0.154811   0.160322  0.166029     53.83    57.73
Harrisburg, PA           414738NX8 12/28/95 04/01/16     24.047     0.000    7.1593   450.86     0.135067   0.139902   0.144910   0.150098  0.155471     50.38    54.05
Harrisburg, PA           414738NY6 12/28/95 04/01/17     22.322     0.000    7.1792   420.38     0.126086   0.130612   0.135300   0.140157  0.145188     47.03    50.47
Harrisburg, PA           414738NZ3 12/28/95 04/01/18     20.535     0.000    7.2393   391.90     0.117968   0.122238   0.126663   0.131247  0.135998     44.02    47.26
Harrisburg, PA           414738PA6 12/28/95 04/01/19     19.125     0.000    7.2394   365.00     0.109871   0.113848   0.117969   0.122239  0.126663     41.00    44.02
Hartford Life Insurance  41659LAS0 08/16/07 08/16/17    100.000     0.000    5.7021              0.187494   0.192839   0.198337   0.203992  0.209808     69.92    73.97
Hartford Life Insurance  4165X2AA4 12/22/06 12/22/11    100.000     0.000    4.8221              0.162073   0.165980                                     57.59         
Hartford Life Insurance  4165X2AB2 12/22/06 12/22/11    100.000     2.000    4.8220              0.150406   0.152693                                     53.20         
Hartford Life Insurance  4165X2AC0 01/23/07 01/23/13    100.000     0.000    4.9060              0.161474   0.165435   0.169493   0.173650  0.177910     60.11    63.10
Hartford Life Insurance  4165X2AE6 02/06/07 02/06/13    100.000     0.000    4.9496              0.163152   0.167190   0.171327   0.175567  0.179912     60.65    63.69
Hartford Life Insurance  4165X2AG1 02/20/07 02/20/13    100.000     0.000    4.8472              0.159217   0.163076   0.167028   0.171077  0.175223     59.04    61.93
Hartford Life Insurance  4165X2AJ5 03/05/07 03/05/13    100.000     0.000    4.6977              0.153523   0.157129   0.160820   0.164598  0.168464     56.76    59.46
Hartford Life Insurance  4165X2AL0 03/06/07 09/20/12    100.000     0.000    4.6360              0.151459   0.154970   0.158562   0.162238               55.87    41.73
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Hartford Life Insurance  4165X2AM8 03/19/07 03/19/13    100.000     0.000    4.8023              0.157501   0.161283   0.165156   0.169122  0.173183     58.16    60.99
Hartford Life Insurance  4165X2AP1 04/23/07 04/23/14    100.000     0.000    4.5737              0.148835   0.152239   0.155720   0.159281  0.162924     54.66    57.19
Hartford Life Insurance  4165X2AQ9 04/23/07 04/23/12    100.000     0.000    4.5578              0.148237   0.151616   0.155071                          54.44    17.37
Hartford Life Insurance  4165X2AR7 05/07/07 05/07/13    100.000     0.000    4.6205              0.150601   0.154080   0.157640   0.161282  0.165008     55.22    57.80
Hartford Life Insurance  4165X2AT3 06/11/07 06/11/14    100.000     0.000    5.0297              0.166247   0.170428   0.174714   0.179108  0.183613     60.77    63.87
Hartford Life Insurance  4165X2AU0 07/02/07 07/02/14    100.000     0.000    5.2090              0.168832   0.173229   0.177741   0.182370  0.187120     63.17    66.50
Hartford Life Insurance  4165X2AV8 07/23/07 07/23/14    100.000     0.000    5.1914              0.168175   0.172540   0.177019   0.181614  0.186328     62.73    66.02
Hartford Life Insurance  4165X2AW6 08/13/07 08/13/14    100.000     0.000    5.1603              0.167017   0.171327   0.175747   0.180282  0.184934     62.11    65.35
Hartford Life Insurance  4165X2AX4 09/04/07 09/04/14    100.000     0.000    5.1515              0.166689   0.170982   0.175386   0.179904  0.184538     61.80    65.02
Hartford Life Insurance  4165X2AZ9 10/29/07 10/29/12    100.000     0.000    4.3252              0.136603   0.139558   0.142576   0.145659               50.08    43.04
Hartford Life Insurance  4165X2BA3 11/19/07 11/19/12    100.000     0.000    4.3476              0.137402   0.140389   0.143441   0.146559               50.26    46.18
Hartford Life Insurance  4165X2BB1 12/10/07 12/10/12    100.000     0.000    4.1902              0.131815   0.134577   0.137397   0.140275               48.07    47.10
Hartford Life Insurance  4165X2BD7 01/30/08 01/30/13    100.000     0.000    3.6931              0.112414   0.114490   0.116604   0.118757  0.120950     41.48    43.02
Hartford Life Insurance  4165X2BH8 07/02/08 06/25/13    100.000     0.000    4.4925              0.139333   0.142463   0.145663   0.148935  0.152280     50.76    53.07
Hartford Life Insurance  4165X2BJ4 07/09/08 07/09/15    100.000     0.000    4.1028              0.123611   0.126146   0.128734   0.131375  0.134070     45.84    47.74
Hartford Life Insurance  4165X2BK1 07/24/08 01/15/13    100.000     0.000    4.5364              0.137688   0.140811   0.144005   0.147272  0.150612     51.18    53.53
City of Hoboken          434110QH8 08/28/03 04/01/27     19.107     0.000    7.1397   128.80     0.062327   0.064552   0.066856   0.069243  0.071715     23.25    24.94
City of Hoboken          434110QJ4 08/28/03 04/01/28     17.813     0.000    7.1396   120.08     0.058105   0.060179   0.062327   0.064552  0.066856     21.67    23.25
City of Hoboken          434110QK1 08/28/03 04/01/29     16.606     0.000    7.1397   111.94     0.054168   0.056102   0.058105   0.060179  0.062327     20.20    21.67
City of Hoboken          434110QL9 08/28/03 04/01/30     15.481     0.000    7.1397   104.36     0.050498   0.052301   0.054168   0.056102  0.058105     18.83    20.20
City of Hoboken          434110QM7 08/28/03 04/01/31     14.432     0.000    7.1397    97.29     0.047077   0.048758   0.050498   0.052301  0.054168     17.56    18.83
City of Hoboken          434110QN5 08/28/03 04/01/32     13.454     0.000    7.1398    90.70     0.043887   0.045454   0.047077   0.048757  0.050498     16.37    17.56
City of Hoboken          434110QP0 08/28/03 04/01/33     12.543     0.000    7.1396    84.55     0.040914   0.042375   0.043888   0.045455  0.047077     15.26    16.37
Hologic, Inc.            436440AA9 12/10/07 12/15/37    100.000    VARIES    9.1269              0.311173   0.321101   0.333261   0.345976  0.361245    115.77   124.78
Hornbeck Offshore SVCS   440543AF3 08/17/09 09/01/17     97.123     8.000    8.5012     3.66     0.007774   0.008104   0.008449   0.008808  0.009182      2.94     3.19
Hornbeck Offshore SVCS   440543AG1 08/17/09 09/01/17     97.123     8.000    8.5012     3.66     0.007774   0.008104   0.008449   0.008808  0.009182      2.94     3.19
Hornbeck Offshore SVCS   440543AH9 08/17/09 09/01/17     97.123     8.000    8.5012     3.66     0.007774   0.008104   0.008449   0.008808  0.009182      2.94     3.19
Host Marriott Corp.      441079209 12/02/96 12/02/26    100.000     6.750    6.7499              0.187500   0.187500   0.187500   0.187500  0.187500     67.50    67.50
Host Marriott Corp.      441079308 12/02/96 12/02/26    100.000     6.750    6.7499              0.187500   0.187500   0.187500   0.187500  0.187500     67.50    67.50
Hovnanian Enterprises    442488BD3 12/03/08 05/01/17*    62.974    18.000   30.4024    30.41     0.054735   0.063055                                      8.59*        
Hovnanian Enterprises    442488BE1 12/03/08 05/01/17*    62.974    18.000   30.4024    30.41     0.054735   0.063055                                      8.59*        
Hovnanian Enterprises    442488BF8 10/20/09 10/15/16     98.208    10.625   10.9992     2.21     0.005468   0.005768   0.006086   0.006420  0.006773      2.07     2.30
Hovnanian Enterprises    442488BG6 10/20/09 10/15/16     98.208    10.625   10.9992     2.21     0.005468   0.005768   0.006086   0.006420  0.006773      2.07     2.30
Hovnanian Enterprises    442488BH4 10/20/09 10/15/16     98.208    10.625   10.9992     2.21     0.005468   0.005768   0.006086   0.006420  0.006773      2.07     2.30
Hovnanian Enterprises    442488BK7 02/14/11 10/15/15     97.453    11.875   12.6129              0.011573   0.011821   0.012567   0.013359  0.014202      3.79     4.79
Hovnanian Enterpiress    442488BL5 11/01/11 11/01/21     53.000     5.000   13.8062                                    0.203258   0.207702  0.212452     12.20    74.52
Hovnanian Enterpirses    442488BM3 11/01/11 11/01/21     42.000     2.000   12.1926                                    0.142247   0.147532  0.153140      8.53    52.81
Hudson CNTY NJ Impt Auth 443731BV5 12/29/10 01/01/14     98.987     3.500    3.8602      .02     0.008921   0.009094   0.009269   0.009448                3.24     3.37
Hudson CNTY NJ Impt Auth 443731BW3 12/29/10 01/01/15     98.689     4.000    4.3602      .02     0.008421   0.008605   0.008792   0.008984                3.06     3.20
Illinois Stud Asst Comm. 452281JD1 10/27/10 04/25/23     95.305     1.200    N/A                 0.011874   0.011974   0.012076   0.012179  0.012283      4.31     4.38
Insignia Financing I     45766X304 11/01/96 09/30/16    100.000     6.500    6.4999              0.178571   0.177596   0.177596   0.177596  0.178571     64.91    65.09
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Interface, Inc.          458665AL0 06/05/09 11/01/13     96.301    11.375   12.4916    11.04     0.021564   0.022911   0.024342   0.025863  0.027478      8.17     9.22
Interface, Inc.          458665AM8 06/05/09 11/01/13     96.301    11.375   12.4916    11.04     0.021564   0.022911   0.024342   0.025863  0.027478      8.17     9.22
Interface, Inc.          458665AN6 06/05/09 11/01/13     96.301    11.375   12.4916    11.04     0.021564   0.022911   0.024342   0.025863  0.027478      8.17     9.22
Intl Bnk for Reconstr    459056GN1 03/06/85 02/15/11      5.992     0.000   11.1468   927.17     0.286913                                                12.91         
Intl Bnk for Reconstr    459056GP6 03/06/85 08/15/11      5.676     0.000   11.1466   878.22     0.271761   0.291663                                     65.02         
Intl Bnk for Reconstr    459056GQ4 03/06/85 02/15/12      5.445     0.000   11.0969   831.64     0.256448   0.275163   0.285695                         101.06    12.86
Intl Bnk for Reconstr    459056GR2 03/06/85 08/15/12      5.159     0.000   11.0967   787.92     0.242964   0.260695   0.270673   0.288831               95.74    64.75
Intl Bnk for Reconstr    459056GS0 03/06/85 02/15/13      5.019     0.000   10.9967   746.79     0.228659   0.245230   0.254495   0.271439  0.283251     90.05   100.23
Intl Bnk for Reconstr    459056GT8 03/06/85 08/15/13      4.757     0.000   10.9970   707.86     0.216746   0.232454   0.241237   0.257298  0.268495     85.36    95.00
Intl Bnk for Reconstr    459056GU5 03/06/85 02/15/14      4.634     0.000   10.8975   671.83     0.204263   0.218963   0.227129   0.242136  0.252555     80.39    89.39
Intl Bnk for Reconstr    459056GV3 03/06/85 08/15/14      4.395     0.000   10.8971   637.12     0.193704   0.207644   0.215388   0.229619  0.239498     76.24    84.77
Intl Bnk for Reconstr    459056GW1 03/06/85 02/15/15      4.349     0.000   10.7474   606.18     0.182334   0.195316   0.202456   0.215680  0.224800     71.70    79.61
Intl Bnk for Reconstr    459056HY6 01/07/86 02/15/16      5.299     0.000    9.9989   553.80     0.158872   0.169580   0.175155   0.185933  0.193106     62.19    68.56
Intl Bnk for Reconstr    459056JJ7 01/07/86 02/15/11      7.569     0.000   10.5487   912.06     0.272289                                                12.25         
Intl Bnk for Reconstr    459056JK4 01/07/86 02/15/12      6.915     0.000   10.4986   822.58     0.244696   0.261809   0.271060                          96.08    12.20
Intl Bnk for Reconstr    459056JL2 01/07/86 02/15/13      6.323     0.000   10.4488   742.57     0.220109   0.235447   0.243709   0.259259  0.269838     86.40    95.66
Intl Bnk for Reconstr    459056JM0 01/07/86 02/15/14      5.865     0.000   10.3490   671.28     0.197551   0.211217   0.218525   0.232358  0.241725     77.50    85.72
Intl Bnk for Reconstr    459056JN8 01/07/86 02/15/15      5.604     0.000   10.1490   609.02     0.176645   0.188685   0.195028   0.207176  0.215323     69.21    76.41
Interval Acquisiti Corp. 46113VAA6 08/20/08 09/01/16     91.022     9.500   11.2256    18.87     0.024891   0.026288   0.027764   0.029322  0.030968      9.56    10.66
Interval Acquisiti Corp. 46113VAB4 08/20/08 09/01/16     91.022     9.500   11.2256    18.87     0.024891   0.026288   0.027764   0.029322  0.030968      9.56    10.66
Irvington Township, NJ   464080JN1 12/21/06 07/15/11     79.066     0.000    5.2093   182.03     0.137451   0.141031                                     27.31         
Irvington Township, NJ   464080JP6 12/21/06 07/15/12     75.184     0.000    5.1894   172.37     0.130112   0.133488   0.136951   0.140505               48.58    27.21
Irvington Township, NJ   464080JQ4 12/21/06 07/15/13     71.337     0.000    5.2095   164.24     0.124021   0.127251   0.130566   0.133967  0.137457     46.32    48.76
Irvington Township, NJ   464080JR2 12/21/06 07/15/14     67.412     0.000    5.2795   157.49     0.119062   0.122205   0.125431   0.128742  0.132140     44.49    46.86
Irvington Township, NJ   464080JS0 12/21/06 07/15/15     63.882     0.000    5.2996   149.86     0.113335   0.116338   0.119421   0.122585  0.125833     42.35    44.63
Irvington Township, NJ   464080JT8 12/21/06 07/15/16     60.176     0.000    5.3796   143.51     0.108674   0.111597   0.114598   0.117681  0.120846     40.63    42.85
Irvington Township, NJ   464080JU5 12/21/06 07/15/17     56.947     0.000    5.3997   136.36     0.103298   0.106087   0.108951   0.111893  0.114914     38.63    40.74
Irvington Township, NJ   464080JV3 12/21/06 07/15/18     53.750     0.000    5.4396   129.75     0.098356   0.101031   0.103779   0.106602  0.109501     36.79    38.82
Itron Inc.               465741AJ5 08/04/06 08/01/26*   100.000    VARIES    N/A                 0.250419   0.257096   0.264019                          69.37*        
Ivax Corporation         465823AK8 12/22/04 12/15/24     98.500    VARIES    5.7510              0.199850   0.204099   0.208471   0.212968  0.217594     72.85    76.00
Ivax Corporation         465823AN2 12/22/04 12/15/24     98.500    VARIES    5.7510              0.199850   0.204099   0.208471   0.212968  0.217594     72.85    76.00
Ivax Corporation         465823AP7 05/09/05 05/15/25    100.000    VARIES    6.9833              0.264102   0.271869   0.279907   0.288225  0.296495     97.20   103.03
Ivax Corporation         465823AQ5 05/09/05 05/15/25    100.000    VARIES    6.9833              0.264102   0.271869   0.279907   0.288225  0.296495     97.20   103.03
JP Morgan Chase & Co.    46623EBY4 11/01/04 11/01/11    100.000    VARIES    4.4004              0.122131   0.122182                                     36.65         
JP Morgan Chase & Co.    46625H241 07/31/09 07/31/14    100.000     0.000    5.8937              0.173506   0.178619   0.183883   0.189301  0.194880     64.95    68.83
JP Morgan Chase & Co.    46625H266 05/29/09 05/29/15    100.000     1.500    5.0865              0.149090   0.151822   0.154624   0.157497  0.160442     54.34    56.37
JP Morgan Chase & Co.    46625H563 10/31/08 10/31/13    100.000     0.000    7.5853              0.244535   0.253809   0.263436   0.273427  0.283797     90.85    97.88
JP Morgan Chase & Co.    46625H647 07/31/08 07/31/13    100.000     0.000    5.9091              0.184418   0.189867   0.195477   0.201252  0.207198     69.04    73.18
JP Morgan Chase & Co.    46625HCF5 03/23/05 03/22/12    100.000     0.000    4.9619              0.180456   0.184933   0.189521                          66.67    15.35
JP Morgan Chase & Co.    46625HCL2 05/31/05 05/31/12    100.000     0.000    4.6009              0.164134   0.167910   0.171773                          60.00    25.59
JP Morgan Chase & Co.    46625HCQ1 06/22/05 06/22/11    100.000     0.000    4.6504              0.166344                                                28.44         
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    46625HDP2 11/29/05 11/29/11    100.000     0.000    5.1216              0.183200   0.187892                                     60.93         
JP Morgan Chase & Co.    46625HFT2 04/28/06 04/28/11    100.000     0.000    5.6132              0.200035                                                23.40         
JP Morgan Chase & Co.    46625HFU9 04/26/06 04/26/13    100.000     0.000    5.6025              0.199558   0.205148   0.210895   0.216802  0.222876     73.58    77.76
JP Morgan Chase & Co.    4662A02C4 07/20/10 09/20/11    100.000     7.000    1.1426              0.031430   0.030499                                      7.97         
JP Morgan Chase & Co.    46634E783 12/24/09 06/23/15    100.000     0.000    3.6045              0.103759   0.105629   0.107533   0.109471  0.111444     37.72    39.09
Jackson CNTYS SD#165, IL 466484EV0 06/28/07 12/01/11     78.317     0.000    5.5991   167.52     0.147176   0.151296                                     49.31         
Jackson CNTYS SD#165, IL 466484EW8 06/28/07 12/01/12     74.109     0.000    5.5992   158.52     0.139271   0.143170   0.147178   0.151299               51.08    49.31
Jackson CNTYS SD#165, IL 466484EX6 06/28/07 12/01/13     69.690     0.000    5.6993   151.97     0.133754   0.137565   0.141485   0.145517  0.149664     49.07    51.91
Jackson CNTYS SD#165, IL 466484EY4 06/28/07 12/01/14     65.644     0.000    5.7494   144.51     0.127307   0.130967   0.134732   0.138605  0.142589     46.71    49.44
Jackson CNTYS SD#165, IL 466484EZ1 06/28/07 12/01/15     61.520     0.000    5.8495   138.00     0.121793   0.125355   0.129021   0.132795  0.136679     44.70    47.36
Jackson CNTYS SD#165, IL 466484FA5 06/28/07 12/01/16     57.808     0.000    5.8995   130.89     0.115614   0.119025   0.122536   0.126150  0.129871     42.44    44.98
Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17     53.993     0.000    5.9995   124.51     0.110182   0.113487   0.116892   0.120398  0.124010     40.46    42.93
Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18     50.612     0.000    6.0496   117.78     0.104318   0.107473   0.110724   0.114073  0.117524     38.31    40.67
Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19     47.112     0.000    6.1496   111.62     0.099038   0.102083   0.105222   0.108457  0.111792     36.39    38.66
Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20     44.055     0.000    6.1997   105.30     0.093521   0.096420   0.099409   0.102490  0.105667     34.37    36.53
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000    6.2496    99.25     0.088219   0.090976   0.093819   0.096750  0.099774     32.42    34.48
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000    6.2497    93.32     0.082954   0.085546   0.088220   0.090976  0.093819     30.49    32.42
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000    6.2996    87.82     0.078133   0.080594   0.083132   0.085751  0.088452     28.72    30.56
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000    6.2996    82.54     0.073434   0.075747   0.078133   0.080594  0.083132     26.99    28.72
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000    6.2997    77.57     0.069018   0.071191   0.073434   0.075747  0.078133     25.37    26.99
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000    6.3497    72.85     0.064877   0.066936   0.069061   0.071254  0.073516     23.85    25.39
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000    6.3499    70.42     0.062880   0.064877   0.066936   0.069062  0.071254     23.06    24.55
Jackson, TN              468826GP1 07/09/98 07/01/12     40.347     0.000    6.5999   503.72     0.166317   0.171806   0.177475                          60.86    31.95
Jarden Corporation       471109AC2 04/30/09 05/01/16     97.401     8.000    8.5000     4.90     0.008789   0.009162   0.009551   0.009957  0.010381      3.28     3.56
Jefferson CNTYS #521, IL 474070GC7 11/30/07 12/01/11    106.275    VARIES    4.8730              0.137486   0.136437                                     45.18         
Jefferson CNTYS #521, IL 474070GD5 11/30/07 12/01/12    106.872    VARIES    4.9279              0.140681   0.139767   0.138831   0.137871               50.43    45.64
Jefferson CNTYS #521, IL 474070GE3 11/30/07 12/01/13    107.171    VARIES    5.0310              0.144825   0.144031   0.143217   0.142382  0.141527     51.95    51.36
Jefferson CNTYS #521, IL 474070GF0 11/30/07 12/01/14    105.427    VARIES    5.1337              0.147021   0.146517   0.146000   0.145469  0.144925     52.81    52.43
Jersey & Green County,IL 476538DL4 06/03/10 02/01/12    104.734     0.000    2.0437              0.059656   0.060265   0.060881                          21.77     1.83
Jersey & Green County,IL 476538DM2 06/03/10 02/01/13    106.687    VARIES    2.3595              0.070192   0.071020   0.071858   0.067243  0.066398     25.67    24.22
Josephine County, OR     480890AA0 10/30/01 06/01/17     36.621     0.000    6.5496   295.15     0.119670   0.123589   0.127637   0.131817  0.136133     44.03    46.96
Josephine County, OR     480890AB8 10/30/01 06/01/18     33.518     0.000    6.6996   278.26     0.113528   0.117331   0.121262   0.125324  0.129522     41.79    44.63
Josephine County, OR     480890AL6 10/30/01 06/01/11     57.805     0.000    5.7994   398.47     0.156557                                                23.48         
Josephine County, OR     480890AM4 10/30/01 06/01/12     54.034     0.000    5.8995   380.65     0.150189   0.154619   0.159180                          55.14    23.88
Josephine County, OR     480890AN2 10/30/01 06/01/13     50.411     0.000    5.9995   362.82     0.143760   0.148072   0.152514   0.157089  0.161802     52.79    56.01
Josephine County, OR     480890AP7 10/30/01 06/01/14     46.941     0.000    6.0994   345.06     0.137297   0.141485   0.145799   0.150246  0.154828     50.44    53.56
Josephine County, OR     480890AQ5 10/30/01 06/01/15     43.624     0.000    6.1996   327.45     0.130840   0.134896   0.139078   0.143389  0.147833     48.08    51.11
Josephine County, OR     480890AR3 10/30/01 06/01/16     40.464     0.000    6.2995   310.06     0.124410   0.128329   0.132371   0.136541  0.140841     45.73    48.66
JP Morgan Chase & Co.    48121CU95 10/31/08 04/29/11    100.000     0.000    5.5425              0.169812                                                20.04         
JP Morgan Chase & Co.    48121CV29 10/31/08 04/29/11    100.000     0.000    5.5425              0.169812                                                20.04         
JP Morgan Chase & Co.    48121CV94 10/31/08 10/31/13    100.000     0.000    7.5164              0.240655   0.245628   0.257660   0.264437  0.278923     89.81    96.87
JP Morgan Chase & Co.    48123J2D0 09/19/07 09/19/12    100.000     0.000    5.3736              0.175008   0.179710   0.184538   0.189497               64.82    48.50
JP Morgan Chase & Co.    48123J2E8 09/19/07 09/19/12    100.000     0.000    5.3736              0.175008   0.179710   0.184538   0.189497               64.82    48.50
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48123J3L1 08/27/07 08/27/12    100.000     0.000    5.6034              0.183720   0.188868   0.194159   0.199599               68.36    46.80
JP Morgan Chase & Co.    48123J3N7 09/19/07 03/19/13    100.000     0.000    5.4833              0.179152   0.184064   0.189110   0.194295  0.199622     66.39    70.09
JP Morgan Chase & Co.    48123J4P1 09/28/07 03/28/13    100.000     0.000    5.4134              0.176508   0.181285   0.186192   0.191232  0.196408     65.30    68.89
JP Morgan Chase & Co.    48123J4Q9 09/28/07 09/28/12    100.000     0.000    5.3437              0.173880   0.178526   0.183296   0.188193               64.31    49.82
JP Morgan Chase & Co.    48123JA25 07/20/07 07/20/11    100.000     0.000    5.6219              0.184425   0.189609                                     37.63         
JP Morgan Chase & Co.    48123JBA6 06/30/06 06/28/11    100.000     0.000    5.8597              0.211013                                                37.35         
JP Morgan Chase & Co.    48123JEY1 09/29/06 09/30/13    100.000     0.000    5.3723              0.184512   0.189468   0.194558   0.199784  0.205151     68.23    71.95
JP Morgan Chase & Co.    48123JGD5 10/31/06 10/31/11    100.000     0.000    5.2930              0.181199   0.185994                                     55.04         
JP Morgan Chase & Co.    48123JGS2 10/31/06 04/30/14    100.000     0.000    5.3122              0.181992   0.186826   0.191788   0.196882  0.202112     66.98    70.59
JP Morgan Chase & Co.    48123JHN2 11/30/06 11/29/13    100.000     0.000    5.2614              0.179872   0.184603   0.189460   0.194444  0.199559     65.91    69.43
JP Morgan Chase & Co.    48123JHP7 11/30/06 11/30/11    100.000     0.000    5.0819              0.172546   0.176931                                     57.56         
JP Morgan Chase & Co.    48123JKR9 12/29/06 05/30/14    100.000     0.000    5.2900              0.180324   0.185094   0.189989   0.195015  0.200173     66.07    69.62
JP Morgan Chase & Co.    48123JKT5 12/29/06 12/30/11    100.000     0.000    5.1198              0.174115   0.178572                                     63.31         
JP Morgan Chase & Co.    48123JKV0 12/29/06 06/29/12    100.000     0.000    5.1597              0.175722   0.180256   0.184906                          64.09    32.91
JP Morgan Chase & Co.    48123JMM8 01/31/07 01/30/15    100.000     0.000    5.6332              0.185902   0.194307   0.196522   0.204278  0.207749     71.02    75.08
JP Morgan Chase & Co.    48123JMQ9 01/31/07 07/31/12    100.000     0.000    5.4520              0.182821   0.187805   0.192924   0.198183               68.24    41.27
JP Morgan Chase & Co.    48123JPU7 02/28/07 02/27/15    100.000     0.000    5.3382              0.174410   0.182033   0.183844   0.190826  0.193790     66.24    69.82
JP Morgan Chase & Co.    48123JQ51 08/22/07 08/22/11    100.000     0.000    5.4140              0.176531   0.181310                                     41.64         
JP Morgan Chase & Co.    48123JQ69 08/22/07 08/22/11    100.000     0.000    5.4140              0.176531   0.181310                                     41.64         
JP Morgan Chase & Co.    48123JQ85 08/22/07 02/22/13    100.000     0.000    5.6831              0.186765   0.192072   0.197530   0.203143  0.208915     69.58    73.59
JP Morgan Chase & Co.    48123JQ93 07/31/07 07/29/11    100.000     0.000    5.3024              0.172304   0.176872                                     36.66         
JP Morgan Chase & Co.    48123JRG6 02/28/07 02/28/13    100.000     0.000    5.3427              0.177501   0.179271   0.186083   0.188977  0.197241     66.17    70.01
JP Morgan Chase & Co.    48123JRJ0 02/28/07 02/28/14    100.000     0.000    5.3423              0.177486   0.179256   0.186066   0.188960  0.197223     66.16    70.00
JP Morgan Chase & Co.    48123JRK7 02/28/07 02/28/14    100.000     0.000    5.3423              0.177486   0.179256   0.186066   0.188960  0.197223     66.16    70.00
JP Morgan Chase & Co.    48123JSB6 03/30/07 09/28/12    100.000     0.000    5.1229              0.169818   0.174168   0.178629   0.183204               62.74    48.52
JP Morgan Chase & Co.    48123JSD2 03/30/07 09/30/14    100.000     0.000    5.2522              0.174923   0.179517   0.184231   0.189069  0.194034     64.65    68.09
JP Morgan Chase & Co.    48123JTG4 04/02/07 03/29/12    100.000     0.000    5.1330              0.170189   0.174557   0.179037                          62.87    15.76
JP Morgan Chase & Co.    48123JUZ0 04/30/07 10/31/14    100.000     0.000    5.3122              0.177283   0.181992   0.186826   0.191788  0.196882     65.25    68.76
JP Morgan Chase & Co.    48123JVA4 04/30/07 04/30/12    100.000     0.000    5.1529              0.171038   0.175445   0.179965                          62.91    21.42
JP Morgan Chase & Co.    48123JVB2 04/18/07 10/31/11    100.000     0.000    5.2734              0.176067   0.180710                                     53.48         
JP Morgan Chase & Co.    48123JXK0 05/30/07 05/31/11    100.000     0.000    5.3526              0.178877                                                26.65         
JP Morgan Chase & Co.    48123JXL8 05/30/07 11/30/12    100.000     0.000    5.4518              0.182810   0.187793   0.192912   0.198171               67.02    64.41
JP Morgan Chase & Co.    48123JXM6 05/30/07 05/31/11    100.000     0.000    5.3526              0.178877                                                26.65         
JP Morgan Chase & Co.    48123JZV4 07/20/07 01/23/13    100.000     0.000    5.7512              0.189470   0.194918   0.200523   0.206289  0.212221     70.94    75.07
JP Morgan Chase & Co.    48123JZX0 07/20/07 07/20/11    100.000     0.000    5.6219              0.184425   0.189609                                     37.63         
JP Morgan Chase & Co.    48123L2Z6 07/24/09 07/23/14    100.000     0.000    4.4937              0.130483   0.133415   0.136413   0.139478  0.142612     48.44    50.64
JP Morgan Chase & Co.    48123L3N2 07/02/09 07/02/14    100.000    VARIES    2.9362              0.081922   0.082770   0.083631   0.084110  0.084595     29.95    30.37
JP Morgan Chase & Co.    48123L3R3 07/20/09 07/20/14    100.000    VARIES    2.9075              0.080893   0.081559   0.082235   0.082400  0.082567     29.46    29.69
JP Morgan Chase & Co.    48123L4J0 08/31/09 08/31/12    100.000     0.000    2.6618              0.075502   0.075259   0.077099   0.077276               27.71    18.77
JP Morgan Chase & Co.    48123L6J8 09/30/09 09/28/12    100.000     0.000    2.5609              0.072962   0.073896   0.074842   0.075801               26.61    20.16
JP Morgan Chase & Co.    48123LAR5 06/13/08 12/13/12    100.000     0.000    5.2410              0.165685   0.170027   0.174483   0.179055               60.59    60.50
JP Morgan Chase & Co.    48123LC36 02/27/09 02/27/14    100.000     0.000    5.9738              0.181258   0.186672   0.192247   0.197990  0.203904     67.59    71.69
JP Morgan Chase & Co.    48123LC44 02/27/09 02/27/15    100.000     0.000    6.1636              0.187534   0.193313   0.199271   0.205412  0.211742     70.01    74.39
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48123LDP6 07/31/08 08/02/12    100.000     0.000    5.4526              0.168720   0.173320   0.178046   0.182900               62.96    38.44
JP Morgan Chase & Co.    48123LDQ4 07/31/08 07/31/14    100.000     0.000    6.1320              0.192207   0.198100   0.204174   0.210434  0.216886     72.06    76.55
JP Morgan Chase & Co.    48123LDR2 07/31/08 01/31/11    100.000     0.000    4.7839              0.146067                                                 4.24         
JP Morgan Chase & Co.    48123LDS0 07/31/08 01/31/11    100.000     0.000    4.7839              0.146067                                                 4.24         
JP Morgan Chase & Co.    48123LDT8 07/31/08 07/31/13    100.000     0.000    5.9323              0.185227   0.190721   0.196378   0.202203  0.208200     69.35    73.53
JP Morgan Chase & Co.    48123LDX9 07/31/08 07/31/13    100.000     0.000    5.9323              0.185227   0.190721   0.196378   0.202203  0.208200     69.35    73.53
JP Morgan Chase & Co.    48123LED2 07/30/08 10/31/11    100.000     0.000    5.1358              0.159916   0.164023                                     48.55         
JP Morgan Chase & Co.    48123LH31 03/31/09 03/31/14    100.000     0.000    6.8761              0.211389   0.218657   0.226174   0.233950  0.241994     78.75    84.26
JP Morgan Chase & Co.    48123LHH0 09/30/08 03/31/11    100.000     0.000    4.9162              0.150494                                                13.39         
JP Morgan Chase & Co.    48123LLQ5 08/19/08 08/20/12    100.000     0.000    5.3068              0.163716   0.168060   0.172519   0.177096               60.87    40.33
JP Morgan Chase & Co.    48123LMF8 09/30/08 09/30/13    100.000     0.000    6.2147              0.195109   0.201172   0.207423   0.213868  0.220514     72.45    77.02
JP Morgan Chase & Co.    48123LMG6 09/30/08 09/30/14    100.000     0.000    6.3642              0.200384   0.206761   0.213340   0.220129  0.227134     74.47    79.28
JP Morgan Chase & Co.    48123LNS9 09/30/08 03/31/11    100.000     0.000    4.9162              0.150494                                                13.39         
JP Morgan Chase & Co.    48123LNT7 09/30/08 03/31/11    100.000     0.000    4.9162              0.150494                                                13.39         
JP Morgan Chase & Co.    48123LNU4 09/30/08 09/30/11    100.000     0.000    5.3259              0.164342   0.168718                                     45.00         
JP Morgan Chase & Co.    48123LNV2 09/30/08 09/30/13    100.000     0.000    6.2147              0.195109   0.201172   0.207423   0.213868  0.220514     72.45    77.02
JP Morgan Chase & Co.    48123LP40 04/30/09 01/31/13    100.000     0.000    5.2314              0.155020   0.159075   0.163236   0.167505  0.171887     57.78    60.84
JP Morgan Chase & Co.    48123LPC2 09/12/08 03/10/14    100.000     0.000    5.2252              0.160875   0.165078   0.169391   0.173817  0.178358     59.62    62.77
JP Morgan Chase & Co.    48123LPE8 09/11/08 09/13/11    100.000     0.000    4.9289              0.150960   0.154680                                     38.71         
JP Morgan Chase & Co.    48123LQ56 04/17/09 04/17/14    100.000    VARIES    2.9876              0.083398   0.083820   0.083913   0.084007  0.083866     30.14    30.22
JP Morgan Chase & Co.    48123LRT3 10/31/08 10/31/13    100.000     0.000    7.5661              0.243827   0.253051   0.262624   0.272559  0.282870     90.58    97.57
JP Morgan Chase & Co.    48123LRU0 10/31/08 10/31/14    100.000     0.000    7.7555              0.250843   0.260570   0.270674   0.281171  0.292074     93.26   100.64
JP Morgan Chase & Co.    48123LRY2 10/31/08 10/31/11    100.000     0.000    6.2970              0.198009   0.204244                                     60.33         
JP Morgan Chase & Co.    48123LRZ9 10/31/08 10/31/11    100.000     0.000    6.2970              0.198009   0.204244                                     60.33         
JP Morgan Chase & Co.    48123LS96 04/14/09 03/12/12    100.000     0.000    5.8751              0.177103   0.182306   0.187661                          65.84    13.32
JP Morgan Chase & Co.    48123LUM4 10/31/08 10/30/15    100.000     0.000    7.9479              0.255131   0.263820   0.274304   0.285205  0.298168     95.92   103.89
JP Morgan Chase & Co.    48123LUN2 10/31/08 10/30/15    100.000     0.000    7.9479              0.255131   0.263820   0.274304   0.285205  0.298168     95.92   103.89
JP Morgan Chase & Co.    48123LVF8 11/28/08 05/31/11    100.000     0.000    5.3920              0.166646                                                24.83         
JP Morgan Chase & Co.    48123LVG6 11/28/08 05/31/11    100.000     0.000    5.3920              0.166646                                                24.83         
JP Morgan Chase & Co.    48123LVN1 11/28/08 11/28/14    100.000     0.000    6.9664              0.221915   0.229645   0.237644   0.245922  0.254488     81.80    87.60
JP Morgan Chase & Co.    48123LVP6 11/28/08 05/29/15    100.000     0.000    7.0456              0.224826   0.232746   0.240945   0.249433  0.258220     82.88    88.82
JP Morgan Chase & Co.    48123LWW0 12/29/08 06/29/11    100.000     0.000    4.3053              0.130230                                                23.18         
JP Morgan Chase & Co.    48123LWX8 12/29/08 06/29/11    100.000     0.000    4.3053              0.130230                                                23.18         
JP Morgan Chase & Co.    48123LXB5 12/29/08 12/30/13    100.000     0.000    5.5032              0.170427   0.175117   0.179935   0.184887  0.189974     62.21    65.68
JP Morgan Chase & Co.    48123LXC3 12/29/08 12/28/11    100.000     0.000    4.4642              0.135440   0.138463                                     48.90         
JP Morgan Chase & Co.    48123LXM1 12/29/08 12/29/14    100.000     0.000    5.6426              0.175190   0.180133   0.185215   0.190441  0.195814     63.98    67.64
JP Morgan Chase & Co.    48123M4H2 05/22/08 05/23/11    100.000     0.000    4.3026              0.132955                                                18.88         
JP Morgan Chase & Co.    48123M4N9 05/22/08 11/22/13    100.000     0.000    4.9518              0.155444   0.159292   0.163236   0.167278  0.171420     56.96    59.81
JP Morgan Chase & Co.    48123M5Y4 06/30/08 06/28/13    100.000     0.000    5.4798              0.174196   0.178969   0.183872   0.188910  0.194086     63.60    67.13
JP Morgan Chase & Co.    48123M5Z1 06/30/08 06/28/13    100.000     0.000    5.4798              0.174196   0.178969   0.183872   0.188910  0.194086     63.60    67.13
JP Morgan Chase & Co.    48123M6A5 06/30/08 06/30/14    100.000     0.000    5.6400              0.180039   0.185117   0.190337   0.195704  0.201223     65.74    69.50
JP Morgan Chase & Co.    48123M6L1 06/06/08 06/06/13    100.000     0.000    5.1615              0.162858   0.167062   0.171373   0.175796  0.180333     59.60    62.71
JP Morgan Chase & Co.    48123MDK5 11/21/07 05/21/13    100.000     0.000    5.4319              0.177207   0.182020   0.186963   0.192041  0.197257     65.05    68.63
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48123MDL3 11/21/07 11/21/12    100.000     0.000    5.3523              0.174206   0.178868   0.183655   0.188570               63.93    59.65
JP Morgan Chase & Co.    48123MDM1 11/21/07 05/21/13    100.000     0.000    5.4319              0.177207   0.182020   0.186963   0.192041  0.197257     65.05    68.63
JP Morgan Chase & Co.    48123MER9 11/30/07 11/30/12    100.000     0.000    5.0116              0.161498   0.165544   0.169693   0.173945               59.12    56.59
JP Morgan Chase & Co.    48123MES7 11/30/07 05/31/13    100.000     0.000    5.1118              0.165210   0.169433   0.173763   0.178204  0.182759     60.50    63.63
JP Morgan Chase & Co.    48123MF80 04/25/08 04/25/13    100.000     0.000    5.0228              0.157945   0.161912   0.165978   0.170146  0.174419     58.10    61.06
JP Morgan Chase & Co.    48123MG97 04/30/08 10/31/12    100.000     0.000    4.8928              0.153371   0.157123   0.160967   0.164905               56.35    48.84
JP Morgan Chase & Co.    48123MH21 04/30/08 04/30/13    100.000     0.000    5.0426              0.158645   0.162645   0.166746   0.170950  0.175260     58.33    61.30
JP Morgan Chase & Co.    48123MH39 04/30/08 04/30/14    100.000     0.000    5.2026              0.164319   0.168593   0.172979   0.177479  0.182096     60.45    63.64
JP Morgan Chase & Co.    48123MHT2 11/30/07 11/30/12    100.000     0.000    5.0116              0.161498   0.165544   0.169693   0.173945               59.12    56.59
JP Morgan Chase & Co.    48123MHZ8 12/21/07 03/21/12    100.000     0.000    5.0099              0.159462   0.163456   0.167551                          58.93    13.40
JP Morgan Chase & Co.    48123MJA1 12/21/07 03/21/12    100.000     0.000    5.0099              0.159462   0.163456   0.167551                          58.93    13.40
JP Morgan Chase & Co.    48123MJN3 12/26/07 06/26/13    100.000     0.000    5.1101              0.165147   0.169367   0.173694   0.178132  0.182683     60.26    63.37
JP Morgan Chase & Co.    48123MMN9 01/31/08 04/30/12    100.000     0.000    4.2604              0.132902   0.135733   0.138625                          48.70    16.50
JP Morgan Chase & Co.    48123MMS8 01/31/08 01/31/13    100.000     0.000    4.5315              0.140797   0.143987   0.147249   0.150586  0.153997     52.24    54.63
JP Morgan Chase & Co.    48123MPA4 01/31/08 01/31/14    100.000     0.000    4.7582              0.148663   0.152200   0.155821   0.159528  0.163323     55.24    57.90
JP Morgan Chase & Co.    48123MSA1 02/29/08 08/30/12    100.000     0.000    4.4026              0.134863   0.137079   0.140097   0.143181               50.28    34.47
JP Morgan Chase & Co.    48123MSD5 02/29/08 02/28/13    100.000     0.000    4.5721              0.141416   0.142290   0.147143   0.148871  0.154798     52.48    55.11
JP Morgan Chase & Co.    48123MSE3 02/29/08 02/28/14    100.000     0.000    4.8222              0.150063   0.151176   0.156522   0.158554  0.165068     55.77    58.71
JP Morgan Chase & Co.    48123MVT6 02/26/08 02/26/13    100.000     0.000    4.7223              0.147410   0.150891   0.154454   0.158101  0.161834     54.57    57.18
JP Morgan Chase & Co.    48123MW65 05/30/08 11/30/12    100.000     0.000    4.8222              0.150897   0.154535   0.158262   0.162077               55.21    52.75
JP Morgan Chase & Co.    48123MX31 05/30/08 05/31/13    100.000     0.000    4.9616              0.155788   0.159653   0.163613   0.167672  0.171832     57.02    59.89
JP Morgan Chase & Co.    48123MX49 05/30/08 05/30/14    100.000     0.000    5.1515              0.162503   0.166689   0.170982   0.175386  0.179904     59.52    62.62
JP Morgan Chase & Co.    48124A3Q8 12/20/10 12/21/15    100.000     0.000    3.3603              0.093353   0.094922   0.096516   0.098138  0.099787     33.92    35.07
JP Morgan Chase & Co.    48124A4S3 12/28/10 12/26/14    100.000     0.000    2.6121              0.072560   0.073497   0.074457   0.075429  0.076414     26.30    26.99
JP Morgan Chase & Co.    48124ACX3 12/28/09 12/31/14    100.000     0.000    3.5880              0.102736   0.102874   0.105870   0.106598  0.110309     37.53    38.89
JP Morgan Chase & Co.    48124ACY1 12/28/09 12/31/15    100.000     0.000    3.8782              0.111366   0.111674   0.115091   0.116047  0.120258     40.71    42.30
JP Morgan Chase & Co.    48124ACZ8 12/28/09 12/31/14    100.000     0.000    3.5880              0.102736   0.102874   0.105870   0.106598  0.110309     37.53    38.89
JP Morgan Chase & Co.    48124AD20 09/30/10 09/30/16    100.000     0.000    3.0410              0.084473   0.085757   0.087061   0.088385  0.089729     30.88    31.82
JP Morgan Chase & Co.    48124AGR2 02/05/10 02/07/12    100.000     0.000    1.4202              0.039734   0.040017   0.040301                          14.44     1.45
JP Morgan Chase & Co.    48124AKU0 03/29/10 03/27/15    100.000     1.800    3.4731              0.097275   0.098096   0.098931   0.099781  0.100646     35.32    35.93
JP Morgan Chase & Co.    48124ALG0 04/08/10 04/08/14    100.000     0.000    3.0012              0.084620   0.085890   0.087179   0.088487  0.089815     30.90    31.84
JP Morgan Chase & Co.    48124ANY9 05/11/10 05/12/15    100.000     1.800    3.4048              0.095342   0.096114   0.096899   0.097698  0.098510     34.54    35.11
JP Morgan Chase & Co.    48124ARD1 06/09/10 06/09/15    100.000     0.000    3.8907              0.110178   0.112321   0.114506   0.116734  0.119005     40.15    41.72
JP Morgan Chase & Co.    48124ASD0 05/28/10 05/31/16    100.000     0.000    3.9190              0.109810   0.111350   0.113532   0.115757  0.118673     40.48    42.12
JP Morgan Chase & Co.    48124AUK1 06/15/10 06/15/15    100.000     1.650    3.6021              0.101036   0.102030   0.103042   0.104073  0.105122     36.58    37.31
JP Morgan Chase & Co.    48124AV38 11/30/10 11/30/16    100.000     0.000    3.1390              0.087195   0.088563   0.089953   0.091365  0.092799     31.72    32.73
JP Morgan Chase & Co.    48124AV46 11/30/10 11/28/14    100.000     0.000    2.2307              0.061966   0.062650   0.063349   0.064055  0.064770     22.48    22.98
JP Morgan Chase & Co.    48124AV95 11/30/10 11/30/16    100.000     0.000    3.0404              0.084457   0.085741   0.087044   0.088368  0.089711     30.72    31.66
JP Morgan Chase & Co.    48124AZC4 08/31/10 08/29/14    100.000     0.000    2.1822              0.059625   0.060600   0.060595   0.061930  0.062263     22.06    22.63
JP Morgan Chase & Co.    48124AZW0 09/15/10 09/15/25    100.000    VARIES    3.5831              0.099533   0.096837   0.094093   0.092669  0.091220     34.77    33.31
JP Morgan Chase & Co.    48125XCU8 02/17/11 02/17/26    100.000    VARIES    5.6348                         0.156524   0.155607   0.154664  0.153694     49.03    55.59
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES    5.0718                         0.140884   0.142344   0.143840  0.145375     38.31    51.79
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES    5.1602                         0.143339   0.144171   0.145024  0.145899     37.77    52.20
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125XKS4 03/30/11 03/30/17    100.000     0.000    4.0116                         0.111434   0.113669   0.115949  0.118275     30.40    41.75
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES    5.0712                         0.140868   0.141447   0.142040  0.142648     27.62    51.05
Justice Park Dist, IL    48214PAK1 06/07/11 12/01/12    103.617     0.000    2.4425                         0.070303   0.071133   0.072002               14.37    23.63
Justice Park Dist, IL    48214PAL9 06/07/11 12/01/13    104.750    VARIES    2.9582                         0.086076   0.087307   0.088598  0.083814     17.60    31.56
Justice Park Dist, IL    48214PAM7 06/07/11 12/01/14    104.211    VARIES    3.6619                         0.106004   0.107880   0.109855  0.104322     21.68    39.09
Justice Park Dist, IL    48214PAN5 06/07/11 12/01/15    104.066    VARIES    3.9671                         0.114681   0.116880   0.119198  0.113389     23.46    42.39
Justice Park Dist, IL    48214PAP0 06/07/11 12/01/16    102.404    VARIES    4.4687                         0.127116   0.129861   0.132763  0.126523     26.01    47.17
Justice Park Dist, IL    48214PAQ8 06/07/11 12/01/17    101.380    VARIES    4.7209                         0.132948   0.135982   0.139192  0.132752     27.21    49.43
Justice Park Dist, IL    48214PAR6 06/07/11 12/01/18    100.000    VARIES    4.9723                         0.138121   0.141441   0.144957  0.138317     28.28    51.46
Justice Park Dist, IL    48214PAS4 06/07/11 12/01/19     97.305    VARIES    5.3724                         0.145214   0.148984   0.152986  0.146028     29.74    54.27
Justice Park Dist, IL    48214PAT2 06/07/11 12/01/20     94.574    VARIES    5.7224                         0.150331   0.154489   0.158909  0.151667     30.79    56.33
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES    5.9725                         0.153129   0.157550   0.162255  0.154796     31.37    57.48
KBC IFIMA NV             48240JAA5 06/27/08 06/27/13    100.000     6.000    4.7451              0.135666   0.134930   0.134177   0.133407  0.132617     48.70    48.16
KBC IFIMA NV             48240JAB3 08/07/08 08/07/12    100.000     0.000    4.5769              0.139183   0.142368   0.145626   0.148959               51.61    32.06
KFW                      48245ABB6 06/22/07 06/22/37     12.693     0.000    7.0001    34.84     0.031402   0.032501   0.033638   0.034816  0.036034     11.52    12.34
Kendall, Kane & Will IL  488764NR8 04/22/03 10/01/11    106.125    VARIES    4.6066              0.129068   0.128521                                     34.75         
Kendall, Kane & Will IL  488764NS6 04/22/03 10/01/12    100.093    VARIES    4.7793              0.132812   0.132800   0.132787   0.132774               47.81    35.85
Kendall, Kane & Will IL  488764NT4 04/22/03 10/01/13    100.778    VARIES    4.8954              0.136378   0.136316   0.136254   0.136189  0.136123     49.07    49.03
KFW                      500769BR4 04/19/06 04/18/36     19.778     0.000    5.4761    57.19     0.038359   0.039410   0.040489   0.041597  0.042736     14.15    14.94
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000    5.7800    40.01     0.035469   0.036494   0.037549   0.038634  0.039750     12.96    13.72
LTX-Credence Corporation 502403AA6 03/27/09 05/15/11     55.190     3.500   38.6963              0.983951                                               131.85         
LTX-Credence Corporation 502403AB4 05/26/09 05/15/11     56.940     3.500   39.9143              1.009768                                               135.31         
L-3 Commun Hldgs, Inc    502413AW7 07/29/05 08/01/35    100.000    VARIES    6.3295              0.209678   0.213676   0.217801   0.222057  0.226447     77.42    80.47
L-3 Commun Hldgs, Inc    502424AE4 07/29/05 08/01/35    100.000    VARIES    6.3295              0.209678   0.213676   0.217801   0.222057  0.226447     77.42    80.47
LaSalle CNTY SD# 112, IL 504498DB9 11/03/11 12/01/12    102.938     0.000    2.2191                         0.063455   0.063565   0.064270                3.68    21.10
LaSalle Cnty, IL SD #125 504534CC0 03/06/08 12/01/11    106.222    VARIES    4.2744              0.120892   0.119825                                     39.70         
LaSalle Cnty, IL SD #125 504534CD8 03/06/08 12/01/12    107.706    VARIES    4.2894              0.123356   0.122338   0.121298   0.120235               44.16    39.84
LaSalle Cnty, IL SD #125 504534CE6 03/06/08 12/01/13    108.599    VARIES    4.3978              0.128118   0.127178   0.126218   0.125237  0.124235     45.90    45.20
LaSalle Cnty, IL SD #141 504588EF7 11/30/10 12/01/11    103.043     0.000    1.9209              0.054986   0.055514                                     18.24         
LaSalle Cnty, IL SD #141 504588EG5 11/30/10 12/01/12    105.252    VARIES    2.2326              0.065279   0.066008   0.063553   0.062790               23.58    20.84
LaSalle Cnty, IL SD #141 504588EH3 11/30/10 12/01/13    106.846    VARIES    2.6857              0.079716   0.080787   0.077871   0.077070  0.076259     28.84    27.84
LaSalle Cnty, IL SD #150 504597AW5 09/03/08 12/01/11    107.061    VARIES    4.8310              0.137328   0.135781                                     45.04         
LaSalle Cnty, IL SD #150 504597AX3 09/03/08 12/01/12    107.048    VARIES    5.0510              0.145317   0.144111   0.142875   0.141608               52.02    46.92
LaSalle Cnty, IL SD #150 504597AY1 09/03/08 12/01/13    107.923    VARIES    5.1770              0.150807   0.149714   0.148592   0.147441  0.146260     54.03    53.22
Lake County IL SD #187   509262CV1 04/09/03 01/01/21     35.244     0.000    5.9694   202.88     0.092082   0.094831   0.097661   0.100576               33.64    35.68
Lamar Media Corporation  513075AN1 08/17/06 08/15/15     92.809     6.625    7.7500    28.91     0.021368   0.022196   0.023056   0.023949  0.024877      8.07     8.71
Lamar Media Corporation  513075AP6 08/17/06 08/15/15     92.809     6.625    7.7500    28.91     0.021368   0.022196   0.023056   0.023949  0.024877      8.07     8.71
Lamar Media Corporation  513075AQ4 08/17/06 08/15/15     92.809     6.625    7.7500    28.91     0.021368   0.022196   0.023056   0.023949  0.024877      8.07     8.71
Lamar Media Corporation  513075AV3 03/27/09 04/01/14     89.979     9.750   12.5008    28.60     0.049987   0.053111   0.056431   0.059958  0.063706     19.14    21.60
Lee & Dekalb Counties,IL 523351BP8 09/30/11 01/01/13    100.000     0.000    2.4987                         0.069410   0.069849   0.070721                6.32    25.30
Lee & Dekalb Counties,IL 523351BQ6 09/30/11 01/01/14    100.000     0.000    2.9991                         0.083311   0.083942   0.085201                7.58    30.45
Lee & Dekalb Counties,IL 523351BR4 09/30/11 01/01/15    100.000     0.000    3.4989                         0.097193   0.098052   0.099768                8.84    35.61
Lee & Dekalb Counties,IL 523351BS2 09/30/11 01/01/16    100.000     0.000    3.9990                         0.111085   0.112208   0.114452               10.11    40.80
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lee & Dekalb Counties,IL 523351BT0 09/30/11 01/01/17    100.000     0.000    3.7493                         0.104148   0.105135   0.107106                9.48    38.20
Lee & Dekalb Counties,IL 523351BU7 09/30/11 01/01/18    100.000     0.000    3.9993                         0.111094   0.112217   0.114461               10.11    40.80
Lee & Dekalb Counties,IL 523351BV5 09/30/11 01/01/19    100.000     0.000    4.2492                         0.118036   0.119304   0.121838               10.74    43.41
Lee & Dekalb Counties,IL 523351BW3 09/30/11 01/01/20    117.427     0.000    4.4992                         0.146758   0.148427   0.151766               13.35    54.03
Lee & Ogle Counties, IL  523372AX8 06/09/05 04/01/11     68.268     0.000    6.6757   301.17     0.179448                                                16.15         
Legg Mason, Inc.         524901303 05/12/08 06/30/21*   100.000    VARIES    6.9753              0.201325                                                36.04*        
Legg Mason, Inc.         524901AN5 05/12/08 06/30/21    100.000    VARIES    6.9753              0.201325   0.202922   0.202597   0.202262  0.201914     72.77    72.87
Lehman Bros Hldgs Inc    524908LS7 02/11/04 02/11/11    100.000     0.750    4.3200              0.151759                                                 6.07         
Lehman Bros Hldgs Inc    524908MJ6 10/06/04 10/06/11    100.000     0.250    4.4000              0.156623   0.159916                                     43.66         
Lehman Bros Hldgs Inc    524908NM8 06/29/05 06/29/12    100.000     0.250    4.4344              0.154890   0.158171   0.161524                          56.36    28.75
Lehman Bros Hldgs Inc    524908NX4 10/13/05 10/13/15    100.000     5.175    5.1749              0.143750   0.143750   0.143750   0.143750  0.143750     51.75    51.75
Lehman Bros Hldgs Inc    524908NY2 10/28/05 10/28/12    100.000     3.000    4.9995              0.154432   0.156209   0.158031   0.159898               56.14    47.27
Lehman Bros Hldgs Inc    524908PA2 11/17/05 11/17/12    100.000     3.000    5.2215              0.163184   0.165268   0.167407   0.169602               59.31    53.30
Lehman Bros Hldgs Inc    524908PG9 01/06/06 01/06/12    100.000     0.250    5.0450              0.173615   0.177820   0.182130                          64.75      .91
Lehman Bros Hldgs Inc    524908PN4 03/29/06 03/29/13    100.000     1.500    5.4019              0.179437   0.183158   0.186980   0.190905  0.194936     65.96    68.75
Lehman Bros Hldgs Inc    524908SH4 08/01/06 08/01/13    100.000     2.000    5.4200              0.173215   0.176403   0.179678   0.183042  0.186497     63.90    66.31
Lehman Bros Hldgs Inc    524908TX8 10/12/06 10/12/11    100.000     0.250    5.5099              0.188541   0.193544                                     53.88         
Lehman Bros Hldgs Inc    524908TZ3 10/17/06 10/17/13    100.000     1.000    5.3799              0.178229   0.182277   0.186433   0.190700  0.195083     65.50    68.52
Lehman Bros Hldgs Inc    524908UC2 12/12/06 12/12/13    100.000     0.250    5.0399              0.169313   0.173405   0.177599   0.181900  0.186309     61.85    64.88
Lehman Bros Hldgs Inc    524908UE8 12/11/06 12/11/11    104.625     0.000    5.0399              0.178744   0.183249                                     61.58         
Lehman Bros Hldgs Inc    524908UH1 12/21/06 12/21/11    100.000     0.000    5.2200              0.178192   0.182843                                     63.20         
Lehman Bros Hldgs Inc    524908UL2 12/27/06 12/27/13    100.000     0.450    5.1200              0.171296   0.175361   0.179530   0.183806  0.188192     62.43    65.44
Lehman Bros Hldgs Inc    524908UU2 02/06/07 02/06/14    100.000     1.250    5.5630              0.179894   0.183932   0.188082   0.192348  0.196732     66.68    69.73
Lehman Bros Hldgs Inc    524908UY4 02/16/07 02/16/12    100.000     0.250    5.3845              0.178720   0.183344   0.188093                          66.44     8.46
Lehman Bros Hldgs Inc    524908VU1 03/29/07 03/29/14    100.000     1.000    5.6108              0.183228   0.187589   0.192072   0.196682  0.201420     67.56    70.84
Lehman Bros Hldgs Inc    52517P2E0 05/23/07 05/23/22    100.000    VARIES    5.3475              0.133233   0.133723   0.134227   0.134744  0.135274     48.09    48.45
Lehman Bros Hldgs Inc    52517P2J9 05/24/07 05/24/24    100.000    VARIES    5.5681              0.144190   0.144454   0.144725   0.145003  0.145290     51.98    52.17
Lehman Bros Hldgs Inc    52517P2V2 01/11/08 01/11/11    100.000     0.000    5.2399              0.165649                                                 1.66         
Lehman Bros Hldgs Inc    52517P4R9 11/14/07 11/14/12    100.000     0.000    5.9599              0.197452   0.203336   0.209395   0.215635               72.70    66.66
Lehman Bros Hldgs Inc    52517P4T5 08/29/07 08/29/22    100.000    VARIES    6.2092              0.145072   0.141442   0.135390   0.133025  0.128347     51.08    48.24
Lehman Bros Hldgs Inc    52517P4U2 07/01/08 07/02/12    100.000     0.000    6.2999              0.198148   0.204390   0.210828   0.217469               74.73    39.36
Lehman Bros Hldgs Inc    52517P4X6 08/21/07 08/21/37    100.000    VARIES    7.1259              0.200323   0.203006   0.205786   0.208664  0.211645     73.31    75.36
Lehman Bros Hldgs Inc    52517P5S6 09/26/07 09/26/22    100.000    VARIES    5.7211              0.134299   0.130195   0.126768   0.123243  0.119617     46.89    44.32
Lehman Bros Hldgs Inc    52517P7A3 10/11/07 10/11/11     80.899     0.000    5.3700   150.71     0.141469   0.145267                                     40.30         
Lehman Bros Hldgs Inc    52517PAE1 10/15/93 10/15/23    100.000    VARIES    6.9789              0.206170   0.205872   0.205563   0.205244  0.204913     74.12    73.90
Lehman Bros Hldgs Inc    52517PC25 10/20/05 10/20/20    100.000    VARIES    5.2456              0.129868   0.126097   0.122955   0.119730  0.117060     46.21    43.98
Lehman Bros Hldgs Inc    52517PE98 03/15/06 03/15/11    100.000     0.000    5.2946              0.186063                                                13.77         
Lehman Bros Hldgs Inc    52517PH46 05/17/06 05/17/21    100.000    VARIES    5.8803              0.165103   0.165670   0.166049   0.166439  0.166841     59.58    59.88
Lehman Bros Hldgs Inc    52517PK42 07/26/06 07/26/21    100.000    VARIES    4.6197              0.124884   0.125523   0.126016   0.126521  0.127037     45.25    45.61
Lehman Bros Hldgs Inc    52517PL66 09/14/06 09/14/21     95.000    VARIES    5.7713              0.149692   0.149322   0.148942   0.149032  0.149124     53.74    53.65
Lehman Bros Hldgs Inc    52517PL74 09/12/06 09/12/11    100.000     0.000    5.4399              0.187299   0.192394                                     47.93         
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lehman Bros Hldgs Inc    52517PM24 09/29/06 09/29/21     95.500    VARIES    5.8013              0.152401   0.152188   0.151970   0.152067  0.152168     54.79    54.74
Lehman Bros Hldgs Inc    52517PM99 10/27/06 10/27/16     94.650    VARIES    5.6132              0.148017   0.148078   0.148141   0.148401  0.148668     53.30    53.41
Lehman Bros Hldgs Inc    52517PN64 11/07/06 11/07/16    100.000    VARIES    5.5099              0.145537   0.145721   0.145909   0.146102  0.146301     52.45    52.58
Lehman Bros Hldgs Inc    52517PQ20 12/28/06 12/28/21    100.000    VARIES    5.1185              0.136696   0.135929   0.135142   0.134691  0.134228     49.07    48.57
Lehman Bros Hldgs Inc    52517PQ87 12/21/06 12/21/21     97.500    VARIES    5.3886              0.134616   0.134501   0.134382   0.134261  0.134136     48.44    48.35
Lehman Bros Hldgs Inc    52517PR37 01/12/07 01/12/22    100.000    VARIES    5.3883              0.139916   0.140168   0.140427   0.140693  0.140966     50.50    50.69
Lehman Bros Hldgs Inc    52517PT27 02/15/07 02/15/22     97.500    VARIES    5.4901              0.144940   0.144344   0.143731   0.143101  0.143407     51.91    51.59
Lehman Bros Hldgs Inc    52517PT68 02/16/07 02/16/17    100.000    VARIES    5.6999              0.149322   0.149896   0.150487   0.151095  0.151720     54.02    54.45
Lehman Bros Hldgs Inc    52517PU82 03/05/07 03/05/22    100.000    VARIES    5.5000              0.145478   0.145710   0.145948   0.146192  0.146444     52.47    52.64
Lehman Bros Hldgs Inc    52517PUL3 06/12/03 06/12/18    100.000    VARIES    5.2471              0.127627   0.123809   0.120605   0.117318  0.114571     45.74    43.42
Lehman Bros Hldgs Inc    52517PUP4 07/03/03 07/03/18    100.000    VARIES    4.7451              0.099855   0.099003   0.094864   0.096109  0.097319     35.38    35.39
Lehman Bros Hldgs Inc    52517PUR0 07/17/03 07/17/15    100.000    VARIES    4.3972              0.096135   0.099877   0.100408   0.103743  0.104872     36.48    38.11
Lehman Bros Hldgs Inc    52517PV40 06/19/07 06/19/17    100.000    VARIES    5.4394              0.148045   0.148233   0.148427   0.148626  0.148830     53.33    53.47
Lehman Bros Hldgs Inc    52517PVN8 12/17/03 12/17/18    100.000    VARIES    6.0028              0.181611   0.180990   0.181373   0.181273  0.182165     66.17    66.38
Lehman Bros Hldgs Inc    52517PVR9 01/13/04 01/13/11    100.000     0.250    4.3800              0.158986                                                 1.91         
Lehman Bros Hldgs Inc    52517PW80 04/20/07 04/20/22    100.000    VARIES    5.1283              0.135067   0.133900   0.132704   0.131477  0.131643     48.25    47.48
Lehman Bros Hldgs Inc    52517PWB3 04/08/04 04/08/14    100.000    VARIES    4.8469              0.113038   0.114707   0.117487   0.120335  0.123928     41.94    44.07
Lehman Bros Hldgs Inc    52517PWC1 04/08/04 04/08/11    100.000    VARIES    4.2283              0.113758                                                11.03         
Lehman Bros Hldgs Inc    52517PWD9 04/14/04 04/14/11    100.000    VARIES    3.5801              0.098264                                                10.12         
Lehman Bros Hldgs Inc    52517PWX5 07/07/04 07/07/11    100.000     0.250    5.0499              0.186787   0.191328                                     35.56         
Lehman Bros Hldgs Inc    52517PX55 04/27/07 04/27/22    100.000    VARIES    5.3982              0.138258   0.138616   0.138983   0.139361  0.139749     49.88    50.15
Lehman Bros Hldgs Inc    52517PX71 04/17/07 04/17/37    100.000    VARIES    6.2486              0.167728   0.167762   0.167796   0.167831  0.167867     60.39    60.42
Lehman Bros Hldgs Inc    52517PXM8 10/25/04 10/25/17    100.000    VARIES    5.2494              0.142533   0.142247   0.142754   0.143274  0.144597     51.99    52.47
Lehman Bros Hldgs Inc    52517PXQ9 11/01/04 11/01/14    100.000    VARIES    4.9383              0.129987   0.130453   0.130931   0.131763  0.132616     46.94    47.39
Lehman Bros Hldgs Inc    52517PXS5 10/29/04 10/29/19    100.000    VARIES    5.4644              0.123519   0.120229   0.117541   0.114781  0.112560     44.10    42.20
Lehman Bros Hldgs Inc    52517PXV8 11/18/04 11/18/11    100.000    VARIES    5.0706              0.135668   0.135595                                     43.54         
Lehman Bros Hldgs Inc    52517PXW6 11/22/04 11/22/19    100.000    VARIES    5.5393              0.151446   0.149716   0.152130   0.151257  0.154580     54.99    55.62
Lehman Bros Hldgs Inc    52517PXZ9 12/07/04 12/07/16    100.000    VARIES    5.2285              0.138144   0.138851   0.139576   0.140321  0.141084     49.89    50.42
Lehman Bros Hldgs Inc    52517PYD7 12/23/04 12/23/11    100.000    VARIES    4.7678              0.124957   0.127237                                     44.90         
Lehman Bros Hldgs Inc    52517PYE5 12/23/04 12/23/19    100.000    VARIES    5.6986              0.151111   0.151064   0.151865   0.152689  0.154380     55.15    55.76
Lehman Bros Hldgs Inc    52517PYG0 12/30/04 12/30/19    100.000    VARIES    5.5380              0.145141   0.145544   0.145959   0.146386  0.146824     52.32    52.62
Lehman Bros Hldgs Inc    52517PYH8 01/06/05 01/06/20    100.000    VARIES    5.8754              0.149861   0.146919   0.143890   0.140773  0.137564     52.38    50.13
Lehman Bros Hldgs Inc    52517PYJ4 12/30/04 12/30/19    100.000    VARIES    5.8784              0.156832   0.157359   0.157902   0.158461  0.159036     56.56    56.95
Lehman Bros Hldgs Inc    52517PYM7 01/28/05 01/28/20    100.000    VARIES    5.9154              0.151289   0.148369   0.145363   0.142268  0.139082     53.03    50.81
Lehman Bros Hldgs Inc    52517PYR6 02/02/05 02/02/17    100.000    VARIES    5.4992              0.146362   0.149271   0.147139   0.149069  0.147767     54.07    54.30
Lehman Bros Hldgs Inc    52517PYT2 02/24/05 02/24/20    100.000    VARIES    5.1276              0.130751   0.131254   0.131628   0.132012  0.132405     47.27    47.55
Lehman Bros Hldgs Inc    52517PYU9 02/24/05 02/24/20    100.000    VARIES    5.0875              0.129372   0.130013   0.130423   0.130844  0.131275     46.82    47.14
Lehman Bros Hldgs Inc    52517PYW5 03/23/05 03/23/20    100.000    VARIES    5.1879              0.133907   0.134427   0.134887   0.135360  0.135845     48.40    48.74
Lehman Bros Hldgs Inc    52517PYX3 03/17/05 03/17/20    100.000    VARIES    5.2322              0.158250   0.159047   0.159865   0.160704  0.161566     57.28    57.88
Lehman Bros Hldgs Inc    52517PZ38 06/22/07 06/22/22    100.000    VARIES    5.7685              0.152764   0.152988   0.153218   0.153455  0.153699     55.04    55.21
Lehman Bros Hldgs Inc    52517PZ87 05/23/07 05/23/22    100.000    VARIES    5.5672              0.139164   0.139596   0.140041   0.140499  0.140969     50.21    50.53
Lehman Bros Hldgs Inc    52517PZA2 03/23/05 03/23/20    100.000    VARIES    5.7272              0.147579   0.148226   0.148493   0.148768  0.149051     53.33    53.56
Lehman Bros Hldgs Inc    52517PZJ3 05/11/05 05/11/15    100.000    VARIES    5.2579              0.135088   0.134437   0.133768   0.133082  0.132378     48.45    47.96
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lehman Bros Hldgs Inc    52517PZL8 05/19/05 05/19/20    100.000    VARIES    5.8181              0.158932   0.157899   0.156836   0.155742  0.154616     56.94    56.17
Lehman Bros Hldgs Inc    52517PZM6 05/19/05 05/19/20    100.000    VARIES    5.8231              0.179260   0.179950   0.180660   0.181391  0.182143     64.72    65.23
Lehman Bros Hldgs Inc    52517PZN4 05/26/05 05/26/15    100.000    VARIES    5.1761              0.117317   0.117200   0.120233   0.123345  0.126537     42.32    44.06
Lehman Bros Hldgs Inc    52517PZS3 06/23/05 06/23/20    100.000    VARIES    5.4824              0.165795   0.166532   0.167290   0.168068  0.168868     59.83    60.38
Lehman Bros Hldgs Inc    52520W283 06/16/08 07/29/11    100.000     0.000    5.9599              0.187515   0.193103                                     40.01         
Lehman Bros Hldgs Inc    52520W564 03/30/07 03/31/11    100.000     0.000    5.0675              0.167713                                                14.93         
Lehman Bros Hldgs Inc    52520WAG6 06/23/06 06/23/11    100.000     0.250    5.8865              0.210223                                                36.16         
Lehman Bros Hldgs Inc    5252M0AJ6 12/28/07 12/28/22    100.000    VARIES    5.6093              0.153234   0.153247   0.153260   0.153274  0.153287     55.17    55.18
Lehman Bros Hldgs Inc    5252M0AM9 11/19/07 11/19/37    100.000    VARIES    7.4282              0.198715   0.195514   0.197702   0.195595  0.198880     71.90    72.02
Lehman Bros Hldgs Inc    5252M0AP2 02/07/08 02/07/12    100.000     0.000    5.2100              0.164581   0.168868   0.173267                          61.27     6.24
Lehman Bros Hldgs Inc    5252M0AV9 11/27/07 11/27/37     11.746     0.000    7.2677    29.05     0.029377   0.030444   0.031550   0.032697  0.033885     10.84    11.64
Lehman Bros Hldgs Inc    5252M0AY3 12/28/07 12/28/22    100.000    VARIES    5.8488              0.156899   0.157020   0.157144   0.157272  0.157403     56.51    56.60
Lehman Bros Hldgs Inc    5252M0BG1 01/11/08 01/11/12    100.000     0.000    5.3999              0.171373   0.176000   0.180752                          64.12     1.81
Lehman Bros Hldgs Inc    5252M0BH9 12/27/07 12/27/11    100.000     0.000    5.7000              0.187413   0.192754                                     67.68         
Lehman Bros Hldgs Inc    5252M0BJ5 12/28/07 12/28/22    100.000    VARIES    5.8954              0.157921   0.156845   0.155736   0.154595  0.153421     56.65    55.85
Lehman Bros Hldgs Inc    5252M0BK2 03/20/08 03/20/12    100.000     0.000    6.5800              0.214889   0.221959   0.229262                          80.08    18.11
Lehman Bros Hldgs Inc    5252M0BR7 02/14/08 02/14/12    100.000     0.000    5.0900              0.160320   0.164400   0.168584                          59.58     7.25
Lehman Bros Hldgs Inc    5252M0BU0 02/14/08 02/14/12    100.000     0.000    5.0900              0.160320   0.164400   0.168584                          59.58     7.25
Lehman Bros Hldgs Inc    5252M0CH8 02/06/08 02/06/23    100.000    VARIES    5.6140              0.146107   0.143971   0.141774   0.139516  0.137195     51.59    49.97
Lehman Bros Hldgs Inc    5252M0CK1 02/12/08 02/12/38    100.000    VARIES    7.2994              0.200777   0.200789   0.200801   0.200813  0.200826     72.29    72.29
Lehman Bros Hldgs Inc    5252M0CV7 02/27/08 02/27/23    100.000    VARIES    5.1091              0.136093   0.136262   0.136436   0.136614  0.136797     49.07    49.19
Lehman Bros Hldgs Inc    5252M0DA2 02/29/08 02/28/11    100.000     0.000    6.6600              0.216720                                                12.57         
Lehman Bros Hldgs Inc    5252M0DB0 05/21/08 05/21/12    100.000     0.000    5.1300              0.161738   0.165886   0.170141                          59.31    23.82
Lehman Bros Hldgs Inc    5252M0DF1 02/28/08 02/28/12    100.000     0.000    5.1099              0.157528   0.161553   0.168426                          59.58     9.77
Lehman Bros Hldgs Inc    5252M0DP9 03/31/08 03/31/23    100.000    VARIES    5.5588              0.147977   0.148159   0.148345   0.148537  0.148735     53.34    53.47
Lehman Bros Hldgs Inc    5252M0DQ7 03/20/08 09/20/12    100.000     0.000    6.9999              0.230939   0.239022   0.247387   0.256046               86.25    65.63
Lehman Bros Hldgs Inc    5252M0EC7 03/10/08 03/10/23    100.000    VARIES    7.2993              0.199831   0.199905   0.199981   0.200060  0.200143     71.97    72.03
Lehman Bros Hldgs Inc    5252M0EF0 03/28/08 03/28/12    100.000     0.000    5.2000              0.164224   0.168494   0.172875                          60.69    15.04
Lehman Bros Hldgs Inc    5252M0EH6 03/13/08 03/13/23    100.000    VARIES    6.8587              0.184847   0.184994   0.185146   0.185303  0.185466     66.60    66.72
Lehman Bros Hldgs Inc    5252M0EM5 03/31/08 03/31/11    100.000     0.000    4.7900              0.149771                                                13.33         
Lehman Bros Hldgs Inc    5252M0EN3 03/05/08 03/05/18     92.300     5.250    6.2995    17.15     0.018309   0.018886   0.019480   0.020094  0.020727      6.83     7.27
Lehman Bros Hldgs Inc    5252M0EP8 03/24/08 03/21/11    100.000     0.000    4.1948              0.129224                                                10.34         
Lehman Bros Hldgs Inc    5252M0EQ6 03/31/08 04/01/13    100.000     0.000    7.0999              0.234848   0.243185   0.251818   0.260758  0.270014     87.57    93.90
Lehman Bros Hldgs Inc    5252M0ET0 03/17/08 03/17/23    100.000    VARIES    6.5597              0.181019   0.181051   0.181083   0.181117  0.181152     65.18    65.20
Lehman Bros Hldgs Inc    5252M0EW3 04/10/08 04/10/23    100.000    VARIES    7.4983              0.201339   0.201512   0.201691   0.201877  0.202069     72.54    72.67
Lehman Bros Hldgs Inc    5252M0EX1 04/30/08 04/29/11    100.000     0.000    5.5100              0.175307                                                20.69         
Lehman Bros Hldgs Inc    5252M0EZ6 04/30/08 04/30/13    100.000    VARIES    5.9609              0.183867   0.185622   0.191154   0.193126  0.198882     66.95    69.64
Lehman Bros Hldgs Inc    5252M0FE2 05/22/08 11/23/12    100.000     0.000    5.8959              0.189415   0.194999   0.200748   0.206666               69.63    65.71
Lehman Bros Hldgs Inc    5252M0FN2 05/30/08 05/31/11    100.000     0.000    5.5600              0.175222                                                26.28         
Lehman Bros Hldgs Inc    5252M0FV4 05/29/08 05/29/12    100.000     0.000    6.1184              0.197595   0.203640   0.209870                          72.62    31.06
Lehman Bros Hldgs Inc    5252M0FW2 05/19/08 05/19/23    100.000    VARIES    7.2491              0.199196   0.198713   0.198214   0.197696  0.197159     71.58    71.22
Lehman Bros Hldgs Inc    5252M0FY8 05/30/08 05/30/13    100.000     0.000    6.1200              0.197652   0.203700   0.209933   0.216357  0.222977     72.62    77.14
Lehman Bros Hldgs Inc    5252M0GC5 06/30/08 06/30/11    100.000     0.000    6.0299              0.194320                                                34.78         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lehman Bros Hldgs Inc    5252M0GD3 06/26/08 06/26/23    100.000    VARIES    8.0972              0.214371   0.214622   0.214884   0.215157  0.215440     77.22    77.41
Lehman Bros Hldgs Inc    5252M0GF8 08/14/08 08/15/11    100.000     0.000    7.5200              0.242173   0.251279                                     55.89         
Lehman Bros Hldgs Inc    5252M0GG6 06/27/08 06/27/12    100.000     0.000    6.2000              0.200624   0.206844   0.213256                          73.39    37.53
Lehman Bros Hldgs Inc    5252M0GJ0 08/07/08 08/07/12    100.000     0.000    7.7699              0.251379   0.261145   0.271291   0.281831               95.12    60.50
Lehman Bros Hldgs Inc    5252M0GN1 06/26/08 06/26/23    100.000    VARIES    8.2966              0.217866   0.218163   0.218471   0.218793  0.219128     78.49    78.71
Lehman Bros Hldgs Inc    5252M0GP6 06/24/08 06/24/11    100.000     0.000    6.0900              0.196540                                                34.00         
Lehman Bros Hldgs Inc    5252M0GQ4 07/14/08 07/14/23    100.000    VARIES    8.3470              0.221316   0.221548   0.221790   0.222042  0.222304     79.79    79.98
Lehman Bros Hldgs Inc    5252M0GR2 06/30/08 12/30/11    100.000     0.000    6.1400              0.198394   0.204484                                     72.32         
Lehman Bros Hldgs Inc    5252M0GX9 08/22/08 08/22/11    100.000     0.000    7.5600              0.243598   0.252806                                     57.93         
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000    9.0689              0.484557   0.501490   0.519192   0.537697  0.557040    179.08   191.98
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000    9.0689              0.484557   0.501490   0.519192   0.537697  0.557040    179.08   191.98
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750    9.4298              0.519868   0.539468   0.559992   0.581484  0.603989    196.14   211.45
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750    9.4298              0.519868   0.539468   0.559992   0.581484  0.603989    196.14   211.45
Liberty Media Corp.      530715AM3 01/11/01 01/15/31    100.000     3.500    N/A                 0.418743   0.432854   0.447524   0.462768  0.478599    158.07   169.01
Liberty Media Corp.      530715AN1 01/11/01 01/15/31    100.000     3.500    N/A                 0.418743   0.432854   0.447524   0.462768  0.478599    158.07   169.01
Liberty Media Corp.      530715AP6 03/08/01 03/15/31    100.000     3.250   10.3696              0.608057   0.634903   0.663141   0.692843  0.724085    229.57   250.54
Liberty Media Corp.      530715AQ4 03/08/01 03/15/31    100.000     3.250   10.3696              0.608057   0.634903   0.663141   0.692843  0.724085    229.57   250.54
Liberty Media Corp.      530715AR2 03/08/01 03/15/31    100.000     3.250   10.3696              0.608057   0.634903   0.663141   0.692843  0.724085    229.57   250.54
Liberty Media Corp.      530718AB1 03/26/03 03/30/23     98.500     0.750    5.6006              0.221325   0.226939   0.232711   0.238644  0.244743     81.72    85.94
Liberty Media Corp.      530718AF2 03/26/03 03/30/23     98.500     0.750    N/A                 0.281829   0.290217   0.298965   0.308090  0.317608    104.53   110.97
Linear Technology Corp.  535678AA4 04/24/07 05/01/27    100.000    VARIES    7.0000              0.224892   0.229847   0.234975   0.240282  0.245776     82.46    86.19
Linear Technology Corp.  535678AC0 04/24/07 05/01/27    100.000    VARIES    7.0000              0.224892   0.229847   0.234975   0.240282  0.245776     82.46    86.19
Lithia Motors, Inc.      536797AA1 05/03/04 05/01/14    100.000    VARIES    8.9998              0.379606   0.392241   0.405402   0.419110  0.433387    140.48   150.09
Lithia Motors, Inc.      536797AB9 05/03/04 05/01/14    100.000    VARIES    8.9998              0.379606   0.392241   0.405402   0.419110  0.433387    140.48   150.09
Livingston Counties, IL  538412AQ0 10/27/10 12/01/11    102.139     0.000    1.7298              0.049160   0.049586                                     16.30         
Livingston Counties, IL  538412AR8 10/27/10 12/01/12    103.208    VARIES    2.0372              0.058519   0.059115   0.057407   0.057001               21.14    18.87
Livingston Counties, IL  538412AS6 10/27/10 12/01/13    103.968    VARIES    2.5380              0.073475   0.074408   0.072226   0.071804  0.071375     26.58    25.90
Livingston Counties, IL  538412AT4 10/27/10 12/01/14    105.289    VARIES    2.7890              0.081786   0.082927   0.080377   0.079910  0.079436     29.61    28.82
Livingston Counties, IL  538412AU1 10/27/10 12/01/15    104.254    VARIES    3.2393              0.094098   0.095622   0.092866   0.092526  0.092180     34.11    33.35
Lloyds TSB Bank PLC      5394E8AH2 07/28/11 07/28/16    100.000    VARIES    2.0468                                    0.008245   0.008125  0.008003      1.26     2.91
Lucent Tech Cap Tr I     549462208 03/19/02 03/15/17    100.000     7.750    7.7499              0.215278   0.215278   0.215278   0.215278  0.215278     77.50    77.50
Lucent Tech Cap Tr I     549462307 03/19/02 03/15/17    100.000     7.750    7.7499              0.215278   0.215278   0.215278   0.215278  0.215278     77.50    77.50
MTR Gaming Group, Inc.   553769AG5 08/12/09 07/15/14*    95.248    12.625   13.9919    10.37     0.022105   0.023652   0.025307                           5.73*        
MTR Gaming Group, Inc.   553769AH3 08/12/09 07/15/14*    95.248    12.625   13.9919    10.37     0.022105   0.023652   0.025307                           5.73*        
MTR Gaming Group, Inc.   553769AJ9 08/05/11 08/01/19     97.000    11.500    N/A                                       0.325924   0.326308  0.326723     47.58   117.52
MTR Gaming Group, Inc.   553769AK6 08/05/11 08/01/19     97.000    11.500    N/A                                       0.325924   0.326308  0.326723     47.58   117.52
MTR Gaming Group, Inc.   553769AL4 08/05/11 08/01/19     97.000    11.500    N/A                                       0.325924   0.326308  0.326723     47.58   117.52
Macon CNTYS DIST 537, IL 555545BM3 04/01/10 12/01/11    103.604     0.000    1.5184              0.044144   0.044479                                     14.63         
Macon CNTYS DIST 537, IL 555545BN1 04/01/10 12/01/12    105.299     0.000    1.8728              0.055465   0.055984   0.056508   0.057038               20.09    18.74
Macon CNTYS DIST 537, IL 555545BP6 04/01/10 12/01/13    105.732     0.000    2.4439              0.072951   0.073843   0.074745   0.075658  0.076583     26.48    27.13
Macon CNTYS DIST 537, IL 555545BQ4 04/01/10 12/01/14    105.395     0.000    2.8119              0.083873   0.085052   0.086248   0.087460  0.088690     30.48    31.34
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Macon CNTYS DIST 537, IL 555545BR2 04/01/10 12/01/15    105.886     0.000    3.0211              0.090657   0.092026   0.093416   0.094827  0.096260     32.97    33.97
Macon CNTYS DIST 537, IL 555545BS0 04/01/10 12/01/16    106.138     0.000    3.2973              0.099361   0.101000   0.102665   0.104357  0.106078     36.16    37.37
Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17    103.230     0.000    3.7059              0.108906   0.110924   0.112979   0.115073  0.117205     39.69    41.18
Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18    105.024     0.000    3.5846              0.107088   0.109007   0.110961   0.112949  0.114974     39.01    40.42
Macoupin CNTY SD #1, IL  556003DN8 10/26/10 12/01/11    104.371     0.000    1.4738              0.042791   0.043106                                     14.18         
Macoupin CNTY SD #1, IL  556003DP3 10/26/10 12/01/12    107.851    VARIES    1.9309              0.057956   0.058516   0.055577   0.054611               20.89    18.17
Marion County, OR        56913RAK4 03/28/02 06/01/11     53.951     0.000    6.8387   432.94     0.183684                                                27.55         
Marion County, OR        56913RAL2 03/28/02 06/01/12     49.948     0.000    6.9388   408.48     0.173999   0.180036   0.186282                          64.09    27.94
Marion County, OR        56913RAM0 03/28/02 06/01/13     46.303     0.000    7.0088   383.68     0.163889   0.169632   0.175577   0.181730  0.188099     60.38    64.69
Marion County, OR        56913RAN8 03/28/02 06/01/14     42.967     0.000    7.0588   359.37     0.153811   0.159239   0.164860   0.170678  0.176702     56.68    60.75
Marion County, OR        56913RAP3 03/28/02 06/01/15     39.329     0.000    7.2089   338.18     0.145601   0.150849   0.156286   0.161920  0.167756     53.68    57.62
Marion County, OR        56913RAQ1 03/28/02 06/01/16     36.142     0.000    7.3089   316.48     0.136800   0.141799   0.146981   0.152352  0.157920     50.45    54.21
Marion County, OR        56913RAR9 03/28/02 06/01/17     33.393     0.000    7.3590   295.07     0.127794   0.132496   0.137371   0.142425  0.147666     47.14    50.67
Marion County, OR        56913RAS7 03/28/02 06/01/18     31.307     0.000    7.3092   274.16     0.118506   0.122837   0.127326   0.131979  0.136803     43.71    46.96
Marion County, OR        56913RAT5 03/28/02 06/01/19     28.898     0.000    7.3592   255.36     0.110597   0.114666   0.118886   0.123260  0.127796     40.80    43.85
Marion County, OR        56913RAU2 03/28/02 06/01/20     26.649     0.000    7.4091   237.61     0.103111   0.106931   0.110892   0.115000  0.119260     38.04    40.91
Marquee Holdings, Inc.   57143VAA7 08/18/04 08/15/14*    55.894    VARIES   11.9996              0.333327                                                  .67*        
Marquee Holdings, Inc.   57143VAB5 08/18/04 08/15/14*    55.894    VARIES   11.9996              0.333327                                                  .67*        
Marquee Holdings, Inc.   57143VAC3 08/18/04 08/15/14*    55.894    VARIES   11.9996              0.333327                                                  .67*        
Masco Corporation        574599AW6 07/20/01 07/20/31     39.445    VARIES    8.1251              0.179141   0.185672   0.192468   0.199540  0.206899     67.81    72.88
Masco Corporation        574599BB1 07/20/01 07/20/31     39.445    VARIES    8.1251              0.179141   0.185672   0.192468   0.199540  0.206899     67.81    72.88
Mason CNTYS SD #191, IL  574816BW3 07/02/10 12/01/18    106.295    VARIES    4.3308              0.130166   0.132985   0.126917   0.126508  0.126089     47.27    45.59
Mason CNTYS SD #191, IL  574816BX1 07/02/10 12/01/19    105.637    VARIES    4.7793              0.143016   0.146434   0.139495   0.139144  0.138785     52.00    50.13
Media General Inc.       584404AB3 02/12/10 02/15/17     97.690    11.750   12.2505     1.98     0.006419   0.006812   0.007229   0.007672  0.008142      2.49     2.81
Media General Inc.       584404AC1 02/12/10 02/15/17     97.690    11.750   12.2505     1.98     0.006419   0.006812   0.007229   0.007672  0.008142      2.49     2.81
Medicis Pharma Corp.     584690AB7 08/14/03 06/04/33     93.000    VARIES    9.1499              0.414779   0.431214   0.448400   0.466373  0.485168    153.19   165.65
Medtronic, Inc.          585055AA4 09/11/01 09/15/21*   100.000    VARIES    6.7187              0.293876   0.301426                                     76.00*        
Medtronic, Inc.          585055AB2 09/11/01 09/15/21*   100.000    VARIES    6.7187              0.293876   0.301426                                     76.00*        
Medtronic, Inc.          585055AD8 09/11/01 09/15/21*   100.000    VARIES    6.7187              0.293876   0.301426                                     76.00*        
Merisant Worldwide, Inc. 58985CAA8 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340270   0.340270   0.340269   0.340268  0.340268    122.50   122.50
Merrill Lynch & Co.,Inc. 590188W46 03/13/02 03/13/32    100.000    VARIES    5.7132              0.256168   0.263486   0.271013   0.278754  0.286717     95.14   100.65
Merrill Lynch & Co.,Inc. 590188W79 12/30/04 01/02/14    100.000     0.000    4.6291              0.165435   0.169264   0.173182   0.177191  0.181292     61.63    64.52
Merrill Lynch & Co.,Inc. 59018FCR1 04/04/07 04/04/37    100.000    VARIES    5.7580              0.153830   0.153880   0.153932   0.153985  0.154040     55.40    55.43
Merrill Lynch & Co.,Inc. 59018YC66 05/02/07 05/02/17    100.000    VARIES    5.5833              0.149131   0.149518   0.149915   0.150324  0.150744     53.80    54.09
Merrill Lynch & Co.,Inc. 59018YD65 05/18/07 05/18/17    100.000    VARIES    5.6522              0.152960   0.153222   0.153491   0.153768  0.154053     55.14    55.33
Merrill Lynch & Co.,Inc. 59018YE49 06/06/07 06/06/17    100.000    VARIES    5.9091              0.159432   0.159735   0.160046   0.160367  0.160697     57.47    57.69
Merrill Lynch Bank USA   59020WA43 01/31/07 01/31/11    100.000     0.000    5.1147              0.169547                                                 4.92         
Merrill Lynch Bank USA   59020WA68 01/31/07 01/31/12    100.000     0.000    5.1060              0.169207   0.173527   0.177957                          63.01     5.16
Merrill Lynch Bank USA   59020WA76 01/31/07 02/21/12    100.000     0.000    5.0982              0.169408   0.173727   0.178155                          62.90     8.91
Merrill Lynch Bank USA   59020WA92 02/28/07 02/28/11    100.000     0.000    4.8250              0.157495                                                 9.13         
Merrill Lynch Bank USA   59020WB42 03/15/07 03/15/13    100.000     0.000    4.8033              0.157541   0.161324   0.165199   0.169166  0.173229     58.21    61.04
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Merrill Lynch Bank USA   59020WC66 03/30/07 03/31/11    100.000     0.000    4.8134              0.157925                                                14.06         
Merrill Lynch Bank USA   59020WC74 03/30/07 03/30/12    100.000     0.000    4.8040              0.157566   0.161351   0.165226                          58.10    14.71
Merrill Lynch Bank USA   59020WC82 03/30/07 03/31/11    100.000     0.000    4.8134              0.157925                                                14.06         
Merrill Lynch Bank USA   59020WC90 04/30/07 04/30/12    100.000     0.000    4.7640              0.156043   0.159760   0.163566                          57.30    19.46
Merrill Lynch Bank USA   59020WD24 04/30/07 04/30/12    100.000     0.000    4.8440              0.159096   0.162950   0.166896                          58.44    19.86
Merrill Lynch Bank USA   59020WD32 04/30/07 04/29/11    100.000     0.000    4.8567              0.159563                                                18.83         
Merrill Lynch Bank USA   59020WD57 04/30/07 01/28/11    100.000     0.000    4.8369              0.156908                                                 4.24         
Merrill Lynch Bank USA   59020WE64 06/29/07 06/30/11    100.000     0.000    5.1569              0.170271                                                30.65         
Merrill Lynch Bank USA   59020WE98 06/29/07 06/30/11    100.000     0.000    5.1569              0.170271                                                30.65         
Merrill Lynch Bank USA   59020WF55 07/31/07 07/29/11    100.000     0.000    4.9035              0.154053   0.160446                                     33.35         
Merrill Lynch Bank USA   59020WF63 07/31/07 07/29/11    100.000     0.000    4.9035              0.154053   0.160446                                     33.35         
Merrill Lynch Bank USA   59020WG47 09/28/07 09/28/11    100.000     0.000    4.7367              0.150578   0.151631                                     40.85         
Merrill Lynch Bank USA   59020WWA5 09/30/05 03/30/11    100.000     0.000    4.3666              0.150539                                                13.40         
Merrill Lynch Bank USA   59020WWC1 09/30/05 03/31/14    100.000     0.000    4.4692              0.154852   0.158312   0.161850   0.165467  0.169164     57.01    59.58
Merrill Lynch Bank USA   59020WWD9 10/28/05 04/28/11    100.000     0.000    4.6987              0.164637                                                19.26         
Merrill Lynch Bank USA   59020WWG2 11/27/05 05/27/11    100.000     0.000    4.7139              0.165296                                                24.13         
Merrill Lynch Bank USA   59020WWH0 11/28/05 05/27/11    100.000     0.000    4.7163              0.165377                                                24.15         
Merrill Lynch Bank USA   59020WWP2 12/30/05 06/30/11    100.000     0.000    4.5788              0.159501                                                28.55         
Merrill Lynch Bank USA   59020WWV9 02/28/06 02/28/11    100.000     0.000    4.8559              0.166470                                                 9.66         
Merrill Lynch Bank USA   59020WXK2 04/28/06 04/30/12    100.000     0.000    5.2512              0.184242   0.189079   0.194044                          67.80    23.09
Merrill Lynch Bank USA   59020WXM8 05/31/06 05/31/12    100.000     0.000    5.2311              0.183322   0.188117   0.193037                          67.16    28.76
Merrill Lynch Bank USA   59020WYD7 07/28/06 07/28/11    100.000     0.000    5.2152              0.177996   0.182638                                     37.68         
Merrill Lynch Bank USA   59020WYG0 08/31/06 08/31/11    100.000     0.000    5.1359              0.173783   0.175340                                     42.34         
Merrill Lynch Bank USA   59020WYV7 10/31/06 10/31/12    100.000     0.000    4.8867              0.164660   0.168683   0.172805   0.177027               60.50    52.43
Merrill Lynch Bank USA   59020WYW5 10/31/06 10/31/12    100.000     0.000    4.8867              0.164660   0.168683   0.172805   0.177027               60.50    52.43
Merrill Lynch Bank USA   59020WZD6 11/10/06 11/10/11    100.000     0.000    4.8559              0.163427   0.167395                                     51.21         
Merrill Lynch Bank USA   59020WZE4 10/30/06 04/30/12    100.000     0.000    4.9187              0.165947   0.170028   0.174210                          60.98    20.73
Merrill Lynch & Co.,Inc. 59021S265 09/29/05 11/19/12    100.000     0.000    4.3795              0.151995   0.155323   0.158725   0.162200               55.60    51.10
Merrill Lynch & Co.,Inc. 59021S489 05/10/05 05/10/12    100.000     4.200    4.1999              0.116667   0.116667   0.116667                          42.00    15.05
Merrill Lynch & Co.,Inc. 59021V623 02/06/06 02/07/11    100.000     0.000    4.7259              0.162005                                                 5.83         
Merrill Lynch & Co.,Inc. 59021V748 01/04/06 01/04/11    100.000     4.510    4.5099              0.125278                                                  .38         
Merrill Lynch & Co.,Inc. 59021W183 11/01/04 04/30/12    100.000     0.000    3.9886              0.140407   0.143207   0.146063                          51.40    17.38
Merrill Lynch & Co.,Inc. 59021W217 08/31/04 08/31/11    100.000     0.000    3.9615              0.138476   0.138916                                     33.59         
Merrill Lynch & Co.,Inc. 59021W464 05/14/04 02/14/12    100.000     0.000    3.1804              0.107609   0.109320   0.111058                          39.52     4.78
Merrill Lynch & Co.,Inc. 59021W555 07/30/04 07/29/11    100.000     0.000    4.1841              0.148991   0.152108                                     31.55         
Merrill Lynch & Co.,Inc. 59021W571 03/01/04 03/28/11    100.000     0.000    3.5813              0.125634                                                10.93         
Merrill Lynch & Co.,Inc. 59021W712 12/08/03 03/08/11    100.000     0.000    3.8789              0.139655                                                 9.36         
Merrill Lynch & Co.,Inc. 59021W795 01/30/04 01/31/11    100.000     0.000    3.6710              0.129174                                                 3.75         
Merrill Lynch & Co.,Inc. 59021WAA8 07/15/04 07/15/11    100.000     0.000    4.1324              0.146719   0.149750                                     29.01         
Merrill Lynch & Co.,Inc. 59022C301 10/04/06 10/04/11    100.000     5.310    5.3099              0.147500   0.147500                                     40.27         
Merrill Lynch & Co.,Inc. 59022C640 12/22/06 12/22/11    100.000     5.190    5.1899              0.144167   0.144167                                     50.60         
Merrill Lynch & Co.,Inc. 59022W380 09/07/07 08/08/11    100.000     0.000    5.0756              0.163213   0.167355                                     36.16         
Merrill Lynch & Co.,Inc. 59022W505 05/09/07 05/09/12    100.000     0.000    5.1563              0.171168   0.175581   0.180108                          62.88    23.05
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Merrill Lynch & Co.,Inc. 59022W570 08/09/07 07/08/11    100.000     0.000    5.5011              0.179000   0.183924                                     34.36         
Merrill Lynch & Co.,Inc. 59022W620 07/05/07 01/05/11    100.000     0.000    5.4003              0.176013                                                  .70         
Mexican States           593048BN0 03/30/01 12/30/19     89.000     8.125    9.3823    34.72     0.015303   0.016020   0.016772   0.017559  0.018383      5.64     6.18
Miami Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760    8.7675     7.49     0.021167   0.022095   0.023063   0.024075  0.025130      7.82     8.52
Michaels Stores, Inc.    594087AN8 10/31/06 11/01/16     50.110    VARIES    N/A                 0.330419   0.353343   0.377857   0.219934  0.219933    125.92    98.13
Michaels Stores, Inc.    594087AP3 10/31/06 11/01/16     50.110    VARIES    N/A                 0.330419   0.353343   0.377857   0.219934  0.219933    125.92    98.13
Microchip Technology Inc 595017AA2 12/07/07 12/15/37    100.000    VARIES    9.1009              0.309174   0.318834   0.330701   0.343107  0.358034    114.98   123.77
Microchip Technology Inc 595017AB0 12/07/07 12/15/37    100.000    VARIES    9.1009              0.309174   0.318834   0.330701   0.343107  0.358034    114.98   123.77
Milagro Oil & Gas        59870WAA0 05/11/11 05/15/16     97.182    10.500   11.2509              0.012050   0.012067   0.012746   0.013463  0.014221      2.81     4.79
Milagro Oil & Gas, Inc.  59870WAB8 05/11/11 05/15/16     97.182    10.500   11.2509              0.012050   0.012067   0.012746   0.013463  0.014221      2.81     4.79
Mississippi Home Corp.   60535MCB3 07/21/93 09/15/16     19.775     0.000    7.1244   473.06     0.130027   0.134659   0.139456   0.144424  0.149568     48.64    52.17
Morgan Stanley           6174462G3 12/28/07 12/20/11    100.000     0.000    4.6540              0.148262   0.151712                                     52.36         
Morgan Stanley           6174462H1 01/31/08 02/07/12    100.000     3.878    3.8779              0.107722   0.107722   0.107722                          38.78     3.88
Morgan Stanley           6174462M0 01/31/08 03/31/11    100.000     0.000    3.9039              0.120224                                                10.70         
Morgan Stanley           6174463E7 02/29/08 02/29/12    100.000     0.000    4.0950              0.125188   0.125669   0.129651                          46.33     7.65
Morgan Stanley           6174463V9 03/31/08 04/06/12    100.000     3.806    3.8059              0.105722   0.105722   0.105722                          38.06    10.04
Morgan Stanley           6174463X5 03/31/08 09/28/12    100.000     0.000    3.9245              0.120115   0.122472   0.124875   0.127326               44.11    33.78
Morgan Stanley           6174464D8 03/28/08 09/30/13    100.000     0.000    4.2223              0.128815   0.130815   0.133577   0.136397  0.140042     47.83    50.01
Morgan Stanley           6174464N6 03/24/08 02/24/14    100.000     0.000    4.6797              0.145375   0.148776   0.152258   0.155820  0.159466     53.82    56.37
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935    4.6422              0.108249   0.108869   0.109504   0.110153  0.110818     39.21    39.67
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350     2.624    4.6439              0.104499   0.105233   0.105984   0.106752  0.107538     37.90    38.45
Morgan Stanley           6174464T3 03/28/08 12/07/12    100.000     0.000    3.5735              0.109198   0.111149   0.113135   0.115157               39.76    38.38
Morgan Stanley           6174464W6 03/31/08 04/26/13    100.000     0.000    4.0406              0.124407   0.126920   0.129484   0.132100  0.134769     45.57    47.43
Morgan Stanley           6174464Z9 04/30/08 04/29/11    100.000     0.000    5.2346              0.165435                                                19.52         
Morgan Stanley           6174465F2 04/30/08 07/05/13    100.000     0.000    3.8715              0.116927   0.119191   0.121498   0.123850  0.126247     43.31    45.00
Morgan Stanley           6174465J4 04/25/08 10/25/13    100.000     0.000    5.0328              0.158299   0.162283   0.166366   0.170553  0.174845     58.24    61.20
Morgan Stanley           6174465N5 04/14/08 10/04/13    100.000     0.000    4.2160              0.129840   0.132577   0.135372   0.138226  0.141139     47.72    49.75
Morgan Stanley           6174465Q8 04/11/08 04/11/11    100.000     0.000    4.5349              0.140914                                                14.09         
Morgan Stanley           6174465T2 05/30/08 11/30/11    100.000     5.437    5.4369              0.151028   0.151028                                     49.69         
Morgan Stanley           6174465Y1 05/30/08 05/31/11    100.000     0.000    5.3781              0.170589                                                25.42         
Morgan Stanley           6174466M6 05/23/08 05/23/11    100.000     0.000    4.8832              0.153034                                                21.73         
Morgan Stanley           6174466S3 06/30/08 06/30/14    100.000     0.000    6.0285              0.194268   0.200124   0.206156   0.212370  0.218772     71.00    75.35
Morgan Stanley           6174466U8 06/30/08 03/30/11    100.000     0.000    5.3825              0.168511                                                15.00         
Morgan Stanley           6174467G8 07/31/08 01/31/11    100.000     0.000    5.6636              0.175916                                                 5.10         
Morgan Stanley           6174467K9 07/31/08 01/31/11    100.000     0.000    5.6636              0.175916                                                 5.10         
Morgan Stanley           6174467L7 07/31/08 11/29/11     87.000     0.000    4.2238    92.66     0.112526   0.114903                                     37.34         
Morgan Stanley           617446H28 04/27/07 04/27/37    100.000    VARIES    5.5782              0.140667   0.138392   0.136054   0.133651  0.133845     49.94    48.41
Morgan Stanley           617446H69 05/30/07 06/26/17    100.000     0.000    5.8001              0.197633   0.203365   0.209262   0.215331  0.221576     72.24    76.49
Morgan Stanley           617446J26 06/29/07 03/30/11    100.000     0.000    5.5052              0.182488                                                16.24         
Morgan Stanley           617446J75 08/13/07 02/27/13    117.470     0.000    5.6319              0.217568   0.223694   0.229994   0.236470  0.243129     80.97    85.59
Morgan Stanley           617446K40 06/26/08 06/24/15    100.000     1.100    6.5992              0.210168   0.216095   0.222217   0.228541  0.235073     76.81    81.23
Morgan Stanley           617446MG1 01/21/04 07/30/11    100.000     0.300    4.1284              0.147179   0.150045                                     31.28         
Morgan Stanley           617446MJ5 02/17/04 07/30/11    102.625     0.300    4.1929              0.153670   0.156717                                     32.67         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617446MK2 03/29/04 06/30/11    100.000     1.500    3.7482              0.121923                                                21.82         
Morgan Stanley           617446N47 08/31/07 02/28/11    100.000     0.000    5.1183              0.164537                                                 9.54         
Morgan Stanley           617446N54 07/26/07 07/26/11    100.000     0.000    5.4412              0.177560   0.182390                                     37.27         
Morgan Stanley           617446Q85 11/30/07 12/05/11    100.000     4.389    4.3889              0.121917   0.121917                                     40.72         
Morgan Stanley           617446R76 09/28/07 06/30/11    100.000     0.000    5.0267              0.164161                                                29.38         
Morgan Stanley           617446SX8 12/06/04 12/30/11    100.000     0.500    4.4990              0.159397   0.162671                                     57.81         
Morgan Stanley           617446X95 11/28/07 01/07/11    100.000     0.000    4.4074              0.137180                                                  .82         
Morgan Stanley           617446YM5 08/30/05 09/01/14    100.000     0.000    4.8471              0.171097   0.175243   0.179491   0.183841  0.188296     63.35    66.46
Morgan Stanley           617446Z28 12/31/07 10/07/11    100.000     0.000    4.8047              0.152233   0.155891                                     42.67         
Morgan Stanley           617446Z77 02/07/08 06/06/14    100.000     0.000    4.6169              0.145944   0.149313   0.152760   0.156286  0.159894     53.32    55.81
Morgan Stanley           61745E2A8 04/30/09 04/30/24*   100.000    VARIES    4.6881              0.115607                                                13.76*        
Morgan Stanley           61745E2D2 01/24/11 01/24/20    100.000    VARIES    5.2661                         0.146283   0.145746   0.145195  0.145819     49.21    52.38
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES    5.5160                                    0.153224   0.152853  0.152472     26.05    54.97
Morgan Stanley           61745E2G5 05/13/09 05/13/24*   100.000    VARIES    4.6721              0.115181   0.110085                                     25.11*        
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES    5.7295                         0.159153   0.155755   0.152259  0.148663     53.57    54.31
Morgan Stanley           61745E2L4 07/07/11 07/07/20    100.000    VARIES    2.2423                                    0.013785   0.012665  0.011533      2.40     4.37
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES    6.5857                                    0.182937   0.179814  0.176588      5.67    65.10
Morgan Stanley           61745E2Q3 07/30/10 07/30/25    100.000    VARIES    5.4814              0.152262   0.151105   0.149918   0.148697  0.147444     54.25    53.38
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES    5.5541                                    0.154282   0.152395  0.150456     25.92    54.56
Morgan Stanley           61745E2U4 06/30/09 07/01/24*   100.000    VARIES    3.8188              0.094412                                                16.99*        
Morgan Stanley           61745E2V2 02/26/10 02/26/30    100.000    VARIES    6.1599              0.167824   0.164437   0.160946   0.157348  0.156173     58.95    56.70
Morgan Stanley           61745E2W0 08/12/10 08/12/30    100.000    VARIES    5.7343              0.159288   0.155095   0.150781   0.145319  0.139701     55.41    51.76
Morgan Stanley           61745E2Y6 07/15/11 07/15/17    100.000    VARIES    4.3803                                    0.121677   0.121300  0.120915     20.20    43.61
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES    6.7333                                    0.187038   0.183983  0.180825      5.80    66.59
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES    6.0718                         0.168663   0.165350   0.161937  0.158420     53.01    57.96
Morgan Stanley           61745E3H2 02/26/10 02/26/25*   100.000    VARIES    5.9431              0.161740   0.158292                                     37.39*        
Morgan Stanley           61745E3J8 07/28/10 07/28/17    100.000    VARIES    2.9665              0.020598   0.018942   0.017262   0.017518  0.017778      6.06     6.34
Morgan Stanley           61745E3R0 02/11/11 02/11/20    100.000    VARIES    5.7500                         0.159724   0.160323   0.160940  0.161574     51.20    58.00
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES    5.6230                                    0.156197   0.153950  0.151640     23.74    55.13
Morgan Stanley           61745E3V1 03/16/10 03/16/25*   100.000    VARIES    5.8130              0.158092   0.154614                                     25.77*        
Morgan Stanley           61745E3W9 08/17/10 08/17/20    100.000    VARIES    2.7071              0.023748   0.022622   0.021480   0.020324  0.019151      8.04     7.21
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES    5.4529                                    0.151471   0.146512  0.141419     23.02    52.11
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES    5.4932                                    0.152591   0.149153  0.145620     23.19    53.25
Morgan Stanley           61745E4K4 02/18/11 02/18/20    100.000    VARIES    2.8598                         0.017983   0.017190   0.016385  0.015569      5.52     5.83
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES    5.5117                                    0.153103   0.148519  0.143809     23.27    52.88
Morgan Stanley           61745E4P3 03/15/10 03/15/25    100.000    VARIES    5.6291              0.152949   0.149436   0.147723   0.145961  0.144150     53.88    52.48
Morgan Stanley           61745E4Q1 08/24/10 08/24/30    100.000    VARIES    5.2836              0.146769   0.145510   0.144217   0.142890  0.141528     52.29    51.34
Morgan Stanley           61745E4U2 08/26/09 08/26/16    100.000    VARIES    5.1504              0.145459   0.146701   0.147975   0.148628  0.149297     52.90    53.55
Morgan Stanley           61745E4V0 03/18/10 03/18/25    100.000    VARIES    5.8931              0.160336   0.156876   0.153314   0.149646  0.148448     56.37    54.03
Morgan Stanley           61745E4W8 08/25/10 08/25/25    100.000    VARIES    5.0043              0.139009   0.135537   0.131977   0.128329  0.124590     48.53    45.92
Morgan Stanley           61745E5C1 08/27/10 08/27/15    100.000    VARIES    1.8388              0.007415   0.007154   0.006891   0.006955  0.007019      2.56     2.51
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745E5H0 03/30/10 03/30/30    100.000    VARIES    5.9049              0.159028   0.153881   0.151773   0.149603  0.147369     55.66    53.85
Morgan Stanley           61745E5P2 03/30/10 03/30/30    100.000    VARIES    5.9384              0.160782   0.156483   0.152057   0.147499  0.146620     56.31    53.43
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES    5.2217                         0.145048   0.145209   0.145374  0.145509     41.50    52.34
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES    5.6565                                    0.157125   0.152142  0.147017     20.27    54.36
Morgan Stanley           61745E5U1 09/30/09 09/30/29    100.000    VARIES    5.7074              0.151636   0.148037   0.144334   0.140526  0.136609     53.28    50.57
Morgan Stanley           61745E5W7 08/31/10 08/31/20    100.000    VARIES    2.8095              0.014197   0.012426   0.010984   0.011017  0.011357      4.86     4.07
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES    5.8739                         0.163164   0.162653   0.162128  0.161586     45.47    58.35
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES    5.5646                         0.154575   0.154238   0.153892  0.153542     42.94    55.40
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES    4.5799                                    0.127220   0.126949  0.126673     16.16    45.68
Morgan Stanley           61745E6J5 08/31/10 08/31/30    100.000    VARIES    5.4234              0.149818   0.143266   0.140573   0.137591  0.138354     52.34    50.63
Morgan Stanley           61745E6P1 04/22/10 04/20/30    100.000    VARIES    6.0247              0.162409   0.157260   0.151956   0.146492  0.140864     56.80    52.93
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES    5.9463                         0.165176   0.161002   0.156704  0.152279     45.19    56.35
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES    5.5533              0.153143   0.151996   0.152006   0.152016  0.152026     54.84    54.73
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES    5.0167                                    0.139354   0.139187  0.139017     19.37    50.09
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES    5.5215                                    0.151691   0.147808  0.147923     18.66    54.34
Morgan Stanley           61745E7G0 10/30/09 10/30/29    100.000    VARIES    5.8639              0.155224   0.151224   0.147106   0.147012  0.146915     54.67    52.93
Morgan Stanley           61745E7H8 04/23/10 04/23/25    100.000    VARIES    5.7579              0.156552   0.153062   0.149471   0.145777  0.143959     55.25    52.77
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES    5.3224              0.147844   0.147849   0.148457   0.149081  0.149722     40.12    53.67
Morgan Stanley           61745ED32 06/20/08 06/20/28*   100.000    VARIES    5.0572              0.124067                                                20.97*        
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES    5.9065                         0.164071   0.163584   0.163083  0.162567     43.11    58.72
Morgan Stanley           61745ED99 10/30/09 10/30/29    100.000    VARIES    5.8166              0.153077   0.148643   0.144079   0.143140  0.142174     53.76    51.58
Morgan Stanley           61745EE23 04/29/10 04/29/30    100.000    VARIES    6.0035              0.161766   0.156616   0.151311   0.145847  0.145417     56.66    53.12
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES    5.7612                         0.160036   0.156644   0.153154  0.152674     40.71    55.46
Morgan Stanley           61745EE64 06/27/08 06/27/18*   100.000    VARIES    6.1703              0.175633                                                31.09*        
Morgan Stanley           61745EE80 05/05/10 05/05/25    100.000    VARIES    5.6438              0.152576   0.148259   0.147379   0.146474  0.145543     53.86    52.79
Morgan Stanley           61745EE98 09/22/10 09/22/19    100.000    VARIES    2.8227              0.021760   0.021218   0.020668   0.020111  0.019546      7.63     7.23
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES    5.8397                         0.162215   0.162896   0.163597  0.164319     41.58    58.88
Morgan Stanley           61745EF30 08/30/11 08/30/15    100.000    VARIES    3.2415                                    0.011364   0.010846  0.010376      1.41     3.94
Morgan Stanley           61745EF48 07/07/08 07/07/23*   100.000    VARIES    6.0756              0.151373   0.146690                                     27.31*        
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES    6.0398              0.166130   0.164436   0.164464   0.164494  0.164524     59.43    59.22
Morgan Stanley           61745EF71 09/22/10 09/22/25    100.000    VARIES    5.6905              0.158071   0.154665   0.151162   0.149175  0.147132     55.61    53.66
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES    2.2565                         0.007825   0.007509   0.007189  0.006866      1.98     2.59
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES    5.6734                                    0.155865   0.150836  0.149849     19.17    55.38
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES    5.6779                         0.155135   0.154497   0.153841  0.154009     38.90    56.39
Morgan Stanley           61745EG70 08/31/11 08/31/15    100.000    VARIES    3.2288                                    0.011079   0.010461  0.010119      1.36     3.82
Morgan Stanley           61745EG88 07/28/08 07/28/23*   100.000    VARIES    5.9673              0.156979   0.154618                                     32.07*        
Morgan Stanley           61745EH20 05/12/10 05/12/25    100.000    VARIES    5.8071              0.156314   0.151175   0.150932   0.150683  0.150427     55.08    54.27
Morgan Stanley           61745EH38 09/30/10 09/30/25    100.000    VARIES    5.2659              0.146276   0.145739   0.145188   0.144623  0.144042     52.46    52.06
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES    5.7524                         0.157171   0.153047   0.148805  0.145616     39.02    54.74
Morgan Stanley           61745EH87 05/20/10 05/20/30    100.000    VARIES    5.8155              0.157355   0.153045   0.148611   0.144047  0.139351     55.51    52.30
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES    5.7371                         0.159366   0.157562   0.155708  0.153800     38.45    56.16
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EJ36 09/16/11 09/16/15    100.000    VARIES    3.0131                                    0.018385   0.017602  0.016807      1.93     6.31
Morgan Stanley           61745EJ44 08/04/08 08/04/23*   100.000    VARIES    5.9469              0.147738   0.143045                                     30.62*        
Morgan Stanley           61745EJ77 09/30/10 09/30/17    100.000    VARIES    2.7147              0.015965   0.014781   0.013580   0.013765  0.013952      5.32     4.96
Morgan Stanley           61745EJ85 04/28/11 04/28/17    100.000    VARIES    1.7167                         0.012325   0.011822   0.011315  0.011412      2.96     4.13
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES    5.8527                                    0.162576   0.159205  0.155735     18.21    57.15
Morgan Stanley           61745EL33 09/30/10 09/30/19    100.000    VARIES    2.8240              0.031503   0.030128   0.028735   0.027321  0.025888     10.84     9.83
Morgan Stanley           61745EL41 04/29/11 04/29/18    100.000    VARIES    1.6125                         0.010821   0.010326   0.009827  0.009906      2.58     3.60
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES    5.8547                                    0.162631   0.159260  0.155791     17.08    57.22
Morgan Stanley           61745EL82 05/27/10 05/27/30*   100.000    VARIES    6.1976              0.166731   0.161138                                     38.85*        
Morgan Stanley           61745EL90 10/15/10 10/15/19    100.000    VARIES    2.5025              0.019819   0.019042   0.018256   0.017459  0.016653      6.88     6.31
Morgan Stanley           61745EM24 04/29/11 04/29/16    100.000    VARIES    1.5929                         0.008886   0.008614   0.008340  0.008406      2.13     3.03
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES    5.5347                                    0.153744   0.150312  0.146784     15.22    54.04
Morgan Stanley           61745EM40 08/29/08 08/29/18*   100.000    VARIES    5.7096              0.162637   0.165931                                     39.63*        
Morgan Stanley           61745EM57 12/22/09 12/22/24*   100.000    VARIES    5.6398              0.149735                                                25.60*        
Morgan Stanley           61745EM73 10/29/10 10/29/30    100.000    VARIES    5.2869              0.146860   0.145602   0.144311   0.142986  0.141626     52.49    51.55
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES    5.1511                         0.143087   0.143195   0.143306  0.143420     32.06    51.58
Morgan Stanley           61745EM99 09/30/11 09/30/17    100.000    VARIES    3.3263                                    0.012558   0.011611  0.010648      1.14     4.18
Morgan Stanley           61745EN23 08/29/08 08/29/23*   100.000    VARIES    5.7316              0.149186   0.148006                                     35.59*        
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES    5.5223                         0.150065   0.150404   0.147437  0.148489     34.08    54.42
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES    6.1251                                    0.170144   0.166848  0.163450     15.48    60.05
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES    1.9922                         0.014764   0.014008   0.013245  0.012474      3.34     4.83
Morgan Stanley           61745EP70 01/15/10 01/15/25    100.000    VARIES    5.4037              0.148119   0.146079   0.143984   0.141833  0.139623     52.27    50.72
Morgan Stanley           61745EP88 06/16/10 06/16/13    100.000    VARIES    2.1929              0.017782   0.017392   0.017583   0.017776  0.017971      6.33     6.37
Morgan Stanley           61745EP96 10/15/10 10/15/15    100.000    VARIES    1.8991              0.016945   0.016715   0.016483   0.016248  0.016011      6.02     5.86
Morgan Stanley           61745EQ38 09/30/11 09/30/15    100.000    VARIES    3.1371                                    0.021191   0.020879  0.020561      1.93     7.52
Morgan Stanley           61745EQ79 10/29/10 10/29/30    100.000    VARIES    5.1584              0.143290   0.139821   0.136263   0.132613  0.128869     50.52    47.94
Morgan Stanley           61745ER45 06/23/10 06/23/30    100.000    VARIES    6.3849              0.174153   0.170845   0.167431   0.163909  0.160446     62.05    59.59
Morgan Stanley           61745ER52 10/15/10 10/15/19    100.000    VARIES    2.6938              0.025132   0.024080   0.023014   0.021934  0.020839      8.70     7.93
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES    5.6682                         0.157450   0.155221   0.152928  0.150571     33.15    55.32
Morgan Stanley           61745ER94 01/25/10 01/25/25*   100.000    VARIES    5.1353              0.139178   0.135619                                     27.75*        
Morgan Stanley           61745ES28 06/24/10 06/24/20    100.000    VARIES    5.8922              0.163586   0.165188   0.166838   0.168073  0.169345     59.20    60.30
Morgan Stanley           61745ES51 10/27/11 10/27/14    100.000    VARIES    3.3202                                    0.008896   0.008615  0.008329       .57     3.12
Morgan Stanley           61745ES93 10/27/10 10/27/17    100.000    VARIES    2.4455              0.018263   0.017750   0.017231   0.016705  0.016173      6.42     6.04
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES    5.5394                         0.153872   0.151979   0.150034  0.150059     32.41    54.30
Morgan Stanley           61745ET43 12/03/08 12/03/23*   100.000    VARIES    6.0934              0.155421   0.155359                                     37.61*        
Morgan Stanley           61745ET68 06/22/10 06/22/15    100.000    VARIES    2.6966              0.009453   0.008944   0.009064   0.009187  0.009311      3.31     3.29
Morgan Stanley           61745ETG6 06/30/08 06/30/28*   100.000    VARIES    5.7070              0.145762                                                26.09*        
Morgan Stanley           61745ETH4 05/19/08 05/19/28*   100.000    VARIES    5.3131              0.133241   0.130139                                     30.10*        
Morgan Stanley           61745ETQ4 02/28/06 03/01/11    100.000    VARIES    5.0618              0.139619                                                 8.24         
Morgan Stanley           61745EU33 02/03/10 02/03/35    100.000    VARIES    5.3927              0.146348   0.142804   0.139735   0.136583  0.133346     51.07    48.79
Morgan Stanley           61745EU58 11/16/10 11/16/15    100.000    VARIES    1.5999              0.008765   0.008496   0.008224   0.008290  0.008356      3.08     2.98
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES    5.3578                         0.148830   0.148352   0.147862  0.148174     29.90    53.31
Morgan Stanley           61745EU90 03/17/10 03/17/30    100.000    VARIES    6.1264              0.165182   0.160031   0.154722   0.149251  0.143612     57.45    53.56
Morgan Stanley           61745EUH2 02/23/07 02/23/37    100.000    VARIES    5.5058              0.138435   0.136128   0.133758   0.131323  0.131418     48.82    47.42
Morgan Stanley           61745EUK5 05/19/08 05/19/23*   100.000    VARIES    5.2763              0.134114                                                18.51*        
Morgan Stanley           61745EUV1 02/22/08 02/22/23*   100.000    VARIES    4.3863              0.111932   0.109818                                     15.59*        
Morgan Stanley           61745EUX7 03/03/08 03/03/28*   100.000    VARIES    4.3854              0.114997                                                 7.13*        
Morgan Stanley           61745EUY5 02/29/08 02/29/28*   100.000    VARIES    4.3844              0.103351                                                 5.99*        
Morgan Stanley           61745EV32 11/23/10 05/23/16    100.000    VARIES    1.4641              0.010548   0.010214   0.009878   0.009950  0.010023      3.71     3.57
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES    2.3141                         0.015802   0.015149   0.014487  0.013821      3.10     5.31
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES    5.9021              0.142175   0.134484   0.136201   0.137968  0.139787     48.84    49.93
Morgan Stanley           61745EVD0 03/14/08 03/14/28*   100.000    VARIES    4.2040              0.104471                                                 7.63*        
Morgan Stanley           61745EVE8 04/07/08 04/07/23*   100.000    VARIES    4.3273              0.102404                                                 9.83*        
Morgan Stanley           61745EVH1 03/31/08 03/30/23*   100.000    VARIES    4.2080              0.103251                                                 9.09*        
Morgan Stanley           61745EVL2 04/25/08 04/25/28*   100.000    VARIES    4.8906              0.115847                                                13.21*        
Morgan Stanley           61745EVM0 04/25/08 04/25/23*   100.000    VARIES    5.3229              0.135963   0.133389                                     27.50*        
Morgan Stanley           61745EVP3 04/25/08 04/25/28*   100.000    VARIES    5.5441              0.133836                                                15.26*        
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES    5.4880                         0.152445   0.149006   0.145472  0.141842     28.63    52.95
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES    6.4618                                    0.179494   0.179011  0.178513     11.49    64.47
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES    6.4553              0.166692   0.162210   0.157583   0.152807  0.154499     57.83    55.40
Morgan Stanley           61745EW72 11/23/10 11/23/19    100.000    VARIES    2.3593              0.019583   0.018855   0.018118   0.017372  0.016618      6.86     6.33
Morgan Stanley           61745EW98 11/17/11 11/17/17    100.000    VARIES    3.9291                                    0.012492   0.011399  0.010284       .55     4.20
Morgan Stanley           61745EX22 03/31/09 03/31/24*   100.000    VARIES    5.5881              0.139877                                                12.45*        
Morgan Stanley           61745EX30 02/16/10 02/16/30    100.000    VARIES    5.7678              0.155225   0.150089   0.148271   0.146400  0.144475     54.02    52.53
Morgan Stanley           61745EX48 07/16/10 07/16/30    100.000    VARIES    6.0985              0.169405   0.164406   0.159255   0.158112  0.156935     58.41    56.74
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES    5.7758                         0.160441   0.157855   0.155194  0.152456     29.04    56.34
Morgan Stanley           61745EX71 11/17/11 11/17/15    100.000    VARIES    3.5087                                    0.014132   0.013438  0.012732       .62     4.90
Morgan Stanley           61745EX89 03/31/09 03/31/24*   100.000    VARIES    5.2808              0.131512                                                11.70*        
Morgan Stanley           61745EX97 02/16/10 02/16/30    100.000    VARIES    5.6112              0.152447   0.148930   0.145315   0.141599  0.140410     53.29    50.98
Morgan Stanley           61745EY21 07/15/10 07/15/20    100.000    VARIES    3.4515              0.025746   0.024243   0.022715   0.021161  0.019580      8.49     7.38
Morgan Stanley           61745EY39 12/15/10 12/15/19    100.000    VARIES    5.6449              0.156803   0.157700   0.158623   0.159572  0.160548     56.64    57.31
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES    5.5719                         0.154777   0.150576   0.146258  0.144007     28.01    53.42
Morgan Stanley           61745EY62 04/23/09 04/23/24    100.000    VARIES    5.9383              0.149505   0.144047   0.138427   0.132640  0.133060     52.09    48.43
Morgan Stanley           61745EY96 12/15/10 12/15/15    100.000    VARIES    1.7536              0.012550   0.012128   0.011703   0.011806  0.011909      4.43     4.23
Morgan Stanley           61745EZ46 05/01/09 05/01/14    100.000    VARIES    5.4528              0.153822   0.154410   0.154225   0.154018  0.153653     55.51    55.45
Morgan Stanley           61745EZ53 02/18/10 02/18/30    100.000    VARIES    5.4861              0.147431   0.142331   0.140862   0.139351  0.137800     51.28    50.03
Morgan Stanley           61745EZ79 12/15/10 12/15/19    100.000    VARIES    2.6578              0.034331   0.032912   0.031473   0.030015  0.028538     12.06    11.02
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES    5.7788                                    0.160524   0.156936  0.153244     27.93    55.88
Morgan Stanley           61745EZ95 11/29/11 11/29/19    100.000    VARIES    5.8963                                    0.163788   0.163703  0.163616      5.24    58.94
Morgan Stanley           61746BCS3 02/09/06 02/11/13    100.000     0.000    5.3494              0.188496   0.193538   0.198715   0.204030  0.209487     70.20    74.00
Morgan Stanley           61746BCT1 02/27/06 02/27/13    100.000     0.000    5.3615              0.188967   0.194033   0.199235   0.204576  0.210060     70.21    74.03
Morgan Stanley           61746S190 01/27/04 03/30/11    100.000     1.875    4.2069              0.137615                                                12.25         
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61746S273 10/26/04 10/30/11    100.000     0.000    4.2472              0.151889   0.155115                                     46.00         
Morgan Stanley           61746S422 09/28/04 09/30/12    100.000     1.300    4.4570              0.150385   0.152932   0.155535   0.158196               55.07    42.32
Morgan Stanley           61746S539 08/27/04 03/30/11    100.000     0.000    4.4434              0.161323                                                14.36         
Morgan Stanley           61746S646 07/28/04 01/30/11    100.000     0.000    4.6243              0.169041                                                 4.90         
Morgan Stanley           61746S703 02/25/04 12/30/11    100.000     0.400    4.5064              0.165890   0.169377                                     60.18         
Morgan Stanley           61746S778 04/28/04 12/30/11    100.000     0.000    4.8845              0.187235   0.191808                                     68.04         
Morgan Stanley           61746S877 03/29/04 12/30/11    100.000     0.500    4.0511              0.143221   0.145840                                     51.89         
Morgan Stanley           61746SBD0 11/30/04 12/30/11    100.000     0.250    4.4263              0.158360   0.161711                                     57.45         
Morgan Stanley           61746SBU2 01/06/06 07/06/11    100.000    VARIES    5.1444              0.158792   0.160794                                     29.74         
Morgan Stanley           61746SDC0 12/11/06 12/11/13    100.000     0.000    5.1239              0.174260   0.178724   0.183303   0.187999  0.192816     63.72    67.02
Morgan Stanley           61746Y288 06/28/05 06/30/11    100.000     0.500    4.2966              0.147162                                                26.34         
Morgan Stanley           61746Y858 12/28/04 12/30/11    100.000     0.000    4.4273              0.159976   0.163517                                     58.07         
Morgan Stanley           61746YAB2 12/30/04 12/30/12    100.000     0.000    4.7234              0.173622   0.177722   0.181920   0.186216               63.25    66.08
Morgan Stanley           617475116 11/30/07 02/20/13    100.000     0.000    4.6219              0.145402   0.148763   0.152200   0.155718  0.159316     53.84    56.36
Morgan Stanley           617475124 11/30/07 11/30/12    100.000     0.000    4.4317              0.140405   0.143516   0.146696   0.149947               51.30    48.85
Morgan Stanley           617475546 10/31/07 11/07/14    100.000     4.849    4.8489              0.134694   0.134694   0.134694   0.134694  0.134694     48.49    48.49
Morgan Stanley           617475579 07/31/07 07/27/12    100.000     5.518    5.5179              0.153278   0.153278   0.153278   0.153278               55.18    31.58
Morgan Stanley           617475652 08/31/07 02/20/12    100.000     0.000    5.2169              0.168890   0.173295   0.177816                          62.76     8.71
Morgan Stanley           61747S371 06/29/07 12/20/12    100.000     5.363    5.3629              0.148972   0.148972   0.148972   0.148972               53.63    51.99
Morgan Stanley           61747S413 05/31/07 08/20/11    100.000     0.000    5.2996              0.174251   0.178869                                     40.73         
Morgan Stanley           61747S561 10/31/06 10/28/11    100.000     5.433    5.4329              0.150917   0.150917                                     44.82         
Morgan Stanley           61747S850 08/31/06 08/26/11    100.000    VARIES    5.4559              0.151560   0.151591                                     35.62         
Morgan Stanley           61747W182 03/31/08 03/28/13    100.000     0.000    4.0410              0.124032   0.126538   0.129094   0.131703  0.134364     45.57    47.43
Morgan Stanley           61747W463 02/29/08 02/20/15    100.000     0.000    5.4016              0.167488   0.174862   0.176657   0.183422  0.186328     63.70    67.18
Morgan Stanley           61747W752 12/31/07 12/31/12    100.000     4.894    4.8939              0.135944   0.135944   0.135944   0.135944               48.94    48.80
Morgan Stanley           61747W794 12/31/07 12/31/12    100.000     0.000    4.8469              0.155440   0.159207   0.163066   0.167018               56.64    59.25
Morgan Stanley           61747Y162 06/30/06 06/24/11    100.000     5.771    5.7709              0.160306                                                27.73         
Morgan Stanley           61747YBT1 05/29/07 09/01/14    100.000     0.000    5.6123              0.186699   0.191938   0.197324   0.202861  0.208554     69.43    73.38
Morgan Stanley           61747YDB8 05/27/11 05/29/15    100.000     0.000    3.0456              0.084600   0.084615   0.085903   0.087211  0.088539     18.15    31.24
Morgan Stanley           617480173 04/30/08 11/05/14    100.000     5.627    5.6269              0.156306   0.156306   0.156306   0.156306  0.156306     56.27    56.27
Morgan Stanley           617480199 04/30/08 01/30/15    100.000     0.000    6.0537              0.192329   0.198150   0.204148   0.210327  0.216694     72.07    76.50
Morgan Stanley           617480330 05/30/08 02/28/14    100.000     0.000    5.5930              0.174951   0.176911   0.183857   0.186944  0.195357     65.31    69.27
Morgan Stanley           617480496 06/30/08 12/30/13    100.000     0.000    5.6404              0.180055   0.185133   0.190355   0.195723  0.201243     65.74    69.50
Morgan Stanley           617480629 07/31/08 11/29/11     87.000     0.000    4.2238    92.66     0.112526   0.114903                                     37.34         
Morgan Stanley           617480710 08/29/08 11/29/11     86.300     0.000    4.5833    96.59     0.121674   0.124462                                     40.41         
Morgan Stanley           617482AA2 07/25/08 11/30/11    100.000     0.000    5.8223              0.185072   0.190460                                     61.86         
Morgan Stanley           617482AL8 08/29/08 08/31/11    100.000     0.000    5.6318              0.173908   0.175890                                     42.45         
Morgan Stanley           617482AM6 08/29/08 05/31/11    100.000     0.000    5.7855              0.182761                                                27.23         
Morgan Stanley           617482AN4 07/28/08 07/28/14    100.000     0.000    6.2015              0.194644   0.200680   0.206902   0.213318  0.219932     73.03    77.63
Morgan Stanley           617482AP9 08/29/08 01/05/11    100.000     0.000    5.4658              0.167770                                                  .67         
Morgan Stanley           617482AQ7 08/29/08 08/31/11    100.000    VARIES    5.7662              0.173948   0.174947                                     42.28         
Morgan Stanley           617482AR5 08/29/08 04/04/14    100.000     0.000    5.7350              0.179377   0.184520   0.189812   0.195255  0.200854     66.41    70.27
Morgan Stanley           617482AT1 08/29/08 11/29/11     86.300     0.000    4.5833    96.59     0.121674   0.124462                                     40.41         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482AY0 08/29/08 11/30/11    100.000     0.000    5.6758              0.178866   0.183942                                     59.76         
Morgan Stanley           617482AZ7 08/29/08 11/30/11    100.000     0.000    5.7597              0.181845   0.187082                                     60.77         
Morgan Stanley           617482BX1 09/30/08 11/30/11     94.000     0.000    6.4662              0.193825   0.200092                                     64.90         
Morgan Stanley           617482CS1 10/20/08 10/20/11     73.000     0.000   10.7703   189.54     0.269382   0.283889                                     80.46         
Morgan Stanley           617482CY8 10/31/08 10/31/11     83.000     0.000    6.3084   119.83     0.164682   0.169876                                     50.17         
Morgan Stanley           617482D76 11/28/11 11/28/17    100.000     0.000    6.9072                                    0.191867   0.198493  0.205348      6.33    70.71
Morgan Stanley           617482D92 11/17/11 11/17/26    100.000    VARIES    6.4999                                    0.180554   0.179646  0.178708      7.94    64.75
Morgan Stanley           617482DC5 11/28/08 11/30/11    100.000     0.000    4.4417              0.134746   0.137739                                     44.87         
Morgan Stanley           617482DL5 12/31/08 12/30/11     80.160     0.000    7.5159   127.66     0.191796   0.197916                                     70.74         
Morgan Stanley           617482DX9 02/27/09 02/28/11    100.000     0.000    4.9651              0.147649                                                 8.56         
Morgan Stanley           617482EF7 02/27/09 02/27/24    100.000    VARIES    5.6208              0.140771   0.135359   0.129795   0.124075  0.124338     48.34    45.02
Morgan Stanley           617482EG5 03/03/09 02/27/24    100.000    VARIES    6.2075              0.159793   0.155269   0.150604   0.145795  0.145861     55.57    52.76
Morgan Stanley           617482EL4 03/31/09 03/31/11    100.000     0.000    5.5476              0.167285                                                14.89         
Morgan Stanley           617482EN0 03/25/09 03/25/24*   100.000    VARIES    6.4376              0.163418   0.157949                                     42.16*        
Morgan Stanley           617482ES9 03/26/09 03/26/29    100.000    VARIES    5.8244              0.142615   0.135848   0.134995   0.134118  0.133216     49.40    48.27
Morgan Stanley           617482ET7 04/16/09 04/16/12    100.000     0.000    5.7696              0.174544   0.179579   0.184760                          64.51    19.40
Morgan Stanley           617482EW0 04/30/09 04/30/12    100.000     0.000    5.5196              0.166371   0.170962   0.175681                          61.29    20.91
Morgan Stanley           617482EX8 04/30/09 04/30/12    100.000     0.000    5.4582              0.164372   0.168858   0.173466                          60.54    20.64
Morgan Stanley           617482FB5 04/16/09 04/16/29    100.000    VARIES    5.8955              0.147060   0.141159   0.140193   0.139197  0.138173     51.36    50.14
Morgan Stanley           617482FH2 05/29/09 05/29/12    100.000     0.000    4.8002              0.143173   0.146609   0.150128                          52.38    22.22
Morgan Stanley           617482FJ8 05/29/09 05/29/12    100.000     0.000    4.8475              0.144686   0.148193   0.151785                          52.95    22.46
Morgan Stanley           617482FM1 05/27/09 05/27/29    100.000    VARIES    3.6954              0.091196   0.087235   0.087102   0.086967  0.086829     31.98    31.32
Morgan Stanley           617482FQ2 06/30/09 06/28/13    100.000     0.000    4.0308              0.118851   0.121246   0.123690   0.126182  0.128726     43.23    44.99
Morgan Stanley           617482FR0 06/30/09 09/28/12    100.000     0.000    4.3979              0.128970   0.131806   0.134705   0.137667               47.47    36.50
Morgan Stanley           617482FW9 06/22/09 06/22/29*   100.000    VARIES    4.2479              0.103985                                                17.78*        
Morgan Stanley           617482FX7 06/26/09 06/26/24    100.000    VARIES    5.0455              0.129473   0.125731   0.121895   0.117963  0.113931     45.90    43.13
Morgan Stanley           617482FZ2 07/31/09 07/31/13    100.000     0.000    3.7618              0.108463   0.110503   0.112581   0.114699  0.116856     40.04    41.56
Morgan Stanley           617482GB4 07/31/09 10/31/12    100.000     0.000    4.0209              0.117398   0.119759   0.122166   0.124623               42.98    36.97
Morgan Stanley           617482GC2 07/31/09 10/31/11    100.000     0.000    3.3818              0.097967   0.099623                                     29.59         
Morgan Stanley           617482GD0 07/06/09 07/06/12    100.000     0.000    3.9872              0.115216   0.117513   0.119856   0.122245               42.70    22.60
Morgan Stanley           617482GF5 07/16/09 07/16/29*   100.000    VARIES    4.2615              0.110315   0.106155                                     20.76*        
Morgan Stanley           617482GG3 07/29/09 07/29/24*   100.000    VARIES    5.6514              0.150061   0.146452                                     30.56*        
Morgan Stanley           617482GH1 07/31/09 07/31/29    100.000    VARIES    6.8887              0.183352   0.179143   0.174789   0.173468  0.172102     63.96    62.28
Morgan Stanley           617482GK4 08/31/09 02/28/13    100.000     0.000    3.5389              0.101250   0.101362   0.104289   0.104980  0.108609     37.35    38.83
Morgan Stanley           617482GL2 08/31/09 05/31/12    100.000     0.000    3.0328              0.087479   0.088805   0.090152                          31.81    13.43
Morgan Stanley           617482GM0 08/31/09 08/30/13    100.000     0.000    4.0427              0.115587   0.117279   0.119650   0.122068  0.125220     43.00    44.93
Morgan Stanley           617482GQ1 08/18/09 08/17/12    100.000     0.000    3.1202              0.089392   0.090786   0.092203   0.093641               32.81    21.10
Morgan Stanley           617482GR9 09/30/09 03/29/13    100.000     0.000    3.2543              0.093357   0.094876   0.096420   0.097989  0.099583     34.16    35.28
Morgan Stanley           617482GV0 09/30/09 09/30/14    100.000     4.132    4.1319              0.114778   0.114778   0.114778   0.114778  0.114778     41.32    41.32
Morgan Stanley           617482HD9 10/30/09 04/30/13    100.000     0.000    3.4452              0.099028   0.100734   0.102469   0.104235  0.106030     36.17    37.42
Morgan Stanley           617482HE7 10/09/09 10/09/24     97.500    VARIES    5.4787              0.140836   0.136908   0.135452   0.133957  0.132421     49.55    48.25
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482HG2 10/19/09 10/19/29    100.000    VARIES    5.9196              0.157626   0.154069   0.150408   0.149448  0.148460     55.59    53.83
Morgan Stanley           617482HH0 10/30/09 01/31/13    100.000     0.000    3.2279              0.091848   0.093330   0.094837   0.096367  0.097923     33.78    34.88
Morgan Stanley           617482JB1 12/31/09 06/28/13    100.000     0.000    3.1055              0.087966   0.088844   0.090223   0.091624  0.093558     32.28    33.29
Morgan Stanley           617482JK1 11/30/09 05/30/13    100.000     0.000    2.8998              0.082904   0.084106   0.085325   0.086562  0.087817     30.14    31.02
Morgan Stanley           617482JL9 11/16/09 11/16/11    100.000     0.000    2.0182              0.057200   0.057777                                     18.12         
Morgan Stanley           617482JN5 11/20/09 11/20/11    100.000     0.000    2.0285              0.057498   0.058081                                     18.45         
Morgan Stanley           617482JP0 12/29/09 06/29/12    100.000     0.000    2.4717              0.070367   0.071237   0.072117                          25.49    12.84
Morgan Stanley           617482JQ8 12/29/09 09/30/13    100.000     0.000    3.4574              0.097471   0.098614   0.100319   0.102053  0.104388     36.05    37.41
Morgan Stanley           617482JR6 12/11/09 12/12/11    100.000     0.000    2.1726              0.061675   0.062345                                     21.15         
Morgan Stanley           617482JT2 01/28/10 07/29/13    100.000     0.000    2.8031              0.078963   0.080069   0.081192   0.082330  0.083484     28.96    29.78
Morgan Stanley           617482JX3 05/27/10 05/24/12    100.000     0.000    2.5278              0.071091   0.071990   0.072899                          25.82    10.42
Morgan Stanley           617482KC7 07/30/10 07/30/12    100.000     0.000    2.6135              0.072599   0.073548   0.074509   0.075483               26.59    15.75
Morgan Stanley           617482KD5 11/29/10 05/22/15    100.000     2.000    3.0665              0.085181   0.085618   0.086078   0.086546  0.087022     30.78    31.11
Morgan Stanley           617482KF0 01/25/10 01/25/16    100.000     0.000    4.0787              0.115609   0.117966   0.120372   0.122827  0.125332     42.79    44.55
Morgan Stanley           617482KY9 03/08/10 03/13/15    100.000     0.000    4.0832              0.115805   0.118170   0.120582   0.123044  0.125556     42.63    44.39
Morgan Stanley           617482LA0 03/15/10 03/15/16    100.000     0.000    4.5963              0.130610   0.133612   0.136682   0.139824  0.143037     48.20    50.44
Morgan Stanley           617482MX9 08/09/10 08/09/20    100.000    VARIES    4.9489              0.137471   0.136749   0.136008   0.136052  0.136098     49.15    48.98
Morgan Stanley           617482NM2 09/30/10 09/30/16    100.000     0.000    3.8819              0.107832   0.109925   0.112059   0.114234  0.116451     39.58    41.13
Morgan Stanley           617482NP5 09/28/10 09/28/15    100.000     0.000    3.4261              0.095171   0.096802   0.098460   0.100147  0.101862     34.86    36.07
Morgan Stanley           617482NS9 09/30/10 09/30/15    100.000     0.000    3.4418              0.095607   0.097253   0.098926   0.100629  0.102361     35.02    36.23
Morgan Stanley           617482NW0 10/12/10 10/09/15    100.000     0.000    3.2213              0.089482   0.090899   0.092363   0.093851  0.095362     32.70    33.76
Morgan Stanley           617482PA6 10/28/10 05/29/12    100.000     0.000    0.8742              0.024303   0.024409   0.024516                           8.78     3.63
Morgan Stanley           617482PB4 10/28/10 05/29/13    100.000     0.000    1.6525              0.045968   0.046348   0.046731   0.047117  0.047507     16.64    16.92
Morgan Stanley           617482PC2 10/28/10 05/29/14    100.000     0.000    2.5250              0.070294   0.071181   0.072080   0.072990  0.073912     25.52    26.17
Morgan Stanley           617482PD0 10/29/10 05/29/15    100.000     0.000    3.1816              0.088613   0.090022   0.091455   0.092909  0.094387     32.25    33.28
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES    6.2468              0.173523   0.172002   0.170433   0.168815  0.167147     62.17    61.04
Morgan Stanley           617482QH0 01/28/11 01/27/17    100.000     0.000    4.1753                         0.115981   0.118389   0.120861  0.123384     38.99    43.83
Morgan Stanley           617482QS6 01/28/11 01/28/14    100.000     0.000    2.2103                         0.061398   0.062076   0.062762  0.063456     20.55    22.68
Morgan Stanley           617482QY3 02/08/11 12/22/20    100.000    VARIES    N/A                            0.151520   0.150977   0.150414  0.149982     48.86    54.11
Morgan Stanley           617482RB2 02/25/11 02/27/17    100.000     0.000    4.3449              0.120693   0.120722   0.123345   0.126024  0.128762     37.27    45.56
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES    5.9550                         0.165418   0.164568   0.163679  0.162763     49.69    58.86
Morgan Stanley           617482RL0 03/30/11 09/29/17    100.000     0.000    4.3132                         0.119813   0.122383   0.125022  0.127718     32.71    45.02
Morgan Stanley           617482SD7 08/26/11 08/26/13    100.000     0.000    2.1981                                    0.061061   0.061732  0.062411      7.63    22.27
Morgan Stanley           617482SE5 09/02/11 09/03/13    100.000     0.000    2.4917                         0.069213   0.069219   0.070081  0.070954      8.24    25.28
Morgan Stanley           617482SF2 10/14/11 10/15/13    100.000     0.000    4.6123                         0.128120   0.128138   0.131093  0.134116      9.87    47.12
Morgan Stanley           617482SH8 11/23/11 11/21/14    100.000     0.000    5.5804                                    0.155014   0.159291  0.163736      5.89    56.92
Morgan Stanley           617482TA2 04/28/11 07/28/17    100.000     0.000    4.1507                         0.115299   0.116496   0.118913  0.121381     28.20    43.12
Morgan Stanley           617482TN4 04/29/11 04/29/31    100.000    VARIES    5.9675                         0.165766   0.164081   0.162347  0.161187     40.01    58.58
Morgan Stanley           617482TP9 05/13/11 05/13/14    100.000     0.000    2.4618                         0.068386   0.069227   0.070080  0.070942     15.63    25.16
Morgan Stanley           617482TQ7 05/27/11 05/30/17    100.000     0.000    3.9013              0.108371   0.108407   0.110521   0.112677  0.114875     23.26    40.31
Morgan Stanley           617482TV6 05/11/11 11/12/14    100.000     0.000    2.7937              0.077604   0.077611   0.078695   0.079794  0.080909     17.90    28.64
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES    5.3835                         0.149543   0.147969   0.146344  0.146574     31.50    52.93
Morgan Stanley           617482UP7 06/29/11 06/29/17    100.000     0.000    3.6574                         0.101595   0.103453   0.105345  0.107272     18.49    37.59
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES    5.5344                         0.153735   0.151861   0.149914  0.147913     30.10    54.25
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES    5.5330                         0.153695   0.152184   0.150630  0.149034     27.82    54.50
Morgan Stanley           617482VG6 06/14/11 09/14/17    100.000     0.000    3.8913                         0.108092   0.109144   0.111267  0.113432     21.41    40.13
Morgan Stanley           617482VQ4 08/31/11 08/31/17    100.000     0.000    4.9901                                    0.137091   0.138984  0.144813     16.86    51.47
Morgan Stanley           617482VU5 08/29/11 08/29/17    100.000     0.000    5.0291                                    0.136661   0.141637  0.144405     17.08    51.89
Morgan Stanley           617482VX9 09/29/11 09/29/17    100.000     0.000    6.0377                                    0.167717   0.172780  0.177996     15.43    62.24
Morgan Stanley           617482VZ4 10/28/11 10/28/16    100.000     0.000    5.1995                                    0.144432   0.148187  0.152039      9.10    53.15
Morgan Stanley           617482WA8 10/28/11 10/28/16    100.000     0.000    5.1995                                    0.144432   0.148187  0.152039      9.10    53.15
Morgan Stanley           617482WC4 07/28/11 07/28/17    100.000     0.000    4.3106                                    0.119740   0.122320  0.124957     18.32    44.37
Morgan Stanley           617482WK6 07/28/11 07/28/17    100.000     0.000    4.3106                                    0.119740   0.122320  0.124957     18.32    44.37
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES    6.1188                                    0.166273   0.166528  0.163998     20.62    60.62
Morgan Stanley           617482XL3 08/26/11 08/25/17    100.000     0.000    4.9767                                    0.138244   0.141665  0.145190     17.28    51.26
Morgan Stanley           617482XT6 08/31/11 08/31/17    100.000     1.000    5.0228                                    0.137992   0.139237  0.144406     16.97    51.52
Morgan Stanley           617482XW9 09/29/11 09/29/17    100.000     0.000    6.0328                                    0.167579   0.172634  0.177841     15.42    62.18
Morgan Stanley           617482YD0 09/16/11 09/14/18    100.000     0.000    5.1470                                    0.142974   0.146612  0.150385     15.01    52.92
Morgan Stanley           617482YR9 10/14/11 10/14/26    100.000    VARIES    5.6319                                    0.156443   0.154982  0.153479     12.05    55.83
Morgan Stanley           617482YU2 10/28/11 10/28/16    100.000     0.000    5.1961                                    0.144337   0.148087  0.151935      9.09    53.12
Morgan Stanley           617482YW8 10/20/11 10/20/26    100.000    VARIES    5.7716                                    0.160323   0.159005  0.157649     11.38    57.29
Morgan Stanley           617483144 06/30/09 06/26/14    100.000     0.000    5.3758              0.161603   0.165947   0.170408   0.174988  0.179692     59.00    62.22
Morgan Stanley           617483169 06/30/09 06/28/11    100.000     0.000    3.6476              0.106949                                                18.93         
Morgan Stanley           617483227 04/30/09 04/20/11    100.000     0.000    4.7205              0.140452                                                15.31         
Morgan Stanley           617483235 04/30/09 04/21/14    100.000     0.000    5.6383              0.170012   0.174805   0.179733   0.184800  0.190010     62.75    66.34
Morgan Stanley           617483284 04/30/09 10/20/12    100.000     0.000    5.5171              0.166041   0.170621   0.175328   0.180164               61.26    51.54
Morgan Stanley           617483300 09/30/08 11/30/11     94.000     0.000    6.4662              0.193825   0.200092                                     64.90         
Morgan Stanley           617483342 05/29/09 05/20/11    100.000     0.000    3.8967              0.114584                                                15.93         
Morgan Stanley           617483383 05/29/09 05/20/14    100.000     0.000    5.2382              0.157043   0.161156   0.165377   0.169709  0.174153     57.62    60.68
Morgan Stanley           617483482 01/30/09 01/30/12    100.000     0.000    6.1849              0.188242   0.194064   0.200065                          70.60     5.80
Morgan Stanley           617483599 03/31/09 03/20/14    100.000     0.000    6.3536              0.192425   0.195301   0.203719   0.207906  0.218067     71.93    76.81
Morgan Stanley           617483615 03/31/09 03/20/11    100.000     0.000    5.5984              0.167733                                                13.08         
Morgan Stanley           617483714 10/20/08 10/20/11     73.000     0.000   10.7703   189.54     0.269382   0.283889                                     80.46         
Morgan Stanley           617483748 10/31/08 10/31/11     83.000     0.000    6.3084   119.83     0.164682   0.169876                                     50.17         
Morgan Stanley           617483821 12/31/08 12/30/11     80.160     0.000    7.5159   127.66     0.191796   0.197916                                     70.74         
Morgan Stanley           617484217 07/31/09 07/27/11    100.000     0.000    3.2408              0.090912   0.093917                                     19.36         
Morgan Stanley           617484282 08/31/09 02/25/15    100.000     0.000    4.7184              0.134240   0.139684   0.140649   0.145549  0.147363     50.81    53.24
Morgan Stanley           617484381 03/09/10 01/07/16    100.000     0.000    4.4482              0.125364   0.128152   0.131002   0.133916  0.136894     46.61    48.71
Morgan Stanley           617484506 08/31/09 08/29/11    100.000     0.000    2.2311              0.062322   0.063363                                     15.15         
Morgan Stanley           617484530 11/30/09 05/28/15    100.000     0.000    3.9207              0.113199   0.115418   0.117681   0.119988  0.122340     41.30    42.93
Morgan Stanley           617484605 08/25/09 08/27/12    100.000     0.000    3.3592              0.096490   0.098111   0.099759   0.101434               35.43    23.84
Morgan Stanley           617484621 11/06/09 11/06/14    100.000     0.000    4.0719              0.117762   0.120160   0.122606   0.125102  0.127649     43.09    44.86
Morgan Stanley           617484654 12/04/09 12/04/13    100.000     0.000    3.4578              0.099402   0.101120   0.102869   0.104647  0.106456     36.19    37.45
Morgan Stanley           617484753 09/30/09 09/28/11    100.000     0.000    1.7533              0.049556   0.049990                                     13.31         
Morgan Stanley           617484779 09/30/09 03/27/15    100.000     0.000    4.2843              0.124120   0.126778   0.129494   0.132268  0.135102     45.67    47.64
Morgan Stanley           61748A221 12/29/06 12/23/11    100.000     5.081    5.0809              0.141139   0.141139                                     49.68         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61748A296 11/06/06 11/30/11    100.000     0.000    5.4050              0.186514   0.191555                                     62.27         
Morgan Stanley           61748A742 06/01/04 03/30/12    100.000     2.800    5.2533              0.172413   0.174899   0.177450                          62.97    15.79
Morgan Stanley           61748AAC0 04/30/04 12/30/11    100.000     0.000    4.8871              0.187316   0.191893                                     68.07         
Morgan Stanley           61748AAD8 04/30/04 12/30/11    100.000     0.000    4.8871              0.187316   0.191893                                     68.07         
Morgan Stanley           61748AAF3 11/29/05 11/30/12    100.000     0.000    5.2402              0.188554   0.193495   0.198565   0.203767               69.08    66.26
Morgan Stanley           61748AAG1 11/29/05 11/30/12    100.000     0.000    5.2402              0.188554   0.193495   0.198565   0.203767               69.08    66.26
Morgan Stanley           61748AAL0 12/12/06 11/30/11    100.000     0.000    4.8724              0.162031   0.165071                                     54.51         
Morgan Stanley           61750V188 05/31/07 05/25/12    100.000     5.318    5.3179              0.147722   0.147722   0.147722                          53.18    21.27
Morgan Stanley           61750V220 04/20/07 04/20/11    100.000     0.000    5.1825              0.172193                                                18.77         
Morgan Stanley           61750V295 04/30/07 04/27/12    100.000     5.055    5.0549              0.140417   0.140417   0.140417                          50.55    16.29
Morgan Stanley           61750V642 02/28/07 02/20/11    100.000     0.000    5.1739              0.167932                                                 8.40         
Morgan Stanley           61750V733 01/30/07 07/29/11    100.000     0.000    5.3487              0.178698   0.183477                                     38.03         
Morgan Stanley           61750V840 01/31/07 01/27/12    100.000     5.280    5.2799              0.146667   0.146667   0.146667                          52.80     3.81
Morgan Stanley           61750VAG0 07/29/10 07/29/25    100.000    VARIES    5.9967              0.166577   0.163243   0.159809   0.156271  0.152628     58.34    55.80
Morgan Stanley           61759G273 02/01/11 02/02/15    100.000     0.000    3.1466              0.087407   0.087416   0.088791   0.090188  0.091607     29.05    32.64
Morgan Stanley           61759G570 07/22/10 07/21/18*   100.000    VARIES    4.8833              0.135650   0.134897                                     26.99*        
Morgan Stanley           61759G588 07/23/10 07/22/16    100.000     0.000    4.6755              0.129876   0.132896   0.136003   0.139182  0.142436     48.27    50.56
Morgan Stanley           61759G612 08/30/10 08/25/16    100.000     0.000    4.0488              0.112468   0.114682   0.117003   0.119372  0.121789     41.46    43.15
Morgan Stanley           61759G653 07/30/10 03/30/17    100.000     0.000    5.0431              0.141266   0.144828   0.148480   0.152224  0.156063     52.15    54.82
Morgan Stanley           61759G844 06/29/10 06/24/16    100.000     0.000    5.4889              0.156538   0.160834   0.165248   0.169783  0.174443     57.19    60.37
Morgan Stanley           61760E119 07/12/11 07/10/14    100.000     0.000    2.5371                                    0.070477   0.071361  0.072266     11.91    25.84
Morgan Stanley           61760E226 08/31/11 08/31/17    100.000     0.000    5.0772                                    0.139484   0.141470  0.147466     17.16    52.40
Morgan Stanley           61760E309 02/25/11 02/22/18    100.000     0.000    4.9086                         0.136350   0.139641   0.143068  0.146580     42.15    51.78
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000    5.3273                         0.147982   0.151094   0.154379  0.157751     26.95    55.03
Morgan Stanley           61760E366 06/30/11 06/30/17    100.000     0.000    3.7941                         0.105393   0.107393   0.109430  0.111506     19.08    39.03
Morgan Stanley           61760E481 07/29/11 07/29/16    100.000     0.000    3.9112                                    0.108645   0.110770  0.112936     16.51    40.15
Morgan Stanley           61760E499 07/29/11 07/31/17    100.000     0.000    4.2685                         0.118572   0.118600   0.121131  0.123716     18.15    43.92
Morgan Stanley           61760E630 05/27/11 05/24/17    100.000     0.000    3.9896                         0.110825   0.112999   0.115253  0.117552     23.80    41.25
Morgan Stanley           61760P650 09/29/11 12/22/17    100.000     0.000    6.0586                         0.168295   0.170646   0.175815  0.181141     15.50    62.46
Morgan Stanley           61760P692 09/30/11 09/29/17    100.000     1.000    6.0171                                    0.167144   0.171313  0.175632     15.21    61.70
Morgan Stanley           61760P825 09/30/11 09/29/17    100.000     1.000    6.0418                                    0.167829   0.172036  0.176394     15.27    61.96
Morgan Stanley           61760T132 10/31/11 10/31/17    100.000     1.000    5.8164                                    0.161568   0.165459  0.169463      9.86    59.35
Morgan Stanley           61760T173 11/28/11 11/24/17    100.000     0.000    6.9071                                    0.191865   0.198344  0.205194      6.33    70.73
Morgan Stanley           61760T199 11/18/11 11/21/17    100.000     1.000    6.1790                         0.171639   0.171713   0.176160  0.180745      7.38    62.98
Morris CNTY Improv Auth  618027AP1 02/18/10 08/15/11    100.000     0.000    1.2156              0.033969   0.034176                                      7.65         
Morris CNTY Improv Auth  618027AQ9 02/18/10 08/15/12    100.000     0.000    1.3546              0.037879   0.038135   0.038393   0.038653               13.75     8.65
Morris CNTY Improv Auth  618027AR7 02/18/10 08/15/13    100.000     0.000    2.1177              0.059438   0.060067   0.060703   0.061346  0.061995     21.68    22.14
Morris CNTY Improv Auth  618027AS5 02/18/10 08/15/14    100.000     0.000    2.8538              0.080387   0.081534   0.082697   0.083877  0.085074     29.46    30.31
Morris CNTY Improv Auth  618027AT3 02/18/10 08/15/15    100.000     0.000    3.0318              0.085472   0.086768   0.088083   0.089418  0.090774     31.36    32.32
Morris CNTY Improv Auth  618027AU0 02/18/10 08/15/16    100.000     0.000    3.4140              0.096426   0.098072   0.099746   0.101449  0.103181     35.46    36.68
Morris CNTY Improv Auth  618027AV8 02/18/10 08/15/17    100.000     0.000    3.6588              0.103462   0.105355   0.107282   0.109245  0.111243     38.11    39.51
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morris CNTY Improv Auth  618027AW6 02/18/10 08/15/18    100.000     0.000    3.8475              0.108899   0.110994   0.113129   0.115305  0.117523     40.16    41.72
Morris CNTY Improv Auth  618027AX4 02/18/10 08/15/19    100.000     0.000    3.8535              0.109072   0.111173   0.113315   0.115499  0.117724     40.22    41.79
Morris CNTY Improv Auth  618027AY2 02/18/10 08/15/20    100.000     0.000    3.8574              0.109184   0.111289   0.113436   0.115624  0.117854     40.26    41.83
Morris CNTY Improv Auth  618027AZ9 02/18/10 08/15/21    100.000     0.000    3.8593              0.109240   0.111348   0.113496   0.115686  0.117919     40.28    41.85
Morris CNTY Improv Auth  618027BA3 02/18/10 08/15/22    100.000     0.000    3.8595              0.109244   0.111352   0.113501   0.115692  0.117924     40.29    41.86
Morris CNTY Improv Auth  618027BB1 02/18/10 08/15/23    100.000     0.000    3.8580              0.109202   0.111308   0.113455   0.115644  0.117875     40.27    41.84
Morris CNTY Improv Auth  618027BC9 02/18/10 08/15/24    100.000     0.000    3.8550              0.109116   0.111219   0.113363   0.115548  0.117775     40.24    41.80
Morris CNTY Improv Auth  618027BD7 02/18/10 08/15/25    100.000     0.000    3.8507              0.108990   0.111088   0.113227   0.115407  0.117629     40.19    41.75
Multnomah County, OR     625506HH6 12/08/99 06/01/13     36.019     0.000    7.7198   472.62     0.177446   0.184295   0.191409   0.198797  0.206471     65.53    70.69
Multnomah County, OR     625506HJ2 12/08/99 06/01/14     33.298     0.000    7.7399   438.57     0.164818   0.171197   0.177822   0.184704  0.191852     60.87    65.68
Multnomah County, OR     625506HK9 12/08/99 06/01/15     30.863     0.000    7.7399   406.49     0.152766   0.158678   0.164818   0.171197  0.177822     56.42    60.87
Multnomah County, OR     625506HL7 12/08/99 06/01/16     28.606     0.000    7.7399   376.77     0.141594   0.147074   0.152766   0.158678  0.164819     52.30    56.42
Multnomah County, OR     625506HN3 12/08/99 06/01/20     21.112     0.000    7.7400   278.07     0.104503   0.108547   0.112748   0.117111  0.121643     38.60    41.64
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000    7.7400   257.73     0.096860   0.100609   0.104503   0.108547  0.112748     35.77    38.60
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000    7.7400   238.89     0.089777   0.093252   0.096861   0.100609  0.104503     33.16    35.77
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000    7.7399   221.42     0.083212   0.086432   0.089777   0.093251  0.096860     30.73    33.16
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000    7.7399   205.23     0.077127   0.080112   0.083212   0.086432  0.089777     28.49    30.73
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000    7.7400   190.22     0.071487   0.074253   0.077127   0.080112  0.083212     26.40    28.49
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000    7.7400   176.31     0.066259   0.068823   0.071487   0.074253  0.077127     24.47    26.40
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000    7.7400   163.41     0.061413   0.063790   0.066259   0.068823  0.071487     22.68    24.47
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000    7.7399   151.47     0.056923   0.059125   0.061414   0.063790  0.066259     21.02    22.68
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000    7.7399   140.39     0.052760   0.054802   0.056923   0.059125  0.061414     19.49    21.02
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000    7.7401   130.12     0.048901   0.050794   0.052759   0.054801  0.056922     18.06    19.49
Nash Finch Company       631158AC6 03/15/05 03/15/35     46.611    VARIES    8.0045              0.135113   0.138706   0.142443   0.146329  0.150371     50.06    52.82
Nash Finch Company       631158AD4 03/15/05 03/15/35     46.611    VARIES    8.0045              0.135113   0.138706   0.142443   0.146329  0.150371     50.06    52.82
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000    0.8138    20.97     0.020341   0.020424   0.020507   0.020591  0.020674      7.34     7.40
National Rural Utilities 637432KZ7 02/06/08 12/15/11     96.997     0.000    0.7917    22.51     0.021820   0.021907                                      7.52         
National Rural Utilities 637432LA1 02/06/08 12/15/12     96.936     0.000    0.6415    18.19     0.017594   0.017650   0.017707   0.017764                6.35     6.10
National Rural Utilities 637432LB9 02/06/08 12/15/13     96.036     0.000    0.6915    19.44     0.018817   0.018882   0.018947   0.019013  0.019079      6.79     6.83
National Rural Utilities 637432LC7 02/06/08 12/15/14     93.808     0.000    0.9341    25.73     0.024999   0.025116   0.025233   0.025351  0.025469      9.02     9.11
National Rural Utilities 637432LD5 02/06/08 12/15/15     93.011     0.000    0.9240    25.23     0.024513   0.024626   0.024740   0.024854  0.024969      8.85     8.93
National Rural Utilities 637432LE3 02/06/08 12/15/16     92.647     0.000    0.8640    23.48     0.022790   0.022889   0.022988   0.023087  0.023187      8.23     8.30
National Rural Utilities 637432LF0 02/06/08 12/15/17     92.124     0.000    0.8338    22.52     0.021852   0.021943   0.022034   0.022126  0.022219      7.89     7.95
National Rural Utilities 637432LG8 02/06/08 12/15/18     91.459     0.000    0.8238    22.09     0.021429   0.021517   0.021606   0.021695  0.021784      7.73     7.80
National Rural Utilities 637432LH6 02/06/08 12/15/19     90.603     0.000    0.8339    22.15     0.021492   0.021582   0.021672   0.021762  0.021853      7.76     7.82
National Rural Utilities 637432LJ2 02/06/08 12/15/20     90.083     0.000    0.8138    21.49     0.020844   0.020929   0.021014   0.021099  0.021185      7.52     7.58
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000    0.8238    21.55     0.020906   0.020992   0.021079   0.021166  0.021253      7.54     7.61
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000    0.8538    22.07     0.021414   0.021505   0.021597   0.021689  0.021782      7.73     7.79
Navistar Intl Corp.      63934EAL2 10/28/09 10/15/14     78.000     3.000    8.5279    44.28     0.109947   0.114636   0.119524   0.124620  0.129934     41.15    44.74
Network Associates, Inc. 640938AA4 02/13/98 02/13/18     39.106     0.000    4.7500   324.96     0.092786   0.094990   0.097246   0.099555  0.101920     34.42    36.07
NJ Econ Dev Auth         64578JAA4 12/22/05 07/01/15     60.170     0.000    5.4048   184.94     0.118101   0.121293   0.124571   0.127937               43.09    45.45
NJ Econ Dev Auth         64578JAB2 12/22/05 07/01/16     56.811     0.000    5.4449   176.07     0.112557   0.115622   0.118769   0.122003               41.07    43.34
NJ Econ Dev Auth         64578JAC0 12/22/05 07/01/17     53.569     0.000    5.4898   167.57     0.107245   0.110188   0.113213   0.116321               39.14    41.32
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
NJ Econ Dev Auth         64578JAD8 12/22/05 07/01/18     50.436     0.000    5.5399   159.39     0.102144   0.104973   0.107881   0.110869               37.28    39.37
NJ Econ Dev Auth         64578JAE6 12/22/05 07/01/19     47.535     0.000    5.5748   151.29     0.097040   0.099745   0.102526   0.105383               35.42    37.42
NJ Econ Dev Auth         64578JAF3 09/07/07 07/01/15     62.947     0.000    6.0088   136.65     0.127875   0.131717   0.135675   0.139751               46.73    49.58
NJ Econ Dev Auth         64578JAG1 09/07/07 07/01/16     59.024     0.000    6.0689   129.53     0.121340   0.125022   0.128816   0.132725               44.35    47.08
NJ Econ Dev Auth         64578JAH9 09/07/07 07/01/17     55.019     0.000    6.1789   123.12     0.115565   0.119135   0.122816   0.126610               42.25    44.90
NJ Econ Dev Auth         64578JAJ5 09/07/07 07/01/18     51.284     0.000    6.2689   116.58     0.109606   0.113042   0.116585   0.120239               40.08    42.63
NJ Econ Dev Auth         64578JAK2 09/07/07 07/01/19     47.828     0.000    6.3391   110.05     0.103598   0.106881   0.110269   0.113764               37.89    40.33
NJ Econ Dev Auth         64578JAL0 09/07/07 07/01/20     44.269     0.000    6.4592   103.97     0.098084   0.101251   0.104521   0.107897               35.88    38.24
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000    6.5092    97.74     0.092284   0.095288   0.098389   0.101591               33.76    36.00
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000    6.4992    91.65     0.086522   0.089334   0.092237   0.095234               31.65    33.74
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000    6.5092    85.98     0.081188   0.083830   0.086559   0.089376               29.70    31.67
NJ Econ Dev Auth         645913AP9 06/30/97 02/15/11     37.204     0.000    7.3892   619.25     0.197943                                                 8.71         
NJ Econ Dev Auth         645913AQ7 06/30/97 02/15/12     34.381     0.000    7.4342   577.65     0.185090   0.191970   0.199106                          69.78     8.76
NJ Econ Dev Auth         645913AR5 06/30/97 02/15/13     31.673     0.000    7.4942   538.82     0.173200   0.179690   0.186423   0.193409  0.200656     65.32    70.31
NJ Econ Dev Auth         645913AS3 06/30/97 02/15/14     29.262     0.000    7.5292   501.41     0.161474   0.167553   0.173861   0.180406  0.187198     60.91    65.58
NJ Econ Dev Auth         645913AT1 06/30/97 02/15/15     27.085     0.000    7.5492   466.02     0.150238   0.155909   0.161794   0.167902  0.174239     56.68    61.04
NJ Econ Dev Auth         645913AU8 06/30/97 02/15/16     25.082     0.000    7.5644   432.91     0.139676   0.144959   0.150442   0.156132  0.162037     52.70    56.76
NJ Econ Dev Auth         645913AV6 06/30/97 02/15/17     23.177     0.000    7.5895   402.09     0.129907   0.134836   0.139953   0.145264  0.150776     49.02    52.81
NJ Econ Dev Auth         645913AW4 06/30/97 02/15/18     21.450     0.000    7.6043   373.26     0.120688   0.125276   0.130040   0.134984  0.140116     45.55    49.07
NJ Econ Dev Auth         645913AX2 06/30/97 02/15/19     19.886     0.000    7.6095   346.41     0.112037   0.116299   0.120724   0.125318  0.130086     42.28    45.56
NJ Econ Dev Auth         645913AY0 06/30/97 02/15/20     18.435     0.000    7.6144   321.47     0.103995   0.107954   0.112064   0.116331  0.120760     39.25    42.29
NJ Econ Dev Auth         645913AZ7 06/30/97 02/15/21     17.088     0.000    7.6194   298.28     0.096521   0.100198   0.104016   0.107978  0.112092     36.43    39.26
NJ Econ Dev Auth         645913BA1 06/30/97 02/15/22     15.838     0.000    7.6244   276.75     0.089576   0.092991   0.096536   0.100216  0.104036     33.81    36.44
NJ Econ Dev Auth         645913BB9 06/30/97 02/15/23     14.678     0.000    7.6294   256.74     0.083122   0.086293   0.089585   0.093002  0.096550     31.37    33.81
NJ Econ Dev Auth         645913BC7 06/30/97 02/15/24     13.601     0.000    7.6346   238.15     0.077126   0.080070   0.083127   0.086300  0.089594     29.11    31.38
NJ Econ Dev Auth         645913BD5 06/30/97 02/15/25     12.602     0.000    7.6397   220.89     0.071555   0.074289   0.077126   0.080073  0.083131     27.01    29.11
NJ Econ Dev Auth         645913BE3 06/30/97 02/15/26     11.676     0.000    7.6446   204.86     0.066381   0.068918   0.071552   0.074287  0.077127     25.06    27.01
New Omaha Holdings Corp. 647579AA9 09/24/07 09/30/16    100.000    VARIES   11.4999              0.447619   0.473357   0.500575   0.529358  0.559796    170.59   190.78
New Plan Excel Realty TR 64806QAA2 10/30/09 01/15/14     67.500     7.970   19.6685    66.65     0.168525   0.185098   0.203301   0.223294  0.245253     69.42    83.75
New Plan Excel Realty TR 64806QAD6 10/30/09 01/15/14     67.500     7.650   19.2575    67.08     0.169421   0.185734   0.203618   0.223224  0.244717     69.60    83.65
New Plan Excel Realty TR 64806QAF1 10/30/09 01/15/14     67.500     7.680   19.2960    67.04     0.169337   0.185674   0.203588   0.223230  0.244768     69.59    83.66
New Plan Excel Realty TR 64806QAG9 10/30/09 01/15/14     67.500     7.680   19.2960    67.04     0.169337   0.185674   0.203588   0.223230  0.244768     69.59    83.66
New Plan Excel Realty TR 64806QAK0 10/30/09 01/15/14     67.500     6.900   18.2959    68.11     0.171530   0.187221   0.204348   0.223042  0.243446     70.02    83.42
New Plan Excel Realty TR 64806QAL8 10/30/09 01/15/14     67.500     6.900   18.2959    68.11     0.171530   0.187221   0.204348   0.223042  0.243446     70.02    83.42
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800    7.2575     5.78     0.013896   0.014401   0.014923   0.015465  0.016026      5.20     5.59
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000    6.4399   189.83     0.086300   0.089079   0.091948   0.094908  0.097964     32.08    34.18
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000    6.4699   178.17     0.081082   0.083705   0.086413   0.089209  0.092095     30.14    32.12
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000    6.4899   167.14     0.076116   0.078586   0.081136   0.083769  0.086488     28.30    30.16
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000    6.5099   156.73     0.071426   0.073751   0.076152   0.078630  0.081190     26.56    28.31
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000    6.5299   146.92     0.066998   0.069186   0.071445   0.073777  0.076186     24.91    26.57
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000    6.5498   137.66     0.062820   0.064877   0.067002   0.069196  0.071462     23.36    24.92
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000    6.5600   129.00     0.058889   0.060820   0.062815   0.064876  0.067004     21.90    23.36
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000    6.5700   120.86     0.055193   0.057006   0.058879   0.060813  0.062811     20.53    21.90
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000    6.5799   113.22     0.051719   0.053421   0.055178   0.056994  0.058869     19.24    20.52
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000    6.5900   106.03     0.048454   0.050051   0.051700   0.053403  0.055163     18.02    19.23
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000    6.5899    99.38     0.045412   0.046909   0.048454   0.050051  0.051700     16.89    18.02
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000    6.5899    93.14     0.042561   0.043964   0.045412   0.046909  0.048454     15.83    16.89
Nexstar Fin Hldgs Inc    65335BAD6 03/27/03 04/01/13*    57.442    VARIES   11.3746              0.315964   0.315964                                     42.34*        
Nexstar Fin Hldgs Inc    65335BAE4 03/27/03 04/01/13*    57.442    VARIES   11.3746              0.315964   0.315964                                     42.34*        
Nexstar Fin Hldgs Inc    65335BAF1 03/27/03 04/01/13*    57.442    VARIES   11.3746              0.315964   0.315964                                     42.34*        
Nextera Energy Inc.      65339F309 05/26/09 06/01/14     98.500    VARIES    4.3841              0.121309   0.121776   0.122253   0.122741  0.122509     43.78    44.11
Nomura America Finance   65539AAD2 11/24/10 11/24/15    100.000    VARIES    2.0066              0.013117   0.012616   0.012111   0.012232  0.012355      4.59     4.39
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES    5.5492              0.154147   0.149946   0.145628   0.141191  0.136630     54.42    51.29
Nomura America Finance   65539AAK6 01/20/11 01/20/26     97.250    VARIES    6.0424                         0.163231   0.158091   0.152797  0.147343     54.83    54.23
Nomura America Finance   65539AAL4 12/22/10 12/22/25    100.000    VARIES    5.9586              0.165519   0.161347   0.157051   0.152626  0.148070     58.76    55.66
Nomura America Finance   65539AAM2 12/29/10 12/29/25    100.000    VARIES    5.9958              0.166552   0.161552   0.156402   0.151097  0.145634     59.04    55.33
Nomura America Finance   65539AAU4 06/08/11 06/08/26    100.000    VARIES    5.4351                         0.148500   0.148126   0.147740  0.148266     30.73    54.15
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES    2.3554                         0.016922   0.016212   0.015494  0.014767      3.08     5.70
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41    100.000    VARIES    8.1004              0.225013   0.225185   0.231352   0.237769  0.244446     52.30    85.04
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41    100.000    VARIES    8.1004              0.225013   0.225185   0.231352   0.237769  0.244446     52.30    85.04
Omnicom Group, Inc.      681919AH9 02/07/01 02/07/31    100.000    VARIES    6.7111              0.341008   0.351220   0.361776   0.372685  0.383960    127.59   135.40
Omnicom Group, Inc.      681919AJ5 02/07/01 02/07/31    100.000    VARIES    6.7111              0.341008   0.351220   0.361776   0.372685  0.383960    127.59   135.40
Omnicom Group, Inc.      681919AK2 02/07/01 02/07/31    100.000    VARIES    6.7111              0.341008   0.351220   0.361776   0.372685  0.383960    127.59   135.40
Omnicom Group, Inc.      681919AL0 03/06/02 07/31/32    102.250    VARIES    6.6935              0.316658   0.331457   0.335761   0.349594  0.356163    121.20   128.55
Omnicom Group, Inc.      681919AM8 03/06/02 07/31/32    102.250    VARIES    6.6935              0.316658   0.331457   0.335761   0.349594  0.356163    121.20   128.55
Omnicom Group, Inc.      681919AN6 06/10/03 06/15/33    100.000    VARIES    4.6001              0.179839   0.183975   0.188207   0.192536  0.196964     65.62    68.67
Omnicom Group, Inc.      681919AP1 06/10/03 06/15/33    100.000    VARIES    4.6001              0.179839   0.183975   0.188207   0.192536  0.196964     65.62    68.67
Omnicom Group, Inc.      681919AQ9 06/30/06 07/01/38    100.000    VARIES    7.3396              0.282054   0.292405   0.303136   0.314261              103.40   111.13
Omnicom Group, Inc.      681919AR7 06/10/03 06/15/33    100.000    VARIES    4.6001              0.179839   0.183975   0.188207   0.192536  0.196964     65.62    68.67
Omnicom Group, Inc.      681919AT3 06/30/06 07/01/38    100.000    VARIES    7.3396              0.282054   0.292405   0.303136   0.314261              103.40   111.13
Omnicom Group, Inc.      681919AU0 06/30/06 07/01/38    100.000    VARIES    7.3396              0.282054   0.292405   0.303136   0.314261              103.40   111.13
Orange County, CA        68428LAV6 06/12/96 09/01/11     29.734     0.000    8.1288   651.09     0.208507   0.216982                                     51.57         
Orange County, CA        68428LAW4 06/12/96 09/01/12     27.201     0.000    8.1888   602.94     0.193736   0.201669   0.209926   0.218521               73.12    51.93
Orange County, CA        68428LAX2 06/12/96 09/01/13     25.020     0.000    8.2089   556.86     0.179130   0.186482   0.194136   0.202105  0.210400     67.61    73.28
Orange County, CA        68428LAZ7 06/12/96 09/01/14     23.005     0.000    8.2290   514.10     0.165560   0.172372   0.179464   0.186848  0.194536     62.50    67.74
Orange County, CA        68428LBA1 06/12/96 09/01/15     21.183     0.000    8.2391   474.36     0.152847   0.159143   0.165699   0.172525  0.179633     57.70    62.55
Orange County, CA        68428LBB9 06/12/96 09/01/16     19.464     0.000    8.2591   437.63     0.141171   0.147001   0.153071   0.159392  0.165975     53.30    57.79
Orange County, CA        68428LBT0 03/03/97 09/01/11     34.929     0.000    7.3901   603.62     0.190913   0.197967                                     47.09         
Orange County, CA        68428LBU7 04/01/97 09/01/12     30.602     0.000    7.8293   573.98     0.186516   0.193818   0.201405   0.209290               70.25    49.76
Orange County, CA        68428LBV5 04/01/97 09/01/13     28.339     0.000    7.8295   531.55     0.172731   0.179493   0.186520   0.193822  0.201409     65.05    70.25
Orange County, CA        68428LBW3 01/17/97 09/01/14     26.499     0.000    7.6793   493.71     0.157802   0.163861   0.170153   0.176686  0.183471     59.38    64.03
Orange County, CA        68428LBX1 04/01/97 09/01/15     24.175     0.000    7.8595   456.21     0.148489   0.154325   0.160389   0.166692  0.173243     55.93    60.42
Orange County, CA        68428LBY9 01/17/97 09/01/16     22.492     0.000    7.7493   425.15     0.136410   0.141696   0.147186   0.152889  0.158813     51.35    55.41
Orange County, CA        68428LBZ6 01/17/97 09/01/17     20.762     0.000    7.7695   394.08     0.126580   0.131498   0.136606   0.141913  0.147426     47.66    51.43
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Orange County, CA        68428LCA0 01/17/97 09/01/18     19.198     0.000    7.7795   365.14     0.117351   0.121916   0.126658   0.131585  0.136703     44.18    47.69
Orange County, CA        68428LCB8 01/17/97 09/01/19     17.826     0.000    7.7696   338.36     0.108683   0.112905   0.117291   0.121847  0.126581     40.92    44.16
Orange County, CA        68428LCC6 01/17/97 09/01/20     16.480     0.000    7.7796   313.45     0.100739   0.104657   0.108729   0.112958  0.117352     37.93    40.94
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000    7.7694   290.51     0.093315   0.096940   0.100706   0.104618  0.108682     35.13    37.92
Oregon Community College 68583RAH5 04/23/03 06/30/11     68.075     0.000    4.7525   296.17     0.128950                                                23.08         
Oregon Community College 68583RAJ1 04/23/03 06/30/12     63.740     0.000    4.9623   291.84     0.128073   0.131250   0.134507                          46.68    24.08
Oregon Community College 68583RAK8 04/23/03 06/30/13     59.557     0.000    5.1521   285.14     0.126025   0.129272   0.132602   0.136018  0.139522     45.96    48.36
Oregon Community College 68583RAL6 04/23/03 06/30/14     55.504     0.000    5.3320   276.87     0.123198   0.126482   0.129854   0.133316  0.136870     44.95    47.38
Oregon Community College 68583RAM4 04/23/03 06/30/15     51.363     0.000    5.5419   268.42     0.120373   0.123708   0.127136   0.130659  0.134280     43.94    46.41
Oregon Community College 68583RAN2 04/23/03 06/30/16     47.583     0.000    5.7117   257.92     0.116398   0.119722   0.123141   0.126658  0.130275     42.51    44.97
Oregon Community College 68583RAP7 04/23/03 06/30/17     44.239     0.000    5.8317   245.94     0.111487   0.114738   0.118084   0.121527  0.125071     40.73    43.14
Oregon Community College 68583RAQ5 04/23/03 06/30/18     40.975     0.000    5.9616   234.01     0.106590   0.109767   0.113039   0.116409  0.119879     38.95    41.31
Oregon Community College 68583RAR3 04/23/03 06/30/19     37.976     0.000    6.0714   221.80     0.101437   0.104516   0.107689   0.110958  0.114327     37.08    39.36
Oregon Community College 68583RAS1 04/23/03 06/30/20     35.297     0.000    6.1514   209.50     0.096096   0.099051   0.102098   0.105238  0.108475     35.13    37.33
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000    6.2213   197.50     0.090825   0.093650   0.096563   0.099567  0.102664     33.21    35.31
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000    6.2613   185.86     0.085594   0.088274   0.091037   0.093887  0.096827     31.30    33.29
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000    6.2713   174.75     0.080507   0.083032   0.085635   0.088320  0.091090     29.44    31.32
Oregon Sch Brds Assoc    686053AJ8 10/31/02 06/30/11     66.180     0.000    4.8194   314.80     0.130722                                                23.40         
Oregon Sch Brds Assoc    686053AK5 10/31/02 06/30/12     62.040     0.000    4.9992   308.34     0.128955   0.132178   0.135482                          47.01    24.25
Oregon Sch Brds Assoc    686053AL3 10/31/02 06/30/13     57.955     0.000    5.1793   300.57     0.126606   0.129884   0.133248   0.136699  0.140239     46.17    48.60
Oregon Sch Brds Assoc    686053AM1 10/31/02 06/30/14     53.950     0.000    5.3594   291.64     0.123715   0.127030   0.130434   0.133930  0.137519     45.14    47.59
Oregon Sch Brds Assoc    686053AN9 10/31/02 06/30/15     50.233     0.000    5.5093   280.83     0.119835   0.123137   0.126529   0.130014  0.133595     43.74    46.18
Oregon Sch Brds Assoc    686053AP4 10/31/02 06/30/16     46.574     0.000    5.6694   269.67     0.115797   0.119080   0.122455   0.125927  0.129496     42.28    44.72
Oregon Sch Brds Assoc    686053AQ2 10/31/02 06/30/17     43.110     0.000    5.8193   257.77     0.111337   0.114577   0.117911   0.121342  0.124872     40.67    43.07
Oregon Sch Brds Assoc    686053AR0 10/31/02 06/30/18     40.030     0.000    5.9294   244.97     0.106264   0.109414   0.112658   0.115998  0.119437     38.83    41.16
Oregon Sch Brds Assoc    686053AS8 10/31/02 06/30/19     37.212     0.000    6.0194   232.03     0.101001   0.104041   0.107172   0.110397  0.113720     36.91    39.17
Oregon Sch Brds Assoc    686053AT6 10/31/02 06/30/20     34.591     0.000    6.0995   219.26     0.095741   0.098661   0.101670   0.104771  0.107966     35.00    37.17
Oregon Sch Brds Assoc    686053CA5 04/21/03 06/30/11     68.075     0.000    4.7492   296.18     0.128863                                                23.07         
Oregon Sch Brds Assoc    686053CB3 04/21/03 06/30/12     63.740     0.000    4.9593   291.88     0.128000   0.131174   0.134426                          46.66    24.06
Oregon Sch Brds Assoc    686053CC1 04/21/03 06/30/13     59.557     0.000    5.1493   285.20     0.125964   0.129207   0.132534   0.135946  0.139446     45.94    48.33
Oregon Sch Brds Assoc    686053CD9 04/21/03 06/30/14     55.504     0.000    5.3293   276.95     0.123147   0.126428   0.129797   0.133256  0.136807     44.93    47.36
Oregon Sch Brds Assoc    686053CE7 04/21/03 06/30/15     51.363     0.000    5.5394   268.50     0.120330   0.123663   0.127088   0.130608  0.134226     43.93    46.39
Oregon Sch Brds Assoc    686053CF4 04/21/03 06/30/16     47.583     0.000    5.7092   258.02     0.116363   0.119685   0.123102   0.126616  0.130230     42.50    44.96
Oregon Sch Brds Assoc    686053CG2 04/21/03 06/30/17     44.239     0.000    5.8294   246.05     0.111459   0.114708   0.118051   0.121492  0.125033     40.72    43.12
Oregon Sch Brds Assoc    686053CH0 04/21/03 06/30/18     40.975     0.000    5.9593   234.12     0.106568   0.109743   0.113013   0.116381  0.119848     38.94    41.30
Oregon Sch Brds Assoc    686053CJ6 04/21/03 06/30/19     37.976     0.000    6.0693   221.91     0.101419   0.104497   0.107668   0.110936  0.114302     37.07    39.36
Oregon Sch Brds Assoc    686053CK3 04/21/03 06/30/20     35.297     0.000    6.1494   209.61     0.096082   0.099036   0.102081   0.105220  0.108455     35.13    37.32
Oregon Sch Brds Assoc    686053CL1 04/21/03 06/30/21     32.815     0.000    6.2193   197.61     0.090815   0.093639   0.096550   0.099553  0.102649     33.21    35.30
Oregon Sch Brds Assoc    686053CM9 04/21/03 06/30/22     30.636     0.000    6.2594   185.96     0.085587   0.088265   0.091028   0.093877  0.096815     31.30    33.29
Oregon Sch Brds Assoc    686053CN7 04/21/03 06/30/23     28.748     0.000    6.2695   174.85     0.080502   0.083025   0.085628   0.088312  0.091081     29.44    31.31
Paterson, City of        7031302A1 04/11/03 04/01/15     51.501     0.000    5.6199   275.20     0.121650   0.125068   0.128582   0.132195  0.135910     45.03    47.60
Paterson, City of        7031302B9 04/11/03 04/01/16     47.811     0.000    5.7699   263.80     0.117219   0.120600   0.124079   0.127659  0.131342     43.42    45.97
Paterson, City of        7031302C7 04/11/03 04/01/17     44.317     0.000    5.9099   251.78     0.112425   0.115747   0.119168   0.122689  0.126314     41.68    44.18
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Paterson, City of        703130Z64 04/11/03 04/01/11     68.193     0.000    4.8599   306.21     0.131796                                                11.86         
Paterson, City of        703130Z72 04/11/03 04/01/12     63.812     0.000    5.0698   301.29     0.130641   0.133953   0.137349                          48.23    12.36
Paterson, City of        703130Z80 04/11/03 04/01/13     59.701     0.000    5.2398   293.20     0.127897   0.131247   0.134686   0.138215  0.141836     47.26    49.77
Paterson, City of        703130Z98 04/11/03 04/01/14     55.492     0.000    5.4399   285.08     0.125230   0.128637   0.132135   0.135729  0.139421     46.32    48.87
Penn Virginia Corp.      707882AB2 06/15/09 06/15/16     97.003    10.375   11.0000     4.83     0.009635   0.010165   0.010724   0.011313  0.011936      3.58     3.99
Peoria, IL SD #150       713040FB4 08/15/05 01/01/12     73.711     0.000    4.8393   216.20     0.128149   0.131249                                     46.69         
Peoria, IL SD #150       713040FC2 08/15/05 01/01/13     69.865     0.000    4.9194   208.73     0.123993   0.127043   0.130168   0.133370               45.19    47.44
Peoria County, IL        713168AU6 10/05/11 12/01/13    104.730    VARIES    2.7264                         0.079317   0.079653   0.080739  0.077422      6.83    28.80
Peoria County, IL        713168AV4 10/05/11 12/01/14    105.259    VARIES    3.2307                         0.094464   0.094938   0.096472  0.092795      8.14    34.39
Peoria County, IL        713168AW2 10/05/11 12/01/15    105.584    VARIES    3.7319                         0.109453   0.110088   0.112142  0.107946      9.43    39.94
Peoria County, IL        713168AX0 10/05/11 12/01/16    105.823    VARIES    3.9840                         0.117113   0.117839   0.120187  0.115802     10.09    42.78
Peoria County, IL        713168AY8 10/05/11 12/01/17    106.762    VARIES    4.2347                         0.125587   0.126414   0.129091  0.124276     10.83    45.93
Peoria County, IL        713168AZ5 10/05/11 12/01/18    106.114    VARIES    4.4856                         0.132219   0.133141   0.136127  0.131185     11.40    48.41
Peoria County, IL        713168BA9 10/05/11 12/01/19    106.753    VARIES    4.7356                         0.140429   0.141463   0.144813  0.139417     12.11    51.47
Peoria County, IL        713168BB7 10/05/11 12/01/20    105.512    VARIES    4.9860                         0.146134   0.147268   0.150939  0.145411     12.60    53.62
Peoria County, IL        71319RBB2 05/13/10 12/01/11    103.559     0.000    1.3244              0.038377   0.038632                                     12.71         
Peoria County, IL        71319RBD8 11/10/10 12/01/11    102.712     0.000    0.9903              0.028273   0.028413                                      9.36         
Peoria County, IL        71319RBM8 05/13/11 12/01/12    103.558     0.000    1.5194              0.043708   0.043741   0.044074   0.044408                9.98    14.60
Peoria County, IL        71319RBP1 11/10/11 12/01/12    103.250     0.000    1.4807                         0.042468   0.042504   0.042819                2.17    14.08
Petro Stopping Centers   71646DAJ1 02/09/04 04/30/14     93.312     5.000    N/A                 0.191420   0.188948   0.186347   0.183612  0.180735     68.15    66.25
Petro Stopping Centers   71646DAK8 02/09/04 04/30/14    100.000     5.000    N/A                 0.191420   0.188948   0.186347   0.183612  0.180735     68.15    66.25
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000    6.6895   226.70     0.076437   0.078994   0.081636   0.084366  0.087188     28.37    30.30
Philadelphia Authority   71781LAQ2 02/03/99 04/15/12     43.760     0.000    6.3590   484.99     0.160810   0.165923   0.171198                          59.60    17.80
Philadelphia Authority   71781LAR0 02/03/99 04/15/13     40.766     0.000    6.4191   457.80     0.152257   0.157144   0.162187   0.167393  0.172766     56.45    60.13
Philadelphia Authority   71781LAS8 02/03/99 04/15/14     37.933     0.000    6.4792   431.59     0.143978   0.148642   0.153458   0.158429  0.163562     53.39    56.91
Philadelphia Authority   71781LAT6 02/03/99 04/15/15     35.256     0.000    6.5392   406.37     0.135979   0.140425   0.145017   0.149758  0.154655     50.44    53.79
Philadelphia Authority   71781LAU3 02/03/99 04/15/16     32.784     0.000    6.5893   381.97     0.128140   0.132362   0.136722   0.141227  0.145880     47.54    50.73
Philadelphia Authority   71781LAV1 02/03/99 04/15/17     30.618     0.000    6.6093   358.26     0.120309   0.124284   0.128392   0.132635  0.137018     44.64    47.64
Philadelphia Authority   71781LAW9 02/03/99 04/15/18     28.637     0.000    6.6193   335.80     0.112823   0.116557   0.120415   0.124401  0.128518     41.87    44.68
Philadelphia Authority   71781LAX7 02/03/99 04/15/19     26.727     0.000    6.6393   314.74     0.105855   0.109369   0.113000   0.116751  0.120627     39.28    41.93
Philadelphia Authority   71781LAY5 02/03/99 04/15/20     24.985     0.000    6.6494   294.87     0.099221   0.102520   0.105928   0.109450  0.113089     36.82    39.31
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000    6.6494   276.20     0.092938   0.096028   0.099221   0.102520  0.105928     34.49    36.82
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000    6.6594   258.68     0.087087   0.089987   0.092983   0.096080  0.099279     32.32    34.51
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000    6.6695   242.22     0.081589   0.084310   0.087121   0.090027  0.093029     30.28    32.34
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000    6.6796   212.35     0.071563   0.073953   0.076423   0.078975  0.081613     26.56    28.37
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000    6.6896   198.74     0.067012   0.069253   0.071569   0.073963  0.076437     24.87    26.57
Pioneer Drilling Company 723655AA4 03/11/10 03/15/18     95.750     9.875   10.6775     2.87     0.010218   0.010764   0.011338   0.011943  0.012581      3.90     4.32
Pioneer Drilling Company 723655AB2 03/11/10 03/15/18     95.750     9.875   10.6775     2.87     0.010218   0.010764   0.011338   0.011943  0.012581      3.90     4.32
Plains Expl & Prodtn Co. 726505AG5 03/06/09 03/01/16     92.373    10.000   11.6241    14.51     0.024234   0.025643   0.027133   0.028710  0.030379      9.33    10.44
Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25    100.000    VARIES    7.7502              0.283802   0.291570   0.299640   0.308022  0.316374    105.25   111.15
Playboy Enterprises,Inc. 728117AB8 03/15/05 03/15/25    100.000    VARIES    7.7502              0.283802   0.291570   0.299640   0.308022  0.316374    105.25   111.15
Ply Gem Industries, Inc. 729416AM9 01/11/10 07/15/14     97.139    13.125   14.0016     4.79     0.014172   0.015164   0.016226   0.017362  0.018577      5.62     6.44
Ply Gem Industries, Inc. 729416AN7 01/11/10 07/15/14     97.139    13.125   14.0016     4.79     0.014172   0.015164   0.016226   0.017362  0.018577      5.62     6.44
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Pope & Talbot, Inc.      732827AC4 07/30/02 06/01/13     86.415     8.375   10.5037    91.46     0.045780   0.048184   0.050715   0.053379  0.056182     17.06    18.90
Pope & Talbot, Inc.      732827AD2 07/30/02 06/01/13     86.415     8.375   10.5037    91.46     0.045780   0.048184   0.050715   0.053379  0.056182     17.06    18.90
Presidio ISD             741020DW8 05/14/98 02/15/12     38.054     0.000    7.1489   543.76     0.178722   0.185111   0.191727                          67.26     8.44
Presidio ISD             741020DX6 05/14/98 02/15/13     35.472     0.000    7.1490   506.89     0.166603   0.172558   0.178726   0.185114  0.191732     62.70    67.26
Presidio ISD             741020DY4 05/14/98 02/15/14     33.066     0.000    7.1490   472.50     0.155301   0.160852   0.166602   0.172557  0.178725     58.44    62.70
Presidio ISD             741020DZ1 05/14/98 02/15/15     30.822     0.000    7.1492   440.46     0.144770   0.149945   0.155304   0.160856  0.166606     54.48    58.45
Presidio ISD             741020EA5 05/14/98 02/15/16     28.486     0.000    7.1992   411.31     0.135533   0.140412   0.145466   0.150702  0.156127     51.02    54.76
Presidio ISD             741020EB3 05/14/98 02/15/17     26.541     0.000    7.1992   383.22     0.126278   0.130823   0.135533   0.140411  0.145465     47.54    51.02
Presidio ISD             741020EC1 05/14/98 02/15/18     24.728     0.000    7.1993   357.05     0.117656   0.121892   0.126279   0.130825  0.135534     44.29    47.54
Presidio ISD             741020ED9 05/14/98 02/15/19     22.810     0.000    7.2493   332.77     0.109931   0.113916   0.118045   0.122324  0.126758     41.40    44.45
Presidio ISD             741020EE7 05/14/98 02/15/20     21.242     0.000    7.2493   309.89     0.102376   0.106086   0.109932   0.113916  0.118045     38.55    41.40
Presidio ISD             741020EF4 05/14/98 02/15/21     19.782     0.000    7.2493   288.59     0.095339   0.098795   0.102375   0.106086  0.109932     35.90    38.55
Presidio ISD             741020EG2 05/14/98 02/15/22     18.422     0.000    7.2494   268.76     0.088786   0.092004   0.095339   0.098795  0.102376     33.43    35.90
Primus Telecom IHC, Inc. 74163XAE5 07/01/09 05/20/13*    73.521    14.250   25.3448              0.565553   0.587060                                    123.82*        
Pride International Inc. 741932AE7 01/16/01 01/16/21     60.841     0.000    2.5000   170.79     0.053499   0.054168   0.054845   0.055530  0.056225     19.60    20.10
Providian Financial Corp 74406AAD4 03/19/04 03/15/16    100.000    VARIES    9.4998              0.418800   0.435065   0.452231   0.470149  0.488849    157.24   169.91
QBE Funding Trust II     747271AA2 09/10/02 04/15/22     55.100     0.000    3.0644   158.43     0.060002   0.060921   0.061855   0.062803  0.063765     21.91    22.58
QBE Funding Trust        74729CAA6 04/15/02 04/15/22     59.358     0.000    2.6249   151.41     0.054023   0.054732   0.055450   0.056178  0.056915     19.68    20.20
QBE Funding Trust III    74729LAA6 09/24/04 09/24/24     67.165     0.000    2.0000    89.26     0.042047   0.042467   0.042892   0.043321  0.043754     15.29    15.60
Quebecor Media, Inc.     74819RAH9 10/05/07 03/15/16     93.750     7.750    8.8148    18.82     0.018405   0.019216   0.020063   0.020948  0.021871      6.95     7.57
Quicksilver Resources    74837RAA2 11/01/04 11/01/24     98.500    VARIES    6.7504              0.249582   0.256247   0.263137   0.270259  0.277622     91.86    96.88
Quicksilver Resources    74837RAB0 11/01/04 11/01/24     98.500    VARIES    6.7504              0.249582   0.256247   0.263137   0.270259  0.277622     91.86    96.88
Quicksilver Resources    74837RAF1 06/25/09 01/01/16     96.717    11.750   12.5012     5.51     0.011381   0.012093   0.012849   0.013652                4.23     4.77
Range Resources Corp.    75281AAK5 05/14/09 05/15/19     95.067     8.000    8.7501     5.46     0.010062   0.010502   0.010962   0.011442  0.011942      3.74     4.08
Readers Digest Assn,Inc. 755267AJ0 02/11/10 02/15/17     97.340     9.500   10.0374     2.46     0.007899   0.008296   0.008712   0.009149  0.009609      3.03     3.34
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES    8.7503              0.365055   0.377289   0.390058   0.403317  0.417156    136.27   145.68
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES    8.7503              0.365055   0.377289   0.390058   0.403317  0.417156    136.27   145.68
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000    9.8183              0.677902   0.708454   0.740506   0.774131  0.809407    256.18   279.94
Richland CNTYS CD#529,IL 763536DW6 08/04/10 12/01/11    101.846     0.000    2.0715              0.059000   0.059612                                     19.58         
Richland CNTYS SD#529,IL 763536DX4 08/04/10 12/01/12    102.728    VARIES    2.2816              0.065590   0.066339   0.064138   0.063760               23.70    21.10
Richland CNTYS SD#529,IL 763536DY2 08/04/10 12/01/13    102.554    VARIES    2.6844              0.077140   0.078176   0.075745   0.075457  0.075165     27.91    27.20
Rock Island CNTY, IL     772453CF1 11/08/11 12/01/12    102.865     0.000    1.8268                         0.052199   0.052260   0.052737                2.77    17.33
Rock Island County, IL   772453CG9 11/08/11 12/01/13    105.109    VARIES    2.1356                         0.062353   0.062438   0.063105  0.060790      3.31    22.55
Rock Island County, IL   772453CH7 11/08/11 12/01/14    106.992    VARIES    2.3888                         0.070997   0.071106   0.071955  0.069400      3.77    25.70
Rock Island County, IL   772453CJ3 11/08/11 12/01/15    107.914    VARIES    2.7899                         0.083631   0.083780   0.084949  0.082062      4.44    30.32
Roper Industries, Inc.   776696AA4 12/29/03 01/15/34     39.502     1.482    7.0003              0.101568   0.105123   0.108803   0.112611  0.116414     38.41    41.12
Rosemont, IL             777543TC3 12/15/11 12/01/13     99.518     1.250    1.5003                                    0.006752   0.006799  0.006850       .11     2.44
Rosemont, IL             777543TE9 12/15/11 12/01/15     99.115     2.125    2.3603                                    0.005956   0.006022  0.006093       .10     2.16
Rotech Healthcare, Inc.  778669AC5 10/06/10 10/15/15     97.189    10.750   11.5019     1.01     0.011942   0.012628   0.013355   0.014123  0.014935      4.53     5.07
Rotech Healthcare, Inc.  778669AD3 10/06/10 10/15/15     97.189    10.750   11.5019     1.01     0.011942   0.012628   0.013355   0.014123  0.014935      4.53     5.07
Rotech Healthcare, Inc.  778669AE1 10/06/10 10/15/15     97.189    10.750   11.5019     1.01     0.011942   0.012628   0.013355   0.014123  0.014935      4.53     5.07
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Rotech Healthcare, Inc.  778669AF8 03/17/11 03/15/18     98.197    10.500   10.8747                         0.004963   0.005230   0.005514  0.005814      1.44     2.00
Rotech Healthcare, Inc.  778669AG6 03/17/11 03/15/18     98.197    10.500   10.8747                         0.004963   0.005230   0.005514  0.005814      1.44     2.00
Rotech Healthcare, Inc.  778669AH4 03/17/11 03/15/18     98.197    10.500   10.8747                         0.004963   0.005230   0.005514  0.005814      1.44     2.00
Royal Bank of Canada     78008E3H8 03/31/08 03/28/13    100.000     0.000    4.2547              0.131274   0.134067   0.136919   0.139832  0.142807     48.29    50.36
Royal Bank of Canada     78008E3L9 02/29/08 02/28/14    100.000     0.000    4.7399              0.147208   0.148240   0.153421   0.155350  0.161668     54.69    57.52
Royal Bank of Canada     78008E4D6 03/31/08 09/28/12    100.000     0.000    3.9648              0.121468   0.123876   0.126332   0.128836               44.61    34.18
Royal Bank of Canada     78008E6V4 04/30/08 04/29/11    100.000     0.000    3.8934              0.119085                                                14.05         
Royal Bank of Canada     78008E6Y8 03/31/08 03/29/12    100.000     0.000    3.7626              0.114713   0.116872   0.119070                          42.09    10.48
Royal Bank of Canada     78008E7D3 04/30/08 04/30/13    100.000     0.000    4.4900              0.139365   0.142494   0.145693   0.148964  0.152308     51.12    53.44
Royal Bank of Canada     78008EAM9 01/31/06 01/31/11    100.000     0.000    4.9599              0.171764                                                 4.98         
Royal Bank of Canada     78008EAX5 03/31/06 03/31/11    100.000     0.000    5.2699              0.184998                                                16.46         
Royal Bank of Canada     78008EBC0 04/28/06 04/29/11    100.000     0.000    5.4968              0.194920                                                23.00         
Royal Bank of Canada     78008EBE6 05/31/06 05/31/11    100.000     0.000    5.4699              0.193709                                                28.86         
Royal Bank of Canada     78008EBN6 06/30/06 06/30/11    100.000     0.000    5.7700              0.207034                                                37.06         
Royal Bank of Canada     78008EBT3 08/31/06 08/31/11    100.000     0.000    5.2799              0.179663   0.181399                                     43.80         
Royal Bank of Canada     78008EBW6 10/31/06 10/31/13    100.000     0.000    5.2200              0.178191   0.182842   0.187614   0.192511  0.197535     65.56    69.03
Royal Bank of Canada     78008ECA3 09/29/06 09/30/11    100.000     0.000    5.0371              0.170750   0.175051                                     46.71         
Royal Bank of Canada     78008ECC9 10/31/06 10/31/11    100.000     0.000    5.1199              0.174097   0.178554                                     52.86         
Royal Bank of Canada     78008ECD7 10/31/06 04/29/11    100.000     0.000    5.1231              0.174202                                                20.56         
Royal Bank of Canada     78008ECE5 10/31/06 10/31/11    100.000     0.000    5.1199              0.174097   0.178554                                     52.86         
Royal Bank of Canada     78008ECH8 11/27/06 11/29/13    100.000     0.000    5.0359              0.170725   0.175023   0.179430   0.183948  0.188580     62.51    65.70
Royal Bank of Canada     78008ECK1 11/27/06 11/30/11    100.000     0.000    4.9914              0.168948   0.173165                                     56.34         
Royal Bank of Canada     78008EDG9 02/07/07 02/07/11    100.000     0.000    5.2200              0.173659                                                 6.25         
Royal Bank of Canada     78008EDM6 02/28/07 02/28/11    100.000     0.000    5.0199              0.164952                                                 9.57         
Royal Bank of Canada     78008EE37 11/26/07 11/26/12    100.000     0.000    4.8999              0.157383   0.161239   0.165190   0.169237               57.63    54.42
Royal Bank of Canada     78008EE45 11/26/07 11/26/12    100.000     0.000    4.8999              0.157383   0.161239   0.165190   0.169237               57.63    54.42
Royal Bank of Canada     78008EFG7 04/30/07 04/29/11    100.000     0.000    5.0935              0.168699                                                19.91         
Royal Bank of Canada     78008EFH5 04/30/07 04/30/12    100.000     0.000    5.1100              0.169362   0.173689   0.178127                          62.28    21.20
Royal Bank of Canada     78008EH59 12/31/07 12/31/13    100.000     0.000    4.7699              0.152626   0.156266   0.159993   0.163809  0.167716     55.61    58.29
Royal Bank of Canada     78008EJV0 06/29/07 06/29/12    100.000     0.000    5.5299              0.185926   0.191066   0.196349                          67.88    34.95
Royal Bank of Canada     78008EJW8 06/29/07 06/29/12    100.000    VARIES    5.5339              0.171156   0.175892   0.180759                          62.49    32.18
Royal Bank of Canada     78008EJX6 06/29/07 06/29/12    100.000     0.000    5.5299              0.185926   0.191066   0.196349                          67.88    34.95
Royal Bank of Canada     78008EJY4 06/29/07 06/29/12    100.000     0.000    5.5299              0.185926   0.191066   0.196349                          67.88    34.95
Royal Bank of Canada     78008ELR6 07/06/07 07/09/12    100.000    VARIES    5.6200              0.172450   0.177296   0.182278   0.187400               64.64    35.19
Royal Bank of Canada     78008EPA9 07/31/07 07/29/11    100.000     0.000    5.2536              0.170476   0.174954                                     36.27         
Royal Bank of Canada     78008EPB7 07/31/07 07/31/12    100.000     0.000    5.3300              0.173364   0.177984   0.182728   0.187597               64.66    39.07
Royal Bank of Canada     78008EPH4 08/31/07 08/31/12    100.000     0.000    5.1899              0.167192   0.168734   0.175015   0.177605               62.27    43.01
Royal Bank of Canada     78008EPL5 08/31/07 08/31/12    100.000     0.000    5.1899              0.167192   0.168734   0.175015   0.177605               62.27    43.01
Royal Bank of Canada     78008EPN1 08/31/07 08/31/11    100.000     0.000    5.0800              0.163123   0.164539                                     39.74         
Royal Bank of Canada     78008ER58 01/31/08 01/31/14    100.000     0.000    4.6199              0.143857   0.147180   0.150579   0.154058  0.157617     53.40    55.90
Royal Bank of Canada     78008EWF0 10/31/07 10/31/12    100.000     0.000    4.7100              0.150443   0.153986   0.157613   0.161324               55.23    47.79
Royal Bank of Canada     78008G3K6 06/30/09 06/30/14    100.000     0.000    3.9699              0.116976   0.119298   0.121666   0.124081  0.126544     42.53    44.24
Royal Bank of Canada     78008G3L4 06/30/09 06/29/12    100.000     0.000    3.0462              0.088538   0.089886   0.091255                          32.12    16.24
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78008G5L2 06/26/09 12/26/14    100.000    VARIES    3.9701              0.111497   0.111918   0.111314   0.110763  0.110351     40.21    39.97
Royal Bank of Canada     78008G5R9 08/12/09 08/12/16    100.000    VARIES    4.2505              0.119564   0.120334   0.121121   0.121924  0.122744     43.40    43.97
Royal Bank of Canada     78008G5S7 07/20/09 04/20/15    100.000    VARIES    4.0008              0.112548   0.113132   0.113728   0.114336  0.114082     40.71    41.08
Royal Bank of Canada     78008GBJ0 04/30/08 10/31/12    100.000     0.000    4.3499              0.134558   0.137485   0.140475   0.143530               49.33    42.55
Royal Bank of Canada     78008GBV3 05/30/08 11/30/12    100.000     0.000    4.6199              0.143857   0.147180   0.150580   0.154058               52.59    50.17
Royal Bank of Canada     78008GBX9 05/30/08 05/31/11    100.000     0.000    4.1200              0.126728                                                18.88         
Royal Bank of Canada     78008GDW9 05/27/08 08/24/11    100.000     0.000    4.0799              0.124080   0.126611                                     29.37         
Royal Bank of Canada     78008GEN8 06/30/08 06/30/14    100.000     0.000    4.8299              0.151169   0.154819   0.158558   0.162388  0.166309     55.09    57.78
Royal Bank of Canada     78008GGU0 06/30/08 06/30/11    100.000     0.000    4.1200              0.126728                                                22.68         
Royal Bank of Canada     78008GH39 03/31/09 03/31/15    100.000     0.000    5.2300              0.156976   0.161081   0.165294   0.169616  0.174052     58.01    61.08
Royal Bank of Canada     78008GH47 03/31/09 03/31/14    100.000     0.000    5.0300              0.150532   0.154318   0.158199   0.162178  0.166257     55.57    58.40
Royal Bank of Canada     78008GHD7 07/31/08 01/31/13    100.000     0.000    4.3700              0.132351   0.135243   0.138198   0.141218  0.144303     49.05    51.22
Royal Bank of Canada     78008GHH8 07/31/08 07/29/11    100.000     0.000    4.0200              0.120906   0.123336                                     25.59         
Royal Bank of Canada     78008GL83 04/30/09 04/30/12    100.000     0.000    2.9229              0.084807   0.086046   0.087304                          30.91    10.39
Royal Bank of Canada     78008GLE0 07/29/08 01/29/14    100.000     0.000    4.7199              0.143933   0.147330   0.150807   0.154366  0.158009     53.47    56.03
Royal Bank of Canada     78008GLJ9 07/25/08 07/25/12    100.000     0.000    4.5600              0.138620   0.141781   0.145013   0.148320               51.47    30.18
Royal Bank of Canada     78008GLV2 08/05/08 08/06/12    100.000     0.000    4.3999              0.133354   0.136288   0.139286   0.142350               49.40    30.50
Royal Bank of Canada     78008GMC3 08/29/08 09/28/12    100.000     0.000    4.2399              0.128525   0.131250   0.134032   0.136874               47.27    36.30
Royal Bank of Canada     78008GPA4 09/30/08 09/30/13    100.000     0.000    3.6499              0.108995   0.110985   0.113010   0.115072  0.117173     39.96    41.43
Royal Bank of Canada     78008GPD8 09/30/08 09/30/11    100.000     0.000    3.2500              0.096291   0.097855                                     26.18         
Royal Bank of Canada     78008GS45 04/30/09 04/30/29    100.000    VARIES    5.2899              0.141546   0.140147   0.138711   0.137237  0.135724     50.53    49.49
Royal Bank of Canada     78008GSC7 10/31/08 10/31/13    100.000     0.000    3.3799              0.100398   0.102095   0.103821   0.105575  0.107359     36.66    37.91
Royal Bank of Canada     78008HBH2 08/14/09 08/14/29*   100.000    VARIES    5.1500              0.135304   0.135427                                     30.19*        
Royal Bank of Canada     78008HHA1 09/30/09 09/30/14    100.000     0.000    3.0100              0.086147   0.087443   0.088760   0.090095  0.091451     31.48    32.44
Royal Bank of Canada     78008HHK9 09/28/09 09/28/29*   100.000    VARIES    4.6900              0.121962   0.122100                                     32.59*        
Royal Bank of Canada     78008HKB5 10/30/09 10/31/12    100.000     0.000    2.1099              0.059854   0.060486   0.061124   0.061769               21.74    18.39
Royal Bank of Canada     78008HLM0 10/30/09 10/30/14    100.000     0.000    3.1599              0.090573   0.092004   0.093458   0.094935  0.096435     33.04    34.09
Royal Bank of Canada     78008HNN6 11/30/09 11/28/14    100.000     0.000    2.8231              0.080637   0.081776   0.082930   0.084101  0.085288     29.31    30.14
Royal Bank of Canada     78008HQJ2 11/27/09 11/27/12    100.000     0.000    1.8099              0.051192   0.051655   0.052122   0.052594               18.54    17.08
Royal Bank of Canada     78008HQQ6 11/25/09 11/25/14    100.000     0.000    2.9000              0.082909   0.084111   0.085331   0.086568  0.087823     30.15    31.03
Royal Bank of Canada     78008HRB8 12/31/09 06/30/15    100.000     0.000    3.3099              0.095013   0.096585   0.098184   0.099809  0.101461     34.49    35.64
Royal Bank of Canada     78008HUA6 01/28/10 01/28/20    100.000    VARIES    4.5517              0.127418   0.128422   0.129448   0.130497  0.131571     46.36    47.11
Royal Bank of Canada     78008HWF3 02/16/10 02/16/17    100.000    VARIES    3.8707              0.108393   0.109281   0.110186   0.111109  0.112050     39.42    40.08
Royal Bank of Canada     78008HZE3 03/31/10 03/31/14    100.000     0.000    2.7599              0.077725   0.078797   0.079885   0.080987  0.082105     28.37    29.16
Royal Bank of Canada     78008K3K7 04/20/11 04/20/16    100.000     0.000    2.7665                         0.076847   0.077910   0.078988  0.080081     19.36    28.40
Royal Bank of Canada     78008KDT7 07/15/10 07/16/15    100.000     0.000    2.3886              0.066356   0.067148   0.067950   0.068762  0.069583     24.29    24.88
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES    4.1702                         0.115841   0.116519   0.117211  0.117147     31.45    42.13
Royal Bank of Canada     78008KPH0 10/29/10 10/30/15    100.000     0.000    1.8491              0.051368   0.051843   0.052322   0.052806  0.053294     18.64    18.98
Royal Bank of Canada     78008KRQ8 11/30/10 11/30/15    100.000     0.000    2.1099              0.058611   0.059229   0.059854   0.060486  0.061124     21.25    21.70
Royal Bank of Canada     78008KWY5 12/30/10 12/30/31*   100.000     0.000    5.5237              0.153437   0.157674                                     55.85*        
Royal Bank of Canada     78008KYV9 01/27/11 01/27/31    100.000    VARIES    4.9792                         0.138312   0.135531   0.132681  0.132772     45.77    47.85
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78008TAV6 05/27/11 05/27/26    100.000     4.370    4.3699                         0.121389   0.121389   0.121389  0.121389     25.98    43.70
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES    4.0299                                    0.111944   0.109722  0.107455     14.89    39.30
Royal Bank of Scotland   78009KAA0 07/16/03 01/16/14    100.000     0.000    4.1274              0.152607   0.155756   0.158970   0.162251  0.165600     56.56    58.91
Royal Bank of Scotland   78009KAB8 01/13/05 01/13/20    100.000    VARIES    4.7500              0.129865   0.130144   0.130430   0.130723  0.131062     46.90    47.11
Royal Bank of Scotland   78009KEF5 03/31/10 03/31/14    100.000     0.000    2.6710              0.075186   0.076190   0.077207   0.078238  0.079283     27.43    28.17
Royal Bank of Scotland   78009KFP2 04/30/10 04/30/14    100.000     0.000    2.6792              0.075419   0.076430   0.077454   0.078491  0.079543     27.46    28.20
Royal Bank of Scotland   78009KLF7 08/11/10 08/11/20    100.000    VARIES    4.9855              0.138487   0.138996   0.139518   0.140053  0.140602     50.09    50.47
Royal Bank of Scotland   78009KMB5 08/19/10 08/19/17    100.000    VARIES    2.6315              0.021988   0.020402   0.018795   0.019043  0.019294      7.21     6.88
Royal Bank of Scotland   78009KME9 09/16/10 09/16/20    100.000    VARIES    3.6714              0.024957   0.024064   0.023154   0.022228  0.021285      8.64     7.97
Royal Bank of Scotland   78009KMF6 09/20/10 09/20/17    100.000    VARIES    2.5212              0.020312   0.018904   0.017477   0.017697  0.017921      6.77     6.38
Royal Bank of Scotland   78009KMG4 09/30/10 09/28/18    100.000    VARIES    N/A                 0.019139   0.018239   0.017544   0.016840  0.016214      6.67     6.17
Royal Bank of Scotland   78009KMV1 10/29/10 10/29/20    100.000    VARIES    2.4406              0.012239   0.011046   0.009839   0.009959  0.010080      4.04     3.58
Royal Bank of Scotland   78009KNB4 10/27/10 10/27/17    100.000    VARIES    2.4218              0.024552   0.023868   0.023176   0.022476  0.021768      8.63     8.13
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES    5.5208              0.153358   0.149923   0.146394   0.146500  0.146609     54.28    52.73
Royal Bank of Scotland   78009KNR9 11/16/10 11/16/20    100.000    VARIES    4.5134              0.125373   0.125695   0.126024   0.126360  0.126704     45.22    45.46
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES    5.3208              0.147801   0.145082   0.142291   0.139425  0.136483     52.62    50.60
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES    5.7103              0.158622   0.154426   0.150111   0.150238  0.150369     56.34    54.06
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES    5.4493                         0.151372   0.146414   0.141321  0.141475     45.70    51.17
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES    5.5246                         0.153463   0.153099   0.152724  0.152756     43.85    55.01
Royal Bank of Scotland   78009KRL8 03/15/11 03/15/16    100.000    VARIES    4.1566                         0.115462   0.115553   0.115645  0.115624     33.03    41.62
Royal Bank of Scotland   78009KRY0 03/31/11 03/31/18    100.000    VARIES    4.3799                         0.121665   0.121288   0.120902  0.120959     32.94    43.56
Royal Bank of Scotland   78009KSD5 04/12/11 04/12/26    100.000    VARIES    4.8417                         0.134494   0.131025   0.127473  0.127651     34.56    46.26
Royal Bank of Scotland   78009PAF8 04/29/11 04/29/16    100.000     0.000    3.8637                         0.107328   0.109401   0.111515  0.113669     26.10    40.03
Royal Bank of Scotland   78009PAG6 05/16/11 08/16/16    100.000     0.000    3.5178                         0.097719   0.098578   0.100312  0.102077     22.10    36.27
Royal Bank of Scotland   78009PAL5 05/31/11 11/30/16    100.000     0.000    3.6087                         0.100242   0.102050   0.103892  0.105766     21.21    37.18
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES    4.4728                         0.124246   0.124540   0.124841  0.125148     26.85    44.91
Royal Bank of Scotland   78009PAN1 06/15/11 12/15/16    100.000     0.000    3.5863                         0.099621   0.101407   0.103225  0.105076     19.55    36.89
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES    2.5504                         0.016680   0.015930   0.015169  0.014399      3.27     5.57
Royal Bank of Scotland   78009PAX9 07/29/11 07/29/16    100.000     0.000    3.8218                                    0.106162   0.108191  0.110258     16.14    39.21
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES    2.8321                                    0.023116   0.021976  0.020820      3.70     7.75
Royal Bank of Scotland   78009PBG5 08/31/11 02/28/17    100.000     0.000    4.0027                                    0.109966   0.110948  0.115044     13.53    41.05
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES    4.7434                                    0.131763   0.126982  0.122088     16.47    45.36
Royal Bank of Scotland   78009PBM2 08/31/11 03/01/16    100.000     0.000    3.5003                         0.097231   0.097242   0.098944  0.100676     11.77    35.73
Royal Bank of Scotland   78009PBR1 09/30/11 03/30/17    100.000     0.000    3.8461                                    0.106838   0.108893  0.110987      9.72    39.21
Royal Bank of Scotland   78009PBV2 09/30/11 09/30/16    100.000    VARIES    2.7074                                    0.009373   0.008899  0.008417       .85     3.20
Royal Bank of Scotland   78009PCD1 12/06/11 06/07/17    100.000     0.000    5.2976                         0.147155   0.147178   0.151076  0.155078      3.68    53.88
Royal Bank of Scotland   78011PAA5 11/30/11 11/30/26    100.000    VARIES    5.2303                                    0.145289   0.144003  0.142684      4.50    51.99
Royal Caribbean Cruises  780153AT9 07/06/09 07/15/15     97.399    11.875   12.5022     4.78     0.009501   0.010095   0.010726   0.011397  0.012109      3.73     4.21
Ryerson Holding Corp.    783754AA2 01/29/10 02/01/15     45.598     0.000    N/A                 0.206433   0.224006   0.259822   0.285519  0.314049     85.49   106.30
Ryerson Holding Corp.    783754AB0 01/29/10 02/01/15     45.598     0.000    N/A                 0.206433   0.224006   0.259822   0.285519  0.314049     85.49   106.30
SG Structured Prods,Inc. 78423A2D3 07/29/11 07/29/31    100.000    VARIES    3.8135                                    0.105933   0.099213  0.092366     16.10    34.86
SG Structured Prods,Inc. 78423A2E1 07/29/11 07/29/31    100.000    VARIES    3.8227                                    0.106187   0.101315  0.096349     16.14    35.86
SG Structured Prods,Inc. 78423A2P6 07/29/11 07/29/31    100.000    VARIES    3.8133                                    0.105926   0.100928  0.095834     16.10    35.70
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 78423A3B6 08/31/11 08/29/31    100.000    VARIES    3.8090                                    0.103506   0.099887  0.094468     12.73    36.09
SG Structured Prods,Inc. 78423AA28 11/10/10 11/06/40    100.000     3.632    3.6319              0.100889   0.100889   0.100889   0.100889  0.100889     36.32    36.32
SG Structured Prods,Inc. 78423AC34 12/30/10 12/30/13    100.000     0.000    1.3654              0.037930   0.038189   0.038450   0.038712  0.038976     13.70    13.89
SG Sreuctured Prods,Inc. 78423AC42 12/31/10 12/31/30    100.000    VARIES    4.1615              0.115599   0.111069   0.106444   0.105394  0.104322     40.79    38.13
SG Structured Prods,Inc. 78423AD90 01/31/11 01/31/31    100.000    VARIES    4.1899                         0.116387   0.111842   0.107202  0.102464     37.84    38.01
SG Structured Prods,Inc. 78423AE99 02/25/11 02/25/26    100.000    VARIES    3.9927                         0.110910   0.106358   0.101716  0.101964     33.36    36.90
SG Structured Prods,Inc. 78423AF80 02/28/11 02/28/31    100.000    VARIES    4.1578                         0.112985   0.108605   0.101749  0.102375     34.15    37.72
SG Structured Prods,Inc. 78423AG63 03/18/11 03/18/21    100.000    VARIES    4.1693                         0.115816   0.114756   0.113674  0.113914     32.67    41.03
SG Structured Prods,Inc. 78423AH62 03/09/11 03/09/16    100.000     0.000    2.4340                         0.067613   0.068436   0.069269  0.070112     19.84    24.97
SG Structured Prods,Inc. 78423AJ45 03/31/11 03/31/26    100.000    VARIES    3.9820                         0.110612   0.106730   0.102772  0.098734     29.62    36.98
SG Structured Prods,Inc. 78423AK43 03/31/11 03/31/31    100.000    VARIES    4.2707                         0.118633   0.114048   0.109366  0.108403     31.73    39.70
SG Structured Prods,Inc. 78423AL75 03/31/11 03/31/31    100.000    VARIES    4.2878                         0.119106   0.112131   0.105006  0.104073     31.64    38.35
SG Structured Prods,Inc. 78423AM74 04/29/11 08/02/13    100.000     0.000    0.7726                         0.021463   0.021506   0.021589  0.021672      5.20     7.78
SG Structured Prods,Inc. 78423AP48 04/29/11 04/29/31    100.000    VARIES    4.1591                         0.115532   0.108114   0.100542  0.099535     27.50    37.03
SG Structured Prods,Inc. 78423AR20 04/29/11 04/30/26    100.000    VARIES    4.1342              0.114839   0.114821   0.111453   0.108015  0.106393     27.58    39.20
SG Structured Prods,Inc. 78423AR46 04/29/11 04/30/12    100.000     0.000    0.5526              0.015352   0.015353   0.015395                           3.72     1.83
SG Structured Prods,Inc. 78423AT93 05/31/11 05/30/31    100.000    VARIES    4.0970                         0.111332   0.107293   0.100786  0.101066     23.81    37.87
SG Structured Prods,Inc. 78423AU26 05/31/11 05/30/23    100.000    VARIES    4.1099                         0.111684   0.111289   0.108432  0.110304     24.00    40.17
SG Structured Prods,Inc. 78423AU75 05/31/11 05/30/31    100.000    VARIES    4.0953                         0.111286   0.108086   0.102423  0.101650     23.82    38.31
SG Structured Prods,Inc. 78423AU83 05/31/11 05/29/26    100.000    VARIES    4.1202                         0.111963   0.109902   0.105349  0.103610     24.00    39.18
SG Structured Prods,Inc. 78423AV90 06/17/11 06/16/17    100.000     0.000    2.1964                         0.061014   0.061680   0.062357  0.063042     11.85    22.35
SG Structured Prods,Inc. 78423AW65 06/30/11 06/30/31    100.000    VARIES    4.0039                         0.111221   0.106497   0.101677  0.099099     20.13    37.46
SG Structured Prods,Inc. 78423AW73 06/30/11 06/30/31    100.000    VARIES    4.0072                         0.108894   0.104039   0.096803  0.096903     20.14    36.74
SG Structured Prods,Inc. 78423AW81 06/30/11 06/30/23    100.000    VARIES    3.9769                         0.110471   0.108803   0.107103  0.107395     19.99    38.86
SG Structured Prods,Inc. 78423AW99 06/30/11 06/30/26    100.000    VARIES    3.9853                         0.108298   0.106195   0.101719  0.102340     20.03    38.04
SG Structured Prods,Inc. 78423AY55 06/30/11 07/30/12    100.000     0.000    0.4618                         0.012828   0.012833   0.012862                2.32     2.69
SG Structured Prods,Inc. 78423AYJ5 08/31/10 08/29/25    100.000     7.380    3.6971              0.101015   0.099720   0.096753   0.095876  0.093387     36.10    34.83
SG Structured Prods,Inc. 78423AYN6 09/30/10 09/30/15    100.000     0.000    1.9321              0.053672   0.054191   0.054714   0.055243  0.055777     19.51    19.89
SG Structured Prods,Inc. 78423AZA3 10/29/10 04/29/16    100.000     0.000    1.7220              0.047836   0.048248   0.048663   0.049082  0.049505     17.35    17.65
SG Structured Prods,Inc. 78423AZY1 11/10/10 11/06/40    100.000     3.632    3.6319              0.100889   0.100889   0.100889   0.100889  0.100889     36.32    36.32
SG Structured Prods,Inc. 78423AZZ8 11/10/10 11/06/40    100.000     3.632    3.6319              0.100889   0.100889   0.100889   0.100889  0.100889     36.32    36.32
SLM Corporation          78442FCY2 10/01/04 10/01/14    100.000    VARIES    5.0009              0.138213   0.138294   0.138376   0.138461  0.138547     49.79    49.85
Sabine Pass LNG, LP      785583AG0 09/15/08 11/30/16     79.000     7.500   11.5231    40.89     0.057060   0.060348   0.063825   0.067502  0.071391     21.34    23.87
Sabine Pass LNG, LP      785583AH8 09/15/08 11/30/16     79.000     7.500   11.5231    40.89     0.057060   0.060348   0.063825   0.067502  0.071391     21.34    23.87
SCH DIST Clair CNTY, IL  788550JJ1 06/15/11 01/01/15    102.478    VARIES    3.4880              0.099290   0.099444   0.101179   0.098643               19.49    35.97
SCH DIST Clair CNTY, IL  788550JK8 06/15/11 01/01/16    103.086    VARIES    3.9878              0.114192   0.114395   0.116676   0.113506               22.42    41.43
SCH DIST Clair CNTY, IL  788550JL6 06/15/11 01/01/17    103.641    VARIES    4.4873              0.129187   0.129444   0.132349   0.128483               25.37    46.95
SCH DIST Clair CNTY, IL  788550JM4 06/15/11 01/01/18    102.758    VARIES    4.9870              0.142348   0.142664   0.146221   0.141910               27.96    51.86
San Luis Obispo County   798703AQ7 07/02/03 09/01/18     45.439     0.000    5.2695   216.81     0.096551   0.099095   0.101706   0.104386  0.107136     35.83    37.75
San Luis Obispo County   798703AR5 07/02/03 09/01/19     42.462     0.000    5.3695   207.20     0.092582   0.095068   0.097620   0.100241  0.102932     34.38    36.25
San Luis Obispo County   798703AS3 07/02/03 09/01/20     39.603     0.000    5.4695   197.57     0.088573   0.090995   0.093484   0.096040  0.098667     32.91    34.74
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000    5.5395   187.74     0.084360   0.086696   0.089097   0.091565  0.094101     31.36    33.12
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000    5.5995   178.07     0.080175   0.082420   0.084727   0.087099  0.089538     29.81    31.51
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000    5.6397   168.63     0.076024   0.078168   0.080372   0.082639  0.084969     28.28    29.89
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000    5.6796   159.55     0.072028   0.074074   0.076177   0.078341  0.080565     26.80    28.34
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000    5.6997   150.85     0.068146   0.070088   0.072085   0.074140  0.076253     25.35    26.82
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000    5.7297   142.55     0.064459   0.066306   0.068206   0.070160  0.072170     23.99    25.38
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000    5.7297   134.72     0.060919   0.062664   0.064459   0.066306  0.068206     22.67    23.99
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000    5.7296   127.32     0.057573   0.059222   0.060919   0.062664  0.064459     21.42    22.67
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000    5.7297   120.33     0.054411   0.055969   0.057573   0.059222  0.060919     20.25    21.42
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000    5.7298   113.72     0.051422   0.052895   0.054411   0.055969  0.057573     19.14    20.25
Service Master, Co.      81760NAE9 07/24/08 07/15/15     97.266    10.750   11.3274              0.307857   0.308380   0.308934   0.309518  0.310136    111.10   111.52
Service Master, Co.      81760NAF6 07/24/08 07/15/15     97.266    10.750   11.3274              0.307857   0.308380   0.308934   0.309518  0.310136    111.10   111.52
Service Master, Co.      81760NAG4 07/24/08 07/15/15     97.266    10.750   11.3274              0.307857   0.308380   0.308934   0.309518  0.310136    111.10   111.52
Shelby CNTYS, SD #21, IL 821510AP9 06/08/10 12/01/11    104.598     0.000    1.9519              0.057245   0.057803                                     18.99         
Shelby CNTYS, SD #21, IL 821510AQ7 06/08/10 12/01/12    106.675    VARIES    2.4625              0.073834   0.074743   0.070277   0.069346               26.64    23.02
Shelby CNTYS, SD #21, IL 821510AR5 06/08/10 12/01/13    107.980    VARIES    2.9663              0.090242   0.091581   0.086265   0.085319  0.084360     32.61    30.83
Shelby CNTYS, SD #21, IL 821510AS3 06/08/10 12/01/14    108.333    VARIES    3.4682              0.106109   0.107949   0.101873   0.100990  0.100092     38.40    36.46
Silgan Holdings Inc.     827048AM1 05/12/09 08/15/16     97.280     7.250    7.7468     4.90     0.008747   0.009086   0.009438   0.009803  0.010183      3.30     3.56
Sinclair Broadcast Group 829226AS8 05/20/03 07/15/18    100.000    VARIES    9.2480              0.367380   0.378107   0.393021   0.407992  0.423654    138.44   149.27
Sinclair Broadcast Group 829226AU3 05/20/03 07/15/18    100.000    VARIES    9.2480              0.367380   0.378107   0.393021   0.407992  0.423654    138.44   149.27
Sinclair Broadcast Group 829226AV1 06/15/05 09/15/12*    81.000     6.000    9.7100   133.04     0.085256   0.089395                                      8.99*        
Sinclair Broadcast Group 829226AW9 05/10/07 05/15/27    100.000    VARIES    7.7902              0.257391   0.264171   0.271215   0.278533  0.286136     94.52    99.64
Solectron Corporation    834182AK3 05/08/00 05/08/20     57.912     0.000    2.7499   195.47     0.058930   0.059741   0.060562   0.061395  0.062239     21.45    22.04
Solo Cup Company         83427BAA4 07/02/09 11/01/13     97.928    10.500   11.1154     6.12     0.012357   0.013044   0.013769   0.014534  0.015342      4.66     5.19
Southern CMNTY CAP II    842633208 12/31/10 12/31/33    100.000     7.950    7.9499              0.220833   0.229612   0.238739   0.248228  0.258095     81.10    87.67
Sovereign Bancorp, Inc.  846048205 02/26/04 03/01/34    100.000    VARIES    7.4512              0.259151   0.264278   0.269596   0.275113  0.280835     95.47    99.40
Spartan Stores, Inc.     846822AD6 05/29/07 05/15/27    100.000    VARIES    8.2501              0.272906   0.280296   0.287992   0.296004  0.304347    100.27   105.87
Spartan Stores, Inc.     846822AE4 05/29/07 05/15/27    100.000    VARIES    8.2501              0.272906   0.280296   0.287992   0.296004  0.304347    100.27   105.87
Spectrum Brands, Inc.    84762LAE5 08/28/09 08/28/19     86.000    12.000    N/A                 0.420648   0.424154   0.427927   0.431987  0.436356    152.96   155.82
Spirit Aerosystems, Inc. 85205TAA8 09/30/09 10/01/17     97.804     7.500    7.8750     2.61     0.006068   0.006307   0.006555   0.006813  0.007081      2.27     2.45
Spirit Aerosystems, Inc. 85205TAB6 09/30/09 10/01/17     97.804     7.500    7.8750     2.61     0.006068   0.006307   0.006555   0.006813  0.007081      2.27     2.45
St. Clair CNTY SD#522,IL 85227XCS2 07/01/10 12/01/11     98.192     0.000    1.2918     6.35     0.035426   0.035655                                     11.73         
St. Clair CNTY SD#522,IL 85227XCT0 07/01/10 12/01/12    100.590    VARIES    1.7284              0.048645   0.049065   0.048137   0.048075               17.57    15.87
St. Clair CNTY SD#522,IL 85227XCU7 07/01/10 12/01/13    100.650    VARIES    2.2805              0.064366   0.065100   0.063599   0.063538  0.063475     23.28    22.88
St. Clair CNTY SD#522,IL 85227XCV5 07/01/10 12/01/14    101.031    VARIES    2.7378              0.077711   0.078774   0.076621   0.076529  0.076436     28.13    27.56
St. Clair CNTY SD#522,IL 85227XCW3 07/01/10 12/01/15    100.491    VARIES    3.1869              0.090143   0.091579   0.088900   0.088856  0.088811     32.67    31.99
Stephenson Ogle ETC CNTY 859103CE1 11/04/09 01/01/12     99.809    VARIES    2.4893              0.069088   0.069118                                     24.88         
Stephenson Ogle ETC CNTY 859103CF8 11/04/09 01/01/13     99.722    VARIES    2.9892              0.082891   0.082926   0.082962   0.082998               29.85    29.87
Stephenson Ogle ETC CNTY 859103CG6 11/04/09 01/01/14    103.872    VARIES    3.4851              0.099587   0.099144   0.098693   0.098235               35.77    35.45
Stephenson Ogle ETC CNTY 859103CH4 11/04/09 01/01/15    102.111    VARIES    3.9859              0.112603   0.112383   0.112159   0.111931               40.50    40.34
STMicroelectronics N.V.  861012AF9 02/23/06 02/23/16    100.000     0.000    1.4999              0.044564   0.044898   0.045235   0.045574  0.045916     16.19    16.43
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600   10.4989              0.316852   0.316570   0.316273   0.315961  0.315632    113.96   113.74
Symbion, Inc.            871507AE9 06/14/11 06/15/16     98.492     8.000    8.3751              0.006890   0.006914   0.007204   0.007505  0.007820      1.37     2.66
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Synovus Financial Corp.  87161C204 05/04/10 05/15/13    100.000    13.000    N/A                 0.294342   0.239554   0.181147   0.118881  0.052502     90.89    48.09
Synovus Financial Corp.  87161C303 05/04/10 05/15/13    100.000    13.000    N/A                 0.294342   0.239554   0.181147   0.118881  0.052502     90.89    48.09
Tabletop Holdings, Inc.  87336NAA9 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340270   0.340270   0.340269   0.340268  0.340268    122.50   122.50
Tabletop Holdings, Inc.  87336NAB7 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340270   0.340270   0.340269   0.340268  0.340268    122.50   122.50
Tazewell CNTY SD#102, IL 877741BX5 04/07/10 12/01/13    100.040    VARIES    2.3840              0.067279   0.068081   0.066244   0.066239  0.066234     24.33    23.85
Tenet Healthcare Corp.   88033GBD1 03/03/09 05/01/15     89.500     9.000   11.4189    24.13     0.040766   0.043093   0.045554   0.048155  0.050904     15.38    17.19
Tenet Healthcare Corp.   88033GBE9 03/03/09 05/01/15     89.500     9.000   11.4189    24.13     0.040766   0.043093   0.045554   0.048155  0.050904     15.38    17.19
Tenet Healthcare Corp.   88033GBF6 03/03/09 05/01/18     89.500    10.000   11.9135    13.15     0.022315   0.023645   0.025053   0.026546  0.028127      8.44     9.47
Tenet Healthcare Corp.   88033GBG4 03/03/09 05/01/18     89.500    10.000   11.9135    13.15     0.022315   0.023645   0.025053   0.026546  0.028127      8.44     9.47
Tenet Healthcare Corp.   88033GBH2 06/15/09 07/01/19     95.229     8.875    9.6265     4.75     0.009388   0.009840   0.010314   0.010810                3.46     3.80
Tenet Healthcare Corp.   88033GBJ8 06/15/09 07/01/19     95.229     8.875    9.6265     4.75     0.009388   0.009840   0.010314   0.010810                3.46     3.80
Terex Corporation        880779AW3 06/03/09 06/01/16     97.633    10.875   11.3747     3.87     0.007554   0.007984   0.008438   0.008918  0.009425      2.82     3.15
Tesoro Corporation       881609AW1 06/05/09 06/01/19     96.172     9.750   10.3745     3.78     0.007343   0.007724   0.008125   0.008546  0.008989      2.74     3.03
Thermwood Corporation    883672AC1 04/27/99 04/27/14     45.454    12.000   27.1328   227.69     0.172532   0.195938   0.222520   0.252708  0.286992     69.52    89.67
3M Company               88579YAA9 11/21/02 11/21/32*    86.087    VARIES    N/A                 0.155573   0.159106                                     38.80*        
3M Company               88579YAB7 11/21/02 11/21/32*    86.087    VARIES    N/A                 0.155573   0.159106                                     38.80*        
3M Company               88579YAC5 11/21/02 11/21/32*    86.087    VARIES    N/A                 0.155573   0.159106                                     38.80*        
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES    8.8000              0.145117   0.151502   0.158168   0.165128  0.172393     55.56    60.55
Toyota Motor Credit Corp 89233PA22 12/12/06 12/12/16    100.000     0.000    4.9609              0.167647   0.171805   0.176067   0.180434  0.184910     61.26    64.34
Toyota Motor Credit Corp 89233PA97 01/18/07 01/20/37     13.723     0.000    6.7298    41.05     0.032354   0.033442   0.034568   0.035731  0.036933     12.20    13.03
Toyota Motor Credit Corp 89233PR32 02/01/08 02/01/23*   100.000    VARIES    5.1590              0.134489   0.132570                                     27.90*        
Toyota Motor Credit Corp 89233PS72 02/28/08 02/28/28*   100.000    VARIES    5.9780              0.154782   0.153469                                     36.76*        
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000    4.8000    33.71     0.036178   0.037046   0.037935   0.038845  0.039778     13.34    13.99
Toyota Motor Credit Corp 89233PZQ2 10/24/06 10/24/16    100.000    VARIES    6.2020              0.161742   0.162480   0.163241   0.164026  0.164835     58.46    59.01
Toyota Motor Credit Corp 89233PZU3 11/29/06 11/29/13    100.000     0.500    5.0554              0.168398   0.172304   0.176308   0.180414  0.184623     61.58    64.48
Trenton, City of         895130J60 03/13/03 04/01/11     69.016     0.000    4.6597   298.45     0.126491                                                11.38         
Trenton, City of         895130J78 03/13/03 04/01/12     64.697     0.000    4.8697   294.73     0.125851   0.128915   0.132054                          46.42    11.88
Trenton, City of         895130J86 03/13/03 04/01/13     60.578     0.000    5.0498   288.14     0.123831   0.126958   0.130163   0.133450  0.136819     45.71    48.05
Trenton, City of         895130J94 03/13/03 04/01/14     56.464     0.000    5.2397   280.70     0.121447   0.124629   0.127894   0.131244  0.134683     44.87    47.26
Trenton, City of         895130K27 03/13/03 04/01/15     52.558     0.000    5.4098   271.52     0.118184   0.121381   0.124664   0.128036  0.131499     43.70    46.10
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000    6.1698   190.62     0.085208   0.087837   0.090547   0.093340  0.096220     31.63    33.61
Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36    100.000    VARIES    8.5854              0.298383   0.306571   0.315110   0.324017  0.333305    109.39   115.59
UBS AG                   90261J533 02/13/07 05/14/12    100.000     0.000    5.1800              0.173346   0.174936   0.181439                          63.95    24.31
UBS AG                   90261J772 11/30/06 05/31/11    100.000     0.000    4.9842              0.168586                                                25.12         
UBS AG                   90261JCJ0 09/22/08 09/22/11    100.000     0.000    3.2414              0.096021   0.097577                                     25.34         
UBS AG                   90261JCM3 10/30/08 10/31/11    100.000     0.000    3.1851              0.094248   0.095749                                     28.45         
UBS AG                   90261JEC3 10/13/09 10/15/24*   100.000    VARIES    4.7485              0.123512   0.121529                                     23.54*        
UBS AG                   90261JEJ8 10/29/09 10/29/24    100.000    VARIES    4.7011              0.121605   0.119362   0.117067   0.114718  0.112313     43.09    41.43
UBS AG                   90261JER0 10/30/09 10/29/12    100.000     0.000    2.8210              0.080584   0.081721   0.082873   0.084042               29.36    24.91
UBS AG                   90261JFX6 08/06/10 08/06/25    100.000    VARIES    4.7391              0.131644   0.129654   0.127616   0.125531  0.123395     46.45    44.95
UBS AG                   90261JGA5 10/14/10 10/14/25    100.000    VARIES    3.8934              0.108153   0.106886   0.105595   0.104278  0.102936     38.51    37.57
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
UBS AG                   90261JGE7 11/24/10 11/24/25    100.000    VARIES    4.2920              0.119224   0.117707   0.116158   0.114576  0.112960     42.53    41.41
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES    4.6496                         0.129156   0.129802   0.130463  0.131138     35.71    46.98
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES    2.4224                                    0.067289   0.066422  0.065544      6.73    23.89
UBS AG                   90261JHQ9 09/23/11 09/23/19    100.000    VARIES    2.3047                                    0.005410   0.005012  0.004608       .53     1.80
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES    2.5378                                    0.011607   0.010436  0.009250      1.07     3.75
UBS AG                   90261KBZ2 12/24/02 10/07/11    100.000     0.000    4.4124              0.172181   0.175980                                     48.21         
UBS AG                   90261KFS4 10/31/03 01/31/12    100.000     0.000    4.3914              0.163556   0.167147   0.170817                          60.62     4.95
UBS AG                   90261KHK9 02/27/04 05/31/11    100.000     0.000    3.9738              0.144036                                                21.46         
UBS AG                   90261KHL7 03/31/04 01/03/12    100.000     0.000    3.7505              0.131466   0.133931   0.136442                          48.66      .27
UBS AG                   90261KHS2 05/28/04 05/31/11    100.000     0.000    4.8441              0.183740                                                27.38         
UBS AG                   90261KJE1 10/29/04 11/07/12    100.000     2.810    4.0782              0.122304   0.121206   0.123463   0.123054               44.50    38.32
UBS AG                   90261KJW1 02/28/05 05/31/11    100.000     0.000    4.5353              0.163052                                                24.29         
UBS AG                   90261KKW9 06/30/05 12/30/11    100.000     0.000    4.1500              0.144499   0.147497                                     52.41         
UBS AG                   90261KLN8 07/25/05 04/29/11    100.000     0.000    4.7399              0.168478                                                19.88         
UBS AG                   90261XCT7 01/12/07 01/12/47      7.389     0.000    6.6201    21.80     0.017067   0.017632   0.018215   0.018818  0.019441      6.44     6.87
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES    5.7801              0.141545   0.138216   0.134792   0.131269  0.127643     49.27    46.74
UBS AG                   90261XEE8 10/09/07 10/09/37     12.693     0.000    7.0001    31.59     0.030340   0.031402   0.032501   0.033638  0.034816     11.29    12.09
UBS AG                   90261XEU2 03/06/08 03/06/18    100.000    VARIES    4.6051              0.124559   0.123711   0.123105   0.122486  0.122149     44.52    44.10
UBS AG                   902644525 05/30/08 05/31/11    100.000     0.000    3.6277              0.109048                                                16.36         
UBS AG                   902644707 06/30/08 06/30/11    100.000     0.000    4.0855              0.125563                                                22.48         
UBS AG                   90264M350 09/30/08 03/31/11    100.000     0.000    3.8118              0.114192                                                10.16         
UBS AG                   90264M863 01/30/09 01/31/11    100.000     0.000    1.4325              0.039772                                                 1.19         
UBS AG                   90265G162 02/27/09 02/28/11    100.000     0.000    4.1150              0.120852                                                 7.01         
UBS AG                   90265G329 03/31/09 03/31/11    100.000     0.000    4.1678              0.123165                                                10.96         
UBS AG                   90265G535 04/30/09 04/29/11    100.000     0.000    4.1266              0.121857                                                14.38         
UBS AG                   90265G659 06/10/09 06/11/12    100.000     0.000    4.9453              0.147837   0.151492   0.155238                          54.03    24.84
UBS AG                   90265G691 06/23/09 06/25/12    100.000     0.000    4.5858              0.136385   0.139513   0.142712                          49.70    24.83
UBS AG                   902669233 11/30/10 11/30/12    100.000     0.000    0.7458              0.020717   0.020794   0.020872   0.020950                7.48     6.88
UBS AG                   902669258 01/31/11 01/31/13    100.000     0.000    0.6468                         0.017968   0.018026   0.018085  0.018143      5.96     6.52
US Oncology Holdings,Inc 90342DAC3 03/13/07 03/15/12*    98.000     9.797    N/A                 0.258422                                                 7.49*        
US Oncology Holdings,Inc 90342DAD1 03/13/07 03/15/12*    98.000     9.797    N/A                 0.258422                                                 7.49*        
Union CNTY SD #531, IL   904842CU3 05/17/11 12/01/16     99.662    VARIES    3.6779              0.101820   0.101965   0.103840   0.105750  0.101871     22.89    37.67
Union CNTY SD #531, IL   904842CV1 05/17/11 12/01/17    108.762    VARIES    4.1179              0.124411   0.124610   0.127176   0.129794  0.122235     27.99    46.11
Union CNTY SD #531, IL   904842CW9 05/17/11 12/01/18    107.234    VARIES    4.3707              0.130193   0.130414   0.133264   0.136176  0.128578     29.30    48.36
Union City, NJ           905734MC0 02/07/07 11/01/13     69.720     0.000    5.4276   162.08     0.128392   0.131877   0.135456   0.139132  0.142907     47.27    49.87
Union City, NJ           905734MD8 02/07/07 11/01/14     65.880     0.000    5.4688   154.43     0.122424   0.125771   0.129210   0.132743  0.136373     45.08    47.58
Union City, NJ           905734ME6 02/07/07 11/01/15     62.150     0.000    5.5197   147.17     0.116784   0.120007   0.123319   0.126722  0.130220     43.01    45.42
Union City, NJ           905734MF3 02/07/07 11/01/16     58.640     0.000    5.5586   139.93     0.111121   0.114210   0.117384   0.120647  0.124000     40.94    43.24
Union City, NJ           905734MG1 02/07/07 11/01/17     55.340     0.000    5.5882   132.83     0.105540   0.108489   0.111520   0.114636  0.117839     38.88    41.09
Unisys Corporation       909214BM9 07/31/09 10/15/14     83.461    12.750   17.7426    31.98     0.069490   0.075241   0.081916   0.089183  0.097628     27.39    32.54
Unisys Corporation       909214BN7 07/31/09 09/15/15     80.450    14.250   19.9112    27.78     0.060538   0.065480   0.072790   0.079166  0.088491     24.33    29.51
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
United Refining Co.      911358AJ8 03/08/11 02/28/18     96.444    10.500   11.2489                         0.009482   0.010102   0.010555  0.011333      2.91     3.93
United Refining Co.      911358AK5 03/08/11 02/28/18     96.444    10.500   11.2489                         0.009482   0.010102   0.010555  0.011333      2.91     3.93
United Technologies Corp 913017AR0 11/13/89 11/15/19     98.974     8.875    8.9741     4.28     0.001243   0.001278   0.001350   0.001395  0.001482       .47      .51
Univ of NC-Chap Hill     914713KS0 08/14/91 02/15/11     17.000     0.000    9.2951   819.14     0.246732                                                10.86         
Univ of NC-Chap Hill     914713KT8 08/14/91 02/15/12     16.000     0.000    9.1409   744.73     0.222055   0.232204   0.242816                          84.59    10.68
Univ of NC-Chap Hill     914713KU5 08/14/91 02/15/13     14.000     0.000    9.3557   683.78     0.206776   0.216449   0.226574   0.237173  0.248268     78.87    86.42
Univ of NC-Chap Hill     914713KV3 08/14/91 02/15/14     13.000     0.000    9.2751   623.60     0.187588   0.196287   0.205390   0.214915  0.224882     71.52    78.31
Univ of NC-Chap Hill     914713KW1 08/14/91 02/15/15     12.000     0.000    9.2278   569.57     0.170802   0.178683   0.186927   0.195552  0.204574     65.10    71.25
Uruguay, Republic        917288AT9 05/29/03 03/25/14     76.000     7.875   11.8705   135.34     0.074130   0.078529   0.083190   0.088128  0.093358     28.35    31.81
Uruguay, Republic        917288AU6 05/29/03 05/04/14     73.000     7.250   11.6875   150.17     0.082828   0.087669   0.092792   0.098214  0.103954     31.26    35.02
Uruguay, Republic        917288AV4 05/29/03 06/22/15     76.000     8.750   12.6875   108.64     0.062880   0.066869   0.071111   0.075623  0.080420     23.43    26.50
Uruguay, Republic        917288AX0 05/29/03 01/20/17     73.000     7.625   11.6165    99.89     0.053222   0.056313   0.059584   0.063044  0.066706     20.74    23.22
Uruguay, Republic        917288AY8 05/29/03 02/15/11     76.500     7.250   12.0060   229.52     0.124632                                                 5.48         
Uruguay, Republic        917288AZ5 05/29/03 03/15/15     71.500     7.500   12.0979   136.94     0.075284   0.079838   0.084668   0.089789  0.095220     28.92    32.52
Uruguay, Republic        917288BA9 05/29/03 01/15/33    100.000     7.875    N/A                 0.132637   0.133218   0.133835   0.134491  0.135187     48.05    48.52
Utah ST Charter SCH FIN  91754TCN1 12/21/10 07/15/15     98.130     8.000    8.5025      .10     0.009542   0.009597   0.010005   0.010431  0.010874      3.52     3.82
Utah Charter School      91754TDG5 05/10/11 05/15/14     97.408     8.000    9.0009              0.021320   0.021350   0.022311   0.023315  0.024364      4.98     8.31
Ventas Realty LP         92276MAR6 04/13/09 06/01/16*    84.250     6.500    9.5994    28.95     0.051406   0.053874                                     10.24*        
Ventas Realty LP         92276MAS4 04/13/09 06/01/16*    84.250     6.500    9.5994    28.95     0.051406   0.053874                                     10.24*        
Ventas Realty LP         92276MAU9 04/13/09 06/01/16*    84.250     6.500    9.5994    28.95     0.051406   0.053874                                     10.24*        
Vermilion & Edg Cntys IL 923439CQ4 07/07/04 12/01/11    103.596    VARIES    5.7572              0.160755   0.160345                                     52.98         
Vermilion & Edg Cntys IL 923439CR2 07/07/04 12/01/12    102.910    VARIES    6.0085              0.168118   0.167827   0.167528   0.167221               60.45    55.23
Vermilion & Edg Cntys IL 923439CS0 07/07/04 12/01/13    103.470    VARIES    6.1103              0.171749   0.171437   0.171116   0.170786  0.170445     61.75    61.52
Vermilion & Edg Cntys IL 923439CT8 07/07/04 12/01/14    103.682    VARIES    6.2118              0.175193   0.174897   0.174592   0.174277  0.173953     63.00    62.78
VeriSign, Inc.           92343EAC6 08/20/07 08/15/37    100.000    VARIES    8.5008              0.277306   0.285255   0.293543   0.302182  0.311189    103.47   109.63
VeriSign, Inc.           92343EAD4 08/20/07 08/15/37    100.000    VARIES    8.5008              0.277306   0.285255   0.293543   0.302182  0.311189    103.47   109.63
Veritas Capital Trust    92343W300 12/22/97 01/01/28    100.000    10.000    9.9999              0.277778   0.277778   0.277778   0.277778              100.00   100.00
Vermilion Cnty IL SD 118 923613CZ4 02/24/06 12/01/12    103.452    VARIES    5.3855              0.151321   0.150907   0.150483   0.150047               54.38    49.58
Vermilion Cnty IL SD #7  92407PAD2 05/10/06 12/01/11    106.419    VARIES    6.3192              0.177932   0.176752                                     58.51         
Virgin Media Finance PLC 92769VAA7 06/03/09 08/15/16     95.574     9.500   10.3878     7.17     0.013433   0.014130   0.014864   0.015636  0.016448      5.16     5.71
Viginia Pub School Auth  92817SPA0 11/13/09 09/15/26     90.643     6.050    7.0049     3.48     0.008816   0.009125   0.009444   0.009775  0.010117      3.30     3.53
WMG Holdings Corp.       92930MAE3 12/23/04 12/15/14*    63.002    VARIES    9.4995              0.263879   0.263879                                     60.16*        
WMG Holdings Corp.       92930MAF0 12/23/04 12/15/14*    63.002    VARIES    9.4995              0.263879   0.263879                                     60.16*        
WMG Acquisition Corp.    92933BAA2 05/28/09 06/15/16     96.289     9.500   10.2522     6.26     0.012058   0.012676   0.013325   0.014009  0.014727      4.47     4.94
Wachovia Corporation     929903342 07/06/07 01/05/11    100.000     0.000    5.3883              0.175534                                                  .70         
Wachovia Corporation     929903623 07/07/06 07/07/11    100.000     2.000    5.6798              0.183442   0.187074                                     34.77         
Wachovia Corporation     929903664 07/03/06 04/30/12    100.000     0.000    5.7522              0.204253   0.210127   0.216171                          75.32    25.72
Wachovia Corporation     929903714 04/06/06 04/01/11    100.000     0.000    5.2167              0.182573                                                16.43         
Wachovia Corporation     929903763 03/06/06 03/01/11    100.000     0.000    4.9696              0.172055                                                10.32         
Wachovia Corporation     929903BB7 02/09/06 02/15/12    100.000     0.000    4.8130              0.165733   0.169722   0.173806                          61.48     7.65
Wachovia Corporation     929903BC5 02/09/06 02/15/12    100.000     2.000    4.8189              0.152651   0.154990   0.157386                          56.02     6.92
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wachovia Corporation     929903DD1 04/05/07 04/15/11    100.000     0.000    4.8580              0.159849                                                16.62         
Walter Industries, Inc.  93317QAB1 04/20/04 05/01/24    100.000    VARIES    7.7498              0.286728   0.293802   0.301151   0.308245  0.315615    105.36   110.56
Walter Industries, Inc.  93317QAC9 04/20/04 05/01/24    100.000    VARIES    7.7498              0.286728   0.293802   0.301151   0.308245  0.315615    105.36   110.56
Wells Fargo & Company    949746FU0 04/30/04 05/05/11    100.000     0.000    3.1299              0.106437                                                13.20         
Wells Fargo & Company    949746FW6 05/25/04 10/25/12    100.000     2.350    5.3000              0.179913   0.182951   0.186069   0.189270               65.72    55.28
Wells Fargo & Company    949746HZ7 07/07/04 10/07/11    100.000     2.900    5.1067              0.164569   0.166714                                     45.81         
Wells Fargo & Company    949746JK8 12/07/04 12/07/11    100.000     0.000    4.4897              0.162789   0.166443                                     55.35         
Wells Fargo & Company    949746ND9 02/07/06 02/07/11    100.000     0.000    5.0600              0.176000                                                 6.34         
Wells Fargo & Company    94986RBC4 11/05/10 05/06/16    100.000     0.000    1.7322              0.048120   0.048536   0.048957   0.049381  0.049808     17.44    17.75
Wells Fargo & Company    94986RBH3 11/05/10 11/05/17    100.000    VARIES    2.5030              0.069528   0.070004   0.070485   0.070910  0.071340     25.17    25.50
Wells Fargo & Company    94986RBP5 12/07/10 12/07/16    100.000     0.000    2.2309              0.061970   0.062661   0.063360   0.064067  0.064781     22.47    22.97
Wells Fargo & Company    94986RBQ3 12/07/10 06/07/17    100.000     0.000    2.4501              0.068060   0.068894   0.069738   0.070593  0.071457     24.69    25.30
Wells Fargo & Company    94986RBY6 01/05/11 01/06/17    100.000     0.000    2.6501              0.073614   0.073620   0.074596   0.075584  0.076586     26.38    27.38
Wells Fargo & Company    94986RBZ3 01/05/11 07/07/17    100.000     0.000    2.7699              0.076943   0.076955   0.078021   0.079102  0.080197     27.58    28.66
Wells Fargo & Company    94986RCG4 02/07/11 02/07/17    100.000     1.250    2.5699                         0.071387   0.071858   0.072335  0.072819     23.20    26.09
Wells Fargo & Company    94986RCP4 02/07/11 02/07/18    100.000     1.500    2.9500                         0.081945   0.082539   0.083142  0.083753     26.64    30.00
Wells Fargo & Company    94986RCW9 03/07/11 03/07/17    100.000     1.250    2.5500                         0.070834   0.071294   0.071760  0.072233     20.88    25.86
Wells Fargo & Company    94986RDD0 03/31/11 03/31/21    100.000    VARIES    4.1708                         0.115858   0.115957   0.116058  0.116161     31.41    41.78
Wells Fargo & Company    94986RDL2 04/29/11 04/30/21    100.000    VARIES    4.3018              0.119495   0.119497   0.119678   0.119862  0.120050     28.93    43.14
Wells Fargo & Company    94986RDU2 06/07/11 06/07/17    100.000     0.000    2.3099                         0.064166   0.064907   0.065656  0.066415     13.11    23.54
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES    4.1140                         0.114280   0.114627   0.114985  0.115351     24.12    41.35
Wells Fargo & Company    94986RDX6 07/06/11 01/08/18    100.000     0.000    1.9900                         0.055279   0.055285   0.055835  0.056391      9.67    20.19
Wells Fargo & Company    94986REQ0 08/05/11 02/07/18    100.000     0.000    2.4202                         0.067230   0.067239   0.068053  0.068876      9.82    24.59
Wells Fargo & Company    94986RFA4 09/08/11 03/07/18    100.000     0.000    2.2999                                    0.063889   0.064620  0.065363      7.22    23.30
Wells Fargo & Company    94986RFL0 10/05/11 10/05/18    100.000     0.000    2.4700                                    0.068611   0.069459  0.070317      5.90    25.00
Wells Fargo & Company    94986RFS5 10/05/11 04/06/18    100.000     0.000    2.3000                         0.063889   0.063894   0.064629  0.065372      5.49    23.26
Wells Fargo & Company    94986RFX4 11/08/11 05/07/18    100.000     0.000    2.3199                                    0.064444   0.065187  0.065944      3.42    23.41
Wendy's Restaurants, LLC 95058TAA5 06/23/09 07/15/16     97.533    10.000   10.5034     3.93     0.007567   0.007964   0.008382   0.008822  0.009286      2.93     3.25
Wendy's Restaurants, LLC 95058TAB3 06/23/09 07/15/16     97.533    10.000   10.5034     3.93     0.007567   0.007964   0.008382   0.008822  0.009286      2.93     3.25
Wesco International,Inc. 95082PAF2 11/02/06 11/15/26    100.000    VARIES    8.0002              0.286909   0.296442   0.306355   0.316665  0.327388    105.90   113.11
Wesco International,Inc. 95082PAG0 11/02/06 11/15/26    100.000    VARIES    8.0002              0.286909   0.296442   0.306355   0.316665  0.327388    105.90   113.11
Wesco International,Inc. 95082PAH8 08/27/09 09/15/29    100.000    VARIES   13.8738              0.418517   0.435987   0.454670   0.474648  0.496013    157.64   171.66
Westmoreland Coal Co.    960887AA5 02/04/11 02/01/18     95.000    10.750   11.8206                         0.013324   0.014098   0.014931  0.015814      4.47     5.48
Westmoreland Coal Co.    960887AB3 02/04/11 02/01/18     95.000    10.750   11.8206                         0.013324   0.014098   0.014931  0.015814      4.47     5.48
White CNTYS SD #533, IL  963806DF8 08/04/10 12/01/14    109.473    VARIES    3.1287              0.096111   0.097614   0.092768   0.091829  0.090876     34.77    33.17
White CNTYS SD #533, IL  963806DG6 08/04/10 12/01/15    108.920    VARIES    3.6292              0.111099   0.113115   0.107775   0.106959  0.106127     40.26    38.60
White CNTYS SD #533, IL  963806DH4 08/04/10 12/01/16    108.932    VARIES    3.8808              0.118911   0.121218   0.115665   0.114945  0.114211     43.13    41.47
White CNTYS SD #533, IL  963806DJ0 08/04/10 12/01/17    108.163    VARIES    4.1816              0.127347   0.130010   0.124210   0.123613  0.123003     46.23    44.57
White CNTYS SD #533, IL  963806DK7 08/04/10 12/01/18    105.851    VARIES    4.6311              0.138219   0.141420   0.135261   0.134855  0.134440     50.25    48.60
White CNTYS SD #533, IL  963806DL5 08/04/10 12/01/19    102.631    VARIES    4.8822              0.141394   0.144845   0.138888   0.138718  0.138545     51.45    49.96
Wild Oats Markets, Inc.  96808BAA5 05/25/04 05/15/34    100.000    VARIES    8.2511              0.324732   0.334404   0.347409   0.360950  0.375051    119.69   128.78
Wild Oats Markets, Inc.  96808BAB3 05/25/04 05/15/34    100.000    VARIES    8.2511              0.324732   0.334404   0.347409   0.360950  0.375051    119.69   128.78
Will & Kankakee IL 207-U 968631MK4 06/23/10 10/01/11    100.494     0.000    2.3746              0.066717   0.067509                                     18.16         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Will & Kankakee IL 207-U 968631ML2 06/23/10 10/01/12    100.833    VARIES    2.8790              0.081271   0.082441   0.080263   0.080119               29.38    21.65
Will CNTY SD #88, IL     968794ED5 03/03/09 10/01/28     93.191     5.500    N/A                 0.012226   0.012616   0.012198   0.012587  0.012169      4.47     4.46
Will County SD #122, IL  968852FG3 11/19/97 11/01/16     23.888     0.000    7.6998   404.79     0.135927   0.141160   0.146594   0.152238  0.158099     50.52    54.48
Will County SD #122, IL  968852FH1 11/19/97 11/01/17     22.150     0.000    7.6997   375.33     0.126035   0.130887   0.135926   0.141159  0.146593     46.84    50.52
Will County SD #122, IL  968852TN3 03/15/07 10/01/25     34.635     0.000    5.7999    83.97     0.068338   0.070320   0.072359   0.074458  0.076617     25.32    26.81
Will County SD #122, IL  968852TP8 03/15/07 10/01/26     32.402     0.000    5.8498    79.30     0.064593   0.066482   0.068427   0.070428  0.072488     23.94    25.36
Will County SD #122, IL  968852WL3 04/02/09 10/01/23     92.349     5.250    6.0500     6.12     0.010240   0.010550   0.010869   0.011198  0.011537      3.80     4.03
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000    7.3750    32.91     0.055630   0.057681   0.059808   0.062014  0.064300     20.77    22.33
Will CNTY SD #365, IL    969078QM9 03/17/09 11/01/27     23.731     0.000    7.8743    35.24     0.058844   0.061161   0.063569   0.066071  0.068673     21.88    23.64
Will CNTY SD #365, IL    969078QN7 03/17/09 11/01/28     21.864     0.000    7.8992    32.58     0.054407   0.056556   0.058790   0.061112  0.063526     20.24    21.87
Woodford CNTY SD #60, IL 979319AW0 07/02/10 12/01/11    103.897     0.000    1.9113              0.055598   0.056129                                     18.44         
Woodford CNTY SD #60, IL 979319AX8 07/02/10 12/01/12    105.490    VARIES    2.3712              0.070166   0.070998   0.067407   0.066642               25.33    22.11
Woodford CNTY SD #60, IL 979319AY6 07/02/10 12/01/13    106.305    VARIES    2.8744              0.085890   0.087124   0.082890   0.082145  0.081390     31.05    29.66
Woodford CNTY SD #60, IL 979319AZ3 07/02/10 12/01/14    106.517    VARIES    3.3754              0.101269   0.102978   0.098074   0.097386  0.096685     36.67    35.14
Woodford CNTY SD #60, IL 979319BA7 07/02/10 12/01/15    107.046    VARIES    3.7759              0.114032   0.116185   0.110577   0.109912  0.109233     41.34    39.65
Woodford CNTY SD #60, IL 979319BB5 07/02/10 12/01/16    105.573    VARIES    4.2263              0.126111   0.128776   0.122765   0.122278  0.121780     45.78    44.08
Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17    104.694    VARIES    4.4776              0.132630   0.135599   0.129384   0.129016  0.128640     48.18    46.49
Wynn Las Vegas, LLC      983130AL9 10/19/09 11/01/17     97.823     7.875    8.2509     2.43     0.005930   0.006175   0.006430   0.006695  0.006971      2.21     2.39
Wynn Las Vegas, LLC      983130AN5 10/19/09 11/01/17     97.823     7.875    8.2509     2.43     0.005930   0.006175   0.006430   0.006695  0.006971      2.21     2.39
Xilinx, Inc.             983919AC5 03/05/07 03/15/37    100.000    VARIES    7.2004              0.232105   0.237337   0.242756   0.248371  0.254187     85.63    89.61
Xilinx, Inc.             983919AD3 03/05/07 03/15/37    100.000    VARIES    7.2004              0.232105   0.237337   0.242756   0.248371  0.254187     85.63    89.61
York County, PA          986812LW3 12/28/95 02/01/11     35.767     0.000    6.9294   636.75     0.186038                                                 5.58         
York County, PA          986812LX1 12/28/95 02/01/12     33.049     0.000    6.9995   597.76     0.175369   0.181506   0.187859                          66.11     5.64
York County, PA          986812LY9 12/28/95 02/01/13     30.649     0.000    7.0395   559.35     0.164484   0.170273   0.176267   0.182471  0.188893     62.02    66.47
York County, PA          986812LZ6 12/28/95 02/01/14     28.302     0.000    7.0994   523.50     0.154483   0.159967   0.165645   0.171525  0.177614     58.28    62.49
York County, PA          986812MA0 12/28/95 02/01/15     26.297     0.000    7.1196   488.61     0.144356   0.149494   0.154816   0.160327  0.166035     54.46    58.41
York County, PA          986812MB8 12/28/95 02/01/16     24.378     0.000    7.1496   455.99     0.134953   0.139778   0.144775   0.149950  0.155310     50.92    54.63
York County, PA          986812MC6 12/28/95 02/01/17     22.586     0.000    7.1795   425.29     0.126089   0.130615   0.135304   0.140161  0.145192     47.59    51.07
York County, PA          986812MD4 12/28/95 02/01/18     20.780     0.000    7.2396   396.52     0.117970   0.122240   0.126665   0.131250  0.136001     44.54    47.83
York County, PA          986812ME2 12/28/95 02/01/19     19.353     0.000    7.2397   369.30     0.109872   0.113850   0.117971   0.122241  0.126666     41.48    44.54
York County, PA          986812MF9 12/28/95 02/01/20     18.025     0.000    7.2396   343.95     0.102329   0.106033   0.109872   0.113849  0.117970     38.64    41.48
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000    7.2397   320.33     0.095305   0.098755   0.102330   0.106034  0.109873     35.98    38.64
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000    7.2396   298.35     0.088763   0.091976   0.095305   0.098755  0.102330     33.51    35.98
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000    7.2398   277.86     0.082669   0.085662   0.088763   0.091976  0.095306     31.21    33.51
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000    7.2396   258.79     0.076994   0.079781   0.082669   0.085662  0.088763     29.07    31.21
York County, PA          986812QD0 12/28/95 02/01/20     18.025     0.000    7.2396   343.95     0.102329   0.106033   0.109872   0.113849  0.117970     38.64    41.48
York County, PA          986812RC1 12/28/95 02/01/20     18.025     0.000    7.2396   343.95     0.102329   0.106033   0.109872   0.113849  0.117970     38.64    41.48
Zions Bancorporation     989701AX5 09/23/09 09/23/14     86.888     7.750   11.2499    26.97     0.062752   0.066282   0.070010   0.073948  0.078108     23.94    26.71
Quebecor Media, Inc.     C7603NAD4 10/05/07 03/15/16     93.750     7.750    8.8148    18.82     0.018405   0.019216   0.020063   0.020948  0.021871      6.95     7.57
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000    2.6249   151.41     0.054023   0.054732   0.055450   0.056178  0.056915     19.68    20.20
UBS AG                   G91654585 04/28/06 04/28/11    100.000     0.000    5.4584              0.193202                                                22.60         
UBS AG                   G91654627 05/31/06 06/30/11    100.000     0.000    5.4442              0.192381                                                34.63         
UBS AG                   G91654718 05/31/06 09/30/11    100.000     0.000    5.4466              0.188883   0.192966                                     52.12         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
UBS AG                   G91654825 07/31/06 08/31/11    100.000     0.000    5.5653              0.192388   0.194518                                     46.95         
UBS AG                   G91659279 10/31/06 02/28/11    100.000     0.000    5.1978              0.174798                                                10.14         
UBS AG                   G9183D252 12/29/05 11/30/11    100.000     0.000    4.9267              0.171978   0.175252                                     57.87         
UBS AG                   G9183D526 01/31/06 01/31/12    100.000     0.000    4.8995              0.165541   0.172407   0.173751                          62.93     5.21
UBS AG                   G9183D641 01/27/06 06/30/11    100.000     0.000    4.7775              0.166537                                                29.98         
UBS AG                   G9213L852 11/30/05 02/28/11    100.000     0.000    4.8489              0.168180                                                 9.75         
Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18     98.138     9.625    N/A                 0.272624   0.272632   0.272895   0.273172  0.273463     79.36    98.35
STMicroelectronics N.V.  N8357EAF3 02/23/06 02/23/16    100.000     0.000    1.4999              0.044564   0.044898   0.045235   0.045574  0.045916     16.19    16.43
ACL I Corporation        U00461AA8 02/15/11 02/15/16     98.250    VARIES    N/A                            0.304552   0.321545   0.322082  0.322648     98.55   116.00
Alliance One Intl, Inc.  U0187PAE6 07/02/09 07/15/16     95.177    10.000   11.0023     7.47     0.014644   0.015449   0.016299   0.017196  0.018142      5.69     6.33
Alliance One Intl, Inc.  U0187PAF3 07/02/09 07/15/16     95.177    10.000   11.0023     7.47     0.014644   0.015449   0.016299   0.017196  0.018142      5.69     6.33
Anixter International    U03525AB5 07/07/03 07/07/33*    38.016    VARIES    7.2998              0.127335   0.131982                                     24.52*        
Apria Healthcare Group   U03846AB5 05/27/09 11/01/14     97.050    11.250   12.0051     6.85     0.013158   0.013947   0.014785   0.015672  0.016613      4.98     5.59
Ashland Inc.             U04428AB1 05/27/09 06/01/17     96.577     9.125    9.7504     4.91     0.009358   0.009814   0.010292   0.010794  0.011320      3.48     3.83
Bank of America Corp.    U0662KBL4 03/18/02 01/04/17     38.300     0.000    6.5924   294.26     0.120129   0.124089   0.128179   0.132404  0.136769     45.38    48.43
Burlington Coat Factory  U10676AA9 04/13/06 10/15/14*    75.522    VARIES   14.4995              0.402770                                                27.39*        
Cardinal Health 409, Inc U14147AA7 04/10/07 04/15/15    100.000     9.500    9.4999              0.260989   0.259563   0.259563   0.259563  0.260989     94.89    95.11
Crosstex Energy, L.P.    U19163AA9 02/10/10 02/15/18     97.907     8.875    9.2505     1.66     0.005294   0.005539   0.005796   0.006064  0.006344      2.02     2.21
HCA Inc.                 U24788AC2 11/17/06 11/15/16*   100.000     9.625    N/A                 0.282264   0.282313                                     66.34*        
Diamond Resorts Corp.    U2526PAA0 08/13/10 08/15/18     97.513    12.000   12.5004      .73     0.005270   0.005599   0.005949   0.006321  0.006716      2.05     2.31
Drummond Company, Inc.   U2644RAB1 10/20/09 10/15/14*    98.053     9.000    9.4992     3.90     0.009567   0.010022   0.010498                           3.15*        
FelCor Lodging Limited   U31522AK8 10/01/09 10/01/14     87.750    10.000   13.4435    23.69     0.056843   0.060664   0.064741   0.069093  0.073737     21.86    24.90
Da-Lite Screen Co., Inc. U3194CAB6 03/24/10 04/01/15     97.305    12.500   13.2520     3.11     0.011727   0.012504   0.013332   0.014216  0.015158      4.51     5.12
First Data Corporation.  U3198DAA2 10/24/07 09/24/15     94.796     9.875   10.8718    15.94     0.016310   0.017196   0.018131   0.019117  0.020156      6.21     6.90
First Data Corporation.  U3198DAC8 12/17/10 01/15/21     94.750     8.250    9.0551      .13     0.009159   0.009225   0.009643   0.010079  0.010536      3.39     3.70
First Data Corporation.  U3198DAG9 12/17/10 01/15/22     95.625    VARIES    N/A                 0.257690   0.259635   0.272229   0.285433  0.299279     95.53   104.87
First Data Corporation.  U3198DAH7 12/15/10 01/15/21     91.875    12.625   14.1624      .17     0.010743   0.010870   0.011640   0.012464  0.013347      4.04     4.62
GATX Financial Corp.     U3697RAA7 10/25/04 06/15/11     95.703     6.273    7.0956    39.35     0.022069                                                 3.62         
GWR Operating Partnershp U40382AA8 04/07/10 04/01/17     95.347    10.875   11.8737     3.34     0.013109   0.013887   0.014711   0.015585  0.016510      5.00     5.62
Graphic Packaging Intl   U41508AC3 06/16/09 06/15/17     97.292     9.500    9.9998     3.72     0.007363   0.007732   0.008118   0.008524  0.008950      2.73     3.01
Hornbeck Offshore SVCS   U44070AC1 08/17/09 09/01/17     97.123     8.000    8.5012     3.66     0.007774   0.008104   0.008449   0.008808  0.009182      2.94     3.19
Interface, Inc.          U45841AE0 06/05/09 11/01/13     96.301    11.375   12.4916    11.04     0.021564   0.022911   0.024342   0.025863  0.027478      8.17     9.22
Interval Acquisiti Corp. U46077AA8 08/20/08 09/01/16     91.022     9.500   11.2256    18.87     0.024891   0.026288   0.027764   0.029322  0.030968      9.56    10.66
Hovnanian Enterprises    U48654AL8 10/20/09 10/15/16     98.208    10.625   10.9992     2.21     0.005468   0.005768   0.006086   0.006420  0.006773      2.07     2.30
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000   13.8062                                    0.203258   0.207702  0.212452     12.20    74.52
Hovnanian Enterpirses    U48654AN4 11/01/11 11/01/21     42.000     2.000   12.1926                                    0.142247   0.147532  0.153140      8.53    52.81
Lamar Media Corporation  U51260AD6 08/17/06 08/15/15     92.809     6.625    7.7500    28.91     0.021368   0.022196   0.023056   0.023949  0.024877      8.07     8.71
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31    100.000     3.500    N/A                 0.418743   0.432854   0.447524   0.462768  0.478599    158.07   169.01
Linear Technology Corp.  U53476AA2 04/24/07 05/01/27    100.000    VARIES    7.0000              0.224892   0.229847   0.234975   0.240282  0.245776     82.46    86.19
Marquee Holdings, Inc.   U57131AA9 08/18/04 08/15/14*    55.894    VARIES   11.9996              0.333327                                                  .67*        
Media General Inc.       U58292AA8 02/12/10 02/15/17     97.690    11.750   12.2505     1.98     0.006419   0.006812   0.007229   0.007672  0.008142      2.49     2.81
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2011 1st   2011 2nd   2011 3rd   2012 2nd  2012 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/11      Period     Period    2012 1st    Period    Period      2011     2012 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Michaels Stores, Inc.    U59329AE9 10/31/06 11/01/16     50.110    VARIES    N/A                 0.330419   0.353343   0.377857   0.319934  0.219933    125.92   116.13
Milagro Gas & Oil, Inc.  U6004KAA3 05/11/11 05/15/16     97.182    10.500   11.2509              0.012050   0.012067   0.012746   0.013463  0.014221      2.81     4.79
MTR Gaming Group, Inc.   U60753AC1 08/12/09 07/15/14*    95.248    12.625   13.9919    10.37     0.022105   0.023652   0.025307                           5.73*        
Nexstar Finance, Inc.    U6497BAC3 03/27/03 04/01/13*    57.442    VARIES   11.3746              0.315964   0.315964                                     42.34*        
New Omaha Holdings Corp. U65169AA9 09/24/07 09/30/16    100.000    VARIES   11.4999              0.447619   0.473357   0.500575   0.529358  0.559796    170.59   190.78
Omnicom Group, Inc.      U68191AF9 02/07/01 02/07/31    100.000    VARIES    6.7111              0.341008   0.351220   0.361776   0.372685  0.383960    127.59   135.40
Pioneer Drilling Company U72356AA3 03/11/10 03/15/18     95.750     9.875   10.6775     2.87     0.010218   0.010764   0.011338   0.011943  0.012581      3.90     4.32
Ply Gem Industries, Inc. U7264EAE2 01/11/10 07/15/14     97.139    13.125   14.0016     4.79     0.014172   0.015164   0.016226   0.017362  0.018577      5.62     6.44
Pope & Talbot, Inc.      U7316MAA0 07/30/02 06/01/13     86.415     8.375   10.5037    91.46     0.045780   0.048184   0.050715   0.053379  0.056182     17.06    18.90
Roche Holdings, Inc.     U75000AE6 01/19/00 01/19/15     66.386     0.000    2.7499   231.43     0.067553   0.068482   0.069424   0.070378  0.071346     24.79    25.48
Ryerson Holding Corp.    U75042AA6 01/29/10 02/01/15     45.598     0.000    N/A                 0.206433   0.224006   0.259822   0.285519  0.314049     85.49   106.30
Rotech Healthcare, Inc.  U77790AB6 10/06/10 10/15/15     97.189    10.750   11.5019     1.01     0.011942   0.012628   0.013355   0.014123  0.014935      4.53     5.07
Rotech Healthcare, Inc.  U77790AC4 03/17/11 03/15/18     98.197    10.500   10.8747                         0.004963   0.005230   0.005514  0.005814      1.44     2.00
The Service Master, Co.  U8151CAA8 07/24/08 07/15/15     97.266    10.750   11.3274              0.307857   0.308380   0.308934   0.309518  0.310136    111.10   111.52
Tabletop Holdings, Inc.  U81965AA0 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340270   0.340270   0.340269   0.340268  0.340268    122.50   122.50
Sinclair Brdcast Grp Inc U82751AE5 05/20/03 07/15/18    100.000    VARIES    9.2480              0.367380   0.378107   0.393021   0.407992  0.423654    138.44   149.27
Solo Cup Company         U83440AA2 07/02/09 11/01/13     97.928    10.500   11.1154     6.12     0.012357   0.013044   0.013769   0.014534  0.015342      4.66     5.19
Spirit Aerosystems, Inc. U84591AA1 09/30/09 10/01/17     97.804     7.500    7.8750     2.61     0.006068   0.006307   0.006555   0.006813  0.007081      2.27     2.45
Sabine Pass LNG, LP      U8596QAC6 09/15/08 11/30/16     79.000     7.500   11.5231    40.89     0.057060   0.060348   0.063825   0.067502  0.071391     21.34    23.87
Tenet Healthcare Corp.   U88030AF5 06/15/09 07/01/19     95.229     8.875    9.6265     4.75     0.009388   0.009840   0.010314   0.010810                3.46     3.80
Tenet Healthcare Corp.   U88030AG3 03/03/09 05/01/15     89.500     9.000   11.4189    24.13     0.040766   0.043093   0.045554   0.048155  0.050904     15.38    17.19
Tenet Healthcare Corp.   U88030AH1 03/03/09 05/01/18     89.500    10.000   11.9135    13.15     0.022315   0.023645   0.025053   0.026546  0.028127      8.44     9.47
Unisys Corporation       U90921AC8 07/31/09 10/15/14     83.461    12.750   17.7426    31.98     0.069490   0.075241   0.081916   0.089183  0.097628     27.39    32.54
Unisys Corporation       U90921AD6 07/31/09 09/15/15     80.450    14.250   19.9112    27.78     0.060538   0.065480   0.072790   0.079166  0.088491     24.33    29.51
United Refining Co.      U9112YAF5 03/08/11 02/28/18     96.444    10.500   11.2489                         0.009482   0.010102   0.010555  0.011333      2.91     3.93
US Oncology Holdings,Inc U91245AB3 03/13/07 03/15/12*    98.000     9.797    N/A                 0.258422                                                 7.49*        
Ventas Realty LP         U92200AG6 04/13/09 06/01/16*    84.250     6.500    9.5994    28.95     0.051406   0.053874                                     10.24*        
Wendy's Restaurants, LLC U95238AA6 06/23/09 07/15/16     97.533    10.000   10.5034     3.93     0.007567   0.007964   0.008382   0.008822  0.009286      2.93     3.25
Westmoreland Coal Co.    U96068AA6 02/04/11 02/01/18     95.000    10.750   11.8206                         0.013324   0.014098   0.014931  0.015814      4.47     5.48
WMG Acquisition Corp.    U97128AA7 05/28/09 06/15/16     96.289     9.500   10.2522     6.26     0.012058   0.012676   0.013325   0.014009  0.014727      4.47     4.94
WMG Holdings Corp.       U97137AC4 12/23/04 12/15/14*    63.002    VARIES    9.4995              0.263879   0.263879                                     60.16*        
Wynn Las Vegas, LLC      U98347AE4 10/19/09 11/01/17     97.823     7.875    8.2509     2.43     0.005930   0.006175   0.006430   0.006695  0.006971      2.21     2.39
    -----------------------------                                                                                                                                      
    *  Called in 2011; reportable OID is computed to call date.                                                                                                        





SECTION I-C Inflation Indexed Debt Instruments





                                                     Inflation-Adj    Stated
                                 Issue     Maturity   Principal on   Interest  Total OID    2011 1st   2011 2nd   2011 3rd    Calendar Year
Name of Issuer       CUSIP No.    Date       Date     Issue Date       Rate    to 1/1/11     Period     Period     Period         2011
______________       _________  ________  _________   ___________    ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5  04/15/98  04/15/28      100.000       3.625%     352.24     0.120017   0.184927   0.017252       47.67
U.S. Treasury        912810FH6  04/15/99  04/15/29      100.000       3.875%     330.41     0.118080   0.181943   0.016973       46.90
U.S. Treasury        9128276R8  01/15/01  01/15/11      100.000       3.500%     256.63     0.017052                              0.24
U.S. Treasury        912810FQ6  10/15/01  04/15/32      100.000       3.375%     232.17     0.109361   0.168508   0.015720       43.44
U.S. Treasury        9128277J5  01/15/02  01/15/12      100.000       3.375%     231.73     0.016714   0.206329   0.034360       43.42
U.S. Treasury        912828AF7  07/15/02  07/15/12      100.000       3.000%     216.41     0.016506   0.203764   0.033933       42.88
U.S. Treasury        912828BD1  07/15/03  07/15/13      100.000       1.875%     190.82     0.016158   0.199477   0.033219       41.98
U.S. Treasury        912828BW9  01/15/04  01/15/14      100.000       2.000%     183.67     0.016061   0.198279   0.033019       41.73
U.S. Treasury        912810FR4  07/15/04  01/15/25      100.000       2.375%     160.29     0.015744   0.194363   0.032367       40.90
U.S. Treasury        912828CP3  07/15/04  07/15/14      100.000       2.000%     160.29     0.015744   0.194363   0.032367       40.90
U.S. Treasury        912828DH0  01/15/05  01/15/15      100.000       1.625%     145.41     0.015542   0.191871   0.031952       40.38
U.S. Treasury        912828EA4  07/15/05  07/15/15      100.000       1.875%     124.42     0.015258   0.188355   0.031367       39.64
U.S. Treasury        912810FS2  01/15/06  01/15/26      100.000       2.000%     101.94     0.014953   0.184589   0.030740       38.85
U.S. Treasury        912828ET3  01/15/06  01/15/16      100.000       2.000%     101.94     0.014953   0.184589   0.030740       38.85
U.S. Treasury        912828FB1  04/15/06  04/15/11      100.000       2.375%     101.89     0.097798                             10.17
U.S. Treasury        912828FL9  07/15/06  07/15/16      100.000       2.500%      82.99     0.014695   0.181414   0.030211       38.18
U.S. Treasury        912810PS1  01/15/07  01/15/27      100.000       2.375%      84.53     0.014716   0.181672   0.030254       38.23
U.S. Treasury        912828GD6  01/15/07  01/15/17      100.000       2.375%      84.53     0.014716   0.181672   0.030254       38.23
U.S. Treasury        912828GN4  04/15/07  04/15/12      100.000       2.000%      77.81     0.095660   0.147398   0.013751       38.00
U.S. Treasury        912828GX2  07/15/07  07/15/17      100.000       2.625%      55.27     0.014319   0.176770   0.029438       37.20
U.S. Treasury        912810PV4  01/15/08  01/15/28      100.000       1.750%      43.98     0.014166   0.174880   0.029123       36.80
U.S. Treasury        912828HN3  01/15/08  01/15/18      100.000       1.625%      43.98     0.014166   0.174880   0.029123       36.80
U.S. Treasury        912828HW3  04/15/08  04/15/13      100.000       0.625%      34.75     0.091838   0.141509   0.013201       36.48
U.S. Treasury        912828JE1  07/15/08  07/15/18      100.000       0.375%      14.24     0.013762   0.169898   0.028293       35.75
U.S. Treasury        912810PZ5  01/15/09  01/15/29      100.000       2.500%      18.68     0.013823   0.170642   0.028417       35.91
U.S. Treasury        912828JX9  01/15/09  01/15/19      100.000       2.125%      18.68     0.013823   0.170642   0.028417       35.91
U.S. Treasury        912828KM1  04/15/09  04/15/14      100.000       1.250%      33.44     0.091723   0.141330   0.013185       36.43
U.S. Treasury        912828LA6  07/15/09  07/15/19      100.000       1.875%      24.32     0.013899   0.171586   0.028574       36.11
U.S. Treasury        912828MF4  01/15/10  01/15/20      100.000       1.375%      11.40     0.013724   0.169422   0.028214       35.65
U.S. Treasury        912810QF8  02/15/10  02/15/40      100.000       2.125%      11.90     0.028788   0.175447   0.018849       35.67
U.S. Treasury        912828MY3  04/15/10  04/15/15      100.000       0.500%       9.22     0.089573   0.138018   0.012876       35.58
U.S. Treasury        912828NM8  07/15/10  07/15/20      100.000       1.250%       2.87     0.013608   0.167993   0.027976       35.35
U.S. Treasury        912828PP9  01/15/11  01/15/21      100.000       1.125%                           0.167480   0.027891       35.06
U.S. Treasury        912810QP6  02/15/11  02/15/41      100.000       2.125%                           0.173163   0.018604       33.93
U.S. Treasury        912828QD5  04/15/11  04/15/16      100.000       0.125%                           0.135506   0.012641       25.78
U.S. Treasury        912828QV5  07/15/11  07/15/21      100.000       0.625%                                      0.027070        4.60

                                    Section II

                          STRIPPED COMPONENTS OF U.S. TREASURY AND
                              GOVERNMENT-SPONSORED ENTERPRISES
 
 
   FOR BROKERS & MIDDLEMEN ONLY: Original Issue Discount (OID) to be reported for stripped
   interest & principal components per $1000 Maturity Value (for calendar year 2011).
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/11    03/31/11      0.30            07/01/19    09/30/19      24.62
     04/01/11    06/30/11      0.95            10/01/19    12/31/19      24.73
     07/01/11    09/30/11      1.79            01/01/20    03/31/20      24.77
     10/01/11    12/31/11      2.89            04/01/20    06/30/20      24.79
     01/01/12    03/31/12      3.59            07/01/20    09/30/20      24.81
     04/01/12    06/30/12      4.28            10/01/20    12/31/20      24.76
     07/01/12    09/30/12      5.17            01/01/21    03/31/21      24.77
     10/01/12    12/31/12      6.05            04/01/21    06/30/21      24.71
     01/01/13    03/31/13      6.92            07/01/21    09/30/21      24.69
     04/01/13    06/30/13      7.88            10/01/21    12/31/21      24.62
     07/01/13    09/30/13      8.93            01/01/22    03/31/22      24.54
     10/01/13    12/31/13      9.97            04/01/22    06/30/22      24.51
     01/01/14    03/31/14     11.00            07/01/22    09/30/22      24.42
     04/01/14    06/30/14     12.10            10/01/22    12/31/22      24.33
     07/01/14    09/30/14     13.28            01/01/23    03/31/23      24.23
     10/01/14    12/31/14     14.43            04/01/23    06/30/23      24.12
     01/01/15    03/31/15     15.56            07/01/23    09/30/23      24.01
     04/01/15    06/30/15     16.67            10/01/23    12/31/23      23.86
     07/01/15    09/30/15     17.65            01/01/24    03/31/24      23.74
     10/01/15    12/31/15     18.62            04/01/24    06/30/24      23.58
     01/01/16    03/31/16     19.37            07/01/24    09/30/24      23.45
     04/01/16    06/30/16     20.19            10/01/24    12/31/24      23.28
     07/01/16    09/30/16     20.82            01/01/25    03/31/25      23.11
     10/01/16    12/31/16     21.50            04/01/25    06/30/25      22.94
     01/01/17    03/31/17     22.00            07/01/25    09/30/25      22.77
     04/01/17    06/30/17     22.48            10/01/25    12/31/25      22.60
     07/01/17    09/30/17     22.86            01/01/26    03/31/26      22.42
     10/01/17    12/31/17     23.22            04/01/26    06/30/26      22.24
     01/01/18    03/31/18     23.50            07/01/26    09/30/26      22.06
     04/01/18    06/30/18     23.75            10/01/26    12/31/26      21.88
     07/01/18    09/30/18     24.00            01/01/27    03/31/27      21.67
     10/01/18    12/31/18     24.22            04/01/27    06/30/27      21.49
     01/01/19    03/31/19     24.37            07/01/27    09/30/27      21.30
     04/01/19    06/30/19     24.50            10/01/27    12/31/27      21.09
     01/01/28    03/31/28     20.91            04/01/36    06/30/36      14.58
     04/01/28    06/30/28     20.70            07/01/36    09/30/36      14.41
     07/01/28    09/30/28     20.51            10/01/36    12/31/36      14.24
     10/01/28    12/31/28     20.30            01/01/37    03/31/37      14.07
     01/01/29    03/31/29     20.10            04/01/37    06/30/37      13.91
     04/01/29    06/30/29     19.89            07/01/37    09/30/37      13.74
     07/01/29    09/30/29     19.69            10/01/37    12/31/37      13.59
     10/01/29    12/31/29     19.48            01/01/38    03/31/38      13.42
     01/01/30    03/31/30     19.28            04/01/38    06/30/38      13.27
     04/01/30    06/30/30     19.07            07/01/38    09/30/38      13.10





                                     (continued)
 
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     07/01/30    09/30/30     18.87            10/01/38    12/31/38      12.95
     10/01/30    12/31/30     18.67            01/01/39    03/31/39      12.81
     01/01/31    03/31/31     18.47            04/01/39    06/30/39      12.64
     04/01/31    06/30/31     18.27            07/01/39    09/30/39      12.50
     07/01/31    09/30/31     18.07            10/01/39    12/31/39      12.34
     10/01/31    12/31/31     17.87            01/01/40    03/31/40      12.20
     01/01/32    03/31/32     17.68            04/01/40    06/30/40      12.06
     04/01/32    06/30/32     17.48            07/01/40    09/30/40      11.92
     07/01/32    09/30/32     17.29            10/01/40    12/31/40      11.76
     10/01/32    12/31/32     17.10            01/01/41    03/31/41      11.63
     01/01/33    03/31/33     16.91            04/01/41    06/30/41      11.50
     04/01/33    06/30/33     16.72            07/01/41    09/30/41      11.37
     07/01/33    09/30/33     16.54            10/01/41    12/31/41      11.24
     10/01/33    12/31/33     16.35            01/01/42    03/31/42      11.11
     01/01/34    03/31/34     16.17            04/01/42    06/30/42      10.98
     04/01/34    06/30/34     15.98            07/01/42    09/30/42      10.86
     07/01/34    09/30/34     15.81            10/01/42    12/31/42      10.74
     10/01/34    12/31/34     15.62            01/01/43    03/31/43      10.62
     01/01/35    03/31/35     15.44            04/01/43    06/30/43      10.50
     04/01/35    06/30/35     15.27            07/01/43    09/30/43      10.38
     07/01/35    09/30/35     15.09            10/01/43    12/31/43      10.26
     10/01/35    12/31/35     14.92            01/01/44    03/31/44      10.15
     01/01/36    03/31/36     14.75            04/01/44    06/30/44      10.03
     07/01/44    09/30/44      9.92            04/01/48    06/30/48       8.38
     10/01/44    12/31/44      9.81            07/01/48    09/30/48       8.29
     01/01/45    03/31/45      9.70            10/01/48    12/31/48       8.19
     04/01/45    06/30/45      9.59            01/01/49    03/31/49       8.10
     07/01/45    09/30/45      9.48            04/01/49    06/30/49       8.01
     10/01/45    12/31/45      9.37            07/01/49    09/30/49       7.92
     01/01/46    03/31/46      9.27            10/01/49    12/31/49       7.83
     04/01/46    06/30/46      9.17            01/01/50    03/31/50       7.75
     07/01/46    09/30/46      9.06            04/01/50    06/30/50       7.66
     10/01/46    12/31/46      8.96            07/01/50    09/30/50       7.58
     01/01/47    03/31/47      8.86            10/01/50    12/31/50       7.49
     04/01/47    06/30/47      8.76            01/01/51    03/31/51       7.41
     07/01/47    09/30/47      8.67            04/01/51    06/30/51       7.33
     10/01/47    12/31/47      8.57            07/01/51    09/30/51       7.25
     01/01/48    03/31/48      8.47            10/01/51    12/31/51       7.17



     Note:  This section lists OID for use SOLELY by brokers and other middlemen
    in preparing information returns for zero coupon instruments issued under the
    Department of the Treasury's STRIPS program, by government-sponsored enterprises
    such as the Resolution Funding Corporation and the Financing Corporation, or as
    instruments backed by U.S. Treasury securities that represent ownership
    interests in such securities.  If you owned or held such debt instruments in 2011,
    do not rely on the amounts listed in this section.  Instead, follow the OID
    computation rules and methods described earlier in this publication under
    "Figuring OID on Stripped Bonds and Coupons."




                               Section III-A

                      Short Term U.S. Treasury Bills
                    Issued at a Discount and Maturing
                          January 2011 - September 2012

                                                   Discount to be
                                 Issue Price      Reported as 2011
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912795X71  01/06/11  07/08/10       99.896                 1.04
912795UX7  01/13/11  01/14/10       99.661                 3.39
912795X89  01/20/11  07/22/10       99.901                 0.99
912795X97  01/27/11  07/29/10       99.899                 1.01
912795Y21  02/03/11  08/05/10       99.901                 0.99
912795V40  02/10/11  02/11/10       99.676                 3.24
9127952B6  02/17/11  08/19/10       99.906                 0.94
9127952C4  02/24/11  08/26/10       99.906                 0.94
9127952D2  03/03/11  09/02/10       99.904                 0.96
912795V99  03/10/11  03/11/10       99.621                 3.79
9127952G5  03/17/11  09/16/10       99.904                 0.96
9127952H3  03/24/11  09/23/10       99.901                 0.99
9127952J9  03/31/11  09/30/10       99.904                 0.96
912795VD0  04/07/11  04/08/10       99.510                 4.90
9127952L4  04/14/11  10/14/10       99.917                 0.83
9127956Q9  04/15/11  02/25/11       99.983                 0.17
9127952M2  04/21/11  10/21/10       99.914                 0.86
9127952N0  04/28/11  10/28/10       99.914                 0.86
912795VE8  05/05/11  05/06/10       99.575                 4.25
9127952Q3  05/12/11  11/12/10       99.920                 0.80
9127952R1  05/19/11  11/18/10       99.909                 0.91
9127952S9  05/26/11  11/26/10       99.902                 0.98
912795W64  06/02/11  06/03/10       99.631                 3.69
9127952U4  06/09/11  12/09/10       99.906                 0.94
9127957J4  06/15/11  06/09/11       99.999                 0.01
9127952V2  06/16/11  12/16/10       99.904                 0.96
9127952W0  06/23/11  12/23/10       99.906                 0.94
912795X22  06/30/11  07/01/10       99.676                 3.24
9127952X8  07/07/11  01/06/11       99.904                 0.96
9127952Z3  07/14/11  01/13/11       99.909                 0.91
9127953A7  07/21/11  01/20/11       99.906                 0.94
912795X63  07/28/11  07/29/10       99.702                 2.98
912795Z79  08/02/11  07/28/11      100.000                 0.00
9127953B5  08/04/11  02/03/11       99.914                 0.86
9127953D1  08/11/11  02/10/11       99.912                 0.88
912796AC3  08/15/11  08/05/11      100.000                 0.00
9127953E9  08/18/11  02/17/11       99.917                 0.83
9127952A8  08/25/11  08/26/10       99.737                 2.63
9127953F6  09/01/11  03/03/11       99.914                 0.86
9127953J8  09/08/11  03/10/11       99.922                 0.78
9127953K5  09/15/11  03/17/11       99.932                 0.68
9127952F7  09/22/11  09/23/10       99.732                 2.68
9127953L3  09/29/11  03/31/11       99.914                 0.86
9127953M1  10/06/11  04/07/11       99.934                 0.66
9127953P4  10/13/11  04/14/11       99.944                 0.56
9127952K6  10/20/11  10/21/10       99.773                 2.28





                         Section III-A (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
9127953Q2  10/27/11  04/28/11       99.942                 0.58
9127953R0  11/03/11  05/05/11       99.949                 0.51
9127953T6  11/10/11  05/12/11       99.967                 0.33
9127952P5  11/17/11  11/18/10       99.717                 2.83
9127953U3  11/25/11  05/26/11       99.949                 0.51
9127953V1  12/01/11  06/02/11       99.942                 0.58
9127953X7  12/08/11  06/09/11       99.947                 0.53
9127952T7  12/15/11  12/16/10       99.702                 2.98
9127953Y5  12/22/11  06/23/11       99.949                 0.51
9127953Z2  12/29/11  06/30/11       99.952                 0.48




                                                   Discount to be
                                 Issue Price      Reported as 2011
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
912796AD1  08/31/11  08/19/11       99.9995                0.005




                                                   Discount to be
                                 Issue Price      Reported as 2012
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
9127954A6  01/05/12  07/07/11       99.960                 0.40
9127952Y6  01/12/12  01/13/11       99.722                 2.78
912795Y62  01/19/12  07/21/11       99.970                 0.30
912795Y70  01/26/12  07/28/11       99.949                 0.51
912795Y88  02/02/12  08/04/11       99.924                 0.76
9127953C3  02/09/12  02/10/11       99.692                 3.08
912795Z20  02/16/12  08/18/11       99.960                 0.40
912795Z38  02/23/12  08/25/11       99.977                 0.23
912795Z46  03/01/12  09/01/11       99.977                 0.23
9127953G4  03/08/12  03/10/11       99.737                 2.63
9127955D9  03/15/12  09/15/11       99.975                 0.25
9127955E7  03/22/12  09/22/11       99.985                 0.15
9127955F4  03/29/12  09/29/11       99.982                 0.18
9127953H2  04/05/12  04/07/11       99.717                 2.83
9127953N9  05/03/12  05/05/11       99.798                 2.02
9127953S8  05/31/12  06/02/11       99.818                 1.82
9127953W9  06/28/12  06/30/11       99.798                 2.02
9127954B4  07/26/12  07/28/11       99.798                 2.02
912795Y96  08/23/12  08/25/11       99.899                 1.01
9127955C1  09/20/12  09/22/11       99.909                 0.91



                                 Section III-B



                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2011

                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384AC3  01/03/11  01/07/10      99.579                 4.21
313384AD1  01/04/11  01/07/10      99.588                 4.12
313384AE9  01/05/11  01/14/10      99.664                 3.36
313384AF6  01/06/11  01/08/10      99.607                 3.93
313384AG4  01/07/11  01/08/10      99.605                 3.95
313384AK5  01/10/11  01/11/10      99.596                 4.04
313384AL3  01/11/11  01/12/10      99.626                 3.74
313384AM1  01/12/11  01/13/10      99.616                 3.84
313384AN9  01/13/11  06/08/10      99.848                 1.52
313384AP4  01/14/11  01/14/10      99.655                 3.45
313384AT6  01/18/11  01/27/10      99.703                 2.97
313384AU3  01/19/11  01/25/10      99.671                 3.29
313384AV1  01/20/11  01/21/10      99.646                 3.54
313384AW9  01/21/11  01/25/10      99.669                 3.31
313384AZ2  01/24/11  01/26/10      99.667                 3.33
313384BA6  01/25/11  05/28/10      99.758                 2.42
313384BB4  01/26/11  01/27/10      99.666                 3.34
313384BC2  01/27/11  02/02/10      99.661                 3.39
313384BD0  01/28/11  02/01/10      99.659                 3.41
313384BG3  01/31/11  04/20/10      99.801                 1.99
313384BH1  02/01/11  02/04/10      99.638                 3.62
313384BJ7  02/02/11  02/11/10      99.664                 3.36
313384BK4  02/03/11  02/12/10      99.664                 3.36
313384BL2  02/04/11  05/07/10      99.697                 3.03
313384BP3  02/07/11  07/27/10      99.892                 1.08
313384BQ1  02/08/11  02/11/10      99.638                 3.62
313384BR9  02/09/11  10/28/10      99.962                 0.38
313384BS7  02/10/11  02/12/10      99.657                 3.43
313384BT5  02/11/11  02/11/10      99.655                 3.45
313384BW8  02/14/11  05/10/10      99.689                 3.11
313384BX6  02/15/11  02/17/10      99.657                 3.43
313384BY4  02/16/11  05/17/10      99.710                 2.90
313384BZ1  02/17/11  05/27/10      99.712                 2.88
313384CA5  02/18/11  05/18/10      99.793                 2.07
313384CE7  02/22/11  05/13/10      99.707                 2.93
313384CF4  02/23/11  05/27/10      99.705                 2.95
313384CG2  02/24/11  02/25/10      99.646                 3.54
313384CH0  02/25/11  02/26/10      99.646                 3.54
313384CL1  02/28/11  06/02/10      99.714                 2.86
313384CM9  03/01/11  03/01/10      99.655                 3.45
313384CN7  03/02/11  06/02/10      99.712                 2.88
313384CP2  03/03/11  08/13/10      99.905                 0.95
313384CQ0  03/04/11  03/04/10      99.645                 3.55
313384CT4  03/07/11  03/08/10      99.565                 4.35





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384CU1  03/08/11  11/15/10      99.962                 0.38
313384CV9  03/09/11  03/10/10      99.596                 4.04
313384CW7  03/10/11  07/15/10      99.861                 1.39
313384CX5  03/11/11  09/07/10      99.918                 0.82
313384DA4  03/14/11  09/03/10      99.920                 0.80
313384DB2  03/15/11  05/14/10      99.653                 3.47
313384DC0  03/16/11  03/23/10      99.602                 3.98
313384DD8  03/17/11  05/18/10      99.655                 3.45
313384DE6  03/18/11  05/19/10      99.655                 3.45
313384DH9  03/21/11  05/12/10      99.652                 3.48
313384DJ5  03/22/11  03/23/10      99.596                 4.04
313384DK2  03/23/11  03/23/10      99.594                 4.06
313384DL0  03/24/11  05/25/10      99.655                 3.45
313384DM8  03/25/11  09/10/10      99.897                 1.03
313384DQ9  03/28/11  05/26/10      99.660                 3.40
313384DR7  03/29/11  06/01/10      99.666                 3.34
313384DS5  03/30/11  06/02/10      99.657                 3.43
313384DT3  03/31/11  07/08/10      99.837                 1.63
313384DU0  04/01/11  04/09/10      99.603                 3.97
313384DX4  04/04/11  07/16/10      99.840                 1.60
313384DY2  04/05/11  07/14/10      99.831                 1.69
313384DZ9  04/06/11  07/01/10      99.814                 1.86
313384EA3  04/07/11  09/09/10      99.918                 0.82
313384EB1  04/08/11  11/03/10      99.935                 0.65
313384EE5  04/11/11  05/12/10      99.601                 3.99
313384EF2  04/12/11  12/08/10      99.951                 0.49
313384EG0  04/13/11  07/13/10      99.825                 1.75
313384EH8  04/14/11  05/13/10      99.589                 4.11
313384EJ4  04/15/11  04/16/10      99.565                 4.35
313384EM7  04/18/11  04/21/10      99.548                 4.52
313384EN5  04/19/11  05/18/10      99.589                 4.11
313384EP0  04/20/11  05/18/10      99.551                 4.49
313384EQ8  04/21/11  05/20/10      99.608                 3.92
313384EU9  04/25/11  05/24/10      99.580                 4.20
313384EV7  04/26/11  05/10/10      99.503                 4.97
313384EW5  04/27/11  05/26/10      99.552                 4.48
313384EX3  04/28/11  05/10/10      99.500                 5.00
313384EY1  04/29/11  07/01/10      99.799                 2.01
313384FB0  05/02/11  05/24/10      99.571                 4.29
313384FC8  05/03/11  01/06/11      99.958                 0.42
313384FD6  05/04/11  05/05/10      99.545                 4.55
313384FE4  05/05/11  05/05/10      99.544                 4.56
313384FF1  05/06/11  05/06/10      99.544                 4.56
313384FJ3  05/09/11  08/27/10      99.880                 1.20
313384FK0  05/10/11  08/17/10      99.823                 1.77
313384FL8  05/11/11  05/12/10      99.504                 4.96
313384FM6  05/12/11  05/20/10      99.584                 4.16
313384FN4  05/13/11  07/19/10      99.810                 1.90





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384FR5  05/16/11  05/19/10      99.527                 4.73
313384FS3  05/17/11  05/17/10      99.554                 4.46
313384FT1  05/18/11  05/20/10      99.526                 4.74
313384FU8  05/19/11  05/20/10      99.525                 4.75
313384FV6  05/20/11  05/20/10      99.523                 4.77
313384FY0  05/23/11  05/24/10      99.494                 5.06
313384FZ7  05/24/11  05/24/10      99.493                 5.07
313384GA1  05/25/11  05/25/10      99.493                 5.07
313384GB9  05/26/11  05/27/10      99.494                 5.06
313384GC7  05/27/11  05/27/10      99.493                 5.07
313384GG8  05/31/11  10/29/10      99.893                 1.07
313384GH6  06/01/11  06/01/10      99.473                 5.27
313384GJ2  06/02/11  06/03/10      99.494                 5.06
313384GK9  06/03/11  06/04/10      99.515                 4.85
313384GN3  06/06/11  06/28/10      99.705                 2.95
313384GP8  06/07/11  01/20/11      99.931                 0.69
313384GQ6  06/08/11  12/06/10      99.898                 1.02
313384GR4  06/09/11  01/07/11      99.941                 0.60
313384GS2  06/10/11  06/15/10      99.550                 4.50
313384GV5  06/13/11  09/24/10      99.884                 1.16
313384GW3  06/14/11  06/17/10      99.548                 4.52
313384GX1  06/15/11  06/18/10      99.578                 4.22
313384GY9  06/16/11  10/15/10      99.892                 1.08
313384GZ6  06/17/11  07/01/10      99.698                 3.02
313384HC6  06/20/11  09/21/10      99.819                 1.81
313384HD4  06/21/11  06/22/10      99.575                 4.25
313384HE2  06/22/11  06/22/10      99.574                 4.26
313384HF9  06/23/11  06/23/10      99.574                 4.26
313384HG7  06/24/11  06/25/10      99.575                 4.25
313384HK8  06/27/11  06/28/10      99.575                 4.25
313384HL6  06/28/11  06/28/10      99.574                 4.26
313384HM4  06/29/11  07/07/10      99.693                 3.07
313384HN2  06/30/11  07/20/10      99.645                 3.55
313384HP7  07/01/11  07/16/10      99.689                 3.11
313384HT9  07/05/11  12/15/10      99.910                 0.90
313384HU6  07/06/11  07/07/10      99.646                 3.54
313384HV4  07/07/11  12/30/10      99.895                 1.05
313384HW2  07/08/11  07/08/10      99.564                 4.36
313384HZ5  07/11/11  01/11/11      99.904                 0.96
313384JA8  07/12/11  07/12/10      99.564                 4.36
313384JB6  07/13/11  01/12/11      99.896                 1.04
313384JC4  07/14/11  12/01/10      99.856                 1.44
313384JD2  07/15/11  07/19/10      99.609                 3.91
313384JG5  07/18/11  09/29/10      99.870                 1.30
313384JH3  07/19/11  01/12/11      99.901                 0.99
313384JJ9  07/20/11  01/19/11      99.896                 1.04
313384JK6  07/21/11  08/13/10      99.782                 2.19
313384JL4  07/22/11  01/21/11      99.899                 1.01





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384JQ3  07/26/11  04/21/11      99.987                 0.13
313384JR1  07/27/11  07/30/10      99.698                 3.02
313384JS9  07/28/11  08/10/10      99.775                 2.25
313384JT7  07/29/11  08/03/10      99.760                 2.40
313384JW0  08/01/11  08/05/10      99.759                 2.41
313384JX8  08/02/11  01/27/11      99.917                 0.83
313384JY6  08/03/11  01/14/11      99.888                 1.12
313384JZ3  08/04/11  08/05/10      99.757                 2.43
313384KA6  08/05/11  11/09/10      99.888                 1.12
313384KD0  08/08/11  11/08/10      99.841                 1.59
313384KE8  08/09/11  05/05/11      99.989                 0.11
313384KF5  08/10/11  01/20/11      99.910                 0.90
313384KG3  08/11/11  08/23/10      99.765                 2.35
313384KH1  08/12/11  08/24/10      99.765                 2.35
313384KL2  08/15/11  08/17/10      99.687                 3.13
313384KM0  08/16/11  12/29/10      99.891                 1.09
313384KN8  08/17/11  08/17/10      99.686                 3.14
313384KP3  08/18/11  01/21/11      99.907                 0.93
313384KQ1  08/19/11  12/03/10      99.892                 1.08
313384KT5  08/22/11  12/01/10      99.817                 1.83
313384KU2  08/23/11  11/05/10      99.830                 1.70
313384KV0  08/24/11  08/26/10      99.768                 2.32
313384KW8  08/25/11  02/18/11      99.932                 0.68
313384KX6  08/26/11  02/25/11      99.913                 0.87
313384LA5  08/29/11  11/10/10      99.878                 1.22
313384LB3  08/30/11  01/31/11      99.912                 0.88
313384LC1  08/31/11  11/19/10      99.881                 1.19
313384LD9  09/01/11  09/02/10      99.818                 1.82
313384LE7  09/02/11  09/14/10      99.706                 2.94
313384LJ6  09/06/11  09/14/10      99.693                 3.07
313384LK3  09/07/11  03/03/11      99.932                 0.68
313384LL1  09/08/11  04/19/11      99.965                 0.35
313384LM9  09/09/11  03/07/11      99.912                 0.88
313384LQ0  09/12/11  09/13/10      99.697                 3.03
313384LR8  09/13/11  09/14/10      99.687                 3.13
313384LS6  09/14/11  09/20/10      99.791                 2.09
313384LT4  09/15/11  11/02/10      99.850                 1.50
313384LU1  09/16/11  12/16/10      99.795                 2.05
313384LX5  09/19/11  09/21/10      99.698                 3.02
313384LY3  09/20/11  09/21/10      99.697                 3.03
313384LZ0  09/21/11  09/21/10      99.696                 3.04
313384MA4  09/22/11  09/23/10      99.717                 2.83
313384MB2  09/23/11  09/23/10      99.716                 2.84
313384ME6  09/26/11  09/30/10      99.719                 2.81
313384MF3  09/27/11  12/10/10      99.790                 2.10
313384MG1  09/28/11  03/01/11      99.924                 0.76
313384MH9  09/29/11  02/09/11      99.897                 1.03
313384MJ5  09/30/11  10/01/10      99.717                 2.83





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384MM8  10/03/11  10/12/10      99.792                 2.08
313384MN6  10/04/11  10/28/10      99.830                 1.70
313384MP1  10/05/11  10/07/10      99.808                 1.92
313384MQ9  10/06/11  12/15/10      99.771                 2.29
313384MR7  10/07/11  10/07/10      99.736                 2.64
313384MV8  10/11/11  10/14/10      99.749                 2.51
313384MW6  10/12/11  10/19/10      99.751                 2.49
313384MX4  10/13/11  10/14/10      99.767                 2.33
313384MY2  10/14/11  10/18/10      99.749                 2.51
313384NB1  10/17/11  02/15/11      99.864                 1.36
313384NC9  10/18/11  01/19/11      99.819                 1.81
313384ND7  10/19/11  04/13/11      99.937                 0.63
313384NE5  10/20/11  01/21/11      99.819                 1.81
313384NF2  10/21/11  10/26/10      99.820                 1.80
313384NJ4  10/24/11  11/01/10      99.762                 2.38
313384NK1  10/25/11  01/25/11      99.810                 1.90
313384NL9  10/26/11  10/27/10      99.818                 1.82
313384NM7  10/27/11  12/13/10      99.832                 1.68
313384NN5  10/28/11  10/29/10      99.818                 1.82
313384NR6  10/31/11  04/13/11      99.933                 0.67
313384NS4  11/01/11  05/05/11      99.971                 0.29
313384NT2  11/02/11  11/09/10      99.821                 1.79
313384NU9  11/03/11  07/11/11      99.987                 0.13
313384NV7  11/04/11  11/08/10      99.817                 1.83
313384NY1  11/07/11  11/15/10      99.752                 2.48
313384NZ8  11/08/11  05/05/11      99.969                 0.31
313384PA1  11/09/11  12/08/10      99.813                 1.87
313384PB9  11/10/11  11/18/10      99.822                 1.78
313384PF0  11/14/11  11/17/10      99.708                 2.92
313384PG8  11/15/11  11/19/10      99.769                 2.31
313384PH6  11/16/11  11/17/10      99.717                 2.83
313384PJ2  11/17/11  07/20/11      99.983                 0.17
313384PK9  11/18/11  01/27/11      99.787                 2.13
313384PN3  11/21/11  12/08/10      99.807                 1.93
313384PP8  11/22/11  05/05/11      99.967                 0.33
313384PQ6  11/23/11  11/29/10      99.731                 2.69
313384PS2  11/25/11  11/29/10      99.699                 3.01
313384PV5  11/28/11  11/29/10      99.707                 2.93
313384PW3  11/29/11  11/29/10      99.696                 3.04
313384PX1  11/30/11  11/30/10      99.696                 3.04
313384PY9  12/01/11  12/01/10      99.696                 3.04
313384PZ6  12/02/11  12/02/10      99.696                 3.04
313384QC6  12/05/11  12/08/10      99.668                 3.32
313384QD4  12/06/11  12/09/10      99.668                 3.32
313384QE2  12/07/11  02/07/11      99.806                 1.94
313384QF9  12/08/11  12/08/10      99.665                 3.35
313384QG7  12/09/11  12/15/10      99.671                 3.29
313384QK8  12/12/11  12/16/10      99.669                 3.31





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384QL6  12/13/11  12/14/10      99.666                 3.34
313384QM4  12/14/11  12/14/10      99.665                 3.35
313384QN2  12/15/11  12/17/10      99.677                 3.23
313384QP7  12/16/11  12/20/10      99.669                 3.31
313384QS1  12/19/11  12/20/10      99.687                 3.13
313384QT9  12/20/11  12/20/10      99.686                 3.14
313384QU6  12/21/11  02/11/11      99.826                 1.74
313384QV4  12/22/11  07/18/11      99.974                 0.26
313384QW2  12/23/11  06/21/11      99.954                 0.46
313384RA9  12/27/11  02/01/11      99.799                 2.01
313384RB7  12/28/11  12/29/10      99.788                 2.12
313384RC5  12/29/11  03/29/11      99.863                 1.37
313384RD3  12/30/11  01/06/11      99.791                 2.09



                                 Section III-C



                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2011

                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588AC9  01/03/11  02/22/10      99.694                 3.06
313588AD7  01/04/11  01/22/10      99.682                 3.18
313588AE5  01/05/11  01/26/10      99.685                 3.15
313588AF2  01/06/11  01/25/10      99.683                 3.17
313588AG0  01/07/11  03/04/10      99.717                 2.83
313588AK1  01/10/11  03/31/10      99.699                 3.01
313588AL9  01/11/11  02/18/10      99.682                 3.18
313588AM7  01/12/11  01/22/10      99.675                 3.25
313588AN5  01/13/11  01/22/10      99.674                 3.26
313588AP0  01/14/11  01/29/10      99.679                 3.21
313588AT2  01/18/11  02/02/10      99.669                 3.31
313588AU9  01/19/11  02/03/10      99.669                 3.31
313588AV7  01/20/11  03/02/10      99.694                 3.06
313588AW5  01/21/11  02/04/10      99.669                 3.31
313588AZ8  01/24/11  02/17/10      99.659                 3.41
313588BA2  01/25/11  02/12/10      99.653                 3.47
313588BB0  01/26/11  02/08/10      99.648                 3.52
313588BC8  01/27/11  02/02/10      99.661                 3.39
313588BD6  01/28/11  02/05/10      99.663                 3.37
313588BG9  01/31/11  02/08/10      99.653                 3.47
313588BH7  02/01/11  02/19/10      99.634                 3.66
313588BJ3  02/02/11  02/24/10      99.647                 3.53
313588BK0  02/03/11  02/22/10      99.635                 3.65
313588BL8  02/04/11  04/13/10      99.687                 3.13
313588BP9  02/07/11  03/03/10      99.659                 3.41
313588BQ7  02/08/11  03/22/10      99.641                 3.59
313588BR5  02/09/11  03/15/10      99.632                 3.68
313588BS3  02/10/11  03/31/10      99.640                 3.60
313588BT1  02/11/11  02/19/10      99.623                 3.77
313588BW4  02/14/11  02/22/10      99.623                 3.77
313588BX2  02/15/11  02/22/10      99.622                 3.78
313588BY0  02/16/11  03/02/10      99.639                 3.61
313588BZ7  02/17/11  02/24/10      99.622                 3.78
313588CA1  02/18/11  03/24/10      99.614                 3.86
313588CE3  02/22/11  03/11/10      99.613                 3.87
313588CF0  02/23/11  03/18/10      99.601                 3.99
313588CG8  02/24/11  03/25/10      99.599                 4.01
313588CH6  02/25/11  03/09/10      99.608                 3.92
313588CL7  02/28/11  03/09/10      99.595                 4.05
313588CM5  03/01/11  03/08/10      99.572                 4.28
313588CN3  03/02/11  03/09/10      99.572                 4.28
313588CP8  03/03/11  03/09/10      99.571                 4.29
313588CQ6  03/04/11  03/15/10      99.548                 4.52
313588CT0  03/07/11  03/15/10      99.544                 4.56





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588CU7  03/08/11  03/17/10      99.555                 4.45
313588CV5  03/09/11  03/16/10      99.543                 4.57
313588CW3  03/10/11  03/16/10      99.511                 4.89
313588CX1  03/11/11  03/23/10      99.549                 4.51
313588DA0  03/14/11  03/29/10      99.543                 4.57
313588DB8  03/15/11  03/29/10      99.542                 4.58
313588DC6  03/16/11  05/06/10      99.669                 3.31
313588DD4  03/17/11  03/29/10      99.539                 4.61
313588DE2  03/18/11  06/09/10      99.734                 2.66
313588DH5  03/21/11  03/30/10      99.525                 4.75
313588DJ1  03/22/11  04/01/10      99.527                 4.73
313588DK8  03/23/11  03/29/10      99.531                 4.69
313588DL6  03/24/11  06/03/10      99.706                 2.94
313588DM4  03/25/11  03/30/10      99.520                 4.80
313588DQ5  03/28/11  04/05/10      99.504                 4.96
313588DR3  03/29/11  04/05/10      99.503                 4.97
313588DS1  03/30/11  04/05/10      99.501                 4.99
313588DT9  03/31/11  04/05/10      99.500                 5.00
313588DU6  04/01/11  04/12/10      99.518                 4.82
313588DX0  04/04/11  04/19/10      99.572                 4.28
313588DY8  04/05/11  04/14/10      99.515                 4.85
313588DZ5  04/06/11  04/13/10      99.513                 4.87
313588EA9  04/07/11  04/13/10      99.511                 4.89
313588EB7  04/08/11  07/01/10      99.742                 2.58
313588EE1  04/11/11  04/20/10      99.555                 4.45
313588EF8  04/12/11  05/05/10      99.535                 4.65
313588EG6  04/13/11  05/05/10      99.533                 4.67
313588EH4  04/14/11  04/19/10      99.560                 4.40
313588EJ0  04/15/11  06/09/10      99.673                 3.27
313588EM3  04/18/11  04/26/10      99.524                 4.76
313588EN1  04/19/11  04/28/10      99.525                 4.75
313588EP6  04/20/11  04/27/10      99.523                 4.77
313588EQ4  04/21/11  04/26/10      99.520                 4.80
313588ER2  04/22/11  02/14/11      99.978                 0.22
313588EU5  04/25/11  05/05/10      99.497                 5.03
313588EV3  04/26/11  05/05/10      99.496                 5.04
313588EW1  04/27/11  05/04/10      99.523                 4.77
313588EX9  04/28/11  05/03/10      99.520                 4.80
313588EY7  04/29/11  05/05/10      99.491                 5.09
313588FB6  05/02/11  05/10/10      99.504                 4.96
313588FC4  05/03/11  05/10/10      99.503                 4.97
313588FD2  05/04/11  05/10/10      99.501                 4.99
313588FE0  05/05/11  05/10/10      99.500                 5.00
313588FF7  05/06/11  05/13/10      99.493                 5.07
313588FJ9  05/09/11  06/03/10      99.566                 4.34
313588FK6  05/10/11  05/19/10      99.515                 4.85
313588FL4  05/11/11  05/17/10      99.511                 4.89
313588FM2  05/12/11  06/16/10      99.624                 3.76





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588FN0  05/13/11  06/10/10      99.597                 4.03
313588FR1  05/16/11  06/03/10      99.547                 4.53
313588FS9  05/17/11  08/10/10      99.782                 2.18
313588FT7  05/18/11  06/09/10      99.581                 4.19
313588FU4  05/19/11  07/21/10      99.706                 2.94
313588FV2  05/20/11  07/22/10      99.723                 2.77
313588FY6  05/23/11  08/24/10      99.834                 1.66
313588FZ3  05/24/11  09/15/10      99.854                 1.46
313588GA7  05/25/11  06/07/10      99.540                 4.60
313588GB5  05/26/11  06/16/10      99.599                 4.01
313588GC3  05/27/11  06/04/10      99.534                 4.66
313588GG4  05/31/11  10/01/10      99.879                 1.21
313588GH2  06/01/11  06/08/10      99.503                 4.97
313588GJ8  06/02/11  06/08/10      99.501                 4.99
313588GK5  06/03/11  06/08/10      99.500                 5.00
313588GN9  06/06/11  07/01/10      99.613                 3.87
313588GP4  06/07/11  07/14/10      99.663                 3.37
313588GQ2  06/08/11  10/15/10      99.862                 1.38
313588GR0  06/09/11  07/29/10      99.729                 2.71
313588GS8  06/10/11  06/18/10      99.564                 4.36
313588GV1  06/13/11  06/21/10      99.584                 4.16
313588GW9  06/14/11  06/28/10      99.591                 4.09
313588GX7  06/15/11  06/23/10      99.584                 4.16
313588GY5  06/16/11  09/23/10      99.830                 1.70
313588GZ2  06/17/11  06/25/10      99.584                 4.16
313588HC2  06/20/11  06/29/10      99.575                 4.25
313588HD0  06/21/11  07/01/10      99.576                 4.24
313588HE8  06/22/11  07/19/10      99.634                 3.66
313588HF5  06/23/11  06/29/10      99.571                 4.29
313588HG3  06/24/11  07/15/10      99.627                 3.73
313588HK4  06/27/11  07/02/10      99.570                 4.30
313588HL2  06/28/11  07/08/10      99.576                 4.24
313588HM0  06/29/11  07/12/10      99.619                 3.81
313588HN8  06/30/11  07/09/10      99.604                 3.96
313588HP3  07/01/11  07/07/10      99.571                 4.29
313588HT5  07/05/11  07/13/10      99.603                 3.97
313588HU2  07/06/11  07/13/10      99.602                 3.98
313588HV0  07/07/11  07/15/10      99.574                 4.26
313588HW8  07/08/11  07/13/10      99.600                 4.00
313588HZ1  07/11/11  07/19/10      99.584                 4.16
313588JA4  07/12/11  07/19/10      99.582                 4.18
313588JB2  07/13/11  07/19/10      99.581                 4.19
313588JC0  07/14/11  07/19/10      99.590                 4.10
313588JD8  07/15/11  07/22/10      99.622                 3.78
313588JG1  07/18/11  08/19/10      99.741                 2.59
313588JH9  07/19/11  09/03/10      99.770                 2.30
313588JJ5  07/20/11  08/05/10      99.690                 3.10
313588JK2  07/21/11  07/26/10      99.640                 3.60





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588JL0  07/22/11  07/28/10      99.641                 3.59
313588JP1  07/25/11  08/23/10      99.739                 2.61
313588JR7  07/27/11  08/23/10      99.737                 2.63
313588JS5  07/28/11  08/31/10      99.743                 2.57
313588JT3  07/29/11  08/12/10      99.708                 2.92
313588JW6  08/01/11  08/11/10      99.684                 3.16
313588JX4  08/02/11  10/26/10      99.844                 1.56
313588JY2  08/03/11  11/02/10      99.855                 1.45
313588JZ9  08/04/11  08/11/10      99.682                 3.18
313588KA2  08/05/11  08/12/10      99.682                 3.18
313588KD6  08/08/11  08/19/10      99.705                 2.95
313588KE4  08/09/11  08/26/10      99.710                 2.90
313588KF1  08/10/11  08/24/10      99.717                 2.83
313588KG9  08/11/11  08/23/10      99.716                 2.84
313588KH7  08/12/11  08/20/10      99.712                 2.88
313588KL8  08/15/11  08/24/10      99.713                 2.87
313588KM6  08/16/11  10/21/10      99.809                 1.91
313588KN4  08/17/11  08/26/10      99.703                 2.97
313588KP9  08/18/11  09/03/10      99.719                 2.81
313588KQ7  08/19/11  08/24/10      99.710                 2.90
313588KT1  08/22/11  10/26/10      99.833                 1.67
313588KU8  08/23/11  03/23/11      99.936                 0.64
313588KV6  08/24/11  02/23/11      99.913                 0.87
313588KW4  08/25/11  09/01/10      99.712                 2.88
313588KX2  08/26/11  11/23/10      99.854                 1.46
313588LA1  08/29/11  09/14/10      99.719                 2.81
313588LB9  08/30/11  02/15/11      99.913                 0.87
313588LC7  08/31/11  09/14/10      99.717                 2.83
313588LD5  09/01/11  09/10/10      99.713                 2.87
313588LE3  09/02/11  09/10/10      99.712                 2.88
313588LJ2  09/06/11  09/20/10      99.708                 2.92
313588LK9  09/07/11  09/21/10      99.708                 2.92
313588LL7  09/08/11  10/28/10      99.825                 1.75
313588LM5  09/09/11  09/20/10      99.705                 2.95
313588LQ6  09/12/11  10/12/10      99.767                 2.33
313588LR4  09/13/11  04/08/11      99.943                 0.57
313588LS2  09/14/11  10/12/10      99.766                 2.34
313588LT0  09/15/11  10/13/10      99.766                 2.34
313588LU7  09/16/11  12/21/10      99.843                 1.57
313588LX1  09/19/11  05/05/11      99.973                 0.27
313588LY9  09/20/11  04/14/11      99.951                 0.49
313588LZ6  09/21/11  03/23/11      99.917                 0.83
313588MA0  09/22/11  10/08/10      99.758                 2.42
313588MB8  09/23/11  10/04/10      99.764                 2.36
313588ME2  09/26/11  10/12/10      99.758                 2.42
313588MF9  09/27/11  10/12/10      99.757                 2.43
313588MG7  09/28/11  10/13/10      99.757                 2.43
313588MH5  09/29/11  10/14/10      99.757                 2.43





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588MJ1  09/30/11  10/08/10      99.762                 2.38
313588MM4  10/03/11  10/18/10      99.747                 2.53
313588MN2  10/04/11  01/07/11      99.835                 1.65
313588MP7  10/05/11  10/18/10      99.746                 2.54
313588MQ5  10/06/11  10/26/10      99.799                 2.01
313588MR3  10/07/11  10/15/10      99.742                 2.58
313588MV4  10/11/11  10/21/10      99.753                 2.47
313588MW2  10/12/11  01/03/11      99.828                 1.72
313588MX0  10/13/11  10/18/10      99.740                 2.60
313588MY8  10/14/11  12/15/10      99.815                 1.85
313588NB7  10/17/11  01/12/11      99.822                 1.78
313588NC5  10/18/11  01/13/11      99.822                 1.78
313588ND3  10/19/11  02/23/11      99.894                 1.06
313588NE1  10/20/11  01/20/11      99.833                 1.67
313588NF8  10/21/11  11/02/10      99.794                 2.06
313588NJ0  10/24/11  01/13/11      99.819                 1.81
313588NK7  10/25/11  04/06/11      99.921                 0.79
313588NL5  10/26/11  12/03/10      99.791                 2.09
313588NM3  10/27/11  01/28/11      99.849                 1.51
313588NN1  10/28/11  12/09/10      99.785                 2.15
313588NR2  10/31/11  11/12/10      99.774                 2.26
313588NS0  11/01/11  11/15/10      99.776                 2.24
313588NT8  11/02/11  01/24/11      99.812                 1.88
313588NU5  11/03/11  03/28/11      99.890                 1.10
313588NV3  11/04/11  11/12/10      99.772                 2.28
313588NY7  11/07/11  12/21/10      99.795                 2.05
313588NZ4  11/08/11  01/19/11      99.805                 1.95
313588PA7  11/09/11  05/11/11      99.951                 0.49
313588PB5  11/10/11  12/08/10      99.766                 2.34
313588PF6  11/14/11  01/11/11      99.787                 2.13
313588PG4  11/15/11  12/08/10      99.772                 2.28
313588PH2  11/16/11  04/29/11      99.933                 0.67
313588PJ8  11/17/11  04/27/11      99.926                 0.74
313588PK5  11/18/11  12/06/10      99.769                 2.31
313588PN9  11/21/11  01/25/11      99.800                 2.00
313588PP4  11/22/11  01/19/11      99.795                 2.05
313588PQ2  11/23/11  01/24/11      99.798                 2.02
313588PS8  11/25/11  01/21/11      99.795                 2.05
313588PV1  11/28/11  01/12/11      99.769                 2.31
313588PW9  11/29/11  01/20/11      99.791                 2.09
313588PX7  11/30/11  01/20/11      99.791                 2.09
313588PY5  12/01/11  12/20/10      99.760                 2.40
313588PZ2  12/02/11  01/20/11      99.781                 2.19
313588QC2  12/05/11  12/14/10      99.753                 2.47
313588QD0  12/06/11  12/29/10      99.763                 2.37
313588QE8  12/07/11  01/07/11      99.759                 2.41
313588QF5  12/08/11  04/20/11      99.897                 1.03
313588QG3  12/09/11  12/29/10      99.760                 2.40





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588QK4  12/12/11  01/20/11      99.774                 2.26
313588QL2  12/13/11  12/29/10      99.758                 2.42
313588QM0  12/14/11  04/08/11      99.882                 1.18
313588QN8  12/15/11  01/10/11      99.755                 2.45
313588QP3  12/16/11  01/13/11      99.757                 2.43
313588QS7  12/19/11  01/20/11      99.769                 2.31
313588QT5  12/20/11  01/25/11      99.772                 2.28
313588QU2  12/21/11  06/06/11      99.934                 0.66
313588QV0  12/22/11  06/09/11      99.940                 0.60
313588QW8  12/23/11  01/11/11      99.750                 2.50
313588RA5  12/27/11  01/25/11      99.767                 2.33
313588RB3  12/28/11  01/24/11      99.765                 2.35
313588RC1  12/29/11  01/10/11      99.745                 2.55
313588RD9  12/30/11  01/20/11      99.761                 2.39




                                 Section III-D



                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2011

                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312AC4  01/03/11  01/26/10      99.668                 3.33
313312AD2  01/04/11  10/14/10      99.959                 0.41
313312AE0  01/05/11  10/13/10      99.958                 0.42
313312AF7  01/06/11  06/30/10      99.852                 1.48
313312AG5  01/07/11  06/30/10      99.851                 1.49
313312AK6  01/10/11  05/04/10      99.770                 2.30
313312AL4  01/11/11  01/11/10      99.564                 4.36
313312AM2  01/12/11  07/12/10      99.857                 1.43
313312AN0  01/13/11  05/13/10      99.769                 2.31
313312AP5  01/14/11  01/28/10      99.639                 3.61
313312AT7  01/18/11  12/17/10      99.989                 0.11
313312AU4  01/19/11  12/22/10      99.991                 0.09
313312AW0  01/21/11  01/07/11      99.994                 0.06
313312AZ3  01/24/11  07/28/10      99.870                 1.30
313312BA7  01/25/11  01/25/10      99.635                 3.65
313312BB5  01/26/11  07/30/10      99.880                 1.20
313312BC3  01/27/11  07/30/10      99.879                 1.21
313312BD1  01/28/11  11/26/10      99.965                 0.35
313312BG4  01/31/11  07/30/10      99.877                 1.23
313312BH2  02/01/11  02/02/10      99.636                 3.64
313312BJ8  02/02/11  02/04/10      99.617                 3.83
313312BK5  02/03/11  02/03/10      99.615                 3.85
313312BL3  02/04/11  06/17/10      99.787                 2.13
313312BP4  02/07/11  02/22/10      99.601                 3.99
313312BQ2  02/08/11  01/11/11      99.986                 0.14
313312BS8  02/10/11  02/10/10      99.615                 3.85
313312BT6  02/11/11  05/10/10      99.708                 2.92
313312BW9  02/14/11  06/22/10      99.796                 2.04
313312BX7  02/15/11  08/04/10      99.859                 1.41
313312BY5  02/16/11  08/04/10      99.858                 1.42
313312BZ2  02/17/11  07/20/10      99.829                 1.71
313312CA6  02/18/11  07/19/10      99.828                 1.72
313312CE8  02/22/11  08/03/10      99.853                 1.47
313312CF5  02/23/11  02/02/11      99.990                 0.11
313312CH1  02/25/11  08/26/10      99.883                 1.17
313312CL2  02/28/11  05/20/10      99.677                 3.23
313312CM0  03/01/11  03/03/10      99.617                 3.83
313312CN8  03/02/11  08/06/10      99.850                 1.50
313312CP3  03/03/11  07/02/10      99.776                 2.24
313312CQ1  03/04/11  08/03/10      99.834                 1.66
313312CT5  03/07/11  02/03/11      99.984                 0.16
313312CU2  03/08/11  08/11/10      99.861                 1.39
313312CV0  03/09/11  08/11/10      99.860                 1.40
313312CW8  03/10/11  08/12/10      99.854                 1.46





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312CX6  03/11/11  04/07/10      99.549                 4.51
313312DA5  03/14/11  08/17/10      99.849                 1.51
313312DB3  03/15/11  03/15/10      99.524                 4.77
313312DC1  03/16/11  08/03/10      99.825                 1.75
313312DD9  03/17/11  03/17/10      99.534                 4.66
313312DE7  03/18/11  05/04/10      99.611                 3.89
313312DH0  03/21/11  04/19/10      99.599                 4.01
313312DJ6  03/22/11  08/18/10      99.850                 1.50
313312DK3  03/23/11  12/30/10      99.956                 0.44
313312DL1  03/24/11  02/03/11      99.974                 0.26
313312DM9  03/25/11  08/31/10      99.863                 1.37
313312DQ0  03/28/11  09/15/10      99.876                 1.24
313312DR8  03/29/11  03/01/11      99.988                 0.12
313312DS6  03/30/11  06/07/10      99.663                 3.37
313312DT4  03/31/11  06/04/10      99.642                 3.58
313312DU1  04/01/11  08/31/10      99.858                 1.42
313312DX5  04/04/11  09/17/10      99.873                 1.27
313312DY3  04/05/11  07/19/10      99.740                 2.60
313312DZ0  04/06/11  07/12/10      99.739                 2.61
313312EA4  04/07/11  04/08/10      99.494                 5.06
313312EF3  04/12/11  04/12/10      99.483                 5.17
313312EG1  04/13/11  09/23/10      99.877                 1.23
313312EH9  04/14/11  09/24/10      99.877                 1.23
313312EJ5  04/15/11  09/07/10      99.853                 1.47
313312EM8  04/18/11  08/03/10      99.778                 2.22
313312EN6  04/19/11  09/30/10      99.883                 1.17
313312EP1  04/20/11  04/22/10      99.516                 4.84
313312EU0  04/25/11  05/24/10      99.571                 4.29
313312EV8  04/26/11  08/06/10      99.781                 2.19
313312EW6  04/27/11  10/08/10      99.877                 1.23
313312EX4  04/28/11  10/08/10      99.877                 1.23
313312EY2  04/29/11  08/03/10      99.761                 2.39
313312FB1  05/02/11  08/03/10      99.751                 2.49
313312FC9  05/03/11  03/08/11      99.978                 0.22
313312FD7  05/04/11  08/03/10      99.749                 2.51
313312FE5  05/05/11  09/30/10      99.867                 1.33
313312FF2  05/06/11  01/21/11      99.942                 0.58
313312FJ4  05/09/11  12/30/10      99.928                 0.72
313312FK1  05/10/11  02/03/11      99.949                 0.51
313312FL9  05/11/11  10/18/10      99.869                 1.31
313312FM7  05/12/11  05/12/10      99.473                 5.27
313312FN5  05/13/11  10/18/10      99.868                 1.32
313312FR6  05/16/11  08/06/10      99.756                 2.44
313312FS4  05/17/11  08/06/10      99.755                 2.45
313312FT2  05/18/11  05/13/11      99.999                 0.01
313312FV7  05/20/11  05/21/10      99.535                 4.65
313312FY1  05/23/11  10/20/10      99.863                 1.37
313312FZ8  05/24/11  12/31/10      99.920                 0.80





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312FV7  05/20/11  05/21/10      99.535                 4.65
313312FY1  05/23/11  10/20/10      99.863                 1.37
313312FZ8  05/24/11  12/31/10      99.920                 0.80
313312GA2  05/25/11  07/19/10      99.673                 3.27
313312GB0  05/26/11  10/21/10      99.855                 1.45
313312GC8  05/27/11  11/05/10      99.882                 1.18
313312GG9  05/31/11  08/24/10      99.806                 1.94
313312GH7  06/01/11  11/04/10      99.872                 1.28
313312GJ3  06/02/11  08/06/10      99.725                 2.75
313312GK0  06/03/11  10/18/10      99.848                 1.52
313312GN4  06/06/11  11/08/10      99.878                 1.23
313312GP9  06/07/11  06/17/10      99.576                 4.24
313312GQ7  06/08/11  06/21/10      99.550                 4.50
313312GR5  06/09/11  06/15/10      99.531                 4.69
313312GS3  06/10/11  06/22/10      99.559                 4.41
313312GV6  06/13/11  10/28/10      99.848                 1.52
313312GW4  06/14/11  08/06/10      99.714                 2.86
313312GX2  06/15/11  09/07/10      99.789                 2.11
313312GY0  06/16/11  06/16/10      99.524                 4.77
313312GZ7  06/17/11  03/18/11      99.965                 0.35
313312HC7  06/20/11  12/29/10      99.880                 1.20
313312HD5  06/21/11  01/06/11      99.899                 1.01
313312HE3  06/22/11  11/05/10      99.866                 1.34
313312HF0  06/23/11  12/29/10      99.878                 1.22
313312HG8  06/24/11  10/18/10      99.834                 1.66
313312HK9  06/27/11  10/13/10      99.829                 1.71
313312HL7  06/28/11  12/06/10      99.870                 1.30
313312HM5  06/29/11  12/06/10      99.869                 1.31
313312HN3  06/30/11  09/17/10      99.770                 2.30
313312HP8  07/01/11  01/04/11      99.881                 1.19
313312HT0  07/05/11  04/19/11      99.979                 0.21
313312HU7  07/06/11  12/15/10      99.865                 1.35
313312HV5  07/07/11  12/15/10      99.864                 1.36
313312HW3  07/08/11  07/08/10      99.534                 4.66
313312HZ6  07/11/11  12/27/10      99.853                 1.47
313312JA9  07/12/11  04/19/11      99.977                 0.23
313312JB7  07/13/11  12/30/10      99.865                 1.35
313312JC5  07/14/11  07/14/10      99.554                 4.46
313312JH4  07/19/11  12/27/10      99.847                 1.53
313312JJ0  07/20/11  03/11/11      99.938                 0.62
313312JK7  07/21/11  06/15/11      99.994                 0.06
313312JL5  07/22/11  02/18/11      99.914                 0.86
313312JP6  07/25/11  10/13/10      99.802                 1.98
313312JQ4  07/26/11  12/27/10      99.842                 1.58
313312JR2  07/27/11  11/29/10      99.827                 1.73
313312JS0  07/28/11  06/30/11      99.997                 0.03
313312JT8  07/29/11  10/20/10      99.804                 1.96
313312JW1  08/01/11  10/21/10      99.803                 1.97





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312JY7  08/03/11  01/05/11      99.860                 1.40
313312JZ4  08/04/11  01/04/11      99.847                 1.53
313312KA7  08/05/11  09/21/10      99.735                 2.65
313312KD1  08/08/11  10/13/10      99.784                 2.16
313312KE9  08/09/11  10/21/10      99.789                 2.11
313312KF6  08/10/11  08/31/10      99.704                 2.96
313312KG4  08/11/11  10/21/10      99.788                 2.12
313312KH2  08/12/11  08/12/10      99.645                 3.55
313312KL3  08/15/11  01/28/11      99.878                 1.22
313312KM1  08/16/11  07/29/11      99.990                 0.11
313312KN9  08/17/11  07/20/11      99.997                 0.03
313312KP4  08/18/11  12/31/10      99.828                 1.73
313312KQ2  08/19/11  06/24/11      99.992                 0.08
313312KT6  08/22/11  01/05/11      99.841                 1.59
313312KU3  08/23/11  01/05/11      99.840                 1.60
313312KV1  08/24/11  01/19/11      99.855                 1.45
313312KW9  08/25/11  01/28/11      99.867                 1.34
313312KX7  08/26/11  08/27/10      99.666                 3.34
313312LA6  08/29/11  01/31/11      99.866                 1.34
313312LB4  08/30/11  03/11/11      99.909                 0.91
313312LC2  08/31/11  11/30/10      99.787                 2.13
313312LD0  09/01/11  10/21/10      99.755                 2.45
313312LE8  09/02/11  05/19/11      99.974                 0.27
313312LJ7  09/06/11  03/02/11      99.901                 0.99
313312LK4  09/07/11  01/31/11      99.860                 1.40
313312LL2  09/08/11  09/09/10      99.697                 3.03
313312LM0  09/09/11  03/07/11      99.897                 1.03
313312LQ1  09/12/11  01/05/11      99.813                 1.88
313312LR9  09/13/11  09/13/10      99.665                 3.35
313312LS7  09/14/11  01/05/11      99.811                 1.89
313312LT5  09/15/11  03/11/11      99.896                 1.04
313312LU2  09/16/11  11/05/10      99.790                 2.10
313312LX6  09/19/11  11/17/10      99.762                 2.38
313312LY4  09/20/11  03/24/11      99.905                 0.95
313312LZ1  09/21/11  03/24/11      99.905                 0.96
313312MA5  09/22/11  09/22/10      99.676                 3.24
313312MB3  09/23/11  09/23/10      99.696                 3.04
313312ME7  09/26/11  04/04/11      99.908                 0.92
313312MF4  09/27/11  07/20/11      99.989                 0.12
313312MG2  09/28/11  04/04/11      99.907                 0.93
313312MH0  09/29/11  04/04/11      99.906                 0.94
313312MJ6  09/30/11  12/23/10      99.750                 2.50
313312MM9  10/03/11  06/30/11      99.982                 0.19
313312MN7  10/04/11  04/01/11      99.886                 1.14
313312MP2  10/05/11  10/05/10      99.686                 3.14
313312MQ0  10/06/11  04/01/11      99.885                 1.15
313312MR8  10/07/11  04/07/11      99.903                 0.97
313312MV9  10/11/11  04/08/11      99.907                 0.93





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312MW7  10/12/11  10/12/10      99.716                 2.84
313312MX5  10/13/11  10/13/10      99.716                 2.84
313312MY3  10/14/11  10/14/10      99.716                 2.84
313312NB2  10/17/11  04/12/11      99.916                 0.84
313312NC0  10/18/11  11/04/10      99.758                 2.42
313312ND8  10/19/11  04/13/11      99.916                 0.84
313312NE6  10/20/11  01/05/11      99.768                 2.32
313312NF3  10/21/11  10/22/10      99.697                 3.03
313312NJ5  10/24/11  02/11/11      99.830                 1.70
313312NK2  10/25/11  01/13/11      99.778                 2.22
313312NL0  10/26/11  04/29/11      99.925                 0.75
313312NM8  10/27/11  12/28/10      99.739                 2.61
313312NN6  10/28/11  04/29/11      99.924                 0.76
313312NR7  10/31/11  05/02/11      99.924                 0.76
313312NS5  11/01/11  05/04/11      99.930                 0.70
313312NT3  11/02/11  11/02/10      99.726                 2.74
313312NU0  11/03/11  09/16/11      99.995                 0.05
313312NV8  11/04/11  11/04/10      99.726                 2.74
313312NY2  11/07/11  01/11/11      99.758                 2.42
313312NZ9  11/08/11  11/08/10      99.736                 2.64
313312PA2  11/09/11  05/18/11      99.942                 0.58
313312PB0  11/10/11  11/12/10      99.718                 2.82
313312PF1  11/14/11  01/13/11      99.746                 2.54
313312PG9  11/15/11  01/03/11      99.719                 2.81
313312PH7  11/16/11  06/20/11      99.950                 0.50
313312PJ3  11/17/11  01/05/11      99.728                 2.72
313312PK0  11/18/11  11/18/10      99.676                 3.24
313312PN4  11/21/11  01/18/11      99.744                 2.56
313312PP9  11/22/11  02/11/11      99.795                 2.05
313312PQ7  11/23/11  01/11/11      99.728                 2.72
313312PS3  11/25/11  09/29/11      99.994                 0.06
313312PV6  11/28/11  12/30/10      99.704                 2.96
313312PW4  11/29/11  06/13/11      99.934                 0.66
313312PX2  11/30/11  01/28/11      99.762                 2.38
313312PY0  12/01/11  06/22/11      99.937                 0.63
313312PZ7  12/02/11  12/06/10      99.689                 3.11
313312QC7  12/05/11  06/29/11      99.947                 0.53
313312QD5  12/06/11  01/11/11      99.689                 3.11
313312QE3  12/07/11  05/27/11      99.925                 0.75
313312QF0  12/08/11  12/08/10      99.665                 3.35
313312QG8  12/09/11  10/14/11      99.992                 0.08
313312QK9  12/12/11  06/06/11      99.916                 0.84
313312QL7  12/13/11  10/17/11      99.991                 0.10
313312QN3  12/15/11  10/18/11      99.990                 0.10
313312QP8  12/16/11  12/17/10      99.636                 3.64
313312QS2  12/19/11  07/11/11      99.955                 0.45
313312QT0  12/20/11  10/24/11      99.992                 0.08
313312QU7  12/21/11  07/13/11      99.960                 0.40





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312QV5  12/22/11  06/24/11      99.935                 0.65
313312QW3  12/23/11  12/23/10      99.635                 3.65
313312RA0  12/27/11  01/03/11      99.652                 3.48
313312RB8  12/28/11  12/28/10      99.635                 3.65
313312RC6  12/29/11  01/04/11      99.651                 3.49
313312RD4  12/30/11  01/28/11      99.720                 2.80




                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312AV2  01/20/11  01/19/11      99.9996                 0.004
313312BR0  02/09/11  02/08/11      99.9997                 0.003
313312CG3  02/24/11  02/23/11      99.9998                 0.002
313312EB2  04/08/11  04/07/11      99.9999                 0.001
313312EE6  04/11/11  04/08/11      99.9996                 0.004
313312EQ9  04/21/11  04/20/11      99.9999                 0.001
313312FU9  05/19/11  05/18/11      99.9999                 0.001
313312JD3  07/15/11  07/14/11      99.9999                 0.001
313312JG6  07/18/11  07/15/11      99.9997                 0.003
313312JX9  08/02/11  08/01/11      99.9999                 0.001
313312QM5  12/14/11  12/13/11      99.9999                 0.001





                                Section III-E



                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2011

                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396AC7  01/03/11  01/22/10      99.692                3.08 
313396AD5  01/04/11  06/03/10      99.821                1.79 
313396AE3  01/05/11  06/25/10      99.876                1.24 
313396AG8  01/07/11  06/03/10      99.818                1.82 
313396AK9  01/10/11  01/11/10      99.589                4.11 
313396AL7  01/11/11  04/06/10      99.704                2.96 
313396AM5  01/12/11  04/13/10      99.726                2.74 
313396AN3  01/13/11  04/09/10      99.729                2.71 
313396AP8  01/14/11  02/24/10      99.676                3.24 
313396AT0  01/18/11  02/05/10      99.653                3.47 
313396AU7  01/19/11  03/23/10      99.664                3.36 
313396AV5  01/20/11  02/23/10      99.660                3.40 
313396AW3  01/21/11  01/28/10      99.652                3.48 
313396AZ6  01/24/11  07/26/10      99.878                1.22 
313396BA0  01/25/11  06/11/10      99.816                1.84 
313396BB8  01/26/11  06/28/10      99.847                1.53 
313396BC6  01/27/11  06/16/10      99.819                1.81 
313396BD4  01/28/11  03/09/10      99.675                3.25 
313396BG7  01/31/11  04/13/10      99.699                3.01 
313396BH5  02/01/11  03/08/10      99.661                3.39 
313396BJ1  02/02/11  08/30/10      99.909                0.91 
313396BK8  02/03/11  07/21/10      99.869                1.31 
313396BL6  02/04/11  02/04/10      99.645                3.55 
313396BP7  02/07/11  08/09/10      99.884                1.16 
313396BQ5  02/08/11  07/21/10      99.860                1.40 
313396BR3  02/09/11  08/30/10      99.905                0.95 
313396BS1  02/10/11  07/22/10      99.859                1.41 
313396BT9  02/11/11  02/11/10      99.615                3.85 
313396BW2  02/14/11  03/02/10      99.641                3.59 
313396BX0  02/15/11  03/04/10      99.662                3.38 
313396BY8  02/16/11  03/03/10      99.660                3.40 
313396BZ5  02/17/11  10/04/10      99.936                0.64 
313396CA9  02/18/11  02/22/10      99.599                4.01 
313396CE1  02/22/11  02/24/10      99.597                4.03 
313396CF8  02/23/11  03/01/10      99.631                3.69 
313396CG6  02/24/11  04/28/10      99.673                3.27 
313396CH4  02/25/11  03/04/10      99.632                3.68 
313396CL5  02/28/11  04/14/10      99.627                3.73 
313396CM3  03/01/11  07/20/10      99.832                1.68 
313396CN1  03/02/11  07/20/10      99.831                1.69 
313396CP6  03/03/11  07/15/10      99.827                1.73 
313396CQ4  03/04/11  07/19/10      99.829                1.71 
313396CT8  03/07/11  03/08/10      99.555                4.45 
313396CU5  03/08/11  06/01/10      99.704                2.96 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396CV3  03/09/11  08/30/10      99.883                1.17 
313396CW1  03/10/11  08/06/10      99.844                1.56 
313396CX9  03/11/11  07/19/10      99.817                1.83 
313396DA8  03/14/11  09/13/10      99.897                1.03 
313396DB6  03/15/11  04/22/10      99.628                3.72 
313396DC4  03/16/11  09/01/10      99.886                1.14 
313396DD2  03/17/11  07/29/10      99.820                1.80 
313396DE0  03/18/11  04/21/10      99.623                3.77 
313396DH3  03/21/11  07/29/10      99.811                1.89 
313396DJ9  03/22/11  07/26/10      99.821                1.79 
313396DK6  03/23/11  08/02/10      99.825                1.75 
313396DL4  03/24/11  12/06/10      99.955                0.45 
313396DM2  03/25/11  07/28/10      99.813                1.87 
313396DQ3  03/28/11  04/07/10      99.507                4.93 
313396DS9  03/30/11  07/21/10      99.797                2.03 
313396DT7  03/31/11  04/23/10      99.573                4.27 
313396DU4  04/01/11  04/29/10      99.579                4.21 
313396DX8  04/04/11  10/04/10      99.892                1.08 
313396DY6  04/05/11  08/16/10      99.845                1.55 
313396DZ3  04/06/11  09/09/10      99.878                1.22 
313396EA7  04/07/11  04/16/10      99.565                4.35 
313396EB5  04/08/11  04/26/10      99.566                4.34 
313396EE9  04/11/11  10/12/10      99.904                0.96 
313396EF6  04/12/11  08/19/10      99.843                1.57 
313396EG4  04/13/11  09/01/10      99.869                1.31 
313396EH2  04/14/11  02/09/11      99.977                0.23 
313396EJ8  04/15/11  08/20/10      99.841                1.59 
313396EM1  04/18/11  10/13/10      99.901                0.99 
313396EN9  04/19/11  06/23/10      99.700                3.00 
313396EP4  04/20/11  06/24/10      99.700                3.00 
313396EQ2  04/21/11  05/03/10      99.539                4.61 
313396ER0  04/22/11  07/01/10      99.713                2.87 
313396EU3  04/25/11  10/25/10      99.900                1.00 
313396EV1  04/26/11  07/26/10      99.772                2.28 
313396EW9  04/27/11  07/26/10      99.771                2.29 
313396EX7  04/28/11  07/29/10      99.765                2.35 
313396EY5  04/29/11  07/20/10      99.748                2.52 
313396FB4  05/02/11  05/18/10      99.544                4.56 
313396FC2  05/03/11  05/19/10      99.554                4.46 
313396FD0  05/04/11  06/22/10      99.649                3.51 
313396FE8  05/05/11  06/03/10      99.580                4.20 
313396FF5  05/06/11  06/08/10      99.585                4.15 
313396FJ7  05/09/11  11/08/10      99.910                0.90 
313396FK4  05/10/11  06/11/10      99.593                4.07 
313396FL2  05/11/11  06/17/10      99.617                3.83 
313396FM0  05/12/11  05/20/10      99.544                4.56 
313396FN8  05/13/11  05/19/10      99.541                4.59 
313396FR9  05/16/11  08/03/10      99.762                2.38 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396FS7  05/17/11  06/23/10      99.626                3.74 
313396FT5  05/18/11  08/05/10      99.762                2.38 
313396FU2  05/19/11  08/26/10      99.815                1.85 
313396FV0  05/20/11  07/21/10      99.731                2.69 
313396FY4  05/23/11  09/27/10      99.848                1.52 
313396FZ1  05/24/11  08/20/10      99.808                1.92 
313396GA5  05/25/11  09/01/10      99.815                1.85 
313396GB3  05/26/11  06/03/10      99.524                4.76 
313396GC1  05/27/11  08/30/10      99.820                1.80 
313396GG2  05/31/11  08/19/10      99.802                1.98 
313396GH0  06/01/11  06/03/10      99.516                4.84 
313396GJ6  06/02/11  07/08/10      99.662                3.38 
313396GK3  06/03/11  06/14/10      99.567                4.33 
313396GN7  06/06/11  06/16/10      99.556                4.44 
313396GP2  06/07/11  06/16/10      99.555                4.45 
313396GQ0  06/08/11  06/16/10      99.554                4.46 
313396GR8  06/09/11  06/16/10      99.553                4.47 
313396GS6  06/10/11  06/16/10      99.551                4.49 
313396GV9  06/13/11  07/08/10      99.622                3.78 
313396GW7  06/14/11  07/12/10      99.654                3.46 
313396GX5  06/15/11  07/07/10      99.619                3.81 
313396GY3  06/16/11  11/17/10      99.889                1.11 
313396GZ0  06/17/11  07/20/10      99.677                3.23 
313396HC0  06/20/11  06/21/10      99.560                4.40 
313396HD8  06/21/11  07/08/10      99.613                3.87 
313396HE6  06/22/11  08/02/10      99.712                2.88 
313396HF3  06/23/11  10/05/10      99.841                1.59 
313396HG1  06/24/11  07/12/10      99.634                3.66 
313396HK2  06/27/11  12/27/10      99.879                1.21 
313396HL0  06/28/11  07/16/10      99.672                3.28 
313396HM8  06/29/11  07/01/10      99.556                4.44 
313396HN6  06/30/11  07/01/10      99.555                4.45 
313396HP1  07/01/11  07/01/10      99.554                4.46 
313396HT3  07/05/11  07/22/10      99.669                3.31 
313396HU0  07/06/11  08/19/10      99.759                2.41 
313396HV8  07/07/11  07/20/10      99.648                3.52 
313396HW6  07/08/11  07/19/10      99.646                3.54 
313396HZ9  07/11/11  07/28/10      99.662                3.38 
313396JA2  07/12/11  09/20/10      99.779                2.21 
313396JB0  07/13/11  09/20/10      99.778                2.22 
313396JC8  07/14/11  11/12/10      99.878                1.22 
313396JD6  07/15/11  08/05/10      99.685                3.15 
313396JG9  07/18/11  11/08/10      99.867                1.33 
313396JH7  07/19/11  08/04/10      99.680                3.20 
313396JJ3  07/20/11  12/07/10      99.863                1.37 
313396JK0  07/21/11  12/03/10      99.859                1.41 
313396JL8  07/22/11  08/19/10      99.747                2.53 
313396JP9  07/25/11  11/29/10      99.822                1.78 





                          Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396JQ7  07/26/11  11/24/10      99.851                1.49 
313396JR5  07/27/11  11/23/10      99.850                1.50 
313396JS3  07/28/11  12/01/10      99.841                1.59 
313396JT1  07/29/11  12/02/10      99.841                1.59 
313396JW4  08/01/11  01/31/11      99.907                0.93 
313396JX2  08/02/11  08/16/10      99.708                2.92 
313396JY0  08/03/11  09/28/10      99.785                2.15 
313396JZ7  08/04/11  08/18/10      99.708                2.92 
313396KA0  08/05/11  08/16/10      99.705                2.95 
313396KD4  08/08/11  02/07/11      99.904                0.96 
313396KE2  08/09/11  09/02/10      99.725                2.75 
313396KF9  08/10/11  09/10/10      99.731                2.69 
313396KG7  08/11/11  09/20/10      99.738                2.62 
313396KH5  08/12/11  09/01/10      99.722                2.78 
313396KL6  08/15/11  08/16/10      99.666                3.34 
313396KM4  08/16/11  11/04/10      99.842                1.58 
313396KN2  08/17/11  11/10/10      99.852                1.48 
313396KP7  08/18/11  11/05/10      99.841                1.59 
313396KQ5  08/19/11  11/02/10      99.839                1.61 
313396KT9  08/22/11  02/22/11      99.915                0.85 
313396KU6  08/23/11  12/21/10      99.837                1.63 
313396KV4  08/24/11  01/10/11      99.862                1.38 
313396KW2  08/25/11  12/30/10      99.855                1.45 
313396KX0  08/26/11  12/22/10      99.835                1.65 
313396LA9  08/29/11  08/30/10      99.697                3.03 
313396LB7  08/30/11  01/28/11      99.881                1.19 
313396LC5  08/31/11  01/18/11      99.875                1.25 
313396LD3  09/01/11  09/10/10      99.703                2.97 
313396LE1  09/02/11  02/03/11      99.895                1.05 
313396LJ0  09/06/11  09/09/10      99.698                3.02 
313396LK7  09/07/11  09/09/10      99.698                3.02 
313396LL5  09/08/11  09/09/10      99.697                3.03 
313396LM3  09/09/11  01/04/11      99.842                1.58 
313396LQ4  09/12/11  03/14/11      99.920                0.80 
313396LR2  09/13/11  09/23/10      99.714                2.86 
313396LS0  09/14/11  09/22/10      99.712                2.88 
313396LT8  09/15/11  09/23/10      99.717                2.83 
313396LU5  09/16/11  09/23/10      99.714                2.86 
313396LX9  09/19/11  03/07/11      99.913                0.87 
313396LY7  09/20/11  01/13/11      99.847                1.53 
313396LZ4  09/21/11  02/23/11      99.901                0.99 
313396MA8  09/22/11  02/11/11      99.895                1.05 
313396MB6  09/23/11  01/10/11      99.836                1.64 
313396ME0  09/26/11  03/28/11      99.912                0.88 
313396MF7  09/27/11  04/20/11      99.947                0.53 
313396MG5  09/28/11  10/22/10      99.782                2.18 
313396MH3  09/29/11  10/07/10      99.742                2.58 
313396MJ9  09/30/11  10/06/10      99.741                2.59 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396MM2  10/03/11  10/06/10      99.739                2.61 
313396MN0  10/04/11  10/08/10      99.749                2.51 
313396MP5  10/05/11  02/03/11      99.864                1.36 
313396MQ3  10/06/11  03/22/11      99.912                0.88 
313396MR1  10/07/11  10/19/10      99.745                2.55 
313396MV2  10/11/11  04/11/11      99.929                0.71 
313396MW0  10/12/11  03/14/11      99.906                0.94 
313396MX8  10/13/11  01/21/11      99.831                1.69 
313396MY6  10/14/11  12/01/10      99.771                2.29 
313396NB5  10/17/11  04/18/11      99.928                0.72 
313396NC3  10/18/11  11/05/10      99.788                2.12 
313396ND1  10/19/11  10/27/10      99.782                2.18 
313396NE9  10/20/11  11/18/10      99.767                2.33 
313396NF6  10/21/11  11/03/10      99.795                2.05 
313396NJ8  10/24/11  03/17/11      99.902                0.98 
313396NK5  10/25/11  01/27/11      99.823                1.77 
313396NL3  10/26/11  01/28/11      99.842                1.58 
313396NM1  10/27/11  10/28/10      99.767                2.33 
313396NN9  10/28/11  02/18/11      99.867                1.33 
313396NR0  10/31/11  04/01/11      99.894                1.06 
313396NS8  11/01/11  11/24/10      99.744                2.56 
313396NT6  11/02/11  11/30/10      99.738                2.62 
313396NU3  11/03/11  11/09/10      99.766                2.34 
313396NV1  11/04/11  11/29/10      99.745                2.55 
313396NY5  11/07/11  05/09/11      99.955                0.45 
313396NZ2  11/08/11  04/18/11      99.926                0.74 
313396PA5  11/09/11  11/10/10      99.762                2.38 
313396PB3  11/10/11  06/10/11      99.958                0.42 
313396PF4  11/14/11  11/16/10      99.748                2.52 
313396PG2  11/15/11  11/18/10      99.739                2.61 
313396PH0  11/16/11  03/17/11      99.892                1.08 
313396PJ6  11/17/11  02/22/11      99.844                1.56 
313396PK3  11/18/11  03/08/11      99.865                1.35 
313396PN7  11/21/11  01/26/11      99.792                2.08 
313396PP2  11/22/11  02/23/11      99.849                1.51 
313396PQ0  11/23/11  05/05/11      99.950                0.50 
313396PS6  11/25/11  07/05/11      99.968                0.32 
313396PV9  11/28/11  05/31/11      99.936                0.64 
313396PW7  11/29/11  12/01/10      99.647                3.53 
313396PX5  11/30/11  12/02/10      99.698                3.02 
313396PY3  12/01/11  12/02/10      99.697                3.03 
313396PZ0  12/02/11  02/09/11      99.794                2.06 
313396QC0  12/05/11  12/06/10      99.717                2.83 
313396QD8  12/06/11  12/10/10      99.719                2.81 
313396QE6  12/07/11  12/09/10      99.718                2.82 
313396QF3  12/08/11  04/18/11      99.909                0.91 
313396QG1  12/09/11  12/29/10      99.722                2.78 
313396QK2  12/12/11  12/13/10      99.656                3.44 





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396QL0  12/13/11  03/09/11      99.845                1.55 
313396QM8  12/14/11  03/15/11      99.863                1.37 
313396QN6  12/15/11  12/22/10      99.692                3.08 
313396QP1  12/16/11  02/17/11      99.799                2.01 
313396QS5  12/19/11  06/20/11      99.932                0.68 
313396QT3  12/20/11  02/09/11      99.782                2.18 
313396QU0  12/21/11  05/04/11      99.917                0.83 
313396QV8  12/22/11  01/06/11      99.708                2.92 
313396QW6  12/23/11  05/04/11      99.916                0.84 
313396RA3  12/27/11  01/11/11      99.728                2.72 
313396RB1  12/28/11  03/29/11      99.840                1.60 
313396RC9  12/29/11  06/21/11      99.936                0.64 
313396RD7  12/30/11  06/20/11      99.936                0.64 






                               Section III-F



                FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                    Short-Term Obligations Issued at a
                      Discount and Maturing in 2011

                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KAC4  01/03/11  07/01/10      99.861                 1.39
31315KAD2  01/04/11  10/08/10      99.954                 0.46
31315KAE0  01/05/11  12/23/10      99.997                 0.03
31315KAF7  01/06/11  04/20/10      99.746                 2.54
31315KAG5  01/07/11  01/14/10      99.632                 3.68
31315KAK6  01/10/11  01/07/11      99.999                 0.01
31315KAL4  01/11/11  10/14/10      99.956                 0.44
31315KAM2  01/12/11  10/12/10      99.951                 0.49
31315KAN0  01/13/11  01/20/10      99.632                 3.68
31315KAP5  01/14/11  10/21/10      99.955                 0.45
31315KAT7  01/18/11  10/22/10      99.954                 0.46
31315KAU4  01/19/11  11/01/10      99.956                 0.44
31315KAV2  01/20/11  10/29/10      99.956                 0.44
31315KAW0  01/21/11  12/30/10      99.995                 0.05
31315KAZ3  01/24/11  12/15/10      99.983                 0.17
31315KBA7  01/25/11  12/29/10      99.993                 0.08
31315KBB5  01/26/11  11/19/10      99.968                 0.32
31315KBC3  01/27/11  01/06/11      99.991                 0.09
31315KBD1  01/28/11  01/29/10      99.636                 3.64
31315KBG4  01/31/11  01/26/11      99.998                 0.02
31315KBH2  02/01/11  08/26/10      99.907                 0.93
31315KBJ8  02/02/11  01/11/11      99.989                 0.11
31315KBK5  02/03/11  01/10/11      99.988                 0.12
31315KBL3  02/04/11  01/06/11      99.986                 0.14
31315KBP4  02/07/11  11/10/10      99.953                 0.47
31315KBS8  02/10/11  02/17/10      99.602                 3.98
31315KBT6  02/11/11  01/19/11      99.989                 0.11
31315KBW9  02/14/11  01/20/11      99.987                 0.13
31315KBX7  02/15/11  01/18/11      99.985                 0.15
31315KBY5  02/16/11  01/27/11      99.990                 0.10
31315KBZ2  02/17/11  11/09/10      99.947                 0.53
31315KCE8  02/22/11  02/23/10      99.585                 4.15
31315KCF5  02/23/11  01/25/11      99.986                 0.14
31315KCG3  02/24/11  02/26/10      99.587                 4.13
31315KCL2  02/28/11  12/28/10      99.971                 0.29
31315KCM0  03/01/11  12/08/10      99.959                 0.41
31315KCP3  03/03/11  01/24/11      99.981                 0.19
31315KCQ1  03/04/11  12/14/10      99.958                 0.42
31315KCT5  03/07/11  02/15/11      99.992                 0.08
31315KCW8  03/10/11  12/10/10      99.953                 0.48
31315KCX6  03/11/11  02/10/11      99.988                 0.12
31315KDA5  03/14/11  02/17/11      99.990                 0.10
31315KDB3  03/15/11  06/21/10      99.726                 2.74
31315KDC1  03/16/11  12/10/10      99.949                 0.51





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KDD9  03/17/11  02/10/11      99.984                 0.16
31315KDE7  03/18/11  06/10/10      99.707                 2.93
31315KDH0  03/21/11  03/18/11      99.999                 0.01
31315KDK3  03/23/11  03/01/11      99.990                 0.10
31315KDL1  03/24/11  12/23/10      99.949                 0.51
31315KDM9  03/25/11  04/29/10      99.533                 4.67
31315KDQ0  03/28/11  06/10/10      99.677                 3.23
31315KDS6  03/30/11  06/16/10      99.689                 3.11
31315KDT4  03/31/11  03/04/11      99.988                 0.12
31315KDU1  04/01/11  05/20/10      99.614                 3.86
31315KDX5  04/04/11  12/28/10      99.946                 0.54
31315KDY3  04/05/11  03/01/11      99.983                 0.17
31315KDZ0  04/06/11  07/09/10      99.729                 2.71
31315KEA4  04/07/11  12/29/10      99.945                 0.55
31315KEB2  04/08/11  01/31/11      99.966                 0.34
31315KEF3  04/12/11  01/12/11      99.950                 0.50
31315KEG1  04/13/11  10/04/10      99.883                 1.17
31315KEJ5  04/15/11  06/10/10      99.644                 3.56
31315KEM8  04/18/11  04/15/11      99.999                 0.01
31315KEQ9  04/21/11  01/10/11      99.944                 0.56
31315KEX4  04/28/11  01/28/11      99.953                 0.48
31315KFB1  05/02/11  03/28/11      99.990                 0.10
31315KFC9  05/03/11  02/17/11      99.967                 0.33
31315KFD7  05/04/11  03/31/11      99.990                 0.10
31315KFE5  05/05/11  02/09/11      99.955                 0.45
31315KFF2  05/06/11  02/25/11      99.969                 0.31
31315KFK1  05/10/11  04/13/11      99.995                 0.05
31315KFM7  05/12/11  02/10/11      99.952                 0.48
31315KFN5  05/13/11  04/19/11      99.995                 0.05
31315KFR6  05/16/11  04/15/11      99.993                 0.07
31315KFY1  05/23/11  04/12/11      99.990                 0.10
31315KGA2  05/25/11  05/28/10      99.467                 5.33
31315KGB0  05/26/11  04/29/11      99.995                 0.05
31315KGC8  05/27/11  05/06/11      99.998                 0.02
31315KGG9  05/31/11  07/09/10      99.647                 3.53
31315KGH7  06/01/11  09/09/10      99.794                 2.06
31315KGJ3  06/02/11  03/01/11      99.956                 0.44
31315KGK0  06/03/11  04/28/11      99.992                 0.08
31315KGN4  06/06/11  05/05/11      99.996                 0.04
31315KGP9  06/07/11  06/09/10      99.456                 5.44
31315KGQ7  06/08/11  05/03/11      99.994                 0.06
31315KGS3  06/10/11  03/29/11      99.974                 0.26
31315KGV6  06/13/11  05/16/11      99.996                 0.04
31315KGW4  06/14/11  12/02/10      99.865                 1.35
31315KGX2  06/15/11  03/25/11      99.968                 0.32
31315KGY0  06/16/11  03/07/11      99.952                 0.48
31315KHE3  06/22/11  06/22/10      99.523                 4.77
31315KHF0  06/23/11  08/26/10      99.766                 2.34





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KHG8  06/24/11  06/25/10      99.535                 4.65
31315KHK9  06/27/11  12/30/10      99.881                 1.19
31315KHM5  06/29/11  12/27/10      99.882                 1.18
31315KHN3  06/30/11  07/09/10      99.575                 4.25
31315KHP8  07/01/11  07/01/10      99.523                 4.77
31315KHT0  07/05/11  04/01/11      99.958                 0.42
31315KHU7  07/06/11  04/04/11      99.972                 0.28
31315KHV5  07/07/11  06/08/11      99.994                 0.06
31315KJA9  07/12/11  10/20/10      99.809                 1.91
31315KJC5  07/14/11  10/21/10      99.808                 1.92
31315KJG6  07/18/11  04/20/11      99.973                 0.27
31315KJH4  07/19/11  06/15/11      99.992                 0.08
31315KJK7  07/21/11  04/12/11      99.967                 0.33
31315KJL5  07/22/11  04/25/11      99.973                 0.27
31315KJQ4  07/26/11  06/21/11      99.993                 0.07
31315KJR2  07/27/11  07/28/10      99.596                 4.04
31315KJS0  07/28/11  11/08/10      99.833                 1.67
31315KJT8  07/29/11  05/23/11      99.987                 0.13
31315KJW1  08/01/11  08/06/10      99.630                 3.70
31315KJX9  08/02/11  06/29/11      99.995                 0.05
31315KJZ4  08/04/11  07/06/11      99.997                 0.03
31315KKA7  08/05/11  07/01/11      99.994                 0.06
31315KKD1  08/08/11  06/13/11      99.988                 0.12
31315KKE9  08/09/11  05/06/11      99.982                 0.18
31315KKG4  08/11/11  05/16/11      99.981                 0.19
31315KKH2  08/12/11  07/15/11      99.996                 0.04
31315KKL3  08/15/11  05/20/11      99.978                 0.22
31315KKM1  08/16/11  06/10/11      99.981                 0.19
31315KKN9  08/17/11  07/11/11      99.994                 0.06
31315KKP4  08/18/11  06/10/11      99.983                 0.17
31315KKQ2  08/19/11  07/15/11      99.995                 0.05
31315KKW9  08/25/11  07/20/11      99.995                 0.05
31315KKX7  08/26/11  08/03/11      99.994                 0.06
31315KLA6  08/29/11  07/27/11      99.994                 0.06
31315KLB4  08/30/11  07/28/11      99.994                 0.06
31315KMF4  09/27/11  08/31/11      99.996                 0.04
31315KMN7  10/04/11  09/08/11      99.995                 0.05
31315KMQ0  10/06/11  09/12/11      99.997                 0.03
31315KMV9  10/11/11  09/27/11      99.998                 0.02
31315KMW7  10/12/11  09/15/11      99.997                 0.03
31315KMX5  10/13/11  09/14/11      99.997                 0.03
31315KNN6  10/28/11  10/04/11      99.997                 0.03
31315KNR7  10/31/11  10/05/11      99.997                 0.03
31315KNZ9  11/08/11  09/27/11      99.995                 0.05
31315KPB0  11/10/11  10/14/11      99.996                 0.04
31315KPG9  11/15/11  10/07/11      99.996                 0.04
31315KPH7  11/16/11  10/14/11      99.995                 0.05
31315KPN4  11/21/11  10/24/11      99.997                 0.03





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KPV6  11/28/11  11/23/11      99.999                 0.01
31315KPW4  11/29/11  10/27/11      99.995                 0.05
31315KPY0  12/01/11  09/01/11      99.985                 0.15
31315KPZ7  12/02/11  09/15/11      99.985                 0.15
31315KQF0  12/08/11  09/21/11      99.985                 0.15
31315KQL7  12/13/11  11/30/11      99.998                 0.02
31315KQM5  12/14/11  09/15/11      99.983                 0.17
31315KQN3  12/15/11  09/20/11      99.986                 0.14
31315KQT0  12/20/11  09/20/11      99.982                 0.18
31315KQU7  12/21/11  09/21/11      99.985                 0.15
31315KQV5  12/22/11  09/28/11      99.986                 0.14
31315KRA0  12/27/11  09/28/11      99.985                 0.15






                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KBQ2  02/08/11  02/07/11      99.9997                 0.003
31315KBR0  02/09/11  02/08/11      99.9997                 0.003
31315KCA6  02/18/11  02/17/11      99.9997                 0.003
31315KCH1  02/25/11  02/24/11      99.9998                 0.002
31315KCN8  03/02/11  03/01/11      99.9997                 0.003
31315KCU2  03/08/11  03/07/11      99.9998                 0.002
31315KCV0  03/09/11  03/08/11      99.9998                 0.002
31315KDJ6  03/22/11  03/21/11      99.9997                 0.003
31315KDR8  03/29/11  03/28/11      99.9999                 0.001
31315KEE6  04/11/11  04/08/11      99.9996                 0.004
31315KEH9  04/14/11  04/13/11      99.9999                 0.001
31315KEN6  04/19/11  04/18/11      99.9999                 0.001
31315KEP1  04/20/11  04/19/11      99.9999                 0.001
31315KEU0  04/25/11  04/21/11      99.9996                 0.004
31315KEV8  04/26/11  04/25/11      99.9999                 0.001
31315KEW6  04/27/11  04/26/11      99.9999                 0.001
31315KEY2  04/29/11  04/28/11      99.9999                 0.001
31315KFJ4  05/09/11  05/06/11      99.9997                 0.003
31315KFL9  05/11/11  05/10/11      99.9999                 0.001
31315KFS4  05/17/11  05/16/11      99.9999                 0.001
31315KFT2  05/18/11  05/17/11      99.9999                 0.001





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KFU9  05/19/11  05/18/11      99.9999                 0.001
31315KFV7  05/20/11  05/19/11      99.9998                 0.002
31315KFZ8  05/24/11  05/23/11      99.9999                 0.001
31315KGR5  06/09/11  06/08/11      99.9999                 0.001
31315KGZ7  06/17/11  06/16/11      99.9999                 0.001
31315KHC7  06/20/11  06/17/11      99.9995                 0.005
31315KHD5  06/21/11  06/20/11      99.9999                 0.001
31315KHL7  06/28/11  06/27/11      99.9999                 0.001
31315KHW3  07/08/11  07/07/11      99.9999                 0.001
31315KHZ6  07/11/11  07/08/11      99.9997                 0.003
31315KJB7  07/13/11  07/12/11      99.9999                 0.001
31315KJD3  07/15/11  07/14/11      99.9999                 0.001
31315KJJ0  07/20/11  07/19/11      99.9999                 0.001
31315KJP6  07/25/11  07/22/11      99.9997                 0.003
31315KJY7  08/03/11  08/02/11      99.9999                 0.001
31315KKF6  08/10/11  08/09/11      99.9999                 0.001
31315KKT6  08/22/11  08/18/11      99.9996                 0.004
31315KKU3  08/23/11  08/22/11      99.9999                 0.001
31315KKV1  08/24/11  08/23/11      99.9999                 0.001
31315KLC2  08/31/11  08/30/11      99.9999                 0.001
31315KLD0  09/01/11  08/31/11      99.9999                 0.001
31315KLE8  09/02/11  09/01/11      99.9999                 0.001
31315KLJ7  09/06/11  09/02/11      99.9996                 0.004
31315KLK4  09/07/11  09/06/11      99.9999                 0.001
31315KLL2  09/08/11  09/07/11      99.9999                 0.001
31315KLM0  09/09/11  09/08/11      99.9999                 0.001
31315KLQ1  09/12/11  09/09/11      99.9997                 0.003
31315KLR9  09/13/11  09/12/11      99.9999                 0.001
31315KLS7  09/14/11  09/13/11      99.9999                 0.001
31315KLT5  09/15/11  09/14/11      99.9999                 0.001
31315KLU2  09/16/11  09/15/11      99.9999                 0.001
31315KLX6  09/19/11  09/16/11      99.9997                 0.003
31315KLY4  09/20/11  09/19/11      99.9999                 0.001
31315KLZ1  09/21/11  09/20/11      99.9999                 0.001
31315KMA5  09/22/11  09/21/11      99.9999                 0.001
31315KMB3  09/23/11  09/22/11      99.9999                 0.001
31315KME7  09/26/11  09/23/11      99.9997                 0.003
31315KMG2  09/28/11  09/27/11      99.9999                 0.001
31315KMH0  09/29/11  09/28/11      99.9999                 0.001
31315KMJ6  09/30/11  09/29/11      99.9999                 0.001
31315KMM9  10/03/11  09/30/11      99.9997                 0.003
31315KMP2  10/05/11  10/04/11      99.9999                 0.001
31315KMR8  10/07/11  10/06/11      99.9999                 0.001
31315KMY3  10/14/11  10/13/11      99.9999                 0.001
31315KNB2  10/17/11  10/14/11      99.9997                 0.003
31315KNC0  10/18/11  10/17/11      99.9999                 0.001
31315KND8  10/19/11  10/18/11      99.9999                 0.001





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2011
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KNE6  10/20/11  10/19/11      99.9999                 0.001
31315KNF3  10/21/11  10/20/11      99.9999                 0.001
31315KNJ5  10/24/11  10/21/11      99.9997                 0.003
31315KNK2  10/25/11  10/24/11      99.9999                 0.001
31315KNL0  10/26/11  10/25/11      99.9999                 0.001
31315KNM8  10/27/11  10/26/11      99.9999                 0.001
31315KNS5  11/01/11  10/31/11      99.9999                 0.001
31315KNT3  11/02/11  11/01/11      99.9999                 0.001
31315KNU0  11/03/11  11/02/11      99.9999                 0.001
31315KNV8  11/04/11  11/01/11      99.9996                 0.004
31315KNY2  11/07/11  11/04/11      99.9997                 0.003
31315KPA2  11/09/11  11/08/11      99.9999                 0.001
31315KPF1  11/14/11  11/10/11      99.9996                 0.004
31315KPJ3  11/17/11  11/16/11      99.9999                 0.001
31315KPK0  11/18/11  11/17/11      99.9999                 0.001
31315KPP9  11/22/11  11/21/11      99.9999                 0.001
31315KPQ7  11/23/11  11/22/11      99.9999                 0.001
31315KPX2  11/30/11  11/29/11      99.9999                 0.001
31315KQC7  12/05/11  12/02/11      99.9997                 0.003
31315KQD5  12/06/11  12/05/11      99.9999                 0.001
31315KQE3  12/07/11  12/06/11      99.9999                 0.001
31315KQG8  12/09/11  12/08/11      99.9999                 0.001
31315KQK9  12/12/11  12/09/11      99.9997                 0.003













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