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 2011 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     2012 1st    2012 2nd   2013 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/12      Period     2013 1st    Period        2012       2013          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                                   
Fannie Mae                   313586QR3   07/05/84   07/05/14       3.625      0.000      722.70     0.229270    0.256779   0.286802      88.86      99.13          
Fannie Mae                   313586RC5   10/09/84   10/09/19       3.200      0.000      434.12     0.128562    0.142237   0.156936      48.20      53.15          
Pepsico Cap Resources        713440BB0   04/14/82   04/01/12       2.643      0.000      965.48     0.088951                              8.09                     
Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      334.05     0.095762    0.105564   0.116052      35.93      39.47          
Transamerica Finl Corp       893502AP9   08/18/82   09/01/12       1.986      0.000      958.34     0.089331                             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 2012 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABN Amro Bank N.V.       00078UER7 03/15/07 03/13/12    100.000     0.000    4.8108              0.165467                                                11.91         
ABN Amro Bank N.V.       00079FBH4 07/16/03 01/16/14    100.000     0.000    4.1274              0.158970   0.162251   0.165600   0.169017  0.172505     58.91    61.37
ABN Amro Bank N.V.       00079FBM3 08/13/03 11/13/13    100.000     0.000    4.3128              0.170363   0.174037   0.177790   0.181624               62.35    56.16
ABN Amro Bank N.V.       00079FBR2 09/10/03 09/10/13    100.000     0.000    5.0200              0.207331   0.212535   0.217869   0.223338               76.75    55.23
ABN Amro Bank N.V.       00079FBX9 10/08/03 10/08/13    100.000     0.000    5.1600              0.215454   0.221012   0.226714   0.232564               79.50    63.85
ABN Amro Bank N.V.       00079FCY6 03/10/04 12/10/13    100.000     0.000    4.7792              0.191449   0.196024   0.200709   0.205505               69.94    68.90
ABN Amro Bank N.V.       00079FDB5 03/24/04 12/24/13    100.000     0.000    4.7792              0.191449   0.196024   0.200709   0.205505               69.81    71.71
ABN Amro Bank N.V.       00079FHN5 01/13/05 01/13/20    100.000    VARIES    4.7500              0.130430   0.130723   0.131062   0.131410  0.131766     47.11    47.36
Acco Brands Corporation  00081TAC2 09/30/09 03/15/15*    98.502    10.625   10.9972     5.16     0.007108   0.007499                                      1.88*        
ACL I Corporation        00088JAA1 02/15/11 02/15/16     98.250    VARIES    N/A                 0.308558   0.308463   0.308076   0.308807  0.309580    111.00   111.24
ACL I Corporation        00088JAB9 02/15/11 02/15/16     98.250    VARIES    N/A                 0.308558   0.308463   0.308076   0.308807  0.309580    111.00   111.24
APP Finance VI           00202NAA3 11/18/97 11/18/12     20.424     0.000   10.8751   706.96     0.271732   0.286507                                     88.80         
Adams 12 Five Star SCH   006449EB4 12/22/11 12/15/13     97.370     0.000    1.3501      .33     0.036517   0.036756   0.037004   0.037254               13.20    12.77
Adams 12 Five Star SCH   006449EC2 12/22/11 12/15/14     94.659     0.000    1.8500      .44     0.048643   0.049077   0.049531   0.049990  0.050452     17.60    17.93
Adams 12 Five Star SCH   006449ED0 12/22/11 12/15/15     91.478     0.000    2.2501      .51     0.057176   0.057796   0.058447   0.059104  0.059769     20.72    21.18
Advanced Medical Optics  00763MAF5 06/22/04 07/15/24    100.000    VARIES    7.7883              0.320799   0.329909   0.339374   0.349129  0.359264    120.21   127.23
Advanced Medical Optics  00763MAG3 06/22/04 07/15/24    100.000    VARIES    7.7883              0.320799   0.329909   0.339374   0.349129  0.359264    120.21   127.23
Advanced Medical Optics  00763MAK4 06/13/06 08/01/26    100.000    VARIES    7.9982              0.281360   0.292257   0.297109   0.310521  0.314142    107.37   113.48
Advanced Medical Optics  00763MAL2 06/13/06 08/01/26    100.000    VARIES    7.9982              0.281360   0.292257   0.297109   0.310521  0.314142    107.37   113.48
Alameda, CA              010781AQ5 03/14/02 02/01/12     97.458     7.625    8.0020    25.12     0.010071                                                  .30         
Alliance One Intl, Inc.  018772AL7 07/02/09 07/15/16     95.177    10.000   11.0023    13.16     0.016299   0.017196   0.018142   0.019140  0.020193      6.33     7.05
Alliance One Intl, Inc.  018772AM5 07/02/09 07/15/16     95.177    10.000   11.0023    13.16     0.016299   0.017196   0.018142   0.019140  0.020193      6.33     7.05
Alliance One Intl, Inc.  018772AN3 07/02/09 07/15/16     95.177    10.000   11.0023    13.16     0.016299   0.017196   0.018142   0.019140  0.020193      6.33     7.05
Alliant Techsystems Inc. 018804AJ3 08/13/04 08/15/24    100.000    VARIES    6.9757              0.261874   0.268101   0.274546   0.281215  0.288117     97.12   101.88
Alliant Techsystems Inc. 018804AK0 08/13/04 08/15/24    100.000    VARIES    6.9757              0.261874   0.268101   0.274546   0.281215  0.288117     97.12   101.88
Alza Corporation         022615AC2 07/14/94 07/14/14     35.471     0.000    5.2499   522.15     0.124835   0.128112   0.131475   0.134926  0.138468     46.64    49.12
American Medical Systems 02744MAA6 06/27/06 07/01/36    100.000    VARIES    9.1005              0.355271   0.366917   0.379093   0.391823              129.99   138.76
American Medical Systems 02744MAB4 09/21/09 09/15/41    103.658    VARIES   14.0090              0.493440   0.520220   0.548877   0.579540  0.612351    188.34   209.84
American Renal Holdings  029227AA3 03/04/11 03/01/16     98.000    10.500    N/A                 0.284816   0.284768   0.284719   0.285446  0.286210    102.51   102.81
American Renal Holdings  029228AA1 03/04/11 03/01/16     98.000    10.500    N/A                 0.284816   0.284768   0.284719   0.285446  0.286210    102.51   102.81
American Renal Holdings  029228AB9 03/04/11 03/01/16     98.000    10.500    N/A                 0.284816   0.284768   0.284719   0.285446  0.286210    102.51   102.81
Amgen Inc.               031162AC4 03/01/02 03/01/32*    71.423    VARIES    N/A                 0.120828                                                 7.25*        
Amgen Inc.               031162AD2 03/01/02 03/01/32*    71.423    VARIES    N/A                 0.120828                                                 7.25*        
Amgen Inc.               031162AE0 03/01/02 03/01/32*    71.423    VARIES    N/A                 0.120828                                                 7.25*        
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES    4.4729              0.120831   0.123533   0.126296   0.129120  0.132008     44.64    46.66
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Amgen Inc.               031162AL4 03/01/05 03/01/32*    72.947    VARIES    4.4729              0.120831                                                 7.25*        
Anixter, Inc.            035287AC5 03/11/09 03/15/14     92.625    10.000   12.0007    36.01     0.041529   0.044020   0.046662   0.049462  0.052430     15.94    17.91
Anoka CNTY HSG & REDEV   03622CAA3 12/15/10 05/01/17     97.561     8.000    8.5032     3.17     0.008842   0.009218   0.009610   0.010018  0.010444      3.30     3.58
Anoka City, MN           03633CAA0 11/30/11 11/01/16     97.000     6.750    7.4901      .44     0.014317   0.014767   0.015320   0.015894  0.016489      5.30     5.69
Anoka City, MN           03633CAB8 11/30/11 11/01/15     97.000     6.500    7.3954      .58     0.018710   0.019290   0.020004   0.020744  0.021511      6.92     7.42
Apria Healthcare Group   037933AA6 08/20/03 09/01/33    100.000    VARIES    8.6241              0.380157   0.392086   0.404529   0.417509  0.430959    141.93   151.14
Apria Healthcare Group   037933AB4 08/20/03 09/01/33    100.000    VARIES    8.6241              0.380157   0.392086   0.404529   0.417509  0.430959    141.93   151.14
Apria Healthcare Group   037933AD0 05/27/09 11/01/14     97.050    11.250   12.0051    11.82     0.014785   0.015672   0.016613   0.017610  0.018667      5.59     6.28
Apria Healthcare Group   037933AE8 05/27/09 11/01/14     97.050    11.250   12.0051    11.82     0.014785   0.015672   0.016613   0.017610  0.018667      5.59     6.28
Ardagh MP Holdings Inc.  03968XAA9 01/26/12 10/15/20     96.356     9.125    9.7549              0.007624   0.007788   0.008167   0.008566  0.008984      2.62     3.07
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875    N/A                 0.025178   0.025176   0.025174   0.025172  0.025170      9.06     9.06
Republic of Argentina    040114GA2 06/15/00 06/15/15     91.700    11.750   13.0226    48.48     0.022732   0.024213   0.025789   0.027468  0.029257      8.50     9.64
Republic of Argentina    040114GB0 07/21/00 07/21/30     80.144    10.250   12.8669    15.29     0.006800   0.007238   0.007703   0.008199  0.008726      2.67     3.03
Republic of Argentina    040114GG9 06/19/01 06/19/18     75.375     0.000    N/A                 0.667586   0.672157   0.680789   0.682349  0.691805    245.34   248.92
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250    12.000    N/A                 0.594895   0.595450   0.599320   0.596683  0.600649    217.89   218.29
Armstrong Cnty Ind Dev   04233KAB2 07/29/99 08/20/34      6.955     0.000    7.7498   109.34     0.037454   0.038905   0.040413   0.041979  0.043606     14.13    15.25
Ashland Inc.             044209AC8 05/27/09 06/01/17     96.577     9.125    9.7504     8.39     0.010292   0.010794   0.011320   0.011872  0.012451      3.83     4.21
Ashland Inc.             044209AD6 05/27/09 06/01/17     96.577     9.125    9.7504     8.39     0.010292   0.010794   0.011320   0.011872  0.012451      3.83     4.21
Azusa Calif Redev Agy    05502MAB9 06/16/92 12/01/12     16.502     0.000    9.0030   757.55     0.229003   0.239311                                     77.43         
BNP Paribas              05567LA31 09/30/09 03/30/15    100.000     0.000    3.2105              0.095049   0.096574   0.098125   0.099700  0.101300     34.77    35.90
BNP Paribas              05567LB55 10/30/09 04/29/15    100.000     0.000    3.2308              0.095677   0.097223   0.098793   0.100389  0.102011     34.92    36.05
BNP Paribas              05567LD53 03/03/10 03/03/15    100.000     0.000    3.0717              0.089319   0.090691   0.092084   0.093498  0.094934     32.73    33.74
BNP Paribas              05567LE52 02/01/10 07/31/15    100.000     0.000    3.0492              0.086702   0.088991   0.089366   0.092232  0.092111     32.56    33.56
BNP Paribas              05567LH67 04/30/10 10/30/15    100.000     0.000    0.3103              0.008660   0.008673   0.008687   0.008700  0.008714      3.12     3.13
BNP Paribas              05567LYH4 03/31/09 03/31/14    100.000     0.000    2.9595              0.088475   0.089784   0.091113   0.092461  0.093829     32.33    33.29
BNP Paribas              05567LYQ4 04/30/09 04/30/15    100.000     0.000    2.9447              0.088001   0.089297   0.090611   0.091946  0.093299     32.07    33.02
BNP Paribas              05567LZA8 05/27/09 05/27/14    100.000     0.000    3.6129              0.109757   0.111739   0.113758   0.115813  0.117905     40.01    41.46
BNP Paribas              05567LZQ3 08/31/09 08/29/14    100.000     0.000    3.1719              0.091779   0.094259   0.095231   0.097272  0.098275     34.47    35.51
Ball Corporation         058498AM8 08/20/09 09/01/16     97.975     7.125    7.5008     5.68     0.007225   0.007495   0.007777   0.008068  0.008371      2.72     2.92
Ball Corporation         058498AN6 08/20/09 09/01/19     97.414     7.375    7.7505     4.46     0.005678   0.005898   0.006127   0.006364  0.006611      2.14     2.31
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              0.157874   0.161673   0.165562   0.169546  0.173625     57.77    60.59
Bank of America Corp.    06048UAD6 05/30/08 05/30/14    100.000     0.000    4.9682              0.163868   0.167939   0.172111   0.176386  0.180768     59.98    63.00
Bank of America Corp.    06048UAE4 05/30/08 05/30/14    100.000     0.000    4.8414              0.158997   0.162846   0.166788   0.170825  0.174960     58.17    61.02
Bank of America Corp.    06048UAH7 05/30/08 05/30/12    100.000     0.000    4.5482              0.147879                                                22.03         
Bank of America Corp.    06048UAK0 06/27/08 06/27/12    100.000     0.000    4.9877              0.164621                                                28.97         
Bank of America Corp.    06048UAN4 06/27/08 06/28/13    100.000     0.000    5.1535              0.171084   0.175493   0.180015                          62.41    31.86
Bank of America Corp.    06048UAP9 06/27/08 06/28/13    100.000     0.000    5.1535              0.171084   0.175493   0.180015                          62.41    31.86
Bank of America Corp.    06048UAX2 07/25/08 07/25/13    100.000     0.000    5.2510              0.170404   0.174878   0.179470   0.184182               63.56    37.46
Bank of America Corp.    06048UAY0 07/25/08 07/25/12    100.000     0.000    5.0268              0.162061   0.166134                                     33.79         
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048UBB9 08/29/08 08/29/13    100.000     0.000    5.2705              0.167413   0.173713   0.177317   0.182989               63.66    43.59
Bank of America Corp.    06048UBC7 08/29/08 08/30/13    100.000     0.000    5.2706              0.168354   0.172791   0.178319   0.182018               63.67    43.65
Bank of America Corp.    06048UBF0 07/29/08 07/29/13    100.000     0.000    5.3290              0.173328   0.177946   0.182688   0.187556               64.65    38.88
Bank of America Corp.    06048UBJ2 08/28/08 08/28/12    100.000     0.000    4.9000              0.157389   0.161245                                     38.00         
Bank of America Corp.    06048UBP8 09/26/08 09/27/13    100.000     0.000    5.6306              0.184787   0.189989   0.195338   0.200837               68.45    52.95
Bank of America Corp.    06048UBQ6 09/26/08 09/27/13    100.000     0.000    5.6306              0.184787   0.189989   0.195338   0.200837               68.45    52.95
Bank of America Corp.    06048UBR4 09/26/08 09/27/13    100.000     0.000    5.5918              0.183306   0.188431   0.193699   0.199115               67.89    52.50
Bank of America Corp.    06048UBV5 10/21/08 10/21/13    100.000     0.000    5.5528              0.181793   0.186840   0.192028   0.197359               67.07    56.65
Bank of America Corp.    06048UBW3 10/30/08 10/30/13    100.000     0.000    5.1828              0.167855   0.172205   0.176668   0.181246               61.75    53.65
Bank of America Corp.    06048UCC6 10/31/08 10/31/13    100.000     0.000    5.3679              0.174794   0.179485   0.184303   0.189250               64.35    56.00
Bank of America Corp.    06048UCD4 10/22/08 10/22/13    100.000     0.000    5.5042              0.179944   0.184896   0.189985   0.195213               66.36    56.23
Bank of America Corp.    06048UCE2 11/28/08 11/29/13    100.000     0.000    4.6361              0.147785   0.151211   0.154716   0.158302               54.04    51.39
Bank of America Corp.    06048UCF9 11/28/08 11/29/13    100.000     0.000    4.4602              0.141443   0.144597   0.147822   0.151118               51.69    49.08
Bank of America Corp.    06048UCL6 12/26/08 12/26/13    100.000     0.000    3.6761              0.113907   0.116001   0.118133   0.120304               41.40    42.33
Bank of America Corp.    06048UCM4 12/26/08 12/26/13    100.000     0.000    3.7743              0.117290   0.119504   0.121759   0.124057               42.65    43.64
Bank of America Corp.    06048UCT9 01/30/09 01/30/15    100.000     0.000    4.1274              0.126979   0.129600   0.132274   0.135004  0.137790     46.98    48.94
Bank of America Corp.    06048UCU6 01/30/09 01/30/15    100.000     0.000    4.0392              0.123997   0.126502   0.129056   0.131663  0.134322     45.85    47.72
Bank of America Corp.    06048WAF7 08/13/09 08/13/19*   100.000    VARIES    6.4099              0.170459   0.170829                                     37.91*        
Bank of America Corp.    06048WAG5 09/25/09 09/25/19*   100.000    VARIES    5.6410              0.150380   0.150698                                     39.76*        
Bank of America Corp.    06048WAH3 09/28/09 09/27/27    100.000    VARIES    5.4085              0.151389   0.151697   0.152013   0.151587  0.151149     54.61    54.57
Bank of America Corp.    06048WAJ9 10/21/09 10/21/14    100.000     1.000    4.6199              0.137951   0.140495   0.143099   0.145763  0.148489     50.48    52.37
Bank of America Corp.    06048WAL4 11/23/09 11/23/29*   100.000    VARIES    5.3008              0.135912   0.136104                                     43.80*        
Bank of America Corp.    06048WAN0 01/13/10 01/13/25    100.000    VARIES    5.4890              0.144161   0.144372   0.144590   0.144813  0.145043     52.01    52.17
Bank of America Corp.    06048WAU4 02/22/10 02/22/17    100.000    VARIES    4.7710              0.133017   0.133831   0.134240   0.134658  0.134697     48.19    48.46
Bank of America Corp.    06048WAZ3 02/26/10 02/26/30    100.000    VARIES    5.3809              0.134227   0.128870   0.129216   0.129572  0.129937     46.73    46.67
Bank of America Corp.    06048WBD1 03/19/10 03/19/20    100.000    VARIES    5.5724              0.155061   0.156030   0.156544   0.157073  0.157318     56.15    56.53
Bank of America Corp.    06048WBG4 04/01/10 04/01/15    100.000     0.500    4.3270              0.127247   0.129699   0.132205   0.134765  0.137380     46.70    48.52
Bank of America Corp.    06048WBK5 04/08/10 04/08/30    100.000    VARIES    5.4991              0.137445   0.132059   0.132403   0.132756  0.133119     48.09    47.79
Bank of America Corp.    06048WBN9 04/13/10 04/13/17    100.000    VARIES    5.0917              0.143658   0.144330   0.144615   0.144908  0.144875     51.91    52.13
Bank of America Corp.    06048WBP4 04/28/10 04/28/15    100.000     0.500    4.1699              0.122344   0.124605   0.126914   0.129270  0.131676     44.74    46.41
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              0.125260   0.119210   0.119611   0.120023  0.120446     43.73    43.17
Bank of America Corp.    06048WBT6 05/03/10 05/03/17    100.000    VARIES    4.8505              0.136364   0.136842   0.137050   0.137262  0.137191     49.22    49.38
Bank of America Corp.    06048WBY5 06/07/10 06/07/22    100.000    VARIES    4.6906              0.123544   0.123797   0.124055   0.124320  0.124590     44.53    44.72
Bank of America Corp.    06048WCB4 05/28/10 05/28/30    100.000    VARIES    5.5513              0.136493   0.130258   0.130654   0.131061  0.131479     47.82    47.14
Bank of America Corp.    06048WCC2 05/28/10 05/28/20    100.000    VARIES    5.2405              0.145501   0.146577   0.147034   0.147503  0.147699     52.62    53.04
Bank of America Corp.    06048WCJ7 06/24/10 06/24/30    100.000    VARIES    5.5091              0.138533   0.138764   0.139001   0.139244  0.139494     49.92    50.09
Bank of America Corp.    06048WCL2 07/01/10 07/01/22    100.000    VARIES    5.4618              0.144974   0.145216   0.145465   0.145720               52.23    52.41
Bank of America Corp.    06048WCQ1 06/29/10 06/29/20    100.000    VARIES    5.5309              0.153936   0.154993   0.155430   0.155879  0.156070     55.61    56.04
Bank of America Corp.    06048WCS7 07/12/10 07/12/30    100.000    VARIES    5.8002              0.147715   0.147913   0.148117   0.148326  0.148542     53.28    53.43
Bank of America Corp.    06048WCU2 06/28/10 06/28/30    100.000    VARIES    5.8695              0.153049   0.153202   0.153359   0.153522  0.153689     55.13    55.24
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WCY4 08/12/10 08/12/30    100.000    VARIES    5.3993              0.136907   0.137109   0.137316   0.137528  0.137746     49.38    49.53
Bank of America Corp.    06048WDG2 08/17/10 08/17/20    100.000    VARIES    2.4229              0.008195   0.007800   0.007399   0.007489  0.007580      2.77     2.70
Bank of America Corp.    06048WDJ6 08/18/10 08/18/17    100.000    VARIES    2.2826              0.006851   0.006929   0.007008   0.007088  0.007169      2.50     2.56
Bank of America Corp.    06048WDK3 08/25/10 08/25/20    100.000    VARIES    2.3834              0.008473   0.008071   0.007664   0.007755  0.007847      2.88     2.80
Bank of America Corp.    06048WDM9 09/03/10 09/03/20    100.000    VARIES    2.5928              0.013944   0.013225   0.012496   0.012658  0.012822      4.72     4.57
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              0.008336   0.008221   0.008104   0.008179  0.008255      2.95     2.95
Bank of America Corp.    06048WDT4 09/23/10 09/23/30    100.000    VARIES    5.3198              0.136274   0.136453   0.136636   0.136825  0.137018     49.13    49.26
Bank of America Corp.    06048WDU1 09/08/10 09/08/20    100.000    VARIES    2.4733              0.014776   0.014048   0.013311   0.013476  0.013643      5.02     4.86
Bank of America Corp.    06048WDW7 09/28/10 09/28/20    100.000    VARIES    2.6604              0.016028   0.015554   0.015073   0.014586  0.014093      5.60     5.25
Bank of America Corp.    06048WDZ0 09/28/10 09/28/20    100.000    VARIES    2.4632              0.009431   0.009547   0.009665   0.009784  0.009904      3.44     3.52
Bank of America Corp.    06048WEB2 09/28/10 09/28/20    100.000    VARIES    2.6493              0.015341   0.014533   0.013713   0.013895  0.014079      5.23     5.00
Bank of America Corp.    06048WEC0 09/28/10 09/28/15    100.000    VARIES    1.9786              0.012547   0.012671   0.012796   0.012923  0.013051      4.56     4.65
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES    5.2016              0.137448   0.133798   0.130053   0.130300  0.130554     48.26    46.90
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES    5.6998              0.151424   0.147823   0.144120   0.144351  0.144589     53.56    51.94
Bank of America Corp.    06048WEL0 11/18/10 11/18/20    100.000    VARIES    2.5529              0.014284   0.013877   0.013466   0.013049  0.012627      5.03     4.74
Bank of America Corp.    06048WEP1 11/19/10 11/19/20    100.000    VARIES    2.4291              0.019512   0.018569   0.017613   0.017827  0.018044      6.77     6.40
Bank of America Corp.    06048WEQ9 11/30/10 11/30/20    100.000    VARIES    1.9846              0.009912   0.009520   0.009124   0.009214  0.009306      3.47     3.31
Bank of America Corp.    06048WER7 12/03/10 12/03/15    100.000    VARIES    1.8507              0.007762   0.007833   0.007906   0.007979  0.008053      2.81     2.86
Bank of America Corp.    06048WES5 12/01/10 12/01/20    100.000    VARIES    2.5893              0.010761   0.010451   0.010136   0.009818  0.009496      3.80     3.57
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES    5.9911              0.157960   0.153538   0.148985   0.149260  0.149544     55.93    53.69
Bank of America Corp.    06048WEX4 12/10/10 12/10/20    100.000    VARIES    2.5961              0.010676   0.010367   0.010055   0.009738  0.009418      3.77     3.55
Bank of America Corp.    06048WEY2 01/13/11 01/13/31    100.000    VARIES    5.1716              0.139472   0.135177   0.135311   0.135448  0.135589     48.74    48.78
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES    5.4019              0.149605   0.149144   0.149184   0.149225  0.149267     53.70    53.73
Bank of America Corp.    06048WFC9 01/31/11 01/31/17    100.000     0.000    4.4000              0.124912   0.127660   0.130469   0.133339  0.136273     46.30    48.36
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES    5.5089              0.152649   0.152263   0.152297   0.152331  0.152366     54.84    54.84
Bank of America Corp.    06048WFG0 02/24/11 02/24/31    100.000    VARIES    5.9293              0.161351   0.157899   0.157998   0.158100  0.158205     57.04    56.92
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES    5.6398              0.152465   0.148148   0.148276   0.148408  0.148543     53.62    53.43
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES    5.2649              0.145711   0.145160   0.145208   0.145257  0.145308     52.29    52.30
Bank of America Corp.    06048WFL9 02/17/11 02/17/21*   100.000     5.250    5.2499              0.145833   0.145833                                     24.50*        
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES    5.0284              0.140397   0.141134   0.141888   0.142662  0.142508     50.84    51.29
Bank of America Corp.    06048WFR6 03/30/11 03/30/21*   100.000    VARIES    4.5800              0.123777                                                11.02*        
Bank of America Corp.    06048WFS4 04/08/11 04/08/26    100.000    VARIES    5.2991              0.147418   0.147644   0.147876   0.148115  0.148090     53.15    53.30
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES    5.2101              0.145061   0.145402   0.145753   0.146113  0.146042     52.35    52.56
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES    N/A                 0.010197   0.009753   0.009304   0.008849  0.008951      3.51     3.24
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES    5.3401              0.148589   0.148848   0.149113   0.149386  0.149333     53.58    53.75
Bank of America Corp.    06048WFX3 04/12/11 04/12/21*   100.000    VARIES    4.8603              0.132215                                                13.35*        
Bank of America Corp.    06048WFY1 04/12/11 04/12/31    100.000    VARIES    5.7107              0.152849   0.146903   0.147077   0.147257  0.147442     53.50    53.01
Bank of America Corp.    06048WFZ8 04/12/11 04/12/26*   100.000    VARIES    5.4304              0.147777   0.144625                                     40.96*        
Bank of America Corp.    06048WGC8 05/27/11 05/27/31    100.000    VARIES    5.1374              0.137811   0.132789   0.132946   0.133107  0.133273     48.54    47.90
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES    2.2369              0.061590   0.061037   0.060478   0.059913  0.060041     22.05    21.66
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES    4.8973              0.135969   0.135897   0.135824   0.135832  0.135840     48.93    48.90
Bank of America Corp.    06048WGG9 06/27/11 06/27/31    100.000    VARIES    5.5241              0.148481   0.143375   0.143528   0.143686  0.143847     52.51    51.70
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES    5.1061              0.141838   0.141913   0.141990   0.141983  0.141976     51.10    51.11
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES    2.3482              0.016038   0.015329   0.014612   0.013887  0.014050      5.64     5.13
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31    100.000    VARIES    5.5581              0.154394   0.149421   0.144310   0.144463  0.144620     53.00    52.03
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES    5.1475              0.142987   0.142735   0.142476   0.142211  0.142239     51.34    51.20
Bank of America Corp.    06048WGS3 07/14/11 07/14/31*   100.000    VARIES    5.5558              0.154330   0.153215   0.152070                          29.89*        
Bank of America Corp.    06048WGU8 07/14/11 07/14/26    100.000    VARIES    5.3899              0.149722   0.146271   0.142727   0.142898  0.143073     52.11    51.47
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31    100.000    VARIES    5.2773              0.146592   0.141664   0.136607   0.136763  0.136923     50.53    49.25
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES    4.7456              0.131824   0.131657   0.131485   0.131309  0.131328     47.38    47.28
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES    5.0293              0.139704   0.134485   0.129136   0.129305  0.129479     48.03    46.56
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES    5.3141              0.147616   0.141943   0.136119   0.136298  0.136482     51.07    49.07
Bank of America Corp.    06048WHT0 10/13/11 10/13/31*   100.000    VARIES    4.6986              0.130519   0.125102                                     35.83*        
Bank of America Corp.    06048WJA9 11/04/11 11/04/31    100.000    VARIES    5.9879              0.166333   0.161333   0.156183   0.156330  0.156481     58.40    56.27
Bank of America Corp.    06048WJB7 11/02/11 11/02/15    100.000    VARIES    5.3627              0.148964   0.149235   0.149512   0.149427  0.149339     53.71    53.80
Bank of America Corp.    06048WJH4 11/21/11 11/21/31*   100.000    VARIES    5.0461              0.140171   0.135297                                     43.98*        
Bank of America Corp.    06048WJL5 11/08/11 11/08/13    100.000    VARIES    3.1041              0.011783   0.011966   0.011906   0.011845                4.28     3.64
Bank of America Corp.    06048WKB5 01/13/12 01/13/14    100.000     0.000    4.4917                         0.124772   0.127574   0.130440  0.133369     43.89    47.42
Bank of America Corp.    06048WKE9 02/15/12 02/15/32    100.000    VARIES    5.9033                         0.163982   0.161443   0.158829  0.156958     51.47    57.04
Bank of America Corp.    06048WKG4 01/31/12 01/31/32    100.000    VARIES    5.8092                         0.161369   0.157181   0.152871  0.152997     52.78    55.18
Bank of America Corp.    06048WKR0 02/23/12 02/23/32    100.000    VARIES    5.1903                         0.144178   0.142873   0.141535  0.141577     44.24    51.03
Bank of America Corp.    06048WKU3 03/08/12 03/08/32    100.000    VARIES    5.6026                         0.155629   0.152207   0.148689  0.148794     45.21    53.78
Bank of America Corp.    06048WKV1 03/12/12 03/12/28    100.000    VARIES    5.6078                         0.155775   0.153912   0.151996  0.150806     44.82    54.72
Bank of America Corp.    06048WKW9 03/15/12 03/15/15    100.000     0.000    3.1634                         0.087872   0.089262   0.090674  0.092108     25.28    32.69
Bank of America Corp.    06048WLF5 03/30/12 03/30/32    100.000    VARIES    5.3816                         0.149490   0.147533   0.145523  0.145585     40.33    52.57
Bank of America Corp.    06048WLG3 03/27/12 03/27/29    100.000    VARIES    5.5079                         0.152999   0.151092   0.149133  0.147886     41.74    53.74
Bank of America Corp.    06048WLM0 04/16/12 04/16/15    100.000     0.000    3.0060                         0.083502   0.084758   0.086031  0.087325     21.39    30.93
Bank of America Corp.    06048WLN8 04/16/12 04/16/32    100.000    VARIES    5.1652                         0.143479   0.140011   0.136453  0.136564     36.33    49.50
Bank of America Corp.    06048WLP3 04/27/12 04/27/16    100.000    VARIES    2.7773                         0.022427   0.021542   0.020646  0.020932      5.42     7.55
Bank of America Corp.    06048WLQ1 04/16/12 04/16/30    100.000    VARIES    5.4873                         0.152427   0.148797   0.145068  0.145202     38.60    52.63
Bank of America Corp.    06048WLU2 04/30/12 04/30/28    100.000    VARIES    5.6078                         0.155775   0.153912   0.151996  0.150806     37.43    54.87
Bank of America Corp.    06048WLX6 05/04/12 05/04/32    100.000    VARIES    5.6985                         0.158294   0.153900   0.149381  0.149515     37.27    54.34
Bank of America Corp.    06048WLY4 05/03/12 05/03/16    100.000    VARIES    2.6957                         0.020160   0.019387   0.018604  0.018855      4.75     6.81
Bank of America Corp.    06048WME7 05/18/12 05/18/16    100.000    VARIES    2.4625                         0.013683   0.013201   0.012714  0.012871      3.03     4.65
Bank of America Corp.    06048WMF4 05/17/12 05/17/17    100.000    VARIES    2.0467                         0.016022   0.015399   0.014769  0.014920      3.56     5.41
Bank of America Corp.    06048WMH0 05/29/12 05/28/27    100.000     4.873    4.8729                         0.132419   0.134613   0.132419  0.134613     28.81    48.73
Bank of America Corp.    06048WML1 06/08/12 06/08/27    100.000     5.159    5.1589                         0.143306   0.143306   0.143306  0.143306     29.09    51.59
Bank of America Corp.    06048WMN7 06/15/12 06/15/16    100.000    VARIES    3.0325                         0.022654   0.021684   0.020699  0.021012      4.42     7.62
Bank of America Corp.    06048WMT4 06/28/12 06/28/16    100.000    VARIES    2.6529                         0.022025   0.021193   0.020351  0.020621      4.03     7.48
Bank of America Corp.    06048WMV9 07/13/12 07/13/27    100.000     4.516    4.5159                                    0.125444   0.125444  0.125444     21.07    45.16
Bank of America Corp.    06048WMW7 08/07/12 08/07/32    100.000    VARIES    N/A                                       0.117305   0.117436  0.117569     16.89    42.29
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WNA4 08/22/12 08/22/19    100.000    VARIES    2.0565                                    0.010433   0.010183  0.009931      1.35     3.65
Bank of America Corp.    06048WNB2 08/22/12 08/22/18    100.000     0.000    3.2065                                    0.089070   0.090498  0.091948     11.49    32.69
Bank of America Corp.    06048WNE6 09/26/12 09/26/27    100.000     4.438    4.4379                                    0.123278   0.123278  0.123278     11.71    44.38
Bank of America Corp.    06048WNF3 10/12/12 10/12/27    100.000     4.130    4.1299                                    0.114722   0.114722  0.114722      9.06    41.30
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES    1.6065                                    0.009822   0.009530  0.009236       .51     3.45
Bank of America Corp.    06050MGP6 02/23/07 02/23/12    100.000     0.000    5.2024              0.182085                                                 9.47         
Bank of America Corp.    06050MGQ4 01/26/07 01/27/12    100.000     0.000    5.1926              0.181691                                                 4.72         
Bank of America Corp.    06050MGV3 02/23/07 02/24/12    100.000     0.000    5.1048              0.177933                                                 9.43         
Bank of America Corp.    06050MGZ4 03/29/07 03/29/12    100.000     2.000    5.0300              0.160808                                                14.15         
Bank of America Corp.    06050MHB6 03/30/07 03/30/12    100.000     0.000    4.9829              0.172732                                                15.37         
Bank of America Corp.    06050MHD2 04/27/07 04/30/12    100.000     0.000    4.9782              0.172607                                                20.54         
Bank of America Corp.    06050MHF7 05/25/07 02/27/12    100.000     0.000    5.2687              0.182623                                                10.23         
Bank of America Corp.    06050MHL4 06/29/07 06/29/12    100.000     2.650    5.5699              0.177468                                                31.59         
Bank of America Corp.    06050MHV2 09/28/07 03/28/13    100.000     0.000    5.2121              0.177868   0.182504   0.187260                          65.74    16.29
Bank of America Corp.    06050MHY6 11/30/07 11/30/12    100.000     1.250    4.9200              0.158548   0.161594                                     52.71         
Bank of America Corp.    06050MJE8 12/26/07 12/27/12    100.000     0.000    4.8121              0.161695   0.165585                                     58.26         
Bank of America Corp.    06050MJJ7 12/28/07 12/28/12    100.000     0.000    4.8609              0.163627   0.167604                                     59.13         
Bank of America Corp.    06050MJN8 02/29/08 02/28/13    100.000     0.000    4.2547              0.135445   0.136823   0.142049                          50.64     8.24
Bank of America Corp.    06050MJP3 02/29/08 03/04/13    100.000     0.000    4.1447              0.131508   0.132774   0.137772                          49.11     8.54
Bank of America Corp.    06050MJR9 02/29/08 02/28/13    100.000     0.000    4.3135              0.137595   0.139035   0.144388                          51.46     8.37
Bank of America Corp.    06050MJS7 02/28/08 08/28/13    100.000     0.000    4.4798              0.145315   0.148570   0.151898   0.155300               53.71    36.61
Bank of America Corp.    06050MJU2 03/28/08 03/28/14    100.000     0.000    4.2156              0.135509   0.138366   0.141282   0.144260  0.147301     49.83    51.96
Bank of America Corp.    06050MJX6 03/28/08 03/28/14    100.000     0.000    4.1175              0.131914   0.134630   0.137401   0.140230  0.143117     48.49    50.51
Bank of America Corp.    06050MJY4 03/28/08 03/28/14    100.000     0.000    4.1175              0.131914   0.134630   0.137401   0.140230  0.143117     48.49    50.51
Bank of America Corp.    06050MKB2 04/25/08 04/25/14    100.000     0.000    4.4504              0.144215   0.147425   0.150705   0.154059  0.157487     52.92    55.31
Bank of America Corp.    06050MKC0 04/25/08 04/25/14    100.000     0.000    4.4113              0.142755   0.145904   0.149122   0.152411  0.155772     52.38    54.71
Bank of America Corp.    06050MKF3 04/25/08 04/25/13    100.000     0.000    4.1763              0.134069   0.136868   0.139727                          49.14    15.93
Bank of America Corp.    06050R122 04/01/11 03/29/16    100.000     0.000    3.4400              0.097181   0.098853   0.100553   0.102282  0.104042     35.60    36.83
Bank of America Corp.    06050R155 04/01/11 04/01/14    100.000     0.000    2.2100              0.062068   0.062754   0.063448   0.064149  0.064858     22.59    23.09
Bank of America Corp.    06050R197 04/01/11 03/29/16    100.000     0.000    3.4499              0.097467   0.099149   0.100859   0.102599  0.104368     35.70    36.95
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     39.58    39.58
Bank of America Corp.    06050R296 05/05/11 04/29/16    100.000     0.000    3.4948              0.098718   0.100443   0.102198   0.103984  0.105801     36.06    37.34
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  0.110528     39.79    39.79
Bank of America Corp.    06050R429 05/05/11 04/29/14    100.000     0.000    2.0863              0.058539   0.059150   0.059767   0.060390  0.061020     21.26    21.71
Bank of America Corp.    06050R544 06/03/11 05/27/16    100.000     0.000    3.0781              0.086777   0.088113   0.089469   0.090846  0.092244     31.57    32.55
Bank of America Corp.    06050R585 06/03/11 06/01/16    100.000     0.000    3.1878              0.089947   0.091380   0.092837   0.094317  0.095820     32.73    33.78
Bank of America Corp.    06050R619 05/16/11 05/16/14    100.000     0.000    1.8675              0.052360   0.052849   0.053342   0.053841  0.054343     18.98    19.34
Bank of America Corp.    06050R627 06/03/11 06/03/14    100.000     0.000    1.7681              0.049549   0.049987   0.050429   0.050875  0.051324     17.94    18.26
Bank of America Corp.    06050R718 07/06/11 06/24/16    100.000     0.000    3.3893              0.095638   0.097259   0.098907   0.100584  0.102288     34.74    35.93
Bank of America Corp.    06050R783 07/01/11 06/30/17    100.000     3.855    3.8549              0.105907   0.104755   0.106492   0.104755  0.106492     38.55    38.55
Bank of America Corp.    06050R833 07/06/11 06/28/16    100.000     0.000    3.4408              0.097150   0.098822   0.100522   0.102251  0.104010     35.29    36.51
Bank of America Corp.    06051N112 07/01/11 06/30/17    100.000     0.000    3.8314              0.107267   0.108133   0.112031   0.112316  0.116365     39.42    40.95
Bank of America Corp.    06051N153 08/04/11 07/28/17    100.000     0.000    3.7886              0.105241   0.107168   0.109198   0.111267  0.113375     38.84    40.32
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06051N179 08/04/11 08/01/16    100.000     0.000    3.3768              0.093802   0.095359   0.096969   0.098607  0.100272     34.52    35.70
Bank of America Corp.    06051N211 08/04/11 07/25/14    100.000     0.000    2.2505              0.062516   0.063184   0.063895   0.064614  0.065341     22.84    23.36
Bank of America Corp.    06051N286 07/14/11 07/14/15    100.000     3.046    3.0459              0.084611   0.084611   0.084611   0.084611  0.084611     30.46    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   0.094718  0.095750     33.54    34.58
Bank of America Corp.    06051N351 09/16/11 09/16/15    100.000     3.922    3.9219              0.108944   0.108944   0.108944   0.108944  0.108944     39.22    39.22
Bank of America Corp.    06051N427 09/16/11 09/29/17    100.000     0.000    4.4513              0.123847   0.126604   0.129422   0.132302  0.135247     45.59    47.65
Bank of America Corp.    06051N443 09/16/11 09/01/16    100.000     0.000    4.1772              0.116034   0.118256   0.120726   0.123247  0.125821     42.74    44.53
Bank of America Corp.    06051N468 10/06/11 09/30/14    100.000     0.000    4.9274              0.134629   0.137837   0.142009   0.144713  0.149093     50.55    52.99
Bank of America Corp.    06051N518 10/06/11 09/29/17    100.000     0.000    5.1703              0.143621   0.147189   0.150994   0.154898  0.158902     53.02    55.79
Bank of America Corp.    06051N609 11/03/11 10/29/13    100.000     0.000    3.8828              0.107856   0.109903   0.112037   0.114212               39.46    33.78
Bank of America Corp.    06051N658 11/03/11 10/27/17    100.000     0.000    4.7610              0.132252   0.135295   0.138516   0.141813  0.145189     48.56    50.89
Bank of America Corp.    06051N732 11/03/11 10/31/14    100.000     0.000    4.0380              0.112167   0.114394   0.116703   0.119060  0.121463     41.06    42.73
Bank of America Corp.    06051N740 11/03/11 10/29/13    100.000     0.000    3.8828              0.107856   0.109903   0.112037   0.114212               39.46    33.78
Bank of America Corp.    06051N815 11/30/11 11/29/13    100.000     0.000    4.4100              0.122501   0.125187   0.127947   0.130768               44.76    42.47
Bank of America Corp.    06051N880 11/30/11 12/02/15    100.000     0.000    5.5599              0.154492   0.158787   0.163201   0.167738  0.172401     56.64    59.84
Bank of America Corp.    06051P117 11/30/11 11/29/13    100.000     0.000    4.9589              0.137748   0.141144   0.144644   0.148230               50.42    48.09
Bank of America Corp.    06051P273 01/11/12 12/23/16    100.000     0.000    5.0677              0.140772   0.143982   0.147631   0.151371  0.155207     49.90    53.88
Bank of America Corp.    06051P299 01/11/12 12/30/13    100.000     0.000    4.9590              0.137751   0.140958   0.144453   0.148035               48.80    52.50
Bank of America Corp.    06051P307 01/06/12 12/30/13    100.000     0.000    5.3595              0.148876   0.152733   0.156826   0.161028               53.55    57.06
Bank of America Corp.    06051P422 02/10/12 02/04/14    100.000     0.000    2.6217                         0.072825   0.073748   0.074715  0.075694     23.51    27.01
Bank of America Corp.    06051P448 02/02/12 01/27/17    100.000     0.000    4.0038                         0.111218   0.113383   0.115653  0.117968     36.92    41.93
Bank of America Corp.    06051P513 03/01/12 02/24/17    100.000     0.000    3.8487                         0.106911   0.108888   0.110983  0.113119     32.32    40.11
Bank of America Corp.    06051P521 03/01/12 02/23/17    100.000     0.000    3.8617                         0.107271   0.109251   0.111360  0.113510     32.43    40.26
Bank of America Corp.    06051P596 03/01/12 03/04/14    100.000     0.000    2.7663              0.076844   0.076862   0.077925   0.079003  0.080096     23.18    28.50
Bank of America Corp.    06051P703 04/05/12 03/27/15    100.000     0.000    2.9889                         0.083026   0.084211   0.085470  0.086747     22.20    30.78
Bank of America Corp.    06051P760 04/05/12 04/02/18    100.000     0.000    3.7915                         0.105321   0.107284   0.109318  0.111391     28.19    39.35
Bank of America Corp.    06051P885 05/03/12 04/24/15    100.000     0.000    3.1298                         0.086940   0.088232   0.089613  0.091015     20.78    32.20
Bank of America Corp.    06051R139 06/01/12 06/02/15    100.000     0.000    3.5585              0.098848   0.098859   0.100618   0.102408  0.104230     20.81    36.65
Bank of America Corp.    06051R154 06/01/12 05/29/15    100.000     0.000    3.5535                         0.098710   0.100444   0.102229  0.104045     20.78    36.60
Bank of America Corp.    06051R345 07/06/12 06/29/18    100.000     0.000    3.5614                         0.098930   0.100623   0.102415  0.104239     17.32    36.55
Bank of America Corp.    06051R477 07/06/12 06/30/14    100.000     0.000    2.8018                         0.077829   0.078889   0.079995  0.081115     13.70    28.60
Bank of America Corp.    06051R527 08/02/12 07/27/18    100.000     0.000    3.0742                                    0.085395   0.086671  0.088004     12.72    31.37
Bank of America Corp.    06051R634 08/02/12 07/29/14    100.000     0.000    2.3285                                    0.064682   0.065423  0.066185      9.64    23.65
Bank of America Corp.    06051R758 05/03/12 05/01/15    100.000     0.000    3.1842                         0.088451   0.089844   0.091274  0.092728     21.13    32.77
Bank of America Corp.    06051R774 05/03/12 04/27/18    100.000     0.000    3.9751                         0.110422   0.112544   0.114781  0.117062     26.42    41.21
Bank of America Corp.    06051R881 06/01/12 05/25/18    100.000     0.000    4.1954                         0.116540   0.118903   0.121397  0.123944     24.56    43.44
Bank of America Corp.    06052E111 09/03/09 08/29/14    100.000     0.000    5.0623              0.151929   0.157486   0.160590   0.165559  0.168822     57.70    60.55
Bank of America Corp.    06052E277 10/06/09 09/27/13    100.000     0.000    4.5996              0.139777   0.142992   0.146281   0.149645               51.51    39.52
Bank of America Corp.    06052E285 10/01/09 10/01/13    100.000     0.000    4.5899              0.139611   0.142815   0.146092   0.149445               51.42    40.05
Bank of America Corp.    06052E467 11/05/09 11/04/14    100.000     0.000    4.6099              0.140258   0.143491   0.146799   0.150182  0.153644     51.45    53.85
Bank of America Corp.    06052E475 11/04/09 10/31/14    100.000     0.000    4.6625              0.141949   0.145258   0.148645   0.152110  0.155656     52.11    54.56
Bank of America Corp.    06052E517 12/02/09 12/02/14    100.000     0.000    4.1500              0.125149   0.127746   0.130397   0.133103  0.135865     45.67    47.59
Bank of America Corp.    06052E525 02/04/10 01/30/15    100.000     0.000    4.0898              0.120667   0.123134   0.125652   0.128222  0.130844     44.64    46.48
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06052E566 12/02/09 12/02/14    100.000     0.000    4.1500              0.125149   0.127746   0.130397   0.133103  0.135865     45.67    47.59
Bank of America Corp.    06052E574 12/02/09 12/02/14    100.000     0.000    4.1500              0.125149   0.127746   0.130397   0.133103  0.135865     45.67    47.59
Bank of America Corp.    06052E707 12/30/09 01/14/15    100.000     0.000    4.5896              0.136714   0.139851   0.143061   0.146344  0.149702     50.84    53.20
Bank of America Corp.    06052E848 02/04/10 02/03/15    100.000     0.000    4.0998              0.121021   0.123502   0.126033   0.128617  0.131254     44.76    46.61
Bank of America Corp.    06052E889 02/04/10 01/31/12    100.000     0.000    1.8526              0.051744                                                 1.55         
Bank of America Corp.    06052H130 02/04/10 02/16/12    100.000     0.000    1.8998              0.054327                                                 2.44         
Bank of America Corp.    06052H148 03/04/10 02/27/15    100.000     0.000    3.8898              0.114395   0.116620   0.118888   0.121200  0.123558     42.14    43.79
Bank of America Corp.    06052H262 03/04/10 02/29/12    100.000     0.000    1.7672              0.049841                                                 2.94         
Bank of America Corp.    06052H353 04/06/10 03/27/15    100.000     0.000    4.2597              0.125919   0.128601   0.131340   0.134137  0.136994     46.32    48.32
Bank of America Corp.    06052H411 04/06/10 03/31/15    100.000     0.000    4.3022              0.127298   0.130036   0.132834   0.135691  0.138610     46.82    48.86
Bank of America Corp.    06052H486 04/05/10 03/30/12    100.000     0.000    1.9301              0.055169                                                 4.91         
Bank of America Corp.    06052H551 05/06/10 04/28/15    100.000     0.000    4.0498              0.119364   0.121781   0.124247   0.126763  0.129330     43.71    45.50
Bank of America Corp.    06052H585 05/07/10 05/01/12    100.000     0.000    1.8799              0.053690                                                 6.44         
Bank of America Corp.    06052H635 05/06/10 04/24/15    100.000     0.000    4.0496              0.119306   0.121722   0.124186   0.126701  0.129266     43.71    45.50
Bank of America Corp.    06052H676 05/06/10 04/24/15    100.000     0.000    4.1197              0.121493   0.123995   0.126550   0.129156  0.131817     44.53    46.38
Bank of America Corp.    06052H759 06/04/10 06/02/15    100.000     0.000    4.2100              0.124458   0.127078   0.129753   0.132484  0.135273     45.43    47.36
Bank of America Corp.    06052H783 06/04/10 05/30/12    100.000     0.000    1.7400              0.049599                                                 7.39         
Bank of America Corp.    06052H809 05/12/10 05/30/12    100.000     0.000    1.7700              0.050529                                                 7.53         
Bank of America Corp.    06052H825 06/04/10 05/29/15    100.000     0.000    4.1399              0.122219   0.124749   0.127331   0.129967  0.132657     44.62    46.48
Bank of America Corp.    06052H874 05/11/10 05/10/13    100.000     0.000    2.6499              0.076569   0.077583   0.078611                          27.85    10.14
Bank of America Corp.    06052K174 07/02/10 06/26/15    100.000     0.000    4.2398              0.125337   0.127994   0.130708   0.133479  0.136308     45.63    47.58
Bank of America Corp.    06052K182 07/02/10 06/29/12    100.000     0.000    1.7498              0.049888                                                 8.88         
Bank of America Corp.    06052K216 06/30/10 07/02/13    100.000     0.000    2.6998              0.077045   0.078085   0.079139   0.080207               28.30    14.52
Bank of America Corp.    06052K240 07/02/10 06/30/15    100.000     0.000    4.2198              0.123397   0.124631   0.129370   0.129946  0.134887     45.40    47.33
Bank of America Corp.    06052K257 07/02/10 06/30/15    100.000     0.000    4.2375              0.125336   0.127992   0.130704   0.133473  0.136301     45.60    47.56
Bank of America Corp.    06052K307 06/10/10 06/27/14    100.000     0.000    3.6995              0.108765   0.110777   0.112826   0.114913  0.117039     39.53    41.01
Bank of America Corp.    06052K406 08/05/10 07/27/12    100.000     0.000    1.6601              0.046866   0.047255                                      9.72         
Bank of America Corp.    06052K448 08/09/10 07/31/15    100.000     0.000    3.8416              0.108342   0.111636   0.112544   0.116607  0.116909     40.90    42.49
Bank of America Corp.    06052K463 08/05/10 08/03/15    100.000     0.000    3.8498              0.111075   0.113213   0.115392   0.117613  0.119877     41.01    42.60
Bank of America Corp.    06052K513 09/02/10 09/01/15    100.000     0.000    3.5799              0.103025   0.104869   0.106747   0.108657  0.110602     37.87    39.24
Bank of America Corp.    06052K539 09/02/10 08/31/12    100.000     0.000    1.6721              0.046705   0.046584                                     11.33         
Bank of America Corp.    06052K612 08/17/10 08/19/15    100.000     0.000    3.6100              0.103952   0.105828   0.107738   0.109683  0.111663     38.26    39.65
Bank of America Corp.    06052K679 10/01/10 10/01/15    100.000     0.000    3.5499              0.102143   0.103956   0.105801   0.107679  0.109590     37.43    38.77
Bank of America Corp.    06052K703 10/01/10 09/30/16    100.000     4.040    4.0399              0.110383   0.110383   0.110989   0.110383  0.110989     40.46    40.40
Bank of America Corp.    06052K745 10/01/10 10/01/12    100.000     0.000    1.4599              0.041148   0.041448                                     11.16         
Bank of America Corp.    06052K760 10/04/10 09/30/20    100.000    VARIES    4.7910              0.129320   0.129391   0.130176   0.129539  0.130328     47.42    47.41
Bank of America Corp.    06052K836 10/14/10 10/30/15    100.000     0.000    3.1997              0.091880   0.093350   0.094844   0.096361  0.097903     33.52    34.60
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              0.095153   0.096727   0.098328   0.099955  0.101609     34.73    35.89
Bank of America Corp.    06052R187 11/04/10 10/29/12    100.000     0.000    1.2001              0.033733   0.033935                                     10.09         
Bank of America Corp.    06052R229 12/01/10 11/27/15    100.000     0.000    3.5799              0.102995   0.104839   0.106715   0.108626  0.110570     37.54    38.89
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              0.103037   0.104881   0.106759   0.108670  0.110615     37.54    38.89
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06052R427 12/30/10 12/28/15    100.000     0.000    4.0699              0.117676   0.120071   0.122514   0.125008  0.127551     42.81    44.57
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              0.111437   0.113627   0.115860   0.118136  0.120457     41.18    42.82
Bank of America Corp.    06052R518 02/04/11 02/04/14    100.000     0.000    2.5900              0.072877   0.073820   0.074776   0.075745  0.076726     26.68    27.38
Bank of America Corp.    06052R575 02/04/11 02/02/16    100.000     0.000    3.9799              0.112728   0.114972   0.117259   0.119593  0.121973     41.66    43.34
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  0.145556     52.40    52.40
Bank of America Corp.    06052R633 02/04/11 02/02/16    100.000     0.000    3.7599              0.106385   0.108385   0.110423   0.112499  0.114614     39.26    40.75
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  0.149722     53.90    53.90
Bank of America Corp.    06052R666 02/03/11 02/02/18    100.000     0.000    4.4999              0.127795   0.130670   0.133610   0.136616  0.139690     47.39    49.55
Bank of America Corp.    06052R757 03/04/11 02/26/16    100.000     0.000    3.7898              0.107181   0.109212   0.111281   0.113390  0.115539     39.46    40.97
Bank of America Corp.    06052R773 03/04/11 03/04/14    100.000     0.000    2.4898              0.070024   0.070896   0.071779   0.072672  0.073577     25.57    26.21
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  0.156389     56.30    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  0.113639     40.91    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  0.102028     36.73    36.73
Bank of America Corp.    06053D195 09/07/12 08/31/18    100.000     0.000    2.8935                                    0.079932   0.079722  0.082216      9.27    29.42
Bank of America Corp.    06053D203 09/07/12 08/27/15    100.000     0.000    1.9145                                    0.053181   0.053662  0.054176      6.06    19.36
Bank of America Corp.    06053D351 10/04/12 09/26/14    100.000     0.000    1.3064                                    0.036290   0.036517  0.036755      3.16    13.15
Bank of America Corp.    06053D559 11/02/12 10/26/18    100.000     0.000    2.2130                                    0.061472   0.062130  0.062817      3.63    22.34
Bank of America Corp.    06053D583 11/02/12 11/03/14    100.000     0.000    1.0919                         0.030332   0.030334   0.030499  0.030666      1.79    10.97
Bank of America Corp.    060900164 03/05/09 09/05/12    100.000     0.000    4.2742              0.131971   0.134791                                     32.71         
Bank of America Corp.    060900198 02/27/09 03/04/14    100.000     0.000    4.4307              0.137444   0.140489   0.143601   0.146783  0.150034     50.75    53.02
Bank of America Corp.    060900206 02/27/09 02/28/14    100.000     0.000    4.6656              0.143860   0.145615   0.151482   0.152489  0.158632     53.91    56.36
Bank of America Corp.    060900248 03/05/09 03/06/12    100.000     0.000    4.1175              0.126659                                                 8.23         
Bank of America Corp.    060900297 03/27/09 03/28/14    100.000     0.000    4.2742              0.131987   0.134807   0.137688   0.140631  0.143637     48.55    50.65
Bank of America Corp.    060900321 03/27/09 03/28/14    100.000     0.000    4.2350              0.130651   0.133418   0.136243   0.139128  0.142074     48.05    50.11
Bank of America Corp.    060900412 04/24/09 04/25/14    100.000     0.000    5.3679              0.170248   0.174818   0.179510   0.184328  0.189275     62.72    66.14
Bank of America Corp.    060900479 05/29/09 05/31/13    100.000     0.000    5.3386              0.166449   0.170892   0.176417                          62.05    26.46
Bank of America Corp.    060900586 06/26/09 06/28/13    100.000     0.000    5.6500              0.180461   0.185559   0.190801                          65.91    33.77
Bank of America Corp.    060900594 06/26/09 06/28/13    100.000     0.000    5.6890              0.181879   0.187052   0.192373                          66.44    34.05
Bank of America Corp.    060900750 07/31/09 07/26/13    100.000     0.000    5.6592              0.171815   0.178618   0.181676   0.189913               65.69    38.92
Bank of America Corp.    060900776 07/31/09 07/30/13    100.000     0.000    5.6098              0.170254   0.176953   0.179939   0.188052               65.03    39.26
Bank of America Corp.    060900784 07/06/09 06/29/12    100.000     0.000    4.5283              0.140565                                                25.02         
Bank of America Corp.    060900826 09/03/09 09/04/13    100.000     0.000    4.7200              0.142371   0.144147   0.149995   0.151031               53.34    37.09
Barclays Bank PLC        067387AS9 10/30/09 10/30/14    100.000    VARIES    3.2808              0.092770   0.093004   0.093029   0.092843  0.092458     33.46    33.42
Barclays Bank PLC        067387AY6 11/30/10 02/28/13    100.000     0.000    1.3672              0.037947   0.037791   0.038680                          13.95     2.24
Barclays Bank PLC        067387BC3 01/31/11 05/01/13    100.000     0.000    1.7399              0.048968   0.049394   0.049824                          17.76     5.98
Barclays Bank PLC        067387BF6 02/25/11 01/02/13    100.000     0.000    1.5702              0.043859   0.044204   0.044551                          15.98      .04
Barclays Bank PLC        067387BJ8 03/31/11 07/01/13    100.000     0.000    1.6999              0.047827   0.048233   0.048643                          17.29     8.76
Barclays Bank PLC        06738CA33 02/28/07 08/28/12    100.000     0.000    4.9697              0.172176   0.176454                                     41.58         
Barclays Bank PLC        06738CA66 02/28/07 09/04/12    100.000     0.000    5.1701              0.178815   0.181444                                     44.65         
Barclays Bank PLC        06738CB24 03/28/07 09/28/12    100.000     0.000    4.9599              0.171762   0.176021                                     46.63         
Barclays Bank PLC        06738CM30 04/27/07 10/29/12    100.000     0.000    5.0799              0.176897   0.181390                                     53.52         
Barclays Bank PLC        06738CVD8 01/31/07 01/31/12    100.000     0.000    5.2399              0.183703                                                 5.33         
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738CVE6 01/31/07 07/31/12    100.000     0.000    5.2399              0.183701   0.188514                                     39.26         
Barclays Bank PLC        06738CXS3 02/28/07 08/28/12    100.000     0.000    4.9697              0.172176   0.176454                                     41.58         
Barclays Bank PLC        06738CZX0 03/09/07 03/09/17    100.000     0.000    5.5899              0.199002   0.204564   0.210281   0.216159  0.222200     73.91    78.09
Barclays Bank PLC        06738G4Z0 01/31/08 07/30/12    100.000     0.000    3.6623              0.112988   0.116321                                     24.45         
Barclays Bank PLC        06738GEN6 06/29/07 09/28/12    100.000     0.000    5.9100              0.210266   0.216479                                     57.26         
Barclays Bank PLC        06738GES5 06/29/07 06/29/12    100.000     0.000    5.8900              0.212454                                                37.82         
Barclays Bank PLC        06738GH29 11/30/07 05/30/12    100.000     0.000    4.3699              0.144301                                                21.50         
Barclays Bank PLC        06738GW22 11/30/07 11/30/12    100.000     0.000    4.3699              0.144300   0.147453                                     48.04         
Barclays Bank PLC        06738GX70 12/31/07 06/26/12    100.000     0.000    4.4399              0.146943                                                25.71         
Barclays Bank PLC        06738JFK5 09/30/10 09/30/25*   100.000    VARIES    4.4611              0.123245   0.122896                                     22.28*        
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES    1.0910              0.027752   0.027865   0.027977   0.028091  0.028204     10.02    10.10
Barclays Bank PLC        06738JHK3 09/30/10 09/30/20    100.000    VARIES    4.0513              0.112311   0.112194   0.112076   0.113247  0.114442     40.39    40.77
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES    4.2146              0.117033   0.117011   0.116989   0.118076  0.119186     42.12    42.48
Barclays Bank PLC        06738JJR6 10/07/10 10/07/20    100.000    VARIES    4.0416              0.112316   0.112340   0.112365   0.113613  0.114886     40.44    40.89
Barclays Bank PLC        06738JJX3 10/07/10 10/07/25*   100.000    VARIES    4.4615              0.123258   0.122909                                     23.14*        
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25    100.000    VARIES    4.5900              0.128855   0.129367   0.129891   0.130426  0.130786     46.54    46.91
Barclays Bank PLC        06738JLS1 10/21/10 10/21/20    100.000    VARIES    4.0316              0.112027   0.112045   0.112064   0.113298  0.114558     40.34    40.74
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES    4.2148              0.117037   0.117016   0.116994   0.118088  0.119206     42.13    42.50
Barclays Bank PLC        06738JNK6 10/15/10 10/15/25*   100.000    VARIES    4.7544              0.131741   0.131571                                     25.54*        
Barclays Bank PLC        06738K2E0 04/04/12 04/03/14    100.000     0.000    1.6800                         0.046669   0.047059   0.047455  0.047853     12.50    17.08
Barclays Bank PLC        06738K2H3 04/04/12 04/04/14    100.000     0.000    1.6802                         0.046672   0.047065   0.047460  0.047859     12.50    17.08
Barclays Bank PLC        06738K2S9 04/11/12 04/10/14    100.000     0.000    1.7298                         0.048052   0.048466   0.048885  0.049308     12.53    17.59
Barclays Bank PLC        06738KA76 12/07/11 12/09/13    100.000     0.000    2.9799              0.082790   0.084024   0.085276   0.086546               30.08    29.05
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES    5.5650              0.149612   0.144500   0.140019   0.135413  0.130679     51.73    48.40
Barclays Bank PLC        06738KAP6 02/02/11 02/02/16    100.000     1.000    3.3894              0.095277   0.096421   0.097585   0.098768  0.099971     34.85    35.70
Barclays Bank PLC        06738KAS0 02/09/11 05/09/12    100.000     0.000    1.2299              0.034481                                                 4.41         
Barclays Bank PLC        06738KB83 12/12/11 01/10/13    100.000     0.000    1.1004              0.030568   0.030594   0.030762                          11.04      .28
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES    4.8413              0.134879   0.135286   0.135800   0.136328  0.136615     48.76    49.10
Barclays Bank PLC        06738KBZ3 02/16/11 02/17/15    100.000     0.000    3.3099              0.093473   0.095020   0.096592   0.098191  0.099816     34.35    35.49
Barclays Bank PLC        06738KC82 12/14/11 12/16/13    100.000     0.000    2.9298              0.081398   0.082591   0.083801   0.085028               29.55    29.13
Barclays Bank PLC        06738KCF6 02/24/11 05/23/12    100.000     0.000    0.7203              0.020117                                                 2.86         
Barclays Bank PLC        06738KCK5 02/24/11 02/22/13    100.000     0.000    1.5698              0.043946   0.044291   0.044639                          15.97     2.28
Barclays Bank PLC        06738KCL3 02/24/11 02/22/13    100.000     0.000    1.5698              0.043946   0.044291   0.044639                          15.97     2.28
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES    4.8210              0.134299   0.134691   0.135092   0.135503  0.135817     48.50    48.78
Barclays Bank PLC        06738KCQ2 03/10/11 03/10/26*   100.000    VARIES    5.3754              0.145120   0.140808                                     35.36*        
Barclays Bank PLC        06738KDG3 03/09/11 06/07/12    100.000     0.000    1.2497              0.035039                                                 5.47         
Barclays Bank PLC        06738KDX6 03/31/11 03/31/26*   100.000    VARIES    5.3512              0.147792   0.146916   0.147633                          40.34*        
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES    5.1730              0.145867   0.148094   0.150379   0.152014  0.153691     53.42    54.80
Barclays Bank PLC        06738KEC1 03/16/11 06/14/12    100.000     0.000    1.2696              0.035602                                                 5.80         
Barclays Bank PLC        06738KEG2 03/15/11 03/14/13    100.000     0.000    1.6600              0.046494   0.046880   0.047269                          16.89     3.45
Barclays Bank PLC        06738KEH0 03/15/11 03/14/13    100.000     0.000    1.6600              0.046494   0.046880   0.047269                          16.89     3.45
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES    5.0806              0.141646   0.142175   0.142717   0.143273  0.143515     51.18    51.54
Barclays Bank PLC        06738KEY3 04/08/11 04/08/26    100.000    VARIES    5.3548              0.149011   0.149282   0.150530   0.151811  0.153127     53.82    54.64
Barclays Bank PLC        06738KFN6 03/30/11 11/19/14    100.000     0.000    2.6999              0.076291   0.077321   0.078365   0.079423  0.080495     27.74    28.49
Barclays Bank PLC        06738KFQ9 04/28/11 04/28/31    100.000    VARIES    5.2023              0.140321   0.136023   0.134418   0.132770  0.131080     49.37    47.88
Barclays Bank PLC        06738KG88 01/20/12 01/23/14    100.000     0.000    1.6697              0.046383   0.046389   0.046777   0.047167  0.047561     15.88    17.03
Barclays Bank PLC        06738KGB1 04/28/11 04/28/26*   100.000    VARIES    5.0662              0.137257   0.133697                                     28.36*        
Barclays Bank PLC        06738KGC9 04/07/11 04/12/16    100.000     0.000    3.5299              0.099834   0.101596   0.103389   0.105214  0.107071     36.54    37.84
Barclays Bank PLC        06738KGD7 04/07/11 04/12/17    100.000     0.000    3.8999              0.110504   0.112659   0.114856   0.117095  0.119378     40.51    42.11
Barclays Bank PLC        06738KHG9 04/29/11 05/01/14    100.000     0.500    1.3951              0.038930   0.039105   0.039281   0.039458  0.039637     14.07    14.19
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES    4.6808              0.130467   0.130920   0.131384   0.131858  0.132006     47.09    47.41
Barclays Bank PLC        06738KHN4 04/21/11 04/23/13    100.000     0.000    1.4397              0.040285   0.040575   0.040867                          14.59     4.58
Barclays Bank PLC        06738KJF9 05/31/11 05/29/26*   100.000    VARIES    4.6293              0.127715   0.126814                                     31.71*        
Barclays Bank PLC        06738KJH5 05/06/11 05/09/14    100.000    VARIES    2.0355              0.056984   0.057423   0.057866   0.058313  0.057432     20.64    20.89
Barclays Bank PLC        06738KK75 01/25/12 01/25/19    100.000     0.000    4.4000                         0.122224   0.124913   0.127661  0.130469     41.49    46.33
Barclays Bank PLC        06738KKG5 05/18/11 06/18/12    100.000     0.000    0.7496              0.020915                                                 3.49         
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES    4.8716              0.135914   0.136518   0.137137   0.137771  0.138370     49.04    49.49
Barclays Bank PLC        06738KMB4 06/21/11 06/19/15    100.000     0.000    2.6199              0.073718   0.074684   0.075662   0.076653  0.077657     26.74    27.44
Barclays Bank PLC        06738KMD0 06/30/11 06/30/14    100.000     0.000    2.0801              0.058383   0.058990   0.059604   0.060224  0.060850     21.13    21.57
Barclays Bank PLC        06738KME8 06/29/11 12/27/12    100.000     0.000    1.0702              0.029887   0.030047                                     10.67         
Barclays Bank PLC        06738KMR9 07/07/11 01/14/13    100.000     0.000    1.0701              0.029733   0.029892   0.030052                          10.79      .39
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES    4.8122              0.133675   0.134217   0.134773   0.135750  0.136751     48.39    49.00
Barclays Bank PLC        06738KNF4 07/29/11 07/31/17    100.000     0.000    3.5900              0.099743   0.101533   0.103356   0.105211  0.107100     36.78    38.11
Barclays Bank PLC        06738KNJ6 07/29/11 07/29/16    100.000     0.000    3.2800              0.091112   0.092606   0.094125   0.095669  0.097238     33.53    34.64
Barclays Bank PLC        06738KPB1 07/22/11 07/22/26    100.000    VARIES    5.0342              0.139841   0.143361   0.138493   0.133504  0.128388     50.76    47.35
Barclays Bank PLC        06738KPD7 07/22/11 01/22/13    100.000     0.000    1.0201              0.028337   0.028481   0.028627                          10.27      .60
Barclays Bank PLC        06738KQF1 08/31/11 08/31/17    100.000     0.000    3.9281              0.107916   0.108839   0.112816   0.113156  0.117291     40.27    41.79
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES    6.1335              0.168504   0.162409   0.160633   0.154390  0.153152     59.58    56.56
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES    4.6123              0.128121   0.128513   0.128914   0.129691  0.130485     46.31    46.78
Barclays Bank PLC        06738KQU8 08/03/11 08/03/16    100.000     0.000    3.0700              0.085278   0.086587   0.087916   0.089266  0.090636     31.33    32.30
Barclays Bank PLC        06738KR78 03/16/12 03/30/17    100.000     0.000    4.4000              0.122224   0.122433   0.125127   0.127880  0.130693     35.14    46.05
Barclays Bank PLC        06738KRA1 09/08/11 09/08/16    100.000     0.000    3.5399              0.098331   0.100072   0.101843   0.103645  0.105480     36.11    37.40
Barclays Bank PLC        06738KRT0 08/17/11 02/19/13    100.000     0.000    1.5101              0.041953   0.042270   0.042589                          15.24     2.04
Barclays Bank PLC        06738KSV4 09/14/11 09/14/26    100.000    VARIES    5.0468              0.140190   0.143028   0.145937   0.148459  0.151045     51.59    53.54
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES    5.4569              0.151583   0.147382   0.143066   0.141543  0.139978     53.04    50.95
Barclays Bank PLC        06738KTW1 06/23/11 12/21/12    100.000     0.000    0.7499              0.020910   0.020988                                      7.33         
Barclays Bank PLC        06738KU33 03/06/12 03/06/17    100.000     0.000    2.8900                         0.080279   0.081439   0.082616  0.083810     23.82    29.80
Barclays Bank PLC        06738KUD1 09/30/11 09/29/17    100.000     0.000    3.9799              0.110554   0.112742   0.114986   0.117274  0.119608     40.60    42.23
Barclays Bank PLC        06738KUP4 09/14/11 09/13/13    100.000     0.000    2.2199              0.061665   0.062346   0.063038   0.063738               22.47    16.01
Barclays Bank PLC        06738KUQ2 10/12/11 10/12/16    100.000     0.000    3.6299              0.100831   0.102661   0.104524   0.106421  0.108353     36.92    38.27
Barclays Bank PLC        06738KVA6 09/21/11 09/19/13    100.000     0.000    2.1002              0.058339   0.058945   0.059564   0.060189               21.24    15.48
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES    5.2986              0.147168   0.144075   0.140901   0.139313  0.137683     51.85    50.15
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KVN8 09/28/11 09/26/13    100.000     0.000    2.4199              0.067222   0.068026   0.068849   0.069683               24.50    18.40
Barclays Bank PLC        06738KVS7 09/30/11 10/01/26*   100.000    VARIES    5.0307              0.139736   0.138359                                     37.48*        
Barclays Bank PLC        06738KWV9 09/30/11 10/03/17    100.000     0.000    3.9899              0.110870   0.113082   0.115338   0.117639  0.119986     40.70    42.34
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES    4.5597              0.125247   0.120205   0.118370   0.115542  0.116524     44.49    42.57
Barclays Bank PLC        06738KXT3 10/26/11 10/26/26*   100.000    VARIES    5.0988              0.141636   0.139581                                     41.41*        
Barclays Bank PLC        06738KXV8 10/28/11 10/28/16    100.000    VARIES    3.8804              0.107790   0.107523   0.107251   0.106973  0.106690     38.72    38.53
Barclays Bank PLC        06738KY21 03/21/12 03/20/14    100.000     0.000    1.7001                         0.047226   0.047625   0.048030  0.048438     13.26    17.30
Barclays Bank PLC        06738KYG0 12/01/11 12/01/16    100.000     0.000    4.3799              0.121666   0.124330   0.127053   0.129835  0.132679     44.44    46.41
Barclays Bank PLC        06738KYT2 11/28/11 11/26/14    100.000     0.000    3.5899              0.099720   0.101490   0.103312   0.105166  0.107054     36.34    37.66
Barclays Bank PLC        06738KZ38 03/28/12 03/27/14    100.000     0.000    1.6898                         0.046941   0.047335   0.047735  0.048138     12.85    17.19
Barclays Bank PLC        06738KZM6 11/23/11 11/21/13    100.000     0.000    2.9002              0.080562   0.081717   0.082902   0.084104               29.30    26.74
Barclays Bank PLC        06738KZQ7 11/25/11 11/25/15    100.000     0.000    3.8199              0.106108   0.108135   0.110200   0.112305  0.114450     38.71    40.20
Barclays Bank PLC        06738Q3V8 04/30/09 05/07/14    100.000     0.000    5.2000              0.164393   0.168667   0.173053   0.177552  0.182169     60.42    63.60
Barclays Bank PLC        06738Q4D7 04/30/09 05/07/14    100.000     0.000    4.9000              0.153770   0.157537   0.161397   0.165351  0.169402     56.45    59.25
Barclays Bank PLC        06738QDB1 08/26/08 08/30/13    100.000     0.000    4.4602              0.139174   0.142278   0.146250   0.148695               52.38    35.69
Barclays Bank PLC        06738QK98 02/27/09 02/27/14    100.000     0.000    4.6599              0.145243   0.148627   0.152090   0.155634  0.159260     53.75    56.28
Barclays Bank PLC        06738QLE6 09/17/08 09/14/14    100.000     0.000    4.0500              0.126840   0.129408   0.132029   0.134702  0.137430     46.68    48.59
Barclays Bank PLC        06738QM21 02/27/09 03/07/14    100.000     0.000    4.6599              0.145431   0.148820   0.152287   0.155836  0.159467     53.75    56.28
Barclays Bank PLC        06738QV62 03/31/09 03/31/14    100.000     0.000    5.0055              0.157335   0.161273   0.165309   0.169446  0.173687     58.08    61.02
Barclays Bank PLC        06738QV70 03/31/09 03/31/14    100.000     0.000    5.0055              0.157335   0.161273   0.165309   0.169446  0.173687     58.08    61.02
Barclays Bank PLC        06738QX86 03/31/09 04/07/14    100.000     0.000    5.0056              0.154909   0.158786   0.163654   0.166834  0.171949     58.16    61.03
Barclays Bank PLC        06738R6V3 07/25/08 07/30/13    100.000     0.000    4.7399              0.151632   0.155226   0.158905   0.162671               56.33    33.89
Barclays Bank PLC        06738RBT2 01/24/08 07/23/12    100.000     0.000    3.8000              0.120411   0.122698                                     24.73         
Barclays Bank PLC        06738RDC7 02/29/08 11/29/12    100.000     0.000    3.5298              0.110566   0.111295                                     36.95         
Barclays Bank PLC        06738RHU3 02/27/08 11/26/13    100.000     0.000    3.7400              0.119369   0.121601   0.123875   0.126192               43.53    40.68
Barclays Bank PLC        06738RMA1 03/31/08 03/28/13    100.000     0.000    3.2999              0.102772   0.104468   0.106192                          37.62     9.24
Barclays Bank PLC        06738RRP3 04/30/08 04/30/12    100.000     0.000    4.0000              0.127632                                                15.19         
Barclays Bank PLC        06738RRR9 04/30/08 04/25/14    100.000     0.000    3.9299              0.125029   0.127485   0.129991   0.132545  0.135149     45.78    47.60
Barclays Bank PLC        06738RVW3 04/18/08 03/20/13    100.000     0.000    3.7399              0.117937   0.120143   0.122389                          43.30     9.67
Barclays Bank PLC        06738RWH5 05/19/08 11/20/12    100.000     0.000    4.0899              0.130920   0.133597                                     42.25         
Barclays Bank PLC        06739H461 01/31/08 02/28/14    100.000     0.000    4.0805              0.129549   0.130755   0.135634   0.136145  0.141226     48.39    50.29
Barclays Bank PLC        06739H479 01/31/08 05/30/14    100.000     0.000    4.0799              0.132316   0.135016   0.137770   0.140581  0.143448     48.29    50.28
Barclays Bank PLC        06739H545 12/31/07 08/31/13    100.000     0.000    4.7069              0.153359   0.155262   0.161550   0.162656               57.49    39.30
Barclays Bank PLC        06739H594 11/30/07 09/30/13    100.000     0.000    4.5700              0.150961   0.154410   0.157939   0.161548               55.60    43.14
Barclays Bank PLC        06739J2D4 11/19/09 11/21/12*   100.000     0.000    N/A                 0.075137   0.076102                                     23.84*        
Barclays Bank PLC        06739J5D1 11/27/09 11/27/14    100.000    VARIES    3.3906              0.095913   0.096120   0.096073   0.095809  0.095391     34.57    34.52
Barclays Bank PLC        06739J5L3 12/18/09 02/25/13    100.000     0.000    2.6199              0.076043   0.077039   0.078048                          27.81     4.21
Barclays Bank PLC        06739J5V1 12/31/09 12/31/15    100.000     0.000    4.2300              0.127762   0.130464   0.133223   0.136041  0.138918     46.49    48.47
Barclays Bank PLC        06739J5W9 12/31/09 12/31/15    100.000     0.000    4.2300              0.127762   0.130464   0.133223   0.136041  0.138918     46.49    48.47
Barclays Bank PLC        06739J863 10/28/09 04/28/15    100.000     0.000    4.1800              0.126129   0.128765   0.131456   0.134203  0.137008     46.22    48.17
Barclays Bank PLC        06739JAB9 05/29/09 05/31/12    100.000     0.000    3.1001              0.091490                                                13.81         
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06739JAJ2 05/29/09 11/29/12    100.000     0.000    3.5899              0.108997   0.110954                                     36.10         
Barclays Bank PLC        06739JBB8 05/27/09 06/06/14    100.000     0.000    4.9200              0.154516   0.158317   0.162212   0.166203  0.170291     56.50    59.32
Barclays Bank PLC        06739JBJ1 05/29/09 06/06/14    100.000     0.000    3.5900              0.109076   0.111034   0.113027   0.115056  0.117121     39.72    41.16
Barclays Bank PLC        06739JD83 09/30/09 09/30/24*   100.000    VARIES    5.1625              0.128635   0.125368   0.124426                          34.14*        
Barclays Bank PLC        06739JEB5 07/24/09 07/24/14    100.000     0.000    4.7799              0.145932   0.149420   0.152991   0.156647  0.160391     54.27    56.90
Barclays Bank PLC        06739JEK5 06/26/09 06/26/24    100.000    VARIES    5.6547              0.132809   0.127820   0.122690   0.122743  0.122798     46.86    44.18
Barclays Bank PLC        06739JEQ2 06/30/09 07/08/14    100.000     0.000    4.9699              0.152464   0.156253   0.160136   0.164115  0.168193     56.90    59.76
Barclays Bank PLC        06739JER0 06/30/09 07/08/14    100.000     0.000    4.9699              0.152464   0.156253   0.160136   0.164115  0.168193     56.90    59.76
Barclays Bank PLC        06739JES8 06/04/09 06/06/14    100.000     0.000    4.8900              0.153314   0.157062   0.160902   0.164837  0.168867     56.06    58.83
Barclays Bank PLC        06739JFY4 06/30/09 06/28/13    100.000     0.000    2.6799              0.079555   0.080621   0.081701                          28.84    14.46
Barclays Bank PLC        06739JGP2 06/26/09 06/26/24    100.000    VARIES    5.6622              0.126069   0.120036   0.119223   0.118388  0.117529     44.26    42.76
Barclays Bank PLC        06739JGY3 06/17/09 06/15/12    100.000     0.000    4.8699              0.152527                                                25.01         
Barclays Bank PLC        06739JJU8 07/24/09 07/24/14    100.000     0.000    4.7799              0.145932   0.149420   0.152991   0.156647  0.160391     54.27    56.90
Barclays Bank PLC        06739JKC6 07/21/09 07/19/12    100.000     0.000    3.2699              0.096902   0.098487                                     19.47         
Barclays Bank PLC        06739JKE2 07/24/09 08/07/14    100.000     0.000    4.7800              0.146186   0.149680   0.153257   0.156920  0.160671     54.27    56.90
Barclays Bank PLC        06739JKG7 07/24/09 07/24/13    100.000     0.000    4.2998              0.130049   0.132845   0.135701   0.138619               48.21    28.07
Barclays Bank PLC        06739JKH5 07/24/09 07/24/14    100.000     0.000    4.7799              0.145932   0.149420   0.152991   0.156647  0.160391     54.27    56.90
Barclays Bank PLC        06739JKM4 07/24/09 07/24/14    100.000    VARIES    4.7816              0.135665   0.135891   0.135811   0.135613  0.135052     48.90    48.74
Barclays Bank PLC        06739JKN2 07/24/09 07/24/12    100.000     0.000    3.3900              0.100717   0.102424                                     20.75         
Barclays Bank PLC        06739JKP7 07/24/09 07/24/12    100.000     0.000    3.3900              0.100717   0.102424                                     20.75         
Barclays Bank PLC        06739JKS1 07/07/09 07/07/14    100.000     0.000    4.7699              0.145597   0.149070   0.152625   0.156265  0.159992     54.26    56.88
Barclays Bank PLC        06739JMG5 07/20/09 07/19/12    100.000     0.000    3.5001              0.104202   0.106026                                     20.96         
Barclays Bank PLC        06739JMH3 08/18/09 08/20/12    100.000     0.000    2.9800              0.087839   0.089148                                     20.35         
Barclays Bank PLC        06739JMK6 07/23/09 07/23/24    100.000    VARIES    6.1912              0.151217   0.145661   0.139932   0.134027  0.134296     51.66    48.42
Barclays Bank PLC        06739JNU3 08/12/09 08/12/13    100.000     0.000    3.8100              0.114133   0.116307   0.118523   0.120781               42.09    26.60
Barclays Bank PLC        06739JNW9 08/21/09 08/21/24    100.000    VARIES    5.5443              0.132396   0.127202   0.121864   0.121236  0.120590     45.36    43.59
Barclays Bank PLC        06739JPE7 08/30/09 09/08/14    100.000     0.000    3.8999              0.117133   0.119417   0.121746   0.124120  0.126540     43.10    44.80
Barclays Bank PLC        06739JQ63 11/30/09 11/30/15    100.000     0.000    3.9500              0.118652   0.120995   0.123385   0.125822  0.128307     43.28    45.01
Barclays Bank PLC        06739JQ71 11/30/09 11/30/15    100.000     0.000    3.9500              0.118652   0.120995   0.123385   0.125822  0.128307     43.28    45.01
Barclays Bank PLC        06739JR39 11/24/09 11/24/14    100.000    VARIES    3.4606              0.097127   0.097435   0.097498   0.097354  0.097063     35.03    35.06
Barclays Bank PLC        06739JR96 11/04/09 11/04/13    100.000     0.000    3.1800              0.094088   0.095584   0.097104   0.098648               34.31    29.70
Barclays Bank PLC        06739JSD6 09/17/09 09/19/12    100.000     0.000    2.8500              0.083793   0.084987                                     21.83         
Barclays Bank PLC        06739JSU8 08/27/09 08/27/24    100.000    VARIES    5.3980              0.130113   0.125408   0.120577   0.119962  0.119332     44.81    43.14
Barclays Bank PLC        06739JTL7 10/01/09 10/07/14    100.000     0.000    3.7799              0.113236   0.115376   0.117557   0.119779  0.122043     41.51    43.10
Barclays Bank PLC        06739JXR9 10/02/09 10/03/13    100.000     0.000    3.4021              0.101111   0.102831   0.104581   0.106360               37.01    28.77
Barclays Bank PLC        06739JYA5 09/30/09 09/30/19    100.000    VARIES    5.0571              0.130954   0.130112   0.129250   0.129174  0.129096     46.84    46.50
Barclays Bank PLC        06739JYY3 11/02/09 11/07/14    100.000     0.000    3.7399              0.111937   0.114031   0.116163   0.118335  0.120548     40.90    42.45
Barclays Bank PLC        06740H286 05/21/10 05/24/17    100.000     2.500    4.9967              0.144159   0.146026   0.147939   0.149900  0.151910     52.37    53.76
Barclays Bank PLC        06740JED8 12/24/09 12/24/24    100.000    VARIES    5.1791              0.126717   0.122216   0.117598   0.116612  0.115600     44.74    42.14
Barclays Bank PLC        06740JEH9 12/28/09 12/28/12    100.000     0.000    2.4098              0.070227   0.071073                                     25.22         
Barclays Bank PLC        06740JEK2 12/28/09 12/26/14    100.000     0.000    3.6800              0.109936   0.111959   0.114019   0.116117  0.118253     39.96    41.45
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740JEL0 12/24/09 12/24/14    100.000    VARIES    3.3891              0.096263   0.096313   0.096133   0.095780  0.095306     34.66    34.54
Barclays Bank PLC        06740JEU0 12/21/09 12/19/14    100.000     0.000    3.6999              0.110573   0.112618   0.114702   0.116824  0.118985     40.22    41.73
Barclays Bank PLC        06740JEY2 01/29/10 01/29/16    100.000     0.000    4.2199              0.124799   0.127432   0.130121   0.132867  0.135670     46.21    48.18
Barclays Bank PLC        06740JEZ9 01/29/10 01/29/16    100.000     0.000    4.2199              0.124799   0.127432   0.130121   0.132867  0.135670     46.21    48.18
Barclays Bank PLC        06740JFA3 01/29/10 01/29/16    100.000     0.000    4.2199              0.124799   0.127432   0.130121   0.132867  0.135670     46.21    48.18
Barclays Bank PLC        06740JFQ8 01/29/10 01/29/25    100.000    VARIES    5.7144              0.147274   0.142583   0.137758   0.132795  0.131507     50.73    47.75
Barclays Bank PLC        06740JFR6 01/29/10 01/29/15    100.000    VARIES    3.7589              0.109171   0.109982   0.109643   0.109297  0.108263     39.52    39.20
Barclays Bank PLC        06740JK33 02/26/10 02/29/16    100.000     0.000    4.3199              0.126569   0.127898   0.132826   0.133483  0.138626     47.34    49.32
Barclays Bank PLC        06740JL40 02/26/10 02/26/30*   100.000    VARIES    5.5951              0.140444   0.133806   0.126981                          32.06*        
Barclays Bank PLC        06740JL73 03/31/10 03/31/16    100.000     0.000    4.1299              0.121975   0.124494   0.127065   0.129689  0.132367     44.83    46.70
Barclays Bank PLC        06740JL81 03/31/10 03/31/16    100.000     0.000    4.1299              0.121975   0.124494   0.127065   0.129689  0.132367     44.83    46.70
Barclays Bank PLC        06740JL99 03/31/10 03/31/16    100.000     0.000    4.1299              0.121975   0.124494   0.127065   0.129689  0.132367     44.83    46.70
Barclays Bank PLC        06740JM64 03/12/10 03/12/25*   100.000    VARIES    5.5350              0.140040   0.134705                                     34.19*        
Barclays Bank PLC        06740JM98 03/10/10 03/10/17    100.000    VARIES    4.4514              0.123559   0.123527   0.124201   0.124891  0.125155     44.55    44.94
Barclays Bank PLC        06740JN71 03/04/10 03/04/15    100.000    VARIES    3.5183              0.101606   0.103392   0.105142   0.106922  0.108677     37.31    38.59
Barclays Bank PLC        06740JQW3 01/29/10 01/29/16    100.000     0.000    4.2199              0.124799   0.127432   0.130121   0.132867  0.135670     46.21    48.18
Barclays Bank PLC        06740JRD4 01/27/10 01/27/17    100.000     5.000    4.3944              0.123988   0.126712   0.127015   0.127325  0.128191     45.59    45.96
Barclays Bank PLC        06740JRE2 02/08/10 02/06/15    100.000     0.000    3.8699              0.113836   0.116039   0.118284   0.120573  0.122906     42.02    43.66
Barclays Bank PLC        06740JRH5 02/26/10 02/29/12    100.000     0.000    1.7202              0.048494                                                 2.86         
Barclays Bank PLC        06740JRX0 01/26/10 11/05/12    100.000     0.000    2.4500              0.071063   0.071934                                     21.76         
Barclays Bank PLC        06740JRY8 01/26/10 11/05/12    100.000     0.000    2.4500              0.071063   0.071934                                     21.76         
Barclays Bank PLC        06740JSB7 02/22/10 02/20/15    100.000    VARIES    3.8626              0.113611   0.115805   0.116124   0.116450  0.114828     41.62    41.69
Barclays Bank PLC        06740JSC5 02/22/10 02/20/15    100.000     0.000    3.8600              0.113527   0.115718   0.117952   0.120228  0.122549     41.84    43.47
Barclays Bank PLC        06740JSJ0 02/19/10 02/19/25    100.000    VARIES    5.3591              0.135927   0.131378   0.126707   0.121911  0.120883     46.90    43.98
Barclays Bank PLC        06740JSM3 02/26/10 02/29/16    100.000     0.000    4.3199              0.126569   0.127898   0.132826   0.133483  0.138626     47.34    49.32
Barclays Bank PLC        06740JSN1 02/26/10 02/29/16    100.000     0.000    4.3199              0.126569   0.127898   0.132826   0.133483  0.138626     47.34    49.32
Barclays Bank PLC        06740JSP6 02/26/10 02/29/16    100.000     0.000    4.3199              0.126569   0.127898   0.132826   0.133483  0.138626     47.34    49.32
Barclays Bank PLC        06740JSY7 02/26/10 02/29/16    100.000     0.000    4.3199              0.126569   0.127898   0.132826   0.133483  0.138626     47.34    49.32
Barclays Bank PLC        06740JTK6 02/08/10 02/08/17    100.000    VARIES    4.5812              0.127417   0.127472   0.128007   0.128553  0.128694     45.96    46.28
Barclays Bank PLC        06740JVZ0 02/25/10 02/25/25*   100.000    VARIES    5.5194              0.139215   0.134273                                      7.79*        
Barclays Bank PLC        06740JWG1 02/17/10 07/24/14    100.000     0.000    3.4600              0.100969   0.102716   0.104493   0.106301  0.108140     37.22    38.52
Barclays Bank PLC        06740JZJ2 03/09/10 03/09/15    100.000     0.000    3.4999              0.102414   0.104206   0.106030   0.107885  0.109773     37.60    38.92
Barclays Bank PLC        06740L6Y6 06/24/10 06/24/25*   100.000    VARIES    5.6560              0.141651   0.137786                                     36.91*        
Barclays Bank PLC        06740LAB1 03/26/10 03/26/25*   100.000    VARIES    5.3753              0.134897   0.129608                                     34.80*        
Barclays Bank PLC        06740LAP0 04/07/10 04/07/15    100.000     0.000    3.6900              0.108280   0.110278   0.112313   0.114385  0.116496     39.68    41.16
Barclays Bank PLC        06740LAQ8 04/07/10 04/07/15    100.000     0.000    3.6900              0.108280   0.110278   0.112313   0.114385  0.116496     39.68    41.16
Barclays Bank PLC        06740LAR6 04/09/10 04/10/15    100.000     0.000    3.7199              0.109218   0.111250   0.113319   0.115427  0.117574     40.02    41.52
Barclays Bank PLC        06740LBD6 03/24/10 03/24/15    100.000     1.000    3.5999              0.103970   0.105341   0.106737   0.108159  0.109605     37.94    38.96
Barclays Bank PLC        06740LBJ3 04/30/10 04/29/16    100.000     0.000    4.4899              0.133294   0.136287   0.139346   0.142474  0.145673     48.90    51.12
Barclays Bank PLC        06740LBK0 04/30/10 04/29/16    100.000     0.000    4.4899              0.133294   0.136287   0.139346   0.142474  0.145673     48.90    51.12
Barclays Bank PLC        06740LBL8 04/30/10 04/29/16    100.000     0.000    4.4899              0.133294   0.136287   0.139346   0.142474  0.145673     48.90    51.12
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740LBS3 04/30/10 04/30/13    100.000     0.000    2.6499              0.076576   0.077590   0.078618                          27.87     9.36
Barclays Bank PLC        06740LBT1 04/30/10 04/30/13    100.000     0.000    2.6499              0.076576   0.077590   0.078618                          27.87     9.36
Barclays Bank PLC        06740LBV6 04/07/10 04/07/25    100.000    VARIES    5.2962              0.132901   0.127799   0.122563   0.117188  0.116044     46.06    42.61
Barclays Bank PLC        06740LBW4 04/15/10 01/09/12    100.000     0.000    1.7702              0.050254                                                  .40         
Barclays Bank PLC        06740LBY0 04/07/10 04/08/15    100.000     0.000    3.6920              0.108353   0.110353   0.112390   0.114465  0.116578     39.70    41.18
Barclays Bank PLC        06740LEM3 04/20/10 04/20/30    100.000    VARIES    5.5989              0.139700   0.133808   0.127752   0.121525  0.120037     48.38    44.32
Barclays Bank PLC        06740LEN1 04/30/10 04/30/12    100.000     0.000    1.9201              0.054889                                                 6.53         
Barclays Bank PLC        06740LEZ4 04/22/10 04/22/25    100.000    VARIES    5.4765              0.138469   0.133188   0.127763   0.122190  0.121023     48.16    44.53
Barclays Bank PLC        06740LJ55 05/25/10 05/25/25*   100.000    VARIES    6.0883              0.152477   0.147555   0.142484                          48.66*        
Barclays Bank PLC        06740LL78 06/09/10 06/09/14    100.000     0.000    3.9099              0.115106   0.117356   0.119651   0.121990  0.124375     41.94    43.60
Barclays Bank PLC        06740LN84 06/30/10 06/28/12    100.000     0.000    2.3199              0.066704                                                11.81         
Barclays Bank PLC        06740LNW1 05/28/10 05/31/16    100.000     0.000    4.7600              0.139620   0.142943   0.147149   0.149828  0.154236     51.95    54.43
Barclays Bank PLC        06740LNY7 05/28/10 05/31/16    100.000     0.000    4.7600              0.139620   0.142943   0.147149   0.149828  0.154236     51.95    54.43
Barclays Bank PLC        06740LP66 06/02/10 06/02/25*   100.000    VARIES    6.0388              0.150244   0.144423   0.138426                          48.82*        
Barclays Bank PLC        06740LP90 06/30/10 06/30/16    100.000     0.000    4.3499              0.128890   0.131694   0.134558   0.137485  0.140475     46.91    48.97
Barclays Bank PLC        06740LQ24 06/30/10 06/30/16    100.000     0.000    4.3499              0.128890   0.131694   0.134558   0.137485  0.140475     46.91    48.97
Barclays Bank PLC        06740LQG3 05/28/10 05/31/13    100.000     0.000    3.3199              0.096917   0.098526   0.100161                          35.28    14.92
Barclays Bank PLC        06740LQH1 05/28/10 05/31/16    100.000     0.000    4.7600              0.139620   0.142943   0.147149   0.149828  0.154236     51.95    54.43
Barclays Bank PLC        06740LTF2 05/10/10 05/08/15    100.000     0.000    3.8699              0.113836   0.116039   0.118284   0.120573  0.122906     41.61    43.24
Barclays Bank PLC        06740P3E4 11/04/10 10/29/12    100.000     0.000    1.0600              0.029754   0.029911                                      8.89         
Barclays Bank PLC        06740P676 12/29/10 12/27/12    100.000     0.000    1.7601              0.049752   0.050190                                     17.79         
Barclays Bank PLC        06740PA30 10/28/10 06/01/16    100.000     0.000    3.0699              0.088162   0.089516   0.090890   0.092285  0.093701     32.06    33.06
Barclays Bank PLC        06740PAD8 06/11/10 06/11/15    100.000     0.000    3.8599              0.113549   0.115740   0.117974   0.120251  0.122571     41.36    42.97
Barclays Bank PLC        06740PB21 11/03/10 11/01/13    100.000     0.000    1.4698              0.041429   0.041734   0.042040   0.042349               15.01    12.67
Barclays Bank PLC        06740PB88 11/10/10 11/10/25*   100.000    VARIES    4.7537              0.126771   0.124038                                     27.52*        
Barclays Bank PLC        06740PBC9 06/24/10 06/26/18    100.000     0.000    4.9699              0.148646   0.152340   0.156125   0.160005  0.163981     54.21    56.94
Barclays Bank PLC        06740PBE5 06/25/10 06/25/17    100.000     1.000    4.7051              0.138136   0.140732   0.143390   0.146109  0.148893     50.23    52.14
Barclays Bank PLC        06740PBF2 07/28/10 07/28/16    100.000     0.000    3.6099              0.103930   0.105806   0.107716   0.109660  0.111640     38.33    39.73
Barclays Bank PLC        06740PBG0 07/28/10 07/28/16    100.000     0.000    3.6099              0.103930   0.105806   0.107716   0.109660  0.111640     38.33    39.73
Barclays Bank PLC        06740PBK1 06/30/10 06/30/15    100.000    VARIES    3.8043              0.109536   0.110469   0.110504   0.110541  0.109695     39.60    39.79
Barclays Bank PLC        06740PBX3 07/06/10 07/06/20    100.000    VARIES    5.0546              0.145824   0.148017   0.150265   0.151537  0.152841     53.67    54.78
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES    4.9295              0.129904   0.125904   0.121805   0.117605  0.113302     45.79    42.82
Barclays Bank PLC        06740PCY0 07/28/10 07/26/12    100.000     0.000    1.7298              0.048882   0.049305                                     10.10         
Barclays Bank PLC        06740PEV4 07/28/10 07/28/25*   100.000    VARIES    5.0303              0.132699   0.130636   0.128522                          38.79*        
Barclays Bank PLC        06740PF76 11/30/10 11/29/12    100.000     0.000    1.4600              0.041148   0.041449                                     13.55         
Barclays Bank PLC        06740PHD1 08/31/10 08/31/16    100.000     0.000    3.3169              0.094172   0.094693   0.097859   0.097860  0.101132     35.02    36.12
Barclays Bank PLC        06740PHE9 08/31/10 08/31/16    100.000     0.000    3.3169              0.094172   0.094693   0.097859   0.097860  0.101132     35.02    36.12
Barclays Bank PLC        06740PHQ2 07/28/10 05/26/16    100.000     0.000    3.6099              0.105160   0.107058   0.108990   0.110957  0.112960     38.33    39.73
Barclays Bank PLC        06740PKG0 08/16/10 08/16/17    100.000    VARIES    3.6631              0.104728   0.105847   0.106986   0.107546  0.108117     38.21    38.77
Barclays Bank PLC        06740PKN5 08/31/10 08/31/15    100.000     0.000    2.6470              0.074659   0.074825   0.077072   0.076819  0.079125     27.65    28.34
Barclays Bank PLC        06740PKP0 09/03/10 09/03/15    100.000     0.000    2.6299              0.074989   0.075975   0.076974   0.077987  0.079012     27.41    28.13
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06740PL79 11/26/10 11/26/25    100.000    VARIES    5.0401              0.138285   0.137393   0.136479   0.136794  0.137116     49.56    49.21
Barclays Bank PLC        06740PM37 11/30/10 11/30/20    100.000    VARIES    4.6823              0.130963   0.131428   0.131904   0.132760  0.133636     47.26    47.69
Barclays Bank PLC        06740PMM5 08/27/10 08/29/18    100.000     0.000    3.8100              0.107539   0.110792   0.112286   0.115053  0.116604     40.54    42.03
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25    100.000    VARIES    4.4379              0.117591   0.115142   0.112639   0.110081  0.107465     41.37    39.55
Barclays Bank PLC        06740PMT0 08/26/10 08/26/20    100.000    VARIES    4.3098              0.121907   0.123037   0.124192   0.124972  0.125769     44.38    45.05
Barclays Bank PLC        06740PNB8 09/30/10 09/30/13    100.000     0.000    1.6198              0.045727   0.046098   0.046471   0.046848               16.60    12.57
Barclays Bank PLC        06740PPZ3 09/30/10 09/28/12    100.000     0.000    1.2098              0.034014   0.034220                                      9.12         
Barclays Bank PLC        06740PQB5 09/22/10 09/22/25*   100.000    VARIES    4.6596              0.126369   0.126644   0.126926                          33.29*        
Barclays Bank PLC        06740PQH2 09/30/10 09/29/17    100.000     0.000    3.3900              0.097379   0.099029   0.100708   0.102415  0.104151     35.66    36.88
Barclays Bank PLC        06740PR99 12/22/10 12/22/25*   100.000    VARIES    5.0102              0.144762                                                11.73*        
Barclays Bank PLC        06740PS23 12/22/10 12/22/25*   100.000    VARIES    5.0102              0.144762                                                11.73*        
Barclays Bank PLC        06740PSZ0 10/13/10 10/13/17    100.000     0.750    3.3000              0.094025   0.095232   0.096460   0.097708  0.098976     34.26    35.15
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES    5.2624              0.139162   0.136724   0.134221   0.131653  0.129017     49.65    47.85
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES    4.6202              0.125901   0.126240   0.126587   0.126942  0.127306     45.43    45.69
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25    100.000    VARIES    4.7398              0.125988   0.122912   0.119763   0.116539  0.113239     44.24    41.94
Barclays Bank PLC        06740PX43 12/17/10 12/19/18    100.000     0.000    4.6599              0.135581   0.138740   0.141973   0.145281  0.148666     49.45    51.79
Barclays Bank PLC        06740PX50 12/17/10 12/19/18    100.000     0.000    4.6599              0.135581   0.138740   0.141973   0.145281  0.148666     49.45    51.79
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES    5.6002              0.145468   0.141462   0.137343   0.133109  0.128756     51.64    48.67
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES    4.9824              0.137698   0.136977   0.138598   0.140260  0.141308     49.59    50.65
Barclays Bank PLC        06740PYH3 12/27/10 12/24/15    100.000     0.700    3.3717              0.096161   0.097454   0.098769   0.100106  0.101466     34.87    35.82
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES    5.5228              0.149211   0.144893   0.142992   0.141038  0.139030     51.98    50.52
Barclays Bank PLC        06741JBM0 01/27/11 02/06/12    100.000     0.000    0.9002              0.025126                                                  .88         
Barclays Bank PLC        06741JBW8 02/28/11 02/28/31    100.000    VARIES    5.4603              0.149041   0.146438   0.147839   0.144391  0.145701     53.92    53.06
Barclays Bank PLC        06741JCC1 02/03/11 02/03/26*   100.000    VARIES    5.6829              0.154059   0.150149                                     18.44*        
Barclays Bank PLC        06741JCE7 02/17/11 02/17/21    100.000    VARIES    4.9770              0.136162   0.134020   0.132613   0.131171  0.129888     48.16    47.12
Barclays Bank PLC        06741L427 03/02/12 03/05/18    100.000     0.000    3.1999              0.088887   0.088911   0.090334   0.091779  0.093248     26.75    33.12
Bill Barrett Corporation 06846NAB0 07/08/09 07/15/16     95.172     9.875   10.8760    13.16     0.016020   0.017076   0.017809   0.019089  0.019799      6.36     7.07
Bayonne Redev AGY, NJ    073009AR3 04/09/09 04/01/12     98.604     9.250    9.8017    12.64     0.014611                                                 1.32         
Bear Stearns Co., Inc.   073928G23 08/31/04 07/01/19     51.530     1.000    5.9698   187.73     0.088804   0.091455   0.094185   0.096996               32.45    34.41
Bear Stearns Co., Inc.   073928WN9 02/27/02 08/15/13     49.000     0.000    6.3184   414.09     0.151611   0.158120   0.161342   0.169198               58.03    37.89
BellSouth Telecomm       079867AS6 12/13/95 12/15/95     25.235    VARIES    6.8500              0.141115   0.145949   0.150947   0.156117  0.161464     51.83    55.44
Berry Petroleum Company  085789AD7 05/27/09 06/01/14     93.546    10.250   12.0008    28.75     0.036342   0.038523   0.040835   0.043285  0.045882     13.61    15.29
Bexar Cnty Hsg Fin Corp  08837EAB7 09/28/05 04/01/22     39.225     0.000    5.7500   167.11     0.088077   0.090609   0.093214   0.095894  0.098651     32.63    34.53
Boston, MA               100853GH7 11/04/09 09/15/24     89.556     6.050    7.2062     9.27     0.012796   0.013257   0.013734   0.014229  0.014742      4.79     5.14
Bumble Bee Holdco S.C.A. 12046QAA1 03/10/11 03/15/18     98.138     9.625    N/A                 0.272895   0.273172   0.273463   0.273768  0.274088     98.35    98.57
Bumble Bee Holdco S.C.A. 12046QAB9 03/10/11 03/15/18     98.138     9.625    N/A                 0.272895   0.273172   0.273463   0.273768  0.274088     98.35    98.57
Bureau County SD #84, IL 121012AL2 06/04/10 12/01/15    106.570    VARIES    4.3645              0.127342   0.126635   0.125913   0.125176  0.124422     45.67    45.15
Bureau County SD #84, IL 121012AM0 06/04/10 12/01/16    106.150    VARIES    4.6174              0.134683   0.134104   0.133513   0.132908  0.132289     48.35    47.92
Bureau County SD #84, IL 121012AN8 06/04/10 12/01/17    105.324    VARIES    4.8691              0.141390   0.140943   0.140486   0.140018  0.139538     50.79    50.46
Bureau County SD #84, IL 121012AP3 06/04/10 12/01/18    105.836    VARIES    5.1194              0.149497   0.149058   0.148607   0.148145  0.147671     53.71    53.39
Bureau County SD #84, IL 121012AQ1 06/04/10 12/01/19    106.299    VARIES    5.3692              0.157599   0.157170   0.156728   0.156275  0.155810     56.63    56.31
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bureau County SD #84, IL 121012AR9 06/04/10 12/01/20    104.349    VARIES    5.6693              0.163858   0.163582   0.163298   0.163005  0.162705     58.92    58.72
Bureau County SD #84, IL 121012AS7 06/04/10 12/01/21    104.162    VARIES    5.9680              0.172349   0.172104   0.171852   0.171592  0.171325     61.99    61.80
Bureau County SD #84, IL 121012AT5 06/04/10 12/01/22    104.788    VARIES    6.1675              0.179207   0.178951   0.178687   0.178415  0.178135     64.45    64.26
Bureau County SD #175,IL 121088AJ7 09/15/10 12/01/12    105.544     0.000    2.1629              0.065088   0.065792                                     21.61         
Bureau County SD #175,IL 121088AK4 09/15/10 12/01/13    106.280    VARIES    2.8304              0.081690   0.080940   0.080179   0.079407               29.23    26.32
Bureau County SD #175,IL 121088AL2 09/15/10 12/01/14    106.822    VARIES    3.2818              0.095602   0.094892   0.094170   0.093436  0.092690     34.25    33.72
Bureau County SD #175,IL 121088AM0 09/15/10 12/01/15    108.915    VARIES    3.6318              0.107843   0.107027   0.106196   0.105350  0.104489     38.63    38.03
Bureau County SD #175,IL 121088AN8 09/15/10 12/01/16    107.815    VARIES    4.0822              0.120602   0.119945   0.119275   0.118591  0.117893     43.26    42.77
Bureau County SD #175,IL 121088AP3 09/15/10 12/01/17    106.920    VARIES    4.4822              0.131758   0.131225   0.130679   0.130122  0.129552     47.30    46.91
Bureau County SD #175,IL 121088AQ1 09/15/10 12/01/18    106.252    VARIES    4.8319              0.141467   0.141026   0.140574   0.140111  0.139638     50.82    50.50
Bureau County SD #175,IL 121088AR9 09/15/10 12/01/19    107.871    VARIES    5.0816              0.150970   0.150465   0.149947   0.149417  0.148872     54.23    53.85
Bureau County SD #175,IL 121088AS7 09/15/10 12/01/20    108.435    VARIES    5.2817              0.157828   0.157338   0.156835   0.156318  0.155788     56.70    56.34
Bureau CNTYS SD #340, IL 121158BL2 08/14/12 12/01/14    102.681    VARIES    1.8371                         0.052399   0.052685   0.053169  0.051616      7.19    19.02
Bureau CNTYS SD #340, IL 121158BM0 08/14/12 12/01/15    103.922    VARIES    2.0391                         0.058864   0.059220   0.059824  0.057980      8.08    21.39
Bureau CNTYS SD #340, IL 121158BN8 08/14/12 12/01/16    106.028    VARIES    2.3387                         0.068880   0.069359   0.070170  0.067699      9.45    25.07
Bureau CNTYS SD #340, IL 121158BP3 08/14/12 12/01/17    106.030    VARIES    2.6392                         0.077735   0.078345   0.079378  0.076662     10.67    28.34
Bureau CNTYS SD #340, IL 121158BQ1 08/14/12 12/01/18    105.273    VARIES    2.9397                         0.085964   0.086715   0.087990  0.085092     11.80    31.40
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES    8.9994              0.351270   0.362760   0.374767   0.387315  0.400339    129.23   137.94
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES    8.9994              0.351270   0.362760   0.374767   0.387315  0.400339    129.23   137.94
CapitalSource Inc.       14055XAG7 07/30/07 07/15/12     98.000     7.250    7.7433    17.45     0.012701   0.013193                                      2.55         
Cardinal Health 409, Inc 14150BAA2 04/10/07 04/15/15    100.000     9.500    9.4999              0.259563   0.259563   0.260989   0.259563  0.260989     95.11    95.00
Carol Stream, IL         143735LM8 07/15/08 10/01/27     93.383     5.750    6.3510     6.89     0.006140   0.006335   0.006536   0.006744  0.006958      2.28     2.43
Carol Stream, IL         143735TM0 12/30/11 11/01/13    100.000     0.000    2.4994              0.069429   0.070012   0.070887   0.071773               25.19    21.43
Carol Stream, IL         143735TN8 12/30/11 11/01/14    100.000     0.000    2.8494              0.079153   0.079911   0.081049   0.082204  0.083375     28.75    29.53
Carol Stream, IL         143735TP3 12/30/11 11/01/15    100.000     0.000    3.3492              0.093035   0.094082   0.095658   0.097259  0.098888     33.84    34.92
Carol Stream, IL         143735TQ1 12/30/11 11/01/16    100.000     0.000    3.6494              0.101374   0.102617   0.104490   0.106396  0.108338     36.91    38.19
Carol Stream, IL         143735TR9 12/30/11 11/01/17    100.000     0.000    4.0492              0.112479   0.114010   0.116318   0.118673  0.121076     41.00    42.58
Carol Stream, IL         143735TS7 12/30/11 11/01/18    100.000     0.000    4.4492              0.123590   0.125439   0.128229   0.131082  0.133998     45.10    47.02
Carol Stream, IL         143735TT5 12/30/11 11/01/19    100.000     0.000    4.8492              0.134702   0.136897   0.140216   0.143616  0.147098     49.22    51.50
Carol Stream, IL         143735TU2 12/30/11 11/01/20    100.000     0.000    5.1992              0.144423   0.146946   0.150766   0.154686  0.158707     52.83    55.46
Carol Stream, IL         143735TV0 12/30/11 11/01/21    100.000     0.000    5.3992              0.149980   0.152701   0.156824   0.161057  0.165405     54.89    57.73
Carol Stream, IL         143735TW8 12/30/11 11/01/22    100.000     0.000    5.5992              0.155536   0.158463   0.162900   0.167460  0.172149     56.96    60.02
Carol Stream, IL         143735TX6 12/30/11 11/01/23    100.000     0.000    5.7993              0.161093   0.164233   0.168995   0.173895  0.178938     59.03    62.32
Carol Stream, IL         143735TY4 12/30/11 11/01/24    100.000     0.000    6.0492              0.168034   0.171451   0.176637   0.181979  0.187483     61.62    65.20
Carol Stream, IL         143735TZ1 12/30/11 11/01/25    100.000     0.000    6.1993              0.172205   0.175793   0.181242   0.186860  0.192653     63.18    66.94
Carol Stream, IL         143735UA4 12/30/11 11/01/26    100.000     0.000    6.3492              0.176369   0.180133   0.185852   0.191752  0.197839     64.74    68.69
Carol Stream, IL         143735UB2 12/30/11 11/01/27    100.000     0.000    6.4493              0.179148   0.183032   0.188934   0.195026  0.201315     65.78    69.86
Carol Stream, IL         143735UC0 12/30/11 11/01/28    100.000     0.000    6.5994              0.183318   0.187384   0.193567   0.199954  0.206552     67.34    71.61
Carol Stream, IL         143735UD8 12/30/11 11/01/29    100.000     0.000    6.6993              0.186094   0.190284   0.196658   0.203245  0.210054     68.38    72.79
Carol Stream, IL         143735UE6 12/30/11 11/01/30    100.000     0.000    6.7994              0.188875   0.193191   0.199759   0.206550  0.213573     69.42    73.96
Carol Stream, IL         143735UF3 12/30/11 11/01/31    100.000     0.000    6.8495              0.190265   0.194645   0.201311   0.208206  0.215336     69.95    74.55
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES    9.9395              0.741904   0.775588   0.810945   0.848060  0.887019    280.47   306.68
Century Alumium Company  156431AJ7 12/10/09 05/15/14     97.000     8.000    8.8326    12.54     0.018635   0.019458   0.020318   0.021215  0.022152      6.93     7.56
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Chesapeake Energy Corp.  165167BZ9 05/15/07 05/15/37    100.000    VARIES    6.7505              0.228628   0.234001   0.239555   0.245297  0.251233     83.78    87.81
Chesapeake Energy Corp.  165167CA3 08/14/07 05/15/37     97.625    VARIES    8.0008              0.275430   0.283671   0.292240   0.301153  0.310423    101.41   107.65
Chesapeake Energy Corp.  165167CB1 05/27/08 12/15/38    100.000    VARIES    8.0007              0.273558   0.282001   0.290782   0.299915  0.309412    100.28   106.62
Chesapeake Energy Corp.  165167CD7 02/02/09 02/15/15     97.750     9.500   10.0055     9.23     0.009977   0.010477   0.011001   0.011551  0.012129      3.82     4.21
Citigroup, Inc.          172967416 12/22/09 12/15/12    100.000     6.150    N/A                 0.053381   0.023209                                     12.93         
Citigroup, Inc.          172967432 12/22/09 12/15/12    100.000     6.150    N/A                 0.053381   0.023209                                     12.93         
Citibank CR Card Iss Tr  17305EEL5 06/25/08 06/20/12     94.946     6.300    7.7994    43.76     0.040089                                                 6.78         
Citigroup Global Markets 17307EBE2 07/01/04 09/07/16     51.400     0.000    5.5371   260.36     0.117053   0.120294   0.123624   0.127047  0.130564     43.47    45.91
Citigroup Funding, Inc.  17308CKY1 08/24/07 08/31/12    100.000     1.080    5.0702              0.163732   0.165314                                     40.08         
Citigroup Funding, Inc.  17308CMW3 02/26/09 02/26/14    100.000     1.500    7.7625              0.252109   0.260277   0.268762   0.277576  0.286733     94.31   100.59
Citigroup Funding, Inc.  17308CMX1 04/28/09 04/28/14    100.000    VARIES    7.9615              0.261640   0.268738   0.279436   0.287242  0.298677     96.59   103.21
Citigroup Funding, Inc.  17308CMY9 06/29/09 06/29/14    100.000    VARIES    6.6887              0.188508   0.188001   0.187477   0.186936  0.186376     67.77    67.39
Citigroup Funding, Inc.  17308CMZ6 08/28/09 08/28/14    100.000     1.500    5.6150              0.169360   0.172945   0.176631   0.180420  0.184315     62.51    65.21
Citigroup Funding, Inc.  17308CNM4 02/12/10 02/12/20    100.000    VARIES    4.5259              0.118506   0.116944   0.116266   0.115573  0.115476     42.07    41.62
Citigroup Funding, Inc.  17308CNQ5 03/17/10 03/19/12    100.000     0.000    1.5048              0.042756                                                 3.33         
Citigroup Funding, Inc.  17308CPA8 04/29/10 04/29/25    100.000    VARIES    5.9021              0.153572   0.149906   0.146133   0.142248  0.142199     54.16    51.66
Citigroup Funding, Inc.  17308CPC4 05/07/10 05/07/20    100.000    VARIES    5.0486              0.133101   0.131534   0.130967   0.130386  0.130512     47.52    47.02
Citigroup Funding, Inc.  17308CPQ3 05/24/10 05/24/16    100.000     0.000    4.5502              0.135222   0.138299   0.141445   0.144663  0.147955     49.46    51.74
Citigroup Funding, Inc.  17308CPT7 06/30/10 06/30/25    100.000    VARIES    5.8893              0.155058   0.153295   0.151481   0.149613  0.149565     55.50    54.19
Citigroup Funding, Inc.  17308CQH2 09/28/10 09/28/15    100.000    VARIES    2.0287              0.012523   0.012650   0.012779   0.012908  0.013039      4.55     4.65
Citigroup Funding, Inc.  17308CRW8 06/29/11 12/21/16    100.000     0.500    3.5733              0.100718   0.102269   0.103848   0.105456  0.107092     36.57    37.71
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000    7.3199    57.72     0.034935   0.036214   0.037539   0.038913  0.040337     12.93    13.89
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES    5.8403              0.156256   0.156308   0.156362   0.156417  0.156474     56.28    56.32
Citigroup Funding, Inc.  1730T0CU1 05/25/07 05/25/22*   100.000    VARIES    5.6847              0.145681   0.146114                                     34.13*        
Citigroup Funding, Inc.  1730T0DN6 08/06/07 08/06/37*   100.000     7.100    7.0999              0.260709   0.269965                                     57.72*        
Citigroup Funding, Inc.  1730T0EX3 01/30/08 01/30/13    100.000     2.000    4.5340              0.137904   0.139771   0.141680                          50.55     4.11
Citigroup Funding, Inc.  1730T0FG9 02/08/08 02/09/15    100.000     0.250    4.4200              0.141950   0.144934   0.147983   0.151100  0.154286     52.50    54.73
Citigroup Funding, Inc.  1730T0FT1 05/28/08 05/28/13    100.000    VARIES    5.2999              0.176801   0.181486   0.186295                          64.80    27.39
Citigroup Funding, Inc.  1730T0GD5 07/30/08 07/30/13    100.000     4.000    5.6733              0.166089   0.167648   0.169252   0.170901               60.55    35.67
Citigroup Funding, Inc.  1730T0GK9 08/29/08 08/29/13    100.000    VARIES    5.6500              0.161968   0.168373   0.166009   0.171637               60.95    40.87
Citigroup Funding, Inc.  1730T0GQ6 10/30/08 10/30/13    100.000     0.000    8.1000              0.285521   0.297085   0.309117   0.321636              106.31    94.68
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES    8.1831              0.209168   0.205082   0.200829   0.196402  0.197296     74.04    71.28
Citigroup Funding, Inc.  1730T0GZ6 05/28/09 05/28/24    100.000    VARIES    8.3422              0.211844   0.207356   0.202680   0.197810  0.198781     75.15    71.96
Citigroup Funding, Inc.  1730T0HA0 06/26/09 06/26/24    100.000    VARIES    8.1209              0.201857   0.196519   0.190963   0.185182  0.186354     71.65    67.68
Citigroup Funding, Inc.  1730T0HG7 08/27/09 08/27/24    100.000    VARIES    6.9432              0.176385   0.171901   0.167261   0.162460  0.157492     61.56    58.14
Citigroup Funding, Inc.  1730T0HL6 04/29/10 04/29/25    100.000    VARIES    5.9253              0.154232   0.150572   0.146803   0.142922  0.142894     54.40    51.91
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES    5.9941              0.148851   0.146344   0.143762   0.141102  0.140722     52.82    51.09
Citigroup Funding, Inc.  1730T0HQ5 10/29/09 10/29/24    100.000    VARIES    5.8766              0.149174   0.149541   0.149920   0.150309  0.150710     53.81    54.09
Citigroup Funding, Inc.  1730T0HY8 04/16/10 04/16/15    100.000    VARIES    1.3863              0.010120   0.010189   0.010260   0.010331  0.010403      3.67     3.72
Citigroup Funding, Inc.  1730T0JA8 04/26/10 04/26/20*   100.000    VARIES    5.0570              0.133033                                                15.30*        
Citigroup Funding, Inc.  1730T0JB6 05/28/10 05/28/25    100.000    VARIES    5.1185              0.134066   0.132952   0.131808   0.130636  0.130729     47.99    47.20
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  1730T0JC4 05/14/10 05/14/15    100.000    VARIES    1.6896              0.014081   0.014199   0.014319   0.014440  0.014562      5.10     5.19
Citigroup Funding, Inc.  1730T0JF7 06/29/10 06/29/22    100.000    VARIES    5.2411              0.137512   0.136429   0.135318   0.134177  0.134477     49.31    48.51
Citigroup Funding, Inc.  1730T0JG5 06/11/10 06/11/13    100.000    VARIES    2.1871              0.017399   0.017589   0.017782                           6.31     2.85
Citigroup Funding, Inc.  1730T0JH3 06/24/10 06/24/20    100.000    VARIES    5.3515              0.149008   0.150375   0.151025   0.151693  0.151837     53.90    54.50
Citigroup Funding, Inc.  1730T0KE8 09/09/10 09/09/20    100.000    VARIES    4.7845              0.135461   0.136785   0.138141   0.139529  0.140594     49.30    50.26
Citigroup Funding, Inc.  1730T0KF5 09/14/10 09/14/15    100.000    VARIES    2.0255              0.019786   0.019485   0.019182   0.019376  0.019573      7.00     6.98
Citigroup Funding, Inc.  1730T0KG3 09/14/10 09/14/17    100.000    VARIES    2.5063              0.018696   0.018111   0.017519   0.017739  0.017961      6.50     6.39
Citigroup Funding, Inc.  1730T0KH1 09/23/10 09/23/17    100.000    VARIES    2.6179              0.018488   0.018730   0.018976   0.019224  0.019476      6.75     6.93
Citigroup Funding, Inc.  1730T0KJ7 09/30/10 09/30/20*   100.000    VARIES    4.6622              0.131744   0.132901                                     13.19*        
Citigroup Funding, Inc.  1730T0KK4 10/13/10 10/13/15    100.000    VARIES    2.0006              0.019118   0.018832   0.018543   0.018728  0.018915      6.79     6.74
Citigroup Funding, Inc.  1730T0KR9 10/29/10 10/29/15    100.000    VARIES    1.9200              0.017073   0.016827   0.016579   0.016738  0.016899      6.07     6.02
Citigroup Funding, Inc.  1730T0KT5 11/04/10 11/04/20    100.000    VARIES    2.4350              0.022702   0.021601   0.020487   0.020736  0.020989      7.85     7.45
Citigroup Funding, Inc.  1730T0KU2 11/04/10 11/04/20    100.000    VARIES    2.5364              0.025184   0.023913   0.022625   0.022912  0.023203      8.69     8.23
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES    5.1245              0.135320   0.131670   0.127926   0.128175  0.128430     47.75    46.12
Citigroup Funding, Inc.  1730T0KW8 11/30/10 11/28/16    100.000     0.000    3.8990              0.112546   0.114740   0.116977   0.119257  0.121582     41.06    42.67
Citigroup Funding, Inc.  1730T0KX6 11/23/10 11/23/16    100.000    VARIES    1.4929              0.018283   0.018419   0.018557   0.018695  0.018835      6.62     6.72
Citigroup Funding, Inc.  1730T0KY4 11/19/10 11/19/20    100.000    VARIES    4.7108              0.129151   0.129838   0.130541   0.130928  0.131325     46.68    47.10
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES    5.5698              0.145415   0.140569   0.135587   0.132967  0.130274     50.97    48.06
Citigroup Funding, Inc.  1730T0LA5 11/15/10 11/15/15    100.000    VARIES    1.7358              0.009121   0.009200   0.009280   0.009360  0.009442      3.31     3.36
Citigroup Funding, Inc.  1730T0LB3 11/15/10 11/15/20    100.000    VARIES    2.2798              0.018969   0.018108   0.017236   0.017433  0.017632      6.59     6.26
Citigroup Funding, Inc.  1730T0LT4 03/14/11 03/18/13    100.000     0.000    1.5300              0.042835   0.043163   0.043493                          15.55     3.35
Citigroup Funding, Inc.  1730T0LU1 03/30/11 09/21/16    100.000     0.500    3.9296              0.110937   0.112843   0.114788   0.116770  0.118792     40.67    42.08
Citigroup Funding, Inc.  1730T0LW7 03/16/11 03/16/26*   100.000    VARIES    4.7595              0.130067                                                 9.76*        
Citigroup Funding, Inc.  1730T0LZ0 03/31/11 04/01/26*   100.000    VARIES    5.1428              0.141680   0.140481                                     38.04*        
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES    5.0031              0.138926   0.138874   0.138821   0.138767  0.138778     49.99    49.96
Citigroup Funding, Inc.  1730T0MB2 04/28/11 10/26/16    100.000     0.500    3.6902              0.104125   0.105790   0.107485   0.109212  0.110971     38.00    39.23
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES    1.9784              0.018706   0.018002   0.017292   0.016575  0.016739      6.52     6.06
Citigroup Funding, Inc.  1730T0MQ9 06/29/11 06/27/18    100.000     0.000    3.9199              0.110999   0.113174   0.115392   0.117654  0.119960     40.37    41.97
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES    4.6545              0.129070   0.128842   0.128862   0.128883  0.128905     46.42    46.39
Citigroup Funding, Inc.  1730T0MU0 07/28/11 01/25/17    100.000     0.500    3.3819              0.093944   0.095275   0.096651   0.098051  0.099474     34.48    35.49
Citigroup Funding, Inc.  1730T0NB1 08/10/11 08/08/13    100.000     0.000    1.7601              0.048893   0.049318   0.049752   0.050190               17.80    10.88
Citigroup Funding, Inc.  1730T0ND7 08/05/11 08/05/21    100.000    VARIES    3.3224              0.092289   0.092438   0.092589   0.092743  0.092899     33.29    33.41
Citigroup Funding, Inc.  1730T0NH8 08/30/11 02/24/17    100.000     0.500    3.8048              0.105692   0.107380   0.109159   0.110971  0.112818     38.79    40.09
Citigroup Funding, Inc.  1730T0NK1 08/26/11 08/26/16    100.000    VARIES    1.7275              0.011543   0.011161   0.010775   0.010868  0.010962      3.99     3.92
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES    2.3031              0.018988   0.018009   0.017513   0.016437  0.015897      6.59     6.00
Citigroup Funding, Inc.  1730T0NN5 09/07/11 09/07/18    100.000    VARIES    2.5979              0.021137   0.020510   0.019874   0.019230  0.018578      7.35     6.89
Citigroup Funding, Inc.  1730T0NQ8 09/29/11 09/29/26    100.000    VARIES    6.2445              0.173459   0.172154   0.170807   0.169419  0.167987     61.97    60.98
Citigroup Funding, Inc.  1730T0NS4 09/29/11 09/27/17    100.000     0.500    4.1394              0.114985   0.117054   0.119190   0.121369  0.123594     42.16    43.71
Citigroup Funding, Inc.  1730T0PD5 10/28/11 10/27/17    100.000     0.500    3.9008              0.108357   0.110189   0.112067   0.113982  0.115934     39.58    40.94
Citigroup Funding, Inc.  1730T0PS2 11/10/11 11/10/14    100.000    VARIES    2.9384              0.013819   0.013431   0.013036   0.013228  0.013422      4.87     4.75
Citigroup Funding, Inc.  1730T0QC6 11/28/11 11/28/17    100.000     0.500    4.2510              0.118085   0.120299   0.122561   0.124871  0.127230     43.06    44.69
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Funding, Inc.  1730T0QM4 12/05/11 12/05/16    100.000    VARIES    2.9298              0.081384   0.081157   0.080926   0.080691  0.080454     29.25    29.08
Citigroup Funding, Inc.  1730T0QN2 12/21/11 12/19/13    100.000     0.000    3.7402              0.103896   0.105817   0.107796   0.109812               37.80    37.88
Citigroup Funding, Inc.  1730T0QQ5 12/22/11 12/24/13    100.000     1.500    3.7373              0.103827   0.104989   0.106172   0.107377               37.60    37.70
Citigroup Funding, Inc.  1730T0VR7 01/23/12 01/23/16    100.000    VARIES    3.3341                         0.021477   0.020471   0.019449  0.019773      7.10     7.08
Citigroup Funding, Inc.  1730T0VU0 02/01/12 02/01/15    100.000    VARIES    2.5688                         0.021272   0.020746   0.020214  0.020473      6.94     7.33
Citigroup Funding, Inc.  1730T0WA3 02/28/12 08/27/15    100.000     0.000    2.6600                         0.073890   0.074868   0.075863  0.076872     22.51    27.38
Citigroup Funding, Inc.  1730T0WC9 02/15/12 02/14/16    100.000    VARIES    2.0055                         0.009709   0.009429   0.009145  0.009236      3.03     3.32
Citigroup Funding, Inc.  1730T0WF2 02/24/12 02/24/20    100.000    VARIES    2.8625                         0.010264   0.009871   0.009471  0.009066      3.10     3.38
Citigroup Funding, Inc.  1730T0WK1 03/29/12 03/30/16    100.000     1.000    2.5858              0.071829   0.071833   0.072403   0.072980  0.073564     19.59    26.27
Citigroup Funding, Inc.  1730T0WN5 03/16/12 03/16/15    100.000    VARIES    1.3116                         0.009381   0.092600   0.091385  0.091984      2.66     3.31
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES    3.8302                         0.106396   0.105774   0.105140  0.105518     28.78    37.94
Citigroup Funding, Inc.  1730T0WU9 04/02/12 04/02/16    100.000    VARIES    1.4378                         0.010119   0.009907   0.009694  0.009763      2.70     3.52
Citigroup Funding, Inc.  1730T0XG9 05/30/12 06/07/18    100.000     0.500    3.6727              0.102022   0.102085   0.103705   0.105354  0.107034     21.58    37.71
Citigroup Funding, Inc.  1730T0XP9 06/05/12 06/05/15    100.000    VARIES    1.3507                         0.007883   0.007778   0.007673  0.007725      1.62     2.78
Citigroup Funding, Inc.  1730T0XW4 06/20/12 06/20/15    100.000    VARIES    1.7222                         0.007064   0.006945   0.006826  0.006885      1.35     2.48
Citigroup Funding, Inc.  1730T0XX2 08/06/12 08/04/16    100.000     0.000    2.5430                                    0.070639   0.071527  0.072437     10.24    25.85
Citigroup Funding, Inc.  1730T0YD5 08/30/12 03/02/18    100.000     0.750    2.7849                         0.077359   0.077368   0.078155  0.078953      9.36    28.18
Citigroup Funding, Inc.  17311G250 12/21/07 07/17/12*   100.000     0.000    5.0040              0.165849                                                 2.65*        
Citigroup Funding, Inc.  17311G540 08/24/07 08/31/12    100.000     2.800    5.0771              0.153448   0.153702                                     37.33         
Citigroup Funding, Inc.  17311GBD3 10/10/07 10/10/14    100.000     0.000    5.1599              0.175730   0.180264   0.184915   0.189686  0.194580     64.82    68.21
Citigroup Funding, Inc.  17313G746 04/29/08 05/07/13    100.000     0.000    5.5901              0.188565   0.193836   0.199254                          69.41    25.11
Citigroup Funding, Inc.  17313T250 10/29/09 11/08/12    100.000     0.000    3.5401              0.105581   0.107449                                     32.75         
Citigroup Funding, Inc.  17313T375 08/28/09 02/27/12    100.000     0.000    4.0753              0.122705                                                 6.87         
Citigroup Funding, Inc.  17314V346 05/27/10 05/26/16    100.000     0.000    4.4491              0.132004   0.134940   0.137942   0.141011  0.144148     48.26    50.43
Citigroup Funding, Inc.  17314V569 03/30/10 09/28/15    100.000     0.000    4.6162              0.137281   0.140450   0.143692   0.147008  0.150401     50.59    52.95
Citigroup Funding, Inc.  17314V585 02/17/10 02/14/14    100.000     0.000    3.4655              0.101327   0.103083   0.104869   0.106686  0.108535     37.28    38.58
Citigroup Funding, Inc.  17314V593 02/17/10 02/14/13    100.000     0.000    2.5263              0.072854   0.073774   0.074706                          26.65     3.21
Citigroup Funding, Inc.  17314V668 02/25/10 08/26/15    100.000     0.000    4.3617              0.129278   0.132097   0.134978   0.137922  0.140930     47.76    49.87
Citigroup Funding, Inc.  17314V767 01/28/10 07/29/15    100.000     0.000    4.4348              0.131585   0.134503   0.137486   0.140534  0.143651     48.79    50.98
Citigroup Funding, Inc.  17314V841 12/29/09 06/24/15    100.000     0.000    3.7789              0.113073   0.115210   0.117387   0.119605  0.121864     41.12    42.69
Citigroup Funding, Inc.  17316G784 10/28/10 10/27/16    100.000     0.000    3.6054              0.103786   0.105657   0.107562   0.109501  0.111475     37.94    39.32
Citigroup Funding, Inc.  17317U360 01/30/12 01/29/15    100.000     0.000    3.4204                         0.095014   0.096630   0.098282  0.099963     31.70    35.59
Citigroup Funding, Inc.  17317U717 08/30/11 11/23/16    100.000     0.000    3.7251              0.104365   0.106309   0.108289   0.110306  0.112361     38.07    39.50
Citigroup Funding, Inc.  17318Q574 10/02/12 09/27/18    100.000     0.000    2.4948                                    0.069300   0.070141  0.071015      6.17    25.26
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510    6.4444     5.90     0.011747   0.012126   0.012517   0.012920  0.013336      4.31     4.59
Clark CNTY SCH DIST, NV  181059QG4 07/08/10 06/15/20     94.976     5.510    6.1946     5.70     0.011322   0.011673   0.012035   0.012407  0.012792      4.15     4.41
Clark CNTY SCH DIST, NV  181059QH2 07/08/10 06/15/20     94.976     5.510    6.1946     5.70     0.011322   0.011673   0.012035   0.012407  0.012792      4.15     4.41
Cogent Communications    19239VAA2 06/11/07 06/15/14     97.750     1.000    1.3372    14.38     0.009062   0.009122   0.009183   0.009245  0.009306      3.27     3.32
Cogent Communications    19239VAB0 06/11/07 06/15/14     97.750     1.000    1.3372    14.38     0.009062   0.009122   0.009183   0.009245  0.009306      3.27     3.32
Community Unit SD #5, IL 193863AG2 06/26/08 12/01/12    102.941    VARIES    4.8027              0.134308   0.133865                                     44.24         
Community Unit SD #5, IL 193863AH0 06/26/08 12/01/13    102.730    VARIES    4.9590              0.139153   0.138815   0.138469   0.138114               50.01    45.63
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Community Unit SD #5, IL 193863AJ6 06/26/08 12/01/14    102.273    VARIES    5.1132              0.143545   0.143309   0.143067   0.142818  0.142564     51.62    51.44
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000   10.5154              0.864649   0.907189   0.951966   0.999096  1.048705    325.57   358.54
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000   10.3810              0.839777   0.880483   0.923301   0.968341  1.015720    313.49   344.75
CompuCredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES    9.1300              0.369994   0.378183   0.396992   0.403420  0.423819    137.79   146.94
CompuCredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES    9.1300              0.369994   0.378183   0.396992   0.403420  0.423819    137.79   146.94
CompuCredit Corporation  20478NAC4 11/23/05 01/31/36    100.000     5.875    N/A                 0.301581   0.311376   0.314691   0.327025  0.329011    114.18   119.30
CompuCredit Corporation  20478NAD2 11/23/05 01/31/36    100.000     5.875    N/A                 0.301581   0.311376   0.314691   0.327025  0.329011    114.18   119.30
Conseco, Inc.            208464BG1 08/15/05 09/30/35     99.000     3.500    7.3752              0.269099   0.279023   0.289312   0.299262  0.309580    100.50   107.79
Conseco, Inc.            208464BH9 08/15/05 09/30/35     99.000     3.500    7.3752              0.269099   0.279023   0.289312   0.299262  0.309580    100.50   107.79
Convergys Corporation    212485AE6 10/13/09 09/15/29    114.396    VARIES   14.1017              0.534574   0.561004   0.589298   0.619587  0.652012    203.00   224.25
Cook County, Illinois    213309KR7 04/28/05 12/01/16     52.896     0.000    5.5696   234.39     0.117553   0.120827   0.124191   0.127650  0.131205     43.11    45.54
Cook County, Illinois    213309KS5 04/28/05 12/01/17     49.824     0.000    5.6095   222.64     0.111807   0.114943   0.118167   0.121481  0.124888     41.01    43.34
Cook County, Illinois    213309KT3 04/28/05 12/01/18     46.339     0.000    5.7396   212.76     0.107288   0.110367   0.113534   0.116792  0.120144     39.37    41.66
Cook County, Illinois    213309KU0 04/28/05 12/01/19     43.603     0.000    5.7697   201.44     0.101678   0.104612   0.107630   0.110734  0.113929     37.31    39.49
Cook County, Illinois    213309KV8 04/28/05 12/01/20     40.881     0.000    5.8197   190.81     0.096466   0.099273   0.102162   0.105134  0.108194     35.40    37.49
Cook County, IL SD #88   214183KP9 06/15/10 06/01/30     25.818     0.000    6.8998    28.55     0.054641   0.056526   0.058476   0.060494  0.062581     20.13    21.54
Cook County, IL SD #88   214183KR5 06/15/10 12/01/26     33.796     0.000    6.6997    36.25     0.069256   0.071576   0.073974   0.076452  0.079013     25.49    27.23
Cook County, IL SD #88   214183KS3 06/15/10 12/01/27     31.374     0.000    6.7498    33.91     0.064819   0.067007   0.069268   0.071606  0.074023     23.86    25.50
Cook County, IL SD #88   214183KT1 06/15/10 12/01/28     29.098     0.000    6.7998    31.70     0.060605   0.062666   0.064796   0.066999  0.069277     22.31    23.86
Cook County, IL SD #88   214183KU8 06/15/10 12/01/29     26.961     0.000    6.8498    29.59     0.056607   0.058546   0.060551   0.062625  0.064770     20.85    22.30
Cook County, IL SD #89   214201FX8 09/07/05 12/01/12     70.159     0.000    4.9590   254.54     0.131167   0.134419                                     43.87         
Cook County, IL SD #89   214201FY6 09/07/05 12/01/13     66.377     0.000    5.0390   245.29     0.126713   0.129905   0.133178   0.136534               46.39    44.55
Cook County, IL SD #89   214201FZ3 09/07/05 12/01/14     62.531     0.000    5.1492   236.91     0.122800   0.125962   0.129205   0.132532  0.135944     44.97    47.31
Cook County, IL SD #89   214201GB5 12/13/07 12/01/14     67.830     0.000    5.6497   171.76     0.132781   0.136532   0.140389   0.144355  0.148433     48.70    51.50
Cook County, IL SD #89   214201GC3 12/13/07 12/01/15     63.659     0.000    5.7497   164.35     0.127313   0.130973   0.134739   0.138612  0.142597     46.71    49.44
Cook County, IL SD #89   214201GD1 12/13/07 12/01/16     59.629     0.000    5.8497   156.91     0.121795   0.125358   0.129024   0.132798  0.136682     44.70    47.36
Cook County, IL SD #89   214201GE9 12/13/07 12/01/17     55.745     0.000    5.9498   149.47     0.116259   0.119718   0.123279   0.126947  0.130724     42.69    45.26
Cook County, IL SD #89   214201GF6 12/13/07 12/01/18     52.014     0.000    6.0498   142.06     0.110726   0.114075   0.117526   0.121081  0.124744     40.67    43.17
Cook County, IL SD #89   214201GG4 12/13/07 12/01/19     48.439     0.000    6.1497   134.73     0.105223   0.108459   0.111794   0.115231  0.118774     38.66    41.07
Cook County, IL SD #89   214201GH2 12/13/07 12/01/20     45.022     0.000    6.2498   127.49     0.099775   0.102893   0.106108   0.109424  0.112843     36.67    39.00
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000    6.3498   120.38     0.094401   0.097399   0.100491   0.103682  0.106973     34.71    36.95
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000    6.3998   113.25     0.088904   0.091749   0.094685   0.097714  0.100841     32.69    34.82
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000    6.4498   106.44     0.083641   0.086338   0.089122   0.091996  0.094963     30.76    32.78
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000    6.4698    99.91     0.078541   0.081082   0.083705   0.086413  0.089208     28.89    30.79
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000    7.7796    29.71     0.080123   0.083240   0.086478   0.089842  0.093336     29.51    31.85
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000    7.9996    27.44     0.074106   0.077070   0.080153   0.083359  0.086693     27.31    29.54
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES    7.6950              0.233614   0.233251   0.232873   0.232482  0.232075     84.02    83.75
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000    8.2496    25.19     0.068156   0.070967   0.073895   0.076943  0.080116     25.13    27.25
Cook County, IL SD #104  214471HQ0 12/30/02 12/01/22     21.989     0.000    7.7496   216.19     0.093272   0.096886   0.100641   0.104540  0.108591     34.45    37.17
Cook County, IL SD #104  214471JU9 02/08/07 12/01/12     73.485     0.000    5.3685   217.79     0.141432   0.145229                                     47.36         
Cook County, IL SD #104  214471JV7 02/08/07 12/01/13     69.553     0.000    5.3989   207.45     0.134813   0.138452   0.142190   0.146028               49.41    47.61
Cook County, IL SD #123  214651JV4 10/15/07 12/01/13     71.288     0.000    5.5988   186.74     0.139262   0.143160   0.147168   0.151288               51.07    49.31
Cook County, IL SD #123  214651JW2 10/15/07 12/01/14     66.759     0.000    5.7491   180.08     0.134726   0.138598   0.142582   0.146681  0.150897     49.43    52.32
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #123  214651JX0 10/15/07 12/01/15     62.337     0.000    5.8991   173.03     0.129864   0.133695   0.137638   0.141698  0.145877     47.67    50.53
Cook County, IL SD #123  214651JY8 10/15/07 12/01/16     58.297     0.000    5.9991   164.87     0.124003   0.127723   0.131554   0.135500  0.139564     45.54    48.31
Cook County, IL SD #123  214651JZ5 10/15/07 12/01/17     54.681     0.000    6.0492   156.09     0.117518   0.121073   0.124735   0.128507  0.132394     43.16    45.81
Cook County, IL SD #123  214651KA8 10/15/07 12/01/18     51.240     0.000    6.0992   147.61     0.111256   0.114649   0.118145   0.121748  0.125461     40.87    43.40
Cook County, IL SD #123  214651KB6 10/15/07 12/01/19     48.025     0.000    6.1392   139.37     0.105129   0.108356   0.111682   0.115111  0.118644     38.62    41.03
Cook County, IL SD #123  214651KC4 10/15/07 12/01/20     44.691     0.000    6.2294   131.82     0.099626   0.102729   0.105929   0.109228  0.112631     36.61    38.93
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000    6.2694   124.19     0.093935   0.096880   0.099917   0.103049  0.106279     34.53    36.72
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000    6.2794   116.79     0.088358   0.091132   0.093994   0.096945  0.099989     32.48    34.55
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000    6.2895   109.81     0.083097   0.085710   0.088405   0.091185  0.094053     30.54    32.50
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000    6.2995   103.23     0.078132   0.080593   0.083132   0.085750  0.088451     28.72    30.56
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000    6.3095    97.02     0.073451   0.075768   0.078158   0.080624  0.083167     27.00    28.73
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000    6.3195    91.17     0.069035   0.071217   0.073467   0.075788  0.078183     25.38    27.01
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000    6.3295    88.37     0.066926   0.069044   0.071229   0.073484  0.075809     24.60    26.19
Cook County, IL SD #127  214723CV8 09/07/05 12/01/19     46.971     0.000    5.3794   187.21     0.097724   0.100352   0.103052   0.105823  0.108670     35.81    37.77
Cook County, IL SD #127  214723CW6 09/07/05 12/01/20     44.082     0.000    5.4494   178.36     0.093304   0.095847   0.098458   0.101141  0.103897     34.20    36.09
Cook County, IL SD #127  214723CX4 09/07/05 12/01/21     41.315     0.000    5.5194   169.67     0.088948   0.091402   0.093925   0.096517  0.099181     32.61    34.44
Cook County, IL SD #127  214723CY2 09/07/05 12/01/22     38.734     0.000    5.5794   161.09     0.084605   0.086965   0.089391   0.091885  0.094448     31.03    32.78
Cook County, IL SD #127  214723CZ9 09/07/05 12/01/23     36.271     0.000    5.6395   152.75     0.080372   0.082638   0.084968   0.087364  0.089828     29.48    31.17
Cook County, IL SD #127  214723DA3 09/07/05 12/01/24     33.990     0.000    5.6895   144.63     0.076214   0.078382   0.080612   0.082905  0.085264     27.96    29.57
Cook County, IL SD #127  214723DC9 09/07/05 12/01/13     66.537     0.000    5.0090   244.20     0.126033   0.129190   0.132425   0.135742               46.13    44.30
Cook County, IL SD #133  214813BZ9 06/26/12 12/15/16     98.000     4.250    N/A                            0.014832   0.015171   0.015542  0.015921      2.75     5.54
Cook County, IL SD #133  214813CA3 06/26/12 12/15/20     98.000     5.000    N/A                            0.006913   0.007087   0.007276  0.007471      1.28     2.59
Cook County, Illinois    215030CN5 01/08/04 12/01/12     63.060     0.000    5.2494   323.06     0.138454   0.142088                                     46.34         
Cook County, Illinois    215030CP0 01/08/04 12/01/13     58.732     0.000    5.4494   314.81     0.135941   0.139645   0.143450   0.147358               49.83    48.04
Cook County, Illinois    215030CQ8 01/08/04 12/01/14     54.489     0.000    5.6495   305.18     0.132777   0.136528   0.140385   0.144350  0.148428     48.70    51.49
Cook County, Illinois    215030CR6 01/08/04 12/01/15     50.650     0.000    5.7994   292.93     0.128166   0.131883   0.135707   0.139642  0.143691     47.03    49.80
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27     94.524     6.000    6.6229              0.009018   0.009317   0.009626   0.009944  0.010274      3.32     3.54
Cook County, Illinois    215093EV3 06/17/03 12/01/13     59.669     0.000    4.9998   313.04     0.125823   0.128968   0.132192   0.135497               46.05    44.22
Cook County, Illinois    215093EW1 06/17/03 12/01/14     55.539     0.000    5.1998   305.60     0.123824   0.127043   0.130346   0.133735  0.137212     45.35    47.74
Cook County, Illinois    215093EX9 06/17/03 12/01/15     51.495     0.000    5.3998   296.74     0.121204   0.124476   0.127837   0.131288  0.134833     44.42    46.85
Cook County, IL SD #153  215183FW9 12/10/03 12/01/12     60.122     0.000    5.7499   348.20     0.150917   0.155256                                     50.58         
Cook County, IL SD #153  215183FX7 12/10/03 12/01/13     55.449     0.000    5.9998   338.44     0.148078   0.152521   0.157096   0.161809               54.38    52.69
Cook County, IL SD #153  215183FY5 12/10/03 12/01/14     51.438     0.000    6.1497   323.73     0.142443   0.146823   0.151338   0.155991  0.160788     52.33    55.60
Cook County, IL SD #153  215183FZ2 12/10/03 12/01/15     47.578     0.000    6.2999   308.59     0.136546   0.140847   0.145284   0.149860  0.154581     50.19    53.40
Cook County, IL SD #153  215183GJ7 05/14/08 12/15/13     74.458     0.000    5.3491   157.36     0.133700   0.137276   0.140948   0.144718               48.89    49.16
Cook County, IL SD #153  215183GK4 05/14/08 12/15/14     69.640     0.000    5.5691   153.77     0.131196   0.134849   0.138604   0.142463  0.146430     48.01    50.72
Cook County, IL SD #153  215183GL2 05/14/08 12/15/15     64.808     0.000    5.7992   149.56     0.128162   0.131879   0.135703   0.139638  0.143687     46.93    49.69
Cook County, IL SD #153  215183GM0 05/14/08 12/15/16     59.694     0.000    6.0984   145.70     0.123393   0.127155   0.131753   0.135028  0.139910     45.99    48.83
Cook County, IL SD #153  215183GN8 05/14/08 12/15/17     55.331     0.000    6.2694   139.08     0.120245   0.124014   0.127902   0.131911  0.136046     44.09    46.90
Cook County, IL SD #153  215183GP3 05/14/08 12/15/18     51.329     0.000    6.3994   131.97     0.114378   0.118038   0.121814   0.125712  0.129735     41.95    44.68
Cook County, IL SD #153  215183GQ1 05/14/08 12/15/19     47.338     0.000    6.5593   125.07     0.108723   0.112289   0.115972   0.119775  0.123703     39.90    42.56
Cook County, IL SD #155  215219EG7 02/01/01 12/01/14     37.337     0.000    7.2490   439.16     0.162632   0.168526   0.174635   0.180964  0.187523     59.97    64.39
Cook County, IL SD #155  215219EH5 02/01/01 12/01/15     34.277     0.000    7.3490   411.06     0.152950   0.158570   0.164397   0.170438  0.176701     56.42    60.64
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #155  215219FN1 06/30/03 12/01/18     44.637     0.000    5.2998   250.09     0.102079   0.104784   0.107561   0.110411  0.113337     37.40    39.41
Cook County, IL SD #155  215219FP6 06/30/03 12/01/19     41.690     0.000    5.3998   238.99     0.097939   0.100583   0.103299   0.106088  0.108952     35.89    37.86
Cook County, IL SD #155  215219FQ4 06/30/03 12/01/20     39.193     0.000    5.4498   227.23     0.093307   0.095850   0.098462   0.101145  0.103901     34.20    36.09
Cook County, IL SD #155  215219FR2 06/30/03 12/01/21     36.482     0.000    5.5497   216.30     0.089172   0.091647   0.094190   0.096803  0.099490     32.70    34.54
Cook County, IL SD #155  215219FS0 06/30/03 12/01/22     33.892     0.000    5.6497   205.43     0.085029   0.087431   0.089901   0.092440  0.095052     31.19    32.98
Cook County, IL SD #155  215219GA8 06/02/05 12/01/15     59.242     0.000    5.0500   230.17     0.114910   0.117811   0.120786   0.123836  0.126963     42.07    44.22
Cook County, IL SD #155  215219GB6 06/02/05 12/01/16     55.669     0.000    5.1601   221.77     0.111103   0.113970   0.116910   0.119927  0.123021     40.69    42.81
Cook County, IL SD #155  215219GC4 06/02/05 12/01/17     52.327     0.000    5.2501   212.69     0.106863   0.109668   0.112547   0.115501  0.118533     39.15    41.23
Cook County, IL SD #155  215219GD2 06/02/05 12/01/18     49.294     0.000    5.3100   203.03     0.102206   0.104919   0.107705   0.110565  0.113500     37.45    39.46
Cook County, IL SD #155  215219GE0 06/02/05 12/01/19     46.448     0.000    5.3600   193.42     0.097520   0.100133   0.102817   0.105573  0.108402     35.74    37.68
Cook County, IL SD #155  215219GF7 06/02/05 12/01/20     43.922     0.000    5.3801   183.70     0.092678   0.095171   0.097732   0.100361  0.103060     33.96    35.82
Cook County, IL SD #155  215219GG5 06/02/05 12/01/21     41.054     0.000    5.4700   175.07     0.088576   0.090999   0.093488   0.096044  0.098671     32.47    34.27
Cook County, IL SD #155  215219GH3 06/02/05 12/01/22     38.699     0.000    5.5000   166.09     0.084112   0.086426   0.088802   0.091244  0.093754     30.84    32.56
Cook County, IL SD #155  215219GQ3 06/02/05 12/01/23     36.261     0.000    5.5600   157.62     0.079977   0.082201   0.084486   0.086835  0.089249     29.33    30.98
Cook County, IL SD #155  215219GR1 06/02/05 12/01/24     34.002     0.000    5.6100   149.37     0.075909   0.078038   0.080227   0.082477  0.084791     27.84    29.42
Cook County, IL SD #155  215219HB5 06/29/06 12/01/16     54.002     0.000    5.9995   207.81     0.124009   0.127729   0.131561   0.135507  0.139572     45.54    48.31
Cook County, IL SD #155  215219HC3 06/29/06 12/01/17     50.621     0.000    6.0495   196.67     0.117522   0.121077   0.124739   0.128512  0.132399     43.16    45.81
Cook County, IL SD #155  215219HD1 06/29/06 12/01/18     47.405     0.000    6.0996   185.95     0.111260   0.114653   0.118150   0.121753  0.125467     40.87    43.40
Cook County, IL SD #155  215219HE9 06/29/06 12/01/19     44.524     0.000    6.1196   175.31     0.104953   0.108164   0.111474   0.114885  0.118400     38.56    40.95
Cook County, IL SD #155  215219HF6 06/29/06 12/01/20     41.744     0.000    6.1496   165.30     0.099038   0.102083   0.105222   0.108457  0.111792     36.39    38.66
Cook County, IL SD #155  215219HG4 06/29/06 12/01/21     39.173     0.000    6.1696   155.70     0.093339   0.096219   0.099187   0.102247  0.105401     34.30    36.44
Cook County, IL SD #155  215219HH2 06/29/06 12/01/22     36.688     0.000    6.1996   146.65     0.087981   0.090709   0.093520   0.096419  0.099408     32.33    34.37
Cook County, IL SD #155  215219HJ8 06/29/06 12/01/23     34.398     0.000    6.2197   138.01     0.082845   0.085421   0.088077   0.090817  0.093641     30.44    32.37
Cook County, IL SD #155  215219HK5 06/29/06 12/01/24     32.181     0.000    6.2498   129.84     0.078003   0.080441   0.082954   0.085547  0.088220     28.67    30.49
Cook County, IL SD #155  215219HL3 06/29/06 12/01/25     30.147     0.000    6.2697   122.08     0.073382   0.075683   0.078055   0.080502  0.083026     26.97    28.69
Cook County, IL SD #155  215219HM1 06/29/06 06/01/26     29.062     0.000    6.2996   118.34     0.071191   0.073434   0.075747   0.078133  0.080594     26.17    27.84
Cook County, IL SD #155  215219JF4 06/29/06 12/01/12     69.397     0.000    5.7692   255.28     0.151398   0.155765                                     50.75         
Cook County, IL SD #155  215219JG2 06/29/06 12/01/13     65.418     0.000    5.7993   242.09     0.143688   0.147855   0.152142   0.156554               52.73    51.00
Cook County, IL SD #155  215219JH0 06/29/06 12/01/14     61.530     0.000    5.8495   229.96     0.136678   0.140675   0.144789   0.149024  0.153383     50.17    53.14
Cook County, IL SD #155  215219JJ6 06/29/06 12/01/15     57.818     0.000    5.8994   218.22     0.129869   0.133700   0.137643   0.141703  0.145883     47.68    50.53
Cook County, IL SD #155  215219JK3 06/29/06 12/01/16     54.002     0.000    5.9995   207.81     0.124009   0.127729   0.131561   0.135507  0.139572     45.54    48.31
Cook County, IL SD #155  215219JL1 06/29/06 12/01/17     50.621     0.000    6.0495   196.67     0.117522   0.121077   0.124739   0.128512  0.132399     43.16    45.81
Cook County, IL SD #155  215219JM9 06/29/06 12/01/18     47.405     0.000    6.0996   185.95     0.111260   0.114653   0.118150   0.121753  0.125467     40.87    43.40
Cook County, IL SD #155  215219JN7 06/29/06 12/01/19     44.524     0.000    6.1196   175.31     0.104953   0.108164   0.111474   0.114885  0.118400     38.56    40.95
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000    6.7493    62.48     0.084532   0.087384   0.090333   0.093382  0.096533     31.12    33.25
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000    6.7993    58.49     0.079189   0.081881   0.084665   0.087544  0.090520     29.16    31.17
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000    6.8493    54.71     0.074109   0.076647   0.079272   0.081987  0.084794     27.29    29.19
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000    6.8993    51.11     0.069284   0.071674   0.074146   0.076704  0.079350     25.52    27.31
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000    6.9993    47.65     0.064671   0.066934   0.069276   0.071701  0.074210     23.83    25.52
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000    7.0994    44.33     0.060236   0.062374   0.064589   0.066881  0.069255     22.20    23.80
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000    7.1494    42.73     0.058088   0.060165   0.062315   0.064543  0.066850     21.41    22.97
Cook County, Illinois    215255EX4 06/30/04 12/01/12     62.198     0.000    5.7195   327.69     0.150164   0.154458                                     50.33         
Cook County, Illinois    215255EY2 06/30/04 12/01/13     57.985     0.000    5.8696   315.25     0.145231   0.149493   0.153881   0.158397               53.31    51.59
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, Illinois    215255EZ9 06/30/04 12/01/14     53.847     0.000    6.0295   302.50     0.140148   0.144373   0.148726   0.153209  0.157828     51.47    54.62
Cook County, Illinois    215255FA3 06/30/04 12/01/15     50.015     0.000    6.1596   288.41     0.134235   0.138369   0.142631   0.147023  0.151551     49.32    52.41
Cook County, IL SD #162  215291LD5 06/30/11 12/01/13    100.000     0.000    2.9998              0.084376   0.085642   0.086926   0.088230               30.68    28.92
Cook County, IL SD #162  215291LE3 06/30/11 12/01/14    100.000     0.000    3.2494              0.091494   0.092981   0.094491   0.096026  0.097587     33.30    34.39
Cook County, IL SD #162  215291LF0 06/30/11 12/01/15    100.000     0.000    3.9996              0.112965   0.115224   0.117529   0.119879  0.122276     41.21    42.88
Cook County, IL SD #162  215291LG8 06/30/11 12/01/16    100.000     0.000    4.3994              0.124463   0.127201   0.129999   0.132858  0.135781     45.47    47.49
Cook County, IL SD #162  215291LH6 06/30/11 12/01/17    100.000     0.000    4.7493              0.134555   0.137750   0.141021   0.144370  0.147798     49.21    51.57
Cook County, IL SD #162  215291LJ2 06/30/11 12/01/18    100.000     0.000    4.9995              0.141790   0.145334   0.148967   0.152691  0.156508     51.90    54.52
Cook County, IL SD #162  215291LK9 06/30/11 12/01/19    100.000     0.000    5.2494              0.149030   0.152941   0.156956   0.161075  0.165303     54.59    57.50
Cook County, IL SD #162  215291LL7 06/30/11 12/01/20    100.000     0.000    5.5207              0.156905   0.161237   0.165687   0.170261  0.174961     57.53    60.75
Cook County, IL SD #162  215291LM5 06/30/11 12/01/21    100.000     0.000    5.7496              0.163563   0.168265   0.173102   0.178079  0.183198     60.02    63.52
Cook County, IL SD #162  215291LP8 06/30/11 12/01/23    100.000     0.000    6.1246              0.174500   0.179844   0.185351   0.191027  0.196877     64.11    68.09
Cook County, IL SD #162  215291LQ6 06/30/11 12/01/24    100.000     0.000    6.2495              0.178149   0.183715   0.189456   0.195376  0.201481     65.47    69.63
Cook County, IL SD #162  215291LT0 06/30/11 12/01/27    100.000     0.000    6.7497              0.192800   0.199307   0.206033   0.212987  0.220175     70.98    75.85
Cook County, IL SD #162  215291LU7 06/30/11 12/01/28    100.000     0.000    6.8747              0.196471   0.203225   0.210210   0.217436  0.224910     72.36    77.42
Cook County, IL SD #162  215291LV5 06/30/11 12/01/29    100.000     0.000    6.9496              0.198673   0.205577   0.212720   0.220112  0.227761     73.19    78.36
Cook County, IL SD #162  215291LW3 06/30/11 12/01/30    100.000     0.000    6.9996              0.200144   0.207149   0.214399   0.221903  0.229669     73.74    78.99
Cook County, Illinois    215381HQ0 08/07/03 12/01/12     61.760     0.000    5.2392   336.14     0.138198   0.141819                                     46.26         
Cook County, Illinois    215381HR8 08/07/03 12/01/13     57.537     0.000    5.4293   327.09     0.135492   0.139170   0.142948   0.146829               49.66    47.87
Cook County, Illinois    215381HS6 08/07/03 12/01/14     53.466     0.000    5.6091   316.38     0.131984   0.135686   0.139492   0.143404  0.147426     48.41    51.16
Cook County, Illinois    215903EV3 06/17/03 12/01/13     59.669     0.000    4.9998   313.04     0.125823   0.128968   0.132192   0.135497               46.05    44.22
Cook County, Illinois    215903EW1 06/17/03 12/01/14     55.539     0.000    5.1998   305.60     0.123824   0.127043   0.130346   0.133735  0.137212     45.35    47.74
Cook County, Illinois    215903EX9 06/17/03 12/01/15     51.495     0.000    5.3998   296.74     0.121204   0.124476   0.127837   0.131288  0.134833     44.42    46.85
Corvallie, Benton County 2208855H6 03/12/02 01/01/13     49.793     0.000    6.5588   439.57     0.170805   0.176406                                     62.50         
Corvallie, Benton County 2208855J2 03/12/02 01/01/14     46.414     0.000    6.6090   413.92     0.161198   0.166525   0.172028   0.177713               58.99    62.95
Corvallie, Benton County 2208855K9 03/12/02 01/01/15     43.223     0.000    6.6591   389.35     0.151974   0.157034   0.162262   0.167665               55.62    59.39
Corvallie, Benton County 2208855L7 03/12/02 01/01/16     39.945     0.000    6.7591   367.07     0.143917   0.148781   0.153809   0.159007               52.69    56.31
Corvallie, Benton County 2208855M5 03/12/02 01/01/17     37.109     0.000    6.8092   344.39     0.135331   0.139938   0.144703   0.149629               49.55    52.98
Corvallie, Benton County 2208855N3 03/12/02 01/01/18     34.442     0.000    6.8591   322.79     0.127124   0.131484   0.135994   0.140658               46.55    49.80
Corvallie, Benton County 2208855P8 03/12/02 01/01/19     31.935     0.000    6.9091   302.24     0.119296   0.123417   0.127681   0.132092               43.69    46.76
Corvallie, Benton County 2208855Q6 03/12/02 01/01/20     29.582     0.000    6.9592   282.71     0.111836   0.115727   0.119754   0.123921               40.96    43.86
Corvallie, Benton County 2208855R4 03/12/02 01/01/21     27.475     0.000    6.9893   264.11     0.104619   0.108275   0.112059   0.115975               38.32    41.05
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000    7.0193   246.59     0.097808   0.101241   0.104794   0.108472               35.83    38.39
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000    7.0594   230.07     0.091419   0.094646   0.097986   0.101445               33.49    35.90
Costco Companies, Inc.   22160QAA0 08/19/97 08/19/17     49.960     0.000    3.5000   322.88     0.078950   0.080332   0.081738   0.083168  0.084624     29.04    30.06
Costco Companies, Inc.   22160QAB8 08/19/97 08/19/17     49.960     0.000    3.5000   322.88     0.078950   0.080332   0.081738   0.083168  0.084624     29.04    30.06
Costco Companies, Inc.   22160QAC6 08/19/97 08/19/17     49.960     0.000    3.5000   322.88     0.078950   0.080332   0.081738   0.083168  0.084624     29.04    30.06
Credit Suisse USA, Inc.  22541FDR4 04/28/06 04/29/13    100.000     0.000    5.5223              0.207020   0.212736   0.218610                          76.27    25.80
Credit Suisse USA, Inc.  22541HBF8 09/01/06 08/26/13    100.000     1.000    5.3576              0.185337   0.189558   0.193892   0.198342               68.55    46.37
Credit Suisse USA, Inc.  22541HBU5 04/27/07 04/21/14    100.000     0.250    5.0791              0.174914   0.179180   0.183554   0.188039  0.192638     64.34    67.52
Credit Suisse USA, Inc.  22541HBV3 05/11/07 05/05/14    100.000     1.750    5.1032              0.165369   0.168348   0.171403   0.174537  0.177750     60.41    62.62
Credit Suisse USA, Inc.  22541HCU4 03/04/11 03/01/16    100.000     0.000    3.0020              0.084620   0.085890   0.087180   0.088488  0.089816     31.00    31.94
Credit Suisse USA, Inc.  22541HCW0 06/23/11 06/22/18    100.000     0.000    3.6401              0.102947   0.104820   0.106728   0.108671  0.110649     37.43    38.81
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22546E2G8 03/31/11 03/31/15    100.000     0.000    2.6796              0.075432   0.076443   0.077467   0.078505  0.079557     27.52    28.27
Credit Suisse USA, Inc.  22546E4R2 04/29/11 04/29/16    100.000     0.000    3.1146              0.087864   0.089233   0.090622   0.092034  0.093467     32.05    33.05
Credit Suisse USA, Inc.  22546E4S0 04/28/11 04/27/15    100.000     0.000    2.6068              0.073353   0.074309   0.075277   0.076258  0.077252     26.70    27.40
Credit Suisse USA, Inc.  22546E6C3 05/31/11 05/31/16    100.000     0.000    2.8780              0.081097   0.082264   0.083448   0.084649  0.085867     29.48    30.33
Credit Suisse USA, Inc.  22546E6E9 05/31/11 05/31/16    100.000     0.000    2.7670              0.077925   0.079003   0.080096   0.081204  0.082328     28.31    29.10
Credit Suisse USA, Inc.  22546EB94 10/28/10 10/28/30    100.000    VARIES    3.9512              0.110257   0.110515   0.110777   0.111045  0.111318     39.77    39.96
Credit Suisse USA, Inc.  22546EN59 02/16/11 05/16/12    100.000     0.000    0.7902              0.022083                                                 2.98         
Credit Suisse USA, Inc.  22546TAL5 06/30/11 06/30/16    100.000     0.000    3.0499              0.086013   0.087325   0.088656   0.090008  0.091381     31.20    32.16
Credit Suisse USA, Inc.  22546TEK3 09/29/11 10/01/15    100.000     0.000    1.1278              0.031331   0.031508   0.031685   0.031864  0.032044     11.34    11.47
Credit Suisse USA, Inc.  22546TMY4 02/15/12 08/20/13    100.000     0.000    2.1160              0.058779   0.058796   0.059418   0.060047               18.66    13.72
Credit Suisse USA, Inc.  22546TNB3 03/26/12 03/24/17    100.000     0.000    1.3843                         0.038453   0.038716   0.038984  0.039254     10.60    14.04
Credit Suisse USA, Inc.  22546TQX2 05/07/12 05/05/17    100.000     0.000    1.1036                         0.030658   0.030825   0.030995  0.031166      7.18    11.15
Credit Suisse USA, Inc.  22546TRE3 04/26/12 04/25/16    100.000     0.000    0.9090                         0.025252   0.025366   0.025481  0.025597      6.19     9.17
Credit Suisse USA, Inc.  2254C0NP8 05/17/07 05/17/12    100.000     0.000    5.0303              0.174738                                                23.76         
Credit Suisse USA, Inc.  2254M0BJ4 12/31/10 04/01/13    100.000     0.000    1.3660              0.038336   0.038598   0.038862                          13.90     3.50
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES    2.0492              0.011708   0.011253   0.010793   0.010329  0.010435      4.01     3.75
Credit Suisse USA, Inc.  2254M0DD5 02/28/11 05/28/13    100.000     0.000    1.5362              0.043163   0.043495   0.043829                          15.62     6.44
Credit Suisse USA, Inc.  2254M0GM2 07/29/11 07/29/16    100.000    VARIES    0.9093              0.001648   0.001656   0.001663   0.001671  0.001678       .60      .60
Credit Suisse USA, Inc.  2254M0H58 08/17/11 08/17/17    100.000    VARIES    1.2913              0.026678   0.026850   0.027023   0.026990  0.026956      9.68     9.71
Credit Suisse USA, Inc.  2254M0HK5 08/18/11 08/18/16    100.000    VARIES    1.4617              0.004882   0.004831   0.004779   0.004726  0.004674      1.73     1.70
Credit Suisse USA, Inc.  2254M0HM1 08/26/11 08/26/17    100.000    VARIES    1.7291              0.000364   0.000367   0.000370   0.000374  0.000377       .13      .13
Credit Suisse USA, Inc.  2254M0HP4 09/06/11 09/06/18    100.000    VARIES    1.6149              0.000083   0.000081   0.000079   0.000078  0.000076       .03      .28
Credit Suisse USA, Inc.  2254M0HV1 09/13/11 09/13/16    100.000    VARIES    1.4720              0.003975   0.003932   0.003890   0.003847  0.003804      1.41     1.38
Credit Suisse USA, Inc.  2254M0J64 09/15/11 09/15/14    100.000    VARIES    1.3976              0.015850   0.015796   0.015741   0.015686  0.015631      5.68     5.65
Credit Suisse USA, Inc.  2254M0JB3 09/30/11 09/30/14    100.000    VARIES    1.0663              0.015648   0.015731   0.015815   0.015774  0.015732      5.66     5.68
Credit Suisse USA, Inc.  2254M0MX1 03/30/12 06/30/14    100.000     0.000    0.5250              0.014586   0.014605   0.014644   0.014682  0.014721      3.96     5.28
Credit Suisse USA, Inc.  2254M0RQ1 09/06/12 03/06/14    100.000     5.000    0.4189                                    0.011637   0.011370  0.011103      1.34     4.08
Credit Suisse USA, Inc.  2254M0SJ6 09/28/12 04/01/14    100.000     4.500    0.3788                         0.010523   0.010520   0.010303  0.010085       .98     3.71
Credit Suisse USA, Inc.  2254M0T22 10/23/12 04/23/14    100.000     5.000    0.3589                                    0.009972   0.009741  0.009509       .68     3.52
City of Crest Hill, IL   225903BX0 12/01/10 05/01/23     94.618     4.800    5.4004     3.42     0.009038   0.009282   0.009532   0.009790  0.010054      3.33     3.51
Crosstex Energy, L.P.    22764LAA1 02/10/10 02/15/18     97.907     8.875    9.2505     3.67     0.005796   0.006064   0.006344   0.006638  0.006945      2.21     2.42
Crosstex Energy, L.P.    22764LAB9 02/10/10 02/15/18     97.907     8.875    9.2505     3.67     0.005796   0.006064   0.006344   0.006638  0.006945      2.21     2.42
Da-Lite screen Co., Inc. 233393AD9 03/24/10 04/15/15     97.305    12.500   13.2477     7.54     0.013258   0.014136   0.015072   0.016071  0.017135      5.07     5.76
Commnty Unit SD #429, IL 240847GK3 03/17/10 01/15/12    100.000     0.000    1.2395              0.035001                                                  .49         
Commnty Unit SD #429, IL 240847GL1 03/17/10 01/15/13    100.000     0.000    1.8589              0.052923   0.053415   0.053911                          19.30      .75
De Witt Ford, IL         242015EQ4 10/28/10 12/01/13    100.029    VARIES    2.3589              0.065546   0.065541   0.065536   0.065531               23.60    21.63
Deutsche Bank AG         25152C791 02/28/07 02/29/12    100.000     0.000    5.0466              0.173502                                                10.24         
Deutsche Bank AG         25152CCG9 02/03/05 02/03/12    100.000     0.000    4.3481              0.159749                                                 5.11         
Deutsche Bank AG         25152CHY5 01/05/07 01/06/12    100.000     0.000    5.0371              0.175051                                                  .88         
Deutsche Bank AG         25153Q609 09/28/07 09/30/13    100.000     0.000    4.9679              0.167975   0.172147   0.176424   0.180806               61.99    48.25
Deutsche Bank AG         25154K239 08/12/09 02/12/13    100.000     0.000    2.6600              0.077900   0.078936   0.079986                          28.52     3.28
Deutsche Bank AG         2515A02U6 03/05/10 09/08/14    100.000     0.000    2.3900              0.068812   0.069634   0.070467   0.071309  0.072161     25.11    25.71
Deutsche Bank AG         2515A0AY9 02/20/07 02/20/22*   100.000    VARIES    5.3403              0.136281   0.135448                                      6.81*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Deutsche Bank AG         2515A0C92 04/30/09 04/30/14    100.000    VARIES    3.7553              0.105840   0.105547   0.105247   0.104942  0.104632     38.01    37.80
Deutsche Bank AG         2515A0FC2 09/05/07 09/05/17    100.000    VARIES    5.2125              0.127098   0.125135   0.126257   0.127904  0.129593     45.30    46.14
Deutsche Bank AG         2515A0FN8 11/30/07 05/31/12    100.000     0.000    4.1077              0.134257                                                20.00         
Deutsche Bank AG         2515A0GL1 12/24/07 06/24/13    100.000     0.000    4.1474              0.135768   0.138583   0.141457                          49.42    24.47
Deutsche Bank AG         2515A0HD8 11/29/07 11/29/12    100.000     0.000    4.2034              0.137903   0.140801                                     45.75         
Deutsche Bank AG         2515A0L68 07/23/09 07/23/15    100.000     0.000    4.4552              0.135159   0.138170   0.141248   0.144395  0.147611     50.16    52.42
Deutsche Bank AG         2515A0MH3 01/29/08 01/29/13    100.000     0.000    3.4575              0.108285   0.110157   0.112061                          39.89     3.14
Deutsche Bank AG         2515A0MM2 01/25/08 01/25/13    100.000     0.000    3.4550              0.108199   0.110068   0.111969                          39.88     2.69
Deutsche Bank AG         2515A0NN9 03/20/08 03/22/12    100.000     0.000    3.4000              0.106294                                                 8.61         
Deutsche Bank AG         2515A0NP4 03/20/08 03/22/12    100.000     0.000    2.9999              0.092502                                                 7.49         
Deutsche Bank AG         2515A0NZ2 07/07/08 07/07/14    100.000     0.000    5.6904              0.187048   0.192370   0.197844   0.203473  0.209262     70.17    74.22
Deutsche Bank AG         2515A0PD9 06/25/08 12/27/12    100.000     0.000    4.4215              0.143170   0.146335                                     51.54         
Deutsche Bank AG         2515A0PM9 05/30/08 05/30/12    100.000     0.000    4.0000              0.127632                                                19.02         
Deutsche Bank AG         2515A0R62 11/30/09 11/30/12    100.000     1.683    1.6829              0.046750   0.046750                                     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              0.058852   0.059020   0.059226   0.059486  0.059802     21.27    21.45
Deutsche Bank AG         2515A0RU9 09/17/08 09/16/13    100.000     0.000    3.8059              0.118368   0.120620   0.122916   0.125255               43.50    31.76
Deutsche Bank AG         2515A0S61 09/23/09 09/24/12    100.000     0.000    2.1657              0.062811   0.063491                                     16.64         
Deutsche Bank AG         2515A0VZ3 12/03/09 12/05/12    100.000     0.000    1.7995              0.051815   0.052281                                     17.39         
Deutsche Bank AG         2515A0Y23 03/24/10 03/25/13    100.000     0.000    1.8011              0.051400   0.051863   0.052330                          18.68     4.40
Diamond Resorts Corp.    25272PAA0 08/13/10 08/15/18     97.513    12.000   12.5004     2.78     0.005949   0.006321   0.006716   0.007136  0.007582      2.31     2.61
Diamond Resorts Corp.    25272PAB8 08/13/10 08/15/18     97.513    12.000   12.5004     2.78     0.005949   0.006321   0.006716   0.007136  0.007582      2.31     2.61
Diamond Resorts Corp.    25272PAC6 08/13/10 08/15/18     97.513    12.000   12.5004     2.78     0.005949   0.006321   0.006716   0.007136  0.007582      2.31     2.61
Domtar Corporation       257559AB0 11/19/07 12/01/13     93.400     5.375    6.7237    42.13     0.032823   0.033926   0.035067   0.036246               12.08    11.78
Domtar Corporation       257559AG9 06/09/09 06/01/17     96.157    10.750   11.4987     8.86     0.011246   0.011892   0.012576   0.013299  0.014064      4.20     4.70
Douglas Cnty SD #302, IL 258741BP1 11/30/10 12/01/13     99.896    VARIES    2.3941              0.066383   0.066413   0.066443   0.066474               23.91    21.93
Douglas Cnty SD #302, IL 258741BQ9 11/30/10 12/01/14    107.319    VARIES    2.9881              0.087407   0.086700   0.085982   0.085254  0.084515     31.30    30.78
Douglas Cnty SD #302, IL 258741BR7 11/30/10 12/01/15    107.706    VARIES    3.3886              0.099758   0.099095   0.098421   0.097735  0.097038     35.75    35.27
Douglas Cnty SD #302, IL 258741BS5 11/30/10 12/01/16    109.259    VARIES    3.5892              0.107219   0.106526   0.105821   0.105103  0.104372     38.43    37.92
Downtown Dallas Dev Auth 261149BE7 11/07/07 08/15/12     77.223     0.000    5.4882   194.71     0.144417   0.148380                                     33.06         
Downtown Dallas Dev Auth 261149BF4 11/07/07 08/15/13     72.742     0.000    5.5885   187.11     0.139033   0.142918   0.146912   0.151017               51.82    33.65
Downtown Dallas Dev Auth 261149BG2 11/07/07 08/15/14     68.074     0.000    5.7585   181.01     0.134910   0.138795   0.142791   0.146903  0.151132     50.34    53.28
Downtown Dallas Dev Auth 261149BH0 11/07/07 08/15/15     63.688     0.000    5.8886   173.59     0.129686   0.133504   0.137435   0.141482  0.145647     48.43    51.32
Downtown Dallas Dev Auth 261149BJ6 11/07/07 08/15/16     59.688     0.000    5.9687   165.15     0.123557   0.127245   0.131042   0.134953  0.138980     46.16    48.96
Downtown Dallas Dev Auth 261149BK3 11/07/07 08/15/17     55.746     0.000    6.0689   157.12     0.117767   0.121340   0.125022   0.128816  0.132725     44.03    46.74
Downtown Dallas Dev Auth 261149BL1 11/07/07 08/15/18     52.073     0.000    6.1490   148.93     0.111786   0.115223   0.118765   0.122417  0.126180     41.81    44.42
Downtown Dallas Dev Auth 261149BM9 11/07/07 08/15/19     48.734     0.000    6.1989   140.64     0.105661   0.108936   0.112312   0.115793  0.119382     39.53    42.02
Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20     45.395     0.000    6.2791   132.90     0.099986   0.103126   0.106363   0.109703  0.113147     37.43    39.81
DuPage County SD #12, IL 262777CT0 06/28/12 01/01/16    100.000    VARIES    1.8474              0.051317   0.051325   0.051800   0.051321                9.39    18.56
DuPage County SD #12, IL 262777CU7 06/28/12 01/01/17    100.000    VARIES    1.9976              0.055490   0.055499   0.056054   0.055494               10.16    20.08
DuPage County SD #12, IL 262777CV5 06/28/12 01/01/18    100.000    VARIES    2.3971              0.066588   0.066601   0.067400   0.066596               12.19    24.12
DuPage County SD #12, IL 262777CW3 06/28/12 01/01/19    100.000    VARIES    2.6969              0.074914   0.074931   0.075942   0.074926               13.71    27.16
DuPage County SD #12, IL 262777CX1 06/28/12 01/01/20    100.000    VARIES    2.8968              0.080468   0.080488   0.081653   0.080483               14.73    29.18
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21    100.000    VARIES    3.2464              0.090178   0.090203   0.091667   0.090200               16.51    32.74
DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22    100.000    VARIES    3.7455              0.104044   0.104077   0.106026   0.104077               19.05    37.82
Duarte, Calif Redev Agy  263594AB9 06/16/92 12/01/12     16.484     0.000    9.0085   757.69     0.229132   0.239453                                     77.47         
Dune Energy, Inc.        265338AD5 12/22/11 12/15/16    100.000    14.500    N/A                 0.381481   0.401157   0.422686   0.445370  0.469271    141.53   157.00
Dynegy Holdings, Inc.    26816LBA9 12/01/09 06/01/15     85.000     7.500   11.2291    46.59     0.070671   0.074639   0.078830   0.083256  0.087930     26.40    29.45
Dynegy Holdings, Inc.    26816LBB7 12/01/09 06/01/15     85.000     7.500   11.2291    46.59     0.070671   0.074639   0.078830   0.083256  0.087930     26.40    29.45
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000    6.4698   221.79     0.092094   0.095073   0.098149   0.101324  0.104602     34.24    36.49
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000    6.4999   208.14     0.086525   0.089337   0.092240   0.095238  0.098333     32.17    34.29
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000    6.5100   195.23     0.081190   0.083832   0.086561   0.089379  0.092288     30.19    32.18
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000    6.5300   183.06     0.076186   0.078674   0.081242   0.083895  0.086634     28.33    30.21
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000    6.5498   171.58     0.071462   0.073803   0.076220   0.078716  0.081294     26.58    28.35
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000    6.5600   160.81     0.067004   0.069201   0.071471   0.073815  0.076237     24.92    26.58
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000    6.5699   150.69     0.062811   0.064874   0.067005   0.069206  0.071480     23.36    24.92
Eastern Comm College, IA 276540XT3 06/18/09 06/01/12    103.664     4.000    2.7007              0.075502                                                11.33         
Eastern Comm College, IA 276540XU0 06/18/09 06/01/13    103.700     4.000    3.0004              0.084558   0.084160   0.083756                          30.35    12.56
Eastern Comm College, IA 276540XV8 06/01/09 06/01/14    103.173     4.000    3.3062              0.093358   0.093064   0.092766   0.092463  0.092155     33.54    33.32
Eastern Comm College, IA 276540XW6 06/01/09 06/01/15    102.124     4.000    3.6031              0.101384   0.101208   0.101030   0.100848  0.100664     36.46    36.33
Eksportfinans ASA        282645UV0 05/03/10 02/05/16    100.000     0.000    2.8500              0.082032   0.083201   0.084387   0.085589  0.086809     30.09    30.95
EL Paso Corporation      28336LAA7 02/28/01 02/28/21     45.289     0.000    4.0000   242.82     0.075432   0.076104   0.078913   0.079179  0.082101     28.16    29.24
EL Paso Corporation      28336LAC3 02/28/01 02/28/21     45.289     0.000    4.0000   242.82     0.075432   0.076104   0.078913   0.079179  0.082101     28.16    29.24
EL Paso Corporation      28336LBS7 12/12/08 12/12/13     88.909    12.000   15.2500    57.91     0.067288   0.072419   0.077941   0.083884               25.35    27.65
EL Paso Corporation      28336LBT5 02/09/09 02/15/16     95.535     8.250    9.1255    15.13     0.016278   0.017020   0.017797   0.018609  0.019458      6.20     6.78
Electronic Data SYS Corp 285661AB0 10/10/01 10/10/21     77.941    VARIES    5.3200              0.187798   0.192369   0.198144   0.201879  0.207962     70.43    73.82
Electronic Data SYS Corp 285661AE4 06/30/03 07/15/23    100.000    VARIES    5.7999              0.192326   0.194241   0.196211   0.198239  0.200258     70.23    71.67
Electronic Data SYS Corp 285661AF1 06/30/03 07/15/23    100.000    VARIES    5.7999              0.192326   0.194241   0.196211   0.198239  0.200258     70.23    71.67
Encore Acquisition Co.   29255WAJ9 04/27/09 05/01/16     92.228     9.500   11.1255    23.03     0.027740   0.029283   0.030912   0.032631  0.034446     10.45    11.65
Essex Cnty Util Auth     296816AY7 03/30/99 04/01/12     60.121     0.000    3.9516   389.10     0.107640                                                 9.69         
Euronet Worldwide, Inc.  298736AE9 10/04/05 10/15/25    100.000    VARIES    8.5029              0.321422   0.331022   0.342903   0.350887  0.363147    121.07   128.20
Euronet Worldwide, Inc.  298736AF6 10/04/05 10/15/25    100.000    VARIES    8.5029              0.321422   0.331022   0.342903   0.350887  0.363147    121.07   128.20
European Investment Bank 298785DW3 03/10/06 03/10/21     44.672     0.000    5.4449   163.64     0.090792   0.093264   0.095803   0.098411  0.101090     33.69    35.55
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              0.122253   0.122741   0.122509   0.122272  0.122029     44.11    44.05
FPL Group Inc.           302570BK1 09/21/10 09/01/15     98.500    VARIES    2.7001              0.074421   0.074713   0.075009   0.075309  0.075613     26.91    27.13
FPL Group Inc.           302571609 05/26/09 06/01/14     98.500    VARIES    4.3841              0.122253   0.122741   0.122509   0.122272  0.122029     44.11    44.05
Freddie Mac              3128X0AS8 10/03/02 01/02/13     63.710     0.000    4.4476   319.75     0.115657   0.118229   0.120858                          43.03      .12
Freddie Mac              3128X0AT6 10/03/02 01/02/22     36.810     0.000    5.2599   226.81     0.084707   0.086935   0.089222   0.091568  0.093976     31.70    33.39
Freddie Mac              3128X0AU3 10/03/02 01/02/30     23.710     0.000    5.3523   149.29     0.055958   0.057456   0.058993   0.060572  0.062193     20.96    22.09
Freddie Mac              3128X0AV1 10/03/02 04/15/32     21.010     0.000    5.3530   132.32     0.050348   0.051695   0.053079   0.054500  0.055958     18.58    19.58
Freddie Mac              3128X0AW9 10/03/02 06/15/32     20.810     0.000    5.3554   131.14     0.050346   0.051694   0.053079   0.054500  0.055959     18.41    19.41
Freddie Mac              3128X0AX7 10/03/02 09/15/32     20.510     0.000    5.3601   129.39     0.049029   0.050343   0.051692   0.053078  0.054500     18.17    19.16
Freddie Mac              3128X0AY5 10/03/02 12/15/32     20.210     0.000    5.3650   127.64     0.049025   0.050340   0.051690   0.053077  0.054501     17.93    18.90
Freddie Mac              3128X0AZ2 10/03/02 01/02/34     19.160     0.000    5.3582   120.81     0.045292   0.046506   0.047752   0.049031  0.050345     16.96    17.88
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X2SF3 01/30/04 04/01/12     70.491     0.000    4.3258   284.50     0.117620                                                10.59         
Freddie Mac              3128X2SG1 01/30/04 10/01/12     68.379     0.000    4.4321   283.92     0.117836   0.120447                                     32.29         
Freddie Mac              3128X2SH9 01/30/04 04/01/13     66.275     0.000    4.5362   282.78     0.117807   0.120479   0.123212                          43.38    11.09
Freddie Mac              3128X2SJ5 01/30/04 10/01/13     64.227     0.000    4.6310   280.80     0.117384   0.120102   0.122883   0.125728               43.24    33.69
Freddie Mac              3128X2SK2 01/30/04 04/01/14     62.210     0.000    4.7217   278.28     0.116716   0.119471   0.122292   0.125179  0.128134     43.02    45.07
Freddie Mac              3128X2SL0 01/30/04 10/01/14     60.256     0.000    4.8040   275.11     0.115732   0.118512   0.121358   0.124273  0.127258     42.67    44.74
Freddie Mac              3128X2SM8 01/30/04 04/01/15     58.361     0.000    4.8793   271.43     0.114494   0.117288   0.120149   0.123080  0.126083     42.23    44.32
Freddie Mac              3128X2SN6 01/30/04 10/01/15     56.535     0.000    4.9468   267.27     0.113015   0.115810   0.118674   0.121610  0.124618     41.70    43.79
Freddie Mac              3128X2SP1 01/30/04 04/01/16     54.741     0.000    5.0126   262.90     0.111431   0.114224   0.117087   0.120021  0.123029     41.13    43.21
Freddie Mac              3128X2SQ9 01/30/04 10/01/16     52.987     0.000    5.0758   258.32     0.109738   0.112523   0.115379   0.118307  0.121310     40.51    42.60
Freddie Mac              3128X2SR7 01/30/04 04/01/17     51.299     0.000    5.1327   253.46     0.107893   0.110662   0.113502   0.116415  0.119402     39.84    41.92
Freddie Mac              3128X2SS5 01/30/04 10/01/17     49.661     0.000    5.1861   248.43     0.105955   0.108703   0.111522   0.114413  0.117380     39.14    41.20
Freddie Mac              3128X2ST3 01/30/04 04/01/18     48.064     0.000    5.2374   243.30     0.103961   0.106683   0.109477   0.112344  0.115286     38.41    40.45
Freddie Mac              3128X2SU0 01/30/04 10/01/18     46.530     0.000    5.2834   238.04     0.101878   0.104570   0.107332   0.110167  0.113078     37.65    39.67
Freddie Mac              3128X2SV8 01/30/04 04/01/19     45.040     0.000    5.3272   232.72     0.099759   0.102416   0.105144   0.107945  0.110820     36.88    38.87
Freddie Mac              3128X2SW6 01/30/04 10/01/19     43.600     0.000    5.3679   227.36     0.097603   0.100222   0.102912   0.105674  0.108511     36.09    38.05
Freddie Mac              3128X2SX4 01/30/04 04/01/20     42.215     0.000    5.4047   221.96     0.095412   0.097991   0.100639   0.103358  0.106151     35.28    37.22
Freddie Mac              3128X2SY2 01/30/04 10/01/20     40.880     0.000    5.4384   216.57     0.093205   0.095740   0.098343   0.101017  0.103764     34.47    36.37
Freddie Mac              3128X34E0 03/01/05 03/28/13     70.400     0.000    4.3936   243.52     0.114343   0.116855   0.119422                          42.09    10.39
Freddie Mac              3128X44Z1 04/20/06 06/28/12     72.625     0.000    5.2343   248.67     0.141691                                                25.08         
Freddie Mac              3128X4AC5 04/19/05 04/15/14     65.973     0.000    4.6809   239.84     0.115823   0.118534   0.121308   0.124148  0.127053     42.60    44.62
Freddie Mac              3128X4AD3 04/19/05 12/15/14     63.722     0.000    4.7214   233.97     0.114017   0.116709   0.119464   0.122284  0.125171     41.62    43.61
Freddie Mac              3128X4AE1 04/19/05 04/15/17     56.285     0.000    4.8518   213.25     0.103537   0.106048   0.108621   0.111256  0.113955     38.11    39.98
Freddie Mac              3128X4GD7 08/04/05 06/01/12     73.943     0.000    4.4715   242.35     0.121493                                                18.22         
Freddie Mac              3128X4GG0 08/04/05 12/01/12     72.215     0.000    4.4929   237.97     0.119380   0.122062                                     39.88         
Freddie Mac              3128X4GK1 08/04/05 06/01/13     70.468     0.000    4.5226   233.96     0.117478   0.120134   0.122851                          42.93    18.43
Freddie Mac              3128X4HU8 08/12/05 01/10/13     71.011     0.000    4.6724   243.66     0.121102   0.123932   0.126827                          45.08     1.14
Freddie Mac              3128X4S77 03/24/06 06/20/16     59.540     0.000    5.1280   202.09     0.113422   0.116330   0.119313   0.122372  0.125510     41.42    43.57
Freddie Mac              3128X4U41 03/28/06 04/09/14     66.671     0.000    5.1122   224.99     0.125170   0.128370   0.131651   0.135016  0.138467     46.17    48.56
Freddie Mac              3128X52H0 04/03/07 04/02/37     21.177     0.000    5.2421    58.95     0.038917   0.039937   0.040984   0.042058  0.043161     14.38    15.14
Freddie Mac              3128X52U1 04/04/07 07/31/14     70.210     0.000    4.8862   180.81     0.117429   0.120298   0.123237   0.126247  0.129332     43.67    45.83
Freddie Mac              3128X52W7 04/05/07 01/10/12     79.775     0.000    4.7983   201.08     0.130165                                                 1.17         
Freddie Mac              3128X53Z9 04/13/07 04/30/13     74.533     0.000    4.9196   192.11     0.127049   0.130174   0.133376                          46.69    15.87
Freddie Mac              3128X54N5 04/18/07 12/30/14     68.522     0.000    4.9690   177.98     0.119131   0.122090   0.125124   0.128232  0.131418     43.43    45.61
Freddie Mac              3128X55E4 05/04/07 05/04/37     16.728     0.000    6.0499    53.55     0.036760   0.037872   0.039018   0.040198  0.041414     13.56    14.40
Freddie Mac              3128X55H7 04/27/07 11/30/12     76.622     0.000    4.8161   191.26     0.127564   0.130635                                     42.52         
Freddie Mac              3128X55L8 05/01/07 05/10/12     78.630     0.000    4.8418   196.76     0.131316                                                16.94         
Freddie Mac              3128X5DU9 07/11/06 08/15/12     72.660     0.000    5.3088   241.38     0.139941   0.143655                                     32.02         
Freddie Mac              3128X5DV7 07/11/06 05/15/12     73.645     0.000    5.3020   244.32     0.143476                                                19.23         
Freddie Mac              3128X5ES3 06/29/06 06/29/12     72.129     0.000    5.5200   252.15     0.149216                                                26.56         
Freddie Mac              3128X5FD5 07/13/06 12/28/12     70.884     0.000    5.3995   239.70     0.142206   0.146045                                     51.46         
Freddie Mac              3128X5FH6 07/19/06 12/31/12     71.004     0.000    5.3796   238.40     0.141709   0.145520                                     51.56         
Freddie Mac              3128X5FS2 07/21/06 06/28/13     69.242     0.000    5.3695   231.59     0.137757   0.141456   0.145253                          50.28    25.71
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X5HG6 08/10/06 10/31/12     72.515     0.000    5.2285   232.96     0.137931   0.141537                                     41.89         
Freddie Mac              3128X5LH9 09/29/06 02/29/12     77.393     0.000    4.7840              0.128359                                                 7.57         
Freddie Mac              3128X5LK2 10/02/06 10/02/34     24.784     0.000    5.0446    74.07     0.044553   0.045677   0.046829   0.048010  0.049221     16.44    17.28
Freddie Mac              3128X5MY1 10/25/06 05/30/14     68.360     0.000    5.0693   202.61     0.124251   0.127400   0.130629   0.133940  0.137335     45.49    47.83
Freddie Mac              3128X5P69 03/09/07 09/15/15     66.760     0.000    4.8010   171.24     0.110310   0.112958   0.115669   0.118446  0.121289     40.76    42.74
Freddie Mac              3128X5Q43 03/14/07 12/01/12     76.253     0.000    4.8003   194.96     0.127164   0.130217                                     42.51         
Freddie Mac              3128X5Q76 03/14/07 06/01/12     78.159     0.000    4.7812   198.95     0.129712                                                19.46         
Freddie Mac              3128X5R26 03/14/07 06/01/13     74.414     0.000    4.8117   190.76     0.124459   0.127453   0.130520                          45.53    19.58
Freddie Mac              3128X5UN6 12/19/06 11/28/12     75.500     0.000    4.7858   202.99     0.126799   0.129833                                     42.01         
Freddie Mac              3128X6AX4 05/24/07 09/30/14     69.050     0.000    5.1017   180.32     0.121836   0.124944   0.128131   0.131400  0.134752     44.99    47.32
Freddie Mac              3128X6EC6 06/14/07 08/31/12     75.547     0.000    5.4515   209.62     0.141924   0.144208                                     34.91         
Freddie Mac              3128X6EQ5 06/22/07 06/22/37*    12.693     0.000    7.0001    46.37     0.033638                                                 5.75*        
Freddie Mac              3128X6FL5 07/13/07 07/13/37*    12.693     0.000    7.0001    45.67     0.032501   0.033638                                      6.44*        
Freddie Mac              3128X6GT7 07/10/07 09/30/14     67.455     0.000    5.5250   186.47     0.130324   0.133924   0.137624   0.141425  0.145332     48.23    50.93
Freddie Mac              3128X6HU3 07/20/07 09/28/18     54.270     0.000    5.5370   149.33     0.104938   0.107843   0.110829   0.113897  0.117050     38.85    41.03
Freddie Mac              3128X6JN7 07/31/07 08/01/12     77.040     0.000    5.2825   199.69     0.139282   0.142961                                     29.91         
Freddie Mac              3128X6KX3 08/22/07 02/28/12     80.662     0.000    4.8063   185.86     0.129659                                                 7.52         
Freddie Mac              3128X6NN2 10/02/07 05/10/13     77.376     0.000    4.6276   166.04     0.120020   0.122797   0.125639                          43.99    16.21
Freddie Mac              3128X6PP5 10/11/07 07/02/15     68.530     0.000    4.9512   157.25     0.113096   0.115896   0.118765   0.121705  0.124718     42.23    44.35
Freddie Mac              3128X6QB5 10/19/07 08/31/15     68.362     0.000    4.8939   154.16     0.110807   0.112284   0.116939   0.117847  0.122731     41.58    43.56
Freddie Mac              3128X6QE9 10/19/07 08/30/13     76.143     0.000    4.7019   164.32     0.117066   0.119818   0.123309   0.125518               44.12    30.12
Freddie Mac              3128X6QQ2 11/01/07 06/28/13     77.875     0.000    4.4676   157.47     0.116143   0.118737   0.121390                          42.29    21.49
Freddie Mac              3128X6RF5 12/18/07 02/15/12     84.080     0.000    4.2125   154.16     0.114603                                                 5.04         
Freddie Mac              3128X6TL0 12/20/07 08/15/13     80.325     0.000    3.9128   135.85     0.100585   0.102553   0.104559   0.106605               37.11    23.79
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000    4.9802    50.10     0.038502   0.039461   0.040443   0.041450  0.042483     14.05    14.76
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000    4.4860    39.71     0.037613   0.038457   0.039320   0.040202  0.041103     13.77    14.40
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000    4.3499    39.34     0.037807   0.038630   0.039470   0.040328  0.041205     13.84    14.44
Freddie Mac              3128X7A61 06/05/08 10/10/14     76.930     0.000    4.1743   122.43     0.102438   0.104576   0.106759   0.108987  0.111262     37.61    39.20
Freddie Mac              3128X7LV4 05/13/08 07/01/12     87.140     0.000    3.3575   112.09     0.091726                                                16.51         
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000    5.1394    42.45     0.037205   0.038161   0.039141   0.040147  0.041179     13.57    14.27
Freddie Mac              3128X7Y65 09/11/08 02/01/12     89.190     0.000    3.4039   105.28     0.090952                                                 2.82         
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000    2.9999    38.19     0.036744   0.037295   0.037854   0.038422  0.038999     13.48    13.89
Freddie Mac              3128X97G9 04/16/10 02/29/12     98.020     0.000    1.0708    18.09     0.028944                                                 1.71         
Freddie Mac              3128X97H7 04/16/10 05/31/12     97.410     0.000    1.2393    20.82     0.033653                                                 5.08         
Freddie Mac              3128X9DH0 09/15/09 03/01/12     96.062     0.000    1.6390    36.67     0.045159                                                 2.71         
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000    4.5438    30.27     0.041049   0.041981   0.042935   0.043911  0.044908     15.15    15.84
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000    4.5433    29.91     0.041049   0.041982   0.042935   0.043911  0.044908     14.98    15.66
Freddie Mac              3128X9P46 03/25/10 02/01/12     98.364     0.000    0.8935    15.62     0.024709                                                  .74         
Freddie Mac              3128X9V31 03/12/10 02/15/12     98.173     0.000    0.9600    17.10     0.026542                                                 1.17         
Freddie Mac              3128X9ZU7 03/10/10 08/01/12     96.790     0.000    1.3686    24.18     0.037504   0.037760                                      7.92         
Freddie Mac              312902LX5 12/17/99 12/17/29     14.255     0.000    6.6001   168.98     0.056968   0.058848   0.060790   0.062796  0.064868     20.90    22.30
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              312902VG1 04/25/00 01/04/21     25.643     0.000    6.6857   296.56     0.099430   0.102754   0.106189   0.109738  0.113407     37.59    40.14
Freddie Mac              312902VH9 04/25/00 01/04/22     24.042     0.000    6.6795   277.68     0.093074   0.096182   0.099395   0.102714  0.106145     35.18    37.57
Freddie Mac              312902VJ5 04/25/00 01/04/23     22.536     0.000    6.6749   260.03     0.087139   0.090048   0.093053   0.096159  0.099368     32.94    35.18
Freddie Mac              312902VK2 04/25/00 01/04/24     21.145     0.000    6.6664   243.55     0.081582   0.084301   0.087111   0.090014  0.093015     30.84    32.93
Freddie Mac              312902VL0 04/25/00 01/04/25     20.007     0.000    6.6235   228.35     0.076338   0.078867   0.081478   0.084177  0.086965     28.85    30.79
Freddie Mac              312902VM8 04/25/00 01/04/26     18.780     0.000    6.6160   214.01     0.071517   0.073883   0.076327   0.078852  0.081460     27.02    28.84
Freddie Mac              312902VN6 04/25/00 01/04/27     17.654     0.000    6.6033   200.64     0.067009   0.069222   0.071507   0.073868  0.076307     25.32    27.02
Freddie Mac              312902VS5 04/25/00 01/04/12     46.161     0.000    6.7212   537.85     0.180630                                                  .54         
Freddie Mac              312902VT3 04/25/00 01/04/13     43.203     0.000    6.7221   503.48     0.169097   0.174780   0.180655                          63.94      .54
Freddie Mac              312902VU0 04/25/00 01/04/14     40.436     0.000    6.7227   471.29     0.158289   0.163610   0.169109   0.174794  0.180669     59.86    63.95
Freddie Mac              312902VV8 04/25/00 01/04/18     31.141     0.000    6.7034   361.49     0.121302   0.125367   0.129569   0.133912  0.138401     45.86    48.99
Freddie Mac              312902VW6 04/25/00 01/04/19     29.163     0.000    6.7017   338.41     0.113547   0.117351   0.121284   0.125348  0.129548     42.93    45.86
Freddie Mac              312902VX4 04/25/00 01/04/20     27.313     0.000    6.6997   316.81     0.106289   0.109849   0.113529   0.117332  0.121263     40.19    42.92
Freddie Mac              312902WK1 04/25/00 01/04/15     37.975     0.000    6.6992   440.43     0.147762   0.152712   0.157827   0.163114  0.168578     55.87    59.67
Freddie Mac              312902WL9 04/25/00 01/04/16     35.607     0.000    6.6893   412.11     0.138194   0.142816   0.147593   0.152529  0.157631     52.25    55.80
Freddie Mac              312902WM7 04/25/00 01/04/17     33.256     0.000    6.7048   386.16     0.129587   0.133931   0.138421   0.143062  0.147858     49.00    52.34
Freddie Mac              312923CN3 01/10/01 08/17/12     61.750     1.000    5.5038   355.13     0.118496   0.121757                                     27.37         
Federal Home Loan Banks  313371AN6 10/19/10 10/19/15*   100.000    VARIES    1.5154              0.041308   0.041358                                      8.18*        
Federal Home Loan Banks  313372KD5 02/03/11 02/28/12    100.000     0.320    0.3199              0.008889                                                  .51         
Federal Home Loan Banks  3133734F6 04/15/11 04/15/16    100.000    VARIES    2.5160              0.070489   0.071096   0.071403   0.071714  0.071722     25.55    25.79
Federal Home Loan Banks  3133736X5 03/30/11 03/30/16    100.000    VARIES    2.4313              0.068065   0.068598   0.068868   0.069141  0.069148     24.67    24.87
Federal Home Loan Banks  3133737L0 04/13/11 04/13/17    100.000    VARIES    2.7757              0.077849   0.078606   0.079065   0.079530  0.079693     28.26    28.60
Federal Home Loan Banks  313373B84 04/13/11 04/13/17    100.000    VARIES    2.7757              0.077849   0.078606   0.079065   0.079530  0.079693     28.26    28.60
Federal Home Loan Banks  313373D74 04/21/11 04/21/16    100.000    VARIES    2.4737              0.069277   0.069847   0.070136   0.070427  0.070435     25.10    25.32
Federal Home Loan Banks  313373DU3 04/25/11 04/25/14    100.000    VARIES    1.3833              0.038564   0.038702   0.038703   0.038704  0.038566     13.92    13.92
Federal Home Loan Banks  313373NU2 04/28/11 04/28/15    100.000    VARIES    2.3656              0.066194   0.066683   0.066850   0.067018  0.066859     23.96    24.10
Federal Home Loan Banks  313373YM8 05/26/11 11/26/14    100.000    VARIES    1.7361              0.048513   0.048705   0.048802   0.048804  0.048709     17.51    17.57
Federal Home Loan Banks  313374CU2 07/06/11 07/06/18    100.000    VARIES    2.0867              0.057966   0.058352   0.058742   0.058939  0.059138     21.07    21.25
Federal Home Loan Banks  313374N30 07/20/11 07/20/16*   100.000    VARIES    1.7367              0.048243                                                  .92*        
Federal Home Loan Banks  313374N89 07/19/11 07/19/16*   100.000    VARIES    1.8050              0.050140                                                  .90*        
Federal Home Loan Banks  313374NG1 07/19/11 07/19/16*   100.000    VARIES    1.7626              0.048963                                                  .88*        
Federal Home Loan Banks  313374NV8 07/19/11 07/19/16*   100.000    VARIES    1.8158              0.050440                                                  .91*        
Federal Home Loan Banks  313374PK0 07/27/11 07/27/16*   100.000    VARIES    1.9074              0.052985                                                 1.38*        
Federal Home Loan Banks  313374PM6 07/19/11 07/19/16*   100.000    VARIES    1.8551              0.051532                                                  .93*        
Federal Home Loan Banks  313375LW5 09/01/11 09/04/12    100.000     0.000    0.2198              0.006107   0.006113                                      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                           3.10     1.16
Federal Home Loan Banks  313376LA1 11/30/11 12/20/12    100.000     0.000    0.2000              0.005556   0.005562                                      1.94         
Federal Home Loan Banks  313376MH5 12/12/11 01/08/13    100.000     0.000    0.2098              0.005831   0.005831   0.005838                           2.10      .04
Federal Home Loan Banks  313378RZ6 03/27/12 03/27/17*   100.000    VARIES    1.3815                         0.038377                                      1.15*        
Federal Home Loan Banks  313378SZ5 04/10/12 04/10/17*   100.000    VARIES    1.3942                         0.038730                                      1.16*        
Federal Home Loan Banks  313379HU6 06/05/12 06/05/17    100.000    VARIES    0.8042                         0.022341   0.022180   0.022157  0.022162      4.60     7.98
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134A1BU3 09/25/96 06/01/16     23.214     0.000    7.5580   488.54     0.150356   0.156038   0.161935   0.168054  0.174405     55.50    59.77
Freddie Mac              3134A1CT5 10/21/96 09/15/16     23.550     0.000    7.3996   475.03     0.142931   0.148220   0.153703   0.159390  0.165287     53.55    57.58
Freddie Mac              3134A1DL1 11/01/96 02/01/16     25.038     0.000    7.3237   495.18     0.147183   0.152573   0.158160   0.163951  0.169955     55.60    59.75
Freddie Mac              3134A1FK1 11/20/96 09/03/19     20.641     0.000    7.0454   381.55     0.112469   0.116431   0.120533   0.124779  0.129174     42.15    45.18
Freddie Mac              3134A1H60 10/22/97 06/03/24     16.813     0.000    6.8126   267.00     0.081910   0.084700   0.087585   0.090569  0.093654     30.15    32.24
Freddie Mac              3134A1HH6 12/23/96 12/01/15     26.483     0.000    7.1396   494.99     0.149799   0.155147   0.160686   0.166422  0.172363     55.22    59.23
Freddie Mac              3134A1HU7 12/27/96 12/02/19     19.720     0.000    7.2067   373.66     0.113620   0.117714   0.121955   0.126350  0.130903     41.88    44.95
Freddie Mac              3134A1JD3 12/31/96 12/01/14     28.804     0.000    7.0673   528.65     0.159392   0.165024   0.170856   0.176893  0.183144     58.74    62.96
Freddie Mac              3134A1MX5 02/12/97 02/01/14     30.030     0.000    7.2159   562.48     0.167890   0.173948   0.180224   0.186726  0.193463     63.38    68.04
Freddie Mac              3134A1MY3 02/12/97 02/01/20     19.238     0.000    7.3061   367.54     0.110278   0.114306   0.118482   0.122810  0.127296     41.66    44.75
Freddie Mac              3134A1MZ0 02/12/97 03/01/16     25.716     0.000    7.2560   486.00     0.146253   0.151559   0.157057   0.162755  0.168660     54.90    58.96
Freddie Mac              3134A1NA4 02/12/97 01/02/19     20.877     0.000    7.2857   397.08     0.118326   0.122637   0.127104   0.131734  0.136533     44.94    48.28
Freddie Mac              3134A1X39 12/11/97 06/01/15     33.207     0.000    6.4099   474.07     0.142773   0.147349   0.152071   0.156945  0.161975     52.50    55.92
Freddie Mac              3134A2G77 12/28/98 11/15/28     20.230     0.000    5.4198   203.37     0.060654   0.062298   0.063986   0.065720  0.067501     22.28    23.51
Freddie Mac              3134A2HF8 06/30/98 11/24/14     38.078     0.000    5.9744   462.47     0.139090   0.143245   0.147524   0.151931  0.156470     51.13    54.23
Freddie Mac              3134A2HG6 06/30/98 12/11/25     19.896     0.000    5.9699   241.36     0.072778   0.074950   0.077188   0.079492  0.081865     26.68    28.30
Freddie Mac              3134A2NQ7 07/30/98 08/15/14     37.992     0.000    6.1246   473.84     0.141965   0.146313   0.150793   0.155411  0.160170     53.09    56.39
Freddie Mac              3134A3D29 09/09/99 08/15/27     14.928     0.000    6.9258   195.95     0.064723   0.066964   0.069283   0.071682  0.074165     24.32    26.04
Freddie Mac              3134A3ZU3 08/02/99 12/14/29     15.469     0.000    6.2410   177.09     0.057350   0.059139   0.060985   0.062888  0.064850     21.03    22.36
Freddie Mac              3134G14R2 03/14/11 03/14/36*    24.535     0.000    5.6999    11.27     0.039954                                                 2.92*        
Freddie Mac              3134G14S0 03/14/11 03/14/36*    24.535     0.000    5.6999    11.27     0.039954                                                 2.92*        
Freddie Mac              3134G16F6 03/07/11 03/07/36*    25.758     0.000    5.4999    11.69     0.040434                                                 2.67*        
Freddie Mac              3134G1A38 12/09/10 12/09/15*   100.000    VARIES    1.5522              0.042263                                                 6.68*        
Freddie Mac              3134G1A79 12/03/10 12/03/15*   100.000    VARIES    1.5667              0.042782                                                 2.65*        
Freddie Mac              3134G1BU7 04/23/10 02/15/12     98.295     0.000    0.9516    15.89     0.026309                                                 1.16         
Freddie Mac              3134G1C85 12/23/10 12/23/15*   100.000    VARIES    1.6590              0.044998                                                 7.74*        
Freddie Mac              3134G1EA8 05/10/10 06/10/15     88.082     0.000    2.5118    36.86     0.063937   0.064740   0.065553   0.066376  0.067210     23.20    23.78
Freddie Mac              3134G1EF7 05/25/10 11/30/12     96.828     0.000    1.2849    20.10     0.034662   0.034885                                     11.62         
Freddie Mac              3134G1F25 12/17/10 12/17/15*   100.000    VARIES    1.7374              0.047041                                                 3.58*        
Freddie Mac              3134G1F33 12/22/10 12/22/15*   100.000    VARIES    1.7690              0.047840                                                 8.18*        
Freddie Mac              3134G1F41 12/15/10 12/15/15*   100.000    VARIES    1.7374              0.047041                                                 3.48*        
Freddie Mac              3134G1F58 12/22/10 12/22/15*   100.000    VARIES    1.7374              0.047041                                                 8.04*        
Freddie Mac              3134G1F66 12/23/10 12/23/15*   100.000    VARIES    1.7643              0.047661                                                 8.20*        
Freddie Mac              3134G1G65 12/30/10 12/30/15*   100.000    VARIES    1.8431              0.049667                                                 8.89*        
Freddie Mac              3134G1GH1 07/01/10 05/15/13     95.662     0.000    1.5498    22.42     0.042066   0.042392   0.042720                          15.23     5.72
Freddie Mac              3134G1H31 01/13/11 01/13/34*    32.115     0.000    4.9999    15.71     0.045719                                                  .55*        
Freddie Mac              3134G1H56 12/29/10 12/29/15*   100.000    VARIES    1.8431              0.049667                                                 8.84*        
Freddie Mac              3134G1K78 12/30/10 12/30/15*   100.000    VARIES    1.7379              0.046996                                                 8.41*        
Freddie Mac              3134G1K94 12/30/10 12/30/15*   100.000    VARIES    1.7251              0.046672                                                 8.35*        
Freddie Mac              3134G1M27 12/29/10 12/29/15*   100.000    VARIES    1.7775              0.048023                                                 8.55*        
Freddie Mac              3134G1M50 12/30/10 12/30/15*   100.000    VARIES    1.8432              0.049670                                                 8.89*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G1MN1 08/02/10 08/02/40*    21.240     0.000    5.2315    16.10     0.032502   0.033352                                      7.01*        
Freddie Mac              3134G1N34 12/29/10 12/29/15*   100.000    VARIES    1.9355              0.052036                                                 9.26*        
Freddie Mac              3134G1N59 12/29/10 12/29/15*   100.000    VARIES    1.9355              0.052036                                                 9.26*        
Freddie Mac              3134G1N67 12/30/10 12/30/15*   100.000    VARIES    1.9486              0.052364                                                 9.37*        
Freddie Mac              3134G1NL4 07/19/10 02/15/12     99.130     0.000    0.5565     8.02     0.015416                                                  .68         
Freddie Mac              3134G1NW0 08/03/10 08/03/40*    23.576     0.000    4.8749    16.59     0.033501                                                 1.07*        
Freddie Mac              3134G1NY6 08/19/10 02/15/12     99.230     0.000    0.5198     7.07     0.014402                                                  .63         
Freddie Mac              3134G1TJ3 09/24/10 09/24/40     27.661     0.000    4.3300    15.48     0.034727   0.035478   0.036246   0.037031  0.037833     12.78    13.34
Freddie Mac              3134G1TV6 09/27/10 09/27/40     26.782     0.000    4.4400    15.27     0.034514   0.035281   0.036064   0.036864  0.037683     12.71    13.28
Freddie Mac              3134G1UN2 09/28/10 09/28/40     26.315     0.000    4.4999    15.17     0.034391   0.035164   0.035955   0.036764  0.037592     12.67    13.24
Freddie Mac              3134G1VW1 10/15/10 10/15/15*   100.000    VARIES    1.5144              0.041387                                                 4.30*        
Freddie Mac              3134G1WC4 10/28/10 10/28/15*   100.000    VARIES    1.5309              0.041696                                                 4.88*        
Freddie Mac              3134G1XY5 11/18/10 05/15/15     94.752     0.000    1.2037    12.82     0.032062   0.032255   0.032449   0.032645  0.032841     11.59    11.73
Freddie Mac              3134G1YT5 11/09/10 11/09/40*    22.728     0.000    5.0000    13.23     0.033165                                                 4.25*        
Freddie Mac              3134G1YZ1 11/16/10 11/16/40*    22.728     0.000    5.0000    13.00     0.033165                                                 4.48*        
Freddie Mac              3134G1ZF4 11/23/10 11/23/40*    22.398     0.000    5.0500    12.71     0.033026                                                 4.69*        
Freddie Mac              3134G1ZR8 12/02/10 12/02/15*   100.000    VARIES    1.4369              0.039339                                                 2.40*        
Freddie Mac              3134G1ZT4 12/09/10 12/09/15*   100.000    VARIES    1.4945              0.040784                                                 6.44*        
Freddie Mac              3134G1ZW7 12/01/10 12/01/15*   100.000    VARIES    1.3705              0.037562                                                 5.63*        
Freddie Mac              3134G1ZX5 11/23/10 11/23/40     22.486     0.000    5.0366    12.72     0.033064   0.033897   0.034750   0.035625  0.036522     12.12    12.73
Freddie Mac              3134G25L2 11/10/11 06/01/13     99.553     0.000    0.2876      .40     0.007957   0.007968   0.007980                           2.87     1.20
Freddie Mac              3134G25M0 11/10/11 07/01/13     99.495     0.000    0.3086      .43     0.008533   0.008546   0.008560                           3.07     1.54
Freddie Mac              3134G25N8 11/10/11 08/01/13     99.428     0.000    0.3328      .47     0.009182   0.009199   0.009214   0.009229                3.31     1.94
Freddie Mac              3134G25P3 11/10/11 09/01/13     99.353     0.000    0.3592      .51     0.009908   0.009926   0.009943   0.009961                3.57     2.39
Freddie Mac              3134G25Q1 11/10/11 10/01/13     99.288     0.000    0.3780      .53     0.010422   0.010443   0.010463   0.010482                3.76     2.83
Freddie Mac              3134G25R9 11/10/11 12/01/13     99.135     0.000    0.4225      .59     0.011638   0.011662   0.011687   0.011712                4.20     3.86
Freddie Mac              3134G25S7 11/10/11 01/01/14     99.053     0.000    0.4447      .62     0.012245   0.012272   0.012300   0.012327                4.41     4.43
Freddie Mac              3134G25T5 11/10/11 02/01/14     98.967     0.000    0.4671      .65     0.012841   0.012857   0.012887   0.012917  0.012948      4.63     4.65
Freddie Mac              3134G25U2 11/10/11 03/01/14     98.890     0.000    0.4841      .68     0.013292   0.013318   0.013350   0.013383  0.013415      4.80     4.82
Freddie Mac              3134G25V0 11/10/11 04/01/14     98.810     0.000    0.5011      .70     0.013749   0.013782   0.013817   0.013851  0.013886      4.96     4.99
Freddie Mac              3134G25W8 11/10/11 05/01/14     98.725     0.000    0.5191      .73     0.014231   0.014272   0.014309   0.014346  0.014383      5.14     5.16
Freddie Mac              3134G25X6 11/10/11 06/01/14     98.634     0.000    0.5383      .75     0.014754   0.014794   0.014834   0.014873  0.014914      5.32     5.35
Freddie Mac              3134G25Y4 11/10/11 07/01/14     98.551     0.000    0.5532      .77     0.015158   0.015200   0.015242   0.015284                5.46     5.49
Freddie Mac              3134G25Z1 11/10/11 08/01/14     98.462     0.000    0.5695      .79     0.015571   0.015598   0.015642   0.015687  0.015731      5.62     5.65
Freddie Mac              3134G26B3 11/10/11 09/01/14     98.368     0.000    0.5867      .82     0.016031   0.016062   0.016109   0.016156  0.016203      5.79     5.82
Freddie Mac              3134G26C1 11/10/11 10/01/14     98.283     0.000    0.5998      .84     0.016373   0.016414   0.016463   0.016512  0.016562      5.91     5.94
Freddie Mac              3134G26D9 11/10/11 11/01/14     98.186     0.000    0.6162      .86     0.016806   0.016858   0.016910   0.016962  0.017014      6.07     6.10
Freddie Mac              3134G26E7 11/10/11 12/01/14     98.101     0.000    0.6278      .87     0.017116   0.017170   0.017223   0.017278  0.017332      6.17     6.21
Freddie Mac              3134G26F4 11/10/11 01/01/15     97.981     0.000    0.6502      .90     0.017714   0.017772   0.017830   0.017887                6.39     6.43
Freddie Mac              3134G2AC6 03/28/11 03/28/36*    25.758     0.000    5.4999    10.84     0.040434                                                 3.52*        
Freddie Mac              3134G2B43 09/16/11 03/16/17*   100.000    VARIES    1.3955              0.038765                                                 2.91*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G2CT7 04/01/11 04/01/14    100.000    VARIES    1.2448              0.034686   0.034794   0.034794   0.034794  0.034687     12.52    12.52
Freddie Mac              3134G2CV2 04/01/11 04/01/16    100.000    VARIES    2.1989              0.061433   0.061788   0.062124   0.062463  0.062615     22.24    22.47
Freddie Mac              3134G2E81 09/23/11 09/23/16*   100.000    VARIES    1.3464              0.037400   0.037091                                      6.40*        
Freddie Mac              3134G2EE8 04/25/11 04/25/36*    26.392     0.000    5.4000     9.81     0.040657                                                 4.63*        
Freddie Mac              3134G2HZ8 05/18/11 08/15/12     99.656     0.000    0.2776     1.71     0.007692   0.007703                                      1.73         
Freddie Mac              3134G2JA1 05/18/11 02/15/13     99.131     0.000    0.5017     3.08     0.013832   0.013867   0.013902                           5.00      .61
Freddie Mac              3134G2JB9 05/18/11 08/15/13     98.365     0.000    0.7366     4.49     0.020164   0.020239   0.020313   0.020388                7.29     4.56
Freddie Mac              3134G2JC7 05/18/11 02/15/14     97.359     0.000    0.9785     5.91     0.026526   0.026655   0.026786   0.026917  0.027048      9.61     9.70
Freddie Mac              3134G2JD5 05/18/11 02/15/15     94.531     0.000    1.5086     8.85     0.039758   0.040058   0.040360   0.040665  0.040972     14.45    14.67
Freddie Mac              3134G2JE3 05/18/11 02/15/16     91.147     0.000    1.9642    11.12     0.049969   0.050459   0.050955   0.051455  0.051961     18.21    18.57
Freddie Mac              3134G2LS9 06/28/11 06/28/41*    20.819     0.000    5.3000     5.61     0.031463                                                 5.57*        
Freddie Mac              3134G2N40 09/19/11 08/01/13     99.354     0.000    0.3474      .98     0.009589   0.009602   0.009619   0.009635                3.46     2.02
Freddie Mac              3134G2N57 09/19/11 02/15/15     97.686     0.000    0.6886     1.91     0.018681   0.018738   0.018802   0.018867  0.018932      6.75     6.80
Freddie Mac              3134G2N65 09/19/11 08/01/15     96.933     0.000    0.8071     2.22     0.021729   0.021799   0.021887   0.021975  0.022064      7.86     7.92
Freddie Mac              3134G2NU2 06/23/11 10/01/13     98.610     0.000    0.6169     3.18     0.016927   0.016979   0.017032   0.017084                6.11     4.61
Freddie Mac              3134G2TW2 08/17/11 08/17/37*    26.289     0.000    5.2051     5.09     0.038010   0.039000                                      8.77*        
Freddie Mac              3134G2UV2 08/24/11 08/24/33*    33.740     0.000    5.0000     5.95     0.046862   0.048033                                     11.13*        
Freddie Mac              3134G2X80 10/18/11 10/18/41*    25.780     0.000    4.5700     2.39     0.032726                                                 3.50*        
Freddie Mac              3134G2Z62 10/06/11 03/01/14     98.600     0.000    0.5876     1.37     0.016089   0.016132   0.016179   0.016227  0.016275      5.81     5.84
Freddie Mac              3134G3D72 08/03/12 08/01/15     98.910     0.000    0.3663                                    0.010063   0.010083  0.010102      1.49     3.63
Freddie Mac              3134G3D80 08/03/12 03/01/16     98.331     0.000    0.4709                         0.012853   0.012869   0.012899  0.012930      1.90     4.65
Freddie Mac              3134G3D98 08/03/12 08/01/16     97.750     0.000    0.5705                                    0.015486   0.015535  0.015579      2.29     5.60
Freddie Mac              3134G3DL1 12/27/11 12/27/41*    25.212     0.000    4.6459      .13     0.032537                                                 5.73*        
Freddie Mac              3134G3DM9 12/21/11 02/14/14     99.040     0.000    0.4497      .12     0.012371   0.012381   0.012409   0.012437  0.012464      4.46     4.48
Freddie Mac              3134G3DS6 12/27/11 12/27/41*    25.139     0.000    4.6558      .13     0.032512                                                 5.72*        
Freddie Mac              3134G3G87 09/05/12 02/01/16     97.910     0.000    0.6211                                    0.016893   0.016936  0.016989      1.96     6.10
Freddie Mac              3134G3GA2 12/15/11 12/27/13    100.000     0.000    0.4484              0.012459   0.012487   0.012515   0.012543                4.49     4.46
Freddie Mac              3134G3H60 08/29/12 02/12/16     98.330     0.000    0.4883                                    0.013338   0.013368  0.013401      1.63     4.82
Freddie Mac              3134G3H86 09/05/12 08/01/14     99.460     0.000    0.2843                                    0.007855   0.007865  0.007876       .91     2.83
Freddie Mac              3134G3P87 09/27/12 12/01/14     99.325     0.000    0.3112                         0.008582   0.008592   0.008605  0.008618       .81     3.10
Freddie Mac              3134G3PQ7 02/13/12 02/13/15     98.625     0.000    0.4620                         0.012658   0.012687   0.012717  0.012746      4.03     4.58
Freddie Mac              3134G3S68 10/18/12 08/15/14     99.525     0.000    0.2610                                    0.007213   0.007223  0.007233       .53     2.60
Freddie Mac              3134G3TD2 04/11/12 02/15/15     98.584     0.000    0.5019                         0.013746   0.013770   0.013805  0.013839      3.58     4.97
Freddie Mac              3134G3TF7 03/20/12 03/01/16     96.961     0.000    0.7833                         0.021097   0.021173   0.021256  0.021339      5.94     7.66
Freddie Mac              3134G3UA6 04/19/12 08/01/15     97.653     0.000    0.7246                         0.019655   0.019696   0.019767  0.019839      4.96     7.12
Freddie Mac              3134G3UB4 05/01/12 05/01/15     98.095     0.000    0.6421                         0.017498   0.017554   0.017610  0.017667      4.20     6.34
Freddie Mac              3134G3UE8 05/08/12 07/01/15     98.190     0.000    0.5811              0.015840   0.015866   0.015912   0.015958                3.70     5.74
Freddie Mac              3134G3UG3 05/23/12 02/13/15     98.720     0.000    0.4737                         0.012982   0.013006   0.013036  0.013067      2.83     4.70
Freddie Mac              3134G3UN8 05/22/12 02/28/14     99.444     0.000    0.3147                         0.008458   0.008653   0.008525  0.008680      1.92     3.14
Freddie Mac              3134G3UP3 05/22/12 02/27/15     98.622     0.000    0.5026                         0.013765   0.013788   0.013823  0.013858      3.02     4.98
Freddie Mac              3134G3WQ9 06/28/12 01/30/15     98.590     0.000    0.5492                         0.015035   0.015049   0.015090  0.015132      2.75     5.44
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G3WS5 06/28/12 02/01/16     97.180     0.000    0.7979                         0.021527   0.021557   0.021643  0.021729      3.94     7.80
Fannie Mae               31359MEL3 01/29/99 06/01/17     34.790     0.000    5.8405   384.25     0.118206   0.121658   0.125211   0.128867  0.132631     43.39    45.96
Fannie Mae               31364KSS0 08/17/00 08/17/12     60.070     2.000    6.9636   369.39     0.128756   0.133239                                     29.91         
Fannie Mae               3136F1EQ9 12/27/01 03/17/31     16.751     0.000    6.2082   141.49     0.052348   0.053973   0.055649   0.057376  0.059157     19.48    20.71
Fannie Mae               3136F2B31 12/20/02 12/30/32     19.252     0.000    5.5626   123.47     0.048818   0.050176   0.051572   0.053006  0.054480     17.82    18.83
Fannie Mae               3136F3LA2 04/04/03 10/03/33     20.285     0.000    5.2999   117.63     0.046578   0.047812   0.049079   0.050380  0.051715     17.21    18.13
Fannie Mae               3136F3ZC3 06/09/03 12/15/33     23.674     0.000    N/A                 0.047357   0.048495   0.049660   0.050854  0.052076     17.29    18.13
Fannie Mae               3136F4R55 01/07/04 12/15/34     18.268     0.000    5.5708   100.61     0.043729   0.044947   0.046199   0.047486  0.048808     16.00    16.90
Fannie Mae               3136F6G86 02/24/05 02/15/15     63.549     0.000    4.5968   232.26     0.108912   0.111415   0.113976   0.116596  0.119276     40.35    42.22
Fannie Mae               3136F7MB0 11/17/05 06/07/12     73.724     0.000    4.7041   242.84     0.127669                                                19.92         
Fannie Mae               3136F7NJ2 11/15/05 02/28/14     67.000     0.000    4.8887   230.90     0.119030   0.120614   0.125610   0.126583  0.131826     44.67    46.79
Fannie Mae               3136F7NM5 11/15/05 11/15/30     26.938     0.000    5.3159   102.17     0.054495   0.055943   0.057430   0.058957  0.060524     20.01    21.09
Fannie Mae               3136F7Q34 07/14/06 10/31/14     63.950     0.000    5.4603   219.14     0.129041   0.132564   0.136183   0.139901  0.143721     47.52    50.16
Fannie Mae               3136F7QX8 01/06/06 10/10/13     69.750     0.000    4.6951   223.49     0.118861   0.121651   0.124507   0.127430               43.75    35.26
Fannie Mae               3136F7UM7 02/22/06 10/01/12     96.825     4.318    4.8859    27.63     0.015032   0.015399                                      4.12         
Fannie Mae               3136F8JD8 03/16/07 05/31/13     74.650     0.000    4.7639   189.14     0.123308   0.126245   0.129252                          45.10    19.26
Fannie Mae               3136F8JY2 03/30/07 04/10/13     75.160     0.000    4.7935   189.86     0.124021   0.126994   0.130037                          45.67    12.87
Fannie Mae               3136F8LJ2 05/16/07 10/01/29     60.778     0.000    N/A                 0.072139   0.072091   0.069117   0.069071  0.065945     25.69    24.59
Fannie Mae               3136F8LW3 05/03/07 06/01/15     75.398     0.000    N/A                 0.082919   0.078427   0.078221   0.073392  0.073187     28.90    27.14
Fannie Mae               3136F8NZ4 06/11/07 12/10/14     66.600     0.000    5.4956   186.62     0.129742   0.133308   0.136971   0.140734  0.144602     47.50    50.15
Fannie Mae               3136F8P25 02/08/08 02/08/38     16.973     0.000    6.0000    43.99     0.034035   0.035441   0.036108   0.037808  0.038307     13.02    13.81
Fannie Mae               3136F8QH1 07/11/07 02/28/14     69.767     0.000    5.4960   191.79     0.131850   0.134001   0.139965   0.141466  0.147763     49.65    52.32
Fannie Mae               3136F8QM0 07/30/07 07/30/37     12.693     0.000    7.0001    45.12     0.032501   0.033638   0.034816   0.036034  0.037295     12.25    13.13
Fannie Mae               3136F8RD9 08/09/07 04/10/12     79.420     0.000    4.9945   192.40     0.135356                                                13.40         
Fannie Mae               3136F8UT0 11/06/07 05/01/14     95.257     0.000    N/A                 0.008949   0.006258   0.006265   0.006232  0.006240      2.58     2.24
Fannie Mae               3136F8XP5 11/20/07 07/10/12     82.235     0.000    4.2600   155.77     0.113451   0.115867                                     21.88         
Fannie Mae               3136F8YZ2 12/13/07 02/15/12     85.070     0.000    3.9122   144.61     0.106589                                                 4.69         
Fannie Mae               3136F92T9 12/30/08 12/30/38*    20.417     0.000    5.3667    35.19     0.035678                                                 6.39*        
Fannie Mae               3136F9A60 08/01/08 06/29/12     85.645     0.000    4.0007   124.16     0.108953                                                19.39         
Fannie Mae               3136F9A78 08/01/08 12/31/12     83.605     0.000    4.0950   124.33     0.109233   0.111469                                     39.62         
Fannie Mae               3136F9B44 08/07/08 12/01/13     84.261     0.000    N/A                 0.077112   0.076838   0.072279   0.072013               27.57    23.80
Fannie Mae               3136F9D91 09/04/08 04/01/12     91.994     0.000    N/A                 0.021936                                                 1.97         
Fannie Mae               3136F9E25 09/04/08 04/01/14     83.238     0.000    N/A                 0.094461   0.094047   0.093626   0.035862  0.036575     33.86    18.17
Fannie Mae               3136F9FX6 04/03/08 12/30/12     93.811     0.000    1.3518              0.006800   0.006896                                      2.46         
Fannie Mae               3136F9FY4 04/03/08 06/29/12     93.719     0.000    N/A                 0.009261                                                 1.65         
Fannie Mae               3136F9FZ1 04/03/08 12/29/12     94.297     0.000    N/A                 0.006067   0.004143                                      1.83         
Fannie Mae               3136FMJU9 03/29/10 06/29/12     98.965     0.000    N/A                 0.002113                                                  .38         
Fannie Mae               3136FRET6 03/25/11 11/01/12     99.132     0.000    0.5455              0.015072   0.015114                                      4.53         
Fannie Mae               31398AE99 02/09/10 02/09/40*    18.203     0.000    5.7599    20.69     0.031714                                                 1.21*        
Fannie Mae               31398AY30 07/20/10 07/20/40*    21.392     0.000    5.2071    16.53     0.032574   0.033422                                      6.63*        
Fannie Mae               31398AY71 07/20/10 07/20/40*    21.422     0.000    5.2023    16.54     0.032588   0.033436                                      6.64*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Fannie Mae               31398AY89 08/10/10 08/10/40*    21.076     0.000    5.2580    15.80     0.032423                                                 1.26*        
FelCor Lodging Limited   31430QAZ0 10/01/09 10/01/14     87.750    10.000   13.4435    45.55     0.064741   0.069093   0.073737   0.078694  0.083984     24.90    28.36
FelCor Lodging Limited   31430QBA4 10/01/09 10/01/14     87.750    10.000   13.4435    45.55     0.064741   0.069093   0.073737   0.078694  0.083984     24.90    28.36
FiberTower Corporation   31567RAF7 12/22/09 01/01/16    100.000     9.000    N/A                 0.250000   0.250000   0.250000   0.250000               90.00    90.00
FiberTower Corporation   31567RAG5 12/22/09 01/01/16    100.000     9.000    N/A                 0.250000   0.250000   0.250000   0.250000               90.00    90.00
First Data Corporation.  319963AN4 10/24/07 09/24/15     94.796     9.875   10.8718    22.14     0.018131   0.019117   0.020156   0.021251  0.022407      6.90     7.67
First Data Corporation.  319963AP9 10/24/07 09/24/15     94.796     9.875   10.8718    22.14     0.018131   0.019117   0.020156   0.021251  0.022407      6.90     7.67
First Data Corporation.  319963AY0 12/17/10 01/15/21     94.750     8.250    9.0551     3.52     0.009643   0.010079   0.010536   0.011013  0.011511      3.70     4.04
First Data Corporation.  319963AZ7 12/17/10 01/15/22     95.625    VARIES    N/A                 0.257264   0.256898   0.256533   0.256168  0.255804     92.43    92.17
First Data Corporation.  319963BA1 12/15/10 01/15/21     91.875    12.625   14.1624     4.21     0.011640   0.012464   0.013347   0.014292  0.015304      4.62     5.30
First Data Corporation.  319963BB9 12/15/10 01/15/21     91.875    12.625   14.1624     4.21     0.011640   0.012464   0.013347   0.014292  0.015304      4.62     5.30
Livingston CNTY SD#74,IL 33849YAB7 09/09/10 12/01/12    105.832    VARIES    2.2283              0.063525   0.062716                                     20.82         
Livingston CNTY SD#74,IL 33849YAC5 09/09/10 12/01/13    106.537    VARIES    2.8306              0.081846   0.081058   0.080260   0.079449               29.28    26.34
Livingston CNTY SD#74,IL 33849YAD3 09/09/10 12/01/14    106.763    VARIES    3.2820              0.095608   0.094898   0.094176   0.093442  0.092697     34.25    33.73
Livingston CNTY SD#74,IL 33849YAE1 09/09/10 12/01/15    106.477    VARIES    3.6335              0.106024   0.105427   0.104819   0.104200  0.103570     38.03    37.59
Livingston CNTY SD#74,IL 33849YAG6 09/09/10 12/01/12    105.941    VARIES    2.2282              0.063552   0.062728                                     20.82         
Livingston CNTY SD#74,IL 33849YAH4 09/09/10 12/01/13    106.692    VARIES    2.8301              0.081911   0.081104   0.080287   0.079457               29.29    26.35
Livingston CNTY SD#74,IL 33849YAJ0 09/09/10 12/01/14    106.763    VARIES    3.2820              0.095608   0.094898   0.094176   0.093442  0.092697     34.25    33.73
Livingston CNTY SD#74,IL 33849YAK7 09/09/10 12/01/15    106.477    VARIES    3.6335              0.106024   0.105427   0.104819   0.104200  0.103570     38.03    37.59
Franklin Cnty SD #47, IL 352730CF0 02/15/07 12/01/13     68.938     0.000    5.5487   211.08     0.138151   0.141984   0.145923   0.149971               50.66    48.88
Franklin Cnty SD #47, IL 352730CG8 02/15/07 12/01/14     65.167     0.000    5.5688   200.34     0.131189   0.134842   0.138596   0.142456  0.146422     48.11    50.82
Franklin Cnty SD #47, IL 352730CH6 02/15/07 12/01/15     61.525     0.000    5.5989   190.30     0.124704   0.128195   0.131784   0.135473  0.139266     45.73    48.33
Franklin Cnty SD #47, IL 352730CJ2 02/15/07 12/01/16     57.942     0.000    5.6491   181.03     0.118771   0.122126   0.125576   0.129123  0.132770     43.57    46.06
College District #534 IL 360395FC6 07/22/10 12/01/12    105.163    VARIES    2.3712              0.067279   0.066579                                     22.08         
College District #534 IL 360395FD4 07/22/10 12/01/13    105.996    VARIES    2.7756              0.079820   0.079154   0.078479   0.077795               28.58    25.77
College District #534 IL 360395FE2 07/22/10 12/01/14    106.532    VARIES    3.1773              0.092201   0.091570   0.090929   0.090277  0.089615     33.04    32.58
College District #534 IL 360395FF9 07/22/10 12/01/15    107.053    VARIES    3.5779              0.104612   0.103999   0.103374   0.102739  0.102092     37.51    37.06
College District #534 IL 360395FG7 07/22/10 12/01/16    105.839    VARIES    4.0773              0.118452   0.117979   0.117496   0.117003  0.116501     42.53    42.18
College District #534 IL 360395FH5 07/22/10 12/01/17    105.580    VARIES    4.4767              0.130013   0.129596   0.129171   0.128736  0.128291     46.70    46.40
College District #534 IL 360395FJ1 07/22/10 12/01/18    103.358    VARIES    4.9260              0.140635   0.140405   0.140168   0.139926  0.139678     50.57    50.40
College District #534 IL 360395FK8 07/22/10 12/01/19    103.249    VARIES    5.2255              0.149141   0.148937   0.148728   0.148513  0.148293     53.64    53.49
College District #534 IL 360395FL6 07/22/10 12/01/20    101.888    VARIES    5.4261              0.153104   0.152999   0.152892   0.152783  0.152670     55.09    55.01
GWR Operating Partnershp 361990AA2 04/07/10 04/01/17     95.347    10.875   11.8737     8.34     0.014711   0.015585   0.016510   0.017490  0.018528      5.62     6.30
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES   12.5014              0.405208   0.422723   0.441333   0.461106  0.482115    150.69   164.32
GMAC                     37042FDC9 01/16/97 01/15/12     34.258     0.000    7.2720   654.69     0.194914                                                 2.73         
GMX Resources Inc.       38011MAR9 09/19/12 03/02/18     58.041     9.000   22.8340                                    0.118141   0.130356  0.145239     12.05    47.95
Goldman Sachs Group,Inc. 38141GBW3 02/01/02 02/01/12    100.000     0.000    6.6999              0.348074                                                10.44         
Goldman Sachs Group,Inc. 38141GCB8 04/08/02 04/08/12    100.000     2.000    6.6499              0.296021                                                28.71         
Goldman Sachs Group,Inc. 38141GCC6 04/10/02 04/10/12    100.000     2.500    6.7200              0.289083                                                28.62         
Goldman Sachs Group,Inc. 38141GCD4 04/29/02 04/29/12    100.000     3.500    6.8099              0.270928                                                31.97         
Goldman Sachs Group,Inc. 38141GCE2 07/03/02 07/03/12    100.000     3.000    6.3397              0.246023   0.251180                                     45.70         
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38141GCJ1 09/16/02 09/16/12    100.000     2.500    5.5999              0.211003   0.214966                                     54.52         
Goldman Sachs Group,Inc. 38141GCK8 10/28/02 10/28/12    100.000     3.000    5.7299              0.209422   0.213035                                     62.85         
Goldman Sachs Group,Inc. 38141GCV4 02/28/03 02/28/13    100.000     0.000    5.1699              0.219187   0.222409   0.231940                          82.38    13.45
Goldman Sachs Group,Inc. 38141GCW2 02/27/03 02/27/13    100.000     0.500    5.1499              0.212890   0.218014   0.223271                          78.85    12.50
Goldman Sachs Group,Inc. 38141GCX0 03/05/03 03/05/13    100.000     0.000    5.0499              0.214336   0.219748   0.225297                          79.41    14.42
Goldman Sachs Group,Inc. 38141GCZ5 04/21/03 04/18/13    100.000     0.000    5.1500              0.220307   0.225980   0.231799                          81.17    24.80
Goldman Sachs Group,Inc. 38141GDC5 04/21/03 04/21/13    100.000     2.250    5.1500              0.186609   0.189804   0.193082                          68.21    21.24
Goldman Sachs Group,Inc. 38141GDF8 05/30/03 05/30/13    100.000     0.000    4.6300              0.189779   0.194172   0.198667                          69.39    29.60
Goldman Sachs Group,Inc. 38141GDG6 06/11/03 06/11/13    100.000     3.000    4.2499              0.132975   0.134030   0.135107                          48.10    21.62
Goldman Sachs Group,Inc. 38141GDH4 06/20/03 06/20/13    100.000     0.250    4.3500              0.171132   0.174704   0.178352                          62.33    30.14
Goldman Sachs Group,Inc. 38141GDY7 01/11/05 01/11/12    100.000     1.000    4.7300              0.168181                                                 1.68         
Goldman Sachs Group,Inc. 38141GEB6 02/15/05 02/15/12    100.000     2.000    4.5499              0.150450                                                 6.62         
Goldman Sachs Group,Inc. 38141GEC4 06/29/05 06/29/12    100.000     1.000    4.6499              0.164473                                                29.28         
Goldman Sachs Group,Inc. 38141GFF6 12/28/07 12/28/17    100.000     0.000    5.8500              0.204654   0.210640   0.216802   0.223143  0.229670     74.79    79.23
Goldman Sachs Group,Inc. 38141GGH1 10/26/09 03/05/13    100.000     0.000    1.0049              0.028440   0.028583   0.028726                          10.30     1.84
Goldman Sachs Group,Inc. 38141GGV0 10/30/12 10/30/27    100.000    VARIES    4.6427                                    0.128965   0.126800  0.124585      7.87    45.77
Goldman Sachs Group,Inc. 38141GHQ0 11/19/12 11/19/27    100.000    VARIES    4.0948                                    0.113746   0.111525  0.109258      4.78    40.36
Goldman Sachs Group,Inc. 3814262A2 11/04/09 11/06/14    100.000     0.000    3.0642              0.090472   0.091859   0.093266   0.094695  0.096146     32.97    33.99
Goldman Sachs Group,Inc. 3814262B0 11/30/09 11/30/14    100.000     0.000    2.9158              0.085824   0.087075   0.088345   0.089633  0.090940     31.20    32.12
Goldman Sachs Group,Inc. 3814262C8 12/04/09 12/08/14    100.000     0.000    2.9817              0.087905   0.089216   0.090546   0.091896  0.093266     31.94    32.90
Goldman Sachs Group,Inc. 3814262D6 12/31/09 12/31/14    100.000     0.000    2.8111              0.082572   0.083732   0.084909   0.086103  0.087313     29.94    30.78
Goldman Sachs Group,Inc. 3814262E4 12/29/09 06/26/15    100.000     0.000    2.9758              0.087671   0.088976   0.090300   0.091643  0.093007     31.81    32.76
Goldman Sachs Group,Inc. 3814262F1 02/03/10 02/05/15    100.000     0.000    2.7204              0.078705   0.079776   0.080861   0.081961  0.083076     28.84    29.63
Goldman Sachs Group,Inc. 3814262H7 01/29/10 07/30/15    100.000     0.000    2.8531              0.082700   0.083880   0.085077   0.086290  0.087521     30.34    31.22
Goldman Sachs Group,Inc. 3814262J3 02/26/10 08/27/15    100.000     0.000    2.8595              0.082896   0.084081   0.085283   0.086502  0.087739     30.35    31.23
Goldman Sachs Group,Inc. 3814262K0 03/03/10 03/05/15    100.000     0.000    2.5727              0.074271   0.075226   0.076194   0.077174  0.078167     27.13    27.84
Goldman Sachs Group,Inc. 3814262L8 03/31/10 10/01/15    100.000     0.000    2.4854              0.071652   0.072543   0.073444   0.074357  0.075281     26.12    26.77
Goldman Sachs Group,Inc. 3814262M6 05/05/10 05/07/15    100.000     0.000    2.6855              0.077656   0.078699   0.079756   0.080827  0.081912     28.26    29.02
Goldman Sachs Group,Inc. 3814262N4 03/31/10 03/31/15    100.000     0.000    2.7100              0.078381   0.079443   0.080519   0.081610  0.082716     28.60    29.38
Goldman Sachs Group,Inc. 381426Y58 06/03/09 06/05/14    100.000     0.000    3.4499              0.104408   0.106209   0.108041   0.109904  0.111800     38.01    39.33
Goldman Sachs Group,Inc. 381426Z40 07/06/09 07/08/14    100.000     0.000    3.4489              0.102605   0.104374   0.106174   0.108005  0.109867     37.87    39.19
Goldman Sachs Group,Inc. 381426Z65 08/05/09 08/07/14    100.000     0.000    3.2499              0.096305   0.097870   0.099460   0.101077  0.102719     35.41    36.57
Goldman Sachs Group,Inc. 381426Z73 09/09/09 09/09/14    100.000     0.000    3.0499              0.090008   0.091381   0.092775   0.094189  0.095626     32.96    33.97
Goldman Sachs Group,Inc. 381426Z81 10/05/09 10/07/14    100.000     0.000    3.1498              0.093155   0.094622   0.096113   0.097626  0.099164     34.05    35.13
Goldman Sachs Group,Inc. 381426Z99 09/30/09 09/30/14    100.000     0.000    3.0503              0.090019   0.091392   0.092786   0.094201  0.095638     32.91    33.92
Goldman Sachs Group,Inc. 38143ADL6 12/30/11 12/31/15    100.000     0.000    1.7748              0.048762   0.048660   0.049905   0.049527  0.050795     17.83    18.15
Goldman Sachs Group,Inc. 38143ADM4 12/30/11 12/30/16    100.000     0.000    2.0503              0.056021   0.056596   0.057490   0.057762  0.058675     20.61    21.04
Goldman Sachs Group,Inc. 38143AFY6 01/31/12 01/29/16    100.000     0.000    1.4011                         0.038494   0.038339   0.039248  0.038878     12.91    14.24
Goldman Sachs Group,Inc. 38143AGB5 01/31/12 01/31/19    100.000     0.000    2.2999                         0.063185   0.063217   0.065003  0.064679     21.23    23.62
Goldman Sachs Group,Inc. 38143AJG1 02/29/12 02/28/19    100.000     0.000    2.2001                         0.059786   0.061445   0.061108  0.062805     18.56    22.53
Goldman Sachs Group,Inc. 38143ALM5 03/30/12 04/01/19    100.000     0.000    2.2483              0.061429   0.061437   0.062469   0.062826  0.063882     17.11    23.00
Goldman Sachs Group,Inc. 38143APY5 04/30/12 04/30/19    100.000     0.000    2.2498                         0.061137   0.062850   0.062521  0.064272     15.15    22.97
Goldman Sachs Group,Inc. 38143ARV9 05/31/12 05/31/19    100.000     0.000    2.2497                         0.061468   0.062501   0.062859  0.063915     13.25    22.92
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143AUA1 06/29/12 07/01/19    100.000     0.000    2.1501              0.059070   0.058434   0.060042   0.059698               10.87    21.85
Goldman Sachs Group,Inc. 38143AWH4 07/31/12 07/31/19    100.000     0.000    2.1499                                    0.058423   0.060030  0.059686      9.00    21.81
Goldman Sachs Group,Inc. 38143AXC4 08/30/12 08/31/17    100.000     0.000    1.6987                         0.045913   0.046930   0.046557  0.047730      5.82    17.16
Goldman Sachs Group,Inc. 38143AYM1 08/31/12 09/03/19    100.000     0.000    2.1004                         0.057077   0.058033   0.057687  0.059259      7.14    21.27
Goldman Sachs Group,Inc. 38143AYN9 08/30/12 08/30/19    100.000     0.250    2.0903                                    0.057426   0.057638  0.058489      7.12    21.13
Goldman Sachs Group,Inc. 38143AYS8 08/23/12 08/23/17    100.000     0.000    1.7918                                    0.048690   0.049941  0.049567      6.38    18.11
Goldman Sachs Group,Inc. 38143DAA7 09/03/09 09/09/14    100.000     0.000    3.1999              0.094766   0.096282   0.097823   0.099388  0.100978     34.73    35.85
Goldman Sachs Group,Inc. 38143U2A8 04/30/12 01/31/18    100.000     0.000    4.2501                         0.118060   0.119314   0.121850  0.124439     28.64    44.18
Goldman Sachs Group,Inc. 38143U2D2 04/20/12 04/20/27*   100.000    VARIES    6.4164                         0.178236                                     32.08*        
Goldman Sachs Group,Inc. 38143U2S9 05/31/12 09/01/16    100.000     0.000    4.2500                         0.118057   0.119326   0.121861  0.124451     25.06    44.03
Goldman Sachs Group,Inc. 38143U3A7 05/31/12 06/02/17    100.000     0.000    4.6997              0.130549   0.130583   0.133652   0.136793  0.140007     27.64    48.86
Goldman Sachs Group,Inc. 38143U3B5 05/23/12 05/23/27    100.000    VARIES    6.0431                         0.167866   0.166904   0.165912  0.164890     36.56    59.83
Goldman Sachs Group,Inc. 38143U3T6 05/14/12 05/14/17    100.000    VARIES    2.9895                         0.014431   0.013629   0.012816  0.013007      3.24     4.73
Goldman Sachs Group,Inc. 38143U3U3 05/18/12 05/19/14    100.000     0.000    2.5000              0.069446   0.069452   0.070320   0.071199  0.072089     15.52    25.55
Goldman Sachs Group,Inc. 38143U4D0 07/31/12 02/01/18    100.000     0.000    3.8502                         0.106949   0.106962   0.109021  0.111119     16.15    39.50
Goldman Sachs Group,Inc. 38143U4K4 07/05/12 07/07/14    100.000     0.000    2.7803                         0.077231   0.077243   0.078317  0.079406     13.59    28.38
Goldman Sachs Group,Inc. 38143U4T5 07/19/12 07/21/14    100.000     0.000    2.5599                         0.071110   0.071120   0.072030  0.072952     11.52    26.06
Goldman Sachs Group,Inc. 38143U5B3 08/03/12 08/04/14    100.000     0.000    2.2596                         0.062767   0.062771   0.063481  0.064198      9.29    22.94
Goldman Sachs Group,Inc. 38143U5C1 08/03/12 08/04/14    100.000     0.000    2.2596                         0.062767   0.062771   0.063481  0.064198      9.29    22.94
Goldman Sachs Group,Inc. 38143U5H0 08/31/12 09/04/18    100.000     0.000    3.4598                         0.096107   0.096144   0.097807  0.099499     11.63    35.30
Goldman Sachs Group,Inc. 38143U5X5 08/20/12 08/20/24    100.000    VARIES    4.6554                                    0.129317   0.128389  0.127439     16.94    46.14
Goldman Sachs Group,Inc. 38143U6D8 08/17/12 08/18/14    100.000     0.000    2.0803                         0.057786   0.057790   0.058391  0.058998      7.74    21.07
Goldman Sachs Group,Inc. 38143U6M8 08/31/12 08/31/18    100.000     0.000    3.5002                                    0.096693   0.096781  0.100107     11.89    35.73
Goldman Sachs Group,Inc. 38143U6V8 09/28/12 12/31/18    100.000     0.000    3.1501                         0.085602   0.087721   0.087650  0.090506      8.13    32.01
Goldman Sachs Group,Inc. 38143U7M7 11/02/12 11/01/19    100.000     0.000    3.0101                                    0.083616   0.084868  0.086145      4.93    30.48
Goldman Sachs Group,Inc. 38143UAS0 09/10/04 09/10/12    100.000     0.500    4.7699              0.178870   0.182805                                     45.25         
Goldman Sachs Group,Inc. 38143UB34 08/31/11 08/31/26*   100.000    VARIES    5.7419              0.157745   0.154074   0.154581                          51.72*        
Goldman Sachs Group,Inc. 38143UB91 09/01/11 09/01/16    100.000    VARIES    2.6249              0.008499   0.008342   0.008183   0.008022  0.007859      2.99     2.88
Goldman Sachs Group,Inc. 38143UBB6 03/16/05 03/16/12    100.000     1.000    5.0399              0.182870                                                13.72         
Goldman Sachs Group,Inc. 38143UBC4 04/13/05 04/13/12    100.000     0.500    4.9999              0.186203                                                18.99         
Goldman Sachs Group,Inc. 38143UBH3 10/03/05 10/03/12    100.000     1.000    5.0999              0.181844   0.185773                                     50.17         
Goldman Sachs Group,Inc. 38143UBN0 03/16/07 03/16/14    100.000     0.000    5.7599              0.206585   0.212534   0.218655   0.224953  0.231431     76.71    81.19
Goldman Sachs Group,Inc. 38143UC41 09/15/11 09/15/26*   100.000    VARIES    5.9696              0.165825   0.164142   0.162408                          56.43*        
Goldman Sachs Group,Inc. 38143UC58 09/30/11 09/30/16    100.000     0.000    4.3397              0.120549   0.123165   0.125837   0.128568  0.131358     44.35    46.30
Goldman Sachs Group,Inc. 38143UCG4 10/09/07 10/13/15    100.000     0.000    5.8199              0.203499   0.209420   0.215515   0.221786  0.228240     75.26    79.71
Goldman Sachs Group,Inc. 38143UCK5 01/31/08 01/31/15    100.000     1.000    5.2500              0.169312   0.173028   0.176841   0.180754  0.184769     62.76    65.56
Goldman Sachs Group,Inc. 38143UCN9 04/11/08 09/11/15    100.000     3.000    5.7277              0.175233   0.177865   0.180572   0.183357  0.186222     64.14    66.13
Goldman Sachs Group,Inc. 38143UCP4 05/07/08 05/07/15    100.000     1.000    4.0000              0.123502   0.125416   0.127369   0.129361  0.131393     45.01    46.43
Goldman Sachs Group,Inc. 38143UD99 09/20/11 09/20/16    100.000    VARIES    2.6408              0.008247   0.008094   0.007939   0.007782  0.007623      2.91     2.80
Goldman Sachs Group,Inc. 38143UDK4 02/05/09 05/05/12    100.000     0.000    5.2977              0.169933                                                21.07         
Goldman Sachs Group,Inc. 38143UDU2 07/06/09 07/08/13    100.000     0.000    4.2600              0.128773   0.131516   0.134317   0.137178               47.81    25.63
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UDW8 07/10/09 07/10/14    100.000     1.000    4.6174              0.137869   0.140411   0.143011   0.145672  0.148394     50.97    52.88
Goldman Sachs Group,Inc. 38143UEL1 08/28/09 12/12/12    100.000     0.000    3.4679              0.104222   0.106029                                     35.86         
Goldman Sachs Group,Inc. 38143UEU1 10/29/09 10/29/24*   100.000    VARIES    6.0484              0.159560   0.159778                                     47.59*        
Goldman Sachs Group,Inc. 38143UEY3 10/30/09 10/30/14    100.000     1.000    3.9877              0.117591   0.119382   0.121208   0.123071  0.124971     42.88    44.20
Goldman Sachs Group,Inc. 38143UEZ0 10/29/09 10/29/16    100.000     1.000    4.6747              0.139736   0.142353   0.145031   0.147772  0.150577     51.10    53.05
Goldman Sachs Group,Inc. 38143UF63 10/31/11 05/01/17    100.000     0.000    3.8999              0.108345   0.110458   0.112612   0.114808  0.117046     39.64    41.20
Goldman Sachs Group,Inc. 38143UFM8 11/30/09 11/30/15    100.000     1.000    3.9589              0.116675   0.118435   0.120229   0.122060  0.123926     42.43    43.73
Goldman Sachs Group,Inc. 38143UFT3 12/30/09 12/30/24*   100.000    VARIES    5.9598              0.157485   0.157695                                     42.38*        
Goldman Sachs Group,Inc. 38143UGH8 02/25/10 02/25/25*   100.000    VARIES    5.9486              0.156969   0.157173   0.157383                          50.93*        
Goldman Sachs Group,Inc. 38143UGW5 03/31/10 03/31/25*   100.000    VARIES    5.7994              0.152798   0.153005                                     41.14*        
Goldman Sachs Group,Inc. 38143UH20 12/05/11 12/05/14    100.000    VARIES    3.3850              0.009755   0.009441   0.009121   0.009276  0.009433      3.44     3.32
Goldman Sachs Group,Inc. 38143UH53 12/30/11 07/03/17    100.000     0.000    4.7823              0.132842   0.132896   0.136073   0.139327  0.142659     48.41    50.74
Goldman Sachs Group,Inc. 38143UHS3 04/15/10 04/15/15    100.000     1.000    3.9405              0.114382   0.116089   0.117829   0.119603  0.121412     41.75    43.01
Goldman Sachs Group,Inc. 38143UHT1 04/20/10 04/20/15    100.000     0.000    3.9150              0.115265   0.117521   0.119822   0.122167  0.124559     42.23    43.89
Goldman Sachs Group,Inc. 38143UJE2 05/26/10 05/26/16    100.000     0.000    5.1358              0.153936   0.157889   0.161944   0.166102  0.170368     56.41    59.34
Goldman Sachs Group,Inc. 38143UJL6 05/21/10 05/21/15    100.000     0.000    2.4439              0.070406   0.071267   0.072138   0.073019  0.073911     25.57    26.20
Goldman Sachs Group,Inc. 38143UJX0 06/24/10 06/24/16    100.000     0.000    4.3999              0.130465   0.133335   0.136268   0.139266  0.142330     47.52    49.64
Goldman Sachs Group,Inc. 38143UK91 01/26/12 01/28/14    100.000    VARIES    2.9996              0.083324   0.083338   0.084588   0.084607  0.085875     28.11    30.65
Goldman Sachs Group,Inc. 38143UKX8 08/31/10 08/31/17    100.000     0.000    4.4059              0.126435   0.127816   0.132797   0.133509  0.138712     47.31    49.33
Goldman Sachs Group,Inc. 38143UL25 01/31/12 07/31/17    100.000     0.000    4.0496                         0.112491   0.114769   0.117093  0.119464     37.58    42.44
Goldman Sachs Group,Inc. 38143ULK5 07/28/10 07/28/17    100.000    VARIES    2.6534              0.016226   0.015414   0.015618   0.015826  0.016036      5.60     5.72
Goldman Sachs Group,Inc. 38143ULL3 07/29/10 07/29/15    100.000     0.000    3.7102              0.106921   0.108905   0.110925   0.112983  0.115079     39.46    40.93
Goldman Sachs Group,Inc. 38143ULM1 07/28/10 07/28/17    100.000    VARIES    2.6469              0.016064   0.015262   0.015464   0.015669  0.015876      5.55     5.67
Goldman Sachs Group,Inc. 38143ULN9 08/06/10 08/06/20    100.000    VARIES    2.8170              0.020652   0.019495   0.018322   0.018580  0.018842      6.89     6.72
Goldman Sachs Group,Inc. 38143ULQ2 08/20/10 08/20/15    100.000    VARIES    1.9250              0.006820   0.006886   0.006952   0.007019  0.007086      2.48     2.53
Goldman Sachs Group,Inc. 38143ULV1 08/26/10 08/26/20    100.000    VARIES    2.6793              0.022718   0.021507   0.020280   0.020552  0.020827      7.66     7.42
Goldman Sachs Group,Inc. 38143UM65 01/20/12 03/28/16     99.500     0.000    4.2189              0.116608   0.117537   0.120016   0.122548  0.125133     40.25    44.14
Goldman Sachs Group,Inc. 38143UMA6 08/20/10 08/20/20    100.000    VARIES    2.6781              0.014238   0.013479   0.012711   0.012881  0.013053      4.79     4.65
Goldman Sachs Group,Inc. 38143UMC2 08/26/10 08/26/15    100.000    VARIES    1.8192              0.006971   0.007035   0.007099   0.007164  0.007229      2.54     2.58
Goldman Sachs Group,Inc. 38143UME8 09/08/10 09/08/17    100.000    VARIES    2.3458              0.014337   0.013917   0.013493   0.013651  0.013811      4.99     4.92
Goldman Sachs Group,Inc. 38143UMH1 09/08/10 09/08/20    100.000    VARIES    2.6543              0.024122   0.022848   0.021558   0.021844  0.022134      8.16     7.88
Goldman Sachs Group,Inc. 38143UMJ7 09/10/10 09/10/20    100.000    VARIES    2.6625              0.015465   0.014645   0.013815   0.013999  0.014186      5.24     5.05
Goldman Sachs Group,Inc. 38143UMQ1 09/29/10 09/28/17    100.000     0.000    4.0718              0.117745   0.120143   0.122589   0.125084  0.127631     43.27    45.05
Goldman Sachs Group,Inc. 38143UMU2 09/21/10 09/21/20    100.000    VARIES    2.7708              0.021290   0.020434   0.019566   0.018685  0.018944      7.34     6.82
Goldman Sachs Group,Inc. 38143UMW8 09/21/10 09/21/17    100.000    VARIES    2.3116              0.018417   0.017617   0.017821   0.018027  0.018235      6.43     6.49
Goldman Sachs Group,Inc. 38143UNC1 10/12/10 10/12/15    100.000     0.000    3.1999              0.091753   0.093221   0.094713   0.096228  0.097768     33.53    34.61
Goldman Sachs Group,Inc. 38143UNG2 10/19/10 10/20/25    100.000    VARIES    4.9992              0.136047   0.134587   0.133091   0.131558  0.129986     48.50    47.42
Goldman Sachs Group,Inc. 38143UNH0 10/29/10 10/31/17    100.000     2.000    3.7647              0.106449   0.107407   0.108383   0.109377  0.110390     38.61    39.32
Goldman Sachs Group,Inc. 38143UNQ0 10/29/10 10/29/25    100.000    VARIES    4.8705              0.132378   0.130867   0.129318   0.129486  0.129657     47.19    46.61
Goldman Sachs Group,Inc. 38143UNT4 10/29/10 10/29/20    100.000    VARIES    2.0301              0.019091   0.018318   0.017537   0.017715  0.017895      6.64     6.37
Goldman Sachs Group,Inc. 38143UNU1 10/29/10 10/29/20    100.000    VARIES    2.3763              0.023846   0.022717   0.021575   0.021831  0.022091      8.24     7.85
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UNV9 11/05/10 11/05/15    100.000    VARIES    1.6723              0.009979   0.010063   0.010147   0.010232  0.010317      3.62     3.68
Goldman Sachs Group,Inc. 38143UNX5 11/05/10 11/05/15    100.000    VARIES    1.6984              0.013822   0.013646   0.013468   0.013587  0.013702      4.92     4.88
Goldman Sachs Group,Inc. 38143UNY3 11/01/10 11/01/17    100.000    VARIES    1.9534              0.004276   0.004119   0.004160   0.004200  0.004241      1.50     1.51
Goldman Sachs Group,Inc. 38143UP54 02/29/12 08/31/17    100.000     0.000    4.3504                         0.118218   0.122791   0.123416  0.128191     36.86    45.60
Goldman Sachs Group,Inc. 38143UPE5 11/10/10 11/10/25    100.000    VARIES    4.9480              0.134591   0.133110   0.131593   0.131756  0.131923     48.03    47.42
Goldman Sachs Group,Inc. 38143UPF2 11/15/10 11/15/17    100.000    VARIES    2.1778              0.012648   0.012131   0.012263   0.012397  0.012532      4.44     4.45
Goldman Sachs Group,Inc. 38143UPG0 11/29/10 11/29/16    100.000     0.000    3.4000              0.097684   0.099345   0.101033   0.102751  0.104498     35.57    36.79
Goldman Sachs Group,Inc. 38143UPQ8 11/18/10 11/18/15    100.000    VARIES    1.6239              0.008810   0.008882   0.008954   0.009027  0.009100      3.19     3.24
Goldman Sachs Group,Inc. 38143UPS4 11/18/10 11/18/15    100.000    VARIES    1.6239              0.008810   0.008882   0.008953   0.009027  0.009100      3.19     3.24
Goldman Sachs Group,Inc. 38143UQC8 11/30/10 11/30/17    100.000    VARIES    2.2520              0.012004   0.011496   0.011625   0.011756  0.011889      4.22     4.22
Goldman Sachs Group,Inc. 38143UQF1 12/15/10 12/15/25    100.000    VARIES    5.1997              0.141803   0.140435   0.139031   0.139179  0.139331     50.76    50.08
Goldman Sachs Group,Inc. 38143UQG9 12/06/10 12/06/15    100.000    VARIES    1.5366              0.006184   0.006232   0.006279   0.006328  0.006376      2.24     2.27
Goldman Sachs Group,Inc. 38143UQJ3 12/28/10 12/28/16    100.000     0.000    3.5998              0.103628   0.105493   0.107392   0.109325  0.111293     37.65    39.02
Goldman Sachs Group,Inc. 38143UQN4 12/30/10 12/30/25    100.000    VARIES    5.4997              0.150448   0.149239   0.147996   0.148124  0.148255     53.94    53.30
Goldman Sachs Group,Inc. 38143UQP9 12/22/10 12/22/20    100.000    VARIES    2.3885              0.023791   0.022660   0.021514   0.021771  0.022031      8.34     7.80
Goldman Sachs Group,Inc. 38143UQQ7 01/31/11 01/31/17    100.000     0.000    3.6501              0.103245   0.105129   0.107048   0.109002  0.110991     38.08    39.48
Goldman Sachs Group,Inc. 38143UQS3 01/31/11 01/31/26    100.000    VARIES    5.2484              0.144513   0.143203   0.141858   0.140478  0.139062     51.39    50.40
Goldman Sachs Group,Inc. 38143UQT1 01/31/11 07/31/25*   100.000    VARIES    5.7789              0.156337   0.152025   0.148675                          45.28*        
Goldman Sachs Group,Inc. 38143UQU8 01/31/11 01/31/26    100.000    VARIES    5.2476              0.145219   0.144656   0.144078   0.143486  0.143718     52.01    51.71
Goldman Sachs Group,Inc. 38143UQZ7 01/31/11 01/31/18    100.000    VARIES    1.9815              0.018386   0.017946   0.017502   0.017054  0.017223      6.41     6.18
Goldman Sachs Group,Inc. 38143URA1 01/31/11 01/31/16    100.000    VARIES    1.6251              0.008642   0.008362   0.008430   0.008498  0.008567      3.03     3.07
Goldman Sachs Group,Inc. 38143URD5 02/28/11 02/28/17    100.000     0.000    4.0298              0.112941   0.113964   0.118187   0.118603  0.122998     42.17    43.81
Goldman Sachs Group,Inc. 38143URJ2 02/28/11 02/28/17    100.000     0.000    4.1552              0.116526   0.117654   0.122089   0.122594  0.127215     43.54    45.29
Goldman Sachs Group,Inc. 38143URW3 03/31/11 03/31/17    100.000     0.000    3.9998              0.113329   0.115595   0.117907   0.120265  0.122670     41.62    43.30
Goldman Sachs Group,Inc. 38143URX1 03/31/11 03/31/17    100.000     0.000    3.9998              0.113329   0.115595   0.117907   0.120265  0.122670     41.62    43.30
Goldman Sachs Group,Inc. 38143US77 03/30/12 01/03/18    100.000     0.000    4.1997                         0.116661   0.117926   0.120403  0.122931     31.84    43.79
Goldman Sachs Group,Inc. 38143USM4 03/18/11 03/18/21    100.000    VARIES    5.2913              0.147932   0.148906   0.149906   0.150932  0.151100     53.63    54.27
Goldman Sachs Group,Inc. 38143USN2 03/21/11 03/21/26*   100.000    VARIES    6.0812              0.165614   0.162204                                     42.45*        
Goldman Sachs Group,Inc. 38143UST9 03/18/11 03/18/16    100.000     1.000    3.6798              0.103587   0.104982   0.106403   0.107849  0.109323     37.83    38.87
Goldman Sachs Group,Inc. 38143USV4 03/23/11 03/23/16    100.000    VARIES    1.6343              0.008781   0.008494   0.008564   0.008634  0.008704      3.09     3.11
Goldman Sachs Group,Inc. 38143UTC5 03/25/11 03/28/16    100.000     0.000    3.6702              0.103854   0.105760   0.107701   0.109677  0.111690     38.09    39.50
Goldman Sachs Group,Inc. 38143UTJ0 04/29/11 05/01/17    100.000     0.000    3.7497              0.106135   0.108125   0.110153   0.112218  0.114322     38.81    40.28
Goldman Sachs Group,Inc. 38143UTM3 04/29/11 04/29/17    100.000     0.000    3.7501              0.106125   0.108115   0.110142   0.112208  0.114312     38.81    40.28
Goldman Sachs Group,Inc. 38143UTN1 04/13/11 04/13/21    100.000    VARIES    5.2207              0.145907   0.146816   0.147748   0.148704  0.148709     52.83    53.44
Goldman Sachs Group,Inc. 38143UTY7 04/27/11 04/27/16    100.000    VARIES    1.6045              0.008953   0.008666   0.008736   0.008806  0.008877      3.16     3.17
Goldman Sachs Group,Inc. 38143UU90 05/25/12 05/27/14    100.000     0.000    2.8400              0.078891   0.078904   0.080024   0.081161  0.082313     17.08    29.09
Goldman Sachs Group,Inc. 38143UUA7 04/29/11 04/29/21    100.000    VARIES    2.1672              0.017171   0.016468   0.015756   0.015038  0.015201      5.97     5.51
Goldman Sachs Group,Inc. 38143UUF6 05/11/11 05/11/16    100.000     0.000    3.3748              0.095328   0.096936   0.098572   0.100236  0.101927     34.77    35.95
Goldman Sachs Group,Inc. 38143UUJ8 05/31/11 05/31/17    100.000     0.000    3.9998              0.113329   0.115595   0.117907   0.120265  0.122670     41.35    43.02
Goldman Sachs Group,Inc. 38143UUU3 05/31/11 05/31/26    100.000    VARIES    5.4943              0.151091   0.149518   0.147902   0.146242  0.144536     54.01    52.84
Goldman Sachs Group,Inc. 38143UUY5 07/20/11 07/20/21    100.000     0.000    5.1298              0.142496   0.146151   0.149899   0.153744  0.157688     53.15    55.91
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group,Inc. 38143UV57 05/29/12 11/29/13    100.000     0.000    2.3300                         0.064724   0.065479   0.066241               13.75    21.61
Goldman Sachs Group,Inc. 38143UVD0 06/06/11 06/06/26    100.000    VARIES    5.8161              0.157775   0.153881   0.147954   0.141854  0.135577     55.85    51.86
Goldman Sachs Group,Inc. 38143UVG3 06/07/11 06/07/21    100.000    VARIES    2.2754              0.017892   0.017125   0.016348   0.015563  0.015740      6.27     5.73
Goldman Sachs Group,Inc. 38143UVH1 06/30/11 06/30/17    100.000     0.000    3.7799              0.106982   0.109004   0.111064   0.113163  0.115302     38.88    40.37
Goldman Sachs Group,Inc. 38143UVK4 06/16/11 06/16/26    100.000    VARIES    5.4946              0.151098   0.149525   0.147910   0.146250  0.144544     54.06    52.90
Goldman Sachs Group,Inc. 38143UVS7 06/13/11 06/13/16    100.000     0.000    3.6198              0.102372   0.104225   0.106111   0.108032  0.109987     37.25    38.62
Goldman Sachs Group,Inc. 38143UVT5 06/13/11 06/13/17    100.000     0.000    4.0901              0.115937   0.118308   0.120728   0.123197  0.125716     42.25    44.00
Goldman Sachs Group,Inc. 38143UVV0 06/17/11 06/17/16    100.000    VARIES    2.0754              0.012686   0.012160   0.012286   0.012413  0.012542      4.47     4.45
Goldman Sachs Group,Inc. 38143UW23 06/29/12 06/30/17    100.000     0.000    4.0999              0.113887   0.113901   0.116236   0.118618  0.121050     20.73    42.28
Goldman Sachs Group,Inc. 38143UWD9 06/30/11 06/30/26    100.000    VARIES    5.6453              0.155557   0.154263   0.152933   0.151565  0.150159     55.76    54.81
Goldman Sachs Group,Inc. 38143UWL1 07/29/11 07/29/26    100.000    VARIES    5.3945              0.149849   0.148272   0.146652   0.144988  0.143280     53.18    51.98
Goldman Sachs Group,Inc. 38143UWM9 08/04/11 07/31/17    100.000     0.000    3.7994              0.103245   0.106319   0.107161   0.111007  0.111272     38.95    40.44
Goldman Sachs Group,Inc. 38143UXB2 08/15/11 08/15/26    100.000    VARIES    5.8794              0.163318   0.159954   0.156490   0.152236  0.147857     57.26    54.40
Goldman Sachs Group,Inc. 38143UXG1 08/31/11 01/31/17    100.000     0.000    3.7498              0.104161   0.105789   0.107772   0.109793  0.111851     38.34    39.78
Goldman Sachs Group,Inc. 38143UY47 06/18/12 06/18/17    100.000    VARIES    3.6370                         0.011647   0.010872   0.010083  0.010267      2.24     3.76
Goldman Sachs Group,Inc. 38143UZA2 11/04/11 11/04/14    100.000    VARIES    2.8486              0.011684   0.011365   0.011041   0.011199  0.011358      4.11     4.02
Goldman Sachs Group,Inc. 38143UZJ3 11/30/11 06/02/17    100.000     0.000    5.4499              0.151433   0.155559   0.159798   0.164152  0.168625     55.50    58.57
Goldman Sachs Group,Inc. 38143UZL8 11/14/11 11/14/14    100.000    VARIES    3.0057              0.016270   0.015802   0.015327   0.015578  0.015792      5.73     5.58
Goldman Sachs Group,Inc. 38143UZM6 11/30/11 11/30/26    100.000    VARIES    7.1413              0.198371   0.197271   0.196133   0.194953  0.193731     71.15    70.32
Goldman Sachs Group,Inc. 38143UZV6 11/18/11 11/18/13    100.000     0.000    2.3999              0.066665   0.067465   0.068275   0.069094               24.21    21.79
Goldman Sachs Group,Inc. 38145T573 08/10/09 08/10/12    100.000     0.000    3.4194              0.101650   0.103388                                     22.57         
Goldman Sachs Group,Inc. 38145T656 09/03/09 09/04/12    100.000     0.000    3.3182              0.098453   0.100086                                     24.22         
Goldman Sachs Group,Inc. 38145T854 07/31/09 07/31/12    100.000     0.000    3.6701              0.109639   0.111651                                     23.28         
Goldman Sachs Group,Inc. 38145T888 08/11/09 12/11/12    100.000     0.000    3.6196              0.109329   0.111307                                     37.53         
Goldman Sachs Group,Inc. 38146R386 10/17/11 10/20/14    100.000     0.000    4.3497              0.120871   0.123500   0.126186   0.128930  0.131734     44.36    46.31
Graphic Packaging Intl   38869PAE4 06/16/09 06/15/17     97.292     9.500    9.9998     6.45     0.008118   0.008524   0.008950   0.009398  0.009868      3.01     3.32
Graphic Packaging Intl   38869PAF1 06/16/09 06/15/17     97.292     9.500    9.9998     6.45     0.008118   0.008524   0.008950   0.009398  0.009868      3.01     3.32
Great Plains Energy,Inc. 391164803 05/18/09 06/15/42*   100.000    VARIES   11.2196              0.317382                                                25.71*        
Great Plains Energy,Inc. 391164AC4 05/18/09 06/15/42*   100.000    VARIES   11.2196              0.317382                                                52.69*        
Great Plains Energy,Inc. 391164AF7 03/22/12 06/15/22    103.480     5.292    4.8564              0.137307   0.137225   0.137799   0.136863  0.137427     39.13    50.12
Griffon Corporation      398433AA0 07/18/03 07/18/23    100.000    VARIES    8.5003              0.353668   0.363219   0.373175   0.383462  0.394187    132.22   139.62
Griffon Corporation      398433AB8 07/18/03 07/18/23    100.000    VARIES    8.5003              0.353668   0.363219   0.373175   0.383462  0.394187    132.22   139.62
Grundy CNTY SD #72-C, IL 400292BB3 11/01/12 12/01/13    101.337     0.000    1.4897                         0.041936   0.041988   0.042300                2.52    13.91
Grundy CNTY SD #72-C, IL 400292BC1 11/01/12 12/01/14    104.070    VARIES    1.7420                         0.050359   0.050432   0.050871  0.049349      3.02    18.20
Grundy CNTY SD #72-C, IL 400292BD9 11/01/12 12/01/15    105.206    VARIES    1.9927                         0.058236   0.058333   0.058914  0.057252      3.50    21.07
Grundy CNTY SD #72-C, IL 400292BE7 11/01/12 12/01/16    106.789    VARIES    2.2434                         0.066547   0.066672   0.067420  0.065476      4.00    24.10
Grundy CNTY SD #72-C, IL 400292BF4 11/01/12 12/01/17    107.117    VARIES    2.4939                         0.074206   0.074360   0.075287  0.073224      4.46    26.90
Grundy CNTY SD #72-C, IL 400292BG2 11/01/12 12/01/18    108.347    VARIES    2.7441                         0.082588   0.082777   0.083913  0.081555      4.96    29.97
Grundy CNTY SD #72-C, IL 400292BH0 11/01/12 12/01/19    107.921    VARIES    2.9942                         0.089761   0.089985   0.091333  0.088871      5.39    32.60
HSBC USA, Inc.           4042K02W4 06/29/10 06/29/12    100.000     0.000    1.2997              0.036813                                                 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
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K03W3 07/30/10 08/01/13    100.000     2.350    2.3499              0.065278   0.065278   0.065278   0.065278               23.50    13.71
HSBC USA, Inc.           4042K04T9 08/17/10 08/16/13    100.000     0.000    1.2967              0.036487   0.036723   0.036962   0.037201               13.24     8.36
HSBC USA, Inc.           4042K04U6 08/31/10 08/29/13    100.000     1.300    1.2999              0.035326   0.035714   0.035519   0.035714               13.02     8.56
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.           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              0.058535   0.059133   0.059737                          21.28     5.62
HSBC USA, Inc.           4042K0UD5 01/30/09 07/31/14    100.000     0.000    2.4845              0.071819   0.073510   0.073615   0.075764  0.075455     26.87    27.54
HSBC USA, Inc.           4042K0UX1 02/27/09 08/26/14    100.000     0.000    3.0323              0.090808   0.092185   0.093582   0.095001  0.096442     33.29    34.30
HSBC USA, Inc.           4042K0VV4 03/31/09 09/30/14    100.000     0.000    3.3762              0.101973   0.103695   0.105445   0.107225  0.109035     37.34    38.61
HSBC USA, Inc.           4042K0W35 04/27/10 04/22/14    100.000     0.000    2.6880              0.077692   0.078736   0.079794   0.080867  0.081954     28.30    29.07
HSBC USA, Inc.           4042K0W84 05/27/10 05/27/16    100.000     0.000    2.8554              0.082763   0.083945   0.085143   0.086359  0.087592     30.09    30.95
HSBC USA, Inc.           4042K0XJ9 06/12/09 06/12/13    100.000     0.000    3.7732              0.115079   0.117250   0.119462                          41.90    19.23
HSBC USA, Inc.           4042K0Y82 05/26/10 05/27/14    100.000     0.000    2.8563              0.082798   0.083980   0.085180   0.086396  0.087630     30.10    30.97
HSBC USA, Inc.           4042K14V2 09/28/12 09/28/18    100.000     0.000    2.1876                                    0.060768   0.061432  0.062104      5.65    22.12
HSBC USA, Inc.           4042K14W0 09/28/12 09/28/18    100.000     0.000    2.1876                                    0.060768   0.061432  0.062104      5.65    22.12
HSBC USA, Inc.           4042K14X8 10/02/12 10/02/14    100.000     0.000    0.9975                                    0.027709   0.027847  0.027986      2.47    10.02
HSBC USA, Inc.           4042K15X7 10/31/12 10/31/18    100.000     0.000    2.0692                                    0.057479   0.058074  0.058675      3.51    20.87
HSBC USA, Inc.           4042K15Y5 10/31/12 10/31/18    100.000     0.000    2.2257                                    0.061826   0.062514  0.063210      3.77    22.47
HSBC USA, Inc.           4042K1AK9 11/30/10 11/29/12    100.000     0.000    1.1550              0.032456   0.032644                                     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              0.030889   0.031059                                      9.85         
HSBC USA, Inc.           4042K1B28 03/27/12 03/27/19    100.000     0.000    3.6762                         0.102117   0.103994   0.105906  0.107852     28.16    38.14
HSBC USA, Inc.           4042K1BL6 12/29/10 12/28/12    100.000     0.000    1.3010              0.036612   0.036850                                     13.11         
HSBC USA, Inc.           4042K1BQ5 01/24/11 01/24/18    100.000     0.000    3.6480              0.103182   0.105064   0.106980   0.108932  0.110919     38.08    39.48
HSBC USA, Inc.           4042K1CG6 01/31/11 01/31/13    100.000     0.000    1.2570              0.035139   0.035360   0.035582                          12.76     1.03
HSBC USA, Inc.           4042K1CU5 02/03/11 02/05/18    100.000     2.250    3.7875              0.106029   0.106853   0.107693   0.108549  0.109421     38.56    39.18
HSBC USA, Inc.           4042K1D59 04/05/12 04/05/18    100.000     0.000    3.2441                         0.090116   0.091578   0.093063  0.094573     24.10    33.49
HSBC USA, Inc.           4042K1DR1 02/28/11 02/28/13    100.000     0.000    1.3600              0.037618   0.037463   0.038343                          13.83     2.22
HSBC USA, Inc.           4042K1DS9 02/28/11 02/28/13    100.000     0.000    1.3600              0.037618   0.037463   0.038343                          13.83     2.22
HSBC USA, Inc.           4042K1DX8 02/11/11 02/11/13    100.000     0.000    1.4687              0.041098   0.041400   0.041704                          14.93     1.67
HSBC USA, Inc.           4042K1E58 04/26/12 10/26/18    100.000     0.000    3.3063                         0.091844   0.093362   0.094906  0.096475     22.60    34.09
HSBC USA, Inc.           4042K1E66 04/26/12 04/27/17    100.000     0.000    2.7102              0.075285   0.075291   0.076312   0.077346  0.078394     18.51    27.79
HSBC USA, Inc.           4042K1ED1 03/04/11 03/03/16    100.000     3.210    3.2099              0.089167   0.089167   0.089167   0.089167  0.089167     32.10    32.10
HSBC USA, Inc.           4042K1EP4 03/30/11 03/28/13    100.000     0.000    1.3746              0.038445   0.038709   0.038975                          13.94     3.39
HSBC USA, Inc.           4042K1EQ2 03/30/11 03/28/13    100.000     0.000    1.3746              0.038445   0.038709   0.038975                          13.94     3.39
HSBC USA, Inc.           4042K1FE8 03/24/11 03/24/18    100.000    VARIES    3.9708              0.110423   0.110548   0.110529   0.110510  0.110491     39.79    39.78
HSBC USA, Inc.           4042K1GC1 04/29/11 05/01/13    100.000     0.000    1.2550              0.035084   0.035304   0.035526                          12.70     4.26
HSBC USA, Inc.           4042K1GG2 05/04/11 05/04/18    100.000    VARIES    3.6984              0.102579   0.102421   0.102445   0.102469  0.102493     36.89    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  0.083056     29.90    29.90
HSBC USA, Inc.           4042K1GR8 05/31/11 05/30/13    100.000     0.000    1.1609              0.032079   0.031914   0.032631                          11.73     4.86
HSBC USA, Inc.           4042K1HR7 05/23/11 05/23/13    100.000     0.000    1.1588              0.032378   0.032566   0.032754                          11.70     4.65
HSBC USA, Inc.           4042K1HW6 06/21/11 06/20/13    100.000     0.000    1.0989              0.030693   0.030862   0.031032                          11.08     5.24
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K1HX4 06/10/11 06/10/19    100.000    VARIES    3.5773              0.099162   0.098948   0.098975   0.099003  0.099031     35.66    35.64
HSBC USA, Inc.           4042K1JT1 06/13/11 06/13/18    100.000    VARIES    3.3850              0.093151   0.092260   0.092394   0.092530  0.092669     33.36    33.29
HSBC USA, Inc.           4042K1K77 05/29/12 11/28/18    100.000     0.000    3.0538                         0.084828   0.086116   0.087431  0.088766     18.03    31.33
HSBC USA, Inc.           4042K1KE2 07/29/11 07/31/17    100.000     0.000    2.9725              0.082586   0.083813   0.085059   0.086323  0.087606     30.33    31.23
HSBC USA, Inc.           4042K1KG7 07/29/11 07/31/17    100.000     0.000    2.9725              0.082586   0.083813   0.085059   0.086323  0.087606     30.33    31.23
HSBC USA, Inc.           4042K1KK8 07/13/11 01/11/13    100.000     0.000    0.6516              0.018101   0.018159   0.018218                           6.55      .18
HSBC USA, Inc.           4042K1M59 05/15/12 05/15/14    100.000     0.000    1.4599                         0.040554   0.040850   0.041148  0.041448      9.18    14.79
HSBC USA, Inc.           4042K1NJ8 09/30/11 10/02/14    100.000     1.967    1.9669              0.054639   0.054639   0.054639   0.054639  0.054639     19.67    19.67
HSBC USA, Inc.           4042K1NQ2 10/13/11 10/15/13    100.000     0.000    1.5548              0.043193   0.043529   0.043867   0.044208               15.66    12.52
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES    4.1952              0.116536   0.114319   0.112056   0.112263  0.112475     41.42    40.39
HSBC USA, Inc.           4042K1TZ6 12/20/11 12/20/21    100.000    VARIES    4.3009              0.119470   0.117709   0.115909   0.116073  0.116241     42.65    41.76
HSBC USA, Inc.           4042K1U43 06/29/12 06/29/18    100.000     0.000    2.6048                         0.072358   0.073301   0.074255  0.075222     13.17    26.56
HSBC USA, Inc.           4042K1XC2 02/29/12 03/01/18    100.000     0.000    3.1254              0.086817   0.086826   0.088183   0.089561  0.090960     26.30    32.33
HSBC USA, Inc.           4042K1XD0 02/29/12 03/01/17    100.000     0.000    2.9015              0.080599   0.080606   0.081776   0.082962  0.084166     24.40    29.94
HSBC USA, Inc.           4042K1XE8 02/07/12 02/07/17    100.000     0.000    2.7410                         0.076140   0.077183   0.078241  0.079313     24.82    28.28
HSBC USA, Inc.           4042K1XF5 02/29/12 03/01/19    100.000     0.000    3.4939              0.097053   0.097064   0.098759   0.100485  0.102240     29.42    36.28
HSBC USA, Inc.           4042K1Z30 08/30/12 08/30/18    100.000     0.000    2.4720                                    0.067912   0.068376  0.069601      8.42    25.08
HSBC USA, Inc.           4042K1Z48 08/30/12 02/28/18    100.000     0.000    2.2077                         0.059668   0.060990   0.060658  0.062344      7.56    22.37
HSBC USA, Inc.           4042K1Z63 08/08/12 08/08/19    100.000     0.000    2.6152                                    0.072645   0.073595  0.074558     10.39    26.60
HSBC USA, Inc.           4042K1ZD8 03/30/12 03/30/17    100.000     0.000    2.8298                         0.078607   0.079719   0.080847  0.081991     21.40    29.11
HSBC USA, Inc.           4042K1ZE6 04/04/12 04/04/18    100.000     0.000    3.2440                         0.090112   0.091574   0.093059  0.094568     24.19    33.49
HSBC USA, Inc.           4042K1ZK2 04/02/12 04/02/19    100.000     0.000    3.4236                         0.095103   0.096731   0.098386  0.100071     25.73    35.42
HSBC USA, Inc.           4042K1ZU0 03/20/12 09/18/15    100.000     0.000    2.0474                         0.056875   0.057450   0.058039  0.058633     16.04    20.91
HSBC USA, Inc.           40432X2M2 11/27/12 11/27/18    100.000     0.000    2.0105                                    0.055848   0.056409  0.056977      1.90    20.24
HSBC USA, Inc.           40432X2N0 11/27/12 11/27/18    100.000     0.000    2.1491                                    0.059699   0.060340  0.060989      2.03    21.65
HSBC USA, Inc.           40432X3T6 11/26/12 11/25/19    100.000     0.000    2.2776                                    0.063268   0.063985  0.064714      2.21    22.96
John Hancock Life Ins Co 41013MBT6 10/29/02 04/15/15     50.000     0.000    5.6403   332.90     0.128960   0.132597   0.136336   0.140181  0.144134     47.64    50.37
Harrisburg, PA           414738NT7 12/28/95 04/01/12     32.621     0.000    7.0092   656.86     0.188108                                                16.93         
Harrisburg, PA           414738NU4 12/28/95 04/01/13     30.247     0.000    7.0491   614.71     0.176484   0.182705   0.189144                          65.79    17.02
Harrisburg, PA           414738NV2 12/28/95 04/01/14     27.925     0.000    7.1092   575.43     0.165834   0.171729   0.177833   0.184155  0.190701     61.84    66.32
Harrisburg, PA           414738NW0 12/28/95 04/01/15     25.992     0.000    7.1193   536.84     0.154811   0.160322   0.166029   0.171939  0.178060     57.73    61.92
Harrisburg, PA           414738NX8 12/28/95 04/01/16     24.047     0.000    7.1593   501.24     0.144910   0.150098   0.155471   0.161036  0.166800     54.05    57.99
Harrisburg, PA           414738NY6 12/28/95 04/01/17     22.322     0.000    7.1792   467.41     0.135300   0.140157   0.145188   0.150400  0.155799     50.47    54.16
Harrisburg, PA           414738NZ3 12/28/95 04/01/18     20.535     0.000    7.2393   435.92     0.126663   0.131247   0.135998   0.140921  0.146022     47.26    50.75
Harrisburg, PA           414738PA6 12/28/95 04/01/19     19.125     0.000    7.2394   406.00     0.117969   0.122239   0.126663   0.131248  0.135999     44.02    47.26
Hartford Life Insurance  41659LAS0 08/16/07 08/16/17    100.000     0.000    5.7021              0.198337   0.203992   0.209808   0.215790  0.221942     73.97    78.25
Hartford Life Insurance  4165X2AC0 01/23/07 01/23/13    100.000     0.000    4.9060              0.169493   0.173650   0.177910                          63.10     3.91
Hartford Life Insurance  4165X2AE6 02/06/07 02/06/13    100.000     0.000    4.9496              0.171327   0.175567   0.179912                          63.69     6.30
Hartford Life Insurance  4165X2AG1 02/20/07 02/20/13    100.000     0.000    4.8472              0.167028   0.171077   0.175223                          61.93     8.59
Hartford Life Insurance  4165X2AJ5 03/05/07 03/05/13    100.000     0.000    4.6977              0.160820   0.164598   0.168464                          59.46    10.78
Hartford Life Insurance  4165X2AL0 03/06/07 09/20/12    100.000     0.000    4.6360              0.158562   0.162238                                     41.73         
Hartford Life Insurance  4165X2AM8 03/19/07 03/19/13    100.000     0.000    4.8023              0.165156   0.169122   0.173183                          60.99    13.51
Hartford Life Insurance  4165X2AP1 04/23/07 04/23/14    100.000     0.000    4.5737              0.155720   0.159281   0.162924   0.166650  0.170461     57.19    59.84
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Hartford Life Insurance  4165X2AQ9 04/23/07 04/23/12    100.000     0.000    4.5578              0.155071                                                17.37         
Hartford Life Insurance  4165X2AR7 05/07/07 05/07/13    100.000     0.000    4.6205              0.157640   0.161282   0.165008                          57.80    20.79
Hartford Life Insurance  4165X2AT3 06/11/07 06/11/14    100.000     0.000    5.0297              0.174714   0.179108   0.183613   0.188230  0.192964     63.87    67.12
Hartford Life Insurance  4165X2AU0 07/02/07 07/02/14    100.000     0.000    5.2090              0.177741   0.182370   0.187120   0.191994  0.196994     66.50    70.01
Hartford Life Insurance  4165X2AV8 07/23/07 07/23/14    100.000     0.000    5.1914              0.177019   0.181614   0.186328   0.191165  0.196127     66.02    69.50
Hartford Life Insurance  4165X2AW6 08/13/07 08/13/14    100.000     0.000    5.1603              0.175747   0.180282   0.184934   0.189705  0.194600     65.35    68.77
Hartford Life Insurance  4165X2AX4 09/04/07 09/04/14    100.000     0.000    5.1515              0.175386   0.179904   0.184538   0.189291  0.194167     65.02    68.42
Hartford Life Insurance  4165X2AZ9 10/29/07 10/29/12    100.000     0.000    4.3252              0.142576   0.145659                                     43.04         
Hartford Life Insurance  4165X2BA3 11/19/07 11/19/12    100.000     0.000    4.3476              0.143441   0.146559                                     46.18         
Hartford Life Insurance  4165X2BB1 12/10/07 12/10/12    100.000     0.000    4.1902              0.137397   0.140275                                     47.10         
Hartford Life Insurance  4165X2BD7 01/30/08 01/30/13    100.000     0.000    3.6931              0.116604   0.118757   0.120950                          43.02     3.51
Hartford Life Insurance  4165X2BH8 07/02/08 06/25/13    100.000     0.000    4.4925              0.145663   0.148935   0.152280                          53.07    26.50
Hartford Life Insurance  4165X2BJ4 07/09/08 07/09/15    100.000     0.000    4.1028              0.128734   0.131375   0.134070   0.136821  0.139627     47.74    49.72
Hartford Life Insurance  4165X2BK1 07/24/08 01/15/13    100.000     0.000    4.5364              0.144005   0.147272   0.150612                          53.53     2.11
Hoboken, NJ              434110QH8 08/28/03 04/01/27     19.107     0.000    7.1397   152.05     0.066856   0.069243   0.071715   0.074275  0.076927     24.94    26.75
Hoboken, NJ              434110QJ4 08/28/03 04/01/28     17.813     0.000    7.1396   141.75     0.062327   0.064552   0.066856   0.069243  0.071715     23.25    24.94
Hoboken, NJ              434110QK1 08/28/03 04/01/29     16.606     0.000    7.1397   132.15     0.058105   0.060179   0.062327   0.064552  0.066856     21.67    23.25
Hoboken, NJ              434110QL9 08/28/03 04/01/30     15.481     0.000    7.1397   123.19     0.054168   0.056102   0.058105   0.060179  0.062327     20.20    21.67
Hoboken, NJ              434110QM7 08/28/03 04/01/31     14.432     0.000    7.1397   114.85     0.050498   0.052301   0.054168   0.056102  0.058104     18.83    20.20
Hoboken, NJ              434110QN5 08/28/03 04/01/32     13.454     0.000    7.1398   107.06     0.047077   0.048757   0.050498   0.052301  0.054168     17.56    18.83
Hoboken, NJ              434110QP0 08/28/03 04/01/33     12.543     0.000    7.1396    99.81     0.043888   0.045455   0.047077   0.048758  0.050498     16.37    17.56
Hologic, Inc.            436440AA9 12/10/07 12/15/37    100.000    VARIES    9.1269              0.333261   0.345976   0.361245   0.373172  0.389838    124.78   134.52
Horizon Lines, Inc.      44044KAC5 10/05/11 04/15/17     92.470     6.000    N/A                 0.191790   0.193153   0.194525   0.195907  0.197299     69.50    70.49
Hornbeck Offshore SVCS   440543AF3 08/17/09 09/01/17     97.123     8.000    8.5012     6.60     0.008449   0.008808   0.009182   0.009573  0.009980      3.19     3.47
Hornbeck Offshore SVCS   440543AG1 08/17/09 09/01/17     97.123     8.000    8.5012     6.60     0.008449   0.008808   0.009182   0.009573  0.009980      3.19     3.47
Hornbeck Offshore SVCS   440543AH9 08/17/09 09/01/17     97.123     8.000    8.5012     6.60     0.008449   0.008808   0.009182   0.009573  0.009980      3.19     3.47
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    442488BF8 10/20/09 10/15/16*    98.208    10.625   10.9992     4.28     0.006086   0.006420   0.006773                           1.90*        
Hovnanian Enterprises    442488BG6 10/20/09 10/15/16*    98.208    10.625   10.9992     4.28     0.006086   0.006420   0.006773                           1.90*        
Hovnanian Enterprises    442488BH4 10/20/09 10/15/16*    98.208    10.625   10.9992     4.28     0.006086   0.006420   0.006773                           1.90*        
Hovnanian Enterprises    442488BK7 02/14/11 10/15/15     97.453    11.875   12.6129     3.79     0.012567   0.013359   0.014202   0.015098  0.016050      4.79     5.41
Hovnanian Enterpiress    442488BL5 11/01/11 11/01/21     53.000     5.000   13.8062              0.203258   0.207702   0.212452   0.217530  0.222959     74.52    78.03
Hovnanian Enterpirses    442488BM3 11/01/11 11/01/21     42.000     2.000   12.1926              0.142247   0.147532   0.153140   0.159089  0.165400     52.81    56.94
Hovnanian Enterprises    442488BP6 10/02/12 12/01/17     76.851     0.000    5.1630                         0.110209   0.111150   0.114020  0.116963      9.84    40.70
Hudson CNTY NJ Impt Auth 443731BV5 12/29/10 01/01/14     98.987     3.500    3.8602     3.26     0.009269   0.009448   0.009630   0.009816                3.37     3.50
Hudson CNTY NJ Impt Auth 443731BW3 12/29/10 01/01/15     98.689     4.000    4.3602     3.08     0.008792   0.008984   0.009180   0.009380                3.20     3.34
Hutchinson Tech Inc.     448407AG1 02/11/11 01/15/15     84.940     8.500   13.5701    27.71     0.088950   0.094986   0.101430   0.108313  0.115662     35.18    40.12
Illinois Stud Asst Comm. 452281JD1 10/27/10 04/25/23     95.305     1.200    N/A                 0.012076   0.012179   0.012283   0.012389  0.012495      4.38     4.46
Independent Cities, CA   45385PAA2 03/06/12 05/15/16     77.629    18.000   27.2683              0.088004   0.092604   0.105229   0.119577  0.135880     27.58    41.87
Insignia Financing I     45766X304 11/01/96 09/30/16    100.000     6.500    6.4999              0.177596   0.177596   0.178571   0.177596  0.178571     65.09    65.00
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Interface, Inc.          458665AL0 06/05/09 11/01/13     96.301    11.375   12.4916    19.21     0.024342   0.025863   0.027478   0.029194                9.22     8.55
Interface, Inc.          458665AM8 06/05/09 11/01/13     96.301    11.375   12.4916    19.21     0.024342   0.025863   0.027478   0.029194                9.22     8.55
Interface, Inc.          458665AN6 06/05/09 11/01/13     96.301    11.375   12.4916    19.21     0.024342   0.025863   0.027478   0.029194                9.22     8.55
Intl Bnk for Reconstr    459056GQ4 03/06/85 02/15/12      5.445     0.000   11.0969   932.69     0.285695                                                12.86         
Intl Bnk for Reconstr    459056GR2 03/06/85 08/15/12      5.159     0.000   11.0967   883.66     0.270673   0.288831                                     64.75         
Intl Bnk for Reconstr    459056GS0 03/06/85 02/15/13      5.019     0.000   10.9967   836.84     0.254495   0.271439   0.283251                         100.23    12.75
Intl Bnk for Reconstr    459056GT8 03/06/85 08/15/13      4.757     0.000   10.9970   793.22     0.241237   0.257298   0.268495   0.287954               95.00    64.20
Intl Bnk for Reconstr    459056GU5 03/06/85 02/15/14      4.634     0.000   10.8975   752.23     0.227129   0.242136   0.252555   0.270730  0.280827     89.39    99.40
Intl Bnk for Reconstr    459056GV3 03/06/85 08/15/14      4.395     0.000   10.8971   713.36     0.215388   0.229619   0.239498   0.256733  0.266308     84.77    94.26
Intl Bnk for Reconstr    459056GW1 03/06/85 02/15/15      4.349     0.000   10.7474   677.87     0.202456   0.215680   0.224800   0.240806  0.249609     79.61    88.40
Intl Bnk for Reconstr    459056HY6 01/07/86 02/15/16      5.299     0.000    9.9989   615.99     0.175155   0.185933   0.193106   0.206121  0.212898     68.56    75.59
Intl Bnk for Reconstr    459056JK4 01/07/86 02/15/12      6.915     0.000   10.4986   918.65     0.271060                                                12.20         
Intl Bnk for Reconstr    459056JL2 01/07/86 02/15/13      6.323     0.000   10.4488   828.97     0.243709   0.259259   0.269838                          95.66    12.14
Intl Bnk for Reconstr    459056JM0 01/07/86 02/15/14      5.865     0.000   10.3490   748.77     0.218525   0.232358   0.241725   0.258447  0.267389     85.72    94.82
Intl Bnk for Reconstr    459056JN8 01/07/86 02/15/15      5.604     0.000   10.1490   678.23     0.195028   0.207176   0.215323   0.230000  0.237731     76.41    84.36
Interval Acquisiti Corp. 46113VAA6 08/20/08 09/01/16     91.022     9.500   11.2256    28.43     0.027764   0.029322   0.030968   0.032706  0.034542     10.66    11.89
Interval Acquisiti Corp. 46113VAB4 08/20/08 09/01/16*    91.022     9.500   11.2256    28.43     0.027764   0.029322   0.030968                           7.04*        
Irvington Township, NJ   464080JP6 12/21/06 07/15/12     75.184     0.000    5.1894   220.95     0.136951   0.140505                                     27.21         
Irvington Township, NJ   464080JQ4 12/21/06 07/15/13     71.337     0.000    5.2095   210.56     0.130566   0.133967   0.137457   0.141037               48.76    27.31
Irvington Township, NJ   464080JR2 12/21/06 07/15/14     67.412     0.000    5.2795   201.97     0.125431   0.128742   0.132140   0.135628  0.139209     46.86    49.37
Irvington Township, NJ   464080JS0 12/21/06 07/15/15     63.882     0.000    5.2996   192.22     0.119421   0.122585   0.125833   0.129168  0.132590     44.63    47.02
Irvington Township, NJ   464080JT8 12/21/06 07/15/16     60.176     0.000    5.3796   184.14     0.114598   0.117681   0.120846   0.124097  0.127435     42.85    45.18
Irvington Township, NJ   464080JU5 12/21/06 07/15/17     56.947     0.000    5.3997   174.99     0.108951   0.111893   0.114914   0.118016  0.121203     40.74    42.97
Irvington Township, NJ   464080JV3 12/21/06 07/15/18     53.750     0.000    5.4396   166.54     0.103779   0.106602   0.109501   0.112479  0.115539     38.82    40.96
Ivax Corporation         465823AK8 12/22/04 12/15/24     98.500    VARIES    5.7510              0.208471   0.212968   0.217594   0.222353  0.226950     76.00    79.34
Ivax Corporation         465823AN2 12/22/04 12/15/24     98.500    VARIES    5.7510              0.208471   0.212968   0.217594   0.222353  0.226950     76.00    79.34
Ivax Corporation         465823AP7 05/09/05 05/15/25    100.000    VARIES    6.9833              0.279907   0.288225   0.296495   0.305053  0.313910    103.03   109.08
Ivax Corporation         465823AQ5 05/09/05 05/15/25    100.000    VARIES    6.9833              0.279907   0.288225   0.296495   0.305053  0.313910    103.03   109.08
JP Morgan Chase & Co.    46625H241 07/31/09 07/31/14    100.000     0.000    5.8937              0.183883   0.189301   0.194880   0.200623  0.206535     68.83    72.95
JP Morgan Chase & Co.    46625H266 05/29/09 05/29/15    100.000     1.500    5.0865              0.154624   0.157497   0.160442   0.163463  0.166561     56.37    58.50
JP Morgan Chase & Co.    46625H563 10/31/08 10/31/13    100.000     0.000    7.5853              0.263436   0.273427   0.283797   0.294561               97.88    86.79
JP Morgan Chase & Co.    46625H647 07/31/08 07/31/13    100.000     0.000    5.9091              0.195477   0.201252   0.207198   0.213320               73.18    44.41
JP Morgan Chase & Co.    46625HCF5 03/23/05 03/22/12    100.000     0.000    4.9619              0.189521                                                15.35         
JP Morgan Chase & Co.    46625HCL2 05/31/05 05/31/12    100.000     0.000    4.6009              0.171773                                                25.59         
JP Morgan Chase & Co.    46625HFU9 04/26/06 04/26/13    100.000     0.000    5.6025              0.210895   0.216802   0.222876                          77.76    25.63
JP Morgan Chase & Co.    46634E783 12/24/09 06/23/15    100.000     0.000    3.6045              0.107533   0.109471   0.111444   0.113452  0.115497     39.09    40.51
JP Morgan Chase & Co.    46634X187 06/29/11 06/29/17    100.000     0.000    3.2582              0.091982   0.093480   0.095003   0.096551  0.098124     33.39    34.49
Jackson CNTYS SD#165, IL 466484EW8 06/28/07 12/01/12     74.109     0.000    5.5992   209.60     0.147178   0.151299                                     49.31         
Jackson CNTYS SD#165, IL 466484EX6 06/28/07 12/01/13     69.690     0.000    5.6993   201.04     0.141485   0.145517   0.149664   0.153929               51.91    50.16
Jackson CNTYS SD#165, IL 466484EY4 06/28/07 12/01/14     65.644     0.000    5.7494   191.22     0.134732   0.138605   0.142589   0.146688  0.150905     49.44    52.32
Jackson CNTYS SD#165, IL 466484EZ1 06/28/07 12/01/15     61.520     0.000    5.8495   182.71     0.129021   0.132795   0.136679   0.140676  0.144791     47.36    50.17
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Jackson CNTYS SD#165, IL 466484FA5 06/28/07 12/01/16     57.808     0.000    5.8995   173.33     0.122536   0.126150   0.129871   0.133702  0.137646     44.98    47.68
Jackson CNTYS SD#165, IL 466484FB3 06/28/07 12/01/17     53.993     0.000    5.9995   164.97     0.116892   0.120398   0.124010   0.127730  0.131561     42.93    45.54
Jackson CNTYS SD#165, IL 466484FC1 06/28/07 12/01/18     50.612     0.000    6.0496   156.09     0.110724   0.114073   0.117524   0.121079  0.124741     40.67    43.16
Jackson CNTYS SD#165, IL 466484FD9 06/28/07 12/01/19     47.112     0.000    6.1496   148.00     0.105222   0.108457   0.111792   0.115230  0.118773     38.66    41.07
Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20     44.055     0.000    6.1997   139.67     0.099409   0.102490   0.105667   0.108943  0.112320     36.53    38.83
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000    6.2496   131.67     0.093819   0.096750   0.099774   0.102891  0.106107     34.48    36.67
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000    6.2497   123.81     0.088220   0.090976   0.093819   0.096751  0.099774     32.42    34.48
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000    6.2996   116.54     0.083132   0.085751   0.088452   0.091238  0.094112     30.56    32.51
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000    6.2996   109.53     0.078133   0.080594   0.083132   0.085751  0.088452     28.72    30.56
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000    6.2997   102.94     0.073434   0.075747   0.078133   0.080594  0.083133     26.99    28.72
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000    6.3497    96.71     0.069061   0.071254   0.073516   0.075850  0.078258     25.39    27.03
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000    6.3499    93.48     0.066936   0.069062   0.071254   0.073517  0.075851     24.55    26.13
Jackson, TN              468826GP1 07/09/98 07/01/12     40.347     0.000    6.5999   564.58     0.177475                                                31.95         
Jarden Corporation       471109AC2 04/30/09 05/01/16     97.401     8.000    8.5000     8.18     0.009551   0.009957   0.010381   0.010822  0.011282      3.56     3.87
Jefferson CNTYS #521, IL 474070GD5 11/30/07 12/01/12    106.872    VARIES    4.9279              0.138831   0.137871                                     45.64         
Jefferson CNTYS #521, IL 474070GE3 11/30/07 12/01/13    107.171    VARIES    5.0310              0.143217   0.142382   0.141527   0.140650               51.36    46.55
Jefferson CNTYS #521, IL 474070GF0 11/30/07 12/01/14    105.427    VARIES    5.1337              0.146000   0.145469   0.144925   0.144367  0.143795     52.43    52.04
Jersey & Green County,IL 476538DL4 06/03/10 02/01/12    104.734     0.000    2.0437              0.060881                                                 1.83         
Jersey & Green County,IL 476538DM2 06/03/10 02/01/13    106.687    VARIES    2.3595              0.071858   0.067243   0.066398                          24.22     1.99
Josephine County, OR     480890AA0 10/30/01 06/01/17     36.621     0.000    6.5496   339.17     0.127637   0.131817   0.136133   0.140591  0.145195     46.96    50.08
Josephine County, OR     480890AB8 10/30/01 06/01/18     33.518     0.000    6.6996   320.04     0.121262   0.125324   0.129522   0.133861  0.138345     44.63    47.67
Josephine County, OR     480890AM4 10/30/01 06/01/12     54.034     0.000    5.8995   435.78     0.159180                                                23.88         
Josephine County, OR     480890AN2 10/30/01 06/01/13     50.411     0.000    5.9995   415.61     0.152514   0.157089   0.161802                          56.01    24.27
Josephine County, OR     480890AP7 10/30/01 06/01/14     46.941     0.000    6.0994   395.49     0.145799   0.150246   0.154828   0.159550  0.164416     53.56    56.88
Josephine County, OR     480890AQ5 10/30/01 06/01/15     43.624     0.000    6.1996   375.53     0.139078   0.143389   0.147833   0.152416  0.157141     51.11    54.32
Josephine County, OR     480890AR3 10/30/01 06/01/16     40.464     0.000    6.2995   355.79     0.132371   0.136541   0.140841   0.145277  0.149853     48.66    51.77
JP Morgan Chase & Co.    48121CV94 10/31/08 10/31/13    100.000     0.000    7.5164              0.257660   0.264437   0.278923   0.284687               96.87    85.57
JP Morgan Chase & Co.    48123J2D0 09/19/07 09/19/12    100.000     0.000    5.3736              0.184538   0.189497                                     48.50         
JP Morgan Chase & Co.    48123J2E8 09/19/07 09/19/12    100.000     0.000    5.3736              0.184538   0.189497                                     48.50         
JP Morgan Chase & Co.    48123J3L1 08/27/07 08/27/12    100.000     0.000    5.6034              0.194159   0.199599                                     46.80         
JP Morgan Chase & Co.    48123J3N7 09/19/07 03/19/13    100.000     0.000    5.4833              0.189110   0.194295   0.199622                          70.09    15.57
JP Morgan Chase & Co.    48123J4P1 09/28/07 03/28/13    100.000     0.000    5.4134              0.186192   0.191232   0.196408                          68.89    17.09
JP Morgan Chase & Co.    48123J4Q9 09/28/07 09/28/12    100.000     0.000    5.3437              0.183296   0.188193                                     49.82         
JP Morgan Chase & Co.    48123JEY1 09/29/06 09/30/13    100.000     0.000    5.3723              0.194558   0.199784   0.205151   0.210661               71.95    56.18
JP Morgan Chase & Co.    48123JGS2 10/31/06 04/30/14    100.000     0.000    5.3122              0.191788   0.196882   0.202112   0.207480  0.212991     70.59    74.39
JP Morgan Chase & Co.    48123JHN2 11/30/06 11/29/13    100.000     0.000    5.2614              0.189460   0.194444   0.199559   0.204809               69.43    66.40
JP Morgan Chase & Co.    48123JKR9 12/29/06 05/30/14    100.000     0.000    5.2900              0.189989   0.195015   0.200173   0.205467  0.210902     69.62    73.35
JP Morgan Chase & Co.    48123JKV0 12/29/06 06/29/12    100.000     0.000    5.1597              0.184906                                                32.91         
JP Morgan Chase & Co.    48123JMM8 01/31/07 01/30/15    100.000     0.000    5.6332              0.196522   0.204278   0.207749   0.217140  0.219616     75.08    79.37
JP Morgan Chase & Co.    48123JMQ9 01/31/07 07/31/12    100.000     0.000    5.4520              0.192924   0.198183                                     41.27         
JP Morgan Chase & Co.    48123JPU7 02/28/07 02/27/15    100.000     0.000    5.3382              0.183844   0.190826   0.193790   0.202260  0.204273     69.82    73.60
JP Morgan Chase & Co.    48123JQ85 08/22/07 02/22/13    100.000     0.000    5.6831              0.197530   0.203143   0.208915                          73.59    10.65
JP Morgan Chase & Co.    48123JRG6 02/28/07 02/28/13    100.000     0.000    5.3427              0.186083   0.188977   0.197241                          70.01    11.44
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48123JRJ0 02/28/07 02/28/14    100.000     0.000    5.3423              0.186066   0.188960   0.197223   0.199190  0.207900     70.00    73.66
JP Morgan Chase & Co.    48123JRK7 02/28/07 02/28/14    100.000     0.000    5.3423              0.186066   0.188960   0.197223   0.199190  0.207900     70.00    73.66
JP Morgan Chase & Co.    48123JSB6 03/30/07 09/28/12    100.000     0.000    5.1229              0.178629   0.183204                                     48.52         
JP Morgan Chase & Co.    48123JSD2 03/30/07 09/30/14    100.000     0.000    5.2522              0.184231   0.189069   0.194034   0.199130  0.204359     68.09    71.71
JP Morgan Chase & Co.    48123JTG4 04/02/07 03/29/12    100.000     0.000    5.1330              0.179037                                                15.76         
JP Morgan Chase & Co.    48123JUZ0 04/30/07 10/31/14    100.000     0.000    5.3122              0.186826   0.191788   0.196882   0.202112  0.207480     68.76    72.47
JP Morgan Chase & Co.    48123JVA4 04/30/07 04/30/12    100.000     0.000    5.1529              0.179965                                                21.42         
JP Morgan Chase & Co.    48123JXL8 05/30/07 11/30/12    100.000     0.000    5.4518              0.192912   0.198171                                     64.41         
JP Morgan Chase & Co.    48123JZV4 07/20/07 01/23/13    100.000     0.000    5.7512              0.200523   0.206289   0.212221                          75.07     4.67
JP Morgan Chase & Co.    48123L2Z6 07/24/09 07/23/14    100.000     0.000    4.4937              0.136413   0.139478   0.142612   0.145816  0.149092     50.64    52.94
JP Morgan Chase & Co.    48123L3N2 07/02/09 07/02/14    100.000    VARIES    2.9362              0.083631   0.084110   0.084595   0.084337  0.084074     30.37    30.31
JP Morgan Chase & Co.    48123L3R3 07/20/09 07/20/14    100.000    VARIES    2.9075              0.082235   0.082400   0.082567   0.082257  0.081943     29.69    29.57
JP Morgan Chase & Co.    48123L4J0 08/31/09 08/31/12    100.000     0.000    2.6618              0.077099   0.077276                                     18.77         
JP Morgan Chase & Co.    48123L6J8 09/30/09 09/28/12    100.000     0.000    2.5609              0.074842   0.075801                                     20.16         
JP Morgan Chase & Co.    48123LAR5 06/13/08 12/13/12    100.000     0.000    5.2410              0.174483   0.179055                                     60.50         
JP Morgan Chase & Co.    48123LC36 02/27/09 02/27/14    100.000     0.000    5.9738              0.192247   0.197990   0.203904   0.209994  0.216266     71.69    76.03
JP Morgan Chase & Co.    48123LC44 02/27/09 02/27/15    100.000     0.000    6.1636              0.199271   0.205412   0.211742   0.218268  0.224995     74.39    79.05
JP Morgan Chase & Co.    48123LDP6 07/31/08 08/02/12    100.000     0.000    5.4526              0.178046   0.182900                                     38.44         
JP Morgan Chase & Co.    48123LDQ4 07/31/08 07/31/14    100.000     0.000    6.1320              0.204174   0.210434   0.216886   0.223535  0.230389     76.55    81.31
JP Morgan Chase & Co.    48123LDT8 07/31/08 07/31/13    100.000     0.000    5.9323              0.196378   0.202203   0.208200   0.214376               73.53    44.63
JP Morgan Chase & Co.    48123LDX9 07/31/08 07/31/13    100.000     0.000    5.9323              0.196378   0.202203   0.208200   0.214376               73.53    44.63
JP Morgan Chase & Co.    48123LH31 03/31/09 03/31/14    100.000     0.000    6.8761              0.226174   0.233950   0.241994   0.250314  0.258919     84.26    90.16
JP Morgan Chase & Co.    48123LLQ5 08/19/08 08/20/12    100.000     0.000    5.3068              0.172519   0.177096                                     40.33         
JP Morgan Chase & Co.    48123LMF8 09/30/08 09/30/13    100.000     0.000    6.2147              0.207423   0.213868   0.220514   0.227366               77.02    60.55
JP Morgan Chase & Co.    48123LMG6 09/30/08 09/30/14    100.000     0.000    6.3642              0.213340   0.220129   0.227134   0.234361  0.241819     79.28    84.41
JP Morgan Chase & Co.    48123LNV2 09/30/08 09/30/13    100.000     0.000    6.2147              0.207423   0.213868   0.220514   0.227366               77.02    60.55
JP Morgan Chase & Co.    48123LP40 04/30/09 01/31/13    100.000     0.000    5.2314              0.163236   0.167505   0.171887                          60.84     4.98
JP Morgan Chase & Co.    48123LPC2 09/12/08 03/10/14    100.000     0.000    5.2252              0.169391   0.173817   0.178358   0.183018  0.187799     62.77    66.10
JP Morgan Chase & Co.    48123LQ56 04/17/09 04/17/14    100.000    VARIES    2.9876              0.083913   0.084007   0.083866   0.083723  0.083360     30.22    30.13
JP Morgan Chase & Co.    48123LRT3 10/31/08 10/31/13    100.000     0.000    7.5661              0.262624   0.272559   0.282870   0.293572               97.57    86.50
JP Morgan Chase & Co.    48123LRU0 10/31/08 10/31/14    100.000     0.000    7.7555              0.270674   0.281171   0.292074   0.303400  0.315165    100.64   108.59
JP Morgan Chase & Co.    48123LS96 04/14/09 03/12/12    100.000     0.000    5.8751              0.187661                                                13.32         
JP Morgan Chase & Co.    48123LUM4 10/31/08 10/30/15    100.000     0.000    7.9479              0.274304   0.285205   0.298168   0.308323  0.322338    103.89   112.21
JP Morgan Chase & Co.    48123LUN2 10/31/08 10/30/15    100.000     0.000    7.9479              0.274304   0.285205   0.298168   0.308323  0.322338    103.89   112.21
JP Morgan Chase & Co.    48123LVN1 11/28/08 11/28/14    100.000     0.000    6.9664              0.237644   0.245922   0.254488   0.263352  0.272525     87.60    93.81
JP Morgan Chase & Co.    48123LVP6 11/28/08 05/29/15    100.000     0.000    7.0456              0.240945   0.249433   0.258220   0.267317  0.276734     88.82    95.19
JP Morgan Chase & Co.    48123LXB5 12/29/08 12/30/13    100.000     0.000    5.5032              0.179935   0.184887   0.189974   0.195201               65.68    69.14
JP Morgan Chase & Co.    48123LXM1 12/29/08 12/29/14    100.000     0.000    5.6426              0.185215   0.190441   0.195814   0.201338  0.207018     67.64    71.51
JP Morgan Chase & Co.    48123M4N9 05/22/08 11/22/13    100.000     0.000    4.9518              0.163236   0.167278   0.171420   0.175664               59.81    55.79
JP Morgan Chase & Co.    48123M5Y4 06/30/08 06/28/13    100.000     0.000    5.4798              0.183872   0.188910   0.194086                          67.13    34.35
JP Morgan Chase & Co.    48123M5Z1 06/30/08 06/28/13    100.000     0.000    5.4798              0.183872   0.188910   0.194086                          67.13    34.35
JP Morgan Chase & Co.    48123M6A5 06/30/08 06/30/14    100.000     0.000    5.6400              0.190337   0.195704   0.201223   0.206898  0.212732     69.50    73.47
JP Morgan Chase & Co.    48123M6L1 06/06/08 06/06/13    100.000     0.000    5.1615              0.171373   0.175796   0.180333                          62.71    27.95
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48123MDK5 11/21/07 05/21/13    100.000     0.000    5.4319              0.186963   0.192041   0.197257                          68.63    27.62
JP Morgan Chase & Co.    48123MDL3 11/21/07 11/21/12    100.000     0.000    5.3523              0.183655   0.188570                                     59.65         
JP Morgan Chase & Co.    48123MDM1 11/21/07 05/21/13    100.000     0.000    5.4319              0.186963   0.192041   0.197257                          68.63    27.62
JP Morgan Chase & Co.    48123MER9 11/30/07 11/30/12    100.000     0.000    5.0116              0.169693   0.173945                                     56.59         
JP Morgan Chase & Co.    48123MES7 11/30/07 05/31/13    100.000     0.000    5.1118              0.173763   0.178204   0.182759                          63.63    27.23
JP Morgan Chase & Co.    48123MF80 04/25/08 04/25/13    100.000     0.000    5.0228              0.165978   0.170146   0.174419                          61.06    19.88
JP Morgan Chase & Co.    48123MG97 04/30/08 10/31/12    100.000     0.000    4.8928              0.160967   0.164905                                     48.84         
JP Morgan Chase & Co.    48123MH21 04/30/08 04/30/13    100.000     0.000    5.0426              0.166746   0.170950   0.175260                          61.30    20.86
JP Morgan Chase & Co.    48123MH39 04/30/08 04/30/14    100.000     0.000    5.2026              0.172979   0.177479   0.182096   0.186833  0.191693     63.64    66.99
JP Morgan Chase & Co.    48123MHT2 11/30/07 11/30/12    100.000     0.000    5.0116              0.169693   0.173945                                     56.59         
JP Morgan Chase & Co.    48123MHZ8 12/21/07 03/21/12    100.000     0.000    5.0099              0.167551                                                13.40         
JP Morgan Chase & Co.    48123MJA1 12/21/07 03/21/12    100.000     0.000    5.0099              0.167551                                                13.40         
JP Morgan Chase & Co.    48123MJN3 12/26/07 06/26/13    100.000     0.000    5.1101              0.173694   0.178132   0.182683                          63.37    31.97
JP Morgan Chase & Co.    48123MMN9 01/31/08 04/30/12    100.000     0.000    4.2604              0.138625                                                16.50         
JP Morgan Chase & Co.    48123MMS8 01/31/08 01/31/13    100.000     0.000    4.5315              0.147249   0.150586   0.153997                          54.63     4.47
JP Morgan Chase & Co.    48123MPA4 01/31/08 01/31/14    100.000     0.000    4.7582              0.155821   0.159528   0.163323   0.167209  0.171187     57.90    60.68
JP Morgan Chase & Co.    48123MSA1 02/29/08 08/30/12    100.000     0.000    4.4026              0.140097   0.143181                                     34.47         
JP Morgan Chase & Co.    48123MSD5 02/29/08 02/28/13    100.000     0.000    4.5721              0.147143   0.148871   0.154798                          55.11     8.98
JP Morgan Chase & Co.    48123MSE3 02/29/08 02/28/14    100.000     0.000    4.8222              0.156522   0.158554   0.165068   0.166292  0.173124     58.71    61.47
JP Morgan Chase & Co.    48123MVT6 02/26/08 02/26/13    100.000     0.000    4.7223              0.154454   0.158101   0.161834                          57.18     8.90
JP Morgan Chase & Co.    48123MW65 05/30/08 11/30/12    100.000     0.000    4.8222              0.158262   0.162077                                     52.75         
JP Morgan Chase & Co.    48123MX31 05/30/08 05/31/13    100.000     0.000    4.9616              0.163613   0.167672   0.171832                          59.89    25.60
JP Morgan Chase & Co.    48123MX49 05/30/08 05/30/14    100.000     0.000    5.1515              0.170982   0.175386   0.179904   0.184538  0.189291     62.62    65.89
JP Morgan Chase & Co.    48124A3Q8 12/20/10 12/21/15    100.000     0.000    3.3603              0.096516   0.098138   0.099787   0.101464  0.103168     35.07    36.26
JP Morgan Chase & Co.    48124A4S3 12/28/10 12/26/14    100.000     0.000    2.6121              0.074457   0.075429   0.076414   0.077412  0.078423     26.99    27.70
JP Morgan Chase & Co.    48124ACX3 12/28/09 12/31/14    100.000     0.000    3.5880              0.105870   0.106598   0.110309   0.110457  0.114302     38.89    40.29
JP Morgan Chase & Co.    48124ACY1 12/28/09 12/31/15    100.000     0.000    3.8782              0.115091   0.116047   0.120258   0.120592  0.124968     42.30    43.96
JP Morgan Chase & Co.    48124ACZ8 12/28/09 12/31/14    100.000     0.000    3.5880              0.105870   0.106598   0.110309   0.110457  0.114302     38.89    40.29
JP Morgan Chase & Co.    48124AD20 09/30/10 09/30/16    100.000     0.000    3.0410              0.087061   0.088385   0.089729   0.091093  0.092478     31.82    32.80
JP Morgan Chase & Co.    48124AGR2 02/05/10 02/07/12    100.000     0.000    1.4202              0.040301                                                 1.45         
JP Morgan Chase & Co.    48124AKU0 03/29/10 03/27/15    100.000     1.800    3.4731              0.098931   0.099781   0.100646   0.101525  0.102420     35.93    36.56
JP Morgan Chase & Co.    48124ALG0 04/08/10 04/08/14    100.000     0.000    3.0012              0.087179   0.088487   0.089815   0.091163  0.092531     31.84    32.80
JP Morgan Chase & Co.    48124ANY9 05/11/10 05/12/15    100.000     1.800    3.4048              0.096899   0.097698   0.098510   0.099336  0.100175     35.11    35.69
JP Morgan Chase & Co.    48124ARD1 06/09/10 06/09/15    100.000     0.000    3.8907              0.114506   0.116734   0.119005   0.121320  0.123680     41.72    43.36
JP Morgan Chase & Co.    48124ASD0 05/28/10 05/31/16    100.000     0.000    3.9190              0.113532   0.115757   0.118673   0.120337  0.123370     42.12    43.77
JP Morgan Chase & Co.    48124AUK1 06/15/10 06/15/15    100.000     1.650    3.6021              0.103042   0.104073   0.105122   0.106190  0.107277     37.31    38.07
JP Morgan Chase & Co.    48124AV38 11/30/10 11/30/16    100.000     0.000    3.1390              0.089953   0.091365   0.092799   0.094256  0.095735     32.73    33.76
JP Morgan Chase & Co.    48124AV46 11/30/10 11/28/14    100.000     0.000    2.2307              0.063349   0.064055   0.064770   0.065492  0.066223     22.98    23.50
JP Morgan Chase & Co.    48124AV95 11/30/10 11/30/16    100.000     0.000    3.0404              0.087044   0.088368   0.089711   0.091075  0.092459     31.66    32.63
JP Morgan Chase & Co.    48124AZC4 08/31/10 08/29/14    100.000     0.000    2.1822              0.060595   0.061930   0.062263   0.063288  0.063629     22.63    23.08
JP Morgan Chase & Co.    48124AZW0 09/15/10 09/15/25    100.000    VARIES    3.5831              0.094093   0.092669   0.091220   0.089744  0.088243     33.31    32.26
JP Morgan Chase & Co.    48125VA67 06/29/12 06/30/16    100.000     0.000    2.5495              0.070821   0.070827   0.071730   0.072644  0.073570     12.89    25.99
JP Morgan Chase & Co.    48125VC40 06/20/12 12/20/17    100.000     0.000    3.2200                         0.089445   0.090885   0.092349  0.093836     17.10    33.01
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48125VC57 06/29/12 06/29/18    100.000     0.000    3.0497                         0.084716   0.086008   0.087319  0.088651     15.42    31.20
JP Morgan Chase & Co.    48125VEL0 12/30/11 12/29/17    100.000     0.000    3.8400              0.106668   0.108705   0.110792   0.112920  0.115088     38.78    40.28
JP Morgan Chase & Co.    48125VFX3 12/29/11 12/29/14    100.000     0.000    2.5696              0.071380   0.072298   0.073226   0.074167  0.075120     25.87    26.53
JP Morgan Chase & Co.    48125VHH6 01/31/12 01/31/18    100.000     0.000    3.5407                         0.098354   0.100095   0.101867  0.103670     32.82    36.89
JP Morgan Chase & Co.    48125VKB5 01/25/12 01/25/16    100.000     0.000    2.8904                         0.080291   0.081452   0.082629  0.083823     27.16    29.90
JP Morgan Chase & Co.    48125VL24 07/05/12 01/04/18    100.000     0.000    2.9500                                    0.081946   0.083148  0.084374     14.42    30.15
JP Morgan Chase & Co.    48125VM72 06/29/12 06/28/19    100.000     0.000    3.2698                         0.090830   0.092307   0.093816  0.095350     16.54    33.51
JP Morgan Chase & Co.    48125VMA5 02/29/12 02/29/16    100.000     0.000    2.4510                         0.066603   0.068537   0.068246  0.070227     20.69    25.17
JP Morgan Chase & Co.    48125VMC1 02/29/12 02/28/18    100.000     0.000    3.1994                         0.086941   0.089796   0.089745  0.092692     27.04    33.12
JP Morgan Chase & Co.    48125VPV6 03/30/12 06/30/16    100.000     0.000    2.3101              0.064171   0.064541   0.065287   0.066041  0.066804     17.46    23.64
JP Morgan Chase & Co.    48125VPW4 03/30/12 09/30/15    100.000     0.000    2.0106                         0.055851   0.056412   0.056979  0.057552     15.19    20.51
JP Morgan Chase & Co.    48125VPZ7 03/30/12 09/28/18    100.000     0.000    3.1110                         0.086417   0.087746   0.089111  0.090497     23.54    32.09
JP Morgan Chase & Co.    48125VRA0 03/07/12 03/07/17    100.000     0.000    2.6907                         0.074742   0.075748   0.076767  0.077800     22.09    27.69
JP Morgan Chase & Co.    48125VSN1 03/27/12 03/27/20    100.000     0.000    3.7709                         0.104748   0.106723   0.108736  0.110786     28.89    39.16
JP Morgan Chase & Co.    48125VTK6 04/30/12 07/29/16    100.000     0.000    2.3703                         0.065843   0.066228   0.067013  0.067808     15.93    24.22
JP Morgan Chase & Co.    48125VTL4 04/30/12 10/30/15    100.000     0.000    2.0702                         0.057508   0.058104   0.058705  0.059313     13.90    21.10
JP Morgan Chase & Co.    48125VTP5 04/30/12 04/30/18    100.000     0.000    3.0309                         0.084194   0.085470   0.086765  0.088080     20.37    31.16
JP Morgan Chase & Co.    48125VWQ9 05/18/12 08/18/16    100.000     0.000    2.4102                         0.066953   0.067356   0.068168  0.068990     14.98    24.61
JP Morgan Chase & Co.    48125X4L7 10/21/11 10/22/18    100.000     0.000    4.1614              0.115610   0.118015   0.120471   0.122978  0.125536     42.39    44.17
JP Morgan Chase & Co.    48125X4M5 10/21/11 10/22/18    100.000     0.000    4.1614              0.115610   0.118015   0.120471   0.122978  0.125536     42.39    44.17
JP Morgan Chase & Co.    48125XCU8 02/17/11 02/17/26*   100.000    VARIES    5.6348              0.155607                                                 7.16*        
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES    5.0718              0.142344   0.143840   0.145375   0.146948  0.146921     51.79    52.76
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES    5.1602              0.144171   0.145024   0.145899   0.146796  0.147110     52.20    52.79
JP Morgan Chase & Co.    48125XKS4 03/30/11 03/30/17    100.000     0.000    4.0116              0.113669   0.115949   0.118275   0.120648  0.123068     41.75    43.44
JP Morgan Chase & Co.    48125XLH7 04/07/11 10/08/15    100.000     0.000    3.3515              0.093115   0.094675   0.096790   0.097875  0.100062     34.68    35.80
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES    5.0712              0.141447   0.142040   0.142648   0.143271  0.143637     51.05    51.48
JP Morgan Chase & Co.    48125XZW9 08/16/11 08/14/14    100.000     0.000    1.3505              0.037516   0.037767   0.038022   0.038278  0.038537     13.62    13.80
Justice Park Dist, IL    48214PAK1 06/07/11 12/01/12    103.617     0.000    2.4425              0.071133   0.072002                                     23.63         
Justice Park Dist, IL    48214PAL9 06/07/11 12/01/13    104.750    VARIES    2.9582              0.087307   0.088598   0.083814   0.082999               31.56    27.51
Justice Park Dist, IL    48214PAM7 06/07/11 12/01/14    104.211    VARIES    3.6619              0.107880   0.109855   0.104322   0.103689  0.103045     39.09    37.40
Justice Park Dist, IL    48214PAN5 06/07/11 12/01/15    104.066    VARIES    3.9671              0.116880   0.119198   0.113389   0.112883  0.112368     42.39    40.70
Justice Park Dist, IL    48214PAP0 06/07/11 12/01/16    102.404    VARIES    4.4687              0.129861   0.132763   0.126523   0.126246  0.125964     47.17    45.48
Justice Park Dist, IL    48214PAQ8 06/07/11 12/01/17    101.380    VARIES    4.7209              0.135982   0.139192   0.132752   0.132607  0.132458     49.43    47.76
Justice Park Dist, IL    48214PAR6 06/07/11 12/01/18    100.000    VARIES    4.9723              0.141441   0.144957   0.138317   0.138303  0.138289     51.46    49.79
Justice Park Dist, IL    48214PAS4 06/07/11 12/01/19     97.305    VARIES    5.3724              0.148984   0.152986   0.146028   0.146219  0.146416     54.27    52.62
Justice Park Dist, IL    48214PAT2 06/07/11 12/01/20     94.574    VARIES    5.7224              0.154489   0.158909   0.151667   0.152033  0.152409     56.33    54.69
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES    5.9725              0.157550   0.162255   0.154796   0.155271  0.155760     57.48    55.84
KBC IFIMA NV             48240JAA5 06/27/08 06/27/13    100.000     6.000    4.7451              0.134177   0.133407   0.132617                          48.16    23.34
KBC IFIMA NV             48240JAB3 08/07/08 08/07/12    100.000     0.000    4.5769              0.145626   0.148959                                     32.06         
KFW                      48245ABB6 06/22/07 06/22/37*    12.693     0.000    7.0001    46.37     0.033638                                                 5.75*        
Kendall, Kane & Will IL  488764NS6 04/22/03 10/01/12    100.093    VARIES    4.7793              0.132787   0.132774                                     35.85         
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Kendall, Kane & Will IL  488764NT4 04/22/03 10/01/13    100.778    VARIES    4.8954              0.136254   0.136189   0.136123   0.136055               49.03    36.74
KFW                      500769BR4 04/19/06 04/18/36     19.778     0.000    5.4761    71.35     0.040489   0.041597   0.042736   0.043906  0.045109     14.94    15.77
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000    5.7800    52.97     0.037549   0.038634   0.039750   0.040899  0.042081     13.72    14.52
L-3 Commun Hldgs, Inc    502413AW7 07/29/05 08/01/35    100.000    VARIES    6.3295              0.217801   0.222057   0.226447   0.230976  0.235649     80.47    83.72
L-3 Commun Hldgs, Inc    502424AE4 07/29/05 08/01/35    100.000    VARIES    6.3295              0.217801   0.222057   0.226447   0.230976  0.235649     80.47    83.72
LaSalle CNTY SD #44, IL  504402BV9 02/01/12 12/01/13    103.470     0.000    2.4309              0.069868   0.070434   0.071291   0.072157               23.20    23.68
LaSalle CNTY SD #44, IL  504402BW7 02/01/12 12/01/14    105.130    VARIES    2.7958              0.081647   0.082408   0.083560   0.084728  0.079149     27.14    30.16
LaSalle CNTY SD #44, IL  504402BX5 02/01/12 12/01/15    106.275    VARIES    3.1949              0.094319   0.095324   0.096846   0.098393  0.091830     31.38    34.99
LaSalle CNTY SD #112, IL 504498DB9 11/03/11 12/01/12    102.938     0.000    2.2191              0.063565   0.064270                                     21.10         
LaSalle CNTY SD #125, IL 504534CD8 03/06/08 12/01/12    107.706    VARIES    4.2894              0.121298   0.120235                                     39.84         
LaSalle CNTY SD #125, IL 504534CE6 03/06/08 12/01/13    108.599    VARIES    4.3978              0.126218   0.125237   0.124235   0.123210               45.20    40.81
LaSalle CNTY SD #141, IL 504588EG5 11/30/10 12/01/12    105.252    VARIES    2.2326              0.063553   0.062790                                     20.84         
LaSalle CNTY SD #141, IL 504588EH3 11/30/10 12/01/13    106.846    VARIES    2.6857              0.077871   0.077070   0.076259   0.075437               27.84    25.02
LaSalle CNTY SD #141, IL 504588EZ3 06/01/12 12/01/13    102.955     0.000    1.4751                         0.042188   0.042499   0.042813                8.87    14.08
LaSalle CNTY SD #141, IL 504588FA7 06/01/12 12/01/14    104.246    VARIES    1.9785                         0.057293   0.057860   0.058432  0.055919     12.05    20.87
LaSalle CNTY SD #141, IL 504588FB5 06/01/12 12/01/15    105.685    VARIES    2.2809                         0.066961   0.067725   0.068497  0.065477     14.08    24.45
LaSalle CNTY SD #141, IL 504588FC3 06/01/12 12/01/16    106.786    VARIES    2.3843                         0.070727   0.071570   0.072423  0.069313     14.88    25.85
LaSalle CNTY SD #150, IL 504597AX3 09/03/08 12/01/12    107.048    VARIES    5.0510              0.142875   0.141608                                     46.92         
LaSalle CNTY SD #150, IL 504597AY1 09/03/08 12/01/13    107.923    VARIES    5.1770              0.148592   0.147441   0.146260   0.145049               53.22    48.05
Lake County IL SD #187   509262CV1 04/09/03 01/01/21     35.244     0.000    5.9694   236.52     0.097661   0.100576   0.103578   0.106669               35.68    37.84
Lakewood Township, NJ    512678QT3 08/22/12 04/01/14     99.524     1.250    1.5507                         0.008144   0.008163   0.008226  0.008290      1.05     2.96
Lakewood Township, NJ    512678QU0 08/22/12 04/01/15     98.986     1.500    1.9002                         0.010579   0.010605   0.010705  0.010807      1.37     3.85
Lakewood Township, NJ    512678QV8 08/22/12 04/01/16     98.453     2.000    2.4505                         0.011458   0.011492   0.011633  0.011775      1.48     4.19
Lakewood Township, NJ    512678QW6 08/22/12 04/01/17     98.381     2.250    2.6252                         0.009243   0.009269   0.009391  0.009514      1.19     3.38
Lakewood Township, NJ    512678QX4 08/22/12 04/01/18     98.460     2.700    3.0003                         0.007059   0.007083   0.007189  0.007297       .91     2.59
Lamar Media Corporation  513075AN1 08/17/06 08/15/15*    92.809     6.625    7.7500    36.98     0.023056   0.023949   0.024877                           7.39*        
Lamar Media Corporation  513075AP6 08/17/06 08/15/15*    92.809     6.625    7.7500    36.98     0.023056   0.023949   0.024877                           7.39*        
Lamar Media Corporation  513075AQ4 08/17/06 08/15/15*    92.809     6.625    7.7500    36.98     0.023056   0.023949   0.024877                           7.39*        
Lamar Media Corporation  513075AV3 03/27/09 04/01/14     89.979     9.750   12.5008    47.74     0.056431   0.059958   0.063706   0.067688  0.071918     21.60    24.39
Lee & Dekalb Counties,IL 523351BP8 09/30/11 01/01/13    100.000     0.000    2.4987              0.069849   0.070721                                     25.30         
Lee & Dekalb Counties,IL 523351BQ6 09/30/11 01/01/14    100.000     0.000    2.9991              0.083942   0.085201   0.086479   0.087776               30.45    31.37
Lee & Dekalb Counties,IL 523351BR4 09/30/11 01/01/15    100.000     0.000    3.4989              0.098052   0.099768   0.101513   0.103289               35.61    36.86
Lee & Dekalb Counties,IL 523351BS2 09/30/11 01/01/16    100.000     0.000    3.9990              0.112208   0.114452   0.116740   0.119074               40.80    42.45
Lee & Dekalb Counties,IL 523351BT0 09/30/11 01/01/17    100.000     0.000    3.7493              0.105135   0.107106   0.109114   0.111159               38.20    39.65
Lee & Dekalb Counties,IL 523351BU7 09/30/11 01/01/18    100.000     0.000    3.9993              0.112217   0.114461   0.116750   0.119085               40.80    42.45
Lee & Dekalb Counties,IL 523351BV5 09/30/11 01/01/19    100.000     0.000    4.2492              0.119304   0.121838   0.124427   0.127071               43.41    45.27
Lee & Dekalb Counties,IL 523351BW3 09/30/11 01/01/20    117.427     0.000    4.4992              0.148427   0.151766   0.155180   0.158671               54.03    56.49
Legg Mason, Inc.         524901AN5 05/12/08 06/30/21    100.000    VARIES    6.9753              0.202597   0.202262   0.201914   0.201555  0.201183     72.87    72.62
Lehman Bros Hldgs Inc    524908NM8 06/29/05 06/29/12*   100.000     0.250    N/A                 0.161524                                                10.50*        
Lehman Bros Hldgs Inc    524908NX4 10/13/05 10/13/15*   100.000     5.175    5.1749              0.143750                                                 9.34*        
Lehman Bros Hldgs Inc    524908NY2 10/28/05 10/28/12*   100.000     3.000    N/A                 0.158031                                                10.27*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lehman Bros Hldgs Inc    524908PA2 11/17/05 11/17/12*   100.000     3.000    N/A                 0.167407                                                10.88*        
Lehman Bros Hldgs Inc    524908PG9 01/06/06 01/06/12    100.000     0.250    5.0450              0.182130                                                  .91         
Lehman Bros Hldgs Inc    524908PN4 03/29/06 03/29/13*   100.000     1.500    N/A                 0.186980                                                12.15*        
Lehman Bros Hldgs Inc    524908SH4 08/01/06 08/01/13*   100.000     2.000    N/A                 0.179678   0.183042                                     11.80*        
Lehman Bros Hldgs Inc    524908TZ3 10/17/06 10/17/13*   100.000     1.000    N/A                 0.186433                                                12.12*        
Lehman Bros Hldgs Inc    524908UC2 12/12/06 12/12/13*   100.000     0.250    N/A                 0.177599                                                11.54*        
Lehman Bros Hldgs Inc    524908UL2 12/27/06 12/27/13*   100.000     0.450    N/A                 0.179530                                                11.67*        
Lehman Bros Hldgs Inc    524908UU2 02/06/07 02/06/14*   100.000     1.250    N/A                 0.188082   0.192348                                     12.35*        
Lehman Bros Hldgs Inc    524908UY4 02/16/07 02/16/12    100.000     0.250    5.3845              0.188093                                                 8.46         
Lehman Bros Hldgs Inc    524908VU1 03/29/07 03/29/14*   100.000     1.000    N/A                 0.192072                                                12.48*        
Lehman Bros Hldgs Inc    52517P2E0 05/23/07 05/23/22*   100.000    VARIES    5.3475              0.134227                                                 8.72*        
Lehman Bros Hldgs Inc    52517P2J9 05/24/07 05/24/24*   100.000    VARIES    5.5681              0.144725                                                 9.41*        
Lehman Bros Hldgs Inc    52517P4R9 11/14/07 11/14/12*   100.000     0.000    N/A                 0.209395                                                13.61*        
Lehman Bros Hldgs Inc    52517P4T5 08/29/07 08/29/22*   100.000    VARIES    6.2092              0.135390   0.133025                                      8.79*        
Lehman Bros Hldgs Inc    52517P4U2 07/01/08 07/02/12*   100.000     0.000    N/A                 0.210828   0.217469                                     14.13*        
Lehman Bros Hldgs Inc    52517P4X6 08/21/07 08/21/37*   100.000    VARIES    7.1259              0.205786   0.208664                                     13.42*        
Lehman Bros Hldgs Inc    52517P5S6 09/26/07 09/26/22*   100.000    VARIES    5.7211              0.126768                                                 8.24*        
Lehman Bros Hldgs Inc    52517PAE1 10/15/93 10/15/23*   100.000    VARIES    6.9789              0.205563                                                13.36*        
Lehman Bros Hldgs Inc    52517PC25 10/20/05 10/20/20*   100.000    VARIES    5.2456              0.122955                                                 7.99*        
Lehman Bros Hldgs Inc    52517PH46 05/17/06 05/17/21*   100.000    VARIES    5.8803              0.166049                                                10.79*        
Lehman Bros Hldgs Inc    52517PK42 07/26/06 07/26/21*   100.000    VARIES    4.6197              0.126016   0.126521                                      8.21*        
Lehman Bros Hldgs Inc    52517PL66 09/14/06 09/14/21*    95.000    VARIES    5.7713              0.148942                                                 9.68*        
Lehman Bros Hldgs Inc    52517PM24 09/29/06 09/29/21*    95.500    VARIES    5.8013              0.151970                                                 9.88*        
Lehman Bros Hldgs Inc    52517PM99 10/27/06 10/27/16*    94.650    VARIES    5.6132              0.148141                                                 9.63*        
Lehman Bros Hldgs Inc    52517PN64 11/07/06 11/07/16*   100.000    VARIES    5.5099              0.145909                                                 9.48*        
Lehman Bros Hldgs Inc    52517PQ20 12/28/06 12/28/21*   100.000    VARIES    5.1185              0.135142                                                 8.78*        
Lehman Bros Hldgs Inc    52517PQ87 12/21/06 12/21/21*    97.500    VARIES    5.3886              0.134382                                                 8.73*        
Lehman Bros Hldgs Inc    52517PR37 01/12/07 01/12/22*   100.000    VARIES    5.3883              0.140427   0.140693                                      9.14*        
Lehman Bros Hldgs Inc    52517PT27 02/15/07 02/15/22*    97.500    VARIES    5.4901              0.143731   0.143101                                      9.33*        
Lehman Bros Hldgs Inc    52517PT68 02/16/07 02/16/17*   100.000    VARIES    5.6999              0.150487   0.151095                                      9.79*        
Lehman Bros Hldgs Inc    52517PU82 03/05/07 03/05/22*   100.000    VARIES    5.5000              0.145948   0.146192                                      9.49*        
Lehman Bros Hldgs Inc    52517PUL3 06/12/03 06/12/18*   100.000    VARIES    5.2471              0.120605                                                 7.84*        
Lehman Bros Hldgs Inc    52517PUP4 07/03/03 07/03/18*   100.000    VARIES    4.7451              0.094864   0.096109                                      6.24*        
Lehman Bros Hldgs Inc    52517PUR0 07/17/03 07/17/15*   100.000    VARIES    4.3972              0.100408   0.103743                                      6.69*        
Lehman Bros Hldgs Inc    52517PV40 06/19/07 06/19/17*   100.000    VARIES    5.4394              0.148427                                                 9.65*        
Lehman Bros Hldgs Inc    52517PVN8 12/17/03 12/17/18*   100.000    VARIES    6.0028              0.181373                                                11.79*        
Lehman Bros Hldgs Inc    52517PW80 04/20/07 04/20/22*   100.000    VARIES    5.1283              0.132704                                                 8.63*        
Lehman Bros Hldgs Inc    52517PWB3 04/08/04 04/08/14*   100.000    VARIES    4.8469              0.117487                                                 7.64*        
Lehman Bros Hldgs Inc    52517PX55 04/27/07 04/27/22*   100.000    VARIES    5.3982              0.138983                                                 9.03*        
Lehman Bros Hldgs Inc    52517PX71 04/17/07 04/17/37*   100.000    VARIES    6.2486              0.167796                                                10.91*        
Lehman Bros Hldgs Inc    52517PXM8 10/25/04 10/25/17*   100.000    VARIES    5.2494              0.142754                                                 9.28*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lehman Bros Hldgs Inc    52517PXQ9 11/01/04 11/01/14*   100.000    VARIES    4.9383              0.130931                                                 8.51*        
Lehman Bros Hldgs Inc    52517PXS5 10/29/04 10/29/19*   100.000    VARIES    5.4644              0.117541                                                 7.64*        
Lehman Bros Hldgs Inc    52517PXW6 11/22/04 11/22/19*   100.000    VARIES    5.5393              0.152130                                                 9.89*        
Lehman Bros Hldgs Inc    52517PXZ9 12/07/04 12/07/16*   100.000    VARIES    5.2285              0.139576                                                 9.07*        
Lehman Bros Hldgs Inc    52517PYE5 12/23/04 12/23/19*   100.000    VARIES    5.6986              0.151865                                                 9.87*        
Lehman Bros Hldgs Inc    52517PYG0 12/30/04 12/30/19*   100.000    VARIES    5.5380              0.145959                                                 9.49*        
Lehman Bros Hldgs Inc    52517PYH8 01/06/05 01/06/20*   100.000    VARIES    5.8754              0.143890   0.140773                                      9.17*        
Lehman Bros Hldgs Inc    52517PYJ4 12/30/04 12/30/19*   100.000    VARIES    5.8784              0.157902                                                10.26*        
Lehman Bros Hldgs Inc    52517PYM7 01/28/05 01/28/20*   100.000    VARIES    5.9154              0.145363   0.142268                                      9.33*        
Lehman Bros Hldgs Inc    52517PYR6 02/02/05 02/02/17*   100.000    VARIES    5.4992              0.147139   0.149069                                      9.63*        
Lehman Bros Hldgs Inc    52517PYT2 02/24/05 02/24/20*   100.000    VARIES    5.1276              0.131628   0.132012                                      8.56*        
Lehman Bros Hldgs Inc    52517PYU9 02/24/05 02/24/20*   100.000    VARIES    5.0875              0.130423   0.130844                                      8.48*        
Lehman Bros Hldgs Inc    52517PYW5 03/23/05 03/23/20*   100.000    VARIES    5.1879              0.134887                                                 8.77*        
Lehman Bros Hldgs Inc    52517PYX3 03/17/05 03/17/20*   100.000    VARIES    5.2322              0.159865                                                10.39*        
Lehman Bros Hldgs Inc    52517PZ38 06/22/07 06/22/22*   100.000    VARIES    5.7685              0.153218                                                 9.96*        
Lehman Bros Hldgs Inc    52517PZ87 05/23/07 05/23/22*   100.000    VARIES    5.5672              0.140041                                                 9.10*        
Lehman Bros Hldgs Inc    52517PZA2 03/23/05 03/23/20*   100.000    VARIES    5.7272              0.148493                                                 9.65*        
Lehman Bros Hldgs Inc    52517PZJ3 05/11/05 05/11/15*   100.000    VARIES    5.2579              0.133768                                                 8.69*        
Lehman Bros Hldgs Inc    52517PZL8 05/19/05 05/19/20*   100.000    VARIES    5.8181              0.156836                                                10.19*        
Lehman Bros Hldgs Inc    52517PZM6 05/19/05 05/19/20*   100.000    VARIES    5.8231              0.180660                                                11.74*        
Lehman Bros Hldgs Inc    52517PZN4 05/26/05 05/26/15*   100.000    VARIES    5.1761              0.120233                                                 7.82*        
Lehman Bros Hldgs Inc    52517PZS3 06/23/05 06/23/20*   100.000    VARIES    5.4824              0.167290                                                10.87*        
Lehman Bros Hldgs Inc    5252M0AJ6 12/28/07 12/28/22*   100.000    VARIES    5.6093              0.153260                                                 9.96*        
Lehman Bros Hldgs Inc    5252M0AM9 11/19/07 11/19/37*   100.000    VARIES    7.4282              0.197702                                                12.85*        
Lehman Bros Hldgs Inc    5252M0AP2 02/07/08 02/07/12    100.000     0.000    5.2100              0.173267                                                 6.24         
Lehman Bros Hldgs Inc    5252M0AV9 11/27/07 11/27/37*    11.746     0.000    7.2677    39.89     0.031550                                                 2.05*        
Lehman Bros Hldgs Inc    5252M0AY3 12/28/07 12/28/22*   100.000    VARIES    5.8488              0.157144                                                10.21*        
Lehman Bros Hldgs Inc    5252M0BG1 01/11/08 01/11/12    100.000     0.000    5.3999              0.180752                                                 1.81         
Lehman Bros Hldgs Inc    5252M0BJ5 12/28/07 12/28/22*   100.000    VARIES    5.8954              0.155736                                                10.12*        
Lehman Bros Hldgs Inc    5252M0BK2 03/20/08 03/20/12*   100.000     0.000    N/A                 0.229262                                                14.90*        
Lehman Bros Hldgs Inc    5252M0BR7 02/14/08 02/14/12    100.000     0.000    5.0900              0.168584                                                 7.25         
Lehman Bros Hldgs Inc    5252M0BU0 02/14/08 02/14/12    100.000     0.000    5.0900              0.168584                                                 7.25         
Lehman Bros Hldgs Inc    5252M0CH8 02/06/08 02/06/23*   100.000    VARIES    5.6140              0.141774   0.139516                                      9.15*        
Lehman Bros Hldgs Inc    5252M0CK1 02/12/08 02/12/38*   100.000    VARIES    7.2994              0.200801   0.200813                                     13.05*        
Lehman Bros Hldgs Inc    5252M0CV7 02/27/08 02/27/23*   100.000    VARIES    5.1091              0.136436   0.136614                                      8.87*        
Lehman Bros Hldgs Inc    5252M0DB0 05/21/08 05/21/12*   100.000     0.000    N/A                 0.170141                                                11.06*        
Lehman Bros Hldgs Inc    5252M0DF1 02/28/08 02/28/12    100.000     0.000    5.1099              0.165680                                                 9.61         
Lehman Bros Hldgs Inc    5252M0DP9 03/31/08 03/31/23*   100.000    VARIES    5.5588              0.148345                                                 9.64*        
Lehman Bros Hldgs Inc    5252M0DQ7 03/20/08 09/20/12*   100.000     0.000    N/A                 0.247387                                                16.08*        
Lehman Bros Hldgs Inc    5252M0EC7 03/10/08 03/10/23*   100.000    VARIES    7.2993              0.199981                                                13.00*        
Lehman Bros Hldgs Inc    5252M0EF0 03/28/08 03/28/12*   100.000     0.000    N/A                 0.172875                                                11.24*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lehman Bros Hldgs Inc    5252M0EH6 03/13/08 03/13/23*   100.000    VARIES    6.8587              0.185146                                                12.03*        
Lehman Bros Hldgs Inc    5252M0EN3 03/05/08 03/05/18*    92.300     5.250    6.2995    23.98     0.019480   0.020094                                      1.27*        
Lehman Bros Hldgs Inc    5252M0EQ6 03/31/08 04/01/13*   100.000     0.000    N/A                 0.251818                                                16.37*        
Lehman Bros Hldgs Inc    5252M0ET0 03/17/08 03/17/23*   100.000    VARIES    6.5597              0.181083                                                11.77*        
Lehman Bros Hldgs Inc    5252M0EW3 04/10/08 04/10/23*   100.000    VARIES    7.4983              0.201691                                                13.11*        
Lehman Bros Hldgs Inc    5252M0EZ6 04/30/08 04/30/13*   100.000    VARIES    N/A                 0.191156                                                12.43*        
Lehman Bros Hldgs Inc    5252M0FE2 05/22/08 11/23/12*   100.000     0.000    N/A                 0.200748                                                13.05*        
Lehman Bros Hldgs Inc    5252M0FV4 05/29/08 05/29/12*   100.000     0.000    N/A                 0.209870                                                13.64*        
Lehman Bros Hldgs Inc    5252M0FW2 05/19/08 05/19/23*   100.000    VARIES    7.2491              0.198214                                                12.88*        
Lehman Bros Hldgs Inc    5252M0FY8 05/30/08 05/30/13*   100.000     0.000    N/A                 0.209933                                                13.65*        
Lehman Bros Hldgs Inc    5252M0GD3 06/26/08 06/26/23*   100.000    VARIES    8.0972              0.214884                                                13.97*        
Lehman Bros Hldgs Inc    5252M0GG6 06/27/08 06/27/12*   100.000     0.000    N/A                 0.213256                                                13.86*        
Lehman Bros Hldgs Inc    5252M0GJ0 08/07/08 08/07/12*   100.000     0.000    N/A                 0.271291   0.281831                                     17.94*        
Lehman Bros Hldgs Inc    5252M0GN1 06/26/08 06/26/23*   100.000    VARIES    8.2966              0.218471                                                14.20*        
Lehman Bros Hldgs Inc    5252M0GQ4 07/14/08 07/14/23*   100.000    VARIES    8.3470              0.221790   0.222042                                     14.43*        
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000    9.0689              0.519192   0.537697   0.557040   0.577261  0.598398    191.98   206.08
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000    9.0689              0.519192   0.537697   0.557040   0.577261  0.598398    191.98   206.08
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750    9.4298              0.559992   0.581484   0.603989   0.627555  0.652233    211.45   228.24
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750    9.4298              0.559992   0.581484   0.603989   0.627555  0.652233    211.45   228.24
Liberty Media Corp.      530715AM3 01/11/01 01/15/31    100.000     3.500    N/A                 0.447524   0.462768   0.478599   0.495032  0.512079    169.01   180.81
Liberty Media Corp.      530715AN1 01/11/01 01/15/31    100.000     3.500    N/A                 0.447524   0.462768   0.478599   0.495032  0.512079    169.01   180.81
Liberty Media Corp.      530715AP6 03/08/01 03/15/31    100.000     3.250   10.3696              0.663141   0.692843   0.724085   0.756947  0.791512    250.54   273.73
Liberty Media Corp.      530715AQ4 03/08/01 03/15/31    100.000     3.250   10.3696              0.663141   0.692843   0.724085   0.756947  0.791512    250.54   273.73
Liberty Media Corp.      530715AR2 03/08/01 03/15/31    100.000     3.250   10.3696              0.663141   0.692843   0.724085   0.756947  0.791512    250.54   273.73
Liberty Media Corp.      530718AB1 03/26/03 03/30/23     98.500     0.750    5.6006              0.232711   0.238644   0.244743   0.251013  0.257459     85.94    90.39
Liberty Media Corp.      530718AF2 03/26/03 03/30/23     98.500     0.750    N/A                 0.298965   0.308090   0.317608   0.327535  0.337889    110.97   117.97
Linear Technology Corp.  535678AA4 04/24/07 05/01/27    100.000    VARIES    7.0000              0.234975   0.240282   0.245776   0.251461  0.257346     86.19    90.20
Linear Technology Corp.  535678AC0 04/24/07 05/01/27    100.000    VARIES    7.0000              0.234975   0.240282   0.245776   0.251461  0.257346     86.19    90.20
Lithia Motors, Inc.      536797AA1 05/03/04 05/01/14    100.000    VARIES    8.9998              0.405402   0.419110   0.433387   0.448259  0.463748    150.09   160.52
Lithia Motors, Inc.      536797AB9 05/03/04 05/01/14    100.000    VARIES    8.9998              0.405402   0.419110   0.433387   0.448259  0.463748    150.09   160.52
Livingston Counties, IL  538412AR8 10/27/10 12/01/12    103.208    VARIES    2.0372              0.057407   0.057001                                     18.87         
Livingston Counties, IL  538412AS6 10/27/10 12/01/13    103.968    VARIES    2.5380              0.072226   0.071804   0.071375   0.070941               25.90    23.48
Livingston Counties, IL  538412AT4 10/27/10 12/01/14    105.289    VARIES    2.7890              0.080377   0.079910   0.079436   0.078956  0.078468     28.82    28.48
Livingston Counties, IL  538412AU1 10/27/10 12/01/15    104.254    VARIES    3.2393              0.092866   0.092526   0.092180   0.091828  0.091471     33.35    33.10
Lloyds TSB Bank PLC      5394E8AH2 07/28/11 07/28/16    100.000    VARIES    2.0468              0.008245   0.008125   0.008003   0.007881  0.007757      2.91     2.82
Lloyds TSB Bank PLC      5394E8AM1 04/13/12 04/13/15     98.750    VARIES    2.9305                         0.017885   0.017860   0.017835  0.018096      4.61     6.44
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES    4.6791                         0.129975   0.127817   0.125608  0.123600     31.70    45.34
Lloyds TSB Bank PLC      5394E8AP4 04/27/12 04/27/20    100.000    VARIES    2.7870                         0.021863   0.021044   0.020214  0.019372      5.28     7.32
Lloyds TSB Bank PLC      5394E8AR0 04/27/12 10/27/14     98.750    VARIES    2.9127                         0.024343   0.024311   0.024278  0.024632      5.94     8.77
Lloyds TSB Bank PLC      5394E8AU3 06/22/12 10/22/14     98.150    VARIES    3.2939                         0.034252   0.034329   0.034446  0.034789      6.48    12.41
Lloyds TSB Bank PLC      5394E8AV1 06/08/12 06/08/27     95.000     8.000    8.5995                         0.004710   0.004912   0.005124  0.005344       .96     1.82
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lloyds TSB Bank PLC      5394E8AX7 06/29/12 06/29/32    100.000    VARIES    4.7441                         0.131781   0.130556   0.129302  0.128019     23.98    46.77
Lloyds TSB Bank PLC      5394E8AY5 06/29/12 06/29/27     95.000     8.000    8.5995                         0.004710   0.004912   0.005124  0.005344       .86     1.81
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES    2.8121                                    0.008670   0.008245  0.007814      1.37     2.91
Lloyds TSB Bank PLC      5394E8BC2 07/20/12 07/20/17     98.250    VARIES    2.8582                                    0.022450   0.021870  0.021281      3.61     7.79
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000     4.200    4.6384                                    0.007024   0.007187  0.007354      1.11     2.61
Lloyds TSB Bank PLC      5394E8BG3 09/19/12 09/19/32    100.000    VARIES    4.3107                                    0.119742   0.118654  0.117542     12.21    42.69
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.   553769AJ9 08/05/11 08/01/19     97.000    11.500    N/A                 0.325416   0.325816   0.326247   0.326702  0.327181    117.35   117.67
MTR Gaming Group, Inc.   553769AK6 08/05/11 08/01/19     97.000    11.500    N/A                 0.325416   0.325816   0.326247   0.326702  0.327181    117.35   117.67
MTR Gaming Group, Inc.   553769AL4 08/05/11 08/01/19     97.000    11.500    N/A                 0.325416   0.325816   0.326247   0.326702  0.327181    117.35   117.67
Macon CNTYS DIST 537, IL 555545BN1 04/01/10 12/01/12    105.299     0.000    1.8728              0.056508   0.057038                                     18.74         
Macon CNTYS DIST 537, IL 555545BP6 04/01/10 12/01/13    105.732     0.000    2.4439              0.074745   0.075658   0.076583   0.077519               27.13    25.44
Macon CNTYS DIST 537, IL 555545BQ4 04/01/10 12/01/14    105.395     0.000    2.8119              0.086248   0.087460   0.088690   0.089937  0.091201     31.34    32.23
Macon CNTYS DIST 537, IL 555545BR2 04/01/10 12/01/15    105.886     0.000    3.0211              0.093416   0.094827   0.096260   0.097714  0.099190     33.97    35.00
Macon CNTYS DIST 537, IL 555545BS0 04/01/10 12/01/16    106.138     0.000    3.2973              0.102665   0.104357   0.106078   0.107827  0.109604     37.37    38.61
Macon CNTYS DIST 537, IL 555545BT8 04/01/10 12/01/17    103.230     0.000    3.7059              0.112979   0.115073   0.117205   0.119377  0.121589     41.18    42.72
Macon CNTYS DIST 537, IL 555545BU5 04/01/10 12/01/18    105.024     0.000    3.5846              0.110961   0.112949   0.114974   0.117035  0.119132     40.42    41.89
Macoupin CNTY SD #1, IL  556003DP3 10/26/10 12/01/12    107.851    VARIES    1.9309              0.055577   0.054611                                     18.17         
Macoupin CNTY SD #1, IL  556003DQ1 10/12/12 12/01/13    101.998     0.000    1.0407                         0.029487   0.029529   0.029683                2.33     9.77
Macoupin CNTY SD #1, IL  556003DR9 10/12/12 12/01/14    102.914     0.000    1.4173                         0.040518   0.040596   0.040884  0.041174      3.20    14.68
Marion County, OR        56913RAL2 03/28/02 06/01/12     49.948     0.000    6.9388   472.58     0.186282                                                27.94         
Marion County, OR        56913RAM0 03/28/02 06/01/13     46.303     0.000    7.0088   444.06     0.175577   0.181730   0.188099                          64.69    28.21
Marion County, OR        56913RAN8 03/28/02 06/01/14     42.967     0.000    7.0588   416.05     0.164860   0.170678   0.176702   0.182939  0.189396     60.75    65.12
Marion County, OR        56913RAP3 03/28/02 06/01/15     39.329     0.000    7.2089   391.86     0.156286   0.161920   0.167756   0.173803  0.180067     57.62    61.85
Marion County, OR        56913RAQ1 03/28/02 06/01/16     36.142     0.000    7.3089   366.94     0.146981   0.152352   0.157920   0.163691  0.169674     54.21    58.24
Marion County, OR        56913RAR9 03/28/02 06/01/17     33.393     0.000    7.3590   342.20     0.137371   0.142425   0.147666   0.153099  0.158733     50.67    54.47
Marion County, OR        56913RAS7 03/28/02 06/01/18     31.307     0.000    7.3092   317.86     0.127326   0.131979   0.136803   0.141802  0.146985     46.96    50.45
Marion County, OR        56913RAT5 03/28/02 06/01/19     28.898     0.000    7.3592   296.15     0.118886   0.123260   0.127796   0.132498  0.137373     43.85    47.14
Marion County, OR        56913RAU2 03/28/02 06/01/20     26.649     0.000    7.4091   275.65     0.110892   0.115000   0.119260   0.123679  0.128260     40.91    44.00
Masco Corporation        574599AW6 07/20/01 07/20/31     39.445    VARIES    8.1251              0.192468   0.199540   0.206899   0.214558  0.222527     72.88    78.38
Masco Corporation        574599BB1 07/20/01 07/20/31     39.445    VARIES    8.1251              0.192468   0.199540   0.206899   0.214558  0.222527     72.88    78.38
Mason CNTYS SD #191, IL  574816BW3 07/02/10 12/01/18    106.295    VARIES    4.3308              0.126917   0.126508   0.126089   0.125662  0.125225     45.59    45.29
Mason CNTYS SD #191, IL  574816BX1 07/02/10 12/01/19    105.637    VARIES    4.7793              0.139495   0.139144   0.138785   0.138418  0.138041     50.13    49.87
Media General Inc.       584404AB3 02/12/10 02/15/17     97.690    11.750   12.2505     4.47     0.007229   0.007672   0.008142   0.008641  0.009170      2.81     3.16
Media General Inc.       584404AC1 02/12/10 02/15/17     97.690    11.750   12.2505     4.47     0.007229   0.007672   0.008142   0.008641  0.009170      2.81     3.16
Medicis Pharma Corp.     584690AB7 08/14/03 06/04/33     93.000    VARIES    9.1499              0.448400   0.466373   0.485168   0.504822  0.525376    165.65   179.28
Merisant Worldwide, Inc. 58985CAA8 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340269   0.340268   0.340268   0.340267  0.340267    122.50   122.50
Merrill Lynch & Co.,Inc. 590188W46 03/13/02 03/13/32    100.000    VARIES    5.7132              0.271013   0.278754   0.286717   0.294908  0.303332    100.65   106.49
Merrill Lynch & Co.,Inc. 590188W79 12/30/04 01/02/14    100.000     0.000    4.6291              0.173182   0.177191   0.181292   0.185488  0.189781     64.52    67.54
Merrill Lynch & Co.,Inc. 59018YC66 05/02/07 05/02/17    100.000    VARIES    5.5833              0.149915   0.150324   0.150744   0.151176  0.151620     54.09    54.40
Merrill Lynch & Co.,Inc. 59018YD65 05/18/07 05/18/17    100.000    VARIES    5.6522              0.153491   0.153768   0.154053   0.154346  0.154647     55.33    55.54
Merrill Lynch & Co.,Inc. 59018YE49 06/06/07 06/06/17    100.000    VARIES    5.9091              0.160046   0.160367   0.160697   0.161037  0.161386     57.69    57.93
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Merrill Lynch Bank USA   59020WA68 01/31/07 01/31/12    100.000     0.000    5.1060              0.177957                                                 5.16         
Merrill Lynch Bank USA   59020WA76 01/31/07 02/21/12    100.000     0.000    5.0982              0.178155                                                 8.91         
Merrill Lynch Bank USA   59020WB42 03/15/07 03/15/13    100.000     0.000    4.8033              0.165199   0.169166   0.173229                          61.04    12.82
Merrill Lynch Bank USA   59020WC74 03/30/07 03/30/12    100.000     0.000    4.8040              0.165226                                                14.71         
Merrill Lynch Bank USA   59020WC90 04/30/07 04/30/12    100.000     0.000    4.7640              0.163566                                                19.46         
Merrill Lynch Bank USA   59020WD24 04/30/07 04/30/12    100.000     0.000    4.8440              0.166896                                                19.86         
Merrill Lynch Bank USA   59020WWC1 09/30/05 03/31/14    100.000     0.000    4.4692              0.161850   0.165467   0.169164   0.172944  0.176809     59.58    62.28
Merrill Lynch Bank USA   59020WXK2 04/28/06 04/30/12    100.000     0.000    5.2512              0.194044                                                23.09         
Merrill Lynch Bank USA   59020WXM8 05/31/06 05/31/12    100.000     0.000    5.2311              0.193037                                                28.76         
Merrill Lynch Bank USA   59020WYV7 10/31/06 10/31/12    100.000     0.000    4.8867              0.172805   0.177027                                     52.43         
Merrill Lynch Bank USA   59020WYW5 10/31/06 10/31/12    100.000     0.000    4.8867              0.172805   0.177027                                     52.43         
Merrill Lynch Bank USA   59020WZE4 10/30/06 04/30/12    100.000     0.000    4.9187              0.174210                                                20.73         
Merrill Lynch & Co.,Inc. 59021S265 09/29/05 11/19/12    100.000     0.000    4.3795              0.158725   0.162200                                     51.10         
Merrill Lynch & Co.,Inc. 59021S489 05/10/05 05/10/12    100.000     4.200    4.1999              0.116667                                                15.05         
Merrill Lynch & Co.,Inc. 59021W183 11/01/04 04/30/12    100.000     0.000    3.9886              0.146063                                                17.38         
Merrill Lynch & Co.,Inc. 59021W464 05/14/04 02/14/12    100.000     0.000    3.1804              0.111058                                                 4.78         
Merrill Lynch & Co.,Inc. 59022W505 05/09/07 05/09/12    100.000     0.000    5.1563              0.180108                                                23.05         
Mexican States           593048BN0 03/30/01 12/30/19     89.000     8.125    9.3823    40.36     0.016772   0.017559   0.018383   0.019245  0.020148      6.18     6.77
Miami Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760    8.7675    15.30     0.023063   0.024075   0.025130   0.026232  0.027381      8.52     9.28
Michaels Stores, Inc.    594087AN8 10/31/06 11/01/16*    50.110    VARIES    N/A                 0.377857   0.219934                                     84.93*        
Michaels Stores, Inc.    594087AP3 10/31/06 11/01/16*    50.110    VARIES    N/A                 0.377857   0.219934                                     84.93*        
Microchip Technology Inc 595017AA2 12/07/07 12/15/37    100.000    VARIES    9.1009              0.330701   0.343107   0.358034   0.369639  0.385926    123.77   133.28
Microchip Technology Inc 595017AB0 12/07/07 12/15/37    100.000    VARIES    9.1009              0.330701   0.343107   0.358034   0.369639  0.385926    123.77   133.28
Milagro Oil & Gas, Inc.  59870WAA0 05/11/11 05/15/16     97.182    10.500   11.2509     2.81     0.012746   0.013463   0.014221   0.015021  0.015866      4.79     5.34
Milagro Oil & Gas, Inc.  59870WAB8 05/11/11 05/15/16     97.182    10.500   11.2509     2.81     0.012746   0.013463   0.014221   0.015021  0.015866      4.79     5.34
Mississippi Home Corp.   60535MCB3 07/21/93 09/15/16     19.775     0.000    7.1244   521.70     0.139456   0.144424   0.149568   0.154896  0.160414     52.17    55.95
Morgan Stanley           6174462H1 01/31/08 02/07/12    100.000     3.878    3.8779              0.107722                                                 3.88         
Morgan Stanley           6174463E7 02/29/08 02/29/12    100.000     0.000    4.0950              0.129651                                                 7.65         
Morgan Stanley           6174463V9 03/31/08 04/06/12    100.000     3.806    3.8059              0.105722                                                10.04         
Morgan Stanley           6174463X5 03/31/08 09/28/12    100.000     0.000    3.9245              0.124875   0.127326                                     33.78         
Morgan Stanley           6174464D8 03/28/08 09/30/13    100.000     0.000    4.2223              0.133577   0.136397   0.140042   0.142217               50.01    38.49
Morgan Stanley           6174464N6 03/24/08 02/24/14    100.000     0.000    4.6797              0.152258   0.155820   0.159466   0.163198  0.167016     56.37    59.04
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935    4.6422              0.109504   0.110153   0.110818   0.111498  0.112193     39.67    40.16
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350     2.624    4.6439              0.105984   0.106752   0.107538   0.108343  0.109166     38.45    39.02
Morgan Stanley           6174464T3 03/28/08 12/07/12    100.000     0.000    3.5735              0.113135   0.115157                                     38.38         
Morgan Stanley           6174464W6 03/31/08 04/26/13    100.000     0.000    4.0406              0.129484   0.132100   0.134769                          47.43    15.50
Morgan Stanley           6174465F2 04/30/08 07/05/13    100.000     0.000    3.8715              0.121498   0.123850   0.126247   0.128691               45.00    23.67
Morgan Stanley           6174465J4 04/25/08 10/25/13    100.000     0.000    5.0328              0.166366   0.170553   0.174845   0.179244               61.20    52.20
Morgan Stanley           6174465N5 04/14/08 10/04/13    100.000     0.000    4.2160              0.135372   0.138226   0.141139   0.144115               49.75    39.07
Morgan Stanley           6174466S3 06/30/08 06/30/14    100.000     0.000    6.0285              0.206156   0.212370   0.218772   0.225366  0.232160     75.35    79.96
Morgan Stanley           617446H28 04/27/07 04/27/37*   100.000    VARIES    5.5782              0.136054                                                15.78*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617446H69 05/30/07 06/26/17    100.000     0.000    5.8001              0.209262   0.215331   0.221576   0.228002  0.234614     76.49    80.99
Morgan Stanley           617446J75 08/13/07 02/27/13    117.470     0.000    5.6319              0.229994   0.236470   0.243129                          85.59    13.62
Morgan Stanley           617446K40 06/26/08 06/24/15*   100.000     1.100    N/A                 0.222217                                                12.89*        
Morgan Stanley           617446YM5 08/30/05 09/01/14    100.000     0.000    4.8471              0.179491   0.183841   0.188296   0.192860  0.197534     66.46    69.72
Morgan Stanley           617446Z77 02/07/08 06/06/14    100.000     0.000    4.6169              0.152760   0.156286   0.159894   0.163585  0.167361     55.81    58.41
Morgan Stanley           61745E2D2 01/24/11 01/24/20    100.000    VARIES    5.2661              0.145746   0.145195   0.145819   0.146458  0.146758     52.38    52.76
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES    5.5160              0.153224   0.152853   0.152472   0.153295  0.154142     54.97    55.32
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES    6.0157              0.167104   0.162939   0.158649   0.154231  0.149679     59.13    56.02
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES    5.7295              0.155755   0.152259   0.148663   0.144964  0.141384     54.31    51.69
Morgan Stanley           61745E2L4 07/07/11 07/07/20    100.000    VARIES    2.2423              0.013785   0.012665   0.011533   0.011662  0.011793      4.37     4.22
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES    6.5857              0.182937   0.179814   0.176588   0.173256  0.169815     65.10    62.76
Morgan Stanley           61745E2Q3 07/30/10 07/30/25    100.000    VARIES    5.4814              0.149918   0.148697   0.147444   0.146155  0.144832     53.38    52.45
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES    5.5541              0.154282   0.152395   0.150456   0.148463  0.146414     54.56    53.13
Morgan Stanley           61745E2V2 02/26/10 02/26/30    100.000    VARIES    6.1599              0.160946   0.157348   0.156173   0.154962  0.153714     56.70    55.70
Morgan Stanley           61745E2W0 08/12/10 08/12/30    100.000    VARIES    5.7343              0.150781   0.145319   0.139701   0.133922  0.127977     51.76    47.62
Morgan Stanley           61745E2Y6 07/15/11 07/15/17    100.000    VARIES    4.3803              0.121677   0.121300   0.120915   0.121388  0.121872     43.61    43.77
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES    6.7333              0.187038   0.183983   0.180825   0.177561  0.174187     66.59    64.30
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES    6.0718              0.165350   0.161937   0.158420   0.154796  0.151063     57.96    55.37
Morgan Stanley           61745E3F6 11/30/11 12/01/16    100.000    VARIES    5.1660              0.011030   0.011315   0.011607   0.011541  0.011473      4.04     4.16
Morgan Stanley           61745E3J8 07/28/10 07/28/17    100.000    VARIES    2.9665              0.017262   0.017518   0.017778   0.018041  0.018309      6.34     6.53
Morgan Stanley           61745E3R0 02/11/11 02/11/20    100.000    VARIES    5.7500              0.160323   0.160940   0.161574   0.162226  0.162501     58.00    58.41
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES    5.6230              0.156197   0.153950   0.151640   0.149265  0.146823     55.13    53.43
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES    6.9291              0.192478   0.189522   0.186465   0.183301  0.180028     68.74    66.53
Morgan Stanley           61745E3W9 08/17/10 08/17/20    100.000    VARIES    2.7071              0.021480   0.020324   0.019151   0.019411  0.019673      7.21     7.01
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES    5.4529              0.151471   0.146512   0.141419   0.137942  0.134371     52.11    49.21
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES    5.4932              0.152591   0.149153   0.145620   0.142876  0.140056     53.25    51.08
Morgan Stanley           61745E4K4 02/18/11 02/18/20    100.000    VARIES    2.8598              0.017190   0.016385   0.015569   0.014742  0.014952      5.83     5.37
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES    5.5117              0.153103   0.148519   0.143809   0.140096  0.136281     52.88    49.96
Morgan Stanley           61745E4M0 12/23/11 12/23/18    100.000    VARIES    4.9659              0.024721   0.025334   0.025963   0.026608  0.027269      9.02     9.47
Morgan Stanley           61745E4P3 03/15/10 03/15/25    100.000    VARIES    5.6291              0.147723   0.145961   0.144150   0.142288  0.142249     52.48    51.36
Morgan Stanley           61745E4Q1 08/24/10 08/24/30    100.000    VARIES    5.2836              0.144217   0.142890   0.141528   0.140130  0.138695     51.34    50.34
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES    6.1786                         0.171629   0.168350   0.164970  0.161485     59.18    58.84
Morgan Stanley           61745E4U2 08/26/09 08/26/16    100.000    VARIES    5.1504              0.147975   0.148628   0.149297   0.149459  0.149624     53.55    53.82
Morgan Stanley           61745E4V0 03/18/10 03/18/25    100.000    VARIES    5.8931              0.153314   0.149646   0.148448   0.147216  0.145946     54.03    52.96
Morgan Stanley           61745E4W8 08/25/10 08/25/25    100.000    VARIES    5.0043              0.131977   0.128329   0.124590   0.123822  0.123036     45.92    44.52
Morgan Stanley           61745E5C1 08/27/10 08/27/15    100.000    VARIES    1.8388              0.006891   0.006955   0.007019   0.007083  0.007148      2.51     2.55
Morgan Stanley           61745E5H0 03/30/10 03/30/30    100.000    VARIES    5.9049              0.151773   0.149603   0.147369   0.145069  0.144955     53.85    52.42
Morgan Stanley           61745E5P2 03/30/10 03/30/30    100.000    VARIES    5.9384              0.152057   0.147499   0.146620   0.145714  0.144782     53.43    52.45
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES    5.2217              0.145209   0.145374   0.145509   0.145648  0.145836     52.34    52.44
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES    5.6565              0.157125   0.152142   0.147017   0.144130  0.141162     54.36    51.65
Morgan Stanley           61745E5U1 09/30/09 09/30/29    100.000    VARIES    5.7074              0.144334   0.140526   0.136609   0.136647  0.136685     50.57    49.19
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745E5W7 08/31/10 08/31/20    100.000    VARIES    2.8095              0.010984   0.011017   0.011357   0.011329  0.011678      4.07     4.18
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES    5.8739              0.162653   0.162128   0.161586   0.161029  0.160456     58.35    57.96
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES    5.6271                         0.156310   0.152893   0.149379  0.145767     51.22    53.33
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES    5.5646              0.154238   0.153892   0.153542   0.153182  0.152811     55.40    55.14
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES    4.5799              0.127220   0.126949   0.126673   0.126396  0.126113     45.68    45.48
Morgan Stanley           61745E6J5 08/31/10 08/31/30    100.000    VARIES    5.4234              0.140573   0.137591   0.138354   0.134564  0.135193     50.63    49.41
Morgan Stanley           61745E6M8 02/15/12 02/15/19    100.000    VARIES    5.4091                         0.150254   0.149810   0.149354  0.149869     47.42    53.86
Morgan Stanley           61745E6P1 04/22/10 04/20/30    100.000    VARIES    6.0247              0.151956   0.146492   0.140864   0.135066  0.134724     52.93    49.23
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES    5.9463              0.161002   0.156704   0.152279   0.147721  0.146172     56.35    53.41
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES    5.5533              0.152006   0.152016   0.152026   0.152037  0.151995     54.73    54.73
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES    5.0167              0.139354   0.139187   0.139017   0.138849  0.138678     50.09    49.97
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES    5.5215              0.151691   0.147808   0.147923   0.141373  0.139392     54.34    51.74
Morgan Stanley           61745E7G0 10/30/09 10/30/29    100.000    VARIES    5.8639              0.147106   0.147012   0.146915   0.146815  0.146713     52.93    52.86
Morgan Stanley           61745E7H8 04/23/10 04/23/25    100.000    VARIES    5.7579              0.149471   0.145777   0.143959   0.142089  0.140164     52.77    51.23
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES    5.3224              0.148457   0.149081   0.149722   0.150380  0.150434     53.67    54.08
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES    5.9065              0.163584   0.163083   0.162567   0.162035  0.161489     58.72    58.34
Morgan Stanley           61745ED99 10/30/09 10/30/29*   100.000    VARIES    5.8166              0.144079                                                17.15*        
Morgan Stanley           61745EE23 04/29/10 04/29/30    100.000    VARIES    6.0035              0.151311   0.145847   0.145417   0.144975  0.144519     53.12    52.21
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES    5.7612              0.156644   0.153154   0.152674   0.152179  0.151670     55.46    54.80
Morgan Stanley           61745EE80 05/05/10 05/05/25*   100.000    VARIES    5.6438              0.147379                                                 5.01*        
Morgan Stanley           61745EE98 09/22/10 09/22/19    100.000    VARIES    2.8227              0.020668   0.020111   0.019546   0.018973  0.018391      7.23     6.82
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES    5.8397              0.162896   0.163597   0.164319   0.165061  0.165825     58.88    59.40
Morgan Stanley           61745EF30 08/30/11 08/30/15    100.000    VARIES    3.2415              0.011364   0.010846   0.010376   0.010486  0.010715      3.94     3.85
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES    6.0398              0.164464   0.164494   0.164524   0.164556  0.164426     59.22    59.23
Morgan Stanley           61745EF71 09/22/10 09/22/25    100.000    VARIES    5.6905              0.151162   0.149175   0.147132   0.145030  0.142868     53.66    52.17
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES    2.2565              0.007509   0.007189   0.006866   0.006539  0.006613      2.59     2.39
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES    5.6734              0.155865   0.150836   0.149849   0.143879  0.142577     55.38    52.70
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES    5.6779              0.154497   0.153841   0.154009   0.152474  0.153692     56.39    55.91
Morgan Stanley           61745EG70 08/31/11 08/31/15    100.000    VARIES    3.2288              0.011079   0.010461   0.010119   0.010115  0.010445      3.82     3.73
Morgan Stanley           61745EH20 05/12/10 05/12/25    100.000    VARIES    5.8071              0.150932   0.150683   0.150427   0.150163  0.151080     54.27    54.14
Morgan Stanley           61745EH38 09/30/10 09/30/25*   100.000    VARIES    5.2659              0.145188   0.144623   0.144042                          51.92*        
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES    5.7524              0.153047   0.148805   0.145616   0.140721  0.137254     54.74    51.69
Morgan Stanley           61745EH87 05/20/10 05/20/30    100.000    VARIES    5.8155              0.148611   0.144047   0.139351   0.134518  0.129545     52.30    48.89
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES    5.7371              0.157562   0.155708   0.153800   0.151837  0.149922     56.16    54.77
Morgan Stanley           61745EJ36 09/16/11 09/16/15    100.000    VARIES    3.0131              0.018385   0.017602   0.016807   0.017060  0.017318      6.31     6.15
Morgan Stanley           61745EJ77 09/30/10 09/30/17    100.000    VARIES    2.7147              0.013580   0.013765   0.013952   0.014141  0.014333      4.96     5.09
Morgan Stanley           61745EJ85 04/28/11 04/28/17    100.000    VARIES    1.7167              0.011822   0.011315   0.011412   0.011511  0.011610      4.13     4.14
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES    5.8527              0.162576   0.159205   0.155735   0.152163  0.148487     57.15    54.61
Morgan Stanley           61745EL33 09/30/10 09/30/19    100.000    VARIES    2.8240              0.028735   0.027321   0.025888   0.026253  0.026624      9.83     9.45
Morgan Stanley           61745EL41 04/29/11 04/29/18    100.000    VARIES    1.6125              0.010326   0.009827   0.009906   0.009986  0.010067      3.60     3.59
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES    5.8547              0.162631   0.159260   0.155791   0.152220  0.148544     57.22    54.68
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EL90 10/15/10 10/15/19    100.000    VARIES    2.5025              0.018256   0.017459   0.016653   0.016861  0.017072      6.31     6.06
Morgan Stanley           61745EM24 04/29/11 04/29/16    100.000    VARIES    1.5929              0.008614   0.008340   0.008406   0.008473  0.008541      3.03     3.05
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES    5.5347              0.153744   0.150312   0.146784   0.143159  0.139434     54.04    51.46
Morgan Stanley           61745EM73 10/29/10 10/29/30    100.000    VARIES    5.2869              0.144311   0.142986   0.141626   0.140229  0.138796     51.55    50.56
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES    5.1511              0.143195   0.143306   0.143420   0.143537  0.143657     51.58    51.66
Morgan Stanley           61745EM99 09/30/11 09/30/17    100.000    VARIES    3.3263              0.012558   0.011611   0.010648   0.010825  0.011005      4.18     3.90
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES    5.5223              0.150404   0.147437   0.148489   0.144661  0.145590     54.42    53.37
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES    6.1251              0.170144   0.166848   0.163450   0.159949  0.156340     60.05    57.56
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES    1.9922              0.014008   0.013245   0.012474   0.012599  0.012724      4.83     4.53
Morgan Stanley           61745EP70 01/15/10 01/15/25    100.000    VARIES    5.4037              0.143984   0.141833   0.139623                          50.72     1.95
Morgan Stanley           61745EP88 06/16/10 06/16/13    100.000    VARIES    2.1929              0.017583   0.017776   0.017971                           6.37     2.97
Morgan Stanley           61745EP96 10/15/10 10/15/15    100.000    VARIES    1.8991              0.016483   0.016248   0.016011   0.016163  0.016317      5.86     5.81
Morgan Stanley           61745EQ38 09/30/11 09/30/15    100.000    VARIES    3.1371              0.021191   0.020879   0.020561   0.020239  0.019912      7.52     7.29
Morgan Stanley           61745EQ79 10/29/10 10/29/30    100.000    VARIES    5.1584              0.136263   0.132613   0.128869   0.127753  0.126609     47.94    46.05
Morgan Stanley           61745ER45 06/23/10 06/23/30    100.000    VARIES    6.3849              0.167431   0.163909   0.160446   0.156873  0.153186     59.59    57.06
Morgan Stanley           61745ER52 10/15/10 10/15/19    100.000    VARIES    2.6938              0.023014   0.021934   0.020839   0.021120  0.021404      7.93     7.60
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES    5.6682              0.155221   0.152928   0.150571   0.148147  0.146507     55.32    53.64
Morgan Stanley           61745ES28 06/24/10 06/24/20    100.000    VARIES    5.8922              0.166838   0.168073   0.169345   0.169736  0.170139     60.30    61.04
Morgan Stanley           61745ES51 10/27/11 10/27/14    100.000    VARIES    3.3202              0.008896   0.008615   0.008329   0.008467  0.008608      3.12     3.04
Morgan Stanley           61745ES93 10/27/10 10/27/17    100.000    VARIES    2.4455              0.017231   0.016705   0.016173   0.016371  0.016571      6.04     5.88
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES    5.5394              0.151979   0.150034   0.150059   0.150084  0.150110     54.30    54.03
Morgan Stanley           61745ET68 06/22/10 06/22/15    100.000    VARIES    2.6966              0.009064   0.009187   0.009311   0.009436  0.009563      3.29     3.38
Morgan Stanley           61745EU33 02/03/10 02/03/35    100.000    VARIES    5.3927              0.139735   0.136583   0.133346   0.130022  0.126608     48.79    46.41
Morgan Stanley           61745EU58 11/16/10 11/16/15    100.000    VARIES    1.5999              0.008224   0.008290   0.008356   0.008423  0.008490      2.98     3.03
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES    5.3578              0.148352   0.147862   0.148174   0.148496  0.148826     53.31    53.41
Morgan Stanley           61745EU90 03/17/10 03/17/30    100.000    VARIES    6.1264              0.154722   0.149251   0.143612   0.137801  0.137134     53.56    49.98
Morgan Stanley           61745EUH2 02/23/07 02/23/37    100.000    VARIES    5.5058              0.133758   0.131323   0.131418   0.131516  0.131617     47.42    47.35
Morgan Stanley           61745EV32 11/23/10 05/23/16    100.000    VARIES    1.4641              0.009878   0.009950   0.010023   0.010096  0.010173      3.57     3.63
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES    2.3141              0.015149   0.014487   0.013821   0.013145  0.013297      5.31     4.84
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES    5.9021              0.136201   0.137968   0.139787   0.141660  0.143010     49.93    51.18
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES    5.4880              0.149006   0.145472   0.141842   0.138112  0.134279     52.95    50.33
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES    6.4618              0.179494   0.179011   0.178513   0.177998  0.177467     64.47    64.10
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES    6.4553              0.157583   0.152807   0.154499   0.156244  0.158047     55.40    56.47
Morgan Stanley           61745EW72 11/23/10 11/23/19    100.000    VARIES    2.3593              0.018118   0.017372   0.016618   0.016814  0.017012      6.33     6.03
Morgan Stanley           61745EW98 11/17/11 11/17/17    100.000    VARIES    3.9291              0.012492   0.011399   0.010284   0.010486  0.010692      4.20     3.76
Morgan Stanley           61745EX30 02/16/10 02/16/30    100.000    VARIES    5.7678              0.148271   0.146400   0.144475   0.142495  0.142403     52.53    51.37
Morgan Stanley           61745EX48 07/16/10 07/16/30    100.000    VARIES    6.0985              0.159255   0.158112   0.156935   0.155722  0.154472     56.74    55.87
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES    5.7758              0.157855   0.155194   0.152456   0.149639  0.147896     56.34    54.37
Morgan Stanley           61745EX71 11/17/11 11/17/15    100.000    VARIES    3.5087              0.014132   0.013438   0.012732   0.012959  0.013182      4.90     4.64
Morgan Stanley           61745EX97 02/16/10 02/16/30    100.000    VARIES    5.6112              0.145315   0.141599   0.140410   0.139189  0.137933     50.98    49.99
Morgan Stanley           61745EY21 07/15/10 07/15/20    100.000    VARIES    3.4515              0.022715   0.021161   0.019580   0.019918  0.020261      7.38     7.22
Morgan Stanley           61745EY39 12/15/10 12/15/19    100.000    VARIES    5.6449              0.158623   0.159572   0.160548   0.160979  0.161422     57.31    57.89
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES    5.5719              0.150576   0.146258   0.144007   0.141693  0.139314     53.42    51.42
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EY62 04/23/09 04/23/24*   100.000    VARIES    5.9383              0.138427                                                15.50*        
Morgan Stanley           61745EY96 12/15/10 12/15/15    100.000    VARIES    1.7536              0.011703   0.011806   0.011909   0.012014  0.012119      4.23     4.30
Morgan Stanley           61745EZ46 05/01/09 05/01/14    100.000    VARIES    5.4528              0.154225   0.154018   0.153653   0.153120  0.152308     55.45    55.14
Morgan Stanley           61745EZ53 02/18/10 02/18/30    100.000    VARIES    5.4861              0.140862   0.139351   0.137800   0.136205  0.136185     50.03    49.11
Morgan Stanley           61745EZ79 12/15/10 12/15/19    100.000    VARIES    2.6578              0.031473   0.030015   0.028538   0.028917  0.029302     11.02    10.35
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES    5.7788              0.160524   0.156936   0.153244   0.149445  0.145536     55.88    53.14
Morgan Stanley           61745EZ95 11/29/11 11/29/19    100.000    VARIES    5.8963              0.163788   0.163703   0.163616   0.164029  0.164455     58.94    59.00
Morgan Stanley           61746BCS3 02/09/06 02/11/13    100.000     0.000    5.3494              0.198715   0.204030   0.209487                          74.00     8.38
Morgan Stanley           61746BCT1 02/27/06 02/27/13    100.000     0.000    5.3615              0.199235   0.204576   0.210060                          74.03    11.76
Morgan Stanley           61746S422 09/28/04 09/30/12    100.000     1.300    4.4570              0.155535   0.158196                                     42.32         
Morgan Stanley           61746SDC0 12/11/06 12/11/13    100.000     0.000    5.1239              0.183303   0.187999   0.192816   0.197756               67.02    66.45
Morgan Stanley           61746YAB2 12/30/04 12/30/12    100.000     0.000    4.7234              0.181920   0.186216                                     66.08         
Morgan Stanley           617475116 11/30/07 02/20/13    100.000     0.000    4.6219              0.152200   0.155718   0.159316                          56.36     7.81
Morgan Stanley           617475124 11/30/07 11/30/12    100.000     0.000    4.4317              0.146696   0.149947                                     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                                     31.58         
Morgan Stanley           617475652 08/31/07 02/20/12    100.000     0.000    5.2169              0.177816                                                 8.71         
Morgan Stanley           61747S371 06/29/07 12/20/12    100.000     5.363    5.3629              0.148972   0.148972                                     51.99         
Morgan Stanley           61747W182 03/31/08 03/28/13    100.000     0.000    4.0410              0.129094   0.131703   0.134364                          47.43    11.69
Morgan Stanley           61747W463 02/29/08 02/20/15    100.000     0.000    5.4016              0.176657   0.183422   0.186328   0.194532  0.196529     67.18    70.86
Morgan Stanley           61747W752 12/31/07 12/31/12    100.000     4.894    4.8939              0.135944   0.135944                                     48.80         
Morgan Stanley           61747W794 12/31/07 12/31/12    100.000     0.000    4.8469              0.163066   0.167018                                     59.25         
Morgan Stanley           61747YBT1 05/29/07 09/01/14    100.000     0.000    5.6123              0.197324   0.202861   0.208554   0.214406  0.220423     73.38    77.56
Morgan Stanley           61747YDB8 05/27/11 05/29/15    100.000     0.000    3.0456              0.085903   0.087211   0.088539   0.089888  0.091256     31.24    32.20
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              0.204148   0.210327   0.216694   0.223253  0.230010     76.50    81.20
Morgan Stanley           617480330 05/30/08 02/28/14    100.000     0.000    5.5930              0.183857   0.186944   0.195357   0.197546  0.206437     69.27    73.07
Morgan Stanley           617480496 06/30/08 12/30/13    100.000     0.000    5.6404              0.190355   0.195723   0.201243   0.206918               69.50    73.27
Morgan Stanley           6174822B9 09/28/12 03/28/16    100.000     0.000    2.4304                                    0.067513   0.068333  0.069164      6.28    24.61
Morgan Stanley           6174822C7 09/28/12 09/28/27    100.000    VARIES    4.7924                                    0.133124   0.132807  0.132482     12.38    47.81
Morgan Stanley           6174822D5 09/28/12 09/28/32    100.000    VARIES    5.0081                                    0.139117   0.138503  0.137875     12.94    49.86
Morgan Stanley           6174822E3 09/28/12 09/28/32    100.000    VARIES    5.0051                                    0.139033   0.137915  0.136770     12.93    49.64
Morgan Stanley           6174822F0 09/28/12 09/28/32    100.000    VARIES    4.9982                                    0.138841   0.136824  0.134757     12.91    49.24
Morgan Stanley           6174822J2 09/28/12 09/28/32    100.000    VARIES    5.0415                                    0.140043   0.138986  0.137902     13.02    50.03
Morgan Stanley           6174822R4 10/31/12 10/31/19    100.000     0.000    3.3498                                    0.093053   0.094611  0.096196      5.68    33.97
Morgan Stanley           6174822S2 10/31/12 10/31/17    100.000     0.000    2.8337                                    0.078717   0.079832  0.080963      4.80    28.68
Morgan Stanley           6174822X1 10/31/12 10/29/32    100.000    VARIES    4.6665                                    0.129627   0.127754  0.125826      7.91    46.09
Morgan Stanley           6174822Y9 10/31/12 10/29/32    100.000    VARIES    4.6741                                    0.129838   0.128891  0.127918      7.92    46.45
Morgan Stanley           6174823M4 11/30/12 11/29/19    100.000     0.000    3.2126                                    0.089242   0.090667  0.092124      2.77    32.48
Morgan Stanley           6174823N2 11/30/12 11/30/17    100.000     0.000    2.8394                                    0.078874   0.079994  0.081130      2.45    28.67
Morgan Stanley           617482AN4 07/28/08 07/28/14    100.000     0.000    6.2015              0.206902   0.213318   0.219932   0.226752  0.233783     77.63    82.52
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482AR5 08/29/08 04/04/14    100.000     0.000    5.7350              0.189812   0.195255   0.200854   0.206613  0.212538     70.27    74.36
Morgan Stanley           617482D76 11/28/11 11/28/17    100.000     0.000    6.9072              0.191867   0.198493   0.205348   0.212440  0.219777     70.71    75.68
Morgan Stanley           617482D92 11/17/11 11/17/26    100.000    VARIES    6.4999              0.180554   0.179646   0.178708   0.177740  0.176740     64.75    64.07
Morgan Stanley           617482E59 12/28/11 12/28/16    100.000     0.000    5.6804              0.157791   0.162273   0.166882   0.171621  0.176496     57.64    60.96
Morgan Stanley           617482EF7 02/27/09 02/27/24*   100.000    VARIES    5.6208              0.129795                                                 7.27*        
Morgan Stanley           617482EG5 03/03/09 02/27/24*   100.000    VARIES    6.2075              0.150604                                                 8.43*        
Morgan Stanley           617482ES9 03/26/09 03/26/29*   100.000    VARIES    5.8244              0.134995                                                11.47*        
Morgan Stanley           617482ET7 04/16/09 04/16/12    100.000     0.000    5.7696              0.184760                                                19.40         
Morgan Stanley           617482EW0 04/30/09 04/30/12    100.000     0.000    5.5196              0.175681                                                20.91         
Morgan Stanley           617482EX8 04/30/09 04/30/12    100.000     0.000    5.4582              0.173466                                                20.64         
Morgan Stanley           617482F41 01/30/12 01/30/18    100.000     0.000    4.7546                         0.132072   0.135212   0.138427  0.141717     44.19    50.24
Morgan Stanley           617482F66 01/31/12 01/29/27    100.000    VARIES    5.2919                         0.146999   0.145751   0.144463  0.143405     48.47    51.88
Morgan Stanley           617482F90 02/28/12 02/28/19    100.000     0.000    5.2371                         0.142313   0.148461   0.149864  0.156337     44.45    55.42
Morgan Stanley           617482FB5 04/16/09 04/16/29*   100.000    VARIES    5.8955              0.140193                                                14.72*        
Morgan Stanley           617482FH2 05/29/09 05/29/12    100.000     0.000    4.8002              0.150128                                                22.22         
Morgan Stanley           617482FJ8 05/29/09 05/29/12    100.000     0.000    4.8475              0.151785                                                22.46         
Morgan Stanley           617482FM1 05/27/09 05/27/29*   100.000    VARIES    3.6954              0.087102                                                 4.88*        
Morgan Stanley           617482FQ2 06/30/09 06/28/13    100.000     0.000    4.0308              0.123690   0.126182   0.128726                          44.99    22.78
Morgan Stanley           617482FR0 06/30/09 09/28/12    100.000     0.000    4.3979              0.134705   0.137667                                     36.50         
Morgan Stanley           617482FX7 06/26/09 06/26/24    100.000    VARIES    5.0455              0.121895   0.117963   0.113931   0.109798  0.110577     43.13    40.25
Morgan Stanley           617482FZ2 07/31/09 07/31/13    100.000     0.000    3.7618              0.112581   0.114699   0.116856   0.119054               41.56    24.82
Morgan Stanley           617482G73 03/30/12 03/29/18    100.000     0.000    4.9522                         0.137562   0.140949   0.144439  0.148016     37.59    52.02
Morgan Stanley           617482G81 03/30/12 09/30/15    100.000     0.000    3.8221                         0.106170   0.108198   0.110266  0.112373     28.96    39.70
Morgan Stanley           617482GB4 07/31/09 10/31/12    100.000     0.000    4.0209              0.122166   0.124623                                     36.97         
Morgan Stanley           617482GD0 07/06/09 07/06/12    100.000     0.000    3.9872              0.119856   0.122245                                     22.60         
Morgan Stanley           617482GH1 07/31/09 07/31/29    100.000    VARIES    6.8887              0.174789   0.173468   0.172102   0.170688  0.169226     62.28    61.27
Morgan Stanley           617482GK4 08/31/09 02/28/13    100.000     0.000    3.5389              0.104289   0.104980   0.108609                          38.83     6.30
Morgan Stanley           617482GL2 08/31/09 05/31/12    100.000     0.000    3.0328              0.090152                                                13.43         
Morgan Stanley           617482GM0 08/31/09 08/30/13    100.000     0.000    4.0427              0.119650   0.122068   0.125220   0.127053               44.93    30.51
Morgan Stanley           617482GQ1 08/18/09 08/17/12    100.000     0.000    3.1202              0.092203   0.093641                                     21.10         
Morgan Stanley           617482GR9 09/30/09 03/29/13    100.000     0.000    3.2543              0.096420   0.097989   0.099583                          35.28     8.76
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           617482H23 03/16/12 03/16/27    100.000    VARIES    6.4023                         0.177844   0.176868   0.175860  0.174821     50.58    63.28
Morgan Stanley           617482H31 03/08/12 09/08/15    100.000     0.000    3.4574                         0.096039   0.097699   0.099388  0.101106     28.33    35.86
Morgan Stanley           617482H56 03/30/12 03/30/27    100.000    VARIES    6.3037                         0.175105   0.172491   0.170687  0.168825     47.22    61.44
Morgan Stanley           617482H64 04/02/12 04/02/27    100.000    VARIES    6.2400                         0.173335   0.171606   0.169823  0.167985     46.47    61.14
Morgan Stanley           617482HD9 10/30/09 04/30/13    100.000     0.000    3.4452              0.102469   0.104235   0.106030                          37.42    12.62
Morgan Stanley           617482HE7 10/09/09 10/09/24*    97.500    VARIES    5.4787              0.135452   0.133957                                     37.39*        
Morgan Stanley           617482HG2 10/19/09 10/19/29    100.000    VARIES    5.9196              0.150408   0.149448   0.148460   0.147442  0.146395     53.83    53.11
Morgan Stanley           617482HH0 10/30/09 01/31/13    100.000     0.000    3.2279              0.094837   0.096367   0.097923                          34.88     2.84
Morgan Stanley           617482J47 04/30/12 10/30/15    100.000     0.000    3.9956                         0.110989   0.113207   0.115468  0.117775     26.88    41.44
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482J62 04/30/12 04/28/17    100.000     0.000    4.8877                         0.135770   0.139051   0.142449  0.145931     32.93    51.10
Morgan Stanley           617482J96 04/30/12 04/28/17    100.000     0.000    4.8877                         0.135770   0.139051   0.142449  0.145931     32.93    51.10
Morgan Stanley           617482JB1 12/31/09 06/28/13    100.000     0.000    3.1055              0.090223   0.091624   0.093558                          33.29    16.65
Morgan Stanley           617482JK1 11/30/09 05/30/13    100.000     0.000    2.8998              0.085325   0.086562   0.087817                          31.02    13.08
Morgan Stanley           617482JP0 12/29/09 06/29/12    100.000     0.000    2.4717              0.072117                                                12.84         
Morgan Stanley           617482JQ8 12/29/09 09/30/13    100.000     0.000    3.4574              0.100319   0.102053   0.104388   0.105612               37.41    28.62
Morgan Stanley           617482JT2 01/28/10 07/29/13    100.000     0.000    2.8031              0.081192   0.082330   0.083484   0.084654               29.78    17.58
Morgan Stanley           617482JX3 05/27/10 05/24/12    100.000     0.000    2.5278              0.072899                                                10.42         
Morgan Stanley           617482K45 04/25/12 04/26/27    100.000    VARIES    6.3672              0.176865   0.176856   0.174873   0.172827  0.170716     43.38    62.32
Morgan Stanley           617482K60 11/28/11 11/28/16    100.000     0.000    6.6454              0.184595   0.190729   0.197066   0.203614  0.210380     67.97    72.56
Morgan Stanley           617482K78 11/28/11 11/27/15    100.000     0.000    6.2684              0.174124   0.179551   0.185178   0.190982  0.196968     64.04    68.11
Morgan Stanley           617482KC7 07/30/10 07/30/12    100.000     0.000    2.6135              0.074509   0.075483                                     15.75         
Morgan Stanley           617482KD5 11/29/10 05/22/15    100.000     2.000    3.0665              0.086078   0.086546   0.087022   0.087504  0.087994     31.11    31.45
Morgan Stanley           617482KF0 01/25/10 01/25/16    100.000     0.000    4.0787              0.120372   0.122827   0.125332   0.127888  0.130496     44.55    46.39
Morgan Stanley           617482KY9 03/08/10 03/13/15    100.000     0.000    4.0832              0.120582   0.123044   0.125556   0.128120  0.130735     44.39    46.22
Morgan Stanley           617482L28 12/28/11 12/28/15    100.000     0.000    5.3442              0.148453   0.152420   0.156493   0.160674  0.164968     54.18    57.12
Morgan Stanley           617482L69 01/30/12 01/30/17    100.000     0.000    4.4801                         0.124450   0.127238   0.130088  0.133002     41.61    47.19
Morgan Stanley           617482L85 01/31/12 01/31/17    100.000     0.000    4.4376                         0.123269   0.126004   0.128799  0.131657     41.21    46.72
Morgan Stanley           617482L93 01/31/12 01/31/18    100.000     0.000    4.6980                         0.130502   0.133568   0.136705  0.139917     43.66    49.61
Morgan Stanley           617482LA0 03/15/10 03/15/16    100.000     0.000    4.5963              0.136682   0.139824   0.143037   0.146324  0.149687     50.44    52.79
Morgan Stanley           617482M27 02/28/12 02/28/18    100.000     0.000    5.1562                         0.140114   0.146109   0.147432  0.153740     43.75    54.51
Morgan Stanley           617482M68 03/30/12 03/29/18    100.000     0.000    4.9684                         0.138012   0.141422   0.144935  0.148536     37.72    52.20
Morgan Stanley           617482M84 03/30/12 03/27/17    100.000     0.000    4.7958                         0.133219   0.136360   0.139630  0.142978     36.40    50.30
Morgan Stanley           617482MX9 08/09/10 08/09/20    100.000    VARIES    4.9489              0.136008   0.136052   0.136098   0.136146  0.136195     48.98    49.02
Morgan Stanley           617482N26 04/30/12 04/30/18    100.000     0.000    5.1859                         0.144055   0.147791   0.151623  0.155554     34.95    54.37
Morgan Stanley           617482N83 07/05/12 07/03/19    100.000     0.000    5.1922                                    0.144229   0.147932  0.151773     25.38    53.93
Morgan Stanley           617482NM2 09/30/10 09/30/16    100.000     0.000    3.8819              0.112059   0.114234   0.116451   0.118712  0.121016     41.13    42.74
Morgan Stanley           617482NP5 09/28/10 09/28/15    100.000     0.000    3.4261              0.098460   0.100147   0.101862   0.103607  0.105382     36.07    37.31
Morgan Stanley           617482NS9 09/30/10 09/30/15    100.000     0.000    3.4418              0.098926   0.100629   0.102361   0.104122  0.105914     36.23    37.49
Morgan Stanley           617482NW0 10/12/10 10/09/15    100.000     0.000    3.2213              0.092363   0.093851   0.095362   0.096898  0.098459     33.76    34.86
Morgan Stanley           617482P32 09/04/12 08/30/16    100.000     0.000    3.5949                                    0.098764   0.099941  0.102297     11.75    36.70
Morgan Stanley           617482P73 10/03/12 10/03/18    100.000     0.000    3.2792                                    0.091090   0.092583  0.094101      8.02    33.33
Morgan Stanley           617482PA6 10/28/10 05/29/12    100.000     0.000    0.8742              0.024516                                                 3.63         
Morgan Stanley           617482PB4 10/28/10 05/29/13    100.000     0.000    1.6525              0.046731   0.047117   0.047507                          16.92     7.03
Morgan Stanley           617482PC2 10/28/10 05/29/14    100.000     0.000    2.5250              0.072080   0.072990   0.073912   0.074845  0.075790     26.17    26.84
Morgan Stanley           617482PD0 10/29/10 05/29/15    100.000     0.000    3.1816              0.091455   0.092909   0.094387   0.095889  0.097414     33.28    34.35
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES    6.2468              0.170433   0.168815   0.167147   0.166314  0.165454     61.04    60.01
Morgan Stanley           617482Q23 10/31/12 10/31/19    100.000     0.000    3.3724                                    0.093680   0.095260  0.096867      5.71    34.20
Morgan Stanley           617482Q72 05/30/12 11/30/17    100.000     0.000    5.8534              0.159928   0.159956   0.165543   0.169456  0.175374     34.73    61.45
Morgan Stanley           617482Q80 05/30/12 05/29/15    100.000     0.000    4.6387                         0.128855   0.131827   0.134884  0.138013     27.28    48.21
Morgan Stanley           617482QH0 01/28/11 01/27/17    100.000     0.000    4.1753              0.118389   0.120861   0.123384   0.125960  0.128589     43.83    45.68
Morgan Stanley           617482QS6 01/28/11 01/28/14    100.000     0.000    2.2103              0.062076   0.062762   0.063456   0.064157  0.064866     22.68    23.19
Morgan Stanley           617482QY3 02/08/11 12/22/20    100.000    VARIES    N/A                 0.150977   0.150414   0.149982   0.149538  0.149230     54.11    53.80
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482R55 05/31/12 05/28/32    100.000    VARIES    6.7095                         0.186375   0.184265   0.182059  0.178673     39.26    65.75
Morgan Stanley           617482R63 06/04/12 06/04/27    100.000    VARIES    6.4699                         0.179722   0.179659   0.179594  0.179527     37.20    64.66
Morgan Stanley           617482R71 06/15/12 06/15/27    100.000    VARIES    6.6026                         0.183406   0.183041   0.182665  0.182276     35.94    65.81
Morgan Stanley           617482R97 06/29/12 06/29/17    100.000     0.000    4.7647                         0.132354   0.135508   0.138736  0.142041     24.09    49.38
Morgan Stanley           617482RB2 02/25/11 02/27/17    100.000     0.000    4.3449              0.123345   0.126024   0.128762   0.131559  0.134417     45.56    47.56
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES    5.9550              0.164568   0.163679   0.162763   0.161819  0.161028     58.86    58.21
Morgan Stanley           617482RL0 03/30/11 09/29/17    100.000     0.000    4.3132              0.122383   0.125022   0.127718   0.130473  0.133287     45.02    46.99
Morgan Stanley           617482S21 06/29/12 06/30/15    100.000     0.000    3.9664              0.110177   0.110190   0.112375   0.114604  0.116877     20.06    40.86
Morgan Stanley           617482S70 06/29/12 06/29/32    100.000    VARIES    6.4088                         0.178024   0.175094   0.172071  0.168951     32.39    62.48
Morgan Stanley           617482S88 06/29/12 06/29/27    100.000    VARIES    6.1368                         0.170469   0.169953   0.169420  0.168872     31.02    61.08
Morgan Stanley           617482SD7 08/26/11 08/26/13    100.000     0.000    2.1981              0.061061   0.061732   0.062411   0.063097               22.27    14.79
Morgan Stanley           617482SE5 09/02/11 09/03/13    100.000     0.000    2.4917              0.069219   0.070081   0.070954   0.071838               25.28    17.33
Morgan Stanley           617482SF2 10/14/11 10/15/13    100.000     0.000    4.6123              0.128138   0.131093   0.134116   0.137209               47.12    38.65
Morgan Stanley           617482SH8 11/23/11 11/21/14    100.000     0.000    5.5804              0.155014   0.159291   0.163736   0.168304  0.173000     56.92    60.14
Morgan Stanley           617482SK1 03/14/12 03/14/14    100.000     0.000    2.7464                         0.076290   0.077338   0.078400  0.079477     22.01    28.26
Morgan Stanley           617482SL9 04/25/12 04/24/15    100.000     0.000    3.7456                         0.104046   0.105984   0.107969  0.109991     25.73    38.78
Morgan Stanley           617482SN5 05/30/12 05/30/14    100.000     0.000    3.9398                         0.109441   0.111597   0.113796  0.116038     23.16    40.71
Morgan Stanley           617482SP0 06/11/12 06/11/15    100.000     0.000    4.5401                         0.126114   0.128977   0.131905  0.134899     25.28    47.08
Morgan Stanley           617482T53 07/05/12 07/06/15    100.000     0.000    4.0042                         0.111228   0.111242   0.113469  0.115741     19.58    41.24
Morgan Stanley           617482T95 07/31/12 07/31/18    100.000     0.000    4.8288                                    0.134135   0.137373  0.140690     20.25    49.86
Morgan Stanley           617482TA2 04/28/11 07/28/17    100.000     0.000    4.1507              0.116496   0.118913   0.121381   0.123900  0.126472     43.12    44.93
Morgan Stanley           617482TN4 04/29/11 04/29/31    100.000    VARIES    5.9675              0.164081   0.162347   0.161187   0.159992  0.158762     58.58    57.66
Morgan Stanley           617482TP9 05/13/11 05/13/14    100.000     0.000    2.4618              0.069227   0.070080   0.070942   0.071816  0.072700     25.16    25.78
Morgan Stanley           617482TQ7 05/27/11 05/30/17    100.000     0.000    3.9013              0.110521   0.112677   0.114875   0.117116  0.119401     40.31    41.90
Morgan Stanley           617482TV6 05/11/11 11/12/14    100.000     0.000    2.7937              0.078695   0.079794   0.080909   0.082039  0.083185     28.64    29.44
Morgan Stanley           617482U36 07/31/12 07/29/16    100.000     0.000    4.2660                                    0.118501   0.121014  0.123595     17.89    43.89
Morgan Stanley           617482U44 07/31/12 07/30/27    100.000    VARIES    5.9206                                    0.160886   0.163295  0.160371     24.78    59.08
Morgan Stanley           617482U51 07/31/12 07/30/32    100.000    VARIES    6.0840                                    0.165328   0.166660  0.162507     25.46    60.15
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES    5.3835              0.147969   0.146344   0.146574   0.146810  0.147053     52.93    52.82
Morgan Stanley           617482UP7 06/29/11 06/29/17    100.000     0.000    3.6574              0.103453   0.105345   0.107272   0.109233  0.111231     37.59    38.98
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES    5.5344              0.151861   0.149914   0.147913   0.145857  0.144811     54.25    52.82
Morgan Stanley           617482V50 07/31/12 07/30/32    100.000    VARIES    6.0491                                    0.164379   0.163560  0.157282     25.31    58.75
Morgan Stanley           617482V68 08/17/12 08/17/27    100.000    VARIES    5.8776                                    0.163267   0.163195  0.163120     21.88    58.74
Morgan Stanley           617482V76 08/31/12 08/31/32    100.000    VARIES    5.8050                                    0.160360   0.156595  0.157988     19.72    57.55
Morgan Stanley           617482V84 08/31/12 08/31/32    100.000    VARIES    5.7934                                    0.160040   0.154816  0.154648     19.68    56.79
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES    5.5330              0.152184   0.150630   0.149034   0.147393  0.145708     54.50    53.35
Morgan Stanley           617482VG6 06/14/11 09/14/17    100.000     0.000    3.8913              0.109144   0.111267   0.113432   0.115639  0.117889     40.13    41.71
Morgan Stanley           617482VQ4 08/31/11 08/31/17    100.000     0.000    4.9901              0.137091   0.138984   0.144813   0.146006  0.152129     51.47    53.98
Morgan Stanley           617482VU5 08/29/11 08/29/17    100.000     0.000    5.0291              0.136661   0.141637   0.144405   0.148849  0.151759     51.89    54.44
Morgan Stanley           617482VX9 09/29/11 09/29/17    100.000     0.000    6.0377              0.167717   0.172780   0.177996   0.183369  0.188905     62.24    66.05
Morgan Stanley           617482VZ4 10/28/11 10/28/16    100.000     0.000    5.1995              0.144432   0.148187   0.152039   0.155992  0.160047     53.15    55.95
Morgan Stanley           617482W75 08/31/12 08/31/18    100.000     0.000    4.3348                                    0.119747   0.120348  0.124994     14.73    44.46
Morgan Stanley           617482W91 08/31/12 08/31/16    100.000     0.000    3.6382                                    0.100504   0.100664  0.104194     12.36    37.17
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           617482WA8 10/28/11 10/28/16    100.000     0.000    5.1995              0.144432   0.148187   0.152039   0.155992  0.160047     53.15    55.95
Morgan Stanley           617482WC4 07/28/11 07/28/17    100.000     0.000    4.3106              0.119740   0.122320   0.124957   0.127650  0.130401     44.37    46.30
Morgan Stanley           617482WK6 07/28/11 07/28/17    100.000     0.000    4.3106              0.119740   0.122320   0.124957   0.127650  0.130401     44.37    46.30
Morgan Stanley           617482X25 08/31/12 08/31/27    100.000    VARIES    5.6218                                    0.155299   0.152351  0.154441     19.10    56.04
Morgan Stanley           617482X41 08/31/12 08/31/32    100.000    VARIES    5.8551                                    0.161743   0.158210  0.159894     19.89    58.16
Morgan Stanley           617482X90 09/28/12 09/28/18    100.000     0.000    3.2592                                    0.090533   0.092009  0.093508      8.42    33.13
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES    6.1188              0.166273   0.166528   0.163998   0.163220  0.160607     60.62    59.29
Morgan Stanley           617482XL3 08/26/11 08/25/17    100.000     0.000    4.9767              0.138244   0.141665   0.145190   0.148803  0.152505     51.26    53.84
Morgan Stanley           617482XT6 08/31/11 08/31/17    100.000     1.000    5.0228              0.137992   0.139237   0.144406   0.144937  0.150346     51.52    53.54
Morgan Stanley           617482XW9 09/29/11 09/29/17    100.000     0.000    6.0328              0.167579   0.172634   0.177841   0.183205  0.188732     62.18    65.99
Morgan Stanley           617482YD0 09/16/11 09/14/18    100.000     0.000    5.1470              0.142974   0.146612   0.150385   0.154256  0.158225     52.92    55.67
Morgan Stanley           617482YR9 10/14/11 10/14/26    100.000    VARIES    5.6319              0.156443   0.154982   0.153479   0.153206  0.152926     55.83    55.16
Morgan Stanley           617482YU2 10/28/11 10/28/16    100.000     0.000    5.1961              0.144337   0.148087   0.151935   0.155882  0.159932     53.12    55.91
Morgan Stanley           617482YW8 10/20/11 10/20/26    100.000    VARIES    5.7716              0.160323   0.159005   0.157649   0.156253  0.154818     57.29    56.30
Morgan Stanley           617482Z23 11/30/12 11/30/32    100.000    VARIES    4.3509                                    0.120861   0.119195  0.117492      3.75    43.11
Morgan Stanley           617483144 06/30/09 06/26/14    100.000     0.000    5.3758              0.170408   0.174988   0.179692   0.184521  0.189481     62.22    65.61
Morgan Stanley           617483235 04/30/09 04/21/14    100.000     0.000    5.6383              0.179733   0.184800   0.190010   0.195366  0.200874     66.34    70.13
Morgan Stanley           617483284 04/30/09 10/20/12    100.000     0.000    5.5171              0.175328   0.180164                                     51.54         
Morgan Stanley           617483383 05/29/09 05/20/14    100.000     0.000    5.2382              0.165377   0.169709   0.174153   0.178715  0.183396     60.68    63.90
Morgan Stanley           617483482 01/30/09 01/30/12    100.000     0.000    6.1849              0.200065                                                 5.80         
Morgan Stanley           617483599 03/31/09 03/20/14    100.000     0.000    6.3536              0.203719   0.207906   0.218067   0.221326  0.232142     76.81    81.64
Morgan Stanley           617484282 08/31/09 02/25/15    100.000     0.000    4.7184              0.140649   0.145549   0.147363   0.153340  0.154399     53.24    55.78
Morgan Stanley           617484381 03/09/10 01/07/16    100.000     0.000    4.4482              0.131002   0.133916   0.136894   0.139939  0.143051     48.71    50.90
Morgan Stanley           617484530 11/30/09 05/28/15    100.000     0.000    3.9207              0.117681   0.119988   0.122340   0.124738  0.127184     42.93    44.63
Morgan Stanley           617484605 08/25/09 08/27/12    100.000     0.000    3.3592              0.099759   0.101434                                     23.84         
Morgan Stanley           617484621 11/06/09 11/06/14    100.000     0.000    4.0719              0.122606   0.125102   0.127649   0.130248  0.132900     44.86    46.71
Morgan Stanley           617484654 12/04/09 12/04/13    100.000     0.000    3.4578              0.102869   0.104647   0.106456   0.108297               37.45    35.78
Morgan Stanley           617484779 09/30/09 03/27/15    100.000     0.000    4.2843              0.129494   0.132268   0.135102   0.137996  0.140952     47.64    49.71
Morgan Stanley           61748A742 06/01/04 03/30/12    100.000     2.800    5.2533              0.177450                                                15.79         
Morgan Stanley           61748AAF3 11/29/05 11/30/12    100.000     0.000    5.2402              0.198565   0.203767                                     66.26         
Morgan Stanley           61748AAG1 11/29/05 11/30/12    100.000     0.000    5.2402              0.198565   0.203767                                     66.26         
Morgan Stanley           61750V188 05/31/07 05/25/12    100.000     5.318    5.3179              0.147722                                                21.27         
Morgan Stanley           61750V295 04/30/07 04/27/12    100.000     5.055    5.0549              0.140417                                                16.29         
Morgan Stanley           61750V840 01/31/07 01/27/12    100.000     5.280    5.2799              0.146667                                                 3.81         
Morgan Stanley           61750VAG0 07/29/10 07/29/25*   100.000    VARIES    5.9967              0.159809   0.156271                                     32.60*        
Morgan Stanley           61755S172 06/04/12 05/30/17    100.000     0.000    5.5376                         0.153824   0.157988   0.162363  0.166858     31.97    57.94
Morgan Stanley           61755S354 07/03/12 02/27/17    100.000     0.000    4.7356                         0.131545   0.132479   0.135616  0.138827     23.53    49.04
Morgan Stanley           61755S412 08/02/12 07/30/18    100.000     0.000    4.5511                                    0.126420   0.129265  0.132207     18.84    46.90
Morgan Stanley           61755S537 08/08/12 08/10/15    100.000     0.000    3.4078                         0.094662   0.094680   0.096294  0.097934     13.54    34.83
Morgan Stanley           61755S552 08/17/12 10/17/17    100.000     0.000    4.2529                         0.118137   0.118974   0.121504  0.124088     15.89    43.66
Morgan Stanley           61759G273 02/01/11 02/02/15    100.000     0.000    3.1466              0.088791   0.090188   0.091607   0.093048  0.094512     32.64    33.67
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61759G588 07/23/10 07/22/16    100.000     0.000    4.6755              0.136003   0.139182   0.142436   0.145766  0.149173     50.56    52.95
Morgan Stanley           61759G612 08/30/10 08/25/16    100.000     0.000    4.0488              0.117003   0.119372   0.121789   0.124254  0.126770     43.15    44.92
Morgan Stanley           61759G653 07/30/10 03/30/17    100.000     0.000    5.0431              0.148480   0.152224   0.156063   0.159998  0.164033     54.82    57.62
Morgan Stanley           61759G844 06/29/10 06/24/16    100.000     0.000    5.4889              0.165248   0.169783   0.174443   0.179230  0.184149     60.37    63.73
Morgan Stanley           61760E119 07/12/11 07/10/14    100.000     0.000    2.5371              0.070477   0.071361   0.072266   0.073183  0.074111     25.84    26.50
Morgan Stanley           61760E226 08/31/11 08/31/17    100.000     0.000    5.0772              0.139484   0.141470   0.147466   0.148744  0.155048     52.40    54.99
Morgan Stanley           61760E309 02/25/11 02/22/18    100.000     0.000    4.9086              0.139641   0.143068   0.146580   0.150177  0.153863     51.78    54.36
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000    5.3273              0.151094   0.154379   0.157751   0.161214  0.164768     55.03    57.46
Morgan Stanley           61760E366 06/30/11 06/30/17    100.000     0.000    3.7941              0.107393   0.109430   0.111506   0.113621  0.115777     39.03    40.53
Morgan Stanley           61760E481 07/29/11 07/29/16    100.000     0.000    3.9112              0.108645   0.110770   0.112936   0.115145  0.117396     40.15    41.73
Morgan Stanley           61760E499 07/29/11 07/31/17    100.000     0.000    4.2685              0.118600   0.121131   0.123716   0.126357  0.129054     43.92    45.82
Morgan Stanley           61760E630 05/27/11 05/24/17    100.000     0.000    3.9896              0.112999   0.115253   0.117552   0.119897  0.122289     41.25    42.92
Morgan Stanley           61760P650 09/29/11 12/22/17    100.000     0.000    6.0586              0.170646   0.175815   0.181141   0.186628  0.192282     62.46    66.30
Morgan Stanley           61760P692 09/30/11 09/29/17    100.000     1.000    6.0171              0.167144   0.171313   0.175632   0.180080  0.184662     61.70    64.86
Morgan Stanley           61760P825 09/30/11 09/29/17    100.000     1.000    6.0418              0.167829   0.172036   0.176394   0.180883  0.185509     61.96    65.15
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES    5.1013                         0.138624   0.137470   0.131747  0.130301     42.42    48.24
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES    5.1024                         0.138655   0.139616   0.135990  0.136838     42.69    49.95
Morgan Stanley           61760QAE4 02/28/12 02/28/17    100.000    VARIES    3.1265                         0.017025   0.016305   0.015038  0.015527      5.14     5.62
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES    5.5709                         0.154749   0.151322   0.147800  0.144179     43.89    53.08
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES    5.8740                         0.163168   0.159802   0.156337  0.152770     43.91    56.27
Morgan Stanley           61760QAM6 03/16/12 03/16/17    100.000    VARIES    3.6245                         0.031239   0.030462   0.029672  0.028867      8.82    10.66
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES    6.0912                         0.169201   0.166740   0.164204  0.161591     45.63    59.10
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES    5.8450                         0.162364   0.158179   0.153872  0.149439     43.62    55.37
Morgan Stanley           61760QAR5 03/30/12 03/30/17    100.000    VARIES    3.2447                         0.020686   0.019447   0.018187  0.018482      5.49     6.69
Morgan Stanley           61760QAU8 03/30/12 03/30/17    100.000    VARIES    3.2451                         0.020698   0.019458   0.018198  0.018493      5.50     6.69
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES    5.9580                         0.165501   0.162156   0.158712  0.155165     39.68    57.33
Morgan Stanley           61760QAX2 04/16/12 04/16/16    100.000    VARIES    2.9299                         0.019839   0.019016   0.018181  0.018448      5.00     6.65
Morgan Stanley           61760QAY0 04/16/12 04/16/19    100.000    VARIES    3.3327                         0.016186   0.014743   0.013275  0.013496      4.02     4.95
Morgan Stanley           61760QBA1 04/30/12 04/30/17    100.000    VARIES    3.6147                         0.030965   0.030197   0.029416  0.028620      7.42    10.63
Morgan Stanley           61760QBB9 04/30/12 04/30/32    100.000    VARIES    6.3756                         0.177100   0.174776   0.172378  0.168295     42.54    62.09
Morgan Stanley           61760QBC7 04/30/12 04/30/17    100.000    VARIES    3.3427                         0.023411   0.021969   0.020504  0.020846      5.55     7.58
Morgan Stanley           61760QBE3 05/21/12 05/21/21    100.000    VARIES    3.6558                         0.018219   0.017227   0.016216  0.015186      3.97     5.94
Morgan Stanley           61760QBG8 05/16/12 05/16/22    100.000    VARIES    3.9370                         0.026897   0.025878   0.024839  0.023779      6.01     9.03
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES    6.1477                         0.170771   0.167482   0.164092  0.160597     35.93    59.47
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES    6.1477                         0.170771   0.167482   0.164092  0.160597     35.93    59.47
Morgan Stanley           61760QBK9 05/30/12 05/30/17    100.000    VARIES    3.9102                         0.039173   0.038130   0.037067  0.035982      8.23    13.47
Morgan Stanley           61760QBM5 06/15/12 06/15/19    100.000    VARIES    4.3021                         0.023174   0.022099   0.021000  0.019878      4.52     7.72
Morgan Stanley           61760QBN3 06/15/12 06/15/15    100.000    VARIES    3.3237                         0.022882   0.022158   0.021422  0.021778      4.47     7.84
Morgan Stanley           61760QBP8 06/20/12 06/20/17    100.000    VARIES    4.3857                         0.010714   0.010398   0.010075  0.009744      2.04     3.68
Morgan Stanley           61760QBR4 08/02/12 08/02/19    100.000    VARIES    3.6421                                    0.017836   0.016116  0.014363      2.66     5.59
Morgan Stanley           61760QBS2 07/20/12 07/20/17    100.000    VARIES    3.6336                                    0.017602   0.016432  0.015241      2.83     5.75
Morgan Stanley           61760QBU7 08/14/12 08/14/17    100.000    VARIES    3.5375                                    0.014933   0.013965  0.012979      2.05     4.93
Morgan Stanley           61760QBV5 08/31/12 09/01/19    100.000    VARIES    3.6020                         0.016724   0.016721   0.016056  0.015380      2.02     5.74
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QBW3 08/28/12 02/29/16    100.000    VARIES    2.4781                         0.028680   0.029141   0.027822  0.027414      3.67    10.18
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES    4.4801                                    0.124449   0.123503  0.122536      9.46    44.49
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES    4.6394                                    0.128874   0.128641  0.128404     10.44    46.31
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES    4.4678                                    0.124108   0.125649  0.127225      4.10    45.06
Morgan Stanley           61760T132 10/31/11 10/31/17    100.000     1.000    5.8164              0.161568   0.165459   0.169463   0.173584  0.177824     59.35    62.26
Morgan Stanley           61760T173 11/28/11 11/24/17    100.000     0.000    6.9071              0.191865   0.198344   0.205194   0.212281  0.219612     70.73    75.68
Morgan Stanley           61760T199 11/18/11 11/21/17    100.000     1.000    6.1790              0.171713   0.176160   0.180745   0.185471  0.190343     62.98    66.30
Morgan Stanley           61760T439 02/21/12 02/21/18    100.000     0.000    4.6585                         0.129403   0.132417   0.135502  0.138658     40.51    49.04
Morgan Stanley           61760T488 03/02/12 02/27/18    100.000     0.000    5.0972                         0.141590   0.145098   0.148796  0.152589     42.77    53.83
Morgan Stanley           61760T512 04/03/12 03/30/16    100.000     0.000    4.2972                         0.119367   0.121889   0.124508  0.127183     32.22    44.83
Morgan Stanley           61760T660 05/02/12 04/27/17    100.000     0.000    4.7658                         0.132385   0.135452   0.138679  0.141984     31.84    49.76
Morgan Stanley           61761H764 12/04/12 12/05/16    100.000     0.000    2.5669                         0.071304   0.071309   0.072225  0.073152      1.93    25.88
Morris CNTY Improv Auth  618027AQ9 02/18/10 08/15/12    100.000     0.000    1.3546              0.038393   0.038653                                      8.65         
Morris CNTY Improv Auth  618027AR7 02/18/10 08/15/13    100.000     0.000    2.1177              0.060703   0.061346   0.061995   0.062652               22.14    14.01
Morris CNTY Improv Auth  618027AS5 02/18/10 08/15/14    100.000     0.000    2.8538              0.082697   0.083877   0.085074   0.086288  0.087520     30.31    31.18
Morris CNTY Improv Auth  618027AT3 02/18/10 08/15/15    100.000     0.000    3.0318              0.088083   0.089418   0.090774   0.092150  0.093547     32.32    33.30
Morris CNTY Improv Auth  618027AU0 02/18/10 08/15/16    100.000     0.000    3.4140              0.099746   0.101449   0.103181   0.104942  0.106733     36.68    37.95
Morris CNTY Improv Auth  618027AV8 02/18/10 08/15/17    100.000     0.000    3.6588              0.107282   0.109245   0.111243   0.113278  0.115350     39.51    40.97
Morris CNTY Improv Auth  618027AW6 02/18/10 08/15/18    100.000     0.000    3.8475              0.113129   0.115305   0.117523   0.119784  0.122089     41.72    43.34
Morris CNTY Improv Auth  618027AX4 02/18/10 08/15/19    100.000     0.000    3.8535              0.113315   0.115499   0.117724   0.119992  0.122304     41.79    43.41
Morris CNTY Improv Auth  618027AY2 02/18/10 08/15/20    100.000     0.000    3.8574              0.113436   0.115624   0.117854   0.120127  0.122444     41.83    43.46
Morris CNTY Improv Auth  618027AZ9 02/18/10 08/15/21    100.000     0.000    3.8593              0.113496   0.115686   0.117919   0.120194  0.122514     41.85    43.49
Morris CNTY Improv Auth  618027BA3 02/18/10 08/15/22    100.000     0.000    3.8595              0.113501   0.115692   0.117924   0.120200  0.122520     41.86    43.49
Morris CNTY Improv Auth  618027BB1 02/18/10 08/15/23    100.000     0.000    3.8580              0.113455   0.115644   0.117875   0.120148  0.122466     41.84    43.47
Morris CNTY Improv Auth  618027BC9 02/18/10 08/15/24    100.000     0.000    3.8550              0.113363   0.115548   0.117775   0.120045  0.122359     41.80    43.43
Morris CNTY Improv Auth  618027BD7 02/18/10 08/15/25    100.000     0.000    3.8507              0.113227   0.115407   0.117629   0.119894  0.122202     41.75    43.38
Multnomah County, OR     625506HH6 12/08/99 06/01/13     36.019     0.000    7.7198   538.15     0.191409   0.198797   0.206471                          70.69    30.97
Multnomah County, OR     625506HJ2 12/08/99 06/01/14     33.298     0.000    7.7399   499.44     0.177822   0.184704   0.191852   0.199276  0.206988     65.68    70.86
Multnomah County, OR     625506HK9 12/08/99 06/01/15     30.863     0.000    7.7399   462.92     0.164818   0.171197   0.177822   0.184704  0.191852     60.87    65.68
Multnomah County, OR     625506HL7 12/08/99 06/01/16     28.606     0.000    7.7399   429.06     0.152766   0.158678   0.164819   0.171197  0.177822     56.42    60.87
Multnomah County, OR     625506HN3 12/08/99 06/01/20     21.112     0.000    7.7400   316.67     0.112748   0.117111   0.121643   0.126351  0.131241     41.64    44.93
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000    7.7400   293.51     0.104503   0.108547   0.112748   0.117111  0.121643     38.60    41.64
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000    7.7400   272.04     0.096861   0.100609   0.104503   0.108547  0.112748     35.77    38.60
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000    7.7399   252.15     0.089777   0.093251   0.096860   0.100609  0.104502     33.16    35.77
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000    7.7399   233.71     0.083212   0.086432   0.089777   0.093251  0.096860     30.73    33.16
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000    7.7400   216.62     0.077127   0.080112   0.083212   0.086432  0.089777     28.49    30.73
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000    7.7400   200.78     0.071487   0.074253   0.077127   0.080112  0.083212     26.40    28.49
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000    7.7400   186.10     0.066259   0.068823   0.071487   0.074253  0.077127     24.47    26.40
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000    7.7399   172.49     0.061414   0.063790   0.066259   0.068823  0.071487     22.68    24.47
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000    7.7399   159.87     0.056923   0.059125   0.061414   0.063790  0.066259     21.02    22.68
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000    7.7401   148.18     0.052759   0.054801   0.056922   0.059125  0.061413     19.49    21.02
Nash Finch Company       631158AC6 03/15/05 03/15/35     46.611    VARIES    8.0045              0.142443   0.146329   0.150371   0.154575  0.160567     52.82    55.97
Nash Finch Company       631158AD4 03/15/05 03/15/35     46.611    VARIES    8.0045              0.142443   0.146329   0.150371   0.154575  0.160567     52.82    55.97
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000    0.8138    28.32     0.020507   0.020591   0.020674   0.020758  0.020843      7.40     7.46
National Rural Utilities 637432LA1 02/06/08 12/15/12     96.936     0.000    0.6415    24.54     0.017707   0.017764                                      6.10         
National Rural Utilities 637432LB9 02/06/08 12/15/13     96.036     0.000    0.6915    26.23     0.018947   0.019013   0.019079   0.019145                6.83     6.57
National Rural Utilities 637432LC7 02/06/08 12/15/14     93.808     0.000    0.9341    34.75     0.025233   0.025351   0.025469   0.025588  0.025708      9.11     9.19
National Rural Utilities 637432LD5 02/06/08 12/15/15     93.011     0.000    0.9240    34.08     0.024740   0.024854   0.024969   0.025084  0.025200      8.93     9.01
National Rural Utilities 637432LE3 02/06/08 12/15/16     92.647     0.000    0.8640    31.71     0.022988   0.023087   0.023187   0.023287  0.023387      8.30     8.37
National Rural Utilities 637432LF0 02/06/08 12/15/17     92.124     0.000    0.8338    30.41     0.022034   0.022126   0.022219   0.022311  0.022404      7.95     8.02
National Rural Utilities 637432LG8 02/06/08 12/15/18     91.459     0.000    0.8238    29.83     0.021606   0.021695   0.021784   0.021874  0.021964      7.80     7.86
National Rural Utilities 637432LH6 02/06/08 12/15/19     90.603     0.000    0.8339    29.91     0.021672   0.021762   0.021853   0.021944  0.022036      7.82     7.89
National Rural Utilities 637432LJ2 02/06/08 12/15/20     90.083     0.000    0.8138    29.01     0.021014   0.021099   0.021185   0.021271  0.021358      7.58     7.64
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000    0.8238    29.10     0.021079   0.021166   0.021253   0.021341  0.021428      7.61     7.67
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000    0.8538    29.79     0.021597   0.021689   0.021782   0.021875  0.021968      7.79     7.86
Navistar Intl Corp.      63934EAL2 10/28/09 10/15/14     78.000     3.000    8.5279    85.43     0.119524   0.124620   0.129934   0.135474  0.141251     44.74    48.63
Network Associates, Inc. 640938AA4 02/13/98 02/13/18     39.106     0.000    4.7500   359.38     0.097246   0.099555   0.101920   0.104340  0.106818     36.07    37.80
NJ Econ Dev Auth         64578JAA4 12/22/05 07/01/15     60.170     0.000    5.4048   228.03     0.124571   0.127937   0.131395   0.134946               45.45    47.94
NJ Econ Dev Auth         64578JAB2 12/22/05 07/01/16     56.811     0.000    5.4449   217.14     0.118769   0.122003   0.125324   0.128736               43.34    45.73
NJ Econ Dev Auth         64578JAC0 12/22/05 07/01/17     53.569     0.000    5.4898   206.70     0.113213   0.116321   0.119514   0.122794               41.32    43.62
NJ Econ Dev Auth         64578JAD8 12/22/05 07/01/18     50.436     0.000    5.5399   196.67     0.107881   0.110869   0.113940   0.117096               39.37    41.59
NJ Econ Dev Auth         64578JAE6 12/22/05 07/01/19     47.535     0.000    5.5748   186.71     0.102526   0.105383   0.108321   0.111340               37.42    39.54
NJ Econ Dev Auth         64578JAF3 09/07/07 07/01/15     62.947     0.000    6.0088   183.38     0.135675   0.139751   0.143950   0.148275               49.58    52.60
NJ Econ Dev Auth         64578JAG1 09/07/07 07/01/16     59.024     0.000    6.0689   173.87     0.128816   0.132725   0.136752   0.140902               47.08    49.98
NJ Econ Dev Auth         64578JAH9 09/07/07 07/01/17     55.019     0.000    6.1789   165.36     0.122816   0.126610   0.130522   0.134554               44.90    47.71
NJ Econ Dev Auth         64578JAJ5 09/07/07 07/01/18     51.284     0.000    6.2689   156.66     0.116585   0.120239   0.124008   0.127895               42.63    45.34
NJ Econ Dev Auth         64578JAK2 09/07/07 07/01/19     47.828     0.000    6.3391   147.94     0.110269   0.113764   0.117370   0.121090               40.33    42.92
NJ Econ Dev Auth         64578JAL0 09/07/07 07/01/20     44.269     0.000    6.4592   139.85     0.104521   0.107897   0.111381   0.114979               38.24    40.74
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000    6.5092   131.50     0.098389   0.101591   0.104898   0.108312               36.00    38.38
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000    6.4992   123.30     0.092237   0.095234   0.098329   0.101524               33.74    35.97
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000    6.5092   115.69     0.086559   0.089376   0.092285   0.095288               31.67    33.76
NJ Econ Dev Auth         645913AQ7 06/30/97 02/15/12     34.381     0.000    7.4342   647.43     0.199106                                                 8.76         
NJ Econ Dev Auth         645913AR5 06/30/97 02/15/13     31.673     0.000    7.4942   604.13     0.186423   0.193409   0.200656                          70.31     8.83
NJ Econ Dev Auth         645913AS3 06/30/97 02/15/14     29.262     0.000    7.5292   562.32     0.173861   0.180406   0.187198   0.194245  0.201558     65.58    70.61
NJ Econ Dev Auth         645913AT1 06/30/97 02/15/15     27.085     0.000    7.5492   522.70     0.161794   0.167902   0.174239   0.180816  0.187641     61.04    65.73
NJ Econ Dev Auth         645913AU8 06/30/97 02/15/16     25.082     0.000    7.5644   485.61     0.150442   0.156132   0.162037   0.168166  0.174526     56.76    61.13
NJ Econ Dev Auth         645913AV6 06/30/97 02/15/17     23.177     0.000    7.5895   451.11     0.139953   0.145264   0.150776   0.156498  0.162437     52.81    56.90
NJ Econ Dev Auth         645913AW4 06/30/97 02/15/18     21.450     0.000    7.6043   418.81     0.130040   0.134984   0.140116   0.145444  0.150974     49.07    52.88
NJ Econ Dev Auth         645913AX2 06/30/97 02/15/19     19.886     0.000    7.6095   388.70     0.120724   0.125318   0.130086   0.135035  0.140173     45.56    49.09
NJ Econ Dev Auth         645913AY0 06/30/97 02/15/20     18.435     0.000    7.6144   360.71     0.112064   0.116331   0.120760   0.125358  0.130130     42.29    45.58
NJ Econ Dev Auth         645913AZ7 06/30/97 02/15/21     17.088     0.000    7.6194   334.71     0.104016   0.107978   0.112092   0.116363  0.120796     39.26    42.31
NJ Econ Dev Auth         645913BA1 06/30/97 02/15/22     15.838     0.000    7.6244   310.55     0.096536   0.100216   0.104036   0.108002  0.112120     36.44    39.27
NJ Econ Dev Auth         645913BB9 06/30/97 02/15/23     14.678     0.000    7.6294   288.11     0.089585   0.093002   0.096550   0.100233  0.104057     33.81    36.44
NJ Econ Dev Auth         645913BC7 06/30/97 02/15/24     13.601     0.000    7.6346   267.27     0.083127   0.086300   0.089594   0.093014  0.096565     31.38    33.82
NJ Econ Dev Auth         645913BD5 06/30/97 02/15/25     12.602     0.000    7.6397   247.90     0.077126   0.080073   0.083131   0.086307  0.089604     29.11    31.38
NJ Econ Dev Auth         645913BE3 06/30/97 02/15/26     11.676     0.000    7.6446   229.92     0.071552   0.074287   0.077127   0.080075  0.083135     27.01    29.11
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
New Omaha Holdings Corp. 647579AA9 09/24/07 09/30/16    100.000    VARIES   11.4999              0.500575   0.529358   0.559796   0.591984  0.626023    190.78   213.35
New Plan Excel Realty TR 64806QAA2 10/30/09 01/15/14     67.500     7.970   19.6685   136.07     0.203301   0.223294   0.245253   0.269372  0.295863     83.75   101.03
New Plan Excel Realty TR 64806QAD6 10/30/09 01/15/14     67.500     7.650   19.2575   136.69     0.203618   0.223224   0.244717   0.268281  0.294113     83.65   100.54
New Plan Excel Realty TR 64806QAF1 10/30/09 01/15/14     67.500     7.680   19.2960   136.63     0.203588   0.223230   0.244768   0.268383  0.294277     83.66   100.59
New Plan Excel Realty TR 64806QAG9 10/30/09 01/15/14     67.500     7.680   19.2960   136.63     0.203588   0.223230   0.244768   0.268383  0.294277     83.66   100.59
New Plan Excel Realty TR 64806QAK0 10/30/09 01/15/14     67.500     6.900   18.2959   138.14     0.204348   0.223042   0.243446   0.265716  0.290024     83.42    99.38
New Plan Excel Realty TR 64806QAL8 10/30/09 01/15/14     67.500     6.900   18.2959   138.14     0.204348   0.223042   0.243446   0.265716  0.290024     83.42    99.38
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800    7.2575    10.98     0.014923   0.015465   0.016026   0.016607  0.017210      5.59     6.00
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000    6.4399   221.90     0.091948   0.094908   0.097964   0.101119  0.104375     34.18    36.41
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000    6.4699   208.31     0.086413   0.089209   0.092095   0.095074  0.098149     32.12    34.24
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000    6.4899   195.44     0.081136   0.083769   0.086488   0.089294  0.092192     30.16    32.15
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000    6.5099   183.29     0.076152   0.078630   0.081190   0.083832  0.086561     28.31    30.19
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000    6.5299   171.83     0.071445   0.073777   0.076186   0.078673  0.081242     26.57    28.33
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000    6.5498   161.02     0.067002   0.069196   0.071462   0.073803  0.076220     24.92    26.58
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000    6.5600   150.90     0.062815   0.064876   0.067004   0.069201  0.071471     23.36    24.92
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000    6.5700   141.39     0.058879   0.060813   0.062811   0.064874  0.067005     21.90    23.36
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000    6.5799   132.45     0.055178   0.056994   0.058869   0.060805  0.062806     20.52    21.90
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000    6.5900   124.06     0.051700   0.053403   0.055163   0.056981  0.058858     19.23    20.52
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000    6.5899   116.27     0.048454   0.050051   0.051700   0.053403  0.055163     18.02    19.23
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000    6.5899   108.97     0.045412   0.046909   0.048454   0.050051  0.051700     16.89    18.02
Nextera Energy, Inc.     65339F309 05/26/09 06/01/14*    98.500    VARIES    4.3841              0.122253                                                17.12*        
Nextera Energy, Inc.     65339F705 05/04/12 06/01/17     95.000    VARIES    2.3952              0.063207   0.063236   0.063427   0.063621  0.063818     14.99    22.88
Nextera Energy, Inc.     65339KAB6 05/04/12 06/01/17     95.000    VARIES    2.3952              0.063207   0.063236   0.063427   0.063621  0.063818     14.99    22.88
Nomura America Finance   65539AAD2 11/24/10 11/24/15    100.000    VARIES    2.0066              0.012111   0.012232   0.012355   0.012479  0.012604      4.39     4.48
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES    5.5492              0.145628   0.141191   0.136630   0.133524  0.130332     51.29    48.39
Nomura America Finance   65539AAK6 01/20/11 01/20/26     97.250    VARIES    6.0424              0.158091   0.152797   0.147343   0.141723  0.138504     54.23    50.61
Nomura America Finance   65539AAL4 12/22/10 12/22/25    100.000    VARIES    5.9586              0.157051   0.152626   0.148070   0.143378  0.140969     55.66    52.40
Nomura America Finance   65539AAM2 12/29/10 12/29/25    100.000    VARIES    5.9958              0.156402   0.151097   0.145634   0.142416  0.139101     55.33    51.84
Nomura America Finance   65539AAU4 06/08/11 06/08/26*   100.000    VARIES    5.4351              0.148126                                                23.55*        
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES    2.3554              0.016212   0.015494   0.014767   0.014031  0.014196      5.70     5.18
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41    100.000    VARIES    8.1004              0.231352   0.237769   0.244446   0.251393  0.258622     85.04    89.90
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41    100.000    VARIES    8.1004              0.231352   0.237769   0.244446   0.251393  0.258622     85.04    89.90
Omnicom Group, Inc.      681919AL0 03/06/02 07/31/32    102.250    VARIES    6.6935              0.335761   0.349594   0.356163   0.372738  0.377511    128.55   136.29
Omnicom Group, Inc.      681919AM8 03/06/02 07/31/32    102.250    VARIES    6.6935              0.335761   0.349594   0.356163   0.372738  0.377511    128.55   136.29
Omnicom Group, Inc.      681919AN6 06/10/03 06/15/33    100.000    VARIES    4.6001              0.188207   0.192536   0.196964   0.201494  0.206129     68.67    71.87
Omnicom Group, Inc.      681919AP1 06/10/03 06/15/33    100.000    VARIES    4.6001              0.188207   0.192536   0.196964   0.201494  0.206129     68.67    71.87
Omnicom Group, Inc.      681919AQ9 06/30/06 07/01/38    100.000    VARIES    7.3396              0.303136   0.314261   0.325793   0.337749              111.13   119.44
Omnicom Group, Inc.      681919AR7 06/10/03 06/15/33    100.000    VARIES    4.6001              0.188207   0.192536   0.196964   0.201494  0.206129     68.67    71.87
Omnicom Group, Inc.      681919AT3 06/30/06 07/01/38    100.000    VARIES    7.3396              0.303136   0.314261   0.325793   0.337749              111.13   119.44
Omnicom Group, Inc.      681919AU0 06/30/06 07/01/38    100.000    VARIES    7.3396              0.303136   0.314261   0.325793   0.337749              111.13   119.44
Orange County, CA        68428LAW4 06/12/96 09/01/12     27.201     0.000    8.1888   676.06     0.209926   0.218521                                     51.93         
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Orange County, CA        68428LAX2 06/12/96 09/01/13     25.020     0.000    8.2089   624.47     0.194136   0.202105   0.210400   0.219036               73.28    52.05
Orange County, CA        68428LAZ7 06/12/96 09/01/14     23.005     0.000    8.2290   576.60     0.179464   0.186848   0.194536   0.202540  0.210874     67.74    73.43
Orange County, CA        68428LBA1 06/12/96 09/01/15     21.183     0.000    8.2391   532.06     0.165699   0.172525   0.179633   0.187033  0.194738     62.55    67.81
Orange County, CA        68428LBB9 06/12/96 09/01/16     19.464     0.000    8.2591   490.93     0.153071   0.159392   0.165975   0.172829  0.179966     57.79    62.66
Orange County, CA        68428LBU7 04/01/97 09/01/12     30.602     0.000    7.8293   644.22     0.201405   0.209290                                     49.76         
Orange County, CA        68428LBV5 04/01/97 09/01/13     28.339     0.000    7.8295   596.60     0.186520   0.193822   0.201409   0.209294               70.25    49.76
Orange County, CA        68428LBW3 01/17/97 09/01/14     26.499     0.000    7.6793   553.09     0.170153   0.176686   0.183471   0.190515  0.197830     64.03    69.04
Orange County, CA        68428LBX1 04/01/97 09/01/15     24.175     0.000    7.8595   512.15     0.160389   0.166692   0.173243   0.180051  0.187126     60.42    65.26
Orange County, CA        68428LBY9 01/17/97 09/01/16     22.492     0.000    7.7493   476.50     0.147186   0.152889   0.158813   0.164966  0.171358     55.41    59.79
Orange County, CA        68428LBZ6 01/17/97 09/01/17     20.762     0.000    7.7695   441.73     0.136606   0.141913   0.147426   0.153153  0.159103     51.43    55.51
Orange County, CA        68428LCA0 01/17/97 09/01/18     19.198     0.000    7.7795   409.33     0.126658   0.131585   0.136703   0.142021  0.147545     47.69    51.47
Orange County, CA        68428LCB8 01/17/97 09/01/19     17.826     0.000    7.7696   379.27     0.117291   0.121847   0.126581   0.131498  0.136607     44.16    47.66
Orange County, CA        68428LCC6 01/17/97 09/01/20     16.480     0.000    7.7796   351.38     0.108729   0.112958   0.117352   0.121917  0.126659     40.94    44.19
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000    7.7694   325.65     0.100706   0.104618   0.108682   0.112904  0.117290     37.92    40.92
Oregon Community College 68583RAJ1 04/23/03 06/30/12     63.740     0.000    4.9623   338.52     0.134507                                                24.08         
Oregon Community College 68583RAK8 04/23/03 06/30/13     59.557     0.000    5.1521   331.10     0.132602   0.136018   0.139522                          48.36    24.97
Oregon Community College 68583RAL6 04/23/03 06/30/14     55.504     0.000    5.3320   321.82     0.129854   0.133316   0.136870   0.140519  0.144266     47.38    49.94
Oregon Community College 68583RAM4 04/23/03 06/30/15     51.363     0.000    5.5419   312.36     0.127136   0.130659   0.134280   0.138000  0.141824     46.41    49.02
Oregon Community College 68583RAN2 04/23/03 06/30/16     47.583     0.000    5.7117   300.43     0.123141   0.126658   0.130275   0.133996  0.137823     44.97    47.58
Oregon Community College 68583RAP7 04/23/03 06/30/17     44.239     0.000    5.8317   286.67     0.118084   0.121527   0.125071   0.128717  0.132471     43.14    45.69
Oregon Community College 68583RAQ5 04/23/03 06/30/18     40.975     0.000    5.9616   272.97     0.113039   0.116409   0.119879   0.123452  0.127132     41.31    43.81
Oregon Community College 68583RAR3 04/23/03 06/30/19     37.976     0.000    6.0714   258.88     0.107689   0.110958   0.114327   0.117797  0.121373     39.36    41.79
Oregon Community College 68583RAS1 04/23/03 06/30/20     35.297     0.000    6.1514   244.64     0.102098   0.105238   0.108475   0.111811  0.115250     37.33    39.66
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000    6.2213   230.72     0.096563   0.099567   0.102664   0.105858  0.109151     35.31    37.54
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000    6.2613   217.16     0.091037   0.093887   0.096827   0.099858  0.102984     33.29    35.41
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000    6.2713   204.19     0.085635   0.088320   0.091090   0.093946  0.096892     31.32    33.31
Oregon Sch Brds Assoc    686053AK5 10/31/02 06/30/12     62.040     0.000    4.9992   355.35     0.135482                                                24.25         
Oregon Sch Brds Assoc    686053AL3 10/31/02 06/30/13     57.955     0.000    5.1793   346.75     0.133248   0.136699   0.140239                          48.60    25.10
Oregon Sch Brds Assoc    686053AM1 10/31/02 06/30/14     53.950     0.000    5.3594   336.78     0.130434   0.133930   0.137519   0.141204  0.144987     47.59    50.18
Oregon Sch Brds Assoc    686053AN9 10/31/02 06/30/15     50.233     0.000    5.5093   324.57     0.126529   0.130014   0.133595   0.137276  0.141057     46.18    48.76
Oregon Sch Brds Assoc    686053AP4 10/31/02 06/30/16     46.574     0.000    5.6694   311.96     0.122455   0.125927   0.129496   0.133167  0.136942     44.72    47.29
Oregon Sch Brds Assoc    686053AQ2 10/31/02 06/30/17     43.110     0.000    5.8193   298.44     0.117911   0.121342   0.124872   0.128506  0.132245     43.07    45.62
Oregon Sch Brds Assoc    686053AR0 10/31/02 06/30/18     40.030     0.000    5.9294   283.80     0.112658   0.115998   0.119437   0.122978  0.126624     41.16    43.64
Oregon Sch Brds Assoc    686053AS8 10/31/02 06/30/19     37.212     0.000    6.0194   268.94     0.107172   0.110397   0.113720   0.117143  0.120668     39.17    41.56
Oregon Sch Brds Assoc    686053AT6 10/31/02 06/30/20     34.591     0.000    6.0995   254.26     0.101670   0.104771   0.107966   0.111259  0.114652     37.17    39.47
Oregon Sch Brds Assoc    686053CB3 04/21/03 06/30/12     63.740     0.000    4.9593   338.54     0.134426                                                24.06         
Oregon Sch Brds Assoc    686053CC1 04/21/03 06/30/13     59.557     0.000    5.1493   331.14     0.132534   0.135946   0.139446                          48.33    24.96
Oregon Sch Brds Assoc    686053CD9 04/21/03 06/30/14     55.504     0.000    5.3293   321.88     0.129797   0.133256   0.136807   0.140452  0.144195     47.36    49.91
Oregon Sch Brds Assoc    686053CE7 04/21/03 06/30/15     51.363     0.000    5.5394   312.43     0.127088   0.130608   0.134226   0.137943  0.141764     46.39    49.00
Oregon Sch Brds Assoc    686053CF4 04/21/03 06/30/16     47.583     0.000    5.7092   300.51     0.123102   0.126616   0.130230   0.133948  0.137772     44.96    47.56
Oregon Sch Brds Assoc    686053CG2 04/21/03 06/30/17     44.239     0.000    5.8294   286.76     0.118051   0.121492   0.125033   0.128678  0.132428     43.12    45.68
Oregon Sch Brds Assoc    686053CH0 04/21/03 06/30/18     40.975     0.000    5.9593   273.06     0.113013   0.116381   0.119848   0.123419  0.127097     41.30    43.80
Oregon Sch Brds Assoc    686053CJ6 04/21/03 06/30/19     37.976     0.000    6.0693   258.98     0.107668   0.110936   0.114302   0.117771  0.121345     39.36    41.78
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Oregon Sch Brds Assoc    686053CK3 04/21/03 06/30/20     35.297     0.000    6.1494   244.74     0.102081   0.105220   0.108455   0.111790  0.115227     37.32    39.65
Oregon Sch Brds Assoc    686053CL1 04/21/03 06/30/21     32.815     0.000    6.2193   230.82     0.096550   0.099553   0.102649   0.105841  0.109132     35.30    37.53
Oregon Sch Brds Assoc    686053CM9 04/21/03 06/30/22     30.636     0.000    6.2594   217.26     0.091028   0.093877   0.096815   0.099845  0.102970     33.29    35.40
Oregon Sch Brds Assoc    686053CN7 04/21/03 06/30/23     28.748     0.000    6.2695   204.29     0.085628   0.088312   0.091081   0.093936  0.096880     31.31    33.31
Paterson, NJ             7031302A1 04/11/03 04/01/15     51.501     0.000    5.6199   320.23     0.128582   0.132195   0.135910   0.139729  0.143655     47.60    50.31
Paterson, NJ             7031302B9 04/11/03 04/01/16     47.811     0.000    5.7699   307.22     0.124079   0.127659   0.131342   0.135131  0.139030     45.97    48.66
Paterson, NJ             7031302C7 04/11/03 04/01/17     44.317     0.000    5.9099   293.46     0.119168   0.122689   0.126314   0.130047  0.133890     44.18    46.83
Paterson, NJ             7031303Z5 03/30/12 03/15/18     98.496     3.625    3.9103                         0.006294   0.006407   0.006532  0.006660      1.72     2.36
Paterson, NJ             703130Z72 04/11/03 04/01/12     63.812     0.000    5.0698   349.52     0.137349                                                12.36         
Paterson, NJ             703130Z80 04/11/03 04/01/13     59.701     0.000    5.2398   340.46     0.134686   0.138215   0.141836                          49.77    12.77
Paterson, NJ             703130Z98 04/11/03 04/01/14     55.492     0.000    5.4399   331.40     0.132135   0.135729   0.139421   0.143214  0.147109     48.87    51.57
Penn Virginia Corp.      707882AB2 06/15/09 06/15/16     97.003    10.375   11.0000     8.41     0.010724   0.011313   0.011936   0.012592  0.013285      3.99     4.44
Peoria, IL SD #150       713040FC2 08/15/05 01/01/13     69.865     0.000    4.9194   253.91     0.130168   0.133370                                     47.44         
Peoria County, IL        713168AU6 10/05/11 12/01/13    104.730    VARIES    2.7264              0.079653   0.080739   0.077422   0.076584               28.80    25.40
Peoria County, IL        713168AV4 10/05/11 12/01/14    105.259    VARIES    3.2307              0.094938   0.096472   0.092795   0.092051  0.091294     34.39    33.23
Peoria County, IL        713168AW2 10/05/11 12/01/15    105.584    VARIES    3.7319              0.110088   0.112142   0.107946   0.107265  0.106571     39.94    38.70
Peoria County, IL        713168AX0 10/05/11 12/01/16    105.823    VARIES    3.9840              0.117839   0.120187   0.115802   0.115204  0.114594     42.78    41.54
Peoria County, IL        713168AY8 10/05/11 12/01/17    106.762    VARIES    4.2347              0.126414   0.129091   0.124276   0.123673  0.123057     45.93    44.59
Peoria County, IL        713168AZ5 10/05/11 12/01/18    106.114    VARIES    4.4856              0.133141   0.136127   0.131185   0.130701  0.130206     48.41    47.11
Peoria County, IL        713168BA9 10/05/11 12/01/19    106.753    VARIES    4.7356              0.141463   0.144813   0.139417   0.138937  0.138444     51.47    50.07
Peoria County, IL        713168BB7 10/05/11 12/01/20    105.512    VARIES    4.9860              0.147268   0.150939   0.145411   0.145054  0.144688     53.62    52.26
Peoria County, IL        71319RBM8 05/13/11 12/01/12    103.558     0.000    1.5194              0.044074   0.044408                                     14.60         
Peoria County, IL        71319RBP1 11/10/11 12/01/12    103.250     0.000    1.4807              0.042504   0.042819                                     14.08         
Peoria County, IL        71319RBR7 05/10/12 12/01/13    104.335     0.000    0.9804              0.028415   0.028431   0.028571   0.028711                6.57     9.45
Peoria, IL               71319RBT3 11/13/12 12/01/13    103.258     0.000    0.9889                         0.028367   0.028381   0.028521                1.36     9.39
Petro Stopping Centers   71646DAJ1 02/09/04 04/30/14     93.312     5.000    N/A                 0.186347   0.183612   0.180735   0.177708  0.174525     66.25    64.14
Petro Stopping Centers   71646DAK8 02/09/04 04/30/14    100.000     5.000    N/A                 0.186347   0.183612   0.180735   0.177708  0.174525     66.25    64.14
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000    6.6895   255.07     0.081636   0.084366   0.087188   0.090105  0.093118     30.30    32.36
Philadelphia Authority   71781LAQ2 02/03/99 04/15/12     43.760     0.000    6.3590   544.60     0.171198                                                17.80         
Philadelphia Authority   71781LAR0 02/03/99 04/15/13     40.766     0.000    6.4191   514.24     0.162187   0.167393   0.172766                          60.13    17.97
Philadelphia Authority   71781LAS8 02/03/99 04/15/14     37.933     0.000    6.4792   484.98     0.153458   0.158429   0.163562   0.168860  0.174331     56.91    60.65
Philadelphia Authority   71781LAT6 02/03/99 04/15/15     35.256     0.000    6.5392   456.81     0.145017   0.149758   0.154655   0.159711  0.164933     53.79    57.37
Philadelphia Authority   71781LAU3 02/03/99 04/15/16     32.784     0.000    6.5893   429.51     0.136722   0.141227   0.145880   0.150686  0.155651     50.73    54.12
Philadelphia Authority   71781LAV1 02/03/99 04/15/17     30.618     0.000    6.6093   402.90     0.128392   0.132635   0.137018   0.141546  0.146223     47.64    50.84
Philadelphia Authority   71781LAW9 02/03/99 04/15/18     28.637     0.000    6.6193   377.67     0.120415   0.124401   0.128518   0.132771  0.137166     44.68    47.69
Philadelphia Authority   71781LAX7 02/03/99 04/15/19     26.727     0.000    6.6393   354.03     0.113000   0.116751   0.120627   0.124631  0.128768     41.93    44.77
Philadelphia Authority   71781LAY5 02/03/99 04/15/20     24.985     0.000    6.6494   331.69     0.105928   0.109450   0.113089   0.116849  0.120734     39.31    41.97
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000    6.6494   310.69     0.099221   0.102520   0.105928   0.109450  0.113089     36.82    39.31
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000    6.6594   291.00     0.092983   0.096080   0.099279   0.102584  0.106000     34.51    36.85
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000    6.6695   272.51     0.087121   0.090027   0.093029   0.096131  0.099337     32.34    34.53
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000    6.6796   238.91     0.076423   0.078975   0.081613   0.084338  0.087155     28.37    30.29
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000    6.6896   223.62     0.071569   0.073963   0.076437   0.078994  0.081636     26.57    28.37
Pioneer Drilling Company 723655AA4 03/11/10 03/15/18     95.750     9.875   10.6775     6.76     0.011338   0.011943   0.012581   0.013253  0.013960      4.32     4.80
                                                                                                                                                                       


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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Pioneer Drilling Company 723655AB2 03/11/10 03/15/18     95.750     9.875   10.6775     6.76     0.011338   0.011943   0.012581   0.013253  0.013960      4.32     4.80
Plains Expl & Prodtn Co. 726505AG5 03/06/09 03/01/16     92.373    10.000   11.6241    23.84     0.027133   0.028710   0.030379   0.032144  0.034012     10.44    11.69
Platinum Energy Solution 727663AA4 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution 727663AB2 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution 727663AC0 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution 727663AD8 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution 727663AE6 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution 727663AF3 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution 727663AG1 09/01/11 03/01/15     95.000    14.250   16.1765     3.73     0.031047   0.033558   0.036273   0.039207  0.042378     12.26    14.32
Platinum Energy Solution 727663AH9 09/01/11 03/01/15     95.000    14.250   16.1765     3.73     0.031047   0.033558   0.036273   0.039207  0.042378     12.26    14.32
Playboy Enterprises,Inc. 728117AA0 03/15/05 03/15/25    100.000    VARIES    7.7502              0.299640   0.308022   0.316374   0.325049  0.334061    111.15   117.33
Playboy Enterprises,Inc. 728117AB8 03/15/05 03/15/25    100.000    VARIES    7.7502              0.299640   0.308022   0.316374   0.325049  0.334061    111.15   117.33
Ply Gem Industries, Inc. 729416AM9 01/11/10 07/15/14*    97.139    13.125   14.0016    10.41     0.016226   0.017362   0.018577                           5.25*        
Ply Gem Industries, Inc. 729416AN7 01/11/10 07/15/14*    97.139    13.125   14.0016    10.41     0.016226   0.017362   0.018577                           5.25*        
Ply Gem Industries, Inc. 729416AR8 02/16/12 02/15/18     85.000     8.250   11.8108                         0.049701   0.052621   0.055728  0.059019     16.05    20.37
Ply Gem Industries, Inc. 729416AS6 02/16/12 02/15/18     85.000     8.250   11.8108                         0.049701   0.052621   0.055728  0.059019     16.05    20.37
Ply Gem Industries, Inc. 729416AT4 02/16/12 02/15/18     85.000     8.250   11.8108                         0.049701   0.052621   0.055728  0.059019     16.05    20.37
Pope & Talbot, Inc.      732827AC4 07/30/02 06/01/13     86.415     8.375   10.5037   108.52     0.050715   0.053379   0.056182                          18.90     8.43
Pope & Talbot, Inc.      732827AD2 07/30/02 06/01/13     86.415     8.375   10.5037   108.52     0.050715   0.053379   0.056182                          18.90     8.43
Presidio ISD             741020DW8 05/14/98 02/15/12     38.054     0.000    7.1489   611.02     0.191727                                                 8.44         
Presidio ISD             741020DX6 05/14/98 02/15/13     35.472     0.000    7.1490   569.58     0.178726   0.185114   0.191732                          67.26     8.44
Presidio ISD             741020DY4 05/14/98 02/15/14     33.066     0.000    7.1490   530.95     0.166602   0.172557   0.178725   0.185114  0.191731     62.70    67.26
Presidio ISD             741020DZ1 05/14/98 02/15/15     30.822     0.000    7.1492   494.94     0.155304   0.160856   0.166606   0.172562  0.178730     58.45    62.70
Presidio ISD             741020EA5 05/14/98 02/15/16     28.486     0.000    7.1992   462.33     0.145466   0.150702   0.156127   0.161747  0.167569     54.76    58.77
Presidio ISD             741020EB3 05/14/98 02/15/17     26.541     0.000    7.1992   430.76     0.135533   0.140411   0.145465   0.150702  0.156126     51.02    54.76
Presidio ISD             741020EC1 05/14/98 02/15/18     24.728     0.000    7.1993   401.35     0.126279   0.130825   0.135534   0.140413  0.145467     47.54    51.02
Presidio ISD             741020ED9 05/14/98 02/15/19     22.810     0.000    7.2493   374.16     0.118045   0.122324   0.126758   0.131352  0.136113     44.45    47.73
Presidio ISD             741020EE7 05/14/98 02/15/20     21.242     0.000    7.2493   348.45     0.109932   0.113916   0.118045   0.122324  0.126758     41.40    44.45
Presidio ISD             741020EF4 05/14/98 02/15/21     19.782     0.000    7.2493   324.50     0.102375   0.106086   0.109932   0.113916  0.118045     38.55    41.40
Presidio ISD             741020EG2 05/14/98 02/15/22     18.422     0.000    7.2494   302.19     0.095339   0.098795   0.102376   0.106087  0.109932     35.90    38.55
Pride International Inc. 741932AE7 01/16/01 01/16/21     60.841     0.000    2.5000   190.40     0.054845   0.055530   0.056225   0.056927  0.057639     20.10    20.60
Providian Financial Corp 74406AAD4 03/19/04 03/15/16    100.000    VARIES    9.4998              0.452231   0.470149   0.488849   0.508367  0.528738    169.91   183.73
QBE Funding Trust II     747271AA2 09/10/02 04/15/22     55.100     0.000    3.0644   180.33     0.061855   0.062803   0.063765   0.064742  0.065734     22.58    23.28
QBE Funding Trust        74729CAA6 04/15/02 04/15/22     59.358     0.000    2.6249   171.09     0.055450   0.056178   0.056915   0.057662  0.058419     20.20    20.74
QBE Funding Trust III    74729LAA6 09/24/04 09/24/24     67.165     0.000    2.0000   104.56     0.042892   0.043321   0.043754   0.044192  0.044634     15.60    15.92
Quebecor Media, Inc.     74819RAH9 10/05/07 03/15/16     93.750     7.750    8.8148    25.76     0.020063   0.020948   0.021871   0.022835  0.023841      7.57     8.26
Quicksilver Resources    74837RAA2 11/01/04 11/01/24     98.500    VARIES    6.7504              0.263137   0.270259   0.277622   0.284936  0.292496     96.88   102.15
Quicksilver Resources    74837RAB0 11/01/04 11/01/24     98.500    VARIES    6.7504              0.263137   0.270259   0.277622   0.284936  0.292496     96.88   102.15
Quicksilver Resources    74837RAF1 06/25/09 01/01/16     96.717    11.750   12.5012     9.73     0.012849   0.013652   0.014505   0.015412                4.77     5.38
Range Resources Corp.    75281AAK5 05/14/09 05/15/19     95.067     8.000    8.7501     9.21     0.010962   0.011442   0.011942   0.012465  0.013010      4.08     4.44
Readers Digest Assn,Inc. 755267AJ0 02/11/10 02/15/17     97.340     9.500   10.0374     5.48     0.008712   0.009149   0.009609   0.010091  0.010597      3.34     3.68
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES    8.7503              0.390058   0.403317   0.417156   0.431600  0.446676    145.68   155.91
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES    8.7503              0.390058   0.403317   0.417156   0.431600  0.446676    145.68   155.91
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000    9.8183              0.740506   0.774131   0.809407   0.846415  0.885240    279.94   306.09
Richland CNTYS SD#529,IL 763536DX4 08/04/10 12/01/12    102.728    VARIES    2.2816              0.064138   0.063760                                     21.10         
Richland CNTYS SD#529,IL 763536DY2 08/04/10 12/01/13    102.554    VARIES    2.6844              0.075745   0.075457   0.075165   0.074869               27.20    24.75
Rock Island County, IL   772453CF1 11/08/11 12/01/12    102.865     0.000    1.8268              0.052260   0.052737                                     17.33         
Rock Island County, IL   772453CG9 11/08/11 12/01/13    105.109    VARIES    2.1356              0.062438   0.063105   0.060790   0.060060               22.55    19.93
Rock Island County, IL   772453CH7 11/08/11 12/01/14    106.992    VARIES    2.3888              0.071106   0.071955   0.069400   0.068653  0.067897     25.70    24.80
Rock Island County, IL   772453CJ3 11/08/11 12/01/15    107.914    VARIES    2.7899              0.083780   0.084949   0.082062   0.081328  0.080583     30.32    29.37
Roper Industries, Inc.   776696AA4 12/29/03 01/15/34     39.502     1.482    7.0003              0.108803   0.112611   0.116414   0.120350  0.124424     41.12    43.95
Rosemont, IL             777543TC3 12/15/11 12/01/13     99.518     1.250    1.5003      .11     0.006752   0.006799   0.006850   0.006901                2.44     2.27
Rosemont, IL             777543TE9 12/15/11 12/01/15     99.115     2.125    2.3603      .10     0.005956   0.006022   0.006093   0.006165  0.006237      2.16     2.21
Rotech Healthcare, Inc.  778669AC5 10/06/10 10/15/15     97.189    10.750   11.5019     5.54     0.013355   0.014123   0.014935   0.015794  0.016702      5.07     5.67
Rotech Healthcare, Inc.  778669AD3 10/06/10 10/15/15     97.189    10.750   11.5019     5.54     0.013355   0.014123   0.014935   0.015794  0.016702      5.07     5.67
Rotech Healthcare, Inc.  778669AE1 10/06/10 10/15/15     97.189    10.750   11.5019     5.54     0.013355   0.014123   0.014935   0.015794  0.016702      5.07     5.67
Rotech Healthcare, Inc.  778669AF8 03/17/11 03/15/18     98.197    10.500   10.8747     1.44     0.005230   0.005514   0.005814   0.006130  0.006464      2.00     2.22
Rotech Healthcare, Inc.  778669AG6 03/17/11 03/15/18     98.197    10.500   10.8747     1.44     0.005230   0.005514   0.005814   0.006130  0.006464      2.00     2.22
Rotech Healthcare, Inc.  778669AH4 03/17/11 03/15/18     98.197    10.500   10.8747     1.44     0.005230   0.005514   0.005814   0.006130  0.006464      2.00     2.22
Royal Bank of Canada     78008E3H8 03/31/08 03/28/13    100.000     0.000    4.2547              0.136919   0.139832   0.142807                          50.36    12.42
Royal Bank of Canada     78008E3L9 02/29/08 02/28/14    100.000     0.000    4.7399              0.153421   0.155350   0.161668   0.162801  0.169422     57.52    60.17
Royal Bank of Canada     78008E4D6 03/31/08 09/28/12    100.000     0.000    3.9648              0.126332   0.128836                                     34.18         
Royal Bank of Canada     78008E6Y8 03/31/08 03/29/12    100.000     0.000    3.7626              0.119070                                                10.48         
Royal Bank of Canada     78008E7D3 04/30/08 04/30/13    100.000     0.000    4.4900              0.145693   0.148964   0.152308                          53.44    18.12
Royal Bank of Canada     78008EBW6 10/31/06 10/31/13    100.000     0.000    5.2200              0.187614   0.192511   0.197535   0.202691               69.03    59.99
Royal Bank of Canada     78008ECH8 11/27/06 11/29/13    100.000     0.000    5.0359              0.179430   0.183948   0.188580   0.193328               65.70    62.71
Royal Bank of Canada     78008EE37 11/26/07 11/26/12    100.000     0.000    4.8999              0.165190   0.169237                                     54.42         
Royal Bank of Canada     78008EE45 11/26/07 11/26/12    100.000     0.000    4.8999              0.165190   0.169237                                     54.42         
Royal Bank of Canada     78008EFH5 04/30/07 04/30/12    100.000     0.000    5.1100              0.178127                                                21.20         
Royal Bank of Canada     78008EH59 12/31/07 12/31/13    100.000     0.000    4.7699              0.159993   0.163809   0.167716   0.171716               58.29    60.93
Royal Bank of Canada     78008EJV0 06/29/07 06/29/12    100.000     0.000    5.5299              0.196349                                                34.95         
Royal Bank of Canada     78008EJW8 06/29/07 06/29/12    100.000    VARIES    5.5339              0.180759                                                32.18         
Royal Bank of Canada     78008EJX6 06/29/07 06/29/12    100.000     0.000    5.5299              0.196349                                                34.95         
Royal Bank of Canada     78008EJY4 06/29/07 06/29/12    100.000     0.000    5.5299              0.196349                                                34.95         
Royal Bank of Canada     78008ELR6 07/06/07 07/09/12    100.000    VARIES    5.6200              0.182278   0.187400                                     35.19         
Royal Bank of Canada     78008EPB7 07/31/07 07/31/12    100.000     0.000    5.3300              0.182728   0.187597                                     39.07         
Royal Bank of Canada     78008EPH4 08/31/07 08/31/12    100.000     0.000    5.1899              0.175015   0.177605                                     43.01         
Royal Bank of Canada     78008EPL5 08/31/07 08/31/12    100.000     0.000    5.1899              0.175015   0.177605                                     43.01         
Royal Bank of Canada     78008ER58 01/31/08 01/31/14    100.000     0.000    4.6199              0.150579   0.154058   0.157617   0.161257  0.164983     55.90    58.51
Royal Bank of Canada     78008EWF0 10/31/07 10/31/12    100.000     0.000    4.7100              0.157613   0.161324                                     47.79         
Royal Bank of Canada     78008G3K6 06/30/09 06/30/14    100.000     0.000    3.9699              0.121666   0.124081   0.126544   0.129056  0.131618     44.24    46.01
Royal Bank of Canada     78008G3L4 06/30/09 06/29/12    100.000     0.000    3.0462              0.091255                                                16.24         
Royal Bank of Canada     78008G5L2 06/26/09 12/26/14    100.000    VARIES    3.9701              0.111314   0.110763   0.110351   0.110135  0.109964     39.97    39.69
Royal Bank of Canada     78008G5R9 08/12/09 08/12/16    100.000    VARIES    4.2505              0.121121   0.121924   0.122744   0.123582  0.124437     43.97    44.57
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                           OID per     
                                                                                                                Daily OID Per $1,000                      $1,000 of    
                                                                                                                  of Maturity Value                       Maturity     
                                                      Issue Price  Annual                                      for Each Accrual Period                    Value for    
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------    Calendar Year  
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78008G5S7 07/20/09 04/20/15    100.000    VARIES    4.0008              0.113728   0.114336   0.114082   0.113057  0.112288     41.08    40.76
Royal Bank of Canada     78008GBJ0 04/30/08 10/31/12    100.000     0.000    4.3499              0.140475   0.143530                                     42.55         
Royal Bank of Canada     78008GBV3 05/30/08 11/30/12    100.000     0.000    4.6199              0.150580   0.154058                                     50.17         
Royal Bank of Canada     78008GEN8 06/30/08 06/30/14    100.000     0.000    4.8299              0.158558   0.162388   0.166309   0.170326  0.174439     57.78    60.60
Royal Bank of Canada     78008GH39 03/31/09 03/31/15    100.000     0.000    5.2300              0.165294   0.169616   0.174052   0.178603  0.183274     61.08    64.32
Royal Bank of Canada     78008GH47 03/31/09 03/31/14    100.000     0.000    5.0300              0.158199   0.162178   0.166257   0.170438  0.174724     58.40    61.38
Royal Bank of Canada     78008GHD7 07/31/08 01/31/13    100.000     0.000    4.3700              0.138198   0.141218   0.144303                          51.22     4.18
Royal Bank of Canada     78008GL83 04/30/09 04/30/12    100.000     0.000    2.9229              0.087304                                                10.39         
Royal Bank of Canada     78008GLE0 07/29/08 01/29/14    100.000     0.000    4.7199              0.150807   0.154366   0.158009   0.161738  0.165555     56.03    58.70
Royal Bank of Canada     78008GLJ9 07/25/08 07/25/12    100.000     0.000    4.5600              0.145013   0.148320                                     30.18         
Royal Bank of Canada     78008GLV2 08/05/08 08/06/12    100.000     0.000    4.3999              0.139286   0.142350                                     30.50         
Royal Bank of Canada     78008GMC3 08/29/08 09/28/12    100.000     0.000    4.2399              0.134032   0.136874                                     36.30         
Royal Bank of Canada     78008GPA4 09/30/08 09/30/13    100.000     0.000    3.6499              0.113010   0.115072   0.117173   0.119311               41.43    31.90
Royal Bank of Canada     78008GS45 04/30/09 04/30/29*   100.000    VARIES    5.2899              0.138711                                                16.51*        
Royal Bank of Canada     78008GSC7 10/31/08 10/31/13    100.000     0.000    3.3799              0.103821   0.105575   0.107359   0.109174               37.91    32.43
Royal Bank of Canada     78008HHA1 09/30/09 09/30/14    100.000     0.000    3.0100              0.088760   0.090095   0.091451   0.092828  0.094225     32.44    33.42
Royal Bank of Canada     78008HKB5 10/30/09 10/31/12    100.000     0.000    2.1099              0.061124   0.061769                                     18.39         
Royal Bank of Canada     78008HLM0 10/30/09 10/30/14    100.000     0.000    3.1599              0.093458   0.094935   0.096435   0.097958  0.099506     34.09    35.18
Royal Bank of Canada     78008HNN6 11/30/09 11/28/14    100.000     0.000    2.8231              0.082930   0.084101   0.085288   0.086492  0.087712     30.14    31.00
Royal Bank of Canada     78008HQJ2 11/27/09 11/27/12    100.000     0.000    1.8099              0.052122   0.052594                                     17.08         
Royal Bank of Canada     78008HQQ6 11/25/09 11/25/14    100.000     0.000    2.9000              0.085331   0.086568   0.087823   0.089097  0.090389     31.03    31.94
Royal Bank of Canada     78008HRB8 12/31/09 06/30/15    100.000     0.000    3.3099              0.098184   0.099809   0.101461   0.103140  0.104847     35.64    36.83
Royal Bank of Canada     78008HUA6 01/28/10 01/28/20    100.000    VARIES    4.5517              0.129448   0.130497   0.131571   0.132669  0.133791     47.11    47.90
Royal Bank of Canada     78008HWF3 02/16/10 02/16/17    100.000    VARIES    3.8707              0.110186   0.111109   0.112050   0.113009  0.112368     40.08    40.55
Royal Bank of Canada     78008HZE3 03/31/10 03/31/14    100.000     0.000    2.7599              0.079885   0.080987   0.082105   0.083238  0.084386     29.16    29.97
Royal Bank of Canada     78008K3K7 04/20/11 04/20/16    100.000     0.000    2.7665              0.077910   0.078988   0.080081   0.081188  0.082311     28.40    29.19
Royal Bank of Canada     78008KDT7 07/15/10 07/16/15    100.000     0.000    2.3886              0.067950   0.068762   0.069583   0.070414  0.071255     24.88    25.48
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES    4.1702              0.116519   0.117211   0.117147   0.117082  0.117016     42.13    42.15
Royal Bank of Canada     78008KPH0 10/29/10 10/30/15    100.000     0.000    1.8491              0.052322   0.052806   0.053294   0.053787  0.054284     18.98    19.33
Royal Bank of Canada     78008KRQ8 11/30/10 11/30/15    100.000     0.000    2.1099              0.059854   0.060486   0.061124   0.061769  0.062420     21.70    22.16
Royal Bank of Canada     78008KYV9 01/27/11 01/27/31    100.000    VARIES    4.9792              0.135531   0.132681   0.132772   0.132865  0.132960     47.85    47.84
Royal Bank of Canada     78008SJY3 11/05/12 11/04/19    100.000     0.000    0.6002                                    0.016673   0.016723  0.016773       .93     6.02
Royal Bank of Canada     78008SMC7 11/05/12 11/04/19    100.000     0.000    0.6002                                    0.016673   0.016723  0.016773       .93     6.02
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES    4.0299              0.111944   0.109722   0.107455   0.107535  0.107616     39.30    38.72
Royal Bank of Canada     78008TR89 02/17/12 02/17/33    100.000     3.570    3.5699                         0.099167   0.099167   0.099167  0.099167     31.14    35.70
Royal Bank of Scotland   78009KAA0 07/16/03 01/16/14    100.000     0.000    4.1274              0.158970   0.162251   0.165600   0.169017  0.172505     58.91    61.37
Royal Bank of Scotland   78009KAB8 01/13/05 01/13/20    100.000    VARIES    4.7500              0.130430   0.130723   0.131062   0.131410  0.131766     47.11    47.36
Royal Bank of Scotland   78009KEF5 03/31/10 03/31/14    100.000     0.000    2.6710              0.077207   0.078238   0.079283   0.080342  0.081415     28.17    28.93
Royal Bank of Scotland   78009KFP2 04/30/10 04/30/14    100.000     0.000    2.6792              0.077454   0.078491   0.079543   0.080608  0.081688     28.20    28.96
Royal Bank of Scotland   78009KLF7 08/11/10 08/11/20    100.000    VARIES    4.9855              0.139518   0.140053   0.140602   0.141164  0.141740     50.47    50.88
Royal Bank of Scotland   78009KMB5 08/19/10 08/19/17    100.000    VARIES    2.6315              0.018795   0.019043   0.019294   0.019548  0.019805      6.88     7.06
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Scotland   78009KME9 09/16/10 09/16/20    100.000    VARIES    3.6714              0.023154   0.022228   0.021285   0.020324  0.019346      7.97     7.29
Royal Bank of Scotland   78009KMF6 09/20/10 09/20/17    100.000    VARIES    2.5212              0.017477   0.017697   0.017921   0.018147  0.018375      6.38     6.54
Royal Bank of Scotland   78009KMG4 09/30/10 09/28/18    100.000    VARIES    N/A                 0.017544   0.016840   0.016214   0.016342  0.016653      6.17     5.98
Royal Bank of Scotland   78009KMV1 10/29/10 10/29/20    100.000    VARIES    2.4406              0.009839   0.009959   0.010080   0.010203  0.010328      3.58     3.67
Royal Bank of Scotland   78009KNB4 10/27/10 10/27/17    100.000    VARIES    2.4218              0.023176   0.022476   0.021768   0.022031  0.022298      8.13     7.92
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES    5.5208              0.146394   0.146500   0.146609   0.146720  0.146835     52.73    52.81
Royal Bank of Scotland   78009KNR9 11/16/10 11/16/20    100.000    VARIES    4.5134              0.126024   0.126360   0.126704   0.127056  0.127416     45.46    45.71
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES    5.3208              0.142291   0.139425   0.136483   0.136712  0.136947     50.60    49.18
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES    5.7103              0.150111   0.150238   0.150369   0.150503  0.150641     54.06    54.16
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES    5.4493              0.146414   0.141321   0.141475   0.141634  0.141796     51.17    51.00
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES    5.5246              0.153099   0.152724   0.152756   0.152789  0.152823     55.01    55.01
Royal Bank of Scotland   78009KRL8 03/15/11 03/15/16    100.000    VARIES    4.1566              0.115553   0.115645   0.115624   0.115602  0.115580     41.62    41.62
Royal Bank of Scotland   78009KRY0 03/31/11 03/31/18    100.000    VARIES    4.3799              0.121288   0.120902   0.120959   0.121016  0.121075     43.56    43.57
Royal Bank of Scotland   78009KSD5 04/12/11 04/12/26    100.000    VARIES    4.8417              0.131025   0.127473   0.127651   0.127833  0.128020     46.26    46.02
Royal Bank of Scotland   78009PAF8 04/29/11 04/29/16    100.000     0.000    3.8637              0.109401   0.111515   0.113669   0.115865  0.118103     40.03    41.59
Royal Bank of Scotland   78009PAG6 05/16/11 08/16/16    100.000     0.000    3.5178              0.098578   0.100312   0.102077   0.103872  0.105699     36.27    37.56
Royal Bank of Scotland   78009PAL5 05/31/11 11/30/16    100.000     0.000    3.6087              0.102050   0.103892   0.105766   0.107675  0.109618     37.18    38.54
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES    4.4728              0.124540   0.124841   0.125148   0.125462  0.125464     44.91    45.12
Royal Bank of Scotland   78009PAN1 06/15/11 12/15/16    100.000     0.000    3.5863              0.101407   0.103225   0.105076   0.106961  0.108878     36.89    38.23
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES    2.5504              0.015930   0.015169   0.014399   0.013619  0.013793      5.57     5.03
Royal Bank of Scotland   78009PAX9 07/29/11 07/29/16    100.000     0.000    3.8218              0.106162   0.108191   0.110258   0.112365  0.114512     39.21    40.72
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES    2.8321              0.023116   0.021976   0.020820   0.019648  0.018459      7.75     6.91
Royal Bank of Scotland   78009PBG5 08/31/11 02/28/17    100.000     0.000    4.0027              0.109966   0.110948   0.115044   0.115433  0.119695     41.05    42.63
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES    4.7434              0.131763   0.126982   0.122088   0.121035  0.119957     45.36    43.50
Royal Bank of Scotland   78009PBM2 08/31/11 03/01/16    100.000     0.000    3.5003              0.097242   0.098944   0.100676   0.102438  0.104230     35.73    36.99
Royal Bank of Scotland   78009PBR1 09/30/11 03/30/17    100.000     0.000    3.8461              0.106838   0.108893   0.110987   0.113121  0.115297     39.21    40.73
Royal Bank of Scotland   78009PBV2 09/30/11 09/30/16    100.000    VARIES    2.7074              0.009373   0.008899   0.008417   0.008531  0.008647      3.20     3.07
Royal Bank of Scotland   78009PCD1 12/06/11 06/07/17    100.000     0.000    5.2976              0.147178   0.151076   0.155078   0.159186  0.163402     53.88    56.77
Royal Bank of Scotland   78009PCG4 12/30/11 07/03/17    100.000     0.000    5.2550              0.145974   0.146038   0.149876   0.153814  0.157855     53.26    56.08
Royal Bank of Scotland   78011PAA5 11/30/11 11/30/26    100.000    VARIES    5.2303              0.145289   0.144003   0.142684   0.141330  0.139941     51.99    51.04
Royal Caribbean Cruises  780153AT9 07/06/09 07/15/15     97.399    11.875   12.5022     8.51     0.010726   0.011397   0.012109   0.012866  0.013671      4.21     4.75
Ryerson Holding Corp.    783754AA2 01/29/10 02/01/15*    45.598     0.000    N/A                 0.259822   0.285520   0.314049                          82.43*        
Ryerson Holding Corp.    783754AB0 01/29/10 02/01/15*    45.598     0.000    N/A                 0.259822   0.285520   0.314049                          82.43*        
SG Structured Prods,Inc. 78423A2D3 07/29/11 07/29/31    100.000    VARIES    3.8135              0.105933   0.099213   0.092366   0.089888  0.087363     34.86    32.05
SG Structured Prods,Inc. 78423A2E1 07/29/11 07/29/31    100.000    VARIES    3.8227              0.106187   0.101315   0.096349   0.091289  0.086131     35.86    32.22
SG Structured Prods,Inc. 78423A2P6 07/29/11 07/29/31    100.000    VARIES    3.8133              0.105926   0.100928   0.095834   0.093226  0.090567     35.70    33.23
SG Structured Prods,Inc. 78423A3B6 08/31/11 08/29/31    100.000    VARIES    3.8090              0.103506   0.099887   0.094468   0.092527  0.089528     36.09    33.51
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              0.038450   0.038712   0.038976   0.039243               13.89    14.04
SG Structured Prods,Inc. 78423AC42 12/31/10 12/31/30    100.000    VARIES    4.1615              0.106444   0.105394   0.104322   0.103229  0.102112     38.13    37.36
SG Structured Prods,Inc. 78423AD90 01/31/11 01/31/31    100.000    VARIES    4.1899              0.111842   0.107202   0.102464   0.097628  0.096861     38.01    35.17
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods,Inc. 78423AE99 02/25/11 02/25/26    100.000    VARIES    3.9927              0.106358   0.101716   0.101964   0.102218  0.102476     36.90    36.82
SG Structured Prods,Inc. 78423AF80 02/28/11 02/28/31    100.000    VARIES    4.1578              0.108605   0.101749   0.102375   0.099641  0.100187     37.72    36.59
SG Structured Prods,Inc. 78423AG63 03/18/11 03/18/21    100.000    VARIES    4.1693              0.114756   0.113674   0.113914   0.114160  0.114374     41.03    41.10
SG Structured Prods,Inc. 78423AH62 03/09/11 03/09/16    100.000     0.000    2.4340              0.068436   0.069269   0.070112   0.070965  0.071829     24.97    25.59
SG Structured Prods,Inc. 78423AJ45 03/31/11 03/31/26    100.000    VARIES    3.9820              0.106730   0.102772   0.098734   0.094616  0.093830     36.98    34.36
SG Structured Prods,Inc. 78423AK43 03/31/11 03/31/31*   100.000    VARIES    4.2707              0.114048   0.109366                                     29.84*        
SG Structured Prods,Inc. 78423AL75 03/31/11 03/31/31    100.000    VARIES    4.2878              0.112131   0.105006   0.104073   0.103120  0.102146     38.35    37.12
SG Structured Prods,Inc. 78423AM74 04/29/11 08/02/13    100.000     0.000    0.7726              0.021506   0.021589   0.021672   0.021756                7.78     4.59
SG Structured Prods,Inc. 78423AP48 04/29/11 04/29/31    100.000    VARIES    4.1591              0.108114   0.100542   0.099535   0.098507  0.097458     37.03    35.52
SG Structured Prods,Inc. 78423AR20 04/29/11 04/30/26    100.000    VARIES    4.1342              0.111453   0.108015   0.106393   0.104737  0.103047     39.20    37.80
SG Structured Prods,Inc. 78423AR46 04/29/11 04/30/12    100.000     0.000    0.5526              0.015395                                                 1.83         
SG Structured Prods,Inc. 78423AT93 05/31/11 05/30/31    100.000    VARIES    4.0970              0.107293   0.100786   0.101066   0.098022  0.098199     37.87    36.24
SG Structured Prods,Inc. 78423AU26 05/31/11 05/30/23    100.000    VARIES    4.1099              0.111289   0.108432   0.110304   0.108580  0.110458     40.17    39.95
SG Structured Prods,Inc. 78423AU75 05/31/11 05/30/31    100.000    VARIES    4.0953              0.108086   0.102423   0.101650   0.097512  0.096556     38.31    36.18
SG Structured Prods,Inc. 78423AU83 05/31/11 05/29/26    100.000    VARIES    4.1202              0.109902   0.105349   0.103610   0.100957  0.101630     39.18    37.26
SG Structured Prods,Inc. 78423AV90 06/17/11 06/16/17    100.000     0.000    2.1964              0.061680   0.062357   0.063042   0.063735  0.064435     22.35    22.84
SG Structured Prods,Inc. 78423AW65 06/30/11 06/30/31    100.000    VARIES    4.0039              0.106497   0.101677   0.099099   0.096469  0.093787     37.46    35.20
SG Structured Prods,Inc. 78423AW73 06/30/11 06/30/31    100.000    VARIES    4.0072              0.104039   0.096803   0.096903   0.093813  0.093802     36.74    34.80
SG Structured Prods,Inc. 78423AW81 06/30/11 06/30/23    100.000    VARIES    3.9769              0.108803   0.107103   0.107395   0.107692  0.107996     38.86    38.72
SG Structured Prods,Inc. 78423AW99 06/30/11 06/30/26    100.000    VARIES    3.9853              0.106195   0.101719   0.102340   0.099603  0.100146     38.04    36.85
SG Structured Prods,Inc. 78423AY55 06/30/11 07/30/12    100.000     0.000    0.4618              0.012833   0.012862                                      2.69         
SG Structured Prods,Inc. 78423AYJ5 08/31/10 08/29/25    100.000     7.380    3.6971              0.096753   0.095876   0.093387   0.091888  0.089348     34.83    33.31
SG Structured Prods,Inc. 78423AYN6 09/30/10 09/30/15    100.000     0.000    1.9321              0.054714   0.055243   0.055777   0.056315  0.056859     19.89    20.28
SG Structured Prods,Inc. 78423AZA3 10/29/10 04/29/16    100.000     0.000    1.7220              0.048663   0.049082   0.049505   0.049931  0.050361     17.65    17.95
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
SG Structured Prods,Inc. 78423EBE3 06/29/12 06/30/32    100.000    VARIES    2.6183              0.072732   0.072718   0.069942   0.067130  0.066248     13.23    24.67
SG Structured Prods,Inc. 78423EBR4 07/31/12 07/30/32    100.000    VARIES    2.2858                                    0.062115   0.060723  0.057310      9.57    21.68
SG Structured Prods,Inc. 78423ECC6 07/31/12 07/31/32    100.000    VARIES    4.4772                                    0.013258   0.011690  0.010086      2.00     4.01
SG Structured Prods,Inc. 78423ECE2 08/31/12 08/31/32    100.000    VARIES    2.2189                                    0.061297   0.057349  0.055269      7.54    20.91
SG Structured Prods,Inc. 78423ECF9 08/31/12 08/31/27    100.000    VARIES    2.2060                                    0.060941   0.059022  0.059049      7.50    21.66
SG Structured Prods,Inc. 78423ECS1 08/31/12 08/31/32    100.000    VARIES    4.3609                                    0.009970   0.008836  0.007974      1.23     3.18
SG Structured Prods,Inc. 78423EDB7 09/28/12 09/30/32    100.000    VARIES    3.8997                         0.011075   0.011075   0.009937  0.008777      1.03     3.57
SG Structured Prods,Inc. 78423EDJ0 09/28/12 09/30/32    100.000    VARIES    2.1721                         0.060337   0.060304   0.057339  0.054342      5.61    20.63
SG Structured prods,Inc. 78423EDN1 10/31/12 10/29/27    100.000    VARIES    2.3465                                    0.065181   0.062701  0.060177      3.98    22.71
SG Structured Prods,Inc. 78423EDP6 10/31/12 10/29/27    100.000    VARIES    2.3352                                    0.064869   0.064102  0.063322      3.96    23.12
SG Structured Prods,Inc. 78423EDQ4 10/31/12 10/31/32    100.000    VARIES    3.4706                                    0.096408   0.095188  0.093948      5.88    34.34
SG Structured Prods,Inc. 78423EEJ9 10/31/12 10/29/32    100.000    VARIES    2.3462                                    0.065174   0.062694  0.060171      3.98    22.71
SLM Corporation.         78442FCY2 10/01/04 10/01/14    100.000    VARIES    5.0009              0.138376   0.138461   0.138547   0.138636  0.138727     49.85    49.91
SLM Corporation.         78442FEM6 01/27/12 01/25/17     98.942     6.000    6.2498                         0.005104   0.005262   0.005426  0.005596      1.73     1.98
Sabine Pass LNG, LP      785583AG0 09/15/08 11/30/16     79.000     7.500   11.5231    62.24     0.063825   0.067502   0.071391   0.075504  0.079855     23.87    26.70
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Sabine Pass LNG, LP      785583AH8 09/15/08 11/30/16     79.000     7.500   11.5231    62.24     0.063825   0.067502   0.071391   0.075504  0.079855     23.87    26.70
Saddle Brook TWP NJ SD   786225GB2 08/23/12 08/15/14     99.381     1.000    1.3180                                    0.008608   0.008664  0.008721      1.10     3.12
Saddle Brook TWP NJ SD   786225GC0 08/23/12 08/15/15     99.327     1.300    1.5320                                    0.006159   0.006205  0.006252       .79     2.24
Saddle Brook TWP NJ SD   786225GD8 08/23/12 08/15/16     99.040     1.750    2.0022                                    0.006473   0.006536  0.006601       .83     2.36
SCH DIST Clair CNTY, IL  788550JJ1 06/15/11 01/01/15    102.478    VARIES    3.4880              0.101179   0.098643   0.098304   0.097960               35.97    35.33
SCH DIST Clair CNTY, IL  788550JK8 06/15/11 01/01/16    103.086    VARIES    3.9878              0.116676   0.113506   0.113139   0.112764               41.43    40.66
SCH DIST Clair CNTY, IL  788550JL6 06/15/11 01/01/17    103.641    VARIES    4.4873              0.132349   0.128483   0.128094   0.127696               46.95    46.04
SCH DIST Clair CNTY, IL  788550JM4 06/15/11 01/01/18    102.758    VARIES    4.9870              0.146221   0.141910   0.141639   0.141361               51.86    50.94
St. Clair CNTY SD#187,IL 788550JQ5 06/20/12 01/01/21    107.017     5.500    N/A                 0.131540   0.131512   0.131041   0.130560               25.12    47.09
St.Clair CNTY SD #196,IL 788553GJ8 11/13/12 12/01/13    101.704     0.000    1.1898                         0.033616   0.033636   0.033836                1.61    11.14
St.Clair CNTY SD #196,IL 788553GK5 11/13/12 12/01/14    102.810    VARIES    1.3941                         0.039814   0.039842   0.040119  0.039245      1.91    14.38
St.Clair CNTY SD #196,IL 788553GL3 11/13/12 12/01/15    103.202    VARIES    1.5459                         0.044318   0.044352   0.044695  0.043831      2.13    16.01
San Luis Obispo County   798703AQ7 07/02/03 09/01/18     45.439     0.000    5.2695   252.64     0.101706   0.104386   0.107136   0.109959  0.112856     37.75    39.76
San Luis Obispo County   798703AR5 07/02/03 09/01/19     42.462     0.000    5.3695   241.58     0.097620   0.100241   0.102932   0.105696  0.108533     36.25    38.23
San Luis Obispo County   798703AS3 07/02/03 09/01/20     39.603     0.000    5.4695   230.48     0.093484   0.096040   0.098667   0.101365  0.104137     34.74    36.66
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000    5.5395   219.10     0.089097   0.091565   0.094101   0.096708  0.099386     33.12    34.98
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000    5.5995   207.89     0.084727   0.087099   0.089538   0.092045  0.094622     31.51    33.30
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000    5.6397   196.91     0.080372   0.082639   0.084969   0.087365  0.089829     29.89    31.60
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000    5.6796   186.35     0.076177   0.078341   0.080565   0.082853  0.085206     28.34    29.97
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000    5.6997   176.21     0.072085   0.074140   0.076253   0.078426  0.080661     26.82    28.37
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000    5.7297   166.54     0.068206   0.070160   0.072170   0.074237  0.076364     25.38    26.86
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000    5.7297   157.39     0.064459   0.066306   0.068206   0.070160  0.072170     23.99    25.38
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000    5.7296   148.75     0.060919   0.062664   0.064459   0.066306  0.068205     22.67    23.99
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000    5.7297   140.58     0.057573   0.059222   0.060919   0.062664  0.064459     21.42    22.67
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000    5.7298   132.86     0.054411   0.055969   0.057573   0.059222  0.060919     20.25    21.42
Service Master, Co.      81760NAE9 07/24/08 07/15/15*    97.266    10.750   11.3274              0.308934   0.309518   0.310136                          77.10*        
Service Master, Co.      81760NAF6 07/24/08 07/15/15*    97.266    10.750   11.3274              0.308934   0.309518   0.310136                          77.10*        
Service Master, Co.      81760NAG4 07/24/08 07/15/15*    97.266    10.750   11.3274              0.308934   0.309518   0.310136                          77.10*        
Shelby CNTYS, SD #21, IL 821510AQ7 06/08/10 12/01/12    106.675    VARIES    2.4625              0.070277   0.069346                                     23.02         
Shelby CNTYS, SD #21, IL 821510AR5 06/08/10 12/01/13    107.980    VARIES    2.9663              0.086265   0.085319   0.084360   0.083386               30.83    27.66
Shelby CNTYS, SD #21, IL 821510AS3 06/08/10 12/01/14    108.333    VARIES    3.4682              0.101873   0.100990   0.100092   0.099179  0.098249     36.46    35.81
Silgan Holdings Inc.     827048AM1 05/12/09 08/15/16*    97.280     7.250    7.7468     8.21     0.009438   0.009803                                       .94*        
Sinclair Broadcast Group 829226AS8 05/20/03 07/15/18    100.000    VARIES    9.2480              0.393021   0.407992   0.423654   0.439967  0.457035    149.27   160.99
Sinclair Broadcast Group 829226AU3 05/20/03 07/15/18    100.000    VARIES    9.2480              0.393021   0.407992   0.423654   0.439967  0.457035    149.27   160.99
Sinclair Broadcast Group 829226AW9 05/10/07 05/15/27    100.000    VARIES    7.7902              0.271215   0.278533   0.286136   0.294036  0.302243     99.64   105.17
SG Structured Prods,Inc. 83367TAK5 08/07/12 08/07/15    100.000    VARIES    2.4728                                    0.014801   0.014448  0.014091      2.13     5.16
SG Structured Prods,Inc. 83367TAM1 08/30/12 08/30/27    100.000    VARIES    4.2251                                    0.116075   0.114086  0.113321     14.39    41.66
SG Structured Prods,Inc. 83367TAN9 09/28/12 09/28/27    100.000    VARIES    4.2451                                    0.117920   0.115706  0.113445     10.97    41.64
SG Structured prods,Inc. 83368WAC5 10/31/12 10/29/27    100.000    VARIES    3.3528                                    0.093134   0.092317  0.091483      5.68    33.28
Solectron Corporation    834182AK3 05/08/00 05/08/20     57.912     0.000    2.7499   216.91     0.060562   0.061395   0.062239   0.063095  0.063962     22.04    22.65
Solo Cup Company         83427BAA4 07/02/09 11/01/13*    97.928    10.500   11.1154    10.77     0.013769   0.014534                                      1.94*        
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Southern CMNTY CAP II    842633208 12/31/10 12/31/33    100.000     7.950    7.9499              0.238739   0.248228   0.258095   0.268355  0.279022     87.67    94.78
Sovereign Bancorp, Inc.  846048205 02/26/04 03/01/34    100.000    VARIES    7.4512              0.269596   0.275113   0.280835   0.286770  0.292926     99.40   103.62
Spartan Stores, Inc.     846822AD6 05/29/07 05/15/27    100.000    VARIES    8.2501              0.287992   0.296004   0.304347   0.313035  0.322080    105.87   111.94
Spartan Stores, Inc.     846822AE4 05/29/07 05/15/27    100.000    VARIES    8.2501              0.287992   0.296004   0.304347   0.313035  0.322080    105.87   111.94
Spectrum Brands, Inc.    84762LAE5 08/28/09 08/28/19*    86.000    12.000    N/A                 0.380854   0.384467                                     90.91*        
Spirit Aerosystems, Inc. 85205TAA8 09/30/09 10/01/17     97.804     7.500    7.8750     4.88     0.006555   0.006813   0.007081   0.007360  0.007650      2.45     2.65
Spirit Aerosystems, Inc. 85205TAB6 09/30/09 10/01/17     97.804     7.500    7.8750     4.88     0.006555   0.006813   0.007081   0.007360  0.007650      2.45     2.65
St. Clair CNTY SD#522,IL 85227XCT0 07/01/10 12/01/12    100.590    VARIES    1.7284              0.048137   0.048075                                     15.87         
St. Clair CNTY SD#522,IL 85227XCU7 07/01/10 12/01/13    100.650    VARIES    2.2805              0.063599   0.063538   0.063475   0.063412               22.88    20.94
St. Clair CNTY SD#522,IL 85227XCV5 07/01/10 12/01/14    101.031    VARIES    2.7378              0.076621   0.076529   0.076436   0.076341  0.076245     27.56    27.49
St. Clair CNTY SD#522,IL 85227XCW3 07/01/10 12/01/15    100.491    VARIES    3.1869              0.088900   0.088856   0.088811   0.088765  0.088719     31.99    31.96
Stephenson Ogle ETC CNTY 859103CF8 11/04/09 01/01/13     99.722    VARIES    2.9892              0.082962   0.082998                                     29.87         
Stephenson Ogle ETC CNTY 859103CG6 11/04/09 01/01/14    103.872    VARIES    3.4851              0.098693   0.098235   0.097768   0.097294               35.45    35.11
Stephenson Ogle ETC CNTY 859103CH4 11/04/09 01/01/15    102.111    VARIES    3.9859              0.112159   0.111931   0.111698   0.111461               40.34    40.17
STMicroelectronics N.V.  861012AF9 02/23/06 02/23/16*   100.000     0.000    N/A                 0.045235   0.045574                                      5.86*        
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600   10.4989              0.316273   0.315961   0.315632   0.315286  0.314922    113.74   113.50
Symbion, Inc.            871507AE9 06/14/11 06/15/16     98.492     8.000    8.3751     1.37     0.007204   0.007505   0.007820   0.008147  0.008488      2.66     2.88
Symbion, Inc.            871507AG4 06/14/11 06/15/16     98.492     8.000    8.3751     1.37     0.007204   0.007505   0.007820   0.008147  0.008488      2.66     2.88
Synovus Financial Corp.  87161C204 05/04/10 05/15/13    100.000    13.000    N/A                 0.181147   0.118881   0.052502                          48.09     7.04
Synovus Financial Corp.  87161C303 05/04/10 05/15/13    100.000    13.000    N/A                 0.181147   0.118881   0.052502                          48.09     7.04
Tabletop Holdings, Inc.  87336NAA9 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340269   0.340268   0.340268   0.340267  0.340267    122.50   122.50
Tabletop Holdings, Inc.  87336NAB7 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340269   0.340268   0.340268   0.340267  0.340267    122.50   122.50
Tazewell CNTY SD#102, IL 877741BX5 04/07/10 12/01/13    100.040    VARIES    2.3840              0.066244   0.066239   0.066234   0.066229               23.85    21.86
Tenet Healthcare Corp.   88033GBD1 03/03/09 05/01/15*    89.500     9.000   11.4189    39.51     0.045554   0.048155                                      5.51*        
Tenet Healthcare Corp.   88033GBE9 03/03/09 05/01/15*    89.500     9.000   11.4189    39.51     0.045554   0.048155                                      5.51*        
Tenet Healthcare Corp.   88033GBF6 03/03/09 05/01/18     89.500    10.000   11.9135    21.59     0.025053   0.026546   0.028127   0.029802  0.031577      9.47    10.63
Tenet Healthcare Corp.   88033GBG4 03/03/09 05/01/18     89.500    10.000   11.9135    21.59     0.025053   0.026546   0.028127   0.029802  0.031577      9.47    10.63
Tenet Healthcare Corp.   88033GBH2 06/15/09 07/01/19     95.229     8.875    9.6265     8.21     0.010314   0.010810   0.011330   0.011876                3.80     4.18
Tenet Healthcare Corp.   88033GBJ8 06/15/09 07/01/19     95.229     8.875    9.6265     8.21     0.010314   0.010810   0.011330   0.011876                3.80     4.18
Terex Corporation        880779AW3 06/03/09 06/01/16*    97.633    10.875   11.3747     6.69     0.008438   0.008918                                      2.31*        
Tesoro Corporation       881609AW1 06/05/09 06/01/19     96.172     9.750   10.3745     6.52     0.008125   0.008546   0.008989   0.009456  0.009946      3.03     3.35
Thermwood Corporation    883672AC1 04/27/99 04/27/14     45.454    12.000   27.1328   297.21     0.222520   0.252708   0.286992   0.325926  0.370143     89.67   115.65
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES    8.8000              0.158168   0.165128   0.172393   0.179979  0.187898     60.55    66.00
Toll Brothers Finance    88947EAL4 09/11/12 09/15/32    100.000    VARIES    5.9844                         0.166236   0.166337   0.170899  0.175597     18.30    61.68
Toll Brothers Finance    88947EAM2 09/11/12 09/15/32    100.000    VARIES    5.9844                         0.166236   0.166337   0.170899  0.175597     18.30    61.68
Toyota Motor Credit Corp 89233PA22 12/12/06 12/12/16    100.000     0.000    4.9609              0.176067   0.180434   0.184910   0.189496  0.194197     64.34    67.57
Toyota Motor Credit Corp 89233PA97 01/18/07 01/20/37*    13.723     0.000    6.7298    53.25     0.034568   0.035731                                      7.02*        
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000    4.8000    47.05     0.037935   0.038845   0.039778   0.040732  0.041710     13.99    14.67
Toyota Motor Credit Corp 89233PZQ2 10/24/06 10/24/16    100.000    VARIES    6.2020              0.163241   0.164026   0.164835   0.165669  0.166529     59.01    59.60
Toyota Motor Credit Corp 89233PZU3 11/29/06 11/29/13    100.000     0.500    5.0554              0.176308   0.180414   0.184623   0.188939               64.48    61.33
Transportadora Gas Norte 893871AS2 08/22/12 08/22/19     25.000    VARIES    N/A                            0.208187   0.230551   0.265110  0.304848     27.09    89.29
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Transportadora Gas Norte 893871AZ6 08/22/12 08/22/19     25.000    VARIES    N/A                            0.208187   0.230551   0.265110  0.304848     27.09    89.29
Trenton, City of         895130J78 03/13/03 04/01/12     64.697     0.000    4.8697   341.14     0.132054                                                11.88         
Trenton, City of         895130J86 03/13/03 04/01/13     60.578     0.000    5.0498   333.86     0.130163   0.133450   0.136819                          48.05    12.31
Trenton, City of         895130J94 03/13/03 04/01/14     56.464     0.000    5.2397   325.57     0.127894   0.131244   0.134683   0.138211  0.141832     47.26    49.76
Trenton, City of         895130K27 03/13/03 04/01/15     52.558     0.000    5.4098   315.23     0.124664   0.128036   0.131499   0.135056  0.138709     46.10    48.63
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000    6.1698   222.25     0.090547   0.093340   0.096220   0.099188  0.102248     33.61    35.72
Trinity Industries, Inc. 896522AF6 06/07/06 06/01/36    100.000    VARIES    8.5854              0.315110   0.324017   0.333305   0.342992  0.353095    115.59   122.33
UBS AG                   90261J533 02/13/07 05/14/12    100.000     0.000    5.1800              0.181439                                                24.31         
UBS AG                   90261JEJ8 10/29/09 10/29/24*   100.000    VARIES    4.7011              0.117067   0.114718                                     34.46*        
UBS AG                   90261JER0 10/30/09 10/29/12    100.000     0.000    2.8210              0.082873   0.084042                                     24.91         
UBS AG                   90261JFX6 08/06/10 08/06/25*   100.000    VARIES    4.7391              0.127616   0.125531                                     15.89*        
UBS AG                   90261JGA5 10/14/10 10/14/25*   100.000    VARIES    3.8934              0.105595   0.104278                                     29.65*        
UBS AG                   90261JGE7 11/24/10 11/24/25*   100.000    VARIES    4.2920              0.116158   0.114576                                     26.92*        
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES    4.6496              0.129802   0.130463   0.131138   0.131830  0.131875     46.98    47.41
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES    2.4224              0.067289   0.066422   0.065544   0.065632  0.065720     23.89    23.63
UBS AG                   90261JHQ9 09/23/11 09/23/19    100.000    VARIES    2.3047              0.005410   0.005012   0.004608   0.004661  0.004715      1.80     1.68
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES    2.5378              0.011607   0.010436   0.009250   0.009367  0.009486      3.75     3.37
UBS AG                   90261KFS4 10/31/03 01/31/12    100.000     0.000    4.3914              0.170817                                                 4.95         
UBS AG                   90261KHL7 03/31/04 01/03/12    100.000     0.000    3.7505              0.136442                                                  .27         
UBS AG                   90261KJE1 10/29/04 11/07/12    100.000     2.810    4.0782              0.123463   0.123054                                     38.32         
UBS AG                   90261XCT7 01/12/07 01/12/47*     7.389     0.000    6.6201    28.24     0.018215   0.018818                                      3.59*        
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES    5.7801              0.134792   0.131269   0.127643   0.125095  0.122473     46.74    44.66
UBS AG                   90261XEE8 10/09/07 10/09/37*    12.693     0.000    7.0001    42.88     0.032501   0.033638                                      9.24*        
UBS AG                   90261XEU2 03/06/08 03/06/18    100.000    VARIES    4.6051              0.123105   0.122486   0.122149   0.121804  0.121734     44.10    43.86
UBS AG                   90265G659 06/10/09 06/11/12    100.000     0.000    4.9453              0.155238                                                24.84         
UBS AG                   90265G691 06/23/09 06/25/12    100.000     0.000    4.5858              0.142712                                                24.83         
UBS AG                   902669233 11/30/10 11/30/12    100.000     0.000    0.7458              0.020872   0.020950                                      6.88         
UBS AG                   902669258 01/31/11 01/31/13    100.000     0.000    0.6468              0.018026   0.018085   0.018143                           6.52      .53
Union CNTY SD #531, IL   904842CU3 05/17/11 12/01/16     99.662    VARIES    3.6779              0.103840   0.105750   0.101871   0.101906  0.101941     37.67    36.68
Union CNTY SD #531, IL   904842CV1 05/17/11 12/01/17    108.762    VARIES    4.1179              0.127176   0.129794   0.122235   0.121520  0.120791     46.11    43.83
Union CNTY SD #531, IL   904842CW9 05/17/11 12/01/18    107.234    VARIES    4.3707              0.133264   0.136176   0.128578   0.128049  0.127508     48.36    46.16
Union City, NJ           905734MC0 02/07/07 11/01/13     69.720     0.000    5.4276   209.36     0.135456   0.139132   0.142907   0.146786               49.87    43.57
Union City, NJ           905734MD8 02/07/07 11/01/14     65.880     0.000    5.4688   199.51     0.129210   0.132743   0.136373   0.140102  0.143933     47.58    50.22
Union City, NJ           905734ME6 02/07/07 11/01/15     62.150     0.000    5.5197   190.19     0.123319   0.126722   0.130220   0.133813  0.137507     45.42    47.96
Union City, NJ           905734MF3 02/07/07 11/01/16     58.640     0.000    5.5586   180.87     0.117384   0.120647   0.124000   0.127446  0.130988     43.24    45.68
Union City, NJ           905734MG1 02/07/07 11/01/17     55.340     0.000    5.5882   171.71     0.111520   0.114636   0.117839   0.121132  0.124517     41.09    43.42
Unisys Corporation       909214BM9 07/31/09 10/15/14*    83.461    12.750   17.7426    59.37     0.081916   0.089183                                     22.69*        
Unisys Corporation       909214BN7 07/31/09 09/15/15*    80.450    14.250   19.9112    52.11     0.072790                                                 4.44*        
United Refining Co.      911358AJ8 03/08/11 02/28/18     96.444    10.500   11.2489     2.91     0.010102   0.010555   0.011333   0.011775  0.012644      3.93     4.38
United Refining Co.      911358AK5 03/08/11 02/28/18     96.444    10.500   11.2489     2.91     0.010102   0.010555   0.011333   0.011775  0.012644      3.93     4.38
United Technologies Corp 913017AR0 11/13/89 11/15/19     98.974     8.875    8.9741     4.75     0.001350   0.001395   0.001482   0.001523  0.001618       .51      .55
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Univ of NC-Chap Hill     914713KT8 08/14/91 02/15/12     16.000     0.000    9.1409   829.32     0.242816                                                10.68         
Univ of NC-Chap Hill     914713KU5 08/14/91 02/15/13     14.000     0.000    9.3557   762.65     0.226574   0.237173   0.248268                          86.42    10.92
Univ of NC-Chap Hill     914713KV3 08/14/91 02/15/14     13.000     0.000    9.2751   695.12     0.205390   0.214915   0.224882   0.235311  0.246224     78.31    85.74
Univ of NC-Chap Hill     914713KW1 08/14/91 02/15/15     12.000     0.000    9.2278   634.67     0.186927   0.195552   0.204574   0.214013  0.223888     71.25    77.97
Uruguay, Republic        917288AT9 05/29/03 03/25/14     76.000     7.875   11.8705   163.68     0.083190   0.088128   0.093358   0.098900  0.104770     31.81    35.70
Uruguay, Republic        917288AU6 05/29/03 05/04/14     73.000     7.250   11.6875   181.43     0.092792   0.098214   0.103954   0.110029  0.116459     35.02    39.23
Uruguay, Republic        917288AV4 05/29/03 06/22/15     76.000     8.750   12.6875   132.07     0.071111   0.075623   0.080420   0.085522  0.090947     26.50    29.96
Uruguay, Republic        917288AX0 05/29/03 01/20/17     73.000     7.625   11.6165   120.63     0.059584   0.063044   0.066706   0.070581  0.074680     23.22    26.00
Uruguay, Republic        917288AZ5 05/29/03 03/15/15     71.500     7.500   12.0979   165.86     0.084668   0.089789   0.095220   0.100980  0.107089     32.52    36.57
Uruguay, Republic        917288BA9 05/29/03 01/15/33    100.000     7.875    N/A                 0.133835   0.134491   0.135187   0.135928  0.136714     48.52    49.05
Utah ST Charter SCH FIN  91754TCN1 12/21/10 07/15/15     98.130     8.000    8.5025     3.62     0.010005   0.010431   0.010874   0.011336  0.011818      3.82     4.15
Utah Charter School      91754TDG5 05/10/11 05/15/14     97.408     8.000    9.0009     4.98     0.022311   0.023315   0.024364   0.025461  0.026607      8.31     9.07
Ventas Realty LP         92276MAU9 04/13/09 06/01/16*    84.250     6.500    9.5994    48.05     0.056459                                                 3.73*        
Vermilion & Edg Cntys IL 923439CR2 07/07/04 12/01/12    102.910    VARIES    6.0085              0.167528   0.167221                                     55.23         
Vermilion & Edg Cntys IL 923439CS0 07/07/04 12/01/13    103.470    VARIES    6.1103              0.171116   0.170786   0.170445   0.170093               61.52    56.18
Vermilion & Edg Cntys IL 923439CT8 07/07/04 12/01/14    103.682    VARIES    6.2118              0.174592   0.174277   0.173953   0.173618  0.173273     62.78    62.54
VeriSign, Inc.           92343EAC6 08/20/07 08/15/37    100.000    VARIES    8.5008              0.293543   0.302182   0.311189   0.320579  0.330368    109.63   116.33
VeriSign, Inc.           92343EAD4 08/20/07 08/15/37    100.000    VARIES    8.5008              0.293543   0.302182   0.311189   0.320579  0.330368    109.63   116.33
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              0.150483   0.150047                                     49.58         
Virgin Media Finance PLC 92769VAA7 06/03/09 08/15/16*    95.574     9.500   10.3878    12.32     0.014864   0.015636   0.016448                           5.18*        
Viginia Pub School Auth  92817SPA0 11/13/09 09/15/26     90.643     6.050    7.0049     6.78     0.009444   0.009775   0.010117   0.010472  0.010839      3.53     3.78
WMG Acquisition Corp.    92933BAA2 05/28/09 06/15/16     96.289     9.500   10.2522    10.74     0.013325   0.014009   0.014727   0.015482  0.016275      4.94     5.46
Wachovia Corporation     929903664 07/03/06 04/30/12    100.000     0.000    5.7522              0.216171                                                25.72         
Wachovia Corporation     929903BB7 02/09/06 02/15/12    100.000     0.000    4.8130              0.173806                                                 7.65         
Wachovia Corporation     929903BC5 02/09/06 02/15/12    100.000     2.000    4.8189              0.157386                                                 6.92         
Walter Industries, Inc.  93317QAB1 04/20/04 05/01/24    100.000    VARIES    7.7498              0.301151   0.308245   0.315615   0.323270  0.331168    110.56   115.93
Walter Industries, Inc.  93317QAC9 04/20/04 05/01/24    100.000    VARIES    7.7498              0.301151   0.308245   0.315615   0.323270  0.331168    110.56   115.93
Wells Fargo & Company    949746FW6 05/25/04 10/25/12    100.000     2.350    5.3000              0.186069   0.189270                                     55.28         
Wells Fargo & Company    94986RBC4 11/05/10 05/06/16    100.000     0.000    1.7322              0.048957   0.049381   0.049808   0.050240  0.050675     17.75    18.06
Wells Fargo & Company    94986RBH3 11/05/10 11/05/17    100.000    VARIES    2.5030              0.070485   0.070910   0.071340   0.071631  0.071925     25.50    25.77
Wells Fargo & Company    94986RBP5 12/07/10 12/07/16    100.000     0.000    2.2309              0.063360   0.064067   0.064781   0.065504  0.066235     22.97    23.49
Wells Fargo & Company    94986RBQ3 12/07/10 06/07/17    100.000     0.000    2.4501              0.069738   0.070593   0.071457   0.072333  0.073219     25.30    25.92
Wells Fargo & Company    94986RBY6 01/05/11 01/06/17    100.000     0.000    2.6501              0.074596   0.075584   0.076586   0.077601  0.078629     27.38    28.11
Wells Fargo & Company    94986RBZ3 01/05/11 07/07/17    100.000     0.000    2.7699              0.078021   0.079102   0.080197   0.081308  0.082434     28.66    29.46
Wells Fargo & Company    94986RCG4 02/07/11 02/07/17    100.000     1.250    2.5699              0.071858   0.072335   0.072819   0.073308  0.073804     26.09    26.44
Wells Fargo & Company    94986RCP4 02/07/11 02/07/18    100.000     1.500    2.9500              0.082539   0.083142   0.083753   0.084374  0.085004     30.00    30.44
Wells Fargo & Company    94986RCW9 03/07/11 03/07/17    100.000     1.250    2.5500              0.071294   0.071760   0.072233   0.072711  0.073195     25.86    26.20
Wells Fargo & Company    94986RDD0 03/31/11 03/31/21    100.000    VARIES    4.1708              0.115957   0.116058   0.116161   0.116266  0.116273     41.78    41.85
Wells Fargo & Company    94986RDL2 04/29/11 04/30/21    100.000    VARIES    4.3018              0.119678   0.119862   0.120050   0.120242  0.120267     43.14    43.27
Wells Fargo & Company    94986RDU2 06/07/11 06/07/17    100.000     0.000    2.3099              0.064907   0.065656   0.066415   0.067182  0.067958     23.54    24.08
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES    4.1140              0.114627   0.114985   0.115351   0.115724  0.115915     41.35    41.61
Wells Fargo & Company    94986RDX6 07/06/11 01/08/18    100.000     0.000    1.9900              0.055285   0.055835   0.056391   0.056952  0.057519     20.19    20.60
Wells Fargo & Company    94986REQ0 08/05/11 02/07/18    100.000     0.000    2.4202              0.067239   0.068053   0.068876   0.069710  0.070553     24.59    25.19
Wells Fargo & Company    94986RFA4 09/08/11 03/07/18    100.000     0.000    2.2999              0.063889   0.064620   0.065363   0.066114  0.066875     23.30    23.84
Wells Fargo & Company    94986RFL0 10/05/11 10/05/18    100.000     0.000    2.4700              0.068611   0.069459   0.070317   0.071185  0.072064     25.00    25.62
Wells Fargo & Company    94986RFS5 10/05/11 04/06/18    100.000     0.000    2.3000              0.063894   0.064629   0.065372   0.066124  0.066884     23.26    23.80
Wells Fargo & Company    94986RFX4 11/08/11 05/07/18    100.000     0.000    2.3199              0.064444   0.065187   0.065944   0.066708  0.067482     23.41    23.96
Wells Fargo & Company    94986RGE5 12/07/11 06/07/18    100.000     0.000    2.3299              0.064722   0.065476   0.066238   0.067010  0.067791     23.47    24.02
Wells Fargo & Company    94986RGS4 01/04/12 07/06/18    100.000     0.000    2.3699              0.065831   0.065840   0.066620   0.067409  0.068208     23.64    24.40
Wells Fargo & Company    94986RHA2 02/07/12 08/07/18    100.000     0.000    2.0501                         0.056948   0.057532   0.058121  0.058717     18.54    20.99
Wells Fargo & Company    94986RHB0 01/27/12 01/27/17    100.000    VARIES    1.6991              0.001568   0.016086   0.015562   0.015034  0.015161      5.29     5.45
Wells Fargo & Company    94986RHC8 01/27/12 01/28/19    100.000    VARIES    1.7471              0.016336   0.016334   0.015999   0.015661  0.015319      5.40     5.59
Wells Fargo & Company    94986RHG9 03/07/12 09/10/18    100.000     0.000    1.9799              0.054997   0.055007   0.055551   0.056101  0.056656     16.23    20.22
Wells Fargo & Company    94986RHH7 02/15/12 02/15/17    100.000    VARIES    1.4532                         0.011035   0.010726   0.010414  0.010490      3.45     3.77
Wells Fargo & Company    94986RHM6 03/07/12 09/08/16    100.000     0.000    1.0799              0.029997   0.029998   0.030160   0.030323  0.030487      8.84    10.92
Wells Fargo & Company    94986RHQ7 03/05/12 03/05/19    100.000    VARIES    1.4012                         0.011090   0.011086   0.010719  0.010706      3.35     3.93
Wells Fargo & Company    94986RHR5 03/07/12 09/10/18    100.000     0.000    2.1000              0.058333   0.058344   0.058956   0.059575  0.060201     17.22    21.47
Wells Fargo & Company    94986RHX2 04/04/12 10/05/18    100.000     0.000    1.9801              0.055003   0.055006   0.055551   0.056101  0.056656     14.73    20.19
Wells Fargo & Company    94986RHY0 04/04/12 10/07/16    100.000     0.000    1.1500              0.031946   0.031949   0.032133   0.032318  0.032503      8.55    11.63
Wells Fargo & Company    94986RHZ7 03/21/12 03/21/19    100.000    VARIES    1.3789                         0.011249   0.011064   0.010878  0.010691      3.13     3.91
Wells Fargo & Company    94986RJK8 04/24/12 04/24/19    100.000    VARIES    1.3828                         0.011579   0.011388   0.011196  0.011002      2.85     4.04
Wells Fargo & Company    94986RJR3 06/07/12 12/07/18    100.000     0.000    1.9898                         0.055274   0.055824   0.056379  0.056940     11.29    20.22
Wells Fargo & Company    94986RJW2 05/29/12 05/29/19    100.000     0.000    2.2699                         0.063055   0.063771   0.064494  0.065226     13.39    23.13
Wells Fargo & Company    94986RKE0 07/05/12 07/08/19    100.000     0.000    1.8098                         0.050274   0.050282   0.050737  0.051196      8.85    18.34
Wells Fargo & Company    94986RKN0 08/07/12 08/07/19    100.000     0.000    1.6999                                    0.047221   0.047622  0.048027      6.80    17.19
Wells Fargo & Company    94986RKY6 08/17/12 08/19/19    100.000    VARIES    1.2319                         0.008200   0.008198   0.008078  0.007956      1.10     2.90
Wells Fargo & Company    94986RLH2 09/21/12 09/23/19    100.000    VARIES    1.1737                         0.008186   0.008185   0.008070  0.007954       .82     2.90
Wells Fargo & Company    94986RLK5 10/03/12 10/07/19    100.000     0.000    1.5699                         0.043610   0.043618   0.043960  0.044305      3.84    15.82
Wells Fargo & Company    94986RLM1 10/03/12 10/07/19    100.000     0.000    1.7300                         0.048057   0.048066   0.048482  0.048901      4.23    17.45
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES    1.2945                                    0.012095   0.011801  0.011505      1.06     4.25
Wells Fargo & Company    94986RLU3 11/07/12 11/07/19    100.000     0.000    1.7201                                    0.047782   0.048193  0.048608      2.58    17.32
Wells Fargo & Company    94986RLV1 10/19/12 10/19/20    100.000    VARIES    1.1744                                    0.009707   0.009544  0.009380       .70     3.44
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES    1.1530                                    0.009446   0.009154  0.008861       .51     3.32
Wells Fargo & Company    94986RMD0 11/16/12 11/16/20    100.000    VARIES    1.0417                                    0.007809   0.007536  0.007262       .35     2.74
Wells Fargo & Company    94986RMF5 12/07/12 12/06/19    100.000     0.000    1.6200                                    0.045001   0.045363  0.045731      1.08    16.28
Wendy's Restaurants, LLC 95058TAA5 06/23/09 07/15/16*    97.533    10.000   10.5034     6.86     0.008382   0.008822                                      1.71*        
Wendy's Restaurants, LLC 95058TAB3 06/23/09 07/15/16*    97.533    10.000   10.5034     6.86     0.008382   0.008822                                      1.71*        
Wesco International,Inc. 95082PAF2 11/02/06 11/15/26*   100.000    VARIES    N/A                 0.306355                                                  .61*        
Wesco International,Inc. 95082PAG0 11/02/06 11/15/26*   100.000    VARIES    N/A                 0.306355                                                  .61*        
Wesco International,Inc. 95082PAH8 08/27/09 09/15/29    100.000    VARIES   13.8738              0.454670   0.474648   0.496013   0.518859  0.543290    171.66   187.69
Westmoreland Coal Co.    960887AA5 02/04/11 02/01/18     95.000    10.750   11.8206     4.47     0.014098   0.014931   0.015814   0.016749  0.017738      5.48     6.15
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Westmoreland Coal Co.    960887AB3 02/04/11 02/01/18     95.000    10.750   11.8206     4.47     0.014098   0.014931   0.015814   0.016749  0.017738      5.48     6.15
White CNTYS SD #533, IL  963806DF8 08/04/10 12/01/14    109.473    VARIES    3.1287              0.092768   0.091829   0.090876   0.089907  0.088924     33.17    32.48
White CNTYS SD #533, IL  963806DG6 08/04/10 12/01/15    108.920    VARIES    3.6292              0.107775   0.106959   0.106127   0.105281  0.104419     38.60    38.00
White CNTYS SD #533, IL  963806DH4 08/04/10 12/01/16    108.932    VARIES    3.8808              0.115665   0.114945   0.114211   0.113462  0.112699     41.47    40.94
White CNTYS SD #533, IL  963806DJ0 08/04/10 12/01/17    108.163    VARIES    4.1816              0.124210   0.123613   0.123003   0.122381  0.121745     44.57    44.13
White CNTYS SD #533, IL  963806DK7 08/04/10 12/01/18    105.851    VARIES    4.6311              0.135261   0.134855   0.134440   0.134016  0.133581     48.60    48.30
White CNTYS SD #533, IL  963806DL5 08/04/10 12/01/19    102.631    VARIES    4.8822              0.138888   0.138718   0.138545   0.138367  0.138184     49.96    49.83
Whiteside CNTY SD #14,IL 965790AP3 06/16/11 12/01/12    104.497     0.000    2.4338              0.071435   0.072305                                     23.73         
Whiteside CNTY SD #14,IL 965790AQ1 06/16/11 12/01/13*   106.721    VARIES    2.7060              0.081216   0.082315   0.077227                          27.15*        
Wild Oats Markets, Inc.  96808BAA5 05/25/04 05/15/34    100.000    VARIES    8.2511              0.347409   0.360950   0.375051   0.389732  0.405020    128.78   139.04
Wild Oats Markets, Inc.  96808BAB3 05/25/04 05/15/34    100.000    VARIES    8.2511              0.347409   0.360950   0.375051   0.389732  0.405020    128.78   139.04
Will & Kankakee IL 207-U 968631ML2 06/23/10 10/01/12    100.833    VARIES    2.8790              0.080263   0.080119                                     21.65         
Will County SD #88, IL   968794ED5 03/03/09 10/01/28     93.191     5.500    N/A                 0.012198   0.012587   0.012169   0.012557  0.012138      4.46     4.45
Will County SD #122, IL  968852FG3 11/19/97 11/01/16     23.888     0.000    7.6998   455.31     0.146594   0.152238   0.158099   0.164186  0.170507     54.48    58.76
Will County SD #122, IL  968852FH1 11/19/97 11/01/17     22.150     0.000    7.6997   422.17     0.135926   0.141159   0.146593   0.152237  0.158098     50.52    54.48
Will County SD #122, IL  968852TN3 03/15/07 10/01/25     34.635     0.000    5.7999   109.29     0.072359   0.074458   0.076617   0.078839  0.081125     26.81    28.39
Will County SD #122, IL  968852TP8 03/15/07 10/01/26     32.402     0.000    5.8498   103.24     0.068427   0.070428   0.072488   0.074608  0.076790     25.36    26.86
Will County SD #122, IL  968852WL3 04/02/09 10/01/23     92.349     5.250    6.0500     9.92     0.010869   0.011198   0.011537   0.011886  0.012245      4.03     4.28
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000    7.3750    53.68     0.059808   0.062014   0.064300   0.066672  0.069130     22.33    24.01
Will County SD #365, IL  969078QM9 03/17/09 11/01/27     23.731     0.000    7.8743    57.13     0.063569   0.066071   0.068673   0.071377  0.074187     23.64    25.54
Will County SD #365, IL  969078QN7 03/17/09 11/01/28     21.864     0.000    7.8992    52.81     0.058790   0.061112   0.063526   0.066035  0.068643     21.87    23.63
Woodford CNTY SD #60, IL 979319AX8 07/02/10 12/01/12    105.490    VARIES    2.3712              0.067407   0.066642                                     22.11         
Woodford CNTY SD #60, IL 979319AY6 07/02/10 12/01/13    106.305    VARIES    2.8744              0.082890   0.082145   0.081390   0.080623               29.66    26.72
Woodford CNTY SD #60, IL 979319AZ3 07/02/10 12/01/14    106.517    VARIES    3.3754              0.098074   0.097386   0.096685   0.095973  0.095248     35.14    34.64
Woodford CNTY SD #60, IL 979319BA7 07/02/10 12/01/15    107.046    VARIES    3.7759              0.110577   0.109912   0.109233   0.108542  0.107838     39.65    39.16
Woodford CNTY SD #60, IL 979319BB5 07/02/10 12/01/16    105.573    VARIES    4.2263              0.122765   0.122278   0.121780   0.121272  0.120753     44.08    43.72
Woodford CNTY SD #60, IL 979319BC3 07/02/10 12/01/17    104.694    VARIES    4.4776              0.129384   0.129016   0.128640   0.128255  0.127861     46.49    46.22
Wynn Las Vegas, LLC      983130AL9 10/19/09 11/01/17     97.823     7.875    8.2509     4.64     0.006430   0.006695   0.006971   0.007259  0.007558      2.39     2.60
Wynn Las Vegas, LLC      983130AN5 10/19/09 11/01/17     97.823     7.875    8.2509     4.64     0.006430   0.006695   0.006971   0.007259  0.007558      2.39     2.60
Xilinx, Inc.             983919AC5 03/05/07 03/15/37    100.000    VARIES    7.2004              0.242756   0.248371   0.254187   0.260213  0.266456     89.61    93.89
Xilinx, Inc.             983919AD3 03/05/07 03/15/37    100.000    VARIES    7.2004              0.242756   0.248371   0.254187   0.260213  0.266456     89.61    93.89
York County, PA          986812LX1 12/28/95 02/01/12     33.049     0.000    6.9995   663.87     0.187859                                                 5.64         
York County, PA          986812LY9 12/28/95 02/01/13     30.649     0.000    7.0395   621.38     0.176267   0.182471   0.188893                          66.47     5.67
York County, PA          986812LZ6 12/28/95 02/01/14     28.302     0.000    7.0994   581.78     0.165645   0.171525   0.177614   0.183919  0.190448     62.49    67.00
York County, PA          986812MA0 12/28/95 02/01/15     26.297     0.000    7.1196   543.07     0.154816   0.160327   0.166035   0.171945  0.178066     58.41    62.64
York County, PA          986812MB8 12/28/95 02/01/16     24.378     0.000    7.1496   506.91     0.144775   0.149950   0.155310   0.160863  0.166613     54.63    58.61
York County, PA          986812MC6 12/28/95 02/01/17     22.586     0.000    7.1795   472.88     0.135304   0.140161   0.145192   0.150404  0.155804     51.07    54.80
York County, PA          986812MD4 12/28/95 02/01/18     20.780     0.000    7.2396   441.06     0.126665   0.131250   0.136001   0.140924  0.146025     47.83    51.35
York County, PA          986812ME2 12/28/95 02/01/19     19.353     0.000    7.2397   410.78     0.117971   0.122241   0.126666   0.131251  0.136002     44.54    47.83
York County, PA          986812MF9 12/28/95 02/01/20     18.025     0.000    7.2396   382.58     0.109872   0.113849   0.117970   0.122240  0.126665     41.48    44.54
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000    7.2397   356.32     0.102330   0.106034   0.109873   0.113850  0.117971     38.64    41.48
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000    7.2396   331.86     0.095305   0.098755   0.102330   0.106034  0.109872     35.98    38.64
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000    7.2398   309.08     0.088763   0.091976   0.095306   0.098755  0.102330     33.51    35.98
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000    7.2396   287.86     0.082669   0.085662   0.088763   0.091976  0.095305     31.21    33.51
York County, PA          986812QD0 12/28/95 02/01/20     18.025     0.000    7.2396   382.58     0.109872   0.113849   0.117970   0.122240  0.126665     41.48    44.54
York County, PA          986812RC1 12/28/95 02/01/20     18.025     0.000    7.2396   382.58     0.109872   0.113849   0.117970   0.122240  0.126665     41.48    44.54
Zions Bancorporation     989701AX5 09/23/09 09/23/14     86.888     7.750   11.2499    50.91     0.070010   0.073948   0.078108   0.082501  0.087142     26.71    29.80
Zions Bancorporation     989701BB2 03/27/12 03/27/17     94.250     4.500    5.8427                         0.027966   0.028783   0.029624  0.030490      7.74    10.67
Zions Bancorporation     989701BC0 06/20/12 06/20/16     97.500     4.000    4.6927                         0.015985   0.016360   0.016744  0.017137      3.06     5.97
Quebecor Media, Inc.     C7603NAD4 10/05/07 03/15/16     93.750     7.750    8.8148    25.76     0.020063   0.020948   0.021871   0.022835  0.023841      7.57     8.26
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000    2.6249   171.09     0.055450   0.056178   0.056915   0.057662  0.058419     20.20    20.74
UBS AG                   G9183D526 01/31/06 01/31/12    100.000     0.000    4.8995              0.173751                                                 5.21         
Bumble Bee Holdco S.C.A. L13008AA2 03/10/11 03/15/18     98.138     9.625    N/A                 0.272895   0.273172   0.273463   0.273768  0.274088     98.35    98.57
STMicroelectronics N.V.  N8357EAF3 02/23/06 02/23/16*   100.000     0.000    N/A                 0.045235   0.045574                                      5.86*        
Transportadora Gas Norte P93081AL4 08/22/12 08/22/19     25.000    VARIES    N/A                            0.208187   0.230551   0.265110  0.304848     27.09    89.29
ACL I Corporation        U00461AA8 02/15/11 02/15/16     98.250    VARIES    N/A                 0.308558   0.308463   0.308076   0.308807  0.309580    111.00   111.24
Alliance One Intl, Inc.  U0187PAE6 07/02/09 07/15/16     95.177    10.000   11.0023    13.16     0.016299   0.017196   0.018142   0.019140  0.020193      6.33     7.05
Alliance One Intl, Inc.  U0187PAF3 07/02/09 07/15/16     95.177    10.000   11.0023    13.16     0.016299   0.017196   0.018142   0.019140  0.020193      6.33     7.05
American Renal Holdings  U02940AA9 03/04/11 03/01/16     98.000    10.500    N/A                 0.284816   0.284768   0.284719   0.285446  0.286210    102.51   102.81
Apria Healthcare Group   U03846AB5 05/27/09 11/01/14     97.050    11.250   12.0051    11.82     0.014785   0.015672   0.016613   0.017610  0.018667      5.59     6.28
Ashland Inc.             U04428AB1 05/27/09 06/01/17     96.577     9.125    9.7504     8.39     0.010292   0.010794   0.011320   0.011872  0.012451      3.83     4.21
Bank of America Corp.    U0662KBL4 03/18/02 01/04/17     38.300     0.000    6.5924   339.64     0.128179   0.132404   0.136769   0.141277  0.145934     48.43    51.67
Cardinal Health 409, Inc U14147AA7 04/10/07 04/15/15    100.000     9.500    9.4999              0.259563   0.259563   0.260989   0.259563  0.260989     95.11    95.00
Crosstex Energy, L.P.    U19163AA9 02/10/10 02/15/18     97.907     8.875    9.2505     3.67     0.005796   0.006064   0.006344   0.006638  0.006945      2.21     2.42
Diamond Resorts Corp.    U2526PAA0 08/13/10 08/15/18     97.513    12.000   12.5004     2.78     0.005949   0.006321   0.006716   0.007136  0.007582      2.31     2.61
FelCor Lodging Limited   U31522AK8 10/01/09 10/01/14     87.750    10.000   13.4435    45.55     0.064741   0.069093   0.073737   0.078694  0.083984     24.90    28.36
Da-Lite Screen Co., Inc. U3194CAB6 03/24/10 04/01/15     97.305    12.500   13.2520     7.62     0.013332   0.014216   0.015158   0.016162  0.017233      5.12     5.82
First Data Corporation.  U3198DAA2 10/24/07 09/24/15     94.796     9.875   10.8718    22.14     0.018131   0.019117   0.020156   0.021251  0.022407      6.90     7.67
First Data Corporation.  U3198DAC8 12/17/10 01/15/21     94.750     8.250    9.0551     3.52     0.009643   0.010079   0.010536   0.011013  0.011511      3.70     4.04
First Data Corporation.  U3198DAG9 12/17/10 01/15/22     95.625    VARIES    N/A                 0.257264   0.256898   0.256533   0.256168  0.255804     92.43    92.17
First Data Corporation.  U3198DAH7 12/15/10 01/15/21     91.875    12.625   14.1624     4.21     0.011640   0.012464   0.013347   0.014292  0.015304      4.62     5.30
GWR Operating Partnershp U40382AA8 04/07/10 04/01/17     95.347    10.875   11.8737     8.34     0.014711   0.015585   0.016510   0.017490  0.018528      5.62     6.30
Graphic Packaging Intl   U41508AC3 06/16/09 06/15/17     97.292     9.500    9.9998     6.45     0.008118   0.008524   0.008950   0.009398  0.009868      3.01     3.32
Hornbeck Offshore SVCS   U44070AC1 08/17/09 09/01/17     97.123     8.000    8.5012     6.60     0.008449   0.008808   0.009182   0.009573  0.009980      3.19     3.47
Interface, Inc.          U45841AE0 06/05/09 11/01/13     96.301    11.375   12.4916    19.21     0.024342   0.025863   0.027478   0.029194                9.22     8.55
Interval Acquisiti Corp. U46077AA8 08/20/08 09/01/16     91.022     9.500   11.2256    28.43     0.027764   0.029322   0.030968   0.032706  0.034542     10.66    11.89
Hovnanian Enterprises    U48654AL8 10/20/09 10/15/16*    98.208    10.625   10.9992     4.28     0.006086   0.006420   0.006773                           1.90*        
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000   13.8062              0.203258   0.207702   0.212452   0.217530  0.222959     74.52    78.03
Hovnanian Enterpirses    U48654AN4 11/01/11 11/01/21     42.000     2.000   12.1926              0.142247   0.147532   0.153140   0.159089  0.165400     52.81    56.94
Lamar Media Corporation  U51260AD6 08/17/06 08/15/15*    92.809     6.625    7.7500    36.98     0.023056   0.023949   0.024877                           7.39*        
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31    100.000     3.500    N/A                 0.447524   0.462768   0.478599   0.495032  0.512079    169.01   180.81
Linear Technology Corp.  U53476AA2 04/24/07 05/01/27    100.000    VARIES    7.0000              0.234975   0.240282   0.245776   0.251461  0.257346     86.19    90.20
    -----------------------------                                                                                                                                      
    *  Called in 2012; 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     2012 1st   2012 2nd   2012 3rd   2013 2nd  2013 3rd    -------------- 
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/12      Period     Period    2013 1st    Period    Period      2012     2013 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Media General Inc.       U58292AA8 02/12/10 02/15/17     97.690    11.750   12.2505     4.47     0.007229   0.007672   0.008142   0.008641  0.009170      2.81     3.16
Michaels Stores, Inc.    U59329AE9 10/31/06 11/01/16*    50.110    VARIES    N/A                 0.377857   0.219934                                     84.93*        
Milagro Oil & Gas, Inc.  U6004KAA3 05/11/11 05/15/16     97.182    10.500   11.2509     2.81     0.012746   0.013463   0.014221   0.015021  0.015866      4.79     5.34
MTR Gaming Group, Inc.   U60753AD9 08/05/11 08/01/19     97.000    11.500    N/A                 0.325416   0.325816   0.326247   0.326702  0.327181    117.35   117.67
New Omaha Holdings Corp. U65169AA9 09/24/07 09/30/16    100.000    VARIES   11.4999              0.500575   0.529358   0.559796   0.591984  0.626023    190.78   213.35
Pioneer Drilling Company U72356AA3 03/11/10 03/15/18     95.750     9.875   10.6775     6.76     0.011338   0.011943   0.012581   0.013253  0.013960      4.32     4.80
Platinum Energy Solution U72633AA5 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution U72633AB3 03/03/11 03/01/15     96.764    14.250    N/A                 0.413245   0.414577   0.416011   0.417554  0.419216    149.34   150.43
Platinum Energy Solution U72633AC1 09/01/11 03/01/15     95.000    14.250   16.1765     3.73     0.031047   0.033558   0.036273   0.039207  0.042378     12.26    14.32
Ply Gem Industries, Inc. U7264EAE2 01/11/10 07/15/14*    97.139    13.125   14.0016    10.41     0.016226   0.017362   0.018577                           5.25*        
Ply Gem Industries, Inc. U7264EAG7 02/16/12 02/15/18     85.000     8.250   11.8108                         0.049701   0.052621   0.055728  0.059019     16.05    20.37
Pope & Talbot, Inc.      U7316MAA0 07/30/02 06/01/13     86.415     8.375   10.5037   108.52     0.050715   0.053379   0.056182                          18.90     8.43
Roche Holdings, Inc.     U75000AE6 01/19/00 01/19/15     66.386     0.000    2.7499   256.22     0.069424   0.070378   0.071346   0.072327  0.073322     25.48    26.18
Ryerson Holding Corp.    U75042AA6 01/29/10 02/01/15*    45.598     0.000    N/A                 0.259822   0.285520   0.314049                          82.43*        
Rotech Healthcare, Inc.  U77790AB6 10/06/10 10/15/15     97.189    10.750   11.5019     5.54     0.013355   0.014123   0.014935   0.015794  0.016702      5.07     5.67
Rotech Healthcare, Inc.  U77790AC4 03/17/11 03/15/18     98.197    10.500   10.8747     1.44     0.005230   0.005514   0.005814   0.006130  0.006464      2.00     2.22
Symbion, Inc.            U78644AB4 06/14/11 06/15/16     98.492     8.000    8.3751     1.37     0.007204   0.007505   0.007820   0.008147  0.008488      2.66     2.88
The Service Master, Co.  U8151CAA8 07/24/08 07/15/15*    97.266    10.750   11.3274              0.308934   0.309518   0.310136                          77.10*        
Tabletop Holdings, Inc.  U81965AA0 11/12/03 05/15/14     55.131    VARIES   12.2495              0.340269   0.340268   0.340268   0.340267  0.340267    122.50   122.50
Sinclair Broadcast Group U82751AE5 05/20/03 07/15/18    100.000    VARIES    9.2480              0.393021   0.407992   0.423654   0.439967  0.457035    149.27   160.99
Solo Cup Company         U83440AA2 07/02/09 11/01/13*    97.928    10.500   11.1154    10.77     0.013769   0.014534                                      1.94*        
Spirit Aerosystems, Inc. U84591AA1 09/30/09 10/01/17     97.804     7.500    7.8750     4.88     0.006555   0.006813   0.007081   0.007360  0.007650      2.45     2.65
Sabine Pass LNG, LP      U8596QAC6 09/15/08 11/30/16     79.000     7.500   11.5231    62.24     0.063825   0.067502   0.071391   0.075504  0.079855     23.87    26.70
Tenet Healthcare Corp.   U88030AF5 06/15/09 07/01/19     95.229     8.875    9.6265     8.21     0.010314   0.010810   0.011330   0.011876                3.80     4.18
Tenet Healthcare Corp.   U88030AG3 03/03/09 05/01/15*    89.500     9.000   11.4189    39.51     0.045554   0.048155                                      5.51*        
Tenet Healthcare Corp.   U88030AH1 03/03/09 05/01/18     89.500    10.000   11.9135    21.59     0.025053   0.026546   0.028127   0.029802  0.031577      9.47    10.63
Unisys Corporation       U90921AC8 07/31/09 10/15/14*    83.461    12.750   17.7426    59.37     0.081916   0.089183                                     22.69*        
Unisys Corporation       U90921AD6 07/31/09 09/15/15*    80.450    14.250   19.9112    52.11     0.072790                                                 4.44*        
United Refining Co.      U9112YAF5 03/08/11 02/28/18     96.444    10.500   11.2489     2.91     0.010102   0.010555   0.011333   0.011775  0.012644      3.93     4.38
Wendy's Restaurants, LLC U95238AA6 06/23/09 07/15/16*    97.533    10.000   10.5034     6.86     0.008382   0.008822                                      1.71*        
Westmoreland Coal Co.    U96068AA6 02/04/11 02/01/18     95.000    10.750   11.8206     4.47     0.014098   0.014931   0.015814   0.016749  0.017738      5.48     6.15
WMG Acquisition Corp.    U97128AA7 05/28/09 06/15/16     96.289     9.500   10.2522    10.74     0.013325   0.014009   0.014727   0.015482  0.016275      4.94     5.46
Wynn Las Vegas, LLC      U98347AE4 10/19/09 11/01/17     97.823     7.875    8.2509     4.64     0.006430   0.006695   0.006971   0.007259  0.007558      2.39     2.60
    -----------------------------                                                                                                                                      
    *  Called in 2012; reportable OID is computed to call date.                                                                                                        








SECTION I-C Inflation Indexed Debt Instruments





                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2012 1st   2012 2nd   2012 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/12     Period     Period     Period         2012
______________       _________   ________  _________    ___________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98  04/15/28      100.000       3.625%     399.91     0.041792   0.086122   0.129774       30.27
U.S. Treasury        912810FH6   04/15/99  04/15/29      100.000       3.875%     377.31     0.041117   0.084732   0.127680       29.78
U.S. Treasury        912810FQ6   10/15/01  04/15/32      100.000       3.375%     275.61     0.038081   0.078475   0.118252       27.58
U.S. Treasury        9128277J5   01/15/02  01/15/12      100.000       3.375%     275.15    -0.034699                             -0.49
U.S. Treasury        912828AF7   07/15/02  07/15/12      100.000       3.000%     259.29    -0.034267   0.110878                  19.70
U.S. Treasury        912828BD1   07/15/03  07/15/13      100.000       1.875%     232.80    -0.033546   0.108545   0.043363       26.66
U.S. Treasury        912828BW9   01/15/04  01/15/14      100.000       2.000%     225.39    -0.033345   0.107893   0.043103       26.50
U.S. Treasury        912810FR4   07/15/04  01/15/25      100.000       2.375%     201.19    -0.032686   0.105762   0.042252       25.97
U.S. Treasury        912828CP3   07/15/04  07/15/14      100.000       2.000%     201.19    -0.032686   0.105762   0.042252       25.97
U.S. Treasury        912828DH0   01/15/05  01/15/15      100.000       1.625%     185.79    -0.032267   0.104406   0.041710       25.64
U.S. Treasury        912828EA4   07/15/05  07/15/15      100.000       1.875%     164.06    -0.031676   0.102493   0.040946       25.17
U.S. Treasury        912810FS2   01/15/06  01/15/26      100.000       2.000%     140.79    -0.031043   0.100444   0.040127       24.67
U.S. Treasury        912828ET3   01/15/06  01/15/16      100.000       2.000%     140.79    -0.031043   0.100444   0.040127       24.67
U.S. Treasury        912828FL9   07/15/06  07/15/16      100.000       2.500%     121.16    -0.030509   0.098716   0.039437       24.24
U.S. Treasury        912810PS1   01/15/07  01/15/27      100.000       2.375%     122.76    -0.030552   0.098856   0.039493       24.28
U.S. Treasury        912828GD6   01/15/07  01/15/17      100.000       2.375%     122.76    -0.030552   0.098856   0.039493       24.28
U.S. Treasury        912828GN4   04/15/07  04/15/12      100.000       2.000%     115.81     0.033310                              3.50
U.S. Treasury        912828GX2   07/15/07  07/15/17      100.000       2.625%      92.47    -0.029728   0.096189   0.038427       23.62
U.S. Treasury        912828JE1   07/15/08  07/15/18      100.000       0.375%      50.00    -0.028572   0.092450   0.036933       22.70
U.S. Treasury        912828HN3   01/15/08  01/15/18      100.000       1.625%      80.79    -0.029410   0.095161   0.038017       23.37
U.S. Treasury        912810PV4   01/15/08  01/15/28      100.000       1.750%      80.79    -0.029410   0.095161   0.038017       23.37
U.S. Treasury        912828HW3   04/15/08  04/15/13      100.000       0.625%      71.23     0.031979   0.065902   0.099305       23.16
U.S. Treasury        912810PZ5   01/15/09  01/15/29      100.000       2.500%      54.59    -0.028697   0.092855   0.037095       22.80
U.S. Treasury        912828JX9   01/15/09  01/15/19      100.000       2.125%      54.59    -0.028697   0.092855   0.037095       22.80
U.S. Treasury        912828KM1   04/15/09  04/15/14      100.000       1.250%      69.88     0.031939   0.065818   0.099180       23.13
U.S. Treasury        912828LA6   07/15/09  07/15/19      100.000       1.875%      60.43    -0.028856   0.093368   0.037300       22.93
U.S. Treasury        912828MF4   01/15/10  01/15/20      100.000       1.375%      47.05    -0.028492   0.092191   0.036830       22.64
U.S. Treasury        912810QF8   02/15/10  02/15/40      100.000       2.125%      47.57    -0.047334   0.094114   0.055060       22.65
U.S. Treasury        912828MY3   04/15/10  04/15/15      100.000       0.500%      44.80     0.031191   0.064276   0.096855       22.59
U.S. Treasury        912828NM8   07/15/10  07/15/20      100.000       1.250%      38.22    -0.028252   0.091413   0.036519       22.45
U.S. Treasury        912828PP9   01/15/11  01/15/21      100.000       1.125%      35.06    -0.028166   0.091134   0.036408       22.38
U.S. Treasury        912810QP6   02/15/11  02/15/41      100.000       2.125%      33.93    -0.046717   0.092888   0.054343       22.36
U.S. Treasury        912828QD5   04/15/11  04/15/16      100.000       0.125%      25.78     0.030623   0.063106   0.095092       22.18
U.S. Treasury        912828QV5   07/15/11  07/15/21      100.000       0.625%       4.60    -0.027337   0.088453   0.035337       21.72
U.S. Treasury        912828SA9   01/15/12  01/15/22      100.000       0.125%                           0.088081   0.035188       22.01
U.S. Treasury        912810QV3   02/15/12  02/15/42      100.000       0.750%                           0.090023   0.052667       23.70
U.S. Treasury        912828SQ4   04/15/12  04/15/17      100.000       0.125%                           0.061328   0.092412       18.43
U.S. Treasury        912828TE0   07/15/12  07/15/22      100.000       0.125%                                      0.034633        5.89

                                    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 2012).
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/12    03/31/12      0.05            01/01/23    03/31/23      16.82
     04/01/12    06/30/12      0.30            04/01/23    06/30/23      16.94
     07/01/12    09/30/12      0.67            07/01/23    09/30/23      16.97
     10/01/12    12/31/12      1.20            10/01/23    12/31/23      17.08
     01/01/13    03/31/13      1.50            01/01/24    03/31/24      17.11
     04/01/13    06/30/13      1.80            04/01/24    06/30/24      17.14
     07/01/13    09/30/13      2.19            07/01/24    09/30/24      17.23
     10/01/13    12/31/13      2.49            10/01/24    12/31/24      17.25
     01/01/14    03/31/14      2.79            01/01/25    03/31/25      17.26
     04/01/14    06/30/14      2.98            04/01/25    06/30/25      17.28
     07/01/14    09/30/14      3.28            07/01/25    09/30/25      17.29
     10/01/14    12/31/14      3.57            10/01/25    12/31/25      17.24
     01/01/15    03/31/15      4.06            01/01/26    03/31/26      17.25
     04/01/15    06/30/15      4.55            04/01/26    06/30/26      17.25
     07/01/15    09/30/15      5.13            07/01/26    09/30/26      17.20
     10/01/15    12/31/15      5.70            10/01/26    12/31/26      17.14
     01/01/16    03/31/16      6.27            01/01/27    03/31/27      17.14
     04/01/16    06/30/16      6.84            04/01/27    06/30/27      17.08
     07/01/16    09/30/16      7.49            07/01/27    09/30/27      17.08
     10/01/16    12/31/16      8.05            10/01/27    12/31/27      17.01
     01/01/17    03/31/17      8.59            01/01/28    03/31/28      17.00
     04/01/17    06/30/17      9.23            04/01/28    06/30/28      16.94
     07/01/17    09/30/17      9.76            07/01/28    09/30/28      16.87
     10/01/17    12/31/17     10.38            10/01/28    12/31/28      16.86
     01/01/18    03/31/18     10.98            01/01/29    03/31/29      16.79
     04/01/18    06/30/18     11.49            04/01/29    06/30/29      16.72
     07/01/18    09/30/18     11.98            07/01/29    09/30/29      16.65
     10/01/18    12/31/18     12.56            10/01/29    12/31/29      16.58
     01/01/19    03/31/19     12.95            01/01/30    03/31/30      16.51
     04/01/19    06/30/19     13.41            04/01/30    06/30/30      16.44
     07/01/19    09/30/19     13.87            07/01/30    09/30/30      16.37
     10/01/19    12/31/19     14.23            10/01/30    12/31/30      16.30
     01/01/20    03/31/20     14.58            01/01/31    03/31/31      16.22
     04/01/20    06/30/20     14.84            04/01/31    06/30/31      16.15
     07/01/20    09/30/20     15.18            07/01/31    09/30/31      16.08
     10/01/20    12/31/20     15.43            10/01/31    12/31/31      16.00
     01/01/21    03/31/21     15.66            01/01/32    03/31/32      15.89
     04/01/21    06/30/21     15.82            04/01/32    06/30/32      15.81
     07/01/21    09/30/21     16.04            07/01/32    09/30/32      15.74
     10/01/21    12/31/21     16.19            10/01/32    12/31/32      15.66
     01/01/22    03/31/22     16.32            01/01/33    03/31/33      15.58
     04/01/22    06/30/22     16.46            04/01/33    06/30/33      15.47
     07/01/22    09/30/22     16.58            07/01/33    09/30/33      15.39
     10/01/22    12/31/22     16.71            10/01/33    12/31/33      15.31





                                     (continued)
 
 
          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/34    03/31/34     15.23            07/01/43    09/30/43      11.77
     04/01/34    06/30/34     15.15            10/01/43    12/31/43      11.68
     07/01/34    09/30/34     15.07            01/01/44    03/31/44      11.59
     10/01/34    12/31/34     14.96            04/01/44    06/30/44      11.50
     01/01/35    03/31/35     14.88            07/01/44    09/30/44      11.41
     04/01/35    06/30/35     14.80            10/01/44    12/31/44      11.32
     07/01/35    09/30/35     14.72            01/01/45    03/31/45      11.23
     10/01/35    12/31/35     14.63            04/01/45    06/30/45      11.15
     01/01/36    03/31/36     14.53            07/01/45    09/30/45      11.06
     04/01/36    06/30/36     14.44            10/01/45    12/31/45      10.97
     07/01/36    09/30/36     14.36            01/01/46    03/31/46      10.89
     10/01/36    12/31/36     14.27            04/01/46    06/30/46      10.81
     01/01/37    03/31/37     14.19            07/01/46    09/30/46      10.72
     04/01/37    06/30/37     14.08            10/01/46    12/31/46      10.64
     07/01/37    09/30/37     14.00            01/01/47    03/31/47      10.56
     10/01/37    12/31/37     13.91            04/01/47    06/30/47      10.48
     01/01/38    03/31/38     13.82            07/01/47    09/30/47      10.40
     04/01/38    06/30/38     13.74            10/01/47    12/31/47      10.32
     07/01/38    09/30/38     13.63            01/01/48    03/31/48      10.24
     10/01/38    12/31/38     13.54            04/01/48    06/30/48      10.16
     01/01/39    03/31/39     13.46            07/01/48    09/30/48      10.09
     04/01/39    06/30/39     13.37            10/01/48    12/31/48      10.01
     07/01/39    09/30/39     13.28            01/01/49    03/31/49       9.93
     10/01/39    12/31/39     13.18            04/01/49    06/30/49       9.86
     01/01/40    03/31/40     13.09            07/01/49    09/30/49       9.78
     04/01/40    06/30/40     13.00            10/01/49    12/31/49       9.71
     07/01/40    09/30/40     12.90            01/01/50    03/31/50       9.64
     10/01/40    12/31/40     12.81            04/01/50    06/30/50       9.56
     01/01/41    03/31/41     12.71            07/01/50    09/30/50       9.49
     04/01/41    06/30/41     12.62            10/01/50    12/31/50       9.42
     07/01/41    09/30/41     12.53            01/01/51    03/31/51       9.35
     10/01/41    12/31/41     12.43            04/01/51    06/30/51       9.28
     01/01/42    03/31/42     12.33            07/01/51    09/30/51       9.21
     04/01/42    06/30/42     12.24            10/01/51    12/31/51       9.14
     07/01/42    09/30/42     12.14            01/01/52    03/31/52       9.07
     10/01/42    12/31/42     12.05            04/01/52    06/30/52       9.00
     01/01/43    03/31/43     11.95            07/01/52    09/30/52       8.93
     04/01/43    06/30/43     11.86            10/01/52    12/31/52       8.86



     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 2012,
    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 2012 - November 2013
                                                   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
9127955H0  04/12/12  10/13/11       99.977                 0.23
9127955J6  04/19/12  10/20/11       99.967                 0.33
9127955K3  04/26/12  10/27/11       99.970                 0.30
9127953N9  05/03/12  05/05/11       99.798                 2.02
9127955M9  05/10/12  11/10/11       99.982                 0.18
9127955N7  05/17/12  11/17/11       99.980                 0.20
9127955P2  05/24/12  11/25/11       99.975                 0.25
9127953S8  05/31/12  06/02/11       99.818                 1.82
9127955R8  06/07/12  12/08/11       99.975                 0.25
9127955S6  06/14/12  12/15/11       99.977                 0.23
9127955T4  06/21/12  12/22/11       99.980                 0.20
9127953W9  06/28/12  06/30/11       99.798                 2.02
9127955U1  07/05/12  01/05/12       99.972                 0.28
9127955W7  07/12/12  01/12/12       99.975                 0.25
9127955X5  07/19/12  01/19/12       99.970                 0.30
9127954B4  07/26/12  07/28/11       99.798                 2.02
9127955Y3  08/02/12  02/02/12       99.962                 0.38
9127956A4  08/09/12  02/09/12       99.949                 0.51
9127956B2  08/16/12  02/16/12       99.934                 0.66
912795Y96  08/23/12  08/25/11       99.899                 1.01
9127956C0  08/30/12  03/01/12       99.927                 0.73
9127956G1  09/06/12  03/08/12       99.934                 0.66
9127956H9  09/13/12  03/15/12       99.927                 0.73
912796CY3  09/17/12  08/30/12       99.994                 0.06
9127955C1  09/20/12  09/22/11       99.909                 0.91
9127956J5  09/27/12  03/29/12       99.924                 0.76
9127956K2  10/04/12  04/05/12       99.929                 0.71
9127956M8  10/11/12  04/12/12       99.924                 0.76
9127955G2  10/18/12  10/20/11       99.879                 1.21
9127956N6  10/25/12  04/26/12       99.934                 0.66
9127956P1  11/01/12  05/03/12       99.927                 0.73





                         Section III-A (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
9127956S5  11/08/12  05/10/12       99.927                 0.73
9127955L1  11/15/12  11/17/11       99.899                 1.01
9127956T3  11/23/12  05/24/12       99.929                 0.71
9127956U0  11/29/12  05/31/12       99.929                 0.71
9127956V8  12/06/12  06/07/12       99.934                 0.66
9127955Q0  12/13/12  12/15/11       99.889                 1.11
912796DN6  12/14/12  11/23/12       99.991                 0.09
912796DT3  12/17/12  12/06/12       99.995                 0.05
9127956X4  12/20/12  06/21/12       99.924                 0.76
9127956Y2  12/27/12  06/28/12       99.924                 0.76
912796DM8  12/31/12  11/15/12       99.976                 0.24




                                                   Discount to be
                                 Issue Price      Reported as 2013
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
9127956Z9  01/03/13  07/05/12       99.924                 0.76
9127955V9  01/10/13  01/12/12       99.894                 1.06
9127957B1  01/17/13  07/19/12       99.932                 0.68
9127957C9  01/24/13  07/26/12       99.929                 0.71
9127957D7  01/31/13  08/02/12       99.927                 0.73
9127955Z0  02/07/13  02/09/12       99.858                 1.42
9127957F2  02/14/13  08/16/12       99.927                 0.73
9127957G0  02/21/13  08/23/12       99.927                 0.73
9127957H8  02/28/13  08/30/12       99.929                 0.71
9127956E6  03/07/13  03/08/12       99.828                 1.72
9127957L9  03/14/13  09/13/12       99.934                 0.66
9127957M7  03/21/13  09/20/12       99.934                 0.66
912795Z61  03/28/13  09/27/12       99.929                 0.71
9127956F3  04/04/13  04/05/12       99.813                 1.87
912795Z95  04/11/13  10/11/12       99.927                 0.73
912796AA7  04/18/13  10/18/12       99.924                 0.76
912796AB5  04/25/13  10/25/12       99.924                 0.76
9127956L0  05/02/13  05/03/12       99.813                 1.87
912796AF6  05/09/13  11/08/12       99.924                 0.76
912796AG4  05/16/13  11/15/12       99.927                 0.73
912796AH2  05/23/13  11/23/12       99.932                 0.68
9127956R7  05/30/13  05/31/12       99.813                 1.87
9127956W6  06/27/13  06/28/12       99.793                 2.07
9127957A3  07/25/13  07/26/12       99.823                 1.77
9127957E5  08/22/13  08/23/12       99.803                 1.97
9127957K1  09/19/13  09/20/12       99.823                 1.77
912795Z87  10/17/13  10/18/12       99.818                 1.82
912796AE9  11/14/13  11/15/12       99.818                 1.82





                                 Section III-B



                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2012

                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384RH4  01/03/12  02/04/11      99.787                 2.13
313384RJ0  01/04/12  01/10/11      99.731                 2.69
313384RK7  01/05/12  01/05/11      99.677                 3.23
313384RL5  01/06/12  01/07/11      99.666                 3.34
313384RP6  01/09/12  01/13/11      99.699                 3.01
313384RQ4  01/10/12  01/20/11      99.694                 3.06
313384RR2  01/11/12  01/11/11      99.726                 2.74
313384RS0  01/12/12  01/13/11      99.697                 3.03
313384RT8  01/13/12  02/18/11      99.808                 1.92
313384RX9  01/17/12  01/21/11      99.779                 2.21
313384RY7  01/18/12  02/16/11      99.729                 2.71
313384RZ4  01/19/12  01/19/11      99.686                 3.14
313384SA8  01/20/12  01/20/11      99.686                 3.14
313384SD2  01/23/12  01/27/11      99.709                 2.91
313384SE0  01/24/12  01/24/11      99.696                 3.04
313384SF7  01/25/12  01/25/11      99.696                 3.04
313384SG5  01/26/12  07/22/11      99.953                 0.47
313384SH3  01/27/12  02/25/11      99.795                 2.05
313384SL4  01/30/12  03/29/11      99.821                 1.79
313384SM2  01/31/12  04/28/11      99.907                 0.93
313384SN0  02/01/12  02/02/11      99.727                 2.73
313384SP5  02/02/12  02/03/11      99.747                 2.53
313384SQ3  02/03/12  05/05/11      99.901                 0.99
313384ST7  02/06/12  03/07/11      99.823                 1.77
313384SU4  02/07/12  05/26/11      99.929                 0.71
313384SV2  02/08/12  02/08/11      99.757                 2.43
313384SW0  02/09/12  02/22/11      99.746                 2.54
313384SX8  02/10/12  02/10/11      99.676                 3.24
313384TA7  02/13/12  02/14/11      99.676                 3.24
313384TB5  02/14/12  03/18/11      99.834                 1.66
313384TC3  02/15/12  02/17/11      99.710                 2.90
313384TD1  02/16/12  05/27/11      99.926                 0.74
313384TE9  02/17/12  02/18/11      99.737                 2.63
313384TJ8  02/21/12  02/25/11      99.799                 2.01
313384TK5  02/22/12  02/23/11      99.727                 2.73
313384TL3  02/23/12  02/24/11      99.727                 2.73
313384TM1  02/24/12  02/24/11      99.736                 2.64
313384TQ2  02/27/12  04/01/11      99.779                 2.21
313384TR0  02/28/12  02/28/11      99.736                 2.64
313384TS8  02/29/12  03/03/11      99.728                 2.72
313384TT6  03/01/12  03/01/11      99.736                 2.64
313384TU3  03/02/12  03/04/11      99.717                 2.83
313384TX7  03/05/12  06/15/11      99.875                 1.25
313384TY5  03/06/12  08/08/11      99.947                 0.53





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384TZ2  03/07/12  03/07/11      99.705                 2.95
313384UA5  03/08/12  03/14/11      99.760                 2.40
313384UB3  03/09/12  05/09/11      99.898                 1.02
313384UE7  03/12/12  03/18/11      99.760                 2.40
313384UF4  03/13/12  03/15/11      99.757                 2.43
313384UG2  03/14/12  06/13/11      99.885                 1.15
313384UH0  03/15/12  03/15/11      99.766                 2.34
313384UJ6  03/16/12  03/17/11      99.787                 2.13
313384UM9  03/19/12  03/22/11      99.778                 2.22
313384UN7  03/20/12  06/23/11      99.887                 1.13
313384UP2  03/21/12  03/22/11      99.757                 2.43
313384UQ0  03/22/12  03/23/11      99.757                 2.43
313384UR8  03/23/12  03/24/11      99.777                 2.23
313384UU1  03/26/12  03/28/11      99.727                 2.73
313384UV9  03/27/12  06/23/11      99.876                 1.24
313384UW7  03/28/12  03/30/11      99.727                 2.73
313384UX5  03/29/12  03/30/11      99.747                 2.53
313384UY3  03/30/12  04/01/11      99.687                 3.13
313384VB2  04/02/12  04/11/11      99.822                 1.78
313384VC0  04/03/12  04/04/11      99.777                 2.23
313384VD8  04/04/12  10/05/11      99.952                 0.48
313384VE6  04/05/12  04/06/11      99.757                 2.43
313384VJ5  04/09/12  04/19/11      99.763                 2.37
313384VK2  04/10/12  07/08/11      99.877                 1.23
313384VL0  04/11/12  04/13/11      99.798                 2.02
313384VM8  04/12/12  04/18/11      99.800                 2.00
313384VN6  04/13/12  04/21/11      99.761                 2.39
313384VR7  04/16/12  04/19/11      99.758                 2.42
313384VS5  04/17/12  10/28/11      99.971                 0.29
313384VT3  04/18/12  05/19/11      99.860                 1.40
313384VU0  04/19/12  04/25/11      99.800                 2.00
313384VV8  04/20/12  04/25/11      99.759                 2.41
313384VY2  04/23/12  04/29/11      99.780                 2.20
313384VZ9  04/24/12  07/29/11      99.835                 1.65
313384WA3  04/25/12  10/03/11      99.966                 0.34
313384WB1  04/26/12  05/04/11      99.771                 2.29
313384WC9  04/27/12  09/30/11      99.965                 0.35
313384WF2  04/30/12  06/08/11      99.882                 1.18
313384WG0  05/01/12  06/03/11      99.861                 1.39
313384WH8  05/02/12  05/06/11      99.799                 2.01
313384WJ4  05/03/12  05/06/11      99.802                 1.98
313384WK1  05/04/12  05/04/11      99.817                 1.83
313384WN5  05/07/12  11/07/11      99.970                 0.30
313384WP0  05/08/12  09/30/11      99.969                 0.31
313384WQ8  05/09/12  05/13/11      99.869                 1.31
313384WR6  05/10/12  07/20/11      99.877                 1.23





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384WS4  05/11/12  08/12/11      99.879                 1.21
313384WV7  05/14/12  05/19/11      99.799                 2.01
313384WW5  05/15/12  06/30/11      99.884                 1.16
313384WX3  05/16/12  08/22/11      99.881                 1.19
313384WY1  05/17/12  07/19/11      99.865                 1.35
313384WZ8  05/18/12  05/18/11      99.837                 1.63
313384XC8  05/21/12  06/21/11      99.833                 1.67
313384XD6  05/22/12  05/23/11      99.797                 2.03
313384XE4  05/23/12  05/24/11      99.797                 2.03
313384XF1  05/24/12  07/28/11      99.808                 1.92
313384XG9  05/25/12  06/01/11      99.850                 1.50
313384XL8  05/29/12  08/24/11      99.884                 1.16
313384XM6  05/30/12  08/30/11      99.901                 0.99
313384XN4  05/31/12  08/30/11      99.901                 0.99
313384XP9  06/01/12  06/03/11      99.838                 1.62
313384XS3  06/04/12  06/06/11      99.798                 2.02
313384XT1  06/05/12  06/07/11      99.798                 2.02
313384XU8  06/06/12  06/07/11      99.797                 2.03
313384XV6  06/07/12  06/08/11      99.797                 2.03
313384XW4  06/08/12  08/11/11      99.891                 1.09
313384XZ7  06/11/12  06/16/11      99.789                 2.11
313384YA1  06/12/12  06/21/11      99.782                 2.18
313384YB9  06/13/12  06/22/11      99.802                 1.98
313384YC7  06/14/12  08/02/11      99.806                 1.94
313384YD5  06/15/12  06/15/11      99.827                 1.73
313384YG8  06/18/12  07/19/11      99.833                 1.67
313384YH6  06/19/12  06/20/11      99.777                 2.23
313384YJ2  06/20/12  06/21/11      99.797                 2.03
313384YK9  06/21/12  06/23/11      99.808                 1.92
313384YL7  06/22/12  06/23/11      99.803                 1.97
313384YP8  06/25/12  10/03/11      99.926                 0.74
313384YQ6  06/26/12  07/26/11      99.841                 1.59
313384YR4  06/27/12  06/29/11      99.798                 2.02
313384YS2  06/28/12  07/28/11      99.776                 2.24
313384YT0  06/29/12  07/11/11      99.853                 1.47
313384YW3  07/02/12  08/01/11      99.795                 2.05
313384YX1  07/03/12  07/06/11      99.839                 1.61
313384YZ6  07/05/12  10/04/11      99.916                 0.84
313384ZA0  07/06/12  07/08/11      99.788                 2.12
313384ZD4  07/09/12  10/14/11      99.910                 0.90
313384ZE2  07/10/12  07/11/11      99.797                 2.03
313384ZF9  07/11/12  07/11/11      99.797                 2.03
313384ZG7  07/12/12  07/13/11      99.814                 1.86
313384ZH5  07/13/12  07/18/11      99.809                 1.91
313384ZL6  07/16/12  08/18/11      99.852                 1.48
313384ZM4  07/17/12  07/18/11      99.797                 2.03
313384ZN2  07/18/12  07/18/11      99.797                 2.03
313384ZP7  07/19/12  07/20/11      99.797                 2.03





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384ZQ5  07/20/12  07/22/11      99.799                 2.01
313384ZT9  07/23/12  07/27/11      99.775                 2.25
313384ZU6  07/24/12  07/25/11      99.797                 2.03
313384ZV4  07/25/12  07/26/11      99.751                 2.49
313384ZW2  07/26/12  08/25/11      99.869                 1.31
313384ZX0  07/27/12  07/28/11      99.736                 2.64
313384A25  07/30/12  04/17/12      99.980                 0.20
313384A33  07/31/12  09/02/11      99.908                 0.92
313384A41  08/01/12  08/02/11      99.747                 2.53
313384A58  08/02/12  08/03/11      99.750                 2.50
313384A66  08/03/12  08/03/11      99.766                 2.34
313384A90  08/06/12  08/12/11      99.800                 2.00
313384B24  08/07/12  08/15/11      99.806                 1.94
313384B32  08/08/12  08/10/11      99.808                 1.92
313384B40  08/09/12  08/09/11      99.807                 1.93
313384B57  08/10/12  08/11/11      99.878                 1.22
313384B81  08/13/12  08/19/11      99.810                 1.90
313384B99  08/14/12  08/15/11      99.802                 1.98
313384C23  08/15/12  08/16/11      99.828                 1.72
313384C31  08/16/12  08/17/11      99.828                 1.72
313384C49  08/17/12  08/18/11      99.818                 1.82
313384C72  08/20/12  08/23/11      99.799                 2.01
313384C80  08/21/12  08/22/11      99.797                 2.03
313384C98  08/22/12  08/23/11      99.797                 2.03
313384D22  08/23/12  08/23/11      99.797                 2.03
313384D30  08/24/12  08/25/11      99.828                 1.72
313384D63  08/27/12  08/29/11      99.828                 1.72
313384D71  08/28/12  08/30/11      99.828                 1.72
313384D89  08/29/12  08/29/11      99.827                 1.73
313384D97  08/30/12  08/30/11      99.827                 1.73
313384E21  08/31/12  09/01/11      99.817                 1.83
313384E62  09/04/12  09/06/11      99.818                 1.82
313384E70  09/05/12  09/06/11      99.818                 1.82
313384E88  09/06/12  09/06/11      99.817                 1.83
313384E96  09/07/12  01/11/12      99.960                 0.40
313384F46  09/10/12  09/13/11      99.819                 1.81
313384F53  09/11/12  04/25/12      99.958                 0.42
313384F61  09/12/12  09/13/11      99.819                 1.81
313384F79  09/13/12  09/22/11      99.891                 1.09
313384F87  09/14/12  09/15/11      99.858                 1.42
313384G37  09/17/12  09/19/11      99.858                 1.42
313384G45  09/18/12  04/16/12      99.957                 0.43
313384G52  09/19/12  10/25/11      99.872                 1.28
313384G60  09/20/12  09/22/11      99.889                 1.11
313384G78  09/21/12  09/23/11      99.889                 1.11
313384H28  09/24/12  09/28/11      99.829                 1.71
313384H36  09/25/12  01/17/12      99.958                 0.42
313384H44  09/26/12  09/27/11      99.828                 1.72





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384H51  09/27/12  11/08/11      99.892                 1.08
313384H69  09/28/12  09/30/11      99.889                 1.11
313384H93  10/01/12  10/04/11      99.839                 1.61
313384J26  10/02/12  10/11/11      99.822                 1.78
313384J34  10/03/12  10/04/11      99.838                 1.62
313384J42  10/04/12  10/06/11      99.819                 1.81
313384J59  10/05/12  10/06/11      99.828                 1.72
313384J91  10/09/12  10/11/11      99.818                 1.82
313384K24  10/10/12  10/11/11      99.818                 1.82
313384K32  10/11/12  10/12/11      99.812                 1.88
313384K40  10/12/12  10/13/11      99.818                 1.82
313384K73  10/15/12  10/20/11      99.809                 1.91
313384K81  10/16/12  10/18/11      99.812                 1.88
313384K99  10/17/12  10/18/11      99.818                 1.82
313384L23  10/18/12  10/18/11      99.817                 1.83
313384L31  10/19/12  10/21/11      99.818                 1.82
313384L64  10/22/12  10/26/11      99.829                 1.71
313384L72  10/23/12  11/10/11      99.884                 1.16
313384L80  10/24/12  04/04/12      99.932                 0.68
313384L98  10/25/12  01/26/12      99.939                 0.61
313384M22  10/26/12  10/26/11      99.827                 1.73
313384M55  10/29/12  06/05/12      99.964                 0.36
313384M63  10/30/12  12/14/11      99.929                 0.71
313384M71  10/31/12  11/03/11      99.829                 1.71
313384M89  11/01/12  11/04/11      99.839                 1.61
313384M97  11/02/12  11/08/11      99.870                 1.30
313384N47  11/05/12  11/07/11      99.858                 1.42
313384N54  11/06/12  11/10/11      99.839                 1.61
313384N62  11/07/12  11/08/11      99.848                 1.52
313384N70  11/08/12  11/09/11      99.838                 1.62
313384N88  11/09/12  11/14/11      99.841                 1.59
313384P45  11/13/12  11/15/11      99.838                 1.62
313384P52  11/14/12  11/16/11      99.838                 1.62
313384P60  11/15/12  11/15/11      99.837                 1.63
313384P78  11/16/12  11/17/11      99.838                 1.62
313384Q28  11/19/12  11/22/11      99.849                 1.51
313384Q36  11/20/12  05/09/12      99.935                 0.65
313384Q44  11/21/12  11/21/11      99.837                 1.63
313384Q69  11/23/12  11/28/11      99.830                 1.70
313384Q93  11/26/12  11/28/11      99.828                 1.72
313384R27  11/27/12  01/27/12      99.924                 0.76
313384R35  11/28/12  05/30/12      99.923                 0.77
313384R43  11/29/12  01/10/12      99.910                 0.90
313384R50  11/30/12  12/20/11      99.914                 0.86
313384R84  12/03/12  12/06/11      99.849                 1.51
313384R92  12/04/12  12/07/11      99.849                 1.51
313384S26  12/05/12  12/06/11      99.838                 1.62
313384S34  12/06/12  12/06/11      99.837                 1.63





                         Section III-B (Continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313384S42  12/07/12  12/20/11      99.882                 1.18
313384S75  12/10/12  12/12/11      99.848                 1.52
313384S83  12/11/12  12/15/11      99.859                 1.41
313384S91  12/12/12  04/16/12      99.907                 0.93
313384T25  12/13/12  12/14/11      99.888                 1.12
313384T33  12/14/12  12/23/11      99.881                 1.19
313384T66  12/17/12  12/21/11      99.869                 1.31
313384T74  12/18/12  01/03/12      99.854                 1.46
313384T82  12/19/12  05/17/12      99.922                 0.78
313384T90  12/20/12  12/20/11      99.858                 1.42
313384U23  12/21/12  01/04/12      99.853                 1.47
313384U56  12/24/12  12/27/11      99.859                 1.41
313384U72  12/26/12  12/28/11      99.899                 1.01
313384U80  12/27/12  12/27/11      99.858                 1.42
313384U98  12/28/12  12/30/11      99.899                 1.01
313384V48  12/31/12  01/04/12      99.859                 1.41


                                 Section III-C



                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2012

                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588RH0  01/03/12  03/15/11      99.845                 1.55
313588RJ6  01/04/12  04/11/11      99.866                 1.34
313588RK3  01/05/12  04/20/11      99.870                 1.30
313588RL1  01/06/12  01/12/11      99.731                 2.69
313588RP2  01/09/12  04/11/11      99.864                 1.36
313588RQ0  01/10/12  05/11/11      99.939                 0.61
313588RR8  01/11/12  04/06/11      99.868                 1.32
313588RS6  01/12/12  03/23/11      99.844                 1.56
313588RT4  01/13/12  04/15/11      99.864                 1.36
313588RX5  01/17/12  03/09/11      99.826                 1.74
313588RY3  01/18/12  03/11/11      99.835                 1.65
313588RZ0  01/19/12  06/13/11      99.908                 0.92
313588SA4  01/20/12  04/18/11      99.862                 1.38
313588SD8  01/23/12  05/13/11      99.915                 0.85
313588SE6  01/24/12  04/26/11      99.871                 1.29
313588SF3  01/25/12  04/20/11      99.860                 1.40
313588SG1  01/26/12  06/23/11      99.922                 0.78
313588SH9  01/27/12  03/15/11      99.832                 1.68
313588SL0  01/30/12  03/10/11      99.828                 1.72
313588SM8  01/31/12  03/24/11      99.826                 1.74
313588SN6  02/01/12  03/10/11      99.809                 1.91
313588SP1  02/02/12  04/13/11      99.828                 1.72
313588SQ9  02/03/12  05/09/11      99.910                 0.90
313588ST3  02/06/12  04/12/11      99.825                 1.75
313588SU0  02/07/12  06/13/11      99.900                 1.00
313588SV8  02/08/12  04/29/11      99.873                 1.27
313588SW6  02/09/12  07/21/11      99.949                 0.51
313588SX4  02/10/12  05/11/11      99.908                 0.92
313588TA3  02/13/12  03/18/11      99.816                 1.84
313588TB1  02/14/12  08/02/11      99.902                 0.98
313588TC9  02/15/12  05/02/11      99.872                 1.28
313588TD7  02/16/12  03/09/11      99.799                 2.01
313588TE5  02/17/12  03/22/11      99.797                 2.03
313588TJ4  02/21/12  03/22/11      99.785                 2.15
313588TK1  02/22/12  04/11/11      99.806                 1.94
313588TL9  02/23/12  04/27/11      99.841                 1.59
313588TM7  02/24/12  04/05/11      99.801                 1.99
313588TQ8  02/27/12  06/28/11      99.925                 0.75
313588TR6  02/28/12  04/20/11      99.834                 1.66
313588TS4  02/29/12  03/24/11      99.781                 2.19
313588TT2  03/01/12  04/05/11      99.789                 2.11
313588TU9  03/02/12  04/11/11      99.792                 2.08
313588TX3  03/05/12  04/13/11      99.791                 2.09
313588TY1  03/06/12  04/14/11      99.791                 2.09





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588TZ8  03/07/12  08/08/11      99.941                 0.59
313588UA1  03/08/12  08/04/11      99.916                 0.84
313588UB9  03/09/12  05/18/11      99.893                 1.07
313588UE3  03/12/12  05/09/11      99.880                 1.20
313588UF0  03/13/12  08/04/11      99.914                 0.86
313588UG8  03/14/12  06/24/11      99.912                 0.88
313588UH6  03/15/12  05/05/11      99.878                 1.22
313588UJ2  03/16/12  04/05/11      99.779                 2.21
313588UM5  03/19/12  04/15/11      99.793                 2.07
313588UN3  03/20/12  05/25/11      99.883                 1.17
313588UP8  03/21/12  06/21/11      99.878                 1.22
313588UQ6  03/22/12  04/15/11      99.791                 2.09
313588UR4  03/23/12  04/14/11      99.790                 2.10
313588UU7  03/26/12  04/15/11      99.789                 2.11
313588UV5  03/27/12  08/10/11      99.930                 0.70
313588UW3  03/28/12  04/15/11      99.787                 2.13
313588UX1  03/29/12  06/29/11      99.901                 0.99
313588UY9  03/30/12  04/15/11      99.786                 2.14
313588VB8  04/02/12  04/20/11      99.778                 2.22
313588VC6  04/03/12  04/26/11      99.781                 2.19
313588VD4  04/04/12  05/04/11      99.823                 1.77
313588VE2  04/05/12  04/20/11      99.776                 2.24
313588VF9  04/06/12  04/26/11      99.779                 2.21
313588VJ1  04/09/12  04/27/11      99.778                 2.22
313588VK8  04/10/12  06/28/11      99.888                 1.12
313588VL6  04/11/12  04/20/11      99.772                 2.28
313588VM4  04/12/12  04/25/11      99.774                 2.26
313588VN2  04/13/12  04/20/11      99.771                 2.29
313588VR3  04/16/12  05/11/11      99.830                 1.70
313588VS1  04/17/12  05/26/11      99.855                 1.45
313588VT9  04/18/12  05/10/11      99.828                 1.72
313588VU6  04/19/12  09/22/11      99.948                 0.52
313588VV4  04/20/12  06/03/11      99.848                 1.52
313588VY8  04/23/12  06/21/11      99.855                 1.45
313588VZ5  04/24/12  06/28/11      99.883                 1.17
313588WA9  04/25/12  06/10/11      99.849                 1.51
313588WB7  04/26/12  08/11/11      99.906                 0.94
313588WC5  04/27/12  06/07/11      99.847                 1.53
313588WF8  04/30/12  05/25/11      99.848                 1.52
313588WG6  05/01/12  05/09/11      99.801                 1.99
313588WH4  05/02/12  05/09/11      99.801                 1.99
313588WJ0  05/03/12  05/09/11      99.800                 2.00
313588WK7  05/04/12  05/25/11      99.828                 1.72
313588WN1  05/07/12  05/31/11      99.829                 1.71
313588WP6  05/08/12  12/02/11      99.974                 0.26
313588WQ4  05/09/12  05/17/11      99.801                 1.99
313588WR2  05/10/12  10/14/11      99.954                 0.46
313588WS0  05/11/12  05/25/11      99.824                 1.76





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588WV3  05/14/12  05/24/11      99.822                 1.78
313588WW1  05/15/12  06/16/11      99.824                 1.76
313588WX9  05/16/12  11/16/11      99.965                 0.35
313588WY7  05/17/12  05/25/11      99.821                 1.79
313588WZ4  05/18/12  06/03/11      99.815                 1.85
313588XC4  05/21/12  06/02/11      99.813                 1.87
313588XE0  05/23/12  06/02/11      99.812                 1.88
313588XF7  05/24/12  06/30/11      99.835                 1.65
313588XG5  05/25/12  06/03/11      99.812                 1.88
313588XL4  05/29/12  06/06/11      99.801                 1.99
313588XM2  05/30/12  06/06/11      99.801                 1.99
313588XN0  05/31/12  06/06/11      99.800                 2.00
313588XP5  06/01/12  06/13/11      99.794                 2.06
313588XS9  06/04/12  06/13/11      99.792                 2.08
313588XT7  06/05/12  01/04/12      99.983                 0.17
313588XU4  06/06/12  06/13/11      99.791                 2.09
313588XV2  06/07/12  06/14/11      99.791                 2.09
313588XW0  06/08/12  12/02/11      99.963                 0.37
313588XZ3  06/11/12  06/21/11      99.802                 1.98
313588YA7  06/12/12  06/30/11      99.807                 1.93
313588YB5  06/13/12  06/29/11      99.806                 1.94
313588YC3  06/14/12  06/21/11      99.801                 1.99
313588YD1  06/15/12  06/24/11      99.812                 1.88
313588YG4  06/18/12  07/05/11      99.806                 1.94
313588YH2  06/19/12  09/16/11      99.885                 1.15
313588YJ8  06/20/12  06/28/11      99.801                 1.99
313588YK5  06/21/12  11/17/11      99.964                 0.36
313588YL3  06/22/12  10/13/11      99.930                 0.70
313588YP4  06/25/12  07/28/11      99.806                 1.94
313588YQ2  06/26/12  01/03/12      99.981                 0.19
313588YR0  06/27/12  08/10/11      99.884                 1.16
313588YS8  06/28/12  08/05/11      99.845                 1.55
313588YT6  06/29/12  07/05/11      99.800                 2.00
313588YW9  07/02/12  07/08/11      99.800                 2.00
313588YX7  07/03/12  09/26/11      99.914                 0.86
313588YZ2  07/05/12  07/21/11      99.815                 1.85
313588ZA6  07/06/12  07/21/11      99.815                 1.85
313588ZD0  07/09/12  07/29/11      99.789                 2.11
313588ZE8  07/10/12  08/16/11      99.854                 1.46
313588ZF5  07/11/12  12/15/11      99.965                 0.35
313588ZG3  07/12/12  09/22/11      99.894                 1.06
313588ZH1  07/13/12  09/16/11      99.866                 1.34
313588ZL2  07/16/12  07/26/11      99.802                 1.98
313588ZM0  07/17/12  08/04/11      99.778                 2.22
313588ZN8  07/18/12  07/27/11      99.782                 2.18
313588ZP3  07/19/12  12/15/11      99.958                 0.42
313588ZQ1  07/20/12  09/20/11      99.873                 1.27
313588ZT5  07/23/12  11/15/11      99.951                 0.49




                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588ZU2  07/24/12  05/16/12      99.981                 0.19
313588ZV0  07/25/12  01/25/12      99.960                 0.40
313588ZW8  07/26/12  08/04/11      99.772                 2.28
313588ZX6  07/27/12  08/05/11      99.772                 2.28
313588A21  07/30/12  08/16/11      99.845                 1.55
313588A39  07/31/12  12/15/11      99.955                 0.45
313588A47  08/01/12  08/12/11      99.832                 1.68
313588A54  08/02/12  09/21/11      99.877                 1.23
313588A62  08/03/12  08/12/11      99.831                 1.69
313588A96  08/06/12  12/22/11      99.956                 0.44
313588B20  08/07/12  12/13/11      99.960                 0.40
313588B38  08/08/12  01/06/12      99.964                 0.36
313588B46  08/09/12  08/16/11      99.830                 1.70
313588B53  08/10/12  01/23/12      99.967                 0.33
313588B87  08/13/12  11/10/11      99.931                 0.69
313588B95  08/14/12  09/13/11      99.841                 1.59
313588C29  08/15/12  09/09/11      99.839                 1.61
313588C37  08/16/12  09/16/11      99.842                 1.58
313588C45  08/17/12  12/28/11      99.955                 0.45
313588C78  08/20/12  10/25/11      99.883                 1.17
313588C86  08/21/12  12/28/11      99.954                 0.46
313588C94  08/22/12  02/22/12      99.937                 0.63
313588D28  08/23/12  02/14/12      99.958                 0.42
313588D36  08/24/12  09/21/11      99.869                 1.31
313588D69  08/27/12  10/20/11      99.870                 1.30
313588D77  08/28/12  11/01/11      99.900                 1.00
313588D85  08/29/12  11/29/11      99.939                 0.61
313588D93  08/30/12  09/08/11      99.841                 1.59
313588E27  08/31/12  09/12/11      99.833                 1.67
313588E68  09/04/12  09/14/11      99.822                 1.78
313588E76  09/05/12  09/15/11      99.822                 1.78
313588E84  09/06/12  09/14/11      99.821                 1.79
313588E92  09/07/12  09/14/11      99.821                 1.79
313588F42  09/10/12  09/22/11      99.833                 1.67
313588F59  09/11/12  05/30/12      99.974                 0.26
313588F67  09/12/12  11/16/11      99.933                 0.67
313588F75  09/13/12  10/27/11      99.875                 1.25
313588F83  09/14/12  09/23/11      99.841                 1.59
313588G33  09/17/12  10/25/11      99.863                 1.37
313588G41  09/18/12  06/26/12      99.974                 0.26
313588G58  09/19/12  12/22/11      99.932                 0.68
313588G66  09/20/12  12/21/11      99.932                 0.68
313588G74  09/21/12  11/18/11      99.923                 0.77
313588H24  09/24/12  10/31/11      99.881                 1.19
313588H32  09/25/12  01/13/12      99.943                 0.57
313588H40  09/26/12  12/06/11      99.934                 0.66
313588H57  09/27/12  01/19/12      99.944                 0.56
313588H65  09/28/12  10/19/11      99.837                 1.63





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588H99  10/01/12  10/11/11      99.852                 1.48
313588J22  10/02/12  10/20/11      99.826                 1.74
313588J30  10/03/12  10/20/11      99.826                 1.74
313588J48  10/04/12  01/03/12      99.931                 0.69
313588J55  10/05/12  10/21/11      99.825                 1.75
313588J97  10/09/12  10/20/11      99.813                 1.87
313588K20  10/10/12  10/24/11      99.834                 1.66
313588K38  10/11/12  10/25/11      99.834                 1.66
313588K46  10/12/12  10/20/11      99.821                 1.79
313588K79  10/15/12  10/21/11      99.820                 1.80
313588K87  10/16/12  11/09/11      99.896                 1.04
313588K95  10/17/12  10/25/11      99.831                 1.69
313588L29  10/18/12  05/31/12      99.957                 0.43
313588L37  10/19/12  10/26/11      99.830                 1.70
313588L60  10/22/12  06/25/12      99.960                 0.40
313588L78  10/23/12  08/28/12      99.988                 0.12
313588L86  10/24/12  11/02/11      99.851                 1.49
313588L94  10/25/12  11/03/11      99.861                 1.39
313588M28  10/26/12  11/02/11      99.860                 1.40
313588M51  10/29/12  11/29/11      99.907                 0.93
313588M69  10/30/12  12/02/11      99.898                 1.02
313588M77  10/31/12  12/09/11      99.918                 0.82
313588M85  11/01/12  11/15/11      99.883                 1.17
313588M93  11/02/12  11/10/11      99.871                 1.29
313588N43  11/05/12  11/23/11      99.865                 1.35
313588N50  11/06/12  01/12/12      99.909                 0.91
313588N68  11/07/12  12/06/11      99.888                 1.12
313588N76  11/08/12  07/13/12      99.957                 0.43
313588N84  11/09/12  12/21/11      99.901                 0.99
313588P41  11/13/12  01/13/12      99.907                 0.93
313588P58  11/14/12  01/10/12      99.914                 0.86
313588P66  11/15/12  11/22/11      99.860                 1.40
313588P74  11/16/12  12/02/11      99.864                 1.36
313588Q24  11/19/12  12/06/11      99.864                 1.36
313588Q32  11/20/12  12/06/11      99.864                 1.36
313588Q40  11/21/12  12/14/11      99.886                 1.14
313588Q65  11/23/12  01/13/12      99.904                 0.96
313588Q99  11/26/12  12/14/11      99.884                 1.16
313588R23  11/27/12  12/07/11      99.862                 1.38
313588R31  11/28/12  12/06/11      99.861                 1.39
313588R49  11/29/12  12/07/11      99.861                 1.39
313588R56  11/30/12  01/18/12      99.903                 0.97
313588R80  12/03/12  12/15/11      99.872                 1.28
313588R98  12/04/12  12/20/11      99.874                 1.26
313588S22  12/05/12  06/06/12      99.928                 0.72
313588S30  12/06/12  08/28/12      99.972                 0.28
313588S48  12/07/12  12/15/11      99.881                 1.19
313588S71  12/10/12  12/22/11      99.872                 1.28





                         Section III-C (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313588S89  12/11/12  12/20/11      99.871                 1.29
313588S97  12/12/12  06/13/12      99.922                 0.78
313588T21  12/13/12  12/19/11      99.870                 1.30
313588T39  12/14/12  12/27/11      99.873                 1.27
313588T62  12/17/12  08/07/12      99.956                 0.44
313588T70  12/18/12  07/16/12      99.935                 0.65
313588T88  12/19/12  01/24/12      99.899                 1.01
313588T96  12/20/12  01/11/12      99.876                 1.24
313588U29  12/21/12  01/12/12      99.876                 1.24
313588U52  12/24/12  01/13/12      99.875                 1.25
313588U78  12/26/12  06/27/12      99.916                 0.84
313588U86  12/27/12  06/25/12      99.928                 0.72
313588U94  12/28/12  01/12/12      99.873                 1.27
313588V44  12/31/12  07/18/12      99.940                 0.60





                                 Section III-D



                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2012

                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312RH5  01/03/12  11/14/11      99.994                 0.06
313312RJ1  01/04/12  10/13/11      99.984                 0.16
313312RK8  01/05/12  01/05/11      99.645                 3.55
313312RL6  01/06/12  01/18/11      99.657                 3.43
313312RP7  01/09/12  06/07/11      99.904                 0.96
313312RQ5  01/10/12  08/10/11      99.949                 0.51
313312RR3  01/11/12  08/10/11      99.949                 0.51
313312RS1  01/12/12  01/18/11      99.651                 3.49
313312RX0  01/17/12  07/26/11      99.927                 0.73
313312RY8  01/18/12  05/10/11      99.888                 1.12
313312RZ5  01/19/12  01/19/11      99.645                 3.55
313312SA9  01/20/12  02/01/11      99.775                 2.26
313312SD3  01/23/12  01/17/12      99.999                 0.01
313312SE1  01/24/12  05/27/11      99.892                 1.08
313312SF8  01/25/12  12/28/11      99.997                 0.03
313312SG6  01/26/12  08/12/11      99.930                 0.70
313312SH4  01/27/12  06/13/11      99.905                 0.95
313312SL5  01/30/12  07/01/11      99.905                 0.95
313312SM3  01/31/12  06/30/11      99.910                 0.90
313312SN1  02/01/12  02/04/11      99.668                 3.32
313312SP6  02/02/12  08/12/11      99.918                 0.82
313312SQ4  02/03/12  02/03/11      99.655                 3.45
313312ST8  02/06/12  06/07/11      99.885                 1.15
313312SU5  02/07/12  02/09/11      99.637                 3.63
313312SV3  02/08/12  08/16/11      99.927                 0.73
313312SW1  02/09/12  02/09/11      99.645                 3.55
313312TB6  02/14/12  01/03/12      99.995                 0.05
313312TC4  02/15/12  08/18/11      99.925                 0.75
313312TD2  02/16/12  06/13/11      99.883                 1.17
313312TE0  02/17/12  09/01/11      99.944                 0.56
313312TJ9  02/21/12  07/26/11      99.901                 0.99
313312TK6  02/22/12  02/23/11      99.687                 3.13
313312TL4  02/23/12  02/23/11      99.686                 3.14
313312TM2  02/24/12  09/07/11      99.939                 0.61
313312TQ3  02/27/12  02/07/12      99.996                 0.04
313312TR1  02/28/12  03/31/11      99.722                 2.78
313312TS9  02/29/12  12/30/11      99.993                 0.07
313312TT7  03/01/12  03/09/11      99.692                 3.08
313312TU4  03/02/12  03/04/11      99.666                 3.34
313312TX8  03/05/12  02/22/12      99.998                 0.02
313312TY6  03/06/12  09/15/11      99.938                 0.63
313312TZ3  03/07/12  09/15/11      99.937                 0.63
313312UA6  03/08/12  03/09/11      99.686                 3.14





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312UB4  03/09/12  09/08/11      99.934                 0.66
313312UE8  03/12/12  10/14/11      99.954                 0.46
313312UF5  03/13/12  09/14/11      99.935                 0.65
313312UG3  03/14/12  10/07/11      99.960                 0.40
313312UH1  03/15/12  10/07/11      99.960                 0.40
313312UJ7  03/16/12  10/07/11      99.960                 0.40
313312UM0  03/19/12  02/22/12      99.994                 0.06
313312UN8  03/20/12  02/06/12      99.988                 0.12
313312UP3  03/21/12  12/28/11      99.988                 0.12
313312UR9  03/23/12  04/06/11      99.707                 2.93
313312UU2  03/26/12  10/14/11      99.950                 0.50
313312UV0  03/27/12  08/09/11      99.891                 1.09
313312UW8  03/28/12  10/19/11      99.951                 0.49
313312UX6  03/29/12  10/25/11      99.952                 0.48
313312UY4  03/30/12  10/28/11      99.953                 0.47
313312VB3  04/02/12  11/14/11      99.969                 0.31
313312VC1  04/03/12  11/17/11      99.966                 0.34
313312VD9  04/04/12  04/05/11      99.706                 2.94
313312VE7  04/05/12  04/08/11      99.698                 3.02
313312VF4  04/06/12  02/09/12      99.984                 0.16
313312VJ6  04/09/12  05/27/11      99.823                 1.77
313312VK3  04/10/12  10/25/11      99.944                 0.56
313312VL1  04/11/12  03/14/12      99.991                 0.09
313312VN7  04/13/12  02/15/12      99.977                 0.23
313312VR8  04/16/12  03/16/12      99.991                 0.10
313312VS6  04/17/12  12/14/11      99.979                 0.21
313312VT4  04/18/12  06/15/11      99.829                 1.71
313312VU1  04/19/12  12/22/11      99.984                 0.16
313312VV9  04/20/12  10/07/11      99.946                 0.54
313312VY3  04/23/12  04/04/12      99.995                 0.05
313312VZ0  04/24/12  03/27/12      99.994                 0.06
313312WA4  04/25/12  03/28/12      99.994                 0.06
313312WB2  04/26/12  04/27/11      99.716                 2.84
313312WC0  04/27/12  03/30/12      99.995                 0.05
313312WF3  04/30/12  05/31/11      99.777                 2.23
313312WG1  05/01/12  05/03/11      99.727                 2.73
313312WH9  05/02/12  06/02/11      99.795                 2.05
313312WJ5  05/03/12  10/31/11      99.933                 0.67
313312WK2  05/04/12  10/07/11      99.930                 0.70
313312WN6  05/07/12  12/23/11      99.970                 0.30
313312WP1  05/08/12  12/23/11      99.970                 0.30
313312WQ9  05/09/12  05/10/11      99.767                 2.33
313312WR7  05/10/12  10/18/11      99.926                 0.74
313312WS5  05/11/12  10/14/11      99.924                 0.76
313312WV8  05/14/12  10/31/11      99.929                 0.71
313312WW6  05/15/12  08/18/11      99.857                 1.43
313312WX4  05/16/12  04/18/12      99.992                 0.08
313312WY2  05/17/12  05/18/11      99.767                 2.33





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312WZ9  05/18/12  12/30/11      99.965                 0.35
313312XC9  05/21/12  04/30/12      99.992                 0.08
313312XD7  05/22/12  04/24/12      99.994                 0.06
313312XE5  05/23/12  12/30/11      99.964                 0.36
313312XF2  05/24/12  12/30/11      99.964                 0.37
313312XG0  05/25/12  12/30/11      99.963                 0.37
313312XL9  05/29/12  02/09/12      99.963                 0.37
313312XM7  05/30/12  01/05/12      99.972                 0.28
313312XN5  05/31/12  06/30/11      99.795                 2.05
313312XS4  06/04/12  04/30/12      99.987                 0.13
313312XT2  06/05/12  06/06/11      99.767                 2.33
313312XU9  06/06/12  04/25/12      99.985                 0.15
313312XV7  06/07/12  09/02/11      99.868                 1.32
313312XW5  06/08/12  12/23/11      99.958                 0.42
313312XZ8  06/11/12  05/14/12      99.991                 0.09
313312YA2  06/12/12  05/01/12      99.985                 0.15
313312YB0  06/13/12  06/14/11      99.757                 2.43
313312YC8  06/14/12  05/17/12      99.991                 0.09
313312YD6  06/15/12  05/18/12      99.991                 0.09
313312YG9  06/18/12  06/15/12      99.999                 0.01
313312YH7  06/19/12  05/22/12      99.992                 0.08
313312YJ3  06/20/12  12/20/11      99.949                 0.51
313312YK0  06/21/12  05/24/12      99.991                 0.09
313312YL8  06/22/12  05/25/12      99.991                 0.09
313312YP9  06/25/12  02/02/12      99.952                 0.48
313312YR5  06/27/12  03/02/12      99.958                 0.42
313312YS3  06/28/12  07/19/11      99.808                 1.92
313312YW4  07/02/12  07/26/11      99.772                 2.28
313312YX2  07/03/12  07/21/11      99.787                 2.13
313312YZ7  07/05/12  08/30/11      99.828                 1.72
313312ZA1  07/06/12  07/08/11      99.767                 2.33
313312ZD5  07/09/12  01/10/12      99.955                 0.45
313312ZF0  07/11/12  06/04/12      99.991                 0.09
313312ZG8  07/12/12  05/31/12      99.990                 0.10
313312ZH6  07/13/12  06/04/12      99.990                 0.10
313312ZM5  07/17/12  04/16/12      99.964                 0.36
313312ZN3  07/18/12  06/20/12      99.992                 0.08
313312ZT0  07/23/12  12/28/11      99.942                 0.58
313312ZU7  07/24/12  06/14/12      99.990                 0.10
313312ZV5  07/25/12  07/26/11      99.787                 2.13
313312ZW3  07/26/12  01/05/12      99.949                 0.51
313312ZX1  07/27/12  07/28/11      99.716                 2.84
313312A26  07/30/12  01/04/12      99.942                 0.58
313312A34  07/31/12  08/31/11      99.823                 1.77
313312A42  08/01/12  11/01/11      99.863                 1.37
313312A59  08/02/12  10/31/11      99.854                 1.46
313312A67  08/03/12  09/07/11      99.816                 1.84





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312A91  08/06/12  11/30/11      99.903                 0.97
313312B25  08/07/12  12/28/11      99.932                 0.68
313312B33  08/08/12  08/09/11      99.757                 2.43
313312B41  08/09/12  06/15/12      99.982                 0.18
313312B58  08/10/12  02/22/12      99.929                 0.71
313312B82  08/13/12  06/18/12      99.980                 0.20
313312B90  08/14/12  06/19/12      99.981                 0.19
313312C24  08/15/12  08/16/11      99.787                 2.13
313312C32  08/16/12  09/07/11      99.809                 1.91
313312C40  08/17/12  02/24/12      99.917                 0.83
313312C73  08/20/12  01/04/12      99.936                 0.64
313312C81  08/21/12  01/05/12      99.936                 0.64
313312C99  08/22/12  02/24/12      99.915                 0.85
313312D23  08/23/12  08/25/11      99.798                 2.02
313312D31  08/24/12  08/25/11      99.797                 2.03
313312D64  08/27/12  09/07/11      99.803                 1.97
313312D72  08/28/12  01/05/12      99.934                 0.66
313312D80  08/29/12  07/27/12      99.988                 0.12
313312D98  08/30/12  08/31/11      99.797                 2.03
313312E22  08/31/12  09/01/11      99.797                 2.03
313312E63  09/04/12  12/16/11      99.905                 0.95
313312E71  09/05/12  11/30/11      99.876                 1.24
313312E89  09/06/12  12/30/11      99.909                 0.91
313312E97  09/07/12  09/08/11      99.787                 2.13
313312F47  09/10/12  10/19/11      99.818                 1.82
313312F54  09/11/12  01/05/12      99.924                 0.76
313312F62  09/12/12  10/20/11      99.800                 2.00
313312F70  09/13/12  02/02/12      99.913                 0.87
313312F88  09/14/12  02/02/12      99.913                 0.88
313312G38  09/17/12  07/16/12      99.972                 0.28
313312G46  09/18/12  09/19/11      99.787                 2.13
313312G53  09/19/12  08/22/12      99.990                 0.10
313312G79  09/21/12  08/10/12      99.985                 0.15
313312H29  09/24/12  11/17/11      99.879                 1.21
313312H37  09/25/12  10/25/11      99.813                 1.87
313312H45  09/26/12  12/30/11      99.895                 1.05
313312H52  09/27/12  11/01/11      99.825                 1.75
313312H60  09/28/12  09/29/11      99.818                 1.83
313312H94  10/01/12  11/10/11      99.846                 1.54
313312J27  10/02/12  10/27/11      99.811                 1.89
313312J35  10/03/12  09/05/12      99.991                 0.09
313312J43  10/04/12  08/23/12      99.985                 0.15
313312J92  10/09/12  08/28/12      99.984                 0.16
313312K25  10/10/12  01/10/12      99.909                 0.91
313312K33  10/11/12  08/30/12      99.984                 0.16
313312K41  10/12/12  10/14/11      99.788                 2.12
313312K74  10/15/12  10/28/11      99.804                 1.96
313312K82  10/16/12  03/02/12      99.886                 1.14





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312K90  10/17/12  09/19/12      99.991                 0.09
313312L24  10/18/12  10/19/11      99.787                 2.13
313312L32  10/19/12  10/16/12      99.999                 0.01
313312L65  10/22/12  08/20/12      99.976                 0.25
313312L73  10/23/12  09/05/12      99.984                 0.16
313312L81  10/24/12  08/22/12      99.976                 0.25
313312L99  10/25/12  10/26/11      99.787                 2.13
313312M23  10/26/12  03/20/12      99.878                 1.22
313312M56  10/29/12  11/02/11      99.799                 2.01
313312M64  10/30/12  08/28/12      99.976                 0.25
313312M72  10/31/12  10/03/12      99.988                 0.12
313312M80  11/01/12  08/30/12      99.974                 0.26
313312M98  11/02/12  10/05/12      99.988                 0.12
313312N48  11/05/12  03/02/12      99.869                 1.31
313312N55  11/06/12  09/04/12      99.977                 0.23
313312N63  11/07/12  05/17/12      99.913                 0.87
313312N71  11/08/12  11/10/11      99.808                 1.92
313312N89  11/09/12  09/21/12      99.982                 0.18
313312P46  11/13/12  12/15/11      99.852                 1.48
313312P53  11/14/12  09/26/12      99.982                 0.18
313312P61  11/15/12  09/27/12      99.982                 0.18
313312P79  11/16/12  11/17/11      99.818                 1.83
313312Q29  11/19/12  09/10/12      99.971                 0.29
313312Q37  11/20/12  01/04/12      99.866                 1.34
313312Q45  11/21/12  11/23/11      99.808                 1.92
313312Q60  11/23/12  02/14/12      99.851                 1.49
313312Q94  11/26/12  01/12/12      99.867                 1.33
313312R28  11/27/12  01/30/12      99.883                 1.17
313312R36  11/28/12  11/29/11      99.807                 1.93
313312R44  11/29/12  10/25/12      99.985                 0.15
313312R51  11/30/12  11/02/12      99.991                 0.09
313312R85  12/03/12  01/19/12      99.876                 1.24
313312R93  12/04/12  11/20/12      99.995                 0.05
313312S27  12/05/12  11/07/12      99.988                 0.12
313312S35  12/06/12  09/20/12      99.968                 0.32
313312S43  12/07/12  12/09/11      99.818                 1.82
313312S76  12/10/12  06/18/12      99.908                 0.92
313312S84  12/11/12  10/16/12      99.977                 0.23
313312S92  12/12/12  12/13/11      99.818                 1.83
313312T26  12/13/12  09/27/12      99.970                 0.30
313312T34  12/14/12  12/16/11      99.828                 1.72
313312T67  12/17/12  12/20/11      99.829                 1.71
313312T75  12/18/12  04/11/12      99.861                 1.39
313312T83  12/19/12  10/03/12      99.966                 0.34
313312T91  12/20/12  10/04/12      99.968                 0.32
313312U24  12/21/12  01/20/12      99.860                 1.40
313312U57  12/24/12  01/04/12      99.832                 1.68
313312U73  12/26/12  12/30/11      99.829                 1.71





                         Section III-D (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312U81  12/27/12  02/13/12      99.841                 1.59
313312U99  12/28/12  02/15/12      99.824                 1.76




                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313312RT9  01/13/12  01/12/12      99.9999                  0.001
313312SX9  02/10/12  02/09/12      99.9999                  0.001
313312TA8  02/13/12  02/10/12      99.9997                  0.003
313312UQ1  03/22/12  03/21/12      99.9998                  0.002
313312VM9  04/12/12  04/11/12      99.9999                  0.001
313312XP0  06/01/12  05/31/12      99.9999                  0.001
313312YQ7  06/26/12  06/25/12      99.9999                  0.001
313312YT1  06/29/12  06/28/12      99.9999                  0.001
313312ZE3  07/10/12  07/09/12      99.9999                  0.001
313312ZL7  07/16/12  07/13/12      99.9997                  0.003
313312ZP8  07/19/12  07/18/12      99.9999                  0.001
313312ZQ6  07/20/12  07/19/12      99.9999                  0.001
313312G61  09/20/12  09/19/12      99.9999                  0.001
313312J50  10/05/12  10/04/12      99.9999                  0.001





                                Section III-E



                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2012

                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396RH8  01/03/12  02/23/11      99.826                 1.74
313396RJ4  01/04/12  06/09/11      99.930                 0.70
313396RL9  01/06/12  02/09/11      99.733                 2.67
313396RP0  01/09/12  07/11/11      99.952                 0.48
313396RQ8  01/10/12  01/11/11      99.697                 3.03
313396RR6  01/11/12  01/12/11      99.697                 3.03
313396RS4  01/12/12  05/05/11      99.909                 0.91
313396RT2  01/13/12  01/14/11      99.707                 2.93
313396RX3  01/17/12  01/26/11      99.708                 2.92
313396RY1  01/18/12  03/21/11      99.832                 1.68
313396RZ8  01/19/12  01/27/11      99.707                 2.93
313396SA2  01/20/12  01/25/11      99.710                 2.90
313396SD6  01/23/12  07/25/11      99.932                 0.68
313396SE4  01/24/12  03/14/11      99.824                 1.76
313396SF1  01/25/12  05/10/11      99.913                 0.87
313396SG9  01/26/12  01/31/11      99.730                 2.70
313396SH7  01/27/12  02/03/11      99.732                 2.68
313396SL8  01/30/12  08/01/11      99.892                 1.08
313396SM6  01/31/12  06/27/11      99.933                 0.67
313396SN4  02/01/12  02/10/11      99.703                 2.97
313396SP9  02/02/12  10/06/11      99.990                 0.10
313396SQ7  02/03/12  02/17/11      99.727                 2.73
313396ST1  02/06/12  08/08/11      99.934                 0.66
313396SU8  02/07/12  04/19/11      99.853                 1.47
313396SV6  02/08/12  05/24/11      99.906                 0.94
313396SW4  02/09/12  02/10/11      99.697                 3.03
313396SX2  02/10/12  03/10/11      99.766                 2.34
313396TA1  02/13/12  08/02/11      99.903                 0.97
313396TB9  02/14/12  02/17/11      99.688                 3.12
313396TC7  02/15/12  03/04/11      99.758                 2.42
313396TD5  02/16/12  05/19/11      99.894                 1.06
313396TE3  02/17/12  03/25/11      99.790                 2.10
313396TJ2  02/21/12  08/16/11      99.932                 0.68
313396TL7  02/23/12  08/17/11      99.937                 0.63
313396TM5  02/24/12  08/03/11      99.915                 0.85
313396TQ6  02/27/12  03/08/11      99.743                 2.57
313396TS2  02/29/12  03/07/11      99.741                 2.59
313396TT0  03/01/12  03/10/11      99.752                 2.48
313396TU7  03/02/12  03/09/11      99.721                 2.79
313396TX1  03/05/12  03/10/11      99.749                 2.51
313396TY9  03/06/12  05/16/11      99.885                 1.15
313396TZ6  03/07/12  05/23/11      99.888                 1.12
313396UA9  03/08/12  06/09/11      99.886                 1.14





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396UB7  03/09/12  03/14/11      99.759                 2.41
313396UE1  03/12/12  04/07/11      99.764                 2.36
313396UF8  03/13/12  03/17/11      99.749                 2.51
313396UG6  03/14/12  03/16/11      99.749                 2.51
313396UH4  03/15/12  03/18/11      99.752                 2.48
313396UJ0  03/16/12  03/18/11      99.757                 2.43
313396UM3  03/19/12  09/07/11      99.946                 0.54
313396UN1  03/20/12  08/16/11      99.910                 0.90
313396UP6  03/21/12  08/16/11      99.909                 0.91
313396UQ4  03/22/12  08/15/11      99.908                 0.92
313396UR2  03/23/12  08/16/11      99.908                 0.92
313396UU5  03/26/12  09/26/11      99.955                 0.45
313396UV3  03/27/12  08/24/11      99.940                 0.60
313396UW1  03/28/12  06/01/11      99.866                 1.34
313396UX9  03/29/12  08/25/11      99.940                 0.60
313396UY7  03/30/12  04/01/11      99.707                 2.93
313396VB6  04/02/12  04/07/11      99.749                 2.51
313396VC4  04/03/12  08/11/11      99.915                 0.85
313396VD2  04/04/12  08/18/11      99.904                 0.96
313396VE0  04/05/12  08/25/11      99.932                 0.68
313396VF7  04/06/12  12/30/11      99.997                 0.03
313396VJ9  04/09/12  08/18/11      99.902                 0.98
313396VK6  04/10/12  08/18/11      99.902                 0.98
313396VL4  04/11/12  08/18/11      99.901                 0.99
313396VM2  04/12/12  11/03/11      99.969                 0.31
313396VN0  04/13/12  10/04/11      99.963                 0.37
313396VR1  04/16/12  08/18/11      99.899                 1.01
313396VS9  04/17/12  04/18/11      99.757                 2.43
313396VT7  04/18/12  09/08/11      99.926                 0.74
313396VU4  04/19/12  07/22/11      99.902                 0.98
313396VV2  04/20/12  05/04/11      99.824                 1.76
313396VY6  04/23/12  10/24/11      99.955                 0.45
313396VZ3  04/24/12  07/11/11      99.880                 1.20
313396WA7  04/25/12  04/26/11      99.767                 2.33
313396WB5  04/26/12  12/08/11      99.988                 0.12
313396WC3  04/27/12  04/28/11      99.797                 2.03
313396WF6  04/30/12  10/31/11      99.955                 0.45
313396WG4  05/01/12  05/02/11      99.787                 2.13
313396WH2  05/02/12  11/18/11      99.977                 0.23
313396WJ8  05/03/12  10/19/11      99.951                 0.49
313396WK5  05/04/12  10/25/11      99.957                 0.43
313396WN9  05/07/12  05/09/11      99.796                 2.04
313396WP4  05/08/12  10/11/11      99.948                 0.52
313396WQ2  05/09/12  10/26/11      99.951                 0.49
313396WR0  05/10/12  12/16/11      99.984                 0.16
313396WS8  05/11/12  05/26/11      99.825                 1.75
313396WV1  05/14/12  11/14/11      99.965                 0.35





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396WW9  05/15/12  05/20/11      99.809                 1.91
313396WX7  05/16/12  05/23/11      99.811                 1.89
313396WY5  05/17/12  05/26/11      99.812                 1.88
313396WZ2  05/18/12  05/19/11      99.797                 2.03
313396XC2  05/21/12  11/21/11      99.963                 0.37
313396XD0  05/22/12  10/12/11      99.938                 0.62
313396XE8  05/23/12  05/26/11      99.808                 1.92
313396XF5  05/24/12  10/27/11      99.948                 0.52
313396XG3  05/25/12  11/17/11      99.974                 0.26
313396XL2  05/29/12  05/31/11      99.798                 2.02
313396XM0  05/30/12  06/02/11      99.798                 2.02
313396XN8  05/31/12  06/02/11      99.798                 2.02
313396XP3  06/01/12  06/15/11      99.804                 1.96
313396XS7  06/04/12  09/02/11      99.900                 1.00
313396XT5  06/05/12  06/17/11      99.803                 1.97
313396XU2  06/06/12  09/15/11      99.890                 1.10
313396XV0  06/07/12  06/20/11      99.794                 2.06
313396XW8  06/08/12  06/15/11      99.801                 1.99
313396XZ1  06/11/12  12/12/11      99.965                 0.35
313396YA5  06/12/12  10/07/11      99.924                 0.76
313396YB3  06/13/12  11/02/11      99.938                 0.62
313396YC1  06/14/12  08/29/11      99.895                 1.05
313396YD9  06/15/12  06/20/11      99.799                 2.01
313396YG2  06/18/12  09/14/11      99.884                 1.16
313396YH0  06/19/12  07/06/11      99.806                 1.94
313396YJ6  06/20/12  12/12/11      99.973                 0.27
313396YK3  06/21/12  08/24/11      99.874                 1.26
313396YL1  06/22/12  06/29/11      99.791                 2.09
313396YP2  06/25/12  07/28/11      99.811                 1.89
313396YQ0  06/26/12  07/07/11      99.793                 2.07
313396YR8  06/27/12  07/01/11      99.789                 2.11
313396YS6  06/28/12  07/15/11      99.816                 1.84
313396YT4  06/29/12  07/08/11      99.800                 2.00
313396YW7  07/02/12  07/22/11      99.827                 1.73
313396YZ0  07/05/12  03/09/12      99.974                 0.26
313396ZA4  07/06/12  07/11/11      99.799                 2.01
313396ZD8  07/09/12  01/09/12      99.968                 0.32
313396ZE6  07/10/12  07/12/11      99.798                 2.02
313396ZF3  07/11/12  07/15/11      99.799                 2.01
313396ZG1  07/12/12  07/14/11      99.798                 2.02
313396ZH9  07/13/12  08/12/11      99.860                 1.40
313396ZL0  07/16/12  08/26/11      99.865                 1.35
313396ZM8  07/17/12  08/15/11      99.850                 1.50
313396ZN6  07/18/12  08/25/11      99.863                 1.37
313396ZP1  07/19/12  11/22/11      99.947                 0.53
313396ZQ9  07/20/12  07/22/11      99.808                 1.92
313396ZT3  07/23/12  11/22/11      99.946                 0.54
313396ZU0  07/24/12  07/27/11      99.798                 2.02





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396ZV8  07/25/12  12/21/11      99.964                 0.36
313396ZW6  07/26/12  01/04/12      99.966                 0.34
313396ZX4  07/27/12  12/13/11      99.956                 0.44
313396A29  07/30/12  10/17/11      99.896                 1.04
313396A37  07/31/12  12/09/11      99.954                 0.46
313396A45  08/01/12  08/31/11      99.851                 1.49
313396A52  08/02/12  12/28/11      99.958                 0.42
313396A60  08/03/12  12/22/11      99.956                 0.44
313396A94  08/06/12  08/08/11      99.778                 2.22
313396B28  08/07/12  08/31/11      99.848                 1.52
313396B36  08/08/12  09/08/11      99.842                 1.58
313396B44  08/09/12  04/04/12      99.965                 0.35
313396B51  08/10/12  01/05/12      99.958                 0.42
313396B85  08/13/12  09/09/11      99.840                 1.60
313396B93  08/14/12  10/04/11      99.886                 1.14
313396C27  08/15/12  09/14/11      99.841                 1.59
313396C35  08/16/12  09/22/11      99.872                 1.28
313396C43  08/17/12  11/28/11      99.927                 0.73
313396C76  08/20/12  09/12/11      99.838                 1.62
313396C84  08/21/12  10/11/11      99.878                 1.22
313396C92  08/22/12  11/08/11      99.904                 0.96
313396D26  08/23/12  11/01/11      99.893                 1.07
313396D34  08/24/12  09/02/11      99.841                 1.59
313396D67  08/27/12  09/28/11      99.879                 1.21
313396D75  08/28/12  02/14/12      99.929                 0.71
313396D83  08/29/12  09/22/11      99.867                 1.33
313396D91  08/30/12  09/23/11      99.877                 1.23
313396E25  08/31/12  09/15/11      99.834                 1.66
313396E66  09/04/12  02/17/12      99.928                 0.72
313396E74  09/05/12  12/21/11      99.935                 0.65
313396E82  09/06/12  02/17/12      99.927                 0.73
313396E90  09/07/12  09/09/11      99.818                 1.82
313396F40  09/10/12  02/17/12      99.926                 0.74
313396F57  09/11/12  01/19/12      99.948                 0.52
313396F65  09/12/12  01/13/12      99.946                 0.54
313396F73  09/13/12  02/08/12      99.939                 0.61
313396F81  09/14/12  01/18/12      99.947                 0.53
313396G31  09/17/12  02/23/12      99.931                 0.69
313396G49  09/18/12  09/22/11      99.829                 1.71
313396G56  09/19/12  03/05/12      99.934                 0.66
313396G64  09/20/12  09/22/11      99.828                 1.72
313396G72  09/21/12  09/28/11      99.870                 1.30
313396H22  09/24/12  02/23/12      99.929                 0.71
313396H30  09/25/12  10/06/11      99.842                 1.58
313396H48  09/26/12  10/06/11      99.842                 1.58
313396H55  09/27/12  11/04/11      99.872                 1.28
313396H63  09/28/12  10/11/11      99.843                 1.57





                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396H97  10/01/12  10/18/11      99.826                 1.74
313396J20  10/02/12  10/21/11      99.827                 1.73
313396J38  10/03/12  10/19/11      99.825                 1.75
313396J46  10/04/12  03/09/12      99.930                 0.70
313396J53  10/05/12  12/22/11      99.928                 0.72
313396J95  10/09/12  10/27/11      99.855                 1.45
313396K28  10/10/12  01/11/12      99.924                 0.76
313396K36  10/11/12  10/31/11      99.856                 1.44
313396K44  10/12/12  10/28/11      99.854                 1.46
313396K77  10/15/12  04/16/12      99.923                 0.77
313396K85  10/16/12  05/07/12      99.942                 0.58
313396K93  10/17/12  10/24/11      99.821                 1.79
313396L27  10/18/12  05/23/12      99.951                 0.49
313396L35  10/19/12  10/24/11      99.820                 1.80
313396L68  10/22/12  04/23/12      99.930                 0.70
313396L76  10/23/12  01/12/12      99.921                 0.79
313396L84  10/24/12  04/04/12      99.921                 0.79
313396L92  10/25/12  03/22/12      99.910                 0.90
313396M26  10/26/12  06/04/12      99.956                 0.44
313396M59  10/29/12  04/13/12      99.928                 0.72
313396M67  10/30/12  02/10/12      99.912                 0.88
313396M75  10/31/12  01/03/12      99.925                 0.75
313396M83  11/01/12  11/17/11      99.865                 1.35
313396M91  11/02/12  11/25/11      99.867                 1.33
313396N41  11/05/12  05/07/12      99.922                 0.78
313396N58  11/06/12  12/23/11      99.911                 0.89
313396N66  11/07/12  12/30/11      99.913                 0.87
313396N74  11/08/12  03/20/12      99.890                 1.10
313396N82  11/09/12  11/16/11      99.870                 1.30
313396P49  11/13/12  12/09/11      99.887                 1.13
313396P56  11/14/12  12/08/11      99.886                 1.14
313396P64  11/15/12  12/12/11      99.887                 1.13
313396P72  11/16/12  12/15/11      99.888                 1.12
313396Q22  11/19/12  05/21/12      99.921                 0.79
313396Q30  11/20/12  05/09/12      99.924                 0.76
313396Q48  11/21/12  05/10/12      99.924                 0.76
313396Q97  11/26/12  05/29/12      99.923                 0.77
313396R21  11/27/12  02/10/12      99.895                 1.05
313396R39  11/28/12  05/16/12      99.918                 0.82
313396R47  11/29/12  05/16/12      99.918                 0.82
313396R54  11/30/12  01/03/12      99.908                 0.92
313396R88  12/03/12  12/15/11      99.872                 1.28
313396R96  12/04/12  12/20/11      99.874                 1.26
313396S20  12/05/12  08/31/12      99.971                 0.29
313396S38  12/06/12  06/21/12      99.935                 0.65
313396S46  12/07/12  05/25/12      99.924                 0.76
313396S79  12/10/12  12/12/11      99.869                 1.31
313396S87  12/11/12  05/23/12      99.921                 0.79




                         Section III-E (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
313396S95  12/12/12  12/13/11      99.868                 1.32
313396T29  12/13/12  04/30/12      99.912                 0.88
313396T37  12/14/12  04/27/12      99.917                 0.83
313396T60  12/17/12  03/26/12      99.889                 1.11
313396T78  12/18/12  01/05/12      99.874                 1.26
313396T86  12/19/12  01/10/12      99.876                 1.24
313396T94  12/20/12  05/24/12      99.918                 0.82
313396U27  12/21/12  01/09/12      99.875                 1.25
313396U50  12/24/12  06/25/12      99.915                 0.85
313396U76  12/26/12  01/17/12      99.876                 1.24
313396U84  12/27/12  01/05/12      99.861                 1.39
313396U92  12/28/12  01/05/12      99.861                 1.39
313396V42  12/31/12  06/12/12      99.921                 0.79






                               Section III-F



                FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                    Short-Term Obligations Issued at a
                      Discount and Maturing in 2012

                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KRH5  01/03/12  09/28/11      99.981                 0.19
31315KRJ1  01/04/12  09/26/11      99.983                 0.17
31315KRK8  01/05/12  12/02/11      99.996                 0.04
31315KRP7  01/09/12  10/04/11      99.984                 0.16
31315KRR3  01/11/12  01/12/11      99.636                 3.64
31315KRS1  01/12/12  10/13/11      99.985                 0.15
31315KRT9  01/13/12  01/24/11      99.656                 3.44
31315KRX0  01/17/12  01/24/11      99.652                 3.48
31315KRY8  01/18/12  11/15/11      99.993                 0.07
31315KRZ5  01/19/12  10/18/11      99.979                 0.21
31315KSA9  01/20/12  01/06/12      99.998                 0.02
31315KSD3  01/23/12  10/25/11      99.985                 0.15
31315KSF8  01/25/12  01/25/11      99.645                 3.55
31315KSG6  01/26/12  12/21/11      99.996                 0.04
31315KSH4  01/27/12  10/04/11      99.978                 0.22
31315KSN1  02/01/12  06/29/11      99.904                 0.96
31315KSP6  02/02/12  10/28/11      99.978                 0.22
31315KSQ4  02/03/12  07/27/11      99.867                 1.33
31315KST8  02/06/12  01/11/12      99.997                 0.03
31315KSW1  02/09/12  10/27/11      99.980                 0.20
31315KTA8  02/13/12  10/24/11      99.978                 0.22
31315KTB6  02/14/12  01/30/12      99.997                 0.03
31315KTC4  02/15/12  01/10/12      99.996                 0.04
31315KTE0  02/17/12  12/05/11      99.990                 0.10
31315KTJ9  02/21/12  08/23/11      99.929                 0.71
31315KTK6  02/22/12  11/28/11      99.986                 0.14
31315KTL4  02/23/12  02/28/11      99.710                 2.90
31315KTM2  02/24/12  02/01/12      99.995                 0.05
31315KTQ3  02/27/12  01/19/12      99.995                 0.05
31315KTR1  02/28/12  01/18/12      99.994                 0.06
31315KTS9  02/29/12  03/17/11      99.748                 2.52
31315KTT7  03/01/12  09/28/11      99.953                 0.47
31315KTU4  03/02/12  12/07/11      99.988                 0.12
31315KTX8  03/05/12  02/10/12      99.993                 0.07
31315KTY6  03/06/12  08/31/11      99.927                 0.73
31315KTZ3  03/07/12  02/27/12      99.999                 0.01
31315KUA6  03/08/12  12/16/11      99.988                 0.12
31315KUF5  03/13/12  02/14/12      99.991                 0.09
31315KUJ7  03/16/12  12/12/11      99.987                 0.13
31315KUM0  03/19/12  03/16/12      99.999                 0.01
31315KUQ1  03/22/12  02/23/12      99.992                 0.08
31315KUR9  03/23/12  06/24/11      99.864                 1.36
31315KUU2  03/26/12  06/24/11      99.854                 1.46





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KUV0  03/27/12  12/15/11      99.986                 0.14
31315KUW8  03/28/12  03/29/11      99.676                 3.24
31315KUX6  03/29/12  03/30/11      99.676                 3.24
31315KUY4  03/30/12  03/31/11      99.676                 3.24
31315KVB3  04/02/12  06/01/11      99.830                 1.70
31315KVC1  04/03/12  06/13/11      99.836                 1.64
31315KVD9  04/04/12  12/27/11      99.984                 0.16
31315KVE7  04/05/12  07/05/11      99.855                 1.45
31315KVJ6  04/09/12  01/13/12      99.986                 0.14
31315KVK3  04/10/12  01/18/12      99.986                 0.14
31315KVM9  04/12/12  04/15/11      99.698                 3.02
31315KVN7  04/13/12  04/18/11      99.699                 3.01
31315KVR8  04/16/12  04/20/11      99.729                 2.71
31315KVS6  04/17/12  04/18/11      99.706                 2.94
31315KVT4  04/18/12  04/05/12      99.996                 0.04
31315KVY3  04/23/12  12/15/11      99.978                 0.22
31315KVZ0  04/24/12  01/18/12      99.984                 0.16
31315KWA4  04/25/12  07/25/11      99.847                 1.53
31315KWB2  04/26/12  04/27/11      99.716                 2.84
31315KWC0  04/27/12  03/30/12      99.994                 0.06
31315KWG1  05/01/12  05/11/11      99.773                 2.27
31315KWH9  05/02/12  02/07/12      99.972                 0.28
31315KWJ5  05/03/12  07/27/11      99.766                 2.34
31315KWN6  05/07/12  09/28/11      99.920                 0.80
31315KWP1  05/08/12  04/12/12      99.991                 0.09
31315KWQ9  05/09/12  04/05/12      99.991                 0.09
31315KWR7  05/10/12  05/03/12      99.998                 0.02
31315KWS5  05/11/12  05/13/11      99.767                 2.33
31315KWW6  05/15/12  05/16/11      99.757                 2.43
31315KXC9  05/21/12  05/18/12      99.999                 0.01
31315KXD7  05/22/12  02/23/12      99.968                 0.32
31315KXE5  05/23/12  04/20/12      99.992                 0.08
31315KXG0  05/25/12  04/26/12      99.992                 0.08
31315KXL9  05/29/12  05/22/12      99.998                 0.02
31315KXN5  05/31/12  06/01/11      99.767                 2.33
31315KXP0  06/01/12  06/03/11      99.757                 2.43
31315KXS4  06/04/12  05/01/12      99.989                 0.11
31315KXT2  06/05/12  05/02/12      99.990                 0.10
31315KXU9  06/06/12  06/07/11      99.757                 2.43
31315KXW5  06/08/12  03/09/12      99.970                 0.30
31315KXZ8  06/11/12  05/11/12      99.989                 0.11
31315KYB0  06/13/12  05/16/12      99.991                 0.09
31315KYD6  06/15/12  11/21/11      99.937                 0.63
31315KYG9  06/18/12  03/12/12      99.973                 0.27
31315KYJ3  06/20/12  06/21/11      99.716                 2.84
31315KYK0  06/21/12  05/30/12      99.993                 0.07
31315KYL8  06/22/12  06/23/11      99.767                 2.33
31315KYP9  06/25/12  09/02/11      99.843                 1.57





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KYR5  06/27/12  06/20/12      99.998                 0.02
31315KYS3  06/28/12  12/13/11      99.940                 0.60
31315KYT1  06/29/12  07/01/11      99.747                 2.53
31315KYW4  07/02/12  08/23/11      99.791                 2.09
31315KYX2  07/03/12  08/24/11      99.817                 1.83
31315KZA1  07/06/12  09/09/11      99.833                 1.67
31315KZF0  07/11/12  07/12/11      99.757                 2.43
31315KZG8  07/12/12  06/14/12      99.991                 0.09
31315KZH6  07/13/12  07/14/11      99.757                 2.43
31315KZL7  07/16/12  04/19/12      99.971                 0.29
31315KZM5  07/17/12  07/19/11      99.778                 2.22
31315KZP8  07/19/12  04/11/12      99.959                 0.41
31315KZQ6  07/20/12  08/11/11      99.828                 1.72
31315KZT0  07/23/12  04/17/12      99.960                 0.40
31315KZU7  07/24/12  07/26/11      99.717                 2.83
31315KZV5  07/25/12  09/22/11      99.846                 1.54
31315KZW3  07/26/12  05/17/12      99.977                 0.23
31315KZX1  07/27/12  06/27/12      99.991                 0.09
31315KA26  07/30/12  07/06/12      99.991                 0.09
31315KA34  07/31/12  08/10/11      99.773                 2.27
31315KA42  08/01/12  10/31/11      99.885                 1.15
31315KA59  08/02/12  07/06/12      99.990                 0.10
31315KA67  08/03/12  08/18/11      99.805                 1.95
31315KA91  08/06/12  05/03/12      99.966                 0.34
31315KB58  08/10/12  02/07/12      99.923                 0.77
31315KB82  08/13/12  07/11/12      99.988                 0.12
31315KB90  08/14/12  05/09/12      99.960                 0.40
31315KC24  08/15/12  08/24/11      99.752                 2.48
31315KC32  08/16/12  07/24/12      99.992                 0.08
31315KC99  08/22/12  07/27/12      99.991                 0.09
31315KD23  08/23/12  12/14/11      99.909                 0.91
31315KD31  08/24/12  05/21/12      99.960                 0.40
31315KD72  08/28/12  05/15/12      99.953                 0.47
31315KD80  08/29/12  08/31/11      99.798                 2.02
31315KD98  08/30/12  08/31/11      99.787                 2.13
31315KE22  08/31/12  10/19/11      99.824                 1.76
31315KG38  09/17/12  09/14/12      99.999                 0.01
31315KJ92  10/09/12  10/05/12      99.999                 0.01
31315KK74  10/15/12  10/12/12      99.999                 0.01
31315KL65  10/22/12  10/19/12      99.999                 0.01
31315KM64  10/30/12  08/01/12      99.960                 0.40
31315KM72  10/31/12  11/14/11      99.824                 1.76
31315KQ94  11/26/12  11/21/12      99.999                 0.01
31315KT26  12/13/12  09/14/12      99.958                 0.42
31315KT34  12/14/12  11/19/12      99.990                 0.10
31315KT67  12/17/12  11/16/12      99.986                 0.14
31315KT75  12/18/12  11/21/12      99.987                 0.13
31315KT83  12/19/12  09/24/12      99.967                 0.33





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KT91  12/20/12  11/28/12      99.990                 0.10
31315KU24  12/21/12  06/21/12      99.903                 0.97
31315KU73  12/26/12  03/23/12      99.846                 1.54
31315KU81  12/27/12  09/26/12      99.963                 0.37
31315KU99  12/28/12  09/19/12      99.953                 0.47






                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KRL6  01/06/12  01/05/12      99.9999                 0.001
31315KRQ5  01/10/12  01/09/12      99.9999                 0.001
31315KSE1  01/24/12  01/23/12      99.9999                 0.001
31315KSL5  01/30/12  01/27/12      99.9997                 0.003
31315KSM3  01/31/12  01/30/12      99.9999                 0.001
31315KSU5  02/07/12  02/06/12      99.9999                 0.001
31315KSV3  02/08/12  02/07/12      99.9999                 0.001
31315KSX9  02/10/12  02/09/12      99.9999                 0.001
31315KTD2  02/16/12  02/15/12      99.9999                 0.001
31315KUB4  03/09/12  03/08/12      99.9999                 0.001
31315KUE8  03/12/12  03/09/12      99.9996                 0.004
31315KUG3  03/14/12  03/13/12      99.9999                 0.001
31315KUH1  03/15/12  03/14/12      99.9998                 0.002
31315KUN8  03/20/12  03/19/12      99.9998                 0.002
31315KUP3  03/21/12  03/20/12      99.9998                 0.002
31315KVL1  04/11/12  04/10/12      99.9998                 0.002
31315KVU1  04/19/12  04/18/12      99.9999                 0.001
31315KVV9  04/20/12  04/19/12      99.9999                 0.001
31315KWF3  04/30/12  04/27/12      99.9995                 0.005
31315KWK2  05/04/12  05/03/12      99.9998                 0.002
31315KWV8  05/14/12  05/11/12      99.9997                 0.003
31315KWX4  05/16/12  05/15/12      99.9998                 0.002
31315KWY2  05/17/12  05/16/12      99.9997                 0.003
31315KWZ9  05/18/12  05/17/12      99.9997                 0.003
31315KXF2  05/24/12  05/23/12      99.9998                 0.002
31315KXM7  05/30/12  05/29/12      99.9998                 0.002





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KXV7  06/07/12  06/06/12      99.9999                 0.001
31315KYA2  06/12/12  06/11/12      99.9999                 0.001
31315KYC8  06/14/12  06/13/12      99.9999                 0.001
31315KYH7  06/19/12  06/18/12      99.9999                 0.001
31315KYQ7  06/26/12  06/25/12      99.9999                 0.001
31315KYZ7  07/05/12  07/03/12      99.9998                 0.002
31315KZD5  07/09/12  07/06/12      99.9996                 0.004
31315KZE3  07/10/12  07/09/12      99.9999                 0.001
31315KZN3  07/18/12  07/17/12      99.9999                 0.001
31315KB25  08/07/12  08/06/12      99.9999                 0.001
31315KB33  08/08/12  08/07/12      99.9999                 0.001
31315KB41  08/09/12  08/08/12      99.9998                 0.002
31315KC40  08/17/12  08/16/12      99.9999                 0.001
31315KC73  08/20/12  08/17/12      99.9997                 0.003
31315KC81  08/21/12  08/20/12      99.9999                 0.001
31315KD64  08/27/12  08/24/12      99.9997                 0.003
31315KE63  09/04/12  08/31/12      99.9996                 0.004
31315KE71  09/05/12  09/04/12      99.9999                 0.001
31315KE89  09/06/12  09/05/12      99.9999                 0.001
31315KE97  09/07/12  09/06/12      99.9998                 0.002
31315KF47  09/10/12  09/07/12      99.9997                 0.003
31315KF54  09/11/12  09/10/12      99.9999                 0.001
31315KF62  09/12/12  09/11/12      99.9999                 0.001
31315KF70  09/13/12  09/12/12      99.9999                 0.001
31315KF88  09/14/12  09/13/12      99.9997                 0.003
31315KG46  09/18/12  09/17/12      99.9999                 0.001
31315KG53  09/19/12  09/18/12      99.9999                 0.001
31315KG61  09/20/12  09/19/12      99.9999                 0.001
31315KG79  09/21/12  09/20/12      99.9999                 0.001
31315KH29  09/24/12  09/21/12      99.9997                 0.003
31315KH37  09/25/12  09/24/12      99.9999                 0.001
31315KH45  09/26/12  09/25/12      99.9999                 0.001
31315KH52  09/27/12  09/26/12      99.9999                 0.001
31315KH60  09/28/12  09/27/12      99.9999                 0.001
31315KH94  10/01/12  09/28/12      99.9997                 0.003
31315KJ27  10/02/12  10/01/12      99.9999                 0.001
31315KJ35  10/03/12  10/02/12      99.9998                 0.002
31315KJ43  10/04/12  10/03/12      99.9997                 0.003
31315KJ50  10/05/12  10/04/12      99.9999                 0.001
31315KK25  10/10/12  10/09/12      99.9999                 0.001
31315KK33  10/11/12  10/10/12      99.9998                 0.002
31315KK41  10/12/12  10/11/12      99.9998                 0.002
31315KK82  10/16/12  10/15/12      99.9998                 0.002
31315KK90  10/17/12  10/16/12      99.9999                 0.001
31315KL24  10/18/12  10/17/12      99.9999                 0.001
31315KL32  10/19/12  10/18/12      99.9998                 0.002
31315KL73  10/23/12  10/22/12      99.9999                 0.001





                         Section III-F (continued)



                                                   Discount to be
                                 Issue Price      Reported as 2012
  CUSIP    Maturity    Issue   (% of Principal   Interest(Per $1,000
  Number     Date      Date        Amount)         Maturity Value)
---------  --------  --------  ---------------   -------------------
31315KL81  10/24/12  10/23/12      99.9999                 0.001
31315KL99  10/25/12  10/24/12      99.9998                 0.002
31315KM23  10/26/12  10/25/12      99.9999                 0.001
31315KM56  10/29/12  10/26/12      99.9997                 0.003
31315KM80  11/01/12  10/31/12      99.9998                 0.002
31315KM98  11/02/12  11/01/12      99.9998                 0.002
31315KN48  11/05/12  11/02/12      99.9997                 0.003
31315KN55  11/06/12  11/05/12      99.9999                 0.001
31315KN63  11/07/12  11/06/12      99.9999                 0.001
31315KN71  11/08/12  11/07/12      99.9999                 0.001
31315KN89  11/09/12  11/08/12      99.9999                 0.001
31315KP46  11/13/12  11/09/12      99.9996                 0.004
31315KP53  11/14/12  11/13/12      99.9999                 0.001
31315KP61  11/15/12  11/14/12      99.9999                 0.001
31315KP79  11/16/12  11/15/12      99.9999                 0.001
31315KQ29  11/19/12  11/16/12      99.9997                 0.003
31315KQ37  11/20/12  11/19/12      99.9999                 0.001
31315KQ45  11/21/12  11/20/12      99.9999                 0.001
31315KR28  11/27/12  11/26/12      99.9997                 0.003
31315KR36  11/28/12  11/27/12      99.9999                 0.001
31315KR44  11/29/12  11/28/12      99.9998                 0.002
31315KR51  11/30/12  11/29/12      99.9998                 0.002
31315KR85  12/03/12  11/30/12      99.9997                 0.003
31315KR93  12/04/12  12/03/12      99.9999                 0.001
31315KS27  12/05/12  12/04/12      99.9999                 0.001
31315KS35  12/06/12  12/05/12      99.9998                 0.002
31315KS43  12/07/12  12/06/12      99.9998                 0.002
31315KS76  12/10/12  12/07/12      99.9995                 0.005
31315KS84  12/11/12  12/10/12      99.9998                 0.002
31315KS92  12/12/12  12/11/12      99.9998                 0.002









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