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 2020 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     2020 1st    2020 2nd   2021 2nd       --------------- 
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/20      Period     2021 1st    Period        2020       2021 
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______

Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      743.69     0.204308    0.225222   0.247599      76.66      84.22






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 2020 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABN Amro Bank N.V.       00079FHN5 01/13/05 01/13/20    100.000    VARIES     4.7500             0.132163                                                 1.59         
ALTERYX INC              02156BAA1 05/18/18 06/01/23     98.000     0.500     0.9072      6.33   0.010958   0.011008   0.011057   0.011108  0.011158      3.96     3.99
ALTERYX INC              02156BAB9 05/18/18 06/01/23     98.000     0.500     0.9072      6.33   0.010958   0.011008   0.011057   0.011108  0.011158      3.96     3.99
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES     4.4730             0.171056   0.174703   0.178411   0.182203  0.186079     63.12    65.83
ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26     96.122     3.650     4.2802      5.34   0.013293   0.013578   0.013868   0.014165  0.014468      4.92     5.14
ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36     93.636     4.700     5.2667      2.67   0.006676   0.006852   0.007033   0.007218  0.007408      2.49     2.62
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875        N/A             0.025127   0.025122   0.025117   0.025111  0.025105      9.04     9.04
Argentina, Republic      040114GB0 07/21/00 07/21/30     80.144    10.250    12.8670     49.72   0.018441   0.019627   0.020890   0.022234  0.023664      7.24     8.21
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250     0.000        N/A             0.610613   0.612297   0.617476   0.616037  0.621506    223.88   225.17
BRE Properties, Inc.     05564EBM7 04/04/14 01/15/23     94.166     3.375     4.1754     35.72   0.019239   0.019641   0.020051   0.020469  0.020897      7.13     7.43
Banco de Galicia         059538AR9 07/19/16 07/19/26    100.000    VARIES     8.7499    304.27   0.247121   0.247906   0.248726   0.249582  0.250475     89.36    89.98
Bank of America Corp.    06048WB74 08/02/19 08/02/49    100.000     0.000     4.1568     17.20   0.115467   0.117867   0.120316   0.122817  0.125370     42.72    44.52
Bank of America Corp.    06048WBD1 03/19/10 03/19/20    100.000    VARIES     5.5724             0.155231                                                12.11         
Bank of America Corp.    06048WCB4 05/28/10 05/28/30    100.000    VARIES     5.5514             0.137499   0.138096   0.138709   0.139339  0.139987     49.65    50.09
Bank of America Corp.    06048WCC2 05/28/10 05/28/20    100.000    VARIES     5.2406             0.145866                                                21.44         
Bank of America Corp.    06048WCJ7 06/24/10 06/24/30*   100.000    VARIES     5.5092             0.143090   0.143446                                     50.72*        
Bank of America Corp.    06048WCQ1 06/29/10 06/29/20    100.000    VARIES     5.5310             0.153961                                                27.41         
Bank of America Corp.    06048WCS7 07/12/10 07/12/30    100.000    VARIES     5.8002             0.151674   0.151987   0.152309                          54.77    55.00
Bank of America Corp.    06048WCU2 06/28/10 06/28/30*   100.000    VARIES     5.8695             0.156118   0.156361                                     42.02*        
Bank of America Corp.    06048WCY4 08/12/10 08/12/30*   100.000    VARIES     5.3993             0.140873   0.141182   0.141499                          43.92*        
Bank of America Corp.    06048WDG2 08/17/10 08/17/20    100.000    VARIES     2.4230             0.008758   0.008864                                      2.00         
Bank of America Corp.    06048WDK3 08/25/10 08/25/20    100.000    VARIES     2.3835             0.009046   0.009154                                      2.14         
Bank of America Corp.    06048WDM9 09/03/10 09/03/20    100.000    VARIES     2.5928             0.014965   0.015159                                      3.66         
Bank of America Corp.    06048WDQ0 10/01/10 10/01/20    100.000    VARIES     5.0520             0.140333   0.140333                                     37.89         
Bank of America Corp.    06048WDT4 09/23/10 09/23/30*   100.000    VARIES     5.3199             0.139781   0.140053   0.140333                          49.16*        
Bank of America Corp.    06048WDU1 09/08/10 09/08/20    100.000    VARIES     2.4734             0.015811   0.016006                                      3.94         
Bank of America Corp.    06048WDW7 09/28/10 09/28/20    100.000    VARIES     2.6605             0.016515   0.016735                                      4.45         
Bank of America Corp.    06048WDZ0 09/28/10 09/28/20    100.000    VARIES     2.4632             0.011472   0.011613                                      3.09         
Bank of America Corp.    06048WEB2 09/28/10 09/28/20    100.000    VARIES     2.6494             0.016487   0.016706                                      4.44         
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES     5.2017             0.134161   0.134515   0.134878   0.135251  0.135633     48.42    48.68
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES     5.6999             0.148034   0.148377   0.148729   0.149092  0.149465     53.38    53.64
Bank of America Corp.    06048WEL0 11/18/10 11/18/20    100.000    VARIES     2.5529             0.014703   0.014891                                      4.69         
Bank of America Corp.    06048WEP1 11/19/10 11/19/20    100.000    VARIES     2.4292             0.020857   0.021110                                      6.68         
Bank of America Corp.    06048WEQ9 11/30/10 11/30/20    100.000    VARIES     1.9847             0.010476   0.010580                                      3.47         
Bank of America Corp.    06048WES5 12/01/10 12/01/20    100.000    VARIES     2.5893             0.011081   0.011224                                      3.68         
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES     5.9911             0.153695   0.154112   0.154542   0.154984  0.155440     55.42    55.73
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WEX4 12/10/10 12/10/20    100.000    VARIES     2.5961             0.010994   0.011137                                      3.75         
Bank of America Corp.    06048WEY2 01/13/11 01/13/31    100.000    VARIES     5.1717             0.137592   0.137789   0.137990                          49.64    49.78
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES     5.4019             0.149870   0.149930   0.149991                          53.98     1.95
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES     5.5089             0.152871   0.152921   0.152972                          55.06     7.19
Bank of America Corp.    06048WFG0 02/24/11 02/24/31    100.000    VARIES     5.9293             0.159738   0.159892   0.160050   0.160213  0.160380     57.57    57.69
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES     5.6399             0.150496   0.150690   0.150890   0.151095  0.151306     54.26    54.41
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES     5.2650             0.146030   0.146101   0.146174                          52.60     7.89
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES     5.0284             0.140332   0.140120   0.139902                          50.43     9.79
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES     5.2102             0.145032   0.144933   0.144832                          52.18    12.89
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES     2.3129             0.010276   0.010395   0.010515                           3.74     0.93
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES     5.3401             0.148568   0.148493   0.148416                          53.46    14.99
Bank of America Corp.    06048WG61 12/23/19 12/23/49    100.000     0.000     3.6664      0.81   0.101844   0.103711   0.105613   0.107549  0.109520     37.03    38.40
Bank of America Corp.    06048WGC8 05/27/11 05/27/31    100.000    VARIES     5.1375             0.135621   0.135851   0.136086   0.136328  0.136576     48.88    49.05
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES     2.2369             0.061689   0.061836   0.061985                          22.24    10.10
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES     4.8974             0.135955   0.135966   0.135977   0.135989  0.136001     48.95    48.95
Bank of America Corp.    06048WGG9 06/27/11 06/27/31*   100.000    VARIES     5.5242             0.146175   0.146406   0.146643                          52.37*        
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES     5.1062             0.141878   0.141868   0.141858   0.141848               51.07    26.38
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES     2.3483             0.016163   0.016352   0.016544                           5.85     2.93
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31    100.000    VARIES     5.5582             0.146882   0.147106   0.147337                          52.99    53.16
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES     5.1475             0.142642   0.142681   0.142721   0.142763  0.142805     51.37    51.40
Bank of America Corp.    06048WGU8 07/14/11 07/14/26*   100.000    VARIES     5.3900             0.145581   0.145828   0.146082                          41.14*        
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31    100.000    VARIES     5.2773             0.139206   0.139430   0.139661   0.139897  0.140140     50.22    50.39
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES     4.7457             0.131598   0.131624   0.131650   0.131678  0.131706     47.39    47.41
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES     5.0293             0.131935   0.132175   0.132421   0.132673  0.132931     47.60    47.78
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES     5.3142             0.139104   0.139362   0.139627   0.139899  0.140178     50.17    50.36
Bank of America Corp.    06048WJA9 11/04/11 11/04/31*   100.000    VARIES     5.9880             0.158693   0.158915                                     48.12*        
Bank of America Corp.    06048WKG4 01/31/12 01/31/32    100.000    VARIES     5.8093             0.154823   0.155006   0.155193   0.155387  0.155585     55.83    55.96
Bank of America Corp.    06048WKR0 02/23/12 02/23/32*   100.000    VARIES     5.1904             0.142169   0.142227   0.142287                          45.80*        
Bank of America Corp.    06048WKU3 03/08/12 03/08/32*   100.000    VARIES     5.6026             0.150304   0.150454   0.150608                          50.56*        
Bank of America Corp.    06048WLF5 03/30/12 03/30/32*   100.000    VARIES     5.3816             0.146462   0.146548                                     39.27*        
Bank of America Corp.    06048WLN8 04/16/12 04/16/32*   100.000    VARIES     5.1652             0.138142   0.138296                                     39.40*        
Bank of America Corp.    06048WLQ1 04/16/12 04/16/30*   100.000    VARIES     5.4874             0.147123   0.147313                                     41.96*        
Bank of America Corp.    06048WLX6 05/04/12 05/04/32*   100.000    VARIES     5.6986             0.151440   0.151632                                     45.92*        
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES     1.6066             0.009361   0.009437   0.009512   0.009589  0.009666      3.39     3.45
Bank of America Corp.    06048WNK2 12/10/12 12/10/22    100.000    VARIES     1.4139             0.038511   0.038636   0.038762   0.038889  0.039016     13.89    13.98
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES     5.0043             0.132955   0.133106   0.133262   0.133422  0.133585     47.94    48.06
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES     4.8453             0.128850   0.128996   0.129145   0.129298  0.129454     46.45    46.56
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES     4.9958             0.130828   0.130970   0.131837   0.131266  0.132141     48.03    48.05
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES     4.8735             0.129347   0.129499   0.129656   0.129816  0.129980     46.62    46.74
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES     4.7034             0.124940   0.125086   0.125236   0.125389  0.125546     45.03    45.14
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES     4.8649             0.129390   0.129536   0.129685   0.129838  0.129994     46.61    46.72
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES     3.7879             0.101663   0.100803   0.102726   0.101305  0.103247     37.18    37.30
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES     4.4527             0.117910   0.118054   0.118201   0.118351  0.118505     42.50    42.61
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES     2.8047             0.016495   0.015975   0.015447   0.015664  0.015884      5.75     5.64
Bank of America Corp.    06048WRV4 10/30/15 10/30/25    100.000    VARIES     2.4485             0.008606   0.008712   0.008818   0.008926  0.009035      3.13     3.21
Bank of America Corp.    06048WTR1 10/28/16 10/28/26    100.000    VARIES     2.1950      8.77   0.007271   0.007351   0.007431   0.007513  0.007595      2.64     2.70
Bank of America Corp.    06048WUR9 08/25/17 08/25/29    100.000    VARIES     1.6609      6.79   0.007319   0.007380   0.007441   0.007503  0.007565      2.66     2.71
Bank of America Corp.    06048WUT5 08/28/17 08/28/27    100.000    VARIES     1.7157      8.72   0.009588   0.009670   0.009753   0.009837  0.009921      3.49     3.55
Bank of America Corp.    06048WVM9 01/30/18 01/30/28    100.000    VARIES     3.1591      7.59   0.009952   0.009275   0.009422   0.009571  0.009722      3.38     3.46
Bank of America Corp.    06048WWA4 03/27/18 03/27/28    100.000    VARIES     3.7904     66.86   0.105584   0.105569   0.105554   0.105539  0.105523     38.00    37.99
Bank of America Corp.    06048WWX4 06/13/18 06/13/28    100.000    VARIES     3.6250      8.74   0.013641   0.012566   0.012794   0.013026  0.013262      4.70     4.66
Bank of America Corp.    06048WWY2 06/27/18 06/27/28    100.000    VARIES     3.6179      9.86   0.016773   0.016071   0.015357   0.014630  0.014894      5.91     5.40
Bank of America Corp.    06048WZE3 02/06/19 02/06/39    100.000     0.000     4.7730     43.55   0.135749   0.138988   0.142305   0.145702  0.149179     50.40    52.84
Bank of America Corp.    06051GHN2 08/29/18 12/15/37     43.329     0.000     4.3817     25.92   0.055784   0.057006   0.058255   0.059531  0.060835     20.34    21.24
Bank of America Corp.    06053M427 09/05/14 08/27/21    100.000     0.000     2.9178             0.093622   0.094988   0.096374   0.097780               34.29    23.00
Bank of America Corp.    06053M518 10/02/14 09/24/21    100.000     0.000     3.1046             0.100533   0.102094   0.103678   0.105288               36.78    27.56
Bank of America Corp.    06053M534 11/06/14 10/29/21    100.000     0.000     2.9616             0.095239   0.096649   0.098081   0.099533               34.72    29.49
Bank of America Corp.    06053M674 12/03/14 11/24/21    100.000     0.000     2.8708             0.091893   0.093213   0.094550   0.095908               33.42    30.78
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000     3.3492             0.108172   0.109983   0.111825   0.113698  0.115602     39.72    41.07
Bank of America Corp.    06053U106 02/05/15 01/28/22    100.000     0.000     2.5377             0.078925   0.079926   0.080940   0.081967  0.083007     28.90    29.64
Bank of America Corp.    06053W169 04/02/15 03/25/22    100.000     0.000     2.7072             0.084830   0.085978   0.087142   0.088322  0.089517     30.97    31.81
Bank of America Corp.    06053W359 06/04/15 05/27/22    100.000     0.000     2.8843             0.091089   0.092403   0.093736   0.095088  0.096459     33.12    34.08
Bank of America Corp.    06053W458 07/02/15 06/24/22    100.000     0.000     3.1925             0.102195   0.103826   0.105483   0.107167  0.108878     37.11    38.30
Bank of America Corp.    06053W631 08/10/15 08/27/21    100.000     0.000     2.7830             0.086455   0.087658   0.088877   0.090114               31.64    21.20
Bank of America Corp.    06053W649 08/10/15 08/26/22    100.000     0.000     3.0325             0.095140   0.096582   0.098047   0.099533  0.101042     34.87    35.94
Bank of America Corp.    06053W730 10/01/15 09/30/22    100.000     0.000     2.9206             0.089603   0.090912   0.092746   0.093586  0.095474     33.33    34.26
Bank of America Corp.    06053W888 10/23/15 10/28/22    100.000     0.000     2.9889             0.093523   0.094921   0.096339   0.097779  0.099240     34.10    35.12
Bank of Nova Scotia      064159MB9 08/29/18 08/05/20    100.000     0.000     3.0786     41.79   0.087992   0.089346                                     19.07         
Bank of Nova Scotia      064159MG8 10/09/18 11/04/20    100.000     0.000     3.3597     41.80   0.096712   0.098336                                     29.60         
Bank of Nova Scotia      064159MP8 11/09/18 11/04/21    100.000     0.000     3.6704     42.55   0.105678   0.107618   0.109593   0.111604               38.62    33.57
Bank of Nova Scotia      064159PJ9 07/09/19 08/04/21    100.000     0.000     2.2132     10.59   0.061572   0.062253   0.062942   0.063639               22.49    13.53
Bank of Nova Scotia      06417P124 08/01/19 07/26/24    100.000     0.000     2.5003     10.42   0.069453   0.070297   0.071176   0.072066  0.072967     25.42    26.06
Bank of Nova Scotia      06417P330 06/06/19 05/30/25    100.000     0.000     3.0038     17.14   0.084652   0.085923   0.087213   0.088523  0.089853     30.78    31.71
Bank of Nova Scotia      06417P538 01/31/19 01/27/23    100.000     0.000     3.6098     33.46   0.102052   0.103894   0.105769   0.107678  0.109622     37.64    39.01
Bank of Nova Scotia      06417P611 12/28/18 12/20/24    100.000     0.000     3.9396     40.14   0.113690   0.115930   0.118213   0.120542  0.122916     41.38    43.03
Bank of Nova Scotia      06417P819 11/01/18 10/25/24    100.000     0.000     3.9550     46.80   0.114175   0.116433   0.118735   0.121083  0.123477     41.81    43.48
Barclays Bank PLC        067387HP8 02/28/14 02/29/20    100.000     0.000     2.6300             0.083420                                                 4.92         
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000     3.5500             0.119669   0.121793   0.123955   0.126155  0.128394     43.86    45.43
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000     3.6100             0.122086   0.124289   0.126533   0.128817  0.131142     44.71    46.34
Barclays Bank PLC        06738G8A1 01/30/20 02/04/25    104.000     0.000     2.1300             0.061533   0.061547   0.062203   0.062865  0.063535     20.47    22.71
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES     3.8891             0.110328   0.110313   0.110297   0.110011  0.109720     39.71    39.63
Barclays Bank PLC        06738JHK3 09/30/10 09/30/20    100.000    VARIES     4.0513             0.113802   0.113176                                     30.50         
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES     4.2147             0.120439   0.119966   0.119483   0.118900  0.118304     43.20    42.82
Barclays Bank PLC        06738JJR6 10/07/10 10/07/20    100.000    VARIES     4.0417             0.113652   0.112967                                     31.24         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738JL28 03/24/11 03/24/21    100.000    VARIES     4.4416             0.127003   0.126431   0.124920                          45.42    10.37
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25**  100.000    VARIES     3.9434             0.000000   0.000000   0.000000   0.000000  0.000000      0.00**   0.00
Barclays Bank PLC        06738JLS1 10/21/10 10/21/20    100.000    VARIES     4.0317             0.113449   0.112727                                     32.77         
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES     4.2148             0.120475   0.119997   0.119510   0.118921  0.118320     43.20    42.82
Barclays Bank PLC        06738JMB7 08/19/10 08/19/22    100.000    VARIES     4.2846    405.85   0.120789   0.120699   0.120607   0.120513  0.120417     43.44    43.38
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES     5.5651             0.127768   0.128877   0.130170   0.131499  0.132864     46.50    47.44
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES     4.8413             0.135512   0.135182   0.134836                          48.63     5.12
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES     4.8210             0.134962   0.134626   0.134276                          48.45    10.07
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES     5.1731             0.147415   0.146207   0.144968                          52.58     9.86
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES     5.0807             0.142413   0.141984   0.141563                          51.12    13.73
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES     4.6809             0.131024   0.130709   0.130371                          47.08    17.08
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES     4.8717             0.138357   0.137940   0.137480   0.137008  0.136569     49.73    49.41
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES     4.8123             0.135675   0.135214   0.134742   0.134215               48.62    27.80
Barclays Bank PLC        06738KN98 02/29/12 02/28/22    100.000    VARIES     4.0104             0.110668   0.109374   0.111085   0.109173  0.110884     40.32    40.17
Barclays Bank PLC        06738KQ53 02/14/12 02/14/22    100.000     0.500     4.1087             0.149885   0.152679   0.155530   0.158440  0.161410     55.23    57.32
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES     6.1336             0.147324   0.147493   0.151793   0.150950  0.155162     54.50    55.66
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES     4.6124             0.131383   0.130617   0.129833   0.128987               46.93    27.63
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES     5.4570             0.141155   0.142674   0.144235   0.145647  0.147096     51.37    52.44
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES     5.2986             0.138161   0.139259   0.140386   0.141382  0.142406     50.14    50.90
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES     4.5597             0.120958   0.120687   0.123772   0.122575  0.125460     44.39    45.06
Barclays Bank PLC        06739FJA0 12/18/15 12/19/22    100.000     0.125     2.3109     96.96   0.070039   0.070808   0.071587   0.072374  0.073170     25.37    25.93
Barclays Bank PLC        06739FJF9 03/11/16 03/13/23    100.000     0.125     2.2608     89.15   0.067664   0.068390   0.069124   0.069866  0.070616     24.65    25.18
Barclays Bank PLC        06739FJQ5 10/30/18 10/30/23    100.000     0.000     3.9200     46.49   0.113199   0.115418   0.117680   0.119987  0.122338     41.42    43.06
Barclays Bank PLC        06740AL80 02/28/14 02/27/20    100.000     0.000     2.6775             0.084215                                                 4.80         
Barclays Bank PLC        06740ASJ9 02/29/12 02/28/22    100.000    VARIES     3.2529             0.092149   0.090702   0.091654   0.089609  0.090481     33.40    32.93
Barclays Bank PLC        06740AYA1 02/28/13 02/27/20    100.000     0.000     2.1583             0.067427                                                 3.84         
Barclays Bank PLC        06740AYT0 04/30/13 04/29/20    100.000     0.000     2.0500             0.063948                                                 7.61         
Barclays Bank PLC        06740D558 02/04/15 08/03/22    100.000     0.000     2.2500             0.069116   0.069894   0.070680   0.071475  0.072279     25.25    25.82
Barclays Bank PLC        06740PBX3 07/06/10 07/06/20    100.000    VARIES     5.0547             0.143632   0.142040                                     26.29         
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES     4.9296             0.108669   0.109802   0.110962   0.112150  0.113368     39.40    40.24
Barclays Bank PLC        06740PM37 11/30/10 11/30/20    100.000    VARIES     4.6824             0.131721   0.130903                                     43.19         
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25    100.000    VARIES     4.4380             0.110049   0.111007   0.111986   0.112987  0.114010     39.99    40.71
Barclays Bank PLC        06740PMT0 08/26/10 08/26/20    100.000    VARIES     4.3098             0.121714   0.120726                                     28.42         
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES     5.2624             0.131026   0.132212   0.133430   0.134507  0.135613     47.39    48.23
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES     4.6203             0.129815   0.129949   0.130087   0.129930  0.129769     46.78    46.78
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25    100.000    VARIES     4.7399             0.112047   0.113421   0.114827   0.116267  0.117740     40.84    41.86
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES     5.6003             0.131983   0.133885   0.135840   0.137595  0.139398     47.86    49.22
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES     4.9825             0.140865   0.140116   0.139270                          50.31     1.81
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES     5.5228             0.137231   0.137965   0.138720   0.139495  0.140594     49.76    50.37
Barclays Bank PLC        06741J7V5 09/27/18 09/26/23    100.000     0.000     3.8900     49.84   0.112287   0.114471   0.116698   0.118967  0.121281     41.24    42.86
Barclays Bank PLC        06741JS59 05/20/14 05/20/21    100.000     0.000     2.7400             0.088399   0.089610   0.090838                          32.14    12.63
Barclays Bank PLC        06741JV30 07/23/14 07/23/21    100.000     0.000     2.8400             0.090833   0.092123   0.093431   0.094758               33.34    19.11
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741JV89 08/18/14 08/18/21    100.000     0.000     2.8000             0.089379   0.090630   0.091899   0.093185               32.74    21.09
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES     3.0513             0.089234   0.089430   0.089523   0.089618  0.089714     32.18    32.26
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES     4.3876             0.091366   0.092378   0.093413   0.094471  0.095552     33.09    33.84
Barclays Bank PLC        06741T3M7 12/27/13 12/27/28*   100.000    VARIES     4.2827             0.095070   0.096239   0.097432                          34.34*        
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES     4.0797             0.090487   0.089693   0.092061   0.091444  0.093877     33.17    33.71
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES     4.1532             0.075903   0.073448   0.074247   0.075062  0.076621     26.73    27.10
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250     3.4337             0.113592   0.115423   0.117286   0.119180  0.121107     41.65    43.01
Barclays Bank PLC        06741TL70 09/19/13 09/21/20    100.000     0.000     3.1924             0.107257   0.108969                                     28.19         
Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES     3.9299             0.064551   0.065820   0.067113   0.068432  0.069777     23.72    24.66
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES     3.9300             0.064552   0.065820   0.067114   0.068433  0.069777     23.71    24.65
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES     3.5338             0.075823   0.076903   0.078002   0.079121  0.080519     27.67    28.49
Barclays Bank PLC        06741TRW9 04/30/13 04/30/20    100.000     0.000     2.1700             0.069356                                                 8.25         
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES     3.7861             0.071879   0.072885   0.073909   0.074953  0.076372     26.20    26.97
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES     3.2563             0.068737   0.069856   0.070993   0.072149  0.073324     25.06    25.88
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES     3.4200             0.060104   0.061132   0.062177   0.063241  0.064322     21.94    22.70
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES     3.5100             0.060954   0.062023   0.063112   0.064219  0.065346     22.20    22.99
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES     3.6856             0.063942   0.065102   0.066283   0.067486  0.068730     23.26    24.11
Barclays Bank PLC        06741TXA0 06/28/13 06/30/20    100.000     0.000     2.9922             0.100834                                                18.05         
Barclays Bank PLC        06741TXZ5 07/31/13 07/30/20    100.000     0.250     2.9327    204.05   0.095689   0.096990                                     20.23         
Barclays Bank PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES     3.9848    205.08   0.077604   0.079151   0.080728   0.082336  0.083976     28.71    29.86
Barclays Bank PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES     4.2320    203.22   0.071534   0.071953   0.072625   0.073486  0.074524     25.98    26.56
Barclays Bank PLC        06741TZX8 08/01/13 08/01/23    100.000     0.250     3.5547             0.120354   0.122369   0.124421   0.126509  0.128634     44.30    45.80
Barclays Bank PLC        06741U2A1 12/31/15 12/31/21    100.000     0.000     2.5800             0.079406   0.080430   0.081468   0.082519               28.77    29.44
Barclays Bank PLC        06741UAU8 03/28/14 06/30/20    100.000     0.000     2.8996             0.095062                                                17.02         
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES     3.4516             0.065565   0.065421   0.066550   0.067699  0.068867     23.64    24.32
Barclays Bank PLC        06741UBK9 04/30/14 04/30/29*   100.000    VARIES     3.9399             0.094077   0.094339                                     28.27*        
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES     3.4912             0.099897   0.099687   0.099421   0.099150  0.098836     35.90    35.71
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES     3.8795             0.082923   0.082714   0.083132   0.083559  0.083994     29.82    30.03
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES     3.8226             0.070417   0.067788   0.065109   0.065022  0.064933     24.06    23.40
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES     3.8919             0.086341   0.086008   0.085668   0.086261  0.086865     30.92    31.13
Barclays Bank PLC        06741UFY5 07/30/14 07/29/21    100.000     0.000     2.8200             0.090099   0.091369   0.092658   0.093964               33.05    19.51
Barclays Bank PLC        06741UGX6 08/29/14 08/28/29    100.000    VARIES     3.7703             0.089327   0.089073   0.088814   0.089331  0.089859     32.05    32.19
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES     3.7464             0.086015   0.085773   0.085526   0.086031  0.086545     30.88    30.97
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES     3.5915             0.084309   0.084540   0.084775   0.085015  0.085258     30.42    30.59
Barclays Bank PLC        06741UMK7 12/04/14 12/06/21    100.000     0.000     2.6300             0.083263   0.084358   0.085467   0.086591               30.23    28.83
Barclays Bank PLC        06741UQZ0 02/20/15 02/25/22    100.000     0.000     2.6399             0.082548   0.083638   0.084742   0.085860  0.086994     30.19    30.99
Barclays Bank PLC        06741UVZ4 05/19/15 02/18/20    100.000     0.000     2.2397             0.068386                                                 3.21         
Barclays Bank PLC        06741VAN2 09/30/16 09/29/23    100.000     0.000     2.2200     74.47   0.065885   0.066617   0.067356   0.068104  0.068860     23.99    24.52
Barclays Bank PLC        06741VAY8 09/30/16 09/30/21    100.000     0.000     2.0500     68.61   0.060537   0.061158   0.061785   0.062418               22.02    16.73
Barclays Bank PLC        06741VCG5 10/31/16 10/31/23    100.000     0.000     2.5499     83.64   0.076426   0.077400   0.078387   0.079387  0.080399     27.81    28.52
Barclays Bank PLC        06741VCH3 10/31/16 10/29/21    100.000     0.000     2.2199     72.49   0.065883   0.066614   0.067354   0.068101               23.94    20.21
Barclays Bank PLC        06741VDS8 11/28/16 11/24/23    100.000     0.000     3.0999     99.80   0.094401   0.095865   0.097350   0.098859  0.100392     34.36    35.43
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741VE40 11/28/16 11/26/21    100.000     0.000     2.6500     84.81   0.079649   0.080704   0.081773   0.082857               28.94    26.77
Barclays Bank PLC        06741VE65 11/28/16 11/26/21    100.000     0.000     2.6500     84.81   0.079649   0.080704   0.081773   0.082857               28.94    26.77
Barclays Bank PLC        06741VEJ7 12/30/16 12/29/23    100.000     0.000     3.3400    104.58   0.102462   0.104173   0.105913   0.107681  0.109480     37.20    38.45
Barclays Bank PLC        06741VF64 12/30/16 06/30/20    100.000     0.000     2.6600     82.58   0.079986                                                14.32         
Barclays Bank PLC        06741VFP2 12/30/16 12/30/21    100.000     0.000     2.9701     92.57   0.090131   0.091469   0.092828   0.094206               32.69    33.57
Barclays Bank PLC        06741VFX5 12/30/16 12/31/21    100.000     0.000     2.9684     92.60   0.089094   0.089434   0.092265   0.092108               32.67    33.56
Barclays Bank PLC        06741VG22 01/31/17 07/30/20    100.000     0.000     2.6421     79.63   0.076659   0.078525                                     16.51         
Barclays Bank PLC        06741VG30 01/27/17 01/25/23    100.000     0.000     3.1501     95.84   0.094597   0.096087   0.097600   0.099138  0.100699     34.79    35.90
Barclays Bank PLC        06741VG63 01/31/17 01/31/22    100.000     0.000     2.9201     88.33   0.087210   0.088484   0.089775   0.091086  0.092416     32.01    32.95
Barclays Bank PLC        06741VHH8 01/27/17 01/27/27    100.000    VARIES     2.3799      9.41   0.008283   0.008381   0.008481   0.008582  0.008684      3.03     3.10
Barclays Bank PLC        06741VHQ8 02/10/17 02/08/23    100.000     0.000     3.1499     94.61   0.094593   0.096082   0.097596   0.099133  0.100694     34.75    35.85
Barclays Bank PLC        06741VJB9 02/02/17 02/03/21    100.000     0.000     2.7601     83.17   0.082113   0.083246   0.084395                          30.10     2.70
Barclays Bank PLC        06741VJH6 03/03/17 03/03/22    100.000     0.000     2.9401     86.06   0.087851   0.089142   0.090453   0.091783  0.093132     32.17    33.12
Barclays Bank PLC        06741VJJ2 02/28/17 08/28/23    100.000     0.000     3.1900     94.13   0.095906   0.097436   0.098990   0.100569  0.102173     35.18    36.31
Barclays Bank PLC        06741VJK9 02/28/17 08/27/20    100.000     0.000     2.6240     76.76   0.077782   0.078803                                     18.54         
Barclays Bank PLC        06741VLU4 03/31/17 09/29/20    100.000     0.000     2.6600     75.48   0.078931   0.079981                                     21.34         
Barclays Bank PLC        06741VLW0 03/31/17 03/28/24    100.000     0.000     3.2600     93.14   0.098161   0.099761   0.101388   0.103040  0.104720     35.93    37.11
Barclays Bank PLC        06741VLY6 03/31/17 09/29/23    100.000     0.000     3.2100     91.66   0.096549   0.098098   0.099673   0.101273  0.102898     35.32    36.47
Barclays Bank PLC        06741VLZ3 04/05/17 04/05/22    100.000     0.000     2.8900     81.79   0.086249   0.087496   0.088760   0.090043  0.091344     31.49    32.41
Barclays Bank PLC        06741VQP0 04/28/17 10/29/20    100.000     0.000     2.6001     71.57   0.077049   0.078051                                     23.14         
Barclays Bank PLC        06741VQQ8 04/28/17 04/25/24    100.000     0.000     3.0900     85.52   0.092649   0.094080   0.095534   0.097010  0.098509     33.80    34.85
Barclays Bank PLC        06741VQR6 04/28/17 10/30/23    100.000     0.000     3.1299     86.66   0.093978   0.095448   0.096942   0.098459  0.100000     34.28    35.36
Barclays Bank PLC        06741VQS4 05/03/17 05/03/22    100.000     0.000     2.9001     79.66   0.086570   0.087825   0.089098   0.090390  0.091701     31.54    32.46
Barclays Bank PLC        06741VTV4 05/31/17 11/30/20    100.000     0.000     2.5101     66.65   0.074210   0.075142                                     24.58         
Barclays Bank PLC        06741VTW2 05/31/17 05/30/24    100.000     0.000     3.0612     81.72   0.090726   0.091114   0.094042   0.093924  0.096942     33.38    34.40
Barclays Bank PLC        06741VU83 05/26/17 05/23/24    100.000     0.000     3.0400     81.54   0.091038   0.092421   0.093826   0.095252  0.096700     33.13    34.14
Barclays Bank PLC        06741VUR1 05/19/17 05/19/27    100.000    VARIES     2.5708      9.94   0.009628   0.009751   0.009877   0.010004  0.010132      3.50     3.59
Barclays Bank PLC        06741VXA5 06/30/17 06/27/24    100.000     0.000     2.9300     75.52   0.087508   0.088790   0.090090   0.091410  0.092750     31.74    32.68
Barclays Bank PLC        06741VXB3 06/30/17 06/28/23    100.000     0.000     2.8299     72.87   0.084317   0.085510   0.086720   0.087947  0.089192     30.58    31.45
Barclays Bank PLC        06741VXC1 06/30/17 12/31/20    100.000     0.000     2.4501     62.84   0.072330   0.073216                                     26.13         
Barclays Bank PLC        06741VXF4 07/06/17 07/06/22    100.000     0.000     2.7400     70.00   0.080367   0.081468   0.082584   0.083716  0.084863     29.52    30.33
Barclays Bank PLC        06741WCJ7 06/05/17 06/03/22    100.000     0.000     2.6701     70.62   0.079242   0.080300   0.081372   0.082459  0.083560     28.78    29.55
Barclays Bank PLC        06741WDG2 12/04/17 06/02/23    100.000     1.000     3.0301     64.05   0.087677   0.089006   0.089512   0.090869  0.091404     31.85    32.52
Barclays Bank PLC        06741WEM8 12/26/18 12/26/23    100.000     0.000     2.8900     29.52   0.082616   0.083809   0.085020   0.086249  0.087495     29.97    30.84
Barclays Bank PLC        06742B634 03/05/14 03/05/21    100.000     0.000     2.8400             0.092125   0.093433   0.094760                          33.71     6.06
Barclays Bank PLC        06742W737 06/25/14 06/25/20    100.000     0.000     2.6600             0.085448                                                14.87         
Barclays Bank PLC        06742W752 06/25/14 06/25/21    100.000     0.000     2.8300             0.091749   0.093047   0.094364                          33.28    16.42
Barclays Bank PLC        06742W760 06/25/14 06/25/20    100.000     0.000     2.6600             0.085448                                                14.87         
Barclays Bank PLC        06744C3B5 09/29/17 09/30/24    100.000     0.000     3.1200     72.36   0.092210   0.093649   0.095110   0.096593  0.098100     33.72    34.78
Barclays Bank PLC        06744C3C3 09/29/17 03/31/21    100.000     0.000     2.6100     60.26   0.076364   0.077361   0.078370                          27.85     6.97
Barclays Bank PLC        06744C3D1 10/04/17 10/05/22    100.000     0.000     2.7800     63.87   0.081612   0.082747   0.083897   0.085063  0.086246     29.78    30.61
Barclays Bank PLC        06744C4C2 09/15/17 09/15/27    100.000    VARIES     2.4839      7.34   0.007933   0.008032   0.008131   0.008232  0.008335      2.89     2.97
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06744C4X6 10/20/17 10/20/37*   100.000    VARIES     3.4599     74.08   0.092293   0.092293                                     26.67*        
Barclays Bank PLC        06744C6M8 10/31/17 04/29/21    100.000     0.000     2.8100     62.43   0.082529   0.083688   0.084864                          30.06    10.01
Barclays Bank PLC        06744C6N6 10/31/17 10/31/24    100.000     0.000     3.2400     72.25   0.095975   0.097530   0.099110   0.100716  0.102347     35.02    36.17
Barclays Bank PLC        06744C6P1 11/03/17 11/03/22    100.000     0.000     2.6500     58.56   0.077591   0.078619   0.079660   0.080716  0.081785     28.24    28.99
Barclays Bank PLC        06744C7B1 10/27/17 10/24/24    100.000     0.000     3.2400     72.54   0.095949   0.097503   0.099082   0.100688  0.102319     35.03    36.18
Barclays Bank PLC        06744C7C9 10/27/17 10/25/23    100.000     0.000     3.1300     70.01   0.092500   0.093947   0.095418   0.096911  0.098428     33.75    34.82
Barclays Bank PLC        06744CAL5 07/31/17 07/31/24    100.000     0.000     3.0701     76.52   0.090637   0.092029   0.093441   0.094876  0.096332     33.30    34.33
Barclays Bank PLC        06744CAM3 07/31/17 01/29/21    100.000     0.000     2.5600     63.49   0.074819   0.075776   0.076746                          27.40     2.15
Barclays Bank PLC        06744CAN1 08/03/17 08/04/22    100.000     0.000     2.6899     66.56   0.078827   0.079887   0.080962   0.082051  0.083154     28.88    29.66
Barclays Bank PLC        06744CBB6 07/28/17 07/25/24    100.000     0.000     3.0200     75.41   0.089050   0.090394   0.091759   0.093145  0.094551     32.72    33.72
Barclays Bank PLC        06744CBC4 07/28/17 07/27/22    100.000     0.000     2.6601     66.19   0.077896   0.078932   0.079981   0.081045  0.082123     28.55    29.31
Barclays Bank PLC        06744CD65 10/25/17 10/24/24    100.000     0.000     3.2400     72.73   0.095966   0.097521   0.099101   0.100706  0.102338     35.04    36.18
Barclays Bank PLC        06744CD73 10/25/17 10/24/24    100.000     0.000     3.2400     72.73   0.095967   0.097521   0.099101   0.100707  0.102338     35.04    36.18
Barclays Bank PLC        06744CEV9 08/31/17 08/30/24    100.000     0.000     2.9100     69.84   0.085641   0.086880   0.088151   0.089419  0.090735     31.36    32.28
Barclays Bank PLC        06744CEX5 08/31/17 02/26/21    100.000     0.000     2.4699     59.04   0.072041   0.072930   0.073831                          26.32     4.06
Barclays Bank PLC        06744CGK1 08/25/17 08/22/24    100.000     0.000     2.9600     71.51   0.087176   0.088467   0.089776   0.091105  0.092453     31.95    32.90
Barclays Bank PLC        06744CHA2 08/17/17 08/19/21    100.000     0.000     2.5199     61.22   0.073603   0.074530   0.075469   0.076420               26.91    17.38
Barclays Bank PLC        06744CJQ5 11/27/17 11/21/24    100.000     0.000     3.1199     67.02   0.092154   0.093591   0.095051   0.096534  0.098040     33.55    34.60
Barclays Bank PLC        06744CJR3 11/27/17 11/22/23    100.000     0.000     3.0299     65.03   0.089346   0.090699   0.092073   0.093468  0.094884     32.51    33.51
Barclays Bank PLC        06744CJY8 11/30/17 05/28/21    100.000     0.000     2.8000     59.74   0.082212   0.083363   0.084530                          29.88    12.43
Barclays Bank PLC        06744CJZ5 11/30/17 11/29/24    100.000     0.000     3.1200     66.73   0.092194   0.093632   0.095093   0.096577  0.098083     33.54    34.60
Barclays Bank PLC        06744CKH3 12/05/17 12/05/22    100.000     0.000     2.9000     61.49   0.085331   0.086568   0.087823   0.089096  0.090388     31.01    31.91
Barclays Bank PLC        06744CKT7 12/05/17 12/05/22    100.000     0.000     2.9800     63.23   0.087823   0.089131   0.090459   0.091807  0.093175     31.92    32.88
Barclays Bank PLC        06744CMQ1 12/27/17 12/30/22    100.000     0.000     3.0300     62.35   0.089407   0.090761   0.092136   0.093532  0.094949     32.43    33.42
Barclays Bank PLC        06744CMR9 12/27/17 06/30/21    100.000     0.000     2.8799     59.19   0.084727   0.085947   0.087185                          30.72    15.61
Barclays Bank PLC        06744CN72 12/29/17 12/27/24    100.000     0.000     3.2100     65.95   0.095013   0.096538   0.098088   0.099662  0.101261     34.49    35.61
Barclays Bank PLC        06744CN80 12/29/17 12/27/23    100.000     0.000     3.1400     64.48   0.092813   0.094270   0.095751   0.097254  0.098781     33.69    34.75
Barclays Bank PLC        06744CP21 12/13/17 12/13/22    100.000     0.000     2.9000     60.81   0.085330   0.086568   0.087823   0.089096  0.090388     30.99    31.89
Barclays Bank PLC        06744CPC9 01/05/18 01/06/23    100.000     1.300     3.0300     61.25   0.086947   0.087170   0.088490   0.088737  0.090081     31.61    32.18
Barclays Bank PLC        06744CPT2 12/28/17 12/23/20    100.000     0.000     2.8399     58.28   0.083431   0.084616                                     29.58         
Barclays Bank PLC        06744CQA2 01/31/18 07/29/21    100.000     0.000     2.9600     58.04   0.085919   0.087191   0.088481   0.089791               31.55    18.64
Barclays Bank PLC        06744CQB0 01/31/18 01/30/25    100.000     0.000     3.2700     64.26   0.095362   0.096921   0.098506   0.100116  0.101753     35.09    36.24
Barclays Bank PLC        06744CQE4 01/31/18 01/31/23    100.000     1.000     3.0900     60.35   0.089002   0.089519   0.090902   0.091448  0.092861     32.42    33.12
Barclays Bank PLC        06744CQJ3 02/05/18 02/03/23    100.000     1.000     3.3800     65.67   0.097756   0.098469   0.100133   0.100887  0.102592     35.67    36.55
Barclays Bank PLC        06744CQZ7 01/26/18 01/24/25    100.000     0.000     3.2700     64.64   0.095344   0.096903   0.098488   0.100098  0.101734     35.10    36.26
Barclays Bank PLC        06744CR29 01/26/18 01/24/24    100.000     0.000     3.2100     63.42   0.093512   0.095013   0.096538   0.098088  0.099662     34.41    35.52
Barclays Bank PLC        06744CRB9 12/29/17 06/30/23    100.000     0.000     3.0800     63.22   0.090956   0.092357   0.093779   0.095223  0.096690     33.00    34.02
Barclays Bank PLC        06744CRJ2 01/10/18 01/07/21    100.000     0.000     2.8899     58.31   0.083787   0.084997   0.086226                          30.81     0.52
Barclays Bank PLC        06744CSA0 01/26/18 01/26/23*   100.000    VARIES     3.3198     63.44   0.090735   0.090960   0.091193                          18.73*        
Barclays Bank PLC        06744CSB8 01/18/18 01/14/21    100.000     0.000     3.0399     60.70   0.088322   0.089664   0.091027                          32.49     1.18
Barclays Bank PLC        06744CT50 01/26/18 01/26/28    100.000    VARIES     3.1964      7.43   0.009684   0.009017   0.009161   0.009308  0.009456      3.29     3.37
Barclays Bank PLC        06744CT76 02/02/18 02/02/23*   100.000    VARIES     3.0901     58.33   0.083852   0.084065                                     10.17*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06744CTC5 02/14/18 02/12/25    100.000     0.000     3.7700     72.80   0.110733   0.112820   0.114947   0.117114  0.119321     40.83    42.38
Barclays Bank PLC        06744CTD3 02/01/18 02/01/21    100.000    VARIES     3.2299     61.72   0.089293   0.089464   0.089621                          32.23     2.69
Barclays Bank PLC        06744CTM3 03/05/18 03/05/25    100.000    VARIES     3.7200     67.32   0.102408   0.102990   0.103452   0.103736  0.103840     37.09    37.34
Barclays Bank PLC        06744CTR2 02/26/18 02/21/25    100.000     0.000     3.3199     62.74   0.096846   0.098454   0.100088   0.101749  0.103438     35.58    36.77
Barclays Bank PLC        06744CTS0 02/26/18 11/21/23    100.000     0.000     3.2994     62.37   0.097011   0.098612   0.100239   0.101892  0.103573     35.34    36.52
Barclays Bank PLC        06744CU90 01/31/18 07/29/22    100.000     0.000     3.0600     60.04   0.088954   0.090315   0.091696   0.093099  0.094524     32.69    33.69
Barclays Bank PLC        06744CUA7 01/31/18 07/29/22    100.000     0.000     3.0600     60.04   0.088954   0.090315   0.091697   0.093100  0.094524     32.69    33.69
Barclays Bank PLC        06744CUB5 02/28/18 02/28/25    100.000     0.000     3.7300     70.47   0.109517   0.111559   0.113640   0.115759  0.117918     40.30    41.82
Barclays Bank PLC        06744CUC3 02/28/18 02/28/23    100.000     1.100     3.5359     66.39   0.102423   0.103154   0.104977   0.105753  0.107623     37.32    38.26
Barclays Bank PLC        06744CUD1 02/28/18 02/26/21    100.000     0.000     3.2938     62.04   0.096072   0.097654   0.099262                          35.27     5.46
Barclays Bank PLC        06744CUP4 03/05/18 03/03/23    100.000     1.000     3.5700     66.35   0.103542   0.104399   0.106262   0.107167  0.109080     37.75    38.75
Barclays Bank PLC        06744CUQ2 03/05/18 03/03/23    100.000     0.000     3.5700     66.64   0.104551   0.106418   0.108317   0.110251  0.112219     38.42    39.80
Barclays Bank PLC        06744CUW9 02/28/18 02/26/38*   100.000    VARIES     3.9197     69.64   0.100420   0.097489                                     23.27*        
Barclays Bank PLC        06744CVE8 02/09/18 02/09/21    100.000    VARIES     3.1999     60.41   0.088377   0.088525   0.088709                          31.89     3.37
Barclays Bank PLC        06744CVY4 02/14/18 02/14/23    100.000     0.000     3.5600     68.64   0.104264   0.106120   0.108009   0.109932  0.111888     38.38    39.76
Barclays Bank PLC        06744CWD9 02/16/18 02/16/21    100.000    VARIES     2.8899     53.99   0.079788   0.079905   0.080074                          28.78     3.60
Barclays Bank PLC        06744CWE7 02/13/18 02/16/21    100.000     0.000     2.8899     55.55   0.083827   0.085038   0.086267                          30.73     3.88
Barclays Bank PLC        06744CWV9 02/21/18 02/19/21    100.000     0.000     2.8900     54.87   0.083794   0.085005   0.086233                          30.71     4.14
Barclays Bank PLC        06744CWY3 02/22/18 02/22/21    100.000    VARIES     3.3299     61.81   0.092282   0.092403   0.092495                          33.27     4.72
Barclays Bank PLC        06744CY62 03/29/18 03/28/23    100.000     0.000     3.5100     63.03   0.102714   0.104516   0.106350   0.108217  0.110116     37.64    38.97
Barclays Bank PLC        06744CY70 03/29/18 09/26/24    100.000     0.000     3.6400     65.42   0.106700   0.108642   0.110619   0.112632  0.114682     39.13    40.57
Barclays Bank PLC        06744CYD7 03/29/18 03/31/21    100.000     0.000     3.3000     59.18   0.096287   0.097876   0.099491                          35.24     8.85
Barclays Bank PLC        06744CYE5 04/03/18 04/05/23    100.000     0.000     3.5300     62.99   0.103359   0.105183   0.107040   0.108929  0.110851     37.85    39.20
Barclays Bank PLC        06744CYF2 03/29/18 03/31/23    100.000     1.250     3.5081     62.66   0.101425   0.101986   0.103775   0.104377  0.106208     36.83    37.69
Barclays Bank PLC        06744CYT2 03/08/18 03/08/21    100.000    VARIES     3.3300     60.34   0.092307   0.092451   0.092526                          33.28     6.20
Barclays Bank PLC        06744CYW5 03/09/18 03/09/28    100.000    VARIES     3.4394      8.56   0.011729   0.010856   0.011042   0.011232  0.011425      3.99     4.05
Barclays Bank PLC        06744CZF1 03/29/18 03/29/38*   100.000    VARIES     3.8306     64.96   0.100961   0.102204                                     18.08*        
Barclays Bank PLC        06746L125 09/14/17 09/16/21    100.000     0.000     2.5900     60.92   0.075754   0.076735   0.077729   0.078736               27.66    20.00
Barclays Bank PLC        06746M107 09/14/17 09/15/22    100.000     0.000     2.7800     65.50   0.081612   0.082747   0.083897   0.085063  0.086245     29.83    30.66
Barclays Bank PLC        06746M206 09/14/17 09/14/23    100.000     0.000     2.9700     70.10   0.087511   0.088810   0.090129   0.091467  0.092826     32.02    32.98
Barclays Bank PLC        06746M404 09/14/17 09/16/21    100.000     0.000     2.5900     60.92   0.075754   0.076735   0.077729   0.078736               27.66    20.00
Barclays Bank PLC        06746N451 01/03/18 01/03/25    100.000     0.000     3.2700     66.83   0.095362   0.096921   0.098506   0.100116  0.101753     35.17    36.33
Barclays Bank PLC        06746P795 02/05/18 02/03/23    100.000     0.000     3.3800     65.98   0.098711   0.100379   0.102075   0.103800  0.105555     36.33    37.57
Barclays Bank PLC        06746Q462 03/01/18 03/03/21    100.000     0.000     3.2599     61.11   0.095072   0.096622   0.098196                          34.87     6.09
Barclays Bank PLC        06746Q702 03/05/18 03/03/21    100.000     0.000     3.3199     61.87   0.096872   0.098480   0.100115                          35.55     6.21
Barclays Bank PLC        06746R320 05/18/18 05/20/20    100.000     0.000     3.3899     55.97   0.099053                                                13.77         
Barclays Bank PLC        06746R338 06/01/18 05/27/22    100.000     0.000     3.5899     57.98   0.105145   0.107033   0.108954   0.110909  0.112900     38.32    39.71
Barclays Bank PLC        06746R841 05/03/18 05/06/21    100.000     0.000     3.4899     59.19   0.102136   0.103918   0.105731                          37.29    13.22
Barclays Bank PLC        06746T219 08/20/18 09/03/20    100.000     0.000     3.4495     47.80   0.099277   0.100989                                     24.33         
Barclays Bank PLC        06746T250 09/06/18 09/04/25    100.000     0.000     3.8400     51.51   0.110778   0.112905   0.115073   0.117282  0.119534     40.77    42.35
Barclays Bank PLC        06746T805 07/05/18 07/03/25    100.000     0.000     3.8500     58.42   0.111077   0.113215   0.115395   0.117616  0.119880     41.14    42.74
Barclays Bank PLC        06746U331 10/23/18 11/04/20    100.000     0.000     3.6995     44.59   0.106722   0.108696                                     32.69         
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06746U448 10/03/18 10/03/23    100.000     0.000     3.9800     50.32   0.114999   0.117288   0.119622   0.122002  0.124430     42.22    43.92
Barclays Bank PLC        06746U802 08/22/18 08/20/20    100.000     0.000     3.4199     47.17   0.098256   0.099936                                     22.80         
Barclays Bank PLC        06746V628 12/05/18 12/03/20    100.000     0.000     3.6099     39.13   0.103907   0.105783                                     34.83         
Barclays Bank PLC        06746V776 12/06/18 11/29/24    100.000     0.000     3.9099     42.32   0.112812   0.115017   0.117265   0.119558  0.121895     41.15    42.78
Barclays Bank PLC        06746X2A0 03/13/18 03/11/21    100.000     0.000     3.3499     61.66   0.097791   0.099429   0.101094                          35.86     7.08
Barclays Bank PLC        06746X2B8 03/16/18 03/16/21    100.000    VARIES     3.2600     58.33   0.090392   0.090579   0.090638                          32.60     6.80
Barclays Bank PLC        06746X2F9 03/21/18 03/22/21    100.000     0.000     3.3500     60.88   0.097819   0.099457   0.101123                          35.84     8.19
Barclays Bank PLC        06746X3C5 03/28/18 03/29/21    100.000     0.000     3.3000     59.28   0.096287   0.097876   0.099491                          35.24     8.76
Barclays Bank PLC        06746X3U5 04/30/18 04/30/21    100.000     0.000     3.4900     59.50   0.102108   0.103890   0.105703                          37.30    12.58
Barclays Bank PLC        06746X3V3 04/30/18 04/30/25    100.000     0.000     3.8700     66.13   0.113862   0.116065   0.118311   0.120601  0.122934     41.66    43.29
Barclays Bank PLC        06746X3W1 04/30/18 04/28/23    100.000     1.250     3.7000     62.85   0.107280   0.107980   0.109977   0.110727  0.112776     38.91    39.90
Barclays Bank PLC        06746X3X9 05/03/18 05/03/23    100.000     0.000     3.7000     62.83   0.108588   0.110597   0.112643   0.114727  0.116850     39.69    41.17
Barclays Bank PLC        06746X4M2 05/03/18 05/03/23    100.000     0.000     3.7000     62.83   0.108588   0.110597   0.112643   0.114727  0.116850     39.69    41.17
Barclays Bank PLC        06746X4W0 04/27/18 04/25/23    100.000     0.000     3.7000     63.48   0.108565   0.110573   0.112619   0.114702  0.116824     39.71    41.20
Barclays Bank PLC        06746X4X8 04/27/18 07/25/24    100.000     0.000     3.8193     65.60   0.111210   0.113334   0.115498   0.117703  0.119951     41.09    42.67
Barclays Bank PLC        06746X5F6 04/30/18 04/30/21    100.000     0.000     3.4900     59.50   0.102108   0.103890   0.105703                          37.30    12.58
Barclays Bank PLC        06746X5W9 04/11/18 04/09/21    100.000     0.000     3.3399     58.74   0.097484   0.099112   0.100767                          35.66     9.88
Barclays Bank PLC        06746X6A6 04/25/18 04/25/28    100.000    VARIES     3.6446      9.65   0.014845   0.014220   0.013583   0.012934  0.013170      5.15     4.75
Barclays Bank PLC        06746X6Q1 04/30/18 04/28/23    100.000     0.000     3.7000     63.16   0.108565   0.110573   0.112619   0.114702  0.116824     39.70    41.18
Barclays Bank PLC        06746X6R9 04/30/18 04/30/21    100.000    VARIES     3.4902     58.58   0.097759   0.097873   0.097631                          35.21    11.62
Barclays Bank PLC        06746X6S7 04/30/18 04/30/21    100.000    VARIES     3.4905     58.61   0.098182   0.098441   0.097969                          35.38    11.66
Barclays Bank PLC        06746X6T5 05/03/18 04/29/21    100.000     0.000     3.4899     59.19   0.102066   0.103847   0.105659                          37.29    12.47
Barclays Bank PLC        06746X6Z1 05/02/18 04/29/21    100.000     0.000     3.4999     59.47   0.102384   0.104176   0.105999                          37.40    12.51
Barclays Bank PLC        06746X7C1 05/30/18 05/27/21    100.000     0.000     3.3699     54.46   0.098394   0.100052   0.101738                          35.83    14.85
Barclays Bank PLC        06746X7D9 05/10/18 05/08/20    100.000     0.000     3.3599     56.26   0.098097                                                12.46         
Barclays Bank PLC        06746X7E7 05/30/18 05/30/23    100.000     1.000     3.6100     58.20   0.104786   0.105674   0.107582   0.108521  0.110479     37.97    38.99
Barclays Bank PLC        06746XA45 05/30/18 05/28/21    100.000     0.000     3.3700     54.46   0.098404   0.100062   0.101748                          35.83    14.96
Barclays Bank PLC        06746XAE3 05/25/18 05/23/24    100.000     0.000     3.8000     62.11   0.111663   0.113785   0.115947   0.118150  0.120394     40.74    42.31
Barclays Bank PLC        06746XAF0 05/25/18 05/23/23    100.000     0.000     3.6900     60.28   0.108256   0.110253   0.112287   0.114359  0.116469     39.48    40.96
Barclays Bank PLC        06746XAM5 05/02/18 05/02/23    100.000     1.000     3.7100     62.87   0.107848   0.108818   0.110837   0.111862  0.113937     39.18    40.27
Barclays Bank PLC        06746XAV5 06/05/18 06/04/21    100.000     0.000     3.4600     55.43   0.101176   0.102926   0.104707                          36.83    16.02
Barclays Bank PLC        06746XBF9 06/05/18 06/05/23    100.000     0.000     3.6901     59.19   0.108280   0.110278   0.112313   0.114385  0.116496     39.45    40.91
Barclays Bank PLC        06746XBJ1 05/09/18 05/06/21    100.000     0.000     3.5199     59.09   0.103000   0.104812   0.106657                          37.61    13.33
Barclays Bank PLC        06746XBL6 05/30/18 05/31/23    100.000     1.750     3.6101     58.04   0.104022   0.104144   0.106024   0.106183  0.108100     37.53    38.26
Barclays Bank PLC        06746XBU6 05/16/18 05/13/21    100.000     0.000     3.5899     59.56   0.105156   0.107043   0.108965                          38.38    14.38
Barclays Bank PLC        06746XBZ5 05/14/18 05/14/21    100.000    VARIES     3.5104     57.55   0.098519   0.098660   0.098356                          35.48    13.08
Barclays Bank PLC        06746XCC5 05/25/18 05/21/26    100.000     0.000     3.9200     64.12   0.115367   0.117628   0.119934   0.122284  0.124681     42.12    43.79
Barclays Bank PLC        06746XCW1 05/30/18 05/30/23    100.000    VARIES     2.9247      4.43   0.007969   0.008086   0.008204   0.008092  0.007979      2.90     2.93
Barclays Bank PLC        06746XD34 06/29/18 06/27/24    100.000     0.000     3.8100     58.47   0.111973   0.114106   0.116280   0.118495  0.120752     40.71    42.28
Barclays Bank PLC        06746XD42 06/29/18 06/27/23    100.000     0.000     3.7300     57.22   0.109494   0.111536   0.113616   0.115735  0.117893     39.80    41.30
Barclays Bank PLC        06746XD75 05/31/18 05/31/23    100.000    VARIES     3.1075      5.43   0.009790   0.009942   0.010097   0.009952  0.009804      3.56     3.60
Barclays Bank PLC        06746XDT7 06/29/18 06/30/21    100.000     0.000     3.5300     54.10   0.103349   0.105173   0.107029                          37.54    19.16
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06746XDY6 07/05/18 01/03/20    100.000     0.000     3.3899     51.33   0.097364                                                 0.19         
Barclays Bank PLC        06746XE41 06/29/18 06/29/23    100.000     1.750     3.7100     56.58   0.107062   0.107244   0.109234   0.109457  0.111487     38.58    39.37
Barclays Bank PLC        06746XE58 06/29/18 06/29/23    100.000     1.000     3.7100     56.72   0.107848   0.108818   0.110837   0.111862  0.113937     39.01    40.09
Barclays Bank PLC        06746XEC3 06/29/18 12/31/20    100.000     0.000     3.4500     52.85   0.100888   0.102629                                     36.53         
Barclays Bank PLC        06746XEK5 07/05/18 07/02/21    100.000     0.000     3.5099     53.17   0.100921   0.102692   0.104494   0.106328               37.29    19.24
Barclays Bank PLC        06746XFD0 06/18/18 06/17/22    100.000     0.000     3.6600     57.31   0.107340   0.109304   0.111304   0.113341  0.115415     39.05    40.49
Barclays Bank PLC        06746XFE8 06/29/18 06/29/23    100.000    VARIES     3.3273      5.99   0.010521   0.010248   0.010418   0.010591  0.010768      3.74     3.78
Barclays Bank PLC        06746XFQ1 07/02/18 06/26/20    100.000     0.000     3.4098     51.93   0.099588                                                17.43         
Barclays Bank PLC        06746XG31 07/23/18 01/23/26    100.000    VARIES     3.8703     55.39   0.106282   0.105651   0.105008   0.106346  0.107355     37.95    38.41
Barclays Bank PLC        06746XGT4 07/31/18 07/30/21    100.000     0.000     3.5100     50.65   0.100952   0.102724   0.104527   0.106361               37.20    22.18
Barclays Bank PLC        06746XGV9 07/18/18 07/16/21    100.000     0.000     3.5499     52.46   0.102121   0.103934   0.105779   0.107656               37.69    20.96
Barclays Bank PLC        06746XGZ0 08/03/18 02/05/20    100.000     0.000     3.0199     43.22   0.086454                                                 2.94         
Barclays Bank PLC        06746XH71 07/27/18 07/25/24    100.000     0.000     3.8699     56.28   0.111675   0.113836   0.116039   0.118284  0.120573     41.27    42.89
Barclays Bank PLC        06746XH89 07/27/18 04/25/23    100.000     0.000     3.7791     55.00   0.109985   0.112063   0.114181   0.116338  0.118537     40.25    41.78
Barclays Bank PLC        06746XHH9 07/31/18 07/31/23    100.000     1.750     3.7399     53.75   0.105944   0.107926   0.108126   0.110148  0.110389     38.83    39.64
Barclays Bank PLC        06746XHJ5 07/31/18 07/31/23    100.000     1.000     3.7400     53.87   0.106772   0.108769   0.109764   0.111816  0.112868     39.25    40.35
Barclays Bank PLC        06746XHK2 07/31/18 01/29/21    100.000     0.000     3.4500     49.77   0.099158   0.100868   0.102608                          36.53     2.87
Barclays Bank PLC        06746XHP1 08/03/18 08/04/21    100.000     0.000     3.5100     50.35   0.100961   0.102733   0.104536   0.106370               37.19    22.60
Barclays Bank PLC        06746XJK0 07/31/18 07/31/23    100.000    VARIES     3.8007     53.39   0.103231   0.104988   0.106407   0.107295  0.107675     37.96    38.66
Barclays Bank PLC        06746XK28 08/01/18 07/29/21    100.000     0.000     3.6199     52.16   0.104206   0.106092   0.108012   0.109967               38.43    22.82
Barclays Bank PLC        06746XKF9 08/31/18 02/26/21    100.000     0.000     3.4999     47.49   0.100613   0.102373   0.104165                          36.98     5.73
Barclays Bank PLC        06746XKG7 08/31/18 08/27/20    100.000     0.000     3.4599     46.93   0.099435   0.101155                                     23.78         
Barclays Bank PLC        06746XKX0 09/06/18 06/05/23    100.000     0.000     3.7091     49.75   0.107867   0.109868   0.111905   0.113981  0.116094     39.30    40.77
Barclays Bank PLC        06746XKZ5 09/06/18 09/03/21    100.000     0.000     3.5399     47.43   0.101813   0.103615   0.105449   0.107315               37.41    25.85
Barclays Bank PLC        06746XL50 08/31/18 08/31/21    100.000     0.000     3.5400     48.04   0.101845   0.103638   0.105482   0.107329               37.43    25.55
Barclays Bank PLC        06746XL68 09/06/18 03/04/20    100.000     0.000     3.1099     41.59   0.089078                                                 5.61         
Barclays Bank PLC        06746XLB7 08/31/18 06/01/23    100.000     0.000     3.6892     50.12   0.107283   0.109262   0.111277   0.113330  0.115420     39.10    40.55
Barclays Bank PLC        06746XLE1 08/31/18 06/01/23    100.000     1.000     3.6891     49.91   0.106238   0.107173   0.109150   0.110139  0.112170     38.50    39.56
Barclays Bank PLC        06746XLJ0 08/31/18 03/03/21    100.000     0.000     3.5199     47.76   0.101276   0.103059   0.104873                          37.20     6.50
Barclays Bank PLC        06746XM34 08/31/18 08/31/23    100.000    VARIES     3.7102     49.08   0.100689   0.102152   0.103227   0.103923  0.104256     36.82    37.41
Barclays Bank PLC        06746XM42 09/04/18 08/31/21    100.000     0.000     3.5733     48.09   0.102795   0.104622   0.106501   0.108383               37.79    25.80
Barclays Bank PLC        06746XME0 08/31/18 08/31/23    100.000     0.000     3.7100     50.38   0.106914   0.108887   0.110918   0.112952  0.115071     39.33    40.80
Barclays Bank PLC        06746XNG4 08/31/18 08/31/23    100.000     0.000     3.7100     50.38   0.106914   0.108887   0.110918   0.112952  0.115071     39.33    40.80
Barclays Bank PLC        06746XPP2 10/03/18 09/29/21    100.000     0.000     3.7899     47.88   0.109257   0.111327   0.113436   0.115586               40.09    30.79
Barclays Bank PLC        06746XPW7 10/03/18 04/02/20    100.000     0.000     3.3200     41.86   0.095299                                                 8.67         
Barclays Bank PLC        06746XPX5 09/28/18 09/29/21    100.000     0.000     3.7200     47.52   0.107224   0.109218   0.111249   0.113319               39.33    30.19
Barclays Bank PLC        06746XQ63 10/03/18 06/30/23    100.000     0.000     3.9789     50.30   0.116073   0.118383   0.120738   0.123140  0.125590     42.21    43.90
Barclays Bank PLC        06746XR62 09/26/18 09/26/24    100.000     0.000     3.9700     50.99   0.114699   0.116976   0.119298   0.121666  0.124081     42.14    43.83
Barclays Bank PLC        06746XRK1 11/05/18 10/29/21    100.000     0.000     3.8098     44.62   0.109830   0.111922   0.114054   0.116226               40.18    34.38
Barclays Bank PLC        06746XRP0 10/31/18 10/31/23    100.000     0.000     3.9400     46.73   0.113799   0.116041   0.118327   0.120658  0.123035     41.65    43.30
Barclays Bank PLC        06746XRQ8 10/31/18 10/29/21    100.000     0.000     3.7700     44.69   0.108695   0.110744   0.112832   0.114959               39.76    34.01
Barclays Bank PLC        06746XRS4 11/05/18 07/31/20    100.000     0.000     3.7235     43.62   0.106283   0.108261                                     22.57         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06746XS20 10/22/18 10/21/21    100.000     0.000     3.7800     45.68   0.108995   0.111055   0.113154   0.115292               39.90    33.20
Barclays Bank PLC        06746XSP9 10/26/18 10/22/20    100.000     0.000     3.6398     43.55   0.104778   0.106685                                     30.83         
Barclays Bank PLC        06746XSQ7 10/26/18 10/22/20    100.000     0.000     3.6398     43.55   0.104779   0.106686                                     30.83         
Barclays Bank PLC        06746XTF0 11/05/18 08/03/23    100.000     0.000     3.9789     46.66   0.113821   0.116086   0.118395   0.120750  0.123153     42.06    43.75
Barclays Bank PLC        06746XVF7 11/30/18 11/30/21    100.000     0.000     3.6100     39.65   0.103931   0.105807   0.107716   0.109661               37.87    35.79
Barclays Bank PLC        06746XVG5 12/05/18 05/29/20    100.000     0.000     3.4197     37.05   0.098212                                                14.54         
Barclays Bank PLC        06746XVU4 11/29/18 11/25/20    100.000     0.000     3.5799     39.42   0.102992   0.104835                                     33.70         
Barclays Bank PLC        06746XVV2 11/29/18 11/25/20    100.000     0.000     3.5798     39.42   0.102990   0.104834                                     33.70         
Barclays Bank PLC        06746XW41 11/30/18 08/31/22    100.000     0.000     3.6834     40.52   0.105160   0.107086   0.109069   0.111056  0.113124     38.68    40.12
Barclays Bank PLC        06746XW58 12/05/18 08/31/22    100.000     0.000     3.7217     40.41   0.106229   0.108195   0.110220   0.112248  0.114360     39.08    40.55
Barclays Bank PLC        06746XX40 11/30/18 11/30/23    100.000     0.000     3.7600     41.31   0.108408   0.110446   0.112523   0.114638  0.116793     39.52    41.02
Barclays Bank PLC        06746XX73 12/05/18 11/30/21    100.000     0.000     3.6498     39.57   0.105066   0.106984   0.108936   0.110924               38.29    36.20
Barclays Bank PLC        06746XXL2 11/09/18 05/06/22    100.000     0.000     3.8599     44.77   0.111363   0.113512   0.115703   0.117936  0.120212     40.72    42.30
Barclays Bank PLC        06746XXN8 12/05/18 09/05/23    100.000     0.000     3.7791     41.05   0.107968   0.110008   0.112086   0.114204  0.116362     39.71    41.23
Barclays Bank PLC        06746XXQ1 11/13/18 11/12/21*   100.000     0.000     3.7700     43.27   0.108695                                                 9.67*        
Barclays Bank PLC        06746XYH0 11/15/18 11/15/21    100.000     0.000     3.7300     42.59   0.107512   0.109517   0.111560   0.113640               39.25    35.40
Barclays Bank PLC        06746XZK2 12/24/18 12/22/23    100.000     0.000     3.5300     36.33   0.101527   0.103319   0.105142   0.106998  0.108887     36.90    38.22
Barclays Bank PLC        06746XZL0 12/24/18 12/23/21    100.000     0.000     3.3700     34.66   0.096783   0.098413   0.100072   0.101758               35.16    35.53
Barclays Bank PLC        06746XZY2 12/26/18 12/23/21    100.000     0.000     2.7400     27.98   0.078192   0.079263   0.080349   0.081450               28.36    28.48
Barclays Bank PLC        06746Y325 04/04/19 03/28/25    100.000     0.000     3.5099     26.19   0.099152   0.100892   0.102662   0.104464  0.106297     36.33    37.62
Barclays Bank PLC        06747A631 04/18/19 04/21/22    100.000     0.000     2.8999     20.47   0.081742   0.082927   0.084129   0.085349  0.086587     29.81    30.68
Barclays Bank PLC        06747A862 05/03/19 05/05/26    100.000     0.000     3.2600     21.64   0.092048   0.093548   0.095073   0.096623  0.098198     33.58    34.68
Barclays Bank PLC        06747B449 07/03/19 07/06/26    100.000     0.000     3.2200     15.93   0.089468   0.090908   0.092372   0.093859  0.095370     32.98    34.05
Barclays Bank PLC        06747B506 06/05/19 06/04/25    100.000     0.000     3.2000     18.35   0.090303   0.091748   0.093216   0.094707  0.096222     32.85    33.91
Barclays Bank PLC        06747B704 06/06/19 05/26/23    100.000     0.000     2.8899     16.49   0.081369   0.082545   0.083738   0.084948  0.086175     29.59    30.45
Barclays Bank PLC        06747B803 05/13/19 11/13/20    100.000     0.000     2.7200     17.28   0.076583   0.077625                                     24.08         
Barclays Bank PLC        06747C546 09/06/19 08/29/24    100.000     0.000     2.3000      7.35   0.063888   0.064594   0.065336   0.066084  0.066848     23.30    23.84
Barclays Bank PLC        06747C686 09/05/19 09/03/26    100.000     0.000     2.5000      8.06   0.069444   0.070303   0.071181   0.072071  0.072972     25.36    26.00
Barclays Bank PLC        06747D882 11/05/19 11/04/26    100.000     0.000     2.7100      4.22   0.075278   0.076292   0.077326   0.078373  0.079435     27.40    28.15
Barclays Bank PLC        06747M2J4 12/27/18 06/25/20    100.000     0.000     2.7900     28.41   0.079664                                                13.86         
Barclays Bank PLC        06747M3F1 12/31/18 12/24/20    100.000     0.000     2.7698     27.98   0.079049   0.080144                                     28.10         
Barclays Bank PLC        06747M3G9 12/31/18 12/24/20    100.000     0.000     2.7699     27.98   0.079051   0.080146                                     28.10         
Barclays Bank PLC        06747M3U8 12/26/18 09/25/23    100.000     0.000     2.8095     28.74   0.079687   0.080806   0.081941   0.083093  0.084260     29.11    29.93
Barclays Bank PLC        06747M6P6 01/31/19 01/29/21    100.000     0.000     3.4500     31.97   0.097476   0.099158   0.100868                          35.91     2.82
Barclays Bank PLC        06747M6Q4 01/31/19 01/30/26*   100.000     0.000     3.8300     35.52   0.108427   0.110503                                      3.59*        
Barclays Bank PLC        06747M6S0 01/31/19 01/31/24    100.000     0.000     3.6200     33.56   0.102376   0.104229   0.106115   0.108036  0.109991     37.75    39.13
Barclays Bank PLC        06747MA22 01/31/19 01/31/22    100.000     0.000     3.4400     31.88   0.097199   0.098871   0.100572   0.102302  0.104061     35.80    37.04
Barclays Bank PLC        06747MA63 01/25/19 01/25/21    100.000     0.000     3.4499     32.46   0.097484   0.099166   0.100876                          35.93     2.42
Barclays Bank PLC        06747MA89 01/25/19 01/25/21    100.000     0.000     3.4499     32.46   0.097485   0.099166   0.100877                          35.93     2.42
Barclays Bank PLC        06747MBN5 03/05/19 11/30/22    100.000     0.000     3.2591     26.99   0.092715   0.094226   0.095761   0.097321  0.098907     33.74    34.85
Barclays Bank PLC        06747MC38 02/28/19 02/29/24    100.000     0.000     3.6879     31.27   0.104342   0.106267   0.108226   0.110211  0.112254     38.38    39.81
Barclays Bank PLC        06747MC87 03/05/19 02/28/22    100.000     0.000     3.1998     26.48   0.090251   0.091695   0.093162   0.094653  0.096167     33.11    34.18
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747MCR5 02/28/19 02/26/21    100.000     0.000     3.3704     28.56   0.095183   0.096787   0.098418                          34.96     5.41
Barclays Bank PLC        06747MCT1 02/28/19 02/28/22    100.000     0.000     3.4800     29.50   0.098349   0.100060   0.101801   0.103572  0.105375     36.14    37.41
Barclays Bank PLC        06747MCY0 03/05/19 08/28/20    100.000     0.000     3.0497     25.23   0.085956   0.087266                                     20.61         
Barclays Bank PLC        06747MDN3 02/28/19 02/27/26*   100.000     0.000     3.8968     33.06   0.110343   0.112493                                      6.29*        
Barclays Bank PLC        06747MEU6 03/04/19 02/27/29*   100.000    VARIES     4.0488     33.33   0.111870   0.111351                                      6.82*        
Barclays Bank PLC        06747MF92 03/29/19 06/25/21    100.000     0.000     3.1486     23.92   0.089507   0.090916   0.092347                          32.49    16.07
Barclays Bank PLC        06747MFA9 03/29/19 06/25/21    100.000     0.000     3.1486     23.92   0.089507   0.090916   0.092347                          32.49    16.07
Barclays Bank PLC        06747MFG6 03/29/19 03/31/22    100.000     0.000     3.1900     24.23   0.090032   0.091468   0.092927   0.094409  0.095915     32.93    33.99
Barclays Bank PLC        06747MFH4 04/03/19 10/02/20    100.000     0.000     3.0300     22.67   0.085434   0.086728                                     23.39         
Barclays Bank PLC        06747MG59 03/29/19 03/29/24    100.000     0.000     3.3800     25.68   0.095475   0.097089   0.098730   0.100398  0.102095     34.96    36.15
Barclays Bank PLC        06747MG67 04/03/19 03/31/22    100.000     0.000     3.1899     23.87   0.089999   0.091435   0.092893   0.094375  0.095880     32.92    33.98
Barclays Bank PLC        06747MGE0 03/29/19 03/31/23    100.000     0.000     3.2800     24.92   0.092613   0.094131   0.095675   0.097244  0.098839     33.89    35.01
Barclays Bank PLC        06747MGL4 03/06/19 03/03/21    100.000     0.000     3.1399     25.89   0.088566   0.089956   0.091369                          32.46     5.66
Barclays Bank PLC        06747MGT7 03/12/19 03/10/22    100.000     0.000     3.2000     25.84   0.090294   0.091739   0.093206   0.094698  0.096213     33.09    34.16
Barclays Bank PLC        06747MH74 03/08/19 03/08/29*   100.000    VARIES     3.7383     30.36   0.103126   0.102354   0.101567                          26.05*        
Barclays Bank PLC        06747MHG4 03/29/19 03/29/29    100.000     4.600     3.7092     28.00   0.102618   0.102152   0.101677                          36.78     0.41
Barclays Bank PLC        06747MHX7 03/29/19 06/30/21    100.000     0.000     3.1486     23.92   0.089546   0.090955   0.092387                          32.49    16.54
Barclays Bank PLC        06747MHY5 03/29/19 12/29/23    100.000     0.000     3.3592     25.53   0.095674   0.097281   0.098915   0.100577  0.102266     34.74    35.92
Barclays Bank PLC        06747MHZ2 04/03/19 12/30/22    100.000     0.000     3.2491     24.32   0.092439   0.093941   0.095467   0.097018  0.098594     33.55    34.65
Barclays Bank PLC        06747MJ72 03/11/19 03/11/26    100.000    VARIES     3.1873      3.67   0.011943   0.010806   0.010978   0.011153  0.011331      3.99     4.02
Barclays Bank PLC        06747MJP2 03/14/19 03/14/29    100.000    VARIES     3.5244      4.78   0.016027   0.014998   0.013950   0.012884  0.013111      5.36     4.74
Barclays Bank PLC        06747MKF2 03/27/19 03/25/21    100.000     0.000     3.1399     24.03   0.088575   0.089965   0.091378                          32.41     7.68
Barclays Bank PLC        06747MKK1 04/30/19 04/28/22    100.000     0.000     3.1900     21.44   0.090008   0.091443   0.092902   0.094383  0.095889     32.84    33.90
Barclays Bank PLC        06747MKL9 05/03/19 10/30/20    100.000     0.000     2.6899     17.84   0.075708   0.076726                                     22.82         
Barclays Bank PLC        06747MKS4 04/30/19 04/30/24    100.000     0.000     3.3800     22.72   0.095475   0.097089   0.098729   0.100398  0.102095     34.86    36.05
Barclays Bank PLC        06747MKT2 04/30/19 04/28/23    100.000     0.000     3.2800     22.05   0.092588   0.094106   0.095650   0.097218  0.098813     33.80    34.92
Barclays Bank PLC        06747MKU9 05/03/19 01/31/23    100.000     0.000     2.9015     19.27   0.081161   0.082339   0.083533   0.084745  0.085975     29.79    30.66
Barclays Bank PLC        06747MLB0 05/03/19 04/29/22    100.000     0.000     2.8499     18.91   0.080267   0.081411   0.082571   0.083748  0.084941     29.24    30.08
Barclays Bank PLC        06747MLW4 04/26/19 07/22/21    100.000     0.000     3.1487     21.53   0.088122   0.089509   0.090918   0.092350               32.42    18.53
Barclays Bank PLC        06747MLX2 04/26/19 07/22/21    100.000     0.000     3.1487     21.53   0.088120   0.089508   0.090917   0.092348               32.42    18.53
Barclays Bank PLC        06747MMQ6 04/30/19 10/28/21    100.000     0.000     3.1599     21.24   0.089147   0.090555   0.091986   0.093439               32.53    27.58
Barclays Bank PLC        06747MMR4 05/03/19 10/29/21    100.000     0.000     2.8200     18.71   0.079413   0.080533   0.081668   0.082820               28.93    24.54
Barclays Bank PLC        06747MNJ1 04/11/19 04/11/22    100.000    VARIES     2.8762      2.11   0.007966   0.007737   0.007848   0.007961  0.008075      2.82     2.86
Barclays Bank PLC        06747MPF7 05/14/19 05/12/22    100.000     0.000     2.8500     18.03   0.080281   0.081425   0.082585   0.083762  0.084956     29.22    30.06
Barclays Bank PLC        06747MPG5 05/14/19 05/12/22    100.000     0.000     2.8500     18.03   0.080281   0.081425   0.082586   0.083762  0.084956     29.22    30.06
Barclays Bank PLC        06747MPH3 05/03/19 11/03/21    100.000    VARIES     3.2253      3.30   0.013741   0.013596   0.013447   0.013664                4.90     4.10
Barclays Bank PLC        06747MPU4 05/01/19 04/29/21    100.000     0.000     3.0800     20.61   0.086858   0.088195   0.089554                          31.68    10.57
Barclays Bank PLC        06747MQ66 05/13/19 11/12/26    100.000     0.000     2.3000     14.60   0.064619   0.065363   0.066114   0.066875  0.067644     23.47    24.01
Barclays Bank PLC        06747MQR0 05/31/19 05/30/24    100.000     0.000     3.0400     17.86   0.085727   0.087030   0.088353   0.089696  0.091059     31.18    32.13
Barclays Bank PLC        06747MQS8 05/31/19 05/31/24    100.000     0.000     3.0400     17.86   0.085728   0.087031   0.088354   0.089697  0.091060     31.18    32.13
Barclays Bank PLC        06747MQT6 05/31/19 05/30/24    100.000     0.000     3.0400     17.86   0.085728   0.087031   0.088354   0.089697  0.091060     31.18    32.13
Barclays Bank PLC        06747MQZ2 06/05/19 02/28/23    100.000     0.000     2.8993     16.66   0.081075   0.082250   0.083442   0.084652  0.085879     29.69    30.56
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747MR57 05/31/19 05/31/23    100.000     0.000     2.9400     17.27   0.082867   0.084085   0.085321   0.086576  0.087848     30.13    31.02
Barclays Bank PLC        06747MR81 06/05/19 05/31/22    100.000     0.000     2.8499     16.34   0.080261   0.081405   0.082565   0.083741  0.084934     29.17    30.01
Barclays Bank PLC        06747MRB4 05/31/19 05/31/22    100.000     0.000     2.8500     16.74   0.080294   0.081439   0.082599   0.083776  0.084970     29.18    30.02
Barclays Bank PLC        06747MRC2 06/05/19 05/28/21    100.000     0.000     2.7898     16.00   0.078534   0.079630   0.080740                          28.54    11.87
Barclays Bank PLC        06747MRQ1 05/31/19 05/31/29    100.000     4.500     3.3743     19.77   0.093249   0.092713   0.092168                          33.45     0.37
Barclays Bank PLC        06747MSK3 06/03/19 12/03/21    100.000    VARIES     3.2739      3.48   0.016593   0.016415   0.016233   0.016499                5.93     5.44
Barclays Bank PLC        06747MSN7 05/30/19 05/25/22    100.000     0.000     2.9399     17.27   0.082831   0.084049   0.085284   0.086538  0.087810     30.13    31.02
Barclays Bank PLC        06747MSQ0 05/31/19 11/30/21    100.000     0.000     2.8300     16.62   0.079722   0.080850   0.081994   0.083155               28.97    27.19
Barclays Bank PLC        06747MSR8 06/05/19 11/30/21    100.000     0.000     2.8199     16.17   0.079404   0.080523   0.081658   0.082810               28.86    27.07
Barclays Bank PLC        06747MSS6 05/08/19 05/12/21    100.000     0.000     2.7899     18.12   0.078603   0.079700   0.080811                          28.60    10.59
Barclays Bank PLC        06747MU46 06/03/19 06/02/22    100.000     0.000     2.8500     16.50   0.080288   0.081432   0.082593   0.083770  0.084963     29.18    30.01
Barclays Bank PLC        06747MUJ3 05/22/19 05/19/22    100.000     0.000     2.8499     17.38   0.080274   0.081418   0.082578   0.083755  0.084948     29.20    30.04
Barclays Bank PLC        06747MV78 05/29/19 05/27/21    100.000     0.000     2.7999     16.53   0.078853   0.079957   0.081076                          28.66    11.84
Barclays Bank PLC        06747MVE3 05/22/19 05/20/22    100.000     0.000     2.8500     17.38   0.080281   0.081425   0.082585   0.083762  0.084956     29.20    30.04
Barclays Bank PLC        06747MVL7 05/29/19 05/29/29    100.000    VARIES     3.3999     20.03   0.094798   0.094450   0.093894   0.093301  0.092751     34.04    33.66
Barclays Bank PLC        06747MVV5 06/19/19 12/19/22    100.000    VARIES     3.3078      4.30   0.022242   0.022100   0.021956   0.021809  0.021660      7.98     7.87
Barclays Bank PLC        06747MW85 06/28/19 06/28/24    100.000     0.000     3.0400     15.46   0.085729   0.087032   0.088354   0.089697  0.091061     31.10    32.06
Barclays Bank PLC        06747MWA0 06/28/19 06/30/23    100.000     0.000     2.9300     14.90   0.082596   0.083806   0.085034   0.086279  0.087543     29.95    30.84
Barclays Bank PLC        06747MWE2 07/03/19 06/30/22    100.000     0.000     2.8099     13.89   0.079132   0.080244   0.081371   0.082514  0.083674     28.69    29.50
Barclays Bank PLC        06747MWH5 07/03/19 03/31/23    100.000     0.000     2.8815     14.30   0.080598   0.081759   0.082937   0.084132  0.085344     29.44    30.29
Barclays Bank PLC        06747MXC5 06/28/19 06/30/22    100.000     0.000     2.8500     14.49   0.080306   0.081450   0.082611   0.083788  0.084982     29.12    29.95
Barclays Bank PLC        06747MXD3 07/03/19 06/30/21    100.000     0.000     2.7999     13.85   0.078847   0.079951   0.081070                          28.59    14.51
Barclays Bank PLC        06747MXV3 06/28/19 06/29/22    100.000     0.000     2.8500     14.49   0.080301   0.081445   0.082605   0.083783  0.084976     29.12    29.95
Barclays Bank PLC        06747MYJ9 06/28/19 12/27/24    100.000     0.000     3.1200     15.87   0.088011   0.089384   0.090778   0.092194  0.093633     31.94    32.95
Barclays Bank PLC        06747MYK6 06/28/19 12/27/24    100.000     0.000     3.1200     15.87   0.088011   0.089384   0.090778   0.092194  0.093633     31.94    32.95
Barclays Bank PLC        06747MYU4 07/03/19 07/03/24    100.000     0.000     2.9900     14.78   0.083055   0.084297   0.085557   0.086836  0.088134     30.57    31.49
Barclays Bank PLC        06747MYV2 06/28/19 06/30/25    100.000     0.000     3.2000     16.27   0.090326   0.091772   0.093240   0.094732  0.096247     32.78    33.84
Barclays Bank PLC        06747MZ74 06/19/19 06/17/21    100.000     0.000     2.7999     14.95   0.078853   0.079957   0.081076                          28.62    13.46
Barclays Bank PLC        06747MZF6 07/02/19 07/01/21    100.000     0.000     2.7900     13.87   0.078575   0.079671   0.080782                          28.48    14.54
Barclays Bank PLC        06747MZK5 06/14/19 06/15/23    100.000     0.000     2.9300     16.05   0.082588   0.083798   0.085025   0.086271  0.087535     29.99    30.87
Barclays Bank PLC        06747MZM1 06/28/19 12/28/21    100.000    VARIES     2.7624      1.78   0.009557   0.009359   0.009489   0.009620                3.40     3.41
Barclays Bank PLC        06747N2S2 07/26/19 07/31/24    100.000     0.000     2.9716     12.80   0.082572   0.083799   0.085044   0.086308  0.087590     30.32    31.23
Barclays Bank PLC        06747N2T0 07/26/19 07/31/24    100.000     0.000     2.9716     12.80   0.082572   0.083799   0.085044   0.086307  0.087590     30.32    31.23
Barclays Bank PLC        06747N2Y9 07/31/19 07/31/23    100.000     0.000     2.6600     11.16   0.073889   0.074872   0.075868   0.076877  0.077899     27.08    27.80
Barclays Bank PLC        06747N3E2 08/05/19 01/31/22    100.000     0.000     2.2325      9.05   0.062013   0.062685   0.063385   0.064093  0.064808     22.65    23.16
Barclays Bank PLC        06747N3J1 07/31/19 07/31/24    100.000     0.000     2.5801     10.82   0.071669   0.072593   0.073530   0.074478  0.075439     26.25    26.93
Barclays Bank PLC        06747N3K8 08/05/19 07/29/22    100.000     0.000     2.4099      9.77   0.066942   0.067722   0.068538   0.069364  0.070200     24.48    25.07
Barclays Bank PLC        06747N3U6 08/05/19 04/28/23    100.000     0.000     2.4695     10.04   0.068988   0.069840   0.070702   0.071575  0.072459     25.10    25.72
Barclays Bank PLC        06747N5J9 07/31/19 07/31/25    100.000     0.000     2.4500     10.28   0.068057   0.068891   0.069734   0.070589  0.071453     24.90    25.52
Barclays Bank PLC        06747N5K6 08/05/19 07/31/24    100.000     0.000     2.5814     10.47   0.071706   0.072606   0.073543   0.074492  0.075453     26.25    26.93
Barclays Bank PLC        06747N5W0 07/10/19 07/09/21    100.000     0.000     2.8000     13.30   0.077777   0.078860   0.079964   0.081084               28.57    15.23
Barclays Bank PLC        06747N6Q2 07/24/19 07/24/34*   100.000    VARIES     3.2696     14.26   0.090824   0.089584                                     18.21*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747N6Z2 08/02/19 02/02/23    100.000    VARIES     2.7752      1.80   0.012112   0.011899   0.011682   0.011463  0.011622      4.26     4.16
Barclays Bank PLC        06747NAC8 08/30/19 08/28/24    100.000     0.000     2.2800      7.66   0.063333   0.064047   0.064777   0.065516  0.066262     23.11    23.64
Barclays Bank PLC        06747NAD6 08/30/19 08/28/24    100.000     0.000     2.2800      7.66   0.063333   0.064047   0.064777   0.065516  0.066263     23.11    23.64
Barclays Bank PLC        06747NAQ7 08/30/19 08/30/24    100.000     0.000     2.2798      7.66   0.063329   0.064046   0.064781   0.065511  0.066266     23.10    23.63
Barclays Bank PLC        06747NB37 08/30/19 08/31/23    100.000     0.000     2.2000      7.39   0.061110   0.061779   0.062462   0.063142  0.063844     22.28    22.78
Barclays Bank PLC        06747NB45 08/30/19 08/30/24    100.000     0.000     2.2800      7.66   0.063335   0.064053   0.064787   0.065517  0.066273     23.11    23.64
Barclays Bank PLC        06747NB60 09/05/19 08/31/22    100.000     0.000     2.1619      6.97   0.060054   0.060681   0.061341   0.061997  0.062674     21.89    22.36
Barclays Bank PLC        06747NBA1 09/05/19 02/28/22    100.000     0.000     2.1599      6.96   0.059997   0.060619   0.061274   0.061936  0.062605     21.87    22.34
Barclays Bank PLC        06747NCC6 09/05/19 09/05/24    100.000     0.000     2.3100      7.44   0.064167   0.064908   0.065658   0.066416  0.067183     23.41    23.95
Barclays Bank PLC        06747NDS0 08/21/19 09/21/20    100.000     0.000     2.0793      7.52   0.057858   0.058460                                     15.15         
Barclays Bank PLC        06747NDT8 08/21/19 03/08/22    100.000     0.000     2.1497      7.77   0.059773   0.060416   0.061065   0.061721  0.062385     21.78    22.25
Barclays Bank PLC        06747NEG5 09/05/19 03/03/22    100.000     0.000     2.1599      6.96   0.059999   0.060639   0.061294   0.061956  0.062625     21.87    22.34
Barclays Bank PLC        06747NEN0 09/27/19 03/25/25    100.000     0.000     2.5300      6.61   0.070277   0.071157   0.072057   0.072968  0.073891     25.63    26.28
Barclays Bank PLC        06747NEP5 09/27/19 09/25/24    100.000     0.000     2.4600      6.42   0.068333   0.069164   0.070015   0.070876  0.071747     24.91    25.53
Barclays Bank PLC        06747NG32 10/03/19 06/30/23    100.000     0.000     2.1595      5.28   0.060298   0.060949   0.061607   0.062272  0.062945     21.83    22.30
Barclays Bank PLC        06747NG99 10/03/19 09/30/22    100.000     0.000     2.1000      5.13   0.058333   0.058935   0.059554   0.060179  0.060811     21.22    21.67
Barclays Bank PLC        06747NGC2 10/03/19 03/31/23    100.000     0.000     2.1416      5.24   0.059490   0.060117   0.060760   0.061411  0.062069     21.64    22.11
Barclays Bank PLC        06747NGH1 09/18/19 08/18/21*   100.000     0.000     2.4295      6.95   0.067485   0.068168                                      5.76*        
Barclays Bank PLC        06747NGJ7 10/03/19 10/03/24    100.000     0.000     2.2800      5.57   0.063333   0.064055   0.064785   0.065524  0.066271     23.06    23.59
Barclays Bank PLC        06747NGL2 09/18/19 09/18/24    100.000     0.000     2.5500      7.30   0.070833   0.071736   0.072651   0.073577  0.074515     25.85    26.51
Barclays Bank PLC        06747NHF4 10/03/19 10/05/26    100.000     0.000     2.4700      6.04   0.068620   0.069468   0.070326   0.071194  0.072073     25.00    25.62
Barclays Bank PLC        06747NHP2 10/23/19 10/21/22    100.000     0.000     2.3300      4.40   0.064721   0.065467   0.066230   0.067001  0.067782     23.54    24.09
Barclays Bank PLC        06747NHT4 10/02/19 10/02/24    100.000     0.000     2.3500      5.81   0.065278   0.066045   0.066821   0.067606  0.068400     23.78    24.34
Barclays Bank PLC        06747NHX5 10/02/19 10/02/24    100.000     0.000     2.3500      5.81   0.065278   0.066045   0.066821   0.067606  0.068400     23.78    24.34
Barclays Bank PLC        06747NJG0 10/25/19 04/24/25    100.000     0.000     2.6100      4.78   0.072500   0.073441   0.074399   0.075370  0.076354     26.40    27.09
Barclays Bank PLC        06747NJH8 10/25/19 10/23/24    100.000     0.000     2.5400      4.66   0.070555   0.071441   0.072348   0.073267  0.074198     25.68    26.34
Barclays Bank PLC        06747NK86 11/05/19 10/31/22    100.000     0.000     2.3021      3.58   0.063947   0.064663   0.065407   0.066160  0.066921     23.24    23.77
Barclays Bank PLC        06747NKC7 11/05/19 10/31/22    100.000     0.000     2.3021      3.58   0.063948   0.064664   0.065408   0.066161  0.066923     23.24    23.77
Barclays Bank PLC        06747NKX1 10/31/19 04/28/23    100.000    VARIES     2.4511      0.87   0.014336   0.013916   0.013491   0.013656  0.013823      5.03     4.91
Barclays Bank PLC        06747NKZ6 10/31/19 10/30/26    100.000     0.000     2.6300      4.46   0.073056   0.074016   0.074990   0.075976  0.076975     26.59    27.29
Barclays Bank PLC        06747NL28 10/31/19 10/31/23    100.000     0.000     2.3400      3.97   0.065000   0.065761   0.066530   0.067309  0.068096     23.63    24.19
Barclays Bank PLC        06747NL36 11/05/19 11/05/24    100.000     0.000     2.4900      3.87   0.069167   0.070028   0.070900   0.071783  0.072676     25.15    25.78
Barclays Bank PLC        06747NMK7 11/29/19 05/27/25    100.000     0.000     2.3900      2.12   0.066389   0.067173   0.067976   0.068788  0.069610     24.10    24.67
Barclays Bank PLC        06747NML5 11/29/19 11/27/24    100.000     0.000     2.4500      2.18   0.068055   0.068879   0.069723   0.070577  0.071442     24.70    25.31
Barclays Bank PLC        06747NMS0 11/01/19 10/04/21    100.000     0.000     2.1896      3.65   0.060822   0.061388   0.062060   0.062740               22.11    17.06
Barclays Bank PLC        06747NPD0 11/27/19 11/23/22    100.000     0.000     2.2100      2.09   0.061388   0.062051   0.062736   0.063430  0.064131     22.27    22.76
Barclays Bank PLC        06747NPF5 11/29/19 11/30/26    100.000     0.000     2.6500      2.36   0.073616   0.074592   0.075580   0.076581  0.077596     26.74    27.45
Barclays Bank PLC        06747NPH1 11/29/19 11/30/23    100.000     0.000     2.3400      2.08   0.065003   0.065764   0.066533   0.067312  0.068099     23.59    24.14
Barclays Bank PLC        06747NPJ7 12/03/19 12/01/22    100.000     0.000     2.1600      1.68   0.059999   0.060640   0.061295   0.061957  0.062626     21.75    22.23
Barclays Bank PLC        06747NPN8 12/03/19 12/01/22    100.000     0.000     2.1600      1.68   0.060000   0.060640   0.061295   0.061957  0.062626     21.75    22.23
Barclays Bank PLC        06747NQV9 12/02/19 06/02/23    100.000    VARIES     2.3648      0.37   0.012690   0.012330   0.011965   0.012107  0.012250      4.48     4.34
Barclays Bank PLC        06747NRD8 12/04/19 12/05/22    100.000     0.000     2.2200      1.67   0.061670   0.062355   0.063047   0.063747  0.064454     22.36    22.86
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747NS88 12/02/19 12/01/22    100.000     0.000     2.2600      1.82   0.062777   0.063483   0.064200   0.064926  0.065659     22.77    23.29
Barclays Bank PLC        06747NTB0 01/03/20 12/30/22    100.000     0.000     2.2000             0.061112   0.061773   0.062452   0.063139  0.063834     22.00    22.61
Barclays Bank PLC        06747NTU8 12/30/19 06/25/25    100.000     0.000     2.5700      0.07   0.071388   0.072280   0.073208   0.074149  0.075102     25.87    26.54
Barclays Bank PLC        06747NTV6 12/30/19 12/26/24    100.000     0.000     2.4100      0.07   0.066944   0.067732   0.068548   0.069374  0.070210     24.25    24.83
Barclays Bank PLC        06747NU51 12/24/19 12/24/26    100.000     0.000     2.7900      0.54   0.077500   0.078581   0.079677   0.080789  0.081916     28.11    28.90
Barclays Bank PLC        06747NU69 12/24/19 12/22/23    100.000     0.000     2.4600      0.48   0.068333   0.069164   0.070015   0.070876  0.071748     24.76    25.38
Barclays Bank PLC        06747NU77 01/03/20 01/04/27    100.000     0.000     2.5300                        0.070283   0.071172   0.072072  0.072984     25.32    26.10
Barclays Bank PLC        06747NUS1 01/03/20 01/03/25    100.000     0.000     2.3200                        0.064444   0.065192   0.065948  0.066713     23.20    23.88
Barclays Bank PLC        06747NVN1 12/11/19 12/11/29    100.000    VARIES     2.4256      0.24   0.011823   0.011314   0.010799   0.010277  0.009749      4.14     3.77
Barclays Bank PLC        06747NWE0 01/02/20 01/02/25    100.000     0.000     2.4000                        0.066666   0.067466   0.068276  0.069095     24.08    24.73
Barclays Bank PLC        06747NXQ2 01/31/20 01/29/27    100.000     0.000     2.1400                        0.059444   0.060077   0.060720  0.061370     19.77    21.94
Barclays Bank PLC        06747NXS8 01/31/20 01/31/24    100.000     0.000     1.8800                        0.052222   0.052713   0.053209  0.053709     17.36    19.22
Barclays Bank PLC        06747NXT6 02/05/20 02/05/25    100.000     0.000     1.9400                        0.053889   0.054412   0.054940  0.055473     17.64    19.84
Barclays Bank PLC        06747NYF5 02/05/20 01/26/23    100.000     0.000     1.8499                        0.051387   0.051838   0.052318  0.052802     16.82    18.90
Barclays Bank PLC        06747NYG3 02/05/20 07/31/23    100.000     0.000     1.8715                        0.051986   0.052459   0.052950  0.053445     17.02    19.12
Barclays Bank PLC        06747NZE7 01/31/20 07/29/25    100.000     0.000     2.0100                        0.055833   0.056391   0.056958  0.057530     18.57    20.58
Barclays Bank PLC        06747NZF4 01/31/20 01/29/25    100.000     0.000     1.9400                        0.053889   0.054408   0.054936  0.055469     17.92    19.84
Barclays Bank PLC        06747P2Z1 01/23/20 01/20/23    100.000     0.000     2.1600                        0.059999   0.060637   0.061291  0.061953     20.38    22.16
Barclays Bank PLC        06747P4P1 02/11/20 02/11/25    100.000     0.000     1.9400                        0.053889   0.054412   0.054940  0.055473     17.32    19.83
Barclays Bank PLC        06747P7E3 02/28/20 08/26/25    100.000     0.000     1.6900                        0.046944   0.047337   0.047737  0.048140     14.27    17.21
Barclays Bank PLC        06747P7G8 02/28/20 02/26/25    100.000     0.000     1.6100                        0.044722   0.045078   0.045441  0.045807     13.60    16.38
Barclays Bank PLC        06747PB57 02/07/20 08/08/23    100.000     0.000     1.8700                        0.051947   0.052433   0.052923  0.053418     16.90    19.10
Barclays Bank PLC        06747PBH1 02/28/20 02/26/27    100.000     0.000     1.8200                        0.050556   0.051010   0.051475  0.051943     15.38    18.56
Barclays Bank PLC        06747PBJ7 02/28/20 02/28/25    100.000     0.000     1.6100                        0.044723   0.045083   0.045445  0.045811     13.60    16.38
Barclays Bank PLC        06747PD89 02/27/20 02/26/24    100.000     0.000     1.6500                        0.045833   0.046209   0.046590  0.046975     13.98    16.80
BellSouth                079867AS6 12/13/95 12/15/95     25.235    VARIES     6.8500             0.184755   0.184757   0.184758   0.184759  0.184760     66.51    66.51
BEMIS COMPANY INC        081437AQ8 06/13/19 09/15/26     95.210     3.100     3.8632      3.20   0.016219   0.016532   0.016852   0.017177  0.017509      5.96     6.19
Bexar County Housing     08837EAB7 09/28/05 04/01/22*    39.225     0.000     5.7501    488.09   0.138618   0.142603                                     38.14*        
BIOMARIN PHARMACEUTICAL  09061GAH4 08/11/17 08/01/24     98.000     0.599     0.8955      6.71   0.007877   0.007913   0.007948   0.007984  0.008019      2.85     2.88
BLACKSTONE MORTGAGE TRUS 09257WAC4 03/27/18 03/15/23     98.500     4.750     5.0956      4.90   0.008050   0.008256   0.008466   0.008682  0.008903      2.98     3.13
BOFA Finance LLC         097097166 11/29/17 11/25/22    100.000     0.000     2.7075     57.80   0.079342   0.080416   0.081505   0.082608  0.083727     28.83    29.62
BOFA Finance LLC         097098297 02/28/19 02/28/25    100.000     0.000     3.3423     28.32   0.094395   0.095972   0.097576   0.099207  0.100865     34.66    35.83
BOFA Finance LLC         097098479 03/12/19 03/12/21    100.000     0.000     2.7766     22.41   0.078200   0.079285   0.080386                          28.59     5.71
BOFA Finance LLC         09709TBQ3 11/16/17 11/16/37*   100.000    VARIES     3.2571     67.10   0.086315   0.086401                                     19.52*        
BOFA Finance LLC         09709TCD1 11/30/17 11/30/32*   100.000    VARIES     3.2186     65.53   0.086193   0.086293                                     20.61*        
BOFA Finance LLC         09709TDB4 02/28/18 02/28/38*   100.000    VARIES     3.3959     60.33   0.086984   0.087128                                     20.64*        
BOFA Finance LLC         09709TDE8 02/28/18 02/28/25*   100.000    VARIES     3.1547     57.48   0.086126   0.086253                                     12.67*        
BOFA Finance LLC         09709TDV0 03/29/18 03/29/38*   100.000    VARIES     3.3791     57.07   0.087717   0.087838                                     15.62*        
BOFA Finance LLC         09709TED9 04/10/18 05/01/23    100.000     0.250     3.1425     55.19   0.091291   0.092616   0.093962   0.095329  0.096718     33.26    34.24
BOFA Finance LLC         09709TGH8 09/28/18 03/28/23    100.000     0.000     3.6451     46.55   0.104979   0.106892   0.108840   0.110824  0.112844     38.50    39.91
Bank of America Corp.    09709TGU9 04/03/19 04/03/34*   100.000    VARIES     3.7267     27.59   0.101824   0.100098                                     18.38*        
BOFA Finance LLC         09709TGY1 06/03/19 06/03/29*   100.000    VARIES     3.1909     18.44   0.088776   0.088917                                     21.50*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
BOFA Finance LLC         09709TGZ8 06/20/19 06/18/24    100.000     0.000     2.5962     13.79   0.073042   0.073991   0.074951   0.075924  0.076910     26.49    27.18
BOFA Finance LLC         09709THD6 07/29/19 07/29/34*   100.000    VARIES     3.3999     14.36   0.094442   0.094159                                     19.59*        
BOFA Finance LLC         09709THH7 01/27/20 09/01/22    103.250     0.125     1.7700                        0.050765   0.051262   0.051685  0.052112     17.02    18.63
BOFA Finance LLC         09709THJ3 01/30/20 01/30/35    100.000    VARIES     3.1839                        0.088441   0.087638   0.086822  0.086868     29.15    31.29
BOFA Finance LLC         09709TJL6 12/27/18 12/27/23    100.000     0.000     3.6325     37.07   0.104602   0.106502   0.108436   0.110405  0.112411     38.01    39.41
BOFA Finance LLC         09709TJM4 01/31/19 01/26/24    100.000     0.000     3.3706     31.23   0.095171   0.096774   0.098405   0.100064  0.101750     35.05    36.24
BOFA Finance LLC         09709TJS1 09/28/18 09/28/23    100.000     0.000     3.7178     47.49   0.107146   0.109138   0.111167   0.113233  0.115338     39.31    40.78
BOFA Finance LLC         09709TKK6 11/30/18 11/30/23    100.000     0.000     3.7226     40.90   0.107291   0.109288   0.111322   0.113394  0.115505     39.11    40.58
BOFA Finance LLC         09709TKV2 02/04/19 02/04/21    100.000     0.000     2.8401     25.96   0.080012   0.081148   0.082300                          29.35     2.72
BOFA Finance LLC         09709TKW0 10/31/18 10/31/23    100.000     0.000     3.7689     44.67   0.108675   0.110723   0.112809   0.114935  0.117101     39.74    41.26
BOFA Finance LLC         09709TMV0 09/28/18 09/28/23    100.000     0.000     3.6449     46.54   0.104972   0.106885   0.108833   0.110816  0.112836     38.49    39.91
Bank of America Corp.    09709TNJ6 02/28/19 02/25/22    100.000     0.000     3.0213     25.59   0.085172   0.086458   0.087765   0.089090  0.090436     31.22    32.17
BOFA Finance LLC         09709TPF2 03/22/19 03/24/26    100.000     0.000     3.1229     24.34   0.088117   0.089493   0.090890   0.092309  0.093751     32.24    33.25
Bank of America Corp.    09709TPQ8 04/02/19 03/31/22    100.000     0.000     2.8493     21.39   0.080262   0.081406   0.082566   0.083742  0.084935     29.31    30.15
BOFA Finance LLC         09709TQE4 04/30/19 04/29/21    100.000     0.000     2.7200     18.27   0.076577   0.077619   0.078674                          27.89     9.28
BOFA Finance LLC         09709TSJ1 05/28/19 05/26/22    100.000     0.000     2.7700     16.43   0.077998   0.079078   0.080173   0.081284  0.082409     28.35    29.14
BOFA Finance LLC         09709TSN2 05/28/19 05/26/22    100.000     0.000     2.7700     16.43   0.077998   0.079079   0.080174   0.081284  0.082410     28.35    29.14
BOFA Finance LLC         09709TSS1 05/28/19 05/26/22    100.000     0.000     2.7600     16.37   0.077713   0.078785   0.079872   0.080975  0.082092     28.25    29.03
BOFA Finance LLC         09709TSW2 05/28/19 05/26/22    100.000     0.000     2.7700     16.43   0.077998   0.079079   0.080174   0.081284  0.082410     28.35    29.14
BOFA Finance LLC         09709TTC5 08/30/19 03/02/23    100.000     0.000     2.0808      6.99   0.057806   0.058407   0.059015   0.059629  0.060249     21.06    21.50
BOFA Finance LLC         09709TTF8 08/30/19 03/04/21    100.000     0.000     1.9095      6.42   0.053053   0.053559   0.054071                          19.31     3.41
BOFA Finance LLC         09709TTW1 07/31/19 01/31/23    100.000     0.000     2.2849      9.58   0.063469   0.064195   0.064928   0.065670  0.066420     23.20    23.73
BOFA Finance LLC         09709TUA7 07/31/19 01/31/24    100.000     0.000     2.3707      9.94   0.065853   0.066633   0.067423   0.068222  0.069031     24.08    24.66
BOFA Finance LLC         09709TUH2 09/30/19 06/30/21    100.000     0.000     1.7242      4.36   0.048100   0.048515   0.048933                          17.39     8.76
BOFA Finance LLC         09709TVC2 09/18/19 09/16/22    100.000     0.000     2.2021      6.30   0.061169   0.061836   0.062516   0.063205  0.063901     22.28    22.78
BOFA Finance LLC         09709TVP3 10/31/19 11/02/21    100.000     0.000     1.7400      2.95   0.048337   0.048757   0.049182   0.049609               17.53    14.88
BOFA Finance LLC         09709TWV9 11/27/19 11/25/22    100.000     0.000     1.9000      1.79   0.052778   0.053274   0.053780   0.054291  0.054806     19.13    19.49
BOFA Finance LLC         09709TXD8 11/27/19 11/28/24    100.000     0.000     2.3000      2.17   0.063893   0.064627   0.065371   0.066122  0.066883     23.18    23.72
BOFA Finance LLC         09709TYU9 01/31/20 01/31/23    100.000     0.000     1.7000                        0.047222   0.047624   0.048028  0.048437     15.69    17.34
BOFA Finance LLC         09709TZV6 02/28/20 03/02/23    100.000     0.000     1.7400             0.048333   0.048343   0.048763   0.049187  0.049615     14.70    17.73
City of Boston, MA       100853GH7 11/04/09 09/15/24     89.556     6.050     7.2063     59.00   0.022544   0.023356   0.024198   0.025070  0.025973      8.44     9.06
BP CAPITAL MARKETS AMERI 10373QAL4 12/14/18 05/10/23     96.839     2.750     3.5309      7.09   0.019192   0.019531   0.019875   0.020226  0.020583      7.00     7.25
BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26     95.741     3.119     3.7851      5.35   0.014501   0.014775   0.015055   0.015340  0.015630      5.30     5.50
BP CAPITAL MARKETS AMERI 10373QAU4 12/14/18 09/16/21     96.502     2.112     3.4532     12.93   0.034790   0.035391   0.036002   0.036624               12.76     9.29
BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27     94.278     3.017     3.8468      6.46   0.017321   0.017654   0.017994   0.018340  0.018692      6.41     6.66
BP CAPITAL MARKETS AMERI 10373QAW0 12/14/18 11/28/23     98.310     3.216     3.5913      3.33   0.009041   0.009204   0.009369   0.009537  0.009709      3.29     3.41
BP CAPITAL MARKETS AMERI 10373QAY6 12/14/18 04/14/24     98.067     3.224     3.6258      3.52   0.009495   0.009667   0.009842   0.010021  0.010202      3.48     3.60
BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27     97.935     3.588     3.8804      2.25   0.006088   0.006206   0.006326   0.006449  0.006574      2.23     2.32
BP CAPITAL MARKETS AMERI 10373QBA7 12/14/18 09/19/22     96.498     2.520     3.5213      9.30   0.025049   0.025490   0.025939   0.026396  0.026860      9.19     9.51
BRYAN OHIO CITY SCH DIST 117529EP8 02/27/20 01/01/22     96.506     0.000     1.9370             0.051926   0.052272   0.052778   0.053290               15.85    19.09
BRYAN OHIO CITY SCH DIST 117529EQ6 02/27/20 01/01/23     94.597     0.000     1.9619             0.051554   0.051902   0.052411   0.052925               15.74    18.96
BRYAN OHIO CITY SCH DIST 117529ER4 02/27/20 01/01/24     92.363     0.000     2.0769             0.053285   0.053666   0.054223   0.054786               16.27    19.62
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
BUILD NYC RESOURCE CORP  12008ENT9 09/06/18 06/15/27*    95.000     7.750     8.5721      5.39   0.012169   0.012690                                      2.83*        
Burea County SD #84, IL  121012AR9 06/04/10 12/01/20    104.349    VARIES     5.6693             0.158358   0.157926                                     52.18         
Burea County SD #84, IL  121012AS7 06/04/10 12/01/21    104.162    VARIES     5.9681             0.167419   0.167027   0.166623   0.166208               60.18    54.91
Burea County SD #84, IL  121012AT5 06/04/10 12/01/22    104.788    VARIES     6.1676             0.174017   0.173601   0.173173   0.172731  0.172276     62.55    62.24
Bureau County SD #175, I 121088AS7 09/15/10 12/01/20    108.435    VARIES     5.2818             0.148223   0.147479                                     48.78         
Bureau County SD #502, I 121133CK6 10/10/13 12/01/23    100.125    VARIES     4.9874             0.138601   0.138594   0.138586   0.138579  0.138571     49.89    49.89
Bureau County, SD #205,  121133CL4 10/10/13 12/01/29    100.148    VARIES     5.8866             0.163681   0.163675   0.163669   0.163662  0.163656     58.92    58.92
BUREAU LEE & WHITESIDE C 121158BS7 06/13/18 12/01/20    101.056     3.750     3.2652     51.91   0.091129   0.090917                                     30.03         
BUREAU LEE & WHITESIDE C 121158BT5 06/13/18 12/01/21    101.945     4.000     3.3723     54.10   0.094804   0.094529   0.094249   0.093965               34.06    31.05
BUREAU LEE & WHITESIDE C 121158BU2 06/13/18 12/01/22    101.635     4.000     3.5768     57.27   0.100541   0.100352   0.100160   0.099964  0.099765     36.15    36.01
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES     8.9994             0.608790   0.631386   0.655000   0.679676  0.705269    224.62   241.75
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES     8.9994             0.608790   0.631386   0.655000   0.679676  0.705269    224.62   241.75
Caesars Entertainment    127693AC3 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
Caesars Entertainment    127693AF6 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
Caesars Entertainment    127693AG4 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
Caesars Entertainment    127693AH2 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
California Resources Cor 13057QAG2 12/16/15 12/15/22*    63.250     8.000    17.2411    160.36   0.156297   0.169770                                     48.35*        
Canadian Imperial Bank   13605WUR0 12/27/19 02/03/22    100.000     0.000     2.2144      0.25   0.061511   0.061647   0.062329   0.063020  0.063717     22.29    22.77
Canadian Imperial Bank   13605WUZ2 12/27/19 12/29/20    100.000    VARIES     1.6108      0.18   0.044750   0.044752                                     16.02         
Canadian Imperial Bank   13605WVN8 02/10/20 02/03/22    100.000     0.000     1.8706                        0.051962   0.052429   0.052919  0.053414     16.75    19.11
Canadian Imperial Bank   13605WVT5 02/12/20 05/12/21*   100.000     5.000     2.0545                        0.057070   0.057071                          15.47*        
Canadian Imperial Bank   13605WVZ1 03/02/20 06/02/21*   100.000    VARIES     1.5504                        0.043067   0.043068                          11.63*        
Canadian Imperial Bank   13607G302 05/02/19 04/28/23    100.000     0.000     2.9112     19.40   0.082019   0.083212   0.084424   0.085653  0.086899     29.89    30.77
CAREY OHIO EXMP VLG SCH  141771BR5 03/04/20 11/01/31     69.862     0.000     3.0999             0.060157   0.060452   0.061389   0.062340  0.063307     17.99    22.39
CAREY OHIO EXMP VLG SCH  141771BS3 03/04/20 11/01/32     67.325     0.000     3.1499             0.058907   0.059200   0.060133   0.061080  0.062042     17.62    21.93
CAREY OHIO EXMP VLG SCH  141771BT1 03/04/20 11/01/33     64.382     0.000     3.2499             0.058120   0.058419   0.059368   0.060333  0.061313     17.39    21.66
CAREY OHIO EXMP VLG SCH  141771BU8 03/04/20 11/01/34     61.892     0.000     3.2998             0.056731   0.057027   0.057968   0.058925  0.059897     16.98    21.16
CAREY OHIO EXMP VLG SCH  141771BV6 03/04/20 11/01/35     59.439     0.000     3.3499             0.055309   0.055603   0.056534   0.057481  0.058444     16.55    20.64
CAREY OHIO EXMP VLG SCH  141771BW4 03/04/20 11/01/36     57.028     0.000     3.3998             0.053857   0.054147   0.055068   0.056004  0.056956     16.12    20.11
Carol Stream, IL         143735TU2 12/30/11 11/01/20     63.533     0.000     5.1992    322.87   0.137197   0.140763                                     41.80         
Carol Stream, IL         143735TV0 12/30/11 11/01/21     59.208     0.000     5.3993    314.94   0.134821   0.138460   0.142198   0.146037               49.63    43.35
Carol Stream, IL         143735TW8 12/30/11 11/01/22     54.964     0.000     5.5993    305.59   0.131790   0.135479   0.139272   0.143171  0.147180     48.56    51.31
Carol Stream, IL         143735TX6 12/30/11 11/01/23     50.827     0.000     5.7993    295.01   0.128163   0.131880   0.135704   0.139639  0.143688     47.26    50.04
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000     6.0492    284.50   0.124735   0.128508   0.132395   0.136399  0.140524     46.04    48.87
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000     6.1994    270.82   0.119387   0.123088   0.126903   0.130837  0.134892     44.10    46.87
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000     6.3493    256.89   0.113868   0.117483   0.121212   0.125061  0.129031     42.08    44.80
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000     6.4493    242.36   0.107814   0.111291   0.114880   0.118584  0.122408     39.86    42.48
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000     6.5994    228.47   0.102193   0.105565   0.109048   0.112646  0.116363     37.81    40.34
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000     6.6994    214.49   0.096283   0.099508   0.102841   0.106286  0.109846     35.64    38.06
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000     6.7995    200.92   0.090520   0.093598   0.096780   0.100070  0.103472     33.52    35.83
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000     6.8495    187.88   0.084795   0.087699   0.090702   0.093809  0.097021     31.40    33.59
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES     9.9395             1.536815   1.610003   1.686829   1.767473  1.852125    582.33   639.30
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Champaign County, IL     158199BA6 11/04/15 12/01/23    124.115    VARIES        N/A             0.120607   0.118702   0.116760   0.114779  0.112760     42.96    41.56
Champaign County, IL     158199BB4 11/04/15 12/01/26     98.267    VARIES     4.1631             0.112653   0.112512   0.112367   0.112220  0.112070     40.52    40.42
Cheniere Energy, Inc.    16411RAF6 11/28/14 05/28/21    100.000     0.000        N/A             0.172291   0.176490   0.181600                          63.24    26.51
Cheniere Energy, Inc.    16411RAG4 03/09/15 03/15/45     80.000     4.250     5.6397     14.25   0.009245   0.009402   0.009827   0.009940  0.010389      3.48     3.67
Cheniere Energy, Inc.    16411RAH2 11/28/14 05/28/21    100.000     0.000        N/A             0.172291   0.176490   0.181600                          63.24    26.51
CHESAPEAKE ENERGY CORP   165167DD6 12/19/19 01/01/25^    94.912    11.500    12.9059      0.25   0.020812   0.022245   0.023680   0.025209                7.75^    8.80
Christian & Sangamon CNT 170592BG3 03/28/13 12/01/20    109.831    VARIES     3.0795             0.086731   0.086141                                     28.52         
Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21    107.041    VARIES     3.3309             0.094157   0.093759   0.093354   0.092943               33.80    30.73
Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22     99.442    VARIES     3.5341             0.097938   0.097975   0.098013   0.098051  0.098090     35.27    35.29
Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23     99.390    VARIES     3.6841             0.102018   0.102055   0.102093   0.102131  0.102171     36.74    36.76
CHRISTIAN SHELBY & MONTG 170790DJ5 06/06/17 12/01/20    104.148     3.750     2.4806     66.30   0.069766   0.069339                                     22.95         
CHRISTIAN SHELBY & MONTG 170790DK2 06/06/17 12/01/21    101.259     3.000     2.6866     70.31   0.075080   0.074969   0.074857   0.074743               27.00    24.68
Citigroup Inc.           17298C2B3 09/30/15 09/29/22    100.000     0.000     3.0163             0.094439   0.095863   0.097309   0.098776  0.100266     34.52    35.57
Citigroup Inc.           17298C2C1 09/30/15 09/29/22    100.000     0.000     3.0163             0.094439   0.095863   0.097309   0.098776  0.100266     34.52    35.57
Citigroup Inc.           17298C2N7 10/02/15 10/02/20    100.000     0.000     2.5622             0.078804   0.079813                                     21.54         
Citigroup Inc.           17298C2U1 11/03/15 05/04/21    100.000     0.250     2.7771             0.085336   0.086424   0.087528                          31.04    10.77
Citigroup Inc.           17298C2Z0 10/30/15 11/01/22    100.000     0.000     2.9688             0.092793   0.094171   0.095568   0.096987  0.098427     33.82    34.83
Citigroup Inc.           17298C3A4 10/30/15 11/01/22    100.000     0.000     2.9688             0.092793   0.094171   0.095568   0.096987  0.098427     33.82    34.83
Citigroup Inc.           17298C3F3 10/28/15 10/28/25    100.000    VARIES     2.3916             0.008541   0.008643   0.008746   0.008851  0.008957      3.11     3.18
Citigroup Inc.           17298C3R7 11/05/15 11/05/20    100.000     0.000     2.6408             0.081472   0.082548                                     24.96         
Citigroup Inc.           17298C3Z9 11/30/15 05/27/21    100.000     0.250     2.8050             0.086263   0.087376   0.088504                          31.33    12.92
Citigroup Inc.           17298C4A3 11/30/15 11/30/22    100.000     0.000     3.0605             0.095996   0.097465   0.098957   0.100471  0.102009     34.91    35.99
Citigroup Inc.           17298C4B1 11/30/15 11/30/22    100.000     0.000     3.0605             0.095996   0.097465   0.098957   0.100471  0.102009     34.91    35.99
Citigroup Inc.           17298C4W5 12/31/15 01/05/23    100.000     0.000     3.1984             0.099325   0.100914   0.102527   0.104167  0.105833     36.61    37.79
Citigroup Inc.           17298C4Z8 12/28/15 06/25/21    100.000     0.250     2.8488             0.087763   0.088914   0.090081                          31.82    15.67
Citigroup Inc.           17298C5L8 02/01/16 07/30/21    100.000     0.250     2.9080    119.23   0.088622   0.089809   0.091014   0.092237               32.48    19.24
Citigroup Inc.           17298C5U8 01/29/16 01/31/23    100.000     0.000     3.1492    130.50   0.097605   0.099142   0.100703   0.102288  0.103899     35.88    37.02
Citigroup Inc.           17298C6K9 01/29/16 01/29/26    100.000    VARIES     2.4179     19.33   0.012781   0.012936   0.013092   0.013250  0.013410      4.68     4.79
Citigroup Inc.           17298C6X1 02/29/16 03/01/23    100.000     0.000     2.8956    116.62   0.088953   0.090241   0.091548   0.092873  0.094218     32.57    33.52
Citigroup Inc.           17298C6Y9 02/29/16 08/27/21    100.000     0.250     2.7865    111.56   0.084549   0.085630   0.086727   0.087838               30.90    20.67
Citigroup Inc.           17298C6Z6 02/29/16 03/01/23    100.000     0.000     2.8956    116.62   0.088953   0.090241   0.091548   0.092873  0.094218     32.57    33.52
Citigroup Inc.           17298CAF5 05/15/15 05/15/30    100.000    VARIES     2.6421             0.009306   0.009019   0.009138   0.009259  0.009381      3.29     3.32
Citigroup Inc.           17298CAP3 05/28/15 05/26/22    100.000     0.000     3.0095             0.095607   0.097046   0.098506   0.099989  0.101493     34.78    35.83
Citigroup Inc.           17298CAQ1 05/28/15 05/26/22    100.000     0.000     3.0095             0.095607   0.097046   0.098506   0.099989  0.101493     34.78    35.83
Citigroup Inc.           17298CAR9 05/28/15 05/28/35    100.000    VARIES     4.3835             0.103184   0.104800   0.106452   0.108141  0.110396     37.55    38.76
Citigroup Inc.           17298CAT5 05/27/15 05/27/25    100.000    VARIES     2.5639             0.006952   0.007041   0.007131   0.007223  0.007315      2.52     2.59
Citigroup Inc.           17298CB56 04/04/16 10/05/21    100.000     0.250     2.6050    101.30   0.078568   0.079501   0.080446   0.081403               28.61    22.21
Citigroup Inc.           17298CB64 04/04/16 04/05/21    100.000     0.000     2.4511     95.46   0.074153   0.075062   0.075982                          27.02     7.14
Citigroup Inc.           17298CBM9 06/30/15 12/30/20    100.000     0.250     2.7900             0.086869   0.087984                                     31.39         
Citigroup Inc.           17298CBT4 06/30/15 06/30/22    100.000     0.000     3.2000             0.102540   0.104180   0.105847   0.107541  0.109261     37.21    38.41
Citigroup Inc.           17298CBV9 06/30/15 06/30/22    100.000     0.000     3.2000             0.102540   0.104180   0.105847   0.107541  0.109261     37.21    38.41
Citigroup Inc.           17298CDH8 09/02/15 03/04/21    100.000     0.300     1.6120             0.047198   0.047511   0.047827                          17.12     3.01
    -----------------------------                                                                                                                                      
    ^  Issuer filed for bankruptcy on 6/28/2020.                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           17298CDJ4 08/31/15 08/31/22    100.000     0.000     3.1499             0.098059   0.098521   0.101731   0.101648  0.104961     36.43    37.51
Citigroup Inc.           17298CDK1 08/31/15 08/31/22    100.000     0.000     3.1499             0.098059   0.098521   0.101731   0.101648  0.104961     36.43    37.51
Citigroup Inc.           17298CDV7 10/02/15 04/01/21    100.000     0.250     2.6650             0.081516   0.082509   0.083516                          29.70     7.52
Citigroup Inc.           17298CFQ6 12/01/17 12/01/27    100.000    VARIES     2.8600      9.51   0.011729   0.011321   0.010907   0.011063  0.011221      4.12     3.96
Citigroup Inc.           17298CFV5 01/22/18 01/22/28    100.000    VARIES     3.0673      8.10   0.010542   0.009848   0.009999   0.010152  0.010308      3.58     3.68
Citigroup Inc.           17298CGC6 08/16/18 08/16/28    100.000    VARIES     3.4666      4.11   0.007616   0.007082   0.006544   0.006660  0.006776      2.54     2.44
Citigroup Inc.           17298CGD4 09/26/18 09/26/28    100.000    VARIES     3.8142      3.83   0.007732   0.007149   0.006554   0.006679  0.006806      2.57     2.41
Citigroup Inc.           17298CGK8 11/20/18 11/20/23    100.000    VARIES     3.5118      3.92   0.009456   0.009207   0.008954   0.009112  0.009272      3.34     3.26
Citigroup Inc.           17298CGL6 11/28/18 11/28/28    100.000    VARIES     3.8162      7.26   0.017510   0.016784   0.016045   0.015291  0.014522      6.12     5.59
Citigroup Inc.           17298CGS1 03/29/19 03/29/29    100.000    VARIES     3.1121      4.42   0.015648   0.014750   0.013839   0.012913  0.013114      5.31     4.75
Citigroup Inc.           17298CGZ5 06/19/19 06/19/26    100.000    VARIES     2.5629      3.11   0.015744   0.015263   0.014775   0.014281  0.014464      5.57     5.23
Citigroup Inc.           1730T02B4 10/30/14 10/30/34    100.000    VARIES     4.5064             0.113529   0.114271   0.115030   0.116028  0.117049     41.10    41.71
Citigroup Inc.           1730T02D0 10/31/14 10/31/29    100.000    VARIES     4.0094             0.095479   0.095808   0.096144   0.096876  0.097623     34.47    34.83
Citigroup Inc.           1730T02E8 10/31/14 05/01/20    100.000     0.000     2.5468             0.080294                                                 9.64         
Citigroup Inc.           1730T02P3 10/31/14 10/31/34    100.000    VARIES     4.7455             0.117013   0.116414   0.115802   0.115572  0.115336     41.94    41.62
Citigroup Inc.           1730T02V0 11/26/14 11/26/34    100.000    VARIES     4.2546             0.099731   0.101162   0.102624   0.104753  0.106927     36.26    37.48
Citigroup Inc.           1730T02X6 11/26/14 11/26/29*   100.000    VARIES     4.1216             0.104862   0.104713   0.104562                          34.58*        
Citigroup Inc.           1730T03C1 11/28/14 05/29/20    100.000     0.000     2.6205             0.082916                                                12.27         
Citigroup Funding, Inc.  1730T03J6 12/29/14 12/29/34    100.000    VARIES     4.3208             0.112574   0.113256   0.113954   0.114666  0.115394     40.65    41.15
Citigroup Inc.           1730T03V9 01/30/15 02/01/22    100.000     0.000     2.8404             0.089584   0.090856   0.092147   0.093455  0.094783     32.86    33.80
Citigroup Inc.           1730T03W7 01/30/15 01/30/35    100.000    VARIES     3.9694             0.104854   0.106731   0.108817   0.110943  0.113112     38.68    40.21
Citigroup Inc.           1730T03Z0 01/30/15 02/01/22    100.000     0.000     2.8404             0.089584   0.090856   0.092147   0.093455  0.094783     32.86    33.80
Citigroup Inc.           1730T04J5 02/26/15 02/28/22    100.000     0.000     2.2326             0.067789   0.067800   0.069693   0.069322  0.071258     25.05    25.56
Citigroup Inc.           1730T04L0 02/26/15 02/28/22    100.000     0.000     2.2326             0.067789   0.067800   0.069693   0.069322  0.071258     25.05    25.56
Citigroup Inc.           1730T05X3 03/30/15 03/30/22    100.000     0.000     2.9238             0.092548   0.093901   0.095273   0.096666  0.098079     33.81    34.80
Citigroup Inc.           1730T05Y1 03/30/15 03/30/22    100.000     0.000     2.9238             0.092548   0.093901   0.095273   0.096666  0.098079     33.81    34.80
Citigroup Inc.           1730T06D6 03/27/15 03/27/25    100.000    VARIES     3.1775             0.091414   0.091300   0.091141   0.090979  0.090769     32.86    32.75
Citigroup Inc.           1730T06L8 03/23/15 03/23/22    100.000     0.000     2.8171             0.088751   0.090001   0.091269   0.092554  0.093858     32.42    33.34
Citigroup Inc.           1730T06V6 04/29/15 04/28/22    100.000     0.000     2.7395             0.086002   0.087180   0.088375   0.089585  0.090812     31.32    32.19
Citigroup Inc.           1730T06X2 04/29/15 04/28/22    100.000     0.000     2.7395             0.086002   0.087180   0.088375   0.089585  0.090812     31.32    32.19
Citigroup Inc.           1730T07D5 04/27/15 04/27/25    100.000    VARIES     2.3818             0.064946   0.065050   0.065155   0.065262  0.065369     23.41    23.49
Citigroup Inc.           1730T07K9 04/30/15 04/30/35    100.000    VARIES     4.1098             0.102584   0.102091   0.101875   0.101654  0.101428     36.80    36.61
Citigroup Inc.           1730T0A58 10/22/13 10/22/33    100.000    VARIES     4.6765             0.102765   0.103633   0.104521   0.105429  0.106359     37.27    37.92
Citigroup Inc.           1730T0A82 11/15/13 11/15/28    100.000    VARIES     4.5367             0.106958   0.107861   0.108786   0.109731  0.110697     38.75    39.42
Citigroup Inc.           1730T0A90 10/30/13 10/30/33    100.000    VARIES     4.6216             0.106355   0.107312   0.108290   0.109292  0.110316     38.58    39.29
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000     7.3200    192.53   0.062092   0.064365   0.066721   0.069163  0.071694     22.98    24.69
Citigroup Inc.           1730T0B99 11/14/13 11/14/23    100.000    VARIES     4.0136             0.098744   0.100144   0.101571   0.103028  0.104513     35.93    36.97
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES     5.8404             0.157303   0.157385   0.157471   0.157558  0.157649     56.67    56.73
Citigroup Inc.           1730T0C23 11/12/13 11/12/33    100.000    VARIES     4.7621             0.107821   0.108590   0.109376   0.110182  0.111006     39.03    39.60
Citigroup Inc.           1730T0C56 11/26/13 11/26/33    100.000    VARIES     4.7711             0.110734   0.111744   0.112779   0.113838  0.114922     40.12    40.87
Citigroup Inc.           1730T0E88 01/29/14 01/29/29    100.000    VARIES     4.3351             0.098695   0.098806   0.099813   0.100842  0.101894     35.72    36.43
Citigroup Inc.           1730T0E96 01/29/14 01/29/34    100.000    VARIES     4.6111             0.098248   0.098046   0.098941   0.099856  0.100792     35.44    36.06
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0G78 02/19/14 02/19/34    100.000    VARIES     4.7124             0.109588   0.110189   0.111777   0.113403  0.115067     39.85    40.97
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES     8.1832             0.211350   0.212856   0.214423   0.216054  0.217752     76.55    77.70
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES     5.9942             0.142434   0.143269   0.144128   0.145014  0.146133     51.53    52.17
Citigroup Funding, Inc.  1730T0JH3 06/24/10 06/24/20    100.000    VARIES     5.3516             0.148979                                                25.77         
Citigroup Funding, Inc.  1730T0KE8 09/09/10 09/09/20    100.000    VARIES     4.7846             0.135452   0.134220                                     33.37         
Citigroup Funding, Inc.  1730T0KT5 11/04/10 11/04/20    100.000    VARIES     2.4351             0.024269   0.024565                                      7.41         
Citigroup Funding, Inc.  1730T0KU2 11/04/10 11/04/20    100.000    VARIES     2.5365             0.026991   0.027333                                      8.24         
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES     5.1246             0.132051   0.132405   0.132768   0.133141  0.133523     47.63    47.90
Citigroup Funding, Inc.  1730T0KY4 11/19/10 11/19/20    100.000    VARIES     4.7109             0.130728   0.130792                                     41.58         
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES     5.5699             0.129804   0.130911   0.132048   0.133300  0.134588     47.05    47.89
Citigroup Inc.           1730T0L23 03/28/14 03/28/29*   100.000    VARIES     4.3743             0.104750   0.105142   0.106083                          37.48*        
Citigroup Inc.           1730T0L31 03/28/14 03/28/34    100.000    VARIES     4.6422             0.108436   0.108774   0.109767   0.110783  0.111822     39.22    39.89
Citigroup Inc.           1730T0L64 03/12/14 03/12/34    100.000    VARIES     4.7152             0.102878   0.102665   0.103535   0.104426  0.105338     37.07    37.63
Citigroup Inc.           1730T0L72 03/28/14 03/28/21    100.000    VARIES     3.3141             0.091912   0.091971   0.092015                          33.11     8.01
Citigroup Funding, Inc.  1730T0L98 03/21/14 03/21/24*   100.000    VARIES     3.2460             0.079226   0.080006   0.081052                          27.95*        
Citigroup Funding, Inc.  1730T0LB3 11/15/10 11/15/20    100.000    VARIES     2.2799             0.020200   0.020431                                      6.38         
Citigroup Inc.           1730T0M63 03/26/14 03/26/29*   100.000    VARIES     4.3729             0.105194   0.105210   0.105864                          38.04*        
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES     5.0032             0.138931   0.138946   0.138961                          50.02    12.51
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES     1.9785             0.018838   0.019024   0.019213                           6.84     2.21
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES     4.6546             0.129205   0.129234   0.129263                          46.52    21.85
Citigroup Inc.           1730T0N39 04/29/14 04/29/29    100.000    VARIES     4.2731             0.101306   0.101657   0.102561   0.103486  0.104430     36.61    37.20
Citigroup Inc.           1730T0N62 04/29/14 04/29/34    100.000    VARIES     4.5423             0.103414   0.103608   0.104519   0.105450  0.106402     37.33    37.91
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES     2.3032             0.018138   0.018148   0.018661   0.018568                6.70     4.50
Citigroup Inc.           1730T0P78 05/30/14 05/30/29    100.000    VARIES     4.1425             0.096447   0.096602   0.097453   0.098321  0.099208     34.78    35.29
Citigroup Inc.           1730T0P86 05/30/14 05/30/34    100.000    VARIES     4.4254             0.097590   0.097424   0.098350   0.099297  0.100265     35.13    35.64
Citigroup Inc.           1730T0R50 06/18/14 06/18/34    100.000    VARIES     4.4513             0.102428   0.103037   0.104849   0.106702  0.108596     37.02    38.13
Citigroup Inc.           1730T0R76 06/27/14 06/27/34    100.000    VARIES     4.4526             0.103948   0.104028   0.104716   0.105419  0.106137     37.44    37.83
Citigroup Inc.           1730T0R92 07/02/14 01/02/20    100.000     0.000     2.5296             0.079678                                                 0.08         
Citigroup Inc.           1730T0RN1 02/27/13 02/27/28    100.000    VARIES     3.2574             0.075582   0.075735   0.076437   0.077151  0.077876     27.34    27.82
Citigroup Inc.           1730T0SM2 04/29/13 04/29/33    100.000    VARIES     3.4970             0.084728   0.085272   0.086239   0.087223  0.088225     30.69    31.35
Citigroup Inc.           1730T0SX8 04/22/13 04/22/23    100.000    VARIES     1.4141             0.007615   0.007669   0.007723   0.007778  0.007833      2.76     2.80
Citigroup Inc.           1730T0T58 06/27/14 06/27/34    100.000    VARIES     4.3618             0.104565   0.104236   0.104200   0.104163  0.104125     37.58    37.51
Citigroup Funding, Inc.  1730T0TK5 05/30/13 05/30/33    100.000    VARIES     4.1925             0.099086   0.099998   0.101515   0.103065  0.104646     35.91    36.92
Citigroup Inc.           1730T0TQ2 06/11/13 06/11/33    100.000    VARIES     4.2945             0.105693   0.106328   0.107476   0.108649  0.109847     38.20    38.95
Citigroup Inc.           1730T0TT6 06/28/13 06/28/33    100.000    VARIES     4.5398             0.109427   0.111084   0.112779   0.114511  0.116631     39.70    40.92
Citigroup Inc.           1730T0TZ2 06/27/13 06/27/33    100.000    VARIES     4.6405             0.115190   0.116456   0.117751   0.119077  0.120698     41.71    42.64
Citigroup Inc.           1730T0U23 07/31/14 01/31/20    100.000     0.000     2.5817             0.081529                                                 2.36         
Citigroup Inc.           1730T0U49 07/31/14 07/31/34    100.000    VARIES     4.3417             0.105915   0.106248   0.106588   0.107328  0.108083     38.29    38.73
Citigroup Inc.           1730T0U56 07/30/14 07/30/29*   100.000    VARIES     4.2648             0.107720   0.107537   0.107351                          32.46*        
Citigroup Inc.           1730T0U98 07/30/14 07/30/34*   100.000    VARIES     4.5843             0.112080   0.111501   0.110909                          33.64*        
Citigroup Inc.           1730T0UB3 07/09/13 07/09/33    100.000    VARIES     4.7565             0.119913   0.120908   0.121926   0.123332  0.124771     43.69    44.64
Citigroup Inc.           1730T0UG2 07/09/13 07/09/28    100.000    VARIES     4.4999             0.110803   0.111741   0.112700   0.113680  0.114682     40.38    41.09
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0UK3 07/30/13 07/30/33    100.000    VARIES     4.8333             0.112950   0.114149   0.115376   0.116633  0.117921     41.24    42.15
Citigroup Inc.           1730T0V71 08/28/14 02/29/20    100.000     0.000     2.4724             0.076818                                                 4.53         
Citigroup Inc.           1730T0V89 08/29/14 08/29/34*   100.000    VARIES     4.6276             0.110976   0.111686   0.110557                          36.60*        
Citigroup Inc.           1730T0VC0 09/27/13 09/27/20    100.000    VARIES     3.3025             0.092153   0.091947                                     24.48         
Citigroup Inc.           1730T0VD8 09/18/13 09/18/33    100.000    VARIES     5.1093             0.119235   0.120702   0.122207   0.123750  0.125332     43.49    44.59
Citigroup Inc.           1730T0VK2 10/08/13 10/08/23    100.000    VARIES     3.9667             0.099041   0.100234   0.101450                          36.07    36.95
Citigroup Inc.           1730T0W21 08/28/14 08/28/34    100.000    VARIES     4.2433             0.108417   0.108817   0.109225   0.109871  0.110531     39.20    39.60
Citigroup Funding, Inc.  1730T0WF2 02/24/12 02/24/20    100.000    VARIES     2.8625             0.010119                                                 0.54         
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES     3.8303             0.107193   0.107056   0.106900   0.106740  0.106570     38.54    38.43
Citigroup Inc.           1730T0Y37 10/02/14 04/02/20    100.000     0.000     2.8849             0.092477                                                 8.42         
Citigroup Inc.           1730T0Z28 10/07/14 10/07/21    100.000     1.000     3.1430             0.097350   0.098444   0.099554   0.100682               35.43    27.68
Citigroup Inc.           1730T0Z85 10/08/14 10/07/21    100.000     1.000     3.0942    170.24   0.095593   0.096642   0.097708   0.098790               34.78    27.16
Citigroup Funding, Inc.  1730T0ZJ1 11/27/12 11/27/22    100.000    VARIES     1.5729             0.016772   0.016904   0.017037   0.017171  0.017306      6.07     6.17
Citigroup Inc.           1730T3AV5 08/31/15 08/31/35    100.000    VARIES     4.4143             0.102238   0.101335   0.103231   0.103417  0.107073     37.38    38.19
Citigroup Inc.           1730T3AW3 08/31/15 08/31/35    100.000    VARIES     4.4100             0.104641   0.103408   0.105023   0.104108  0.106662     38.12    38.37
Citigroup Inc.           1730T3AX1 09/30/15 09/30/35    100.000    VARIES     4.3723             0.099939   0.100730   0.101540   0.102366  0.103211     36.27    36.86
Citigroup Inc.           1730T3AY9 10/30/15 10/30/35    100.000    VARIES     4.3036             0.099659   0.100919   0.102207   0.103522  0.104865     36.26    37.19
Citigroup Inc.           1730T3AZ6 11/30/15 11/30/35    100.000    VARIES     4.3523             0.103798   0.104967   0.106161   0.107381  0.108628     37.65    38.51
Citigroup Inc.           17321F755 11/05/13 11/03/22    100.000     0.000     3.6500             0.125938   0.128236   0.130577   0.132960  0.135386     46.02    47.72
Citigroup Inc.           17323P140 03/03/16 09/01/23    100.000     0.000     3.0322    122.12   0.093567   0.094986   0.096426   0.097888  0.099372     34.28    35.33
Citigroup Inc.           17323P249 02/03/16 08/03/23    100.000     0.000     2.9606    121.83   0.091150   0.092499   0.093868   0.095258  0.096668     33.46    34.46
Citigroup Inc.           17323P314 11/24/15 11/26/21    100.000     0.000     2.8522             0.088744   0.090010   0.091293   0.092595               32.26    29.90
Citigroup Inc.           17323P363 02/03/16 08/03/23    100.000     0.000     2.9606    121.83   0.091150   0.092499   0.093868   0.095258  0.096668     33.46    34.46
Citigroup Inc.           17323P496 01/05/16 07/06/23    100.000     0.000     3.1941    134.75   0.099142   0.100725   0.102334   0.103968  0.105629     36.53    37.71
Citigroup Inc.           17323Q643 10/05/15 04/04/23    100.000     0.000     3.1923             0.100641   0.102247   0.103879   0.105537  0.107222     36.80    37.99
Citigroup Inc.           17323Q692 09/18/15 03/20/23    100.000     0.000     3.1459             0.099025   0.100582   0.102164   0.103771  0.105404     36.25    37.40
Citigroup Global Markets 17324C2F2 04/29/16 10/29/21    100.000     0.250        N/A    100.18   0.079262   0.080212   0.081174   0.082148               28.82    24.37
Citigroup Global Markets 17324C2G0 04/29/16 10/29/21    100.000     0.250     2.6262    100.18   0.079262   0.080211   0.081173   0.082148               28.82    24.37
Citigroup Global Markets 17324C2J4 05/24/16 05/24/21    100.000    VARIES     2.5076     89.26   0.068983   0.069162   0.069408                          24.88     9.93
Citigroup Global Markets 17324C2W5 04/28/16 04/28/26*   100.000    VARIES     3.4898    129.78   0.097213                                                11.47*        
Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21    100.000     0.000     2.4478     93.47   0.074042   0.074949   0.075866                          26.93     9.03
Citigroup Global Markets 17324C3D6 05/31/16 12/01/21    100.000     0.400     2.6323     97.73   0.079067   0.079962   0.080868   0.081786               28.68    26.85
Citigroup Global Markets 17324C3E4 05/27/16 05/27/21    100.000     0.000     2.5425     95.08   0.077154   0.078135   0.079128                          28.02    11.55
Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22    100.000     0.400     2.3787     85.49   0.070108   0.070810   0.071520   0.072238  0.072965     25.62    26.13
Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21    100.000     0.000     2.2351     80.63   0.066354   0.067095   0.067845   0.068603               24.29    12.42
Citigroup Global Markets 17324C6F8 06/27/16 06/27/36*   100.000    VARIES     4.1314    142.85   0.110994   0.110531                                     29.82*        
Citigroup Global Markets 17324C6L5 08/30/16 08/30/21    100.000     0.000     2.1695     74.72   0.063241   0.063927   0.064975   0.065321               23.49    15.72
Citigroup Global Markets 17324C6M3 08/02/16 02/02/22    100.000     0.300     2.3124     81.31   0.068225   0.068918   0.069618   0.070327  0.071044     24.89    25.40
Citigroup Global Markets 17324CA55 09/02/16 03/03/22    100.000     0.300     2.2650     77.59   0.066736   0.067397   0.068066   0.068743  0.069427     24.30    24.79
Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22    100.000     0.250     2.2317     74.62   0.065782   0.066438   0.067102   0.067773  0.068452     23.92    24.40
Citigroup Global Markets 17324CBD7 11/02/16 05/03/22    100.000     0.250     2.4155     78.68   0.071594   0.072375   0.073165   0.073965  0.074774     26.01    26.58
Citigroup Global Markets 17324CBN5 11/02/16 11/02/21    100.000     0.000     2.3120     75.45   0.068806   0.069602   0.070406   0.071220               25.01    21.34
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17324CC53 11/28/16 05/26/22    100.000     0.250     2.7754     88.68   0.083130   0.084187   0.085259   0.086346  0.087448     30.19    30.97
Citigroup Global Markets 17324CCV6 12/13/16 12/13/46    100.000    VARIES     0.8469     14.30   0.013216   0.013272   0.013328   0.013385  0.013442      4.77     4.81
Citigroup Global Markets 17324CD29 12/28/16 06/27/22    100.000     0.500     3.0613     95.12   0.091819   0.093011   0.094223   0.095452  0.096701     33.28    34.15
Citigroup Global Markets 17324CDA1 12/30/16 01/02/24    100.000     0.000     3.3300    104.26   0.100480   0.102153   0.103854   0.105583  0.107341     37.08    38.32
Citigroup Global Markets 17324CDP8 01/30/17 07/28/22    100.000     0.500     3.0985     93.37   0.091824   0.093031   0.094257   0.095502  0.096767     33.65    34.54
Citigroup Global Markets 17324CDY9 01/31/17 01/31/24    100.000     0.000     3.3783    102.77   0.102038   0.103762   0.105514   0.107297  0.109109     37.57    38.85
Citigroup Global Markets 17324CED4 02/16/17 02/16/27    100.000    VARIES     2.9107     14.38   0.012696   0.012223   0.012401   0.012581  0.012764      4.45     4.55
Citigroup Global Markets 17324CEW2 02/28/17 08/26/22    100.000     0.750     2.9987     87.34   0.088101   0.089110   0.090134   0.091173  0.092227     32.15    32.90
Citigroup Global Markets 17324CFE1 03/10/17 03/10/27    100.000    VARIES     2.9100     11.65   0.010513   0.010121   0.010268   0.010418  0.010569      3.69     3.76
Citigroup Global Markets 17324CGS9 04/28/17 10/28/22    100.000     0.750     2.9296     80.27   0.085944   0.086897   0.087865   0.088847  0.089843     31.23    31.93
Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27    100.000    VARIES     2.7384     10.74   0.009930   0.010066   0.010204   0.010343  0.010485      3.62     3.71
Citigroup Global Markets 17324CHX7 05/31/17 05/31/22    100.000     0.000     2.7124     72.17   0.080594   0.081687   0.082795   0.083918  0.085056     29.28    30.08
Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27    100.000    VARIES     2.7213      8.00   0.007559   0.007662   0.007766   0.007872  0.007979      2.75     2.83
Citigroup Global Markets 17324CJ64 04/28/17 04/28/27    100.000    VARIES     2.8252     13.45   0.012720   0.012261   0.012434   0.012610  0.012788      4.48     4.53
Citigroup Global Markets 17324CJF4 06/01/17 12/01/22    100.000     0.750     2.8210     74.48   0.082534   0.083405   0.084287   0.085182  0.086090     29.92    30.56
Citigroup Global Markets 17324CJR8 06/30/17 12/30/22    100.000     0.600     2.7880     71.33   0.081800   0.082708   0.083629   0.084562  0.085509     29.61    30.28
Citigroup Global Markets 17324CKB1 07/06/17 07/06/27    100.000    VARIES     2.8475     13.68   0.014319   0.013823   0.013320   0.013509  0.013702      4.89     4.90
Citigroup Global Markets 17324CKF2 07/03/17 07/01/22    100.000     0.000     2.7294     69.96   0.081121   0.082228   0.083350   0.084488               29.40    30.21
Citigroup Global Markets 17324CKS4 07/28/17 01/30/23    100.000     0.500     2.8926     71.80   0.084293   0.085311   0.086344   0.087392  0.088455     30.84    31.59
Citigroup Global Markets 17324CKX3 08/01/17 08/01/22    100.000     0.000     2.7885     69.23   0.081869   0.083010   0.084168   0.085341  0.086531     30.02    30.87
Citigroup Global Markets 17324CLA2 08/02/17 08/02/27    100.000    VARIES     2.7689     11.49   0.012387   0.011970   0.011547   0.011707  0.011869      4.26     4.23
Citigroup Global Markets 17324CLB0 09/01/17 03/03/23    100.000     0.500     2.7655     65.90   0.080382   0.081301   0.082233   0.083178  0.084136     29.32    30.00
Citigroup Global Markets 17324CLG9 09/01/17 09/01/22    100.000     0.000     2.6788     64.08   0.078477   0.079528   0.080594   0.081673  0.082767     28.70    29.47
Citigroup Global Markets 17324CLR5 08/17/17 08/17/27    100.000    VARIES     2.6967     11.81   0.012962   0.012537   0.012107   0.012270  0.012436      4.48     4.43
Citigroup Global Markets 17324CLU8 08/25/17 08/25/29    100.000    VARIES     2.5876      6.15   0.006286   0.006367   0.006450   0.006533  0.006618      2.30     2.36
Citigroup Global Markets 17324CM86 09/29/17 09/29/22    100.000     0.000     2.7794     64.26   0.081588   0.082722   0.083871   0.085037  0.086218     29.79    30.62
Citigroup Global Markets 17324CMJ2 09/21/17 09/21/27    100.000    VARIES     2.7273     11.38   0.012958   0.012529   0.012094   0.012259  0.012426      4.50     4.42
Citigroup Global Markets 17324CMP8 10/30/17 10/28/22    100.000     0.000     2.7828     61.81   0.081682   0.082818   0.083971   0.085139  0.086324     29.75    30.59
Citigroup Global Markets 17324CMQ6 10/31/17 05/01/23    100.000     0.750     2.8328     62.55   0.082041   0.082908   0.083787   0.084679  0.085583     29.80    30.43
Citigroup Global Markets 17324CN28 10/12/17 10/12/22    100.000     0.000     2.8215     64.18   0.082892   0.084061   0.085247   0.086450  0.087669     30.24    31.10
Citigroup Global Markets 17324CNA0 10/31/17 10/31/22    100.000     0.000     2.7777     61.70   0.081536   0.082669   0.083817   0.084981  0.086161     29.70    30.53
Citigroup Global Markets 17324CNH5 12/04/17 12/02/22    100.000     0.000     2.8697     60.92   0.084376   0.085587   0.086815   0.088061  0.089324     30.66    31.55
Citigroup Global Markets 17324CNJ1 12/04/17 06/02/23    100.000     0.750     2.9364     62.00   0.085201   0.086146   0.087105   0.088078  0.089065     30.90    31.59
Citigroup Global Markets 17324CPJ9 12/26/17 12/23/22    100.000     0.000     2.9644     61.06   0.087315   0.088609   0.089923   0.091256  0.092608     31.69    32.63
Citigroup Global Markets 17324CQ74 12/20/17 06/21/23    100.000     0.000     2.9374     61.01   0.086501   0.087772   0.089061   0.090369  0.091696     31.39    32.32
Citigroup Global Markets 17324CQ90 01/30/18 01/30/23    100.000     0.000     3.1864     62.58   0.092809   0.094288   0.095790   0.097316  0.098867     34.13    35.22
Citigroup Global Markets 17324CYD2 08/31/18 09/02/21    100.000     0.000     3.4364     46.61   0.098783   0.100481   0.102207   0.103963               36.27    24.95
Citigroup Global Markets 17324CYX8 08/31/18 08/31/21    100.000    VARIES     3.0075      8.90   0.018102   0.018236   0.018652   0.018789                6.61     4.50
Citigroup Global Markets 17324CZZ2 08/31/17 02/28/23    100.000     0.000     2.7931     66.97   0.081998   0.083143   0.084304   0.085482  0.086676     30.01    30.85
Citigroup Global Markets 17324P156 05/05/16 11/03/23    100.000     0.000     2.9324    112.31   0.090177   0.091500   0.092841   0.094202  0.095583     32.86    33.83
Citigroup Global Markets 17324P248 06/03/16 12/05/23    100.000     0.000     2.8709    107.38   0.088129   0.089394   0.090678   0.091979  0.093300     32.02    32.95
Citigroup Global Markets 17324P396 08/03/16 02/05/24    100.000     0.000     2.5904     91.78   0.077744   0.078751   0.079771   0.080804  0.081851     28.46    29.21
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17324P784 10/05/16 04/03/24    100.000     0.000     2.6555     89.22   0.079826   0.080885   0.081959   0.083048  0.084150     29.12    29.89
Citigroup Global Markets 17324XEC0 10/04/18 10/04/26*   100.000    VARIES     4.0618     49.64   0.108340                                                 0.33*        
Citigroup Global Markets 17325E242 01/05/17 07/03/24    100.000     0.000     3.3441    104.21   0.100905   0.102592   0.104307   0.106051  0.107825     37.24    38.49
Citigroup Global Market  17325E275 03/03/17 03/03/22    100.000     0.000     3.0465     89.29   0.091269   0.092659   0.094070   0.095503  0.096958     33.44    34.46
Citigroup Global Markets 17325E408 03/01/17 03/01/22    100.000     0.000     2.8923     84.79   0.086322   0.087571   0.088837   0.090122  0.091425     31.60    32.52
Citigroup Global Markets 17325E804 04/12/17 12/12/24    100.000     0.000     3.3138     93.54   0.100483   0.102148   0.103841   0.105561  0.107310     36.54    37.76
Citigroup Global Markets 17325K156 05/24/17 05/24/22    100.000     0.000     2.7177     72.80   0.080761   0.081858   0.082970   0.084098  0.085241     29.35    30.16
Citigroup Global Markets 17325K263 07/06/17 01/03/24    100.000     0.000     3.1136     79.84   0.091979   0.093411   0.094865   0.096342  0.097842     33.88    34.95
Citigroup Global Markets 17325K511 09/14/17 09/15/22    100.000     0.000     2.7285     64.26   0.080020   0.081111   0.082218   0.083339  0.084476     29.24    30.04
Citigroup Global Markets 17325K776 08/03/17 02/05/24    100.000     0.000     3.0276     75.16   0.089323   0.090675   0.092048   0.093441  0.094855     32.80    33.80
Citigroup Global Markets 17325K792 09/14/17 09/14/23    100.000     0.000     2.8890     68.14   0.084990   0.086217   0.087463   0.088726  0.090008     31.08    31.99
Citigroup Global Markets 17326E365 12/06/17 12/06/22    100.000     0.000     2.9046     61.51   0.085474   0.086716   0.087975   0.089253  0.090549     31.06    31.97
Citigroup Global Markets 17326E530 01/03/18 01/04/23    100.000     0.000     2.9118     59.35   0.084474   0.085703   0.086951   0.088217  0.089501     31.07    31.98
Citigroup Global Markets 17326W134 02/05/19 02/03/21    100.000     0.000     3.4498     31.48   0.097462   0.099143   0.100854                          35.89     3.23
Citigroup Global Markets 17326W274 02/05/19 09/06/22    100.000     0.000     3.6717     33.56   0.104193   0.106106   0.108054   0.110038  0.112058     38.30    39.72
Citigroup Global Markets 17326W282 03/05/19 03/04/26    100.000     0.000     3.7445     31.01   0.105951   0.107935   0.109956   0.112014  0.114112     38.97    40.44
Citigroup Global Markets 17326W423 02/21/19 08/18/22    100.000     0.000     3.2955     28.58   0.093025   0.094557   0.096115   0.097699  0.099309     34.18    35.31
Citigroup Global Markets 17326W696 06/05/19 06/03/22    100.000     0.000     2.6587     15.24   0.074822   0.075817   0.076825   0.077846  0.078881     27.17    27.90
Citigroup Global Markets 17326W779 03/05/19 11/02/22    100.000     0.000     3.4589     28.66   0.098276   0.099976   0.101705   0.103464  0.105253     35.89    37.14
Citigroup Global Markets 17326W795 03/05/19 03/03/21    100.000     0.000     3.0964     25.61   0.087327   0.088679   0.090052                          32.00     5.58
Citigroup Global Markets 17326X595 11/15/18 11/14/23    100.000     0.000     4.0525     46.33   0.117164   0.119538   0.121961   0.124432  0.126953     42.83    44.59
Citigroup Global Markets 17326X819 01/04/19 01/05/26    100.000     0.000     4.1130     41.21   0.116613   0.119011   0.121458   0.123956  0.126505     43.27    45.06
Citigroup Global Markets 17326Y2M7 03/05/19 03/03/22    100.000     0.000     3.2140     26.59   0.090695   0.092153   0.093634   0.095138  0.096667     33.26    34.34
Citigroup Global Markets 17326Y2P0 11/02/18 11/04/21    100.000     0.000     3.6919     43.54   0.106395   0.108359   0.110359   0.112396               38.88    33.81
Citigroup Global Markets 17326Y2U9 02/25/19 02/25/21    100.000     0.000     3.0879     26.41   0.087099   0.088444   0.089810                          31.94     4.85
Citigroup Global Markets 17326Y3D6 01/30/19 01/27/21    100.000     0.000     3.3884     31.40   0.095689   0.097310   0.098959                          35.24     2.57
Citigroup Global Markets 17326Y3H7 06/04/19 06/03/22    100.000     0.000     2.7045     15.58   0.076135   0.077164   0.078208   0.079265  0.080337     27.65    28.40
Citigroup Global Markets 17326Y3P9 04/01/19 10/01/20    100.000     0.000     2.7935     21.05   0.078680   0.079779                                     21.44         
Citigroup Global Markets 17326Y4G8 04/26/19 04/27/29    100.000     2.000     3.7071     25.36   0.104937   0.104822   0.106765   0.106685  0.108662     37.87    38.53
Citigroup Global Markets 17326Y4M5 07/03/19 07/01/22    100.000     0.000     2.4527     12.13   0.068956   0.069801   0.070657   0.071524               24.98    25.59
Citigroup Global Markets 17326Y5J1 03/20/19 03/18/21    100.000     0.000     2.5319     19.85   0.071211   0.072113   0.073026                          25.99     5.62
Citigroup Global Markets 17326Y5K8 06/14/19 12/15/22    100.000     0.000     2.5783     14.12   0.072547   0.073483   0.074430   0.075389  0.076361     26.32    27.00
Citigroup Global Markets 17326Y5P7 05/30/19 06/01/20    100.000     0.000     2.7854     16.36   0.078454                                                11.77         
Citigroup Global Markets 17326Y5W2 05/31/19 06/02/22    100.000     0.000     2.8420     16.69   0.080079   0.081217   0.082371   0.083542  0.084729     29.10    29.93
Citigroup Global Markets 17326Y5Z5 09/28/18 09/30/21    100.000     0.000     3.5957     45.91   0.103524   0.105386   0.107280   0.109209               37.95    29.21
Citigroup Global Markets 17326Y6P6 10/02/18 04/01/20    100.000     0.000     3.2297     40.80   0.092628                                                 8.34         
Citigroup Global Markets 17326Y6Q4 06/28/19 06/28/24    100.000     0.000     2.5844     13.14   0.072717   0.073657   0.074609   0.075573  0.076549     26.35    27.04
Citigroup Global Markets 17326Y7E0 06/28/19 06/30/26*   100.000     0.000     2.8044     14.26   0.079005                                                14.14*        
Citigroup Global Markets 17326YAF3 06/03/19 12/03/20    100.000     0.000     2.6240     15.19   0.073844   0.074813                                     24.69         
Citigroup Global Markets 17326YAH9 07/03/19 07/03/24    100.000     0.000     2.5848     12.78   0.071800   0.072728   0.073668   0.074620  0.075584     26.35    27.03
Citigroup Global Markets 17326YAR7 06/05/19 06/03/22    100.000     0.000     2.6588     15.24   0.074827   0.075822   0.076830   0.077851  0.078886     27.17    27.90
Citigroup Global Markets 17326YB62 02/20/19 02/17/22    100.000     0.000     3.2683     28.43   0.092244   0.093752   0.095284   0.096841  0.098423     33.89    35.00
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17326YCA2 04/26/19 04/26/29    100.000    VARIES     3.0551      3.70   0.014503   0.013685   0.012854   0.012011  0.012195      4.97     4.43
Citigroup Global Markets 17326YCE4 04/30/19 10/29/20    100.000     0.000     2.8252     18.98   0.079579   0.080703                                     23.92         
Citigroup Global Markets 17326YD78 12/20/18 12/16/20    100.000     0.000     3.5750     37.21   0.102847   0.104686                                     35.81         
Citigroup Global Markets 17326YDF0 05/10/19 05/12/22    100.000     0.000     2.9343     18.89   0.082719   0.083933   0.085164   0.086414  0.087681     30.12    31.01
Citigroup Global Markets 17326YDZ6 03/13/19 03/11/21    100.000     0.000     3.0633     24.65   0.086379   0.087702   0.089046                          31.63     6.23
Citigroup Global Markets 17326YF68 03/29/19 03/28/24    100.000     0.000     3.1838     24.19   0.089840   0.091270   0.092723   0.094199  0.095698     32.87    33.92
Citigroup Global Markets 17326YF76 04/25/19 10/29/26*   100.000     0.000     3.2614     22.39   0.092106   0.093608                                     10.96*        
Citigroup Global Markets 17326YFA9 02/27/19 03/26/20    100.000     0.000     3.0131     25.62   0.085165                                                 7.24         
Citigroup Global Markets 17326YFF8 05/03/19 05/05/22    100.000     0.000     2.9032     19.26   0.081829   0.083017   0.084222   0.085444  0.086685     29.81    30.68
Citigroup Global Markets 17326YFG6 02/28/19 03/01/22    100.000    VARIES     2.5400     21.42   0.070902   0.071252   0.071635   0.072030  0.072944     25.68    26.02
Citigroup Global Markets 17326YFJ0 06/28/19 12/31/24    100.000     0.000     2.6784     13.62   0.075408   0.076418   0.077442   0.078479  0.079530     27.33    28.07
Citigroup Global Markets 17326YFK7 04/03/19 04/01/22    100.000     0.000     2.9546     22.10   0.083271   0.084501   0.085750   0.087016  0.088302     30.42    31.33
Citigroup Global Markets 17326YFQ4 04/30/19 10/30/24    100.000     0.000     3.2236     21.67   0.090987   0.092453   0.093943   0.095458  0.096996     33.20    34.28
Citigroup Global Markets 17326YG34 06/28/19 06/30/22    100.000     0.000     2.3796     12.10   0.066895   0.067691   0.068496   0.069311  0.070136     24.23    24.81
Citigroup Global Markets 17326YGQ3 05/13/19 06/11/20    100.000     0.000     2.8513     18.12   0.080511                                                12.88         
Citigroup Global Markets 17326YGW0 03/29/19 03/30/22    100.000     0.000     2.9164     22.14   0.082200   0.083399   0.084615   0.085849  0.087101     30.03    30.91
Citigroup Global Markets 17326YJF4 02/28/19 03/02/22    100.000     0.000     3.3909     28.74   0.095825   0.097450   0.099102   0.100782  0.102491     35.18    36.38
Citigroup Global Markets 17326YJM9 03/05/19 03/04/21    100.000     0.000     3.0869     25.54   0.087064   0.088408   0.089773                          31.90     5.66
Citigroup Global Markets 17326YK96 03/29/19 03/31/22    100.000     0.000     2.9227     22.19   0.082380   0.083584   0.084805   0.086045  0.087302     30.09    30.98
Citigroup Global Markets 17326YKE5 04/30/19 04/30/26*   100.000     0.000     3.4072     22.91   0.096256                                                11.45*        
Citigroup Global Markets 17326YL20 10/31/18 10/29/21    100.000     0.000     3.1711     37.51   0.090892   0.092333   0.093797   0.095285               33.16    28.22
Citigroup Global Markets 17326YLG9 11/16/18 11/18/21    100.000     0.000     3.6795     41.90   0.106026   0.107977   0.109963   0.111986               38.69    35.22
Citigroup Global Markets 17326YLJ3 09/12/18 09/10/21    100.000     0.000     3.4831     46.05   0.100132   0.101875   0.103650   0.105455               36.75    26.13
Citigroup Global Markets 17326YLW4 12/11/18 12/11/25    100.000    VARIES     3.4423      5.61   0.013929   0.013332   0.012725   0.012944  0.013167      4.88     4.63
Citigroup Global Markets 17326YMA1 09/28/18 09/30/21    100.000     0.000     3.5948     45.90   0.103498   0.105358   0.107252   0.109180               37.94    29.20
Citigroup Global Markets 17326YML7 02/05/19 02/04/21    100.000     0.000     3.1450     28.68   0.088726   0.090121   0.091539                          32.61     3.02
Citigroup Global Markets 17326YNA0 03/04/19 03/03/22    100.000     0.000     3.2230     26.76   0.090961   0.092427   0.093917   0.095430  0.096968     33.36    34.44
Citigroup Global Markets 17326YNG7 03/29/19 03/31/21    100.000     0.000     2.5320     19.21   0.071228   0.072129   0.073043                          25.97     6.50
Citigroup Global Markets 17326YNR3 05/22/19 11/27/26*   100.000     0.000     3.1271     19.08   0.088261   0.089641                                     12.98*        
Citigroup Global Markets 17326YNS1 03/29/19 04/01/24    100.000     0.500     3.2003     24.31   0.090337   0.091338   0.092799   0.093840  0.095341     32.92    33.82
Citigroup Global Markets 17326YNT9 03/29/19 04/01/24    100.000     0.000     3.2016     24.32   0.090372   0.091819   0.093288   0.094782  0.096299     33.06    34.12
Citigroup Global Markets 17326YP83 02/28/19 03/02/22    100.000     0.000     3.3909     28.74   0.095825   0.097450   0.099102   0.100782  0.102491     35.18    36.38
Citigroup Global Markets 17326YPF7 10/11/18 04/09/20    100.000     0.000     3.2896     40.72   0.094393                                                 9.25         
Citigroup Global Markets 17326YPM2 03/29/19 03/31/26*   100.000     0.000     3.4130     25.94   0.096431                                                 8.58*        
Citigroup Global Markets 17326YPR1 10/31/18 10/31/38*   100.000    VARIES     4.6859     54.05   0.125141                                                 3.63*        
Citigroup Global Markets 17326YQE9 03/01/19 03/02/21    100.000     0.000     3.0810     25.83   0.086908   0.088247   0.089607                          31.85     5.47
Citigroup Global Markets 17326YQL3 04/15/19 04/14/22    100.000     0.000     3.0130     21.52   0.084949   0.086229   0.087528   0.088846  0.090185     31.01    31.95
Citigroup Global Markets 17326YQQ2 12/28/18 12/30/20    100.000     0.000     3.4518     35.11   0.099240   0.100953                                     35.94         
Citigroup Global Markets 17326YR65 09/25/18 09/25/38*   100.000    VARIES     4.2228     52.66   0.112822   0.114729                                     19.80*        
Citigroup Global Markets 17326YRQ1 02/28/19 03/02/26*   100.000     0.000     3.8261     32.46   0.108359                                                 6.18*        
Citigroup Global Markets 17326YRY4 12/26/18 12/23/21    100.000     0.000     3.5858     36.70   0.103178   0.105028   0.106911   0.108828               37.51    37.98
Citigroup Global Markets 17326YS49 11/15/18 11/12/21    100.000     0.000     3.7806     43.18   0.108992   0.111052   0.113151   0.115290               39.81    35.58
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17326YS72 04/23/19 04/21/22    100.000     0.000     3.0064     20.80   0.084752   0.086026   0.087320   0.088632  0.089964     30.92    31.86
Citigroup Global Markets 17326YS98 03/29/19 03/31/22    100.000     0.000     2.9227     22.19   0.082380   0.083584   0.084805   0.086045  0.087302     30.09    30.98
Citigroup Global Markets 17326YSF4 11/19/18 11/12/20    100.000     0.000     3.5801     40.46   0.102970   0.104813                                     32.36         
Citigroup Global Markets 17326YSN7 02/28/19 03/04/24    100.000     0.000     3.5717     30.29   0.101047   0.102852   0.104688   0.106558  0.108461     37.13    38.47
Citigroup Global Markets 17326YTC0 05/31/19 06/02/26*   100.000     0.000     3.2972     19.37   0.093116                                                14.06*        
Citigroup Global Markets 17326YTS5 09/19/18 09/16/20    100.000     0.000     3.3237     43.25   0.095392   0.096978                                     24.61         
Citigroup Global Markets 17326YTV8 09/25/18 09/25/23    100.000     1.000     3.1087     39.80   0.088195   0.089566   0.090094   0.091495  0.092053     32.18    32.87
Citigroup Global Markets 17326YU95 03/13/19 03/13/26    100.000     0.000     3.6227     29.18   0.102454   0.104310   0.106200   0.108123  0.110082     37.62    39.00
Citigroup Global Markets 17326YUU8 10/18/18 04/20/20    100.000     0.000     3.2937     40.11   0.094547                                                10.31         
Citigroup Global Markets 17326YVM5 01/31/19 02/02/22    100.000     0.000     3.5319     32.74   0.099859   0.101623   0.103417   0.105244  0.107102     36.80    38.11
Citigroup Global Markets 17326YW51 05/31/19 06/03/22    100.000     0.000     2.6953     15.83   0.075895   0.076917   0.077954   0.079004  0.080069     27.56    28.31
Citigroup Global Markets 17326YWM4 07/02/19 01/03/23    100.000     0.000     2.5315     12.59   0.070323   0.071213   0.072115   0.073027  0.073952     25.80    26.45
Citigroup Global Markets 17326YX43 05/22/19 05/20/22    100.000     0.000     2.8898     17.63   0.081420   0.082596   0.083790   0.085001  0.086229     29.62    30.48
Citigroup Global Markets 17326YX84 04/23/19 04/22/21    100.000     0.000     2.9226     20.22   0.082364   0.083568   0.084789                          30.04     9.41
Citigroup Global Markets 17326YXC5 01/31/19 02/02/22    100.000     0.000     3.5319     32.74   0.099859   0.101623   0.103417   0.105244  0.107102     36.80    38.11
Citigroup Global Markets 17326YXQ4 03/05/19 03/04/24*   100.000     0.000     3.3076     27.37   0.093389                                                 5.88*        
Citigroup Global Markets 17326YXR2 04/30/19 04/28/22    100.000     0.000     2.9308     19.69   0.082591   0.083801   0.085030   0.086276  0.087540     30.10    30.99
Citigroup Global Markets 17326YY59 03/01/19 03/03/25    100.000     1.000     3.5616     29.89   0.100716   0.101520   0.103328   0.104179  0.106034     36.71    37.67
Citigroup Global Markets 17326YY67 05/23/19 05/25/22    100.000     0.000     2.8574     17.35   0.080518   0.081669   0.082836   0.084019  0.085219     29.28    30.12
Citigroup Global Markets 17326YYH3 05/31/19 12/04/24    100.000     0.000     3.1681     18.61   0.089427   0.090844   0.092283   0.093745  0.095230     32.53    33.56
Citigroup Global Markets 17326YYM2 11/15/18 11/15/21    100.000     0.000     3.7481     42.80   0.108052   0.110077   0.112140   0.114242               39.45    35.59
Citigroup Global Markets 17326YYQ3 10/18/18 10/18/22    100.000    VARIES     3.0322     36.38   0.083577   0.083077   0.082555   0.083232  0.083701     29.92    29.93
Citigroup Global Markets 17326YYU4 11/30/18 12/02/21    100.000     0.000     3.7678     41.40   0.108663   0.110710   0.112796   0.114921               39.61    37.72
Citigroup Global Markets 17326YYZ3 05/03/19 05/05/21    100.000     0.000     2.8327     18.79   0.079812   0.080943   0.082089                          29.06    10.18
Citigroup Global Markets 17326YZF6 04/30/19 04/28/22    100.000     0.000     2.9308     19.69   0.082591   0.083801   0.085030   0.086276  0.087540     30.10    30.99
Citigroup Global Markets 17326YZM1 02/15/19 02/16/21    100.000     0.000     2.6213     23.14   0.073774   0.074741   0.075721                          27.00     3.41
Citigroup Global Markets 17327P526 08/05/19 08/03/22    100.000     0.000     2.9111     11.81   0.080864   0.082028   0.083222   0.084434  0.085663     29.67    30.54
Citigroup Global Markets 17327T2G0 12/24/19 12/22/22    100.000     0.000     2.1806      0.42   0.060571   0.061224   0.061892   0.062566  0.063249     21.94    22.41
Citigroup Global Markets 17327T3H7 12/17/19 12/15/22    100.000     0.000     2.2284      0.87   0.061899   0.062581   0.063278   0.063983  0.064696     22.43    22.93
Citigroup Global Markets 17327T3P9 02/05/20 02/03/23    100.000     0.000     2.1859                        0.060720   0.061377   0.062048  0.062726     19.89    22.42
Citigroup Global Markets 17327T4W3 12/24/19 12/24/24    100.000     0.000     2.4008      0.47   0.066689   0.067489   0.068299   0.069119  0.069949     24.16    24.75
Citigroup Global Markets 17327TBS4 07/31/19 07/30/26*   100.000     0.000     2.8796     12.08   0.079989   0.081141                                     16.93*        
Citigroup Global Markets 17327TCN4 08/29/19 11/03/21    100.000     0.000     2.1349      7.25   0.059527   0.060163   0.060805   0.061454               21.62    18.48
Citigroup Global Markets 17327TCX2 08/05/19 08/04/22    100.000     0.000     2.9115     11.81   0.080874   0.082045   0.083239   0.084451  0.085680     29.67    30.54
Citigroup Global Markets 17327TCZ7 10/31/19 11/02/26*   100.000     0.000     2.7172      4.60   0.075489   0.076515                                     22.91*        
Citigroup Global Markets 17327TDB9 08/07/19 08/05/22    100.000     0.000     2.1339      8.54   0.059276   0.059901   0.060540   0.061186  0.061839     21.64    22.10
Citigroup Global Markets 17327TDM5 09/26/19 09/28/26*   100.000     0.000     2.5414      6.71   0.070605   0.071502                                     19.01*        
Citigroup Global Markets 17327TET9 12/02/19 12/02/24    100.000     0.000     2.4449      1.97   0.067913   0.068743   0.069583   0.070434  0.071295     24.65    25.25
Citigroup Global Markets 17327TF92 01/31/20 02/02/23    100.000     0.000     2.2035             0.061210   0.061217   0.061892   0.062574  0.063263     20.36    22.61
Citigroup Global Markets 17327TFC5 12/04/19 12/02/22    100.000     0.000     2.3164      1.74   0.064343   0.065080   0.065834   0.066597  0.067368     23.34    23.88
Citigroup Global Markets 17327TFV3 07/02/19 12/30/21    100.000     0.000     2.3854     11.86   0.067043   0.067843   0.068652   0.069471               24.28    24.79
Citigroup Global Markets 17327TFW1 09/30/19 09/30/25    100.000     0.000     2.5748      6.51   0.071521   0.072442   0.073374   0.074319  0.075276     26.08    26.76
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17327TFX9 11/13/19 11/10/22    100.000     0.000     2.2910      3.05   0.063638   0.064354   0.065092   0.065837  0.066591     23.11    23.64
Citigroup Global Markets 17327TGF7 10/31/19 11/02/26*   100.000     0.000     2.7172      4.60   0.075489   0.076515                                     22.91*        
Citigroup Global Markets 17327TGP5 09/03/19 03/04/21    100.000     0.000     1.8413      6.04   0.051150   0.051621   0.052096                          18.61     3.28
Citigroup Global Markets 17327TGV2 09/09/19 03/08/21    100.000     0.000     1.8413      5.73   0.051148   0.051616   0.052092                          18.60     3.49
Citigroup Global Markets 17327TH41 02/03/20 02/02/23    100.000     0.000     2.1983                        0.061063   0.061730   0.062409  0.063094     20.13    22.55
Citigroup Global Markets 17327THY5 11/01/19 11/01/24    100.000     0.000     2.5315      4.22   0.070319   0.071209   0.072111   0.073023  0.073948     25.58    26.23
Citigroup Global Markets 17327TJJ6 11/04/19 11/04/21    100.000     0.000     2.0636      3.27   0.057323   0.057915   0.058512   0.059116               20.81    17.84
Citigroup Global Markets 17327TJN7 12/24/19 12/22/22    100.000     0.000     2.1805      0.42   0.060570   0.061223   0.061891   0.062565  0.063248     21.93    22.41
Citigroup Global Markets 17327TJQ0 10/03/19 10/05/22    100.000     0.000     2.2658      5.54   0.062948   0.063661   0.064382   0.065111  0.065849     22.91    23.43
Citigroup Global Markets 17327TKD7 12/26/19 12/23/22    100.000     0.000     2.2329      0.31   0.062025   0.062706   0.063406   0.064114  0.064830     22.46    22.96
Citigroup Global Markets 17327TKE5 09/30/19 09/30/26*   100.000     0.000     2.6926      6.81   0.074794   0.075801                                     20.30*        
Citigroup Global Markets 17327TKR6 08/30/19 09/01/26*   100.000     0.000     2.4448      8.22   0.067916   0.068747   0.069587                          16.59*        
Citigroup Global Markets 17327TLC8 08/30/19 09/01/26*   100.000     0.000     2.4448      8.22   0.067916   0.068747                                     16.45*        
Citigroup Global Markets 17327TMA1 10/10/19 10/13/20    100.000     0.000     2.0245      4.56   0.056247   0.056816                                     15.96         
Citigroup Global Markets 17327TMF0 12/24/19 12/22/22    100.000     0.000     2.1805      0.42   0.060570   0.061223   0.061891   0.062565  0.063248     21.93    22.41
Citigroup Global Markets 17327TMZ6 08/30/19 03/04/25    100.000     0.000     2.1981      7.39   0.061074   0.061745   0.062424   0.063110  0.063804     22.27    22.76
Citigroup Global Markets 17327TN28 02/04/20 12/05/22    100.000     0.000     2.0124             0.055901   0.056279   0.056846   0.057418  0.057995     18.37    20.60
Citigroup Global Markets 17327TNB8 09/19/19 09/21/22    100.000     0.000     2.4325      6.89   0.067577   0.068399   0.069231   0.070073  0.070925     24.64    25.24
Citigroup Global Markets 17327TND4 11/05/19 11/03/22    100.000     0.000     1.6705      2.60   0.046402   0.046786   0.047176   0.047570  0.047968     16.82    17.10
Citigroup Global Markets 17327TNH5 07/31/19 02/01/23    100.000     0.000     2.4950     10.47   0.069311   0.070176   0.071052   0.071938  0.072835     25.37    26.01
Citigroup Global Markets 17327TNM4 07/10/19 08/04/21    100.000     0.000     2.3844     11.34   0.066339   0.067130   0.067931   0.068741               24.26    14.62
Citigroup Global Markets 17327TNS1 09/03/19 09/03/24    100.000     0.000     1.8671      6.12   0.051865   0.052349   0.052838   0.053331  0.053829     18.87    19.23
Citigroup Global Markets 17327TPG5 11/13/19 11/10/22    100.000     0.000     2.2691      3.03   0.063031   0.063734   0.064458   0.065189  0.065928     22.89    23.41
Citigroup Global Markets 17327TPJ9 11/29/19 11/30/22    100.000     0.000     2.0339      1.81   0.056501   0.057075   0.057656   0.058242  0.058835     20.48    20.90
Citigroup Global Markets 17327TPT7 09/30/19 03/30/23    100.000     0.000     2.3505      5.94   0.065291   0.066059   0.066835   0.067620  0.068415     23.78    24.35
Citigroup Global Markets 17327TPW0 08/26/19 08/26/26*   100.000     0.000     2.2936      7.96   0.063710   0.064441                                     15.10*        
Citigroup Global Markets 17327TQA7 09/04/19 03/03/23    100.000     0.000     2.1796      7.08   0.060545   0.061201   0.061868   0.062542  0.063224     22.07    22.55
Citigroup Global Markets 17327TQK5 11/27/19 11/28/29*   100.000     0.000     2.5653      2.42   0.071263   0.072177                                     23.40*        
Citigroup Global Markets 17327TRQ1 07/31/19 01/30/25    100.000     0.000     2.8012     11.75   0.077811   0.078901   0.080006   0.081127  0.082263     28.54    29.34
Citigroup Global Markets 17327TSD9 07/24/19 07/22/22    100.000     0.000     2.4497     10.68   0.068047   0.068872   0.069715   0.070569  0.071433     24.91    25.52
Citigroup Global Markets 17327TSJ6 10/31/19 10/31/25    100.000     0.000     2.6129      4.43   0.072580   0.073529   0.074489   0.075462  0.076448     26.42    27.11
Citigroup Global Markets 17327TSM9 11/27/19 11/28/22    100.000     0.000     2.2265      2.10   0.061852   0.062541   0.063237   0.063941  0.064653     22.44    22.94
Citigroup Global Markets 17327TSV9 08/14/19 08/13/26    100.000     0.000     2.5545      9.72   0.070959   0.071860   0.072778   0.073708  0.074649     25.96    26.63
Citigroup Global Markets 17327TT63 01/31/20 02/02/23    100.000     0.000     2.2035             0.061210   0.061217   0.061892   0.062574  0.063263     20.36    22.61
Citigroup Global Markets 17327TT97 02/11/20 02/10/22    100.000     0.000     1.8965                        0.052680   0.053176   0.053681  0.054190     16.93    19.38
Citigroup Global Markets 17327TTR7 10/22/19 10/20/22    100.000     0.000     2.2321      4.28   0.062003   0.062687   0.063386   0.064094  0.064809     22.54    23.05
Citigroup Global Markets 17327TTT3 11/29/19 11/30/22    100.000     0.000     2.0339      1.81   0.056501   0.057075   0.057656   0.058242  0.058835     20.48    20.90
Citigroup Global Markets 17327TUE4 12/24/19 12/24/26*   100.000     0.000     2.6021      0.51   0.072280   0.073221                                     25.68*        
Citigroup Global Markets 17327TUT1 11/29/19 05/30/25    100.000     0.000     2.5704      2.28   0.071405   0.072323   0.073253   0.074194  0.075148     25.93    26.60
Citigroup Global Markets 17327TUX2 08/12/19 08/12/21    100.000     0.000     2.1207      8.19   0.058908   0.059532   0.060164   0.060802               21.49    13.41
Citigroup Global Markets 17327TV86 12/20/19 12/23/26    100.000     0.170     2.6310      0.80   0.073084   0.073998   0.074910   0.075833  0.076768     26.49    27.15
Citigroup Global Markets 17327TW36 01/24/20 01/26/22    100.000     0.000     2.0546             0.057072   0.057078   0.057664   0.058257  0.058855     19.33    21.05
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17327TWP7 10/02/19 10/02/23    100.000     0.000     2.3580      5.83   0.065500   0.066272   0.067053   0.067844  0.068644     23.86    24.42
Citigroup Global Markets 17327TX84 02/04/20 02/04/25    100.000     0.000     2.4251                        0.067364   0.068181   0.069008  0.069845     22.15    24.94
Citigroup Global Markets 17327TXH4 10/02/19 10/02/24    100.000     0.000     2.4893      6.15   0.069147   0.070008   0.070879   0.071762  0.072655     25.20    25.83
Citigroup Global Markets 17327TXK7 12/02/19 12/01/22    100.000     0.000     2.2585      1.82   0.062735   0.063439   0.064156   0.064880  0.065613     22.75    23.27
Citigroup Global Markets 17327TXT8 09/10/19 09/10/24    100.000     0.250     2.3208      7.16   0.064467   0.065135   0.065810   0.066493  0.067184     23.48    23.97
Citigroup Global Markets 17327TYG5 10/08/19 11/03/21    100.000     0.000     2.0870      4.82   0.058057   0.058663   0.059275   0.059893               21.08    18.01
Citigroup Global Markets 17327TYT7 11/29/19 12/01/26*   100.000     0.000     2.3714      2.11   0.065880   0.066661                                     21.88*        
Citigroup Global Markets 17327TZ82 01/31/20 02/02/27    100.000     0.000     2.6047             0.072352   0.072362   0.073304   0.074259  0.075226     24.09    26.85
Citigroup Global Markets 17327TZF6 10/31/19 05/03/23    100.000     0.000     2.3404      3.97   0.065025   0.065785   0.066555   0.067334  0.068122     23.63    24.19
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510     6.4445     49.41   0.019512   0.020141   0.020790   0.021460  0.022152      7.16     7.63
Clark CNTY SCH DIST, NV  181059QG4 07/08/10 06/15/20     94.976     5.510     6.1946     47.21   0.018446                                                 3.03         
Clark CNTY SCH DIST, NV  181059QH2 07/08/10 06/15/20     94.976     5.510     6.1946     47.21   0.018446                                                 3.03         
Clinton & Wash CNTYS, IL 187327AY7 09/30/16 12/01/21    110.588     4.750     2.5511     89.50   0.073882   0.073142   0.072392   0.071632               26.42    23.75
Clinton & Wash CNTYS, IL 187327AZ4 09/30/16 12/01/20     99.603     2.200     2.3004     74.63   0.063837   0.063868                                     21.07         
Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22    112.683     5.000     2.7510     98.42   0.081334   0.080542   0.079739   0.078926  0.078101     29.09    28.51
Coles Counties, IL       193792ET1 11/26/13 12/01/20     99.346    VARIES        N/A             0.107031   0.107087                                     35.33         
Coles Counties, IL       193792EU8 11/26/13 12/01/21    105.395    VARIES     4.2404             0.119486   0.119075   0.118655   0.118226               42.92    39.08
Coles Counties, IL       193792EV6 11/26/13 12/01/22    104.771    VARIES     4.3909             0.124036   0.123710   0.123377   0.123036  0.122688     44.57    44.33
Coles Counties, IL       193792EW4 11/26/13 12/01/23     99.115    VARIES     4.5919             0.126897   0.126973   0.127050   0.127129  0.127210     45.70    45.76
Coles Counties, IL       193792EX2 11/26/13 12/01/23     99.043    VARIES     4.7528             0.131296   0.131379   0.131465   0.131553  0.131642     47.29    47.35
Coles Counties, IL       193792EY0 11/26/13 12/01/23     98.985    VARIES     4.9628             0.137050   0.137142   0.137236   0.137333  0.137432     49.36    49.43
Coles Counties, IL       193792EZ7 11/26/13 12/01/23     98.936    VARIES     5.1717             0.142777   0.142877   0.142981   0.143086  0.143195     51.42    51.50
Coles Counties, IL       193792FA1 11/26/13 12/01/23     98.886    VARIES     5.3302             0.147111   0.147219   0.147330   0.147444  0.147561     52.99    53.07
Coles Counties, IL       193792FB9 11/26/13 12/01/23     99.347    VARIES     5.4215             0.149948   0.150022   0.150098   0.150176  0.150256     54.00    54.05
Coles Counties, IL       193792FC7 11/26/13 12/01/23     99.318    VARIES     5.5264             0.152823   0.152901   0.152982   0.153064  0.153149     55.04    55.09
Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23     99.293    VARIES     5.6308             0.155687   0.155769   0.155853   0.155940  0.156029     56.07    56.13
Coles Counties, IL       193792FE3 11/26/13 12/01/23     99.301    VARIES     5.9329             0.164034   0.164120   0.164210   0.164302  0.164396     59.07    59.14
Coles Counties, IL       193792FF0 11/26/13 12/01/23     99.314    VARIES     6.2344             0.172364   0.172455   0.172549   0.172645  0.172745     62.07    62.14
Coles Counties, IL       193792FG8 11/26/13 12/01/23     99.331    VARIES     6.5352             0.180680   0.180775   0.180873   0.180974  0.181079     65.07    65.14
Coles Counties, IL       193792FH6 11/26/13 12/01/23    118.448    VARIES     6.4777             0.195395   0.193671   0.191892   0.190055  0.188158     69.93    68.64
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000    10.5154             1.892356   1.988929   2.090581   2.197577  2.310198    713.70   788.56
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000    10.3811             1.817799   1.909269   2.005487   2.106699  2.213165    679.51   749.75
Compucredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES     9.1299             0.640591   0.657308   0.693344   0.707870  0.747027    239.22   257.46
Compucredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES     9.1299             0.640591   0.657308   0.693344   0.707870  0.747027    239.22   257.46
CompuCredit Corporation  20478NAC4 11/23/05 11/15/35    100.000     5.786        N/A             0.438975   0.455621   0.462860   0.483453  0.488823    167.37   176.67
CompuCredit Corporation  20478NAD2 11/23/05 11/15/35    100.000     5.786        N/A             0.438975   0.455621   0.462860   0.483453  0.488823    167.37   176.67
Cook County, Illinois    213309KV8 04/28/05 12/01/20     40.881     0.000     5.8197    540.02   0.152647   0.157088                                     51.17         
COOK CNTY ILL SCH DIST N 214183KP9 06/15/10 06/01/30     25.818     0.000     6.8998    235.17   0.094016   0.097260   0.100615   0.104086  0.107677     34.63    37.06
COOK CNTY ILL SCH DIST N 214183KR5 06/15/10 12/01/26     33.796     0.000     6.6998    296.02   0.117332   0.121263   0.125325   0.129523  0.133862     43.19    46.13
COOK CNTY ILL SCH DIST N 214183KS3 06/15/10 12/01/27     31.375     0.000     6.7498    277.54   0.110242   0.113962   0.117808   0.121784  0.125894     40.58    43.37
COOK CNTY ILL SCH DIST N 214183KT1 06/15/10 12/01/28     29.098     0.000     6.7998    259.94   0.103474   0.106992   0.110630   0.114391  0.118280     38.10    40.73
COOK CNTY ILL SCH DIST N 214183KU8 06/15/10 12/01/29     26.961     0.000     6.8498    243.21   0.097023   0.100346   0.103782   0.107337  0.111013     35.73    38.22
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #89   214201GH2 12/13/07 12/01/20     45.022     0.000     6.2498    494.99   0.163244   0.168346                                     54.79         
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000     6.3499    469.50   0.155656   0.160598   0.165697   0.170958               57.23    55.63
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000     6.3998    442.70   0.147160   0.151869   0.156729   0.161744  0.166920     54.11    57.63
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000     6.4499    417.01   0.138986   0.143468   0.148095   0.152871  0.157801     51.11    54.46
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000     6.4699    391.78   0.130715   0.134944   0.139309   0.143816  0.148468     48.08    51.24
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000     7.7796    342.78   0.147546   0.153285   0.159248   0.165442  0.171877     54.34    58.65
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000     7.9997    319.59   0.138796   0.144348   0.150122   0.156126  0.162371     51.15    55.32
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES     7.6950             0.225782   0.225117   0.224427   0.223710  0.222966     81.14    80.64
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000     8.2497    296.62   0.130129   0.135497   0.141086   0.146905  0.152965     47.99    52.03
Cook County, Illinois    214471HQ0 12/30/02 12/01/22     21.989     0.000     7.7497    581.30   0.171363   0.178003   0.184901   0.192065  0.199507     63.29    68.29
Cook County, IL SD #123  214651KC4 10/15/07 12/01/20     44.691     0.000     6.2294    498.47   0.162744   0.167813                                     54.62         
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000     6.2695    470.45   0.153924   0.158749   0.163726   0.168858               56.58    54.95
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000     6.2794    442.63   0.144898   0.149447   0.154140   0.158979  0.163971     53.26    56.66
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000     6.2895    416.37   0.136376   0.140665   0.145088   0.149651  0.154357     50.13    53.33
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000     6.2995    391.59   0.128328   0.132370   0.136540   0.140840  0.145277     47.17    50.19
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000     6.3096    368.22   0.120733   0.124542   0.128471   0.132524  0.136705     44.38    47.23
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000     6.3195    346.16   0.113563   0.117151   0.120853   0.124672  0.128611     41.75    44.43
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000     6.3296    335.67   0.110179   0.113666   0.117263   0.120974  0.124803     40.50    43.11
Cook County, Illinois    214723CW6 09/07/05 12/01/20     44.082     0.000     5.4495    511.14   0.143451   0.147359                                     48.04         
Cook County, Illinois    214723CX4 09/07/05 12/01/21     41.315     0.000     5.5195    487.80   0.137500   0.141295   0.145194   0.149201               50.41    48.64
Cook County, Illinois    214723CY2 09/07/05 12/01/22     38.734     0.000     5.5795    464.42   0.131399   0.135064   0.138832   0.142705  0.146686     48.19    50.91
Cook County, Illinois    214723CZ9 09/07/05 12/01/23     36.271     0.000     5.6396    441.60   0.125410   0.128946   0.132582   0.136321  0.140165     46.00    48.63
Cook County, Illinois    214723DA3 09/07/05 12/01/24     33.990     0.000     5.6895    419.08   0.119385   0.122781   0.126274   0.129866  0.133561     43.80    46.32
Cook County, SD #133, IL 214813CA3 06/26/12 12/15/20     97.998     5.000     5.2964     17.29   0.007814   0.008021                                      2.73         
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27     94.524     6.000     6.5008             0.015189   0.015692   0.016211   0.016748                5.59     5.45
Cook County, Illinois    215219FQ4 06/30/03 12/01/20     39.193     0.000     5.4498    560.02   0.143459   0.147368                                     48.05         
Cook County, Illinois    215219FR2 06/30/03 12/01/21     36.482     0.000     5.5497    535.62   0.138172   0.142006   0.145947   0.149997               50.67    48.89
Cook County, Illinois    215219FS0 06/30/03 12/01/22     33.892     0.000     5.6497    511.14   0.132781   0.136532   0.140389   0.144355  0.148433     48.70    51.50
Cook County, Illinois    215219GF7 06/02/05 12/01/20     43.922     0.000     5.3801    513.33   0.141721   0.145533                                     47.45         
Cook County, Illinois    215219GG5 06/02/05 12/01/21     41.054     0.000     5.4700    491.24   0.136399   0.140130   0.143962   0.147900               50.00    48.22
Cook County, Illinois    215219GH3 06/02/05 12/01/22     38.699     0.000     5.5000    466.69   0.129828   0.133399   0.137067   0.140837  0.144710     47.60    50.25
Cook County, Illinois    215219GQ3 06/02/05 12/01/23     36.261     0.000     5.5601    444.14   0.124025   0.127473   0.131017   0.134659  0.138402     45.48    48.04
Cook County, Illinois    215219GR1 06/02/05 12/01/24     34.002     0.000     5.6101    421.85   0.118174   0.121489   0.124897   0.128400  0.132002     43.34    45.81
Cook County, IL          215219HF6 06/29/06 12/01/20     41.744     0.000     6.1497    528.61   0.160784   0.165728                                     53.95         
Cook County, IL          215219HG4 06/29/06 12/01/21     39.173     0.000     6.1697    498.39   0.151768   0.156450   0.161277   0.166252               55.76    54.12
Cook County, IL          215219HH2 06/29/06 12/01/22     36.688     0.000     6.1997    470.05   0.143389   0.147834   0.152417   0.157142  0.162013     52.69    56.01
Cook County, IL          215219HJ8 06/29/06 12/01/23     34.398     0.000     6.2198    442.78   0.135229   0.139434   0.143770   0.148241  0.152851     49.70    52.83
Cook County, IL          215219HK5 06/29/06 12/01/24     32.181     0.000     6.2498    417.15   0.127623   0.131611   0.135724   0.139965  0.144339     46.91    49.88
Cook County, IL          215219HL3 06/29/06 12/01/25     30.147     0.000     6.2697    392.59   0.120249   0.124018   0.127906   0.131916  0.136051     44.20    47.01
Cook County, IL          215219HM1 06/29/06 06/01/26     29.062     0.000     6.2997    381.09   0.116930   0.120613   0.124412   0.128331  0.132373     42.98    45.73
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000     6.7493    380.18   0.143763   0.148614   0.153629   0.158814  0.164173     52.92    56.56
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000     6.7994    356.72   0.135199   0.139795   0.144548   0.149462  0.154543     49.78    53.22
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000     6.8494    334.37   0.127016   0.131366   0.135864   0.140517  0.145330     46.77    50.03
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000     6.8993    313.10   0.119206   0.123318   0.127572   0.131973  0.136525     43.91    46.99
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000     6.9993    293.19   0.112132   0.116057   0.120118   0.124322  0.128673     41.31    44.26
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000     7.0995    273.96   0.105255   0.108991   0.112860   0.116866  0.121014     38.79    41.60
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000     7.1494    264.62   0.101894   0.105536   0.109309   0.113216  0.117264     37.56    40.29
Cook County SD #162, IL  215291LL7 06/30/11 12/01/20     59.985     0.000     5.4995    351.68   0.144696   0.148675                                     48.47         
Cook County SD #162, IL  215291LM5 06/30/11 12/01/21*    55.395     0.000     5.7496    343.15   0.142593   0.146693                                     47.93*        
Cook County SD #162, IL  215291LP8 06/30/11 12/01/23*    47.270     0.000     6.1247    316.91   0.133653   0.137746                                     44.97*        
Cook County SD #162, IL  215291LQ6 06/30/11 12/01/24*    43.785     0.000     6.2495    301.12   0.127619   0.131607                                     42.96*        
Cook County SD #162, IL  215291LT0 06/30/11 12/01/27*    33.620     0.000     6.7497    255.09   0.110241   0.113962                                     37.16*        
Cook County SD #162, IL  215291LU7 06/30/11 12/01/28*    30.805     0.000     6.8747    239.33   0.103934   0.107507                                     35.04*        
Cook County SD #162, IL  215291LV5 06/30/11 12/01/29*    28.410     0.000     6.9497    223.84   0.097491   0.100879                                     32.88*        
Cook County SD #162, IL  215291LW3 06/30/11 12/01/30*    26.286     0.000     6.9997    209.04   0.091223   0.094415                                     30.77*        
Corvallie, Benton County 2208855R4 03/12/02 01/01/21     27.475     0.000     6.9894    658.86   0.181259   0.187593                                     66.39         
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000     7.0194    616.08   0.169852   0.175814   0.181984   0.188371               62.22    66.66
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000     7.0594    575.97   0.159249   0.164870   0.170689   0.176714               58.34    62.53
Crawford CNTY, IL        224759EY2 10/30/14 12/01/20     99.160    VARIES     2.6504             0.073512   0.073566                                     24.27         
Crawford CNTY, IL        224759EZ9 10/30/14 12/01/21     99.043    VARIES     2.9004             0.080332   0.080389   0.080447   0.080506               28.93    26.56
Crawford CNTY, IL        224759FB1 10/30/14 12/01/23**   98.821    VARIES     3.1502             0.087016   0.087074   0.087133   0.087192  0.087253     31.34**  31.38
Credit Suisse USA, Inc.  22539T431 03/05/15 02/25/22    100.000     0.000     1.9373             0.058660   0.059229   0.059802   0.060382  0.060966     21.36    21.78
Credit Suisse USA, Inc.  22539TAB6 02/22/17 02/19/20    100.000     0.000     1.7619     51.43   0.051127                                                 2.45         
Credit Suisse USA, Inc.  22541HDC3 01/18/13 01/21/20    100.000     0.000     1.3161             0.039815                                                 0.80         
Credit Suisse USA, Inc.  22542DFF2 02/28/17 02/28/24    103.000     0.125     2.1990     65.96   0.066256   0.066947   0.067645   0.068350  0.069064     24.15    24.65
Credit Suisse USA, Inc.  22545F136 01/02/15 12/28/21    100.000     0.000     2.1699             0.067129   0.067857   0.068593   0.069338               24.30    24.62
Credit Suisse USA, Inc.  22546EB94 10/28/10 10/28/30*   100.000    VARIES     4.9714             0.110342   0.110052                                     32.72*        
Credit Suisse USA, Inc.  22546VMW3 10/30/15 10/31/25    100.000     1.500     2.5533             0.073237   0.072846   0.074469   0.073670  0.075318     26.81    27.09
Credit Suisse USA, Inc.  22546VP42 10/29/15 10/29/21    100.000     0.000     1.6599             0.049261   0.049670   0.050082   0.050498               17.86    15.00
Credit Suisse USA, Inc.  22546VPQ3 11/30/15 11/28/25    100.000     1.500     2.5442             0.073754   0.074162   0.074575   0.074994  0.075418     26.65    26.95
Credit Suisse USA, Inc.  22546VPR1 11/30/15 11/28/23    100.000     0.000     1.9529             0.058627   0.059200   0.059778   0.060362  0.060951     21.25    21.66
Credit Suisse USA, Inc.  22546VPW0 11/30/15 05/30/23    100.000     0.000     1.9020             0.056990   0.057532   0.058079   0.058631  0.059189     20.65    21.04
Credit Suisse USA, Inc.  22546VQM1 11/24/15 11/19/20    100.000     0.000     1.6255             0.048163   0.048554                                     15.39         
Credit Suisse USA, Inc.  22546VR73 12/31/15 07/02/20    100.000     0.000     1.6700             0.049174   0.049585                                      8.97         
Credit Suisse USA, Inc.  22546VRL2 12/23/15 12/23/25    100.000    VARIES     2.4835             0.008229   0.008331   0.008435   0.008540  0.008646      2.98     3.06
Credit Suisse USA, Inc.  22546VRM0 12/28/15 12/27/22    100.000     0.500     1.9028             0.055919   0.056319   0.056723   0.057130  0.057542     20.21    20.50
Credit Suisse USA, Inc.  22546VTS5 01/29/16 01/29/21    100.000     0.000     1.7999     72.82   0.053234   0.053713   0.054197                          19.40     1.52
Credit Suisse USA, Inc.  22546VTT3 01/29/16 07/30/20    100.000     0.000     1.8000     72.82   0.053238   0.053717                                     11.21         
Credit Suisse USA, Inc.  22546VU79 01/22/16 04/22/21    100.000     0.000     1.7997     73.20   0.053467   0.053948   0.054434                          19.40     6.04
Credit Suisse USA, Inc.  22546VUX2 02/10/16 02/10/26    100.000    VARIES     2.2723     23.00   0.015389   0.015564   0.015740   0.015919  0.016100      5.62     5.75
Credit Suisse USA, Inc.  22546VW77 02/26/16 02/26/21    100.000     0.000     1.8101     71.79   0.053553   0.054038   0.054527                          19.49     3.00
Credit Suisse USA, Inc.  22546VY91 03/28/16 03/25/21    100.000     0.000     1.4700     56.60   0.042977   0.043293   0.043611                          15.59     3.66
Credit Suisse USA, Inc.  22546VYY6 03/18/16 03/18/21    100.000    VARIES     1.9748     12.11   0.009029   0.009118   0.009208                           3.29     0.71
    -----------------------------                                                                                                                                      
    *  Called in 2020; reportable OID is computed to call date.                                                                                                        
    ** These calculations may be revised.                                                                                                                              



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22547QER3 12/27/13 12/28/21    100.000     0.000     2.6361             0.085689   0.086818   0.087963   0.089122               31.06    31.61
Credit Suisse USA, Inc.  22547QXM3 01/30/15 01/29/21    100.000     0.000     1.5402             0.045839   0.046192   0.046547                          16.67     1.30
Credit Suisse USA, Inc.  22547QY83 12/29/14 06/28/22    100.000     0.000     2.2049             0.068341   0.069094   0.069856   0.070626  0.071405     24.74    25.29
Credit Suisse USA, Inc.  22547QZ66 12/31/14 12/31/20    100.000     0.000     1.9589             0.059986   0.060574                                     21.64         
Credit Suisse USA, Inc.  22547QZ82 12/12/14 12/14/22    100.000     0.000     2.1598             0.066805   0.067526   0.068255   0.068993  0.069738     24.20    24.73
Credit Suisse USA, Inc.  22547W5D1 02/07/14 02/05/21    100.000     0.000     2.0912             0.065124   0.065805   0.066493                          23.77     2.26
Credit Suisse USA, Inc.  22547WKH5 06/12/15 06/14/22    100.000     0.000     2.2646             0.069622   0.070411   0.071208   0.072014  0.072830     25.23    25.81
Credit Suisse USA, Inc.  22547WPN7 12/29/15 12/29/22    100.000     0.000     1.9233             0.057676   0.058231   0.058791   0.059356  0.059927     20.87    21.27
Credit Suisse            22547WQ22 02/11/16 02/10/23    100.000     0.000     1.8032     72.31   0.053335   0.053816   0.054301   0.054791  0.055285     19.42    19.78
Credit Suisse USA, Inc.  22547WQ89 04/27/16 05/01/23    100.000     0.000     1.5175     57.18   0.044449   0.044787   0.045126   0.045469  0.045814     16.10    16.35
Credit Suisse USA, Inc.  22547WQA4 06/20/16 06/16/21    100.000     0.000     1.8619     67.62   0.055175   0.055689   0.056207                          19.97     9.27
Credit Suisse USA, Inc.  22547WQB2 06/23/16 06/21/21    100.000     0.000     2.0800     75.66   0.061092   0.061728   0.062712                          22.49    10.72
Credit Suisse USA, Inc.  22547WQE6 08/12/16 08/14/23    100.000    VARIES        N/A     13.08   0.010832   0.010787   0.010741   0.010694  0.010647      3.88     3.85
Credit Suisse USA, Inc.  22548Q2Q7 04/28/16 04/28/26    100.000    VARIES     2.7488     32.95   0.022908   0.023223   0.023542   0.023865  0.024193      8.34     8.57
Credit Suisse USA, Inc.  22548Q3E3 04/14/16 04/14/26    100.000    VARIES     2.5023     20.49   0.014707   0.014891   0.015077   0.015266  0.015457      5.36     5.49
Credit Suisse USA, Inc.  22548Q5R2 05/27/16 05/27/21    100.000     0.000     2.5650     95.95   0.077898   0.078897   0.079908                          28.29    11.67
Credit Suisse USA, Inc.  22548Q6L4 05/20/16 05/20/31    100.000    VARIES     3.7259    134.65   0.103498   0.103497   0.103498   0.103499  0.103500     37.26    37.26
Credit Suisse USA, Inc.  22548QHX6 09/28/16 09/26/24    100.000     0.000     1.3289     44.11   0.038409   0.038664   0.038921   0.039179  0.039440     13.92    14.11
Credit Suisse USA, Inc.  22548QKG9 10/28/16 10/30/23    100.000     0.000     1.6003     51.92   0.046635   0.047008   0.047385   0.047764  0.048146     16.90    17.17
Credit Suisse USA, Inc.  22548QL37 10/20/16 10/20/26    100.000    VARIES     2.2705     20.33   0.016139   0.016322   0.016508   0.016695  0.016885      5.87     6.00
Credit Suisse USA, Inc.  22548QN35 11/28/16 11/28/23    100.000     0.000     1.9557     62.02   0.057591   0.058154   0.058723   0.059297  0.059877     20.87    21.28
Credit Suisse USA, Inc.  22548X2E9 12/05/16 12/05/23    100.000     0.125     2.0339     64.05   0.059815   0.060388   0.060967   0.061551  0.062142     21.67    22.08
Credit Suisse AG London  22548Y124 07/05/19 06/27/25    100.000     0.000     2.3699     11.59   0.066577   0.067366   0.068164   0.068972  0.069789     24.12    24.69
Credit Suisse AG Nassau  22549E606 04/05/18 04/05/23    100.000     0.000     3.4300     60.96   0.100265   0.101984   0.103733   0.105512  0.107322     36.70    37.97
Credit Suisse AG London  22549JY95 08/14/19 03/25/24    100.000     0.125     2.2368      8.53   0.062282   0.062939   0.063604   0.064277  0.064957     22.67    23.15
Credit Suisse AG Nassau  22549K2A4 06/23/17 06/24/24    100.000     0.500     1.9627     50.25   0.056563   0.056981   0.057404   0.057831  0.058262     20.44    20.75
Credit Suisse AG Nassau  22549M137 05/03/18 05/06/25    100.000     0.000     3.7900     64.40   0.111412   0.113523   0.115675   0.117867  0.120100     40.72    42.28
Credit Suisse AG London  22549M780 08/03/18 08/03/22    100.000     0.000     2.9664     42.44   0.084861   0.086120   0.087397   0.088693  0.090009     31.15    32.08
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES     2.0492             0.011792   0.011913   0.012035                           4.30     0.57
Credit Suisse AG Nassau  22550BMY6 10/31/17 04/28/23    100.000     0.000     2.2940     50.75   0.066689   0.067454   0.068228   0.069010  0.069802     24.24    24.80
Credit Suisse AG London  22550V521 03/31/20 03/31/25    100.000     0.000     3.1499                        0.087498   0.088876   0.090275  0.091697     23.84    32.50
Credit Suisse AG Nassau  22550WHJ9 03/07/18 03/07/23    100.000     0.000     3.2901     61.11   0.095975   0.097554   0.099159   0.100790  0.102448     35.20    36.37
Credit Suisse AG Nassau  22550WHK6 03/08/18 03/05/21    100.000     0.000     3.0200     55.91   0.087726   0.089051   0.090396                          32.13     5.79
Credit Suisse AG London  22550WNS2 04/18/18 04/18/23    100.000     0.000     3.4700     60.37   0.101492   0.103253   0.105045   0.106867  0.108721     37.11    38.41
Credit Suisse AG London  22550WP43 04/30/18 04/28/23    100.000     0.000     3.5000     59.67   0.102398   0.104190   0.106013   0.107869  0.109756     37.41    38.73
Credit Suisse AG London  22550WR82 05/30/18 11/29/22    100.000     0.000     2.8700     46.25   0.083199   0.084393   0.085604   0.086832  0.088078     30.24    31.12
Credit Suisse AG London  22550WRD1 06/05/18 06/03/21    100.000     0.000     2.8999     46.32   0.084095   0.085315   0.086552                          30.56    13.16
Credit Suisse AG Nassau  22550WTN7 05/21/18 05/21/20    100.000     0.000     2.8198     46.16   0.081688                                                11.44         
Credit Suisse AG Nassau  22550WUG0 05/31/18 05/29/20    100.000     0.000     2.6997     43.47   0.078065                                                11.55         
Credit Suisse AG London  22550WVQ7 07/05/18 07/02/21    100.000     0.000     2.8699     43.34   0.082006   0.083182   0.084376   0.085587               30.16    15.49
Credit Suisse AG London  22550WX77 06/29/18 12/31/20    100.000     0.000     2.7629     42.18   0.079979   0.081083                                     28.91         
Credit Suisse AG London  22550WY76 07/02/18 07/02/20    100.000     0.000     2.7699     42.05   0.079088   0.080184                                     14.51         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22550WYM3 08/03/18 08/04/21    100.000     0.000     2.9399     42.06   0.084088   0.085324   0.086578   0.087851               30.86    18.67
Credit Suisse AG London  22550WZX8 07/27/18 01/28/21    100.000     0.000     2.9400     42.57   0.084091   0.085327   0.086582                          30.88     2.34
Credit Suisse AG London  22551L2C3 09/06/18 09/03/21    100.000     0.000     2.8600     38.20   0.081713   0.082882   0.084067   0.085269               29.90    20.56
Credit Suisse AG London  22551L2R0 08/31/18 03/04/21    100.000     0.000     2.8797     38.97   0.082339   0.083524   0.084727                          30.13     5.34
Credit Suisse AG London  22551L3J7 08/20/18 08/20/20    100.000     0.000     2.8198     38.95   0.080552   0.081688                                     18.65         
Credit Suisse AG London  22551L3R9 08/10/18 08/12/25    100.000     0.000     2.9800     42.05   0.085277   0.086547   0.087837   0.089145  0.090474     31.28    32.22
Credit Suisse AG London  22551L4K3 08/31/18 08/31/20    100.000     0.000     2.8500     38.56   0.081439   0.082593                                     19.67         
Credit Suisse AG London  22551L6G0 10/03/18 10/01/21    100.000     0.000     3.0600     38.55   0.087606   0.088946   0.090307   0.091689               32.02    24.63
Credit Suisse AG London  22551L6Z8 09/28/18 03/30/21    100.000     0.000     3.0401     38.73   0.087048   0.088371   0.089715                          31.82     7.98
Credit Suisse AG London  22551L7B0 10/03/18 04/01/21    100.000     0.000     3.0299     38.16   0.086720   0.088034   0.089368                          31.69     8.04
Credit Suisse AG London  22551LDC1 11/05/18 11/03/21    100.000     0.000     3.0900     36.10   0.088491   0.089858   0.091247   0.092657               32.26    27.81
Credit Suisse AG London  22551LDT4 10/30/18 04/29/21    100.000     0.000     3.0499     36.06   0.087317   0.088649   0.090001                          31.84    10.62
Credit Suisse AG London  22551LF96 10/17/18 10/15/21    100.000     0.000     3.1055     37.88   0.088948   0.090329   0.091731   0.093156               32.48    26.31
Credit Suisse AG London  22551LFL9 10/30/18 10/30/24    100.000     0.000     3.0899     36.54   0.088504   0.089872   0.091260   0.092670  0.094102     32.28    33.28
Credit Suisse AG London  22551LJM3 12/05/18 12/03/21    100.000     0.000     3.0200     32.68   0.086428   0.087733   0.089058   0.090403               31.42    29.81
Credit Suisse AG London  22551LJP6 11/30/18 11/30/23    100.000     0.000     3.0301     33.22   0.086738   0.088052   0.089386   0.090740  0.092115     31.54    32.51
Credit Suisse AG London  22551LJQ4 11/30/18 06/02/21    100.000     0.000     3.0198     33.11   0.086450   0.087755   0.089080                          31.43    13.45
Credit Suisse AG London  22551LK58 11/30/18 06/02/21    100.000     0.000     3.0198     33.11   0.086450   0.087755   0.089080                          31.43    13.45
Credit Suisse AG London  22551LMG2 01/03/19 12/31/21    100.000     0.000     2.6999     27.03   0.077019   0.078059   0.079112   0.080180               27.92    28.59
Credit Suisse AG London  22551LMT4 12/31/18 06/28/21    100.000     0.000     2.7900     28.18   0.079666   0.080777   0.081904                          28.89    14.50
Credit Suisse AG London  22551LN30 12/31/18 12/29/23    100.000     0.000     2.7300     27.57   0.077911   0.078975   0.080053   0.081145  0.082253     28.24    29.02
Credit Suisse AG London  22551LN48 01/03/19 01/03/24    100.000     0.000     2.8700     28.74   0.080866   0.082027   0.083204   0.084398  0.085609     29.74    30.60
Credit Suisse AG London  22551LN55 12/31/18 06/28/21    100.000     0.000     2.7900     28.18   0.079666   0.080777   0.081904                          28.89    14.50
Credit Suisse AG London  22551LN63 12/31/18 12/29/23    100.000     0.000     2.7268     27.53   0.077818   0.078879   0.079954   0.081044  0.082149     28.21    28.98
Credit Suisse AG London  22551LP95 12/27/18 12/24/21    100.000     0.000     2.7299     27.80   0.077898   0.078961   0.080039   0.081131               28.25    28.45
Credit Suisse AG London  22551LPX2 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LPZ7 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQ29 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQ37 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQ86 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQ94 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQA1 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQB9 12/19/18 12/17/21    100.000     0.000     2.8499     29.68   0.081422   0.082582   0.083759   0.084953               29.55    29.20
Credit Suisse AG London  22551LQP8 01/03/19 01/03/24    100.000     0.000     2.8700     28.74   0.080866   0.082027   0.083204   0.084398  0.085609     29.74    30.60
Credit Suisse AG London  22551LRA0 01/31/19 02/02/22    100.000     0.000     2.8699     26.56   0.080877   0.082038   0.083215   0.084409  0.085620     29.67    30.53
Credit Suisse AG London  22551LRH5 01/31/19 02/01/24    100.000     0.000     2.8700     26.56   0.080872   0.082032   0.083209   0.084403  0.085614     29.67    30.53
Credit Suisse AG London  22551LRS1 02/05/19 02/03/22    100.000     0.000     2.5500     23.22   0.071727   0.072642   0.073568   0.074506  0.075456     26.26    26.93
Credit Suisse AG London  22551LRW2 02/05/19 02/05/24    100.000     0.000     2.6101     23.77   0.073448   0.074406   0.075377   0.076361  0.077358     26.90    27.60
Credit Suisse AG London  22551LSG6 01/31/19 02/02/22    100.000     0.000     2.8699     26.56   0.080877   0.082038   0.083215   0.084409  0.085620     29.67    30.53
Credit Suisse AG London  22551LSS0 01/25/19 01/24/24    100.000     0.000     2.8700     26.97   0.080860   0.082020   0.083197   0.084391  0.085602     29.69    30.54
Credit Suisse AG London  22551LST8 01/25/19 01/24/24    100.000     0.000     2.8700     26.97   0.080860   0.082020   0.083197   0.084391  0.085602     29.69    30.54
Credit Suisse AG         22551LUZ1 03/05/19 03/03/22    100.000     0.000     2.5701     21.24   0.072298   0.073227   0.074168   0.075121  0.076087     26.42    27.10
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22551LVC1 02/22/19 02/22/24    100.000     0.000     2.6101     22.53   0.073448   0.074406   0.075377   0.076361  0.077358     26.86    27.57
Credit Suisse AG London  22551LVE7 02/22/19 02/22/24    100.000     0.000     2.6101     22.53   0.073448   0.074406   0.075377   0.076361  0.077358     26.86    27.57
Credit Suisse AG         22551LVQ0 03/05/19 03/04/24    100.000     0.000     2.5700     21.24   0.072301   0.073230   0.074171   0.075124  0.076089     26.41    27.10
Credit Suisse AG London  22551LW22 02/06/19 02/03/21    100.000     0.000     2.6499     24.06   0.074566   0.075554   0.076555                          27.32     2.45
Credit Suisse AG         22551LW89 02/28/19 03/02/22    100.000     0.000     2.6052     22.05   0.073332   0.074287   0.075255   0.076235  0.077228     26.80    27.50
Credit Suisse AG London  22551LW97 02/28/19 03/02/22    100.000     0.000     2.6052     22.05   0.073332   0.074287   0.075255   0.076235  0.077228     26.80    27.50
Credit Suisse AG London  22551LWA4 02/28/19 03/02/22    100.000     0.000     3.0343     25.70   0.085593   0.086891   0.088209   0.089548  0.090906     31.36    32.32
Credit Suisse AG London  22551LWT3 02/28/19 03/02/26*   100.000     0.000     2.6079     22.07   0.073408                                                 4.18*        
Credit Suisse AG London  22551LX96 02/21/19 02/20/26*   100.000     0.000     2.5840     22.37   0.072700   0.073640                                      3.64*        
Credit Suisse AG London  22551LXW5 03/29/19 03/29/24    100.000     0.000     2.5700     19.50   0.072306   0.073235   0.074176   0.075129  0.076094     26.37    27.05
Credit Suisse AG         22551LXX3 03/29/19 03/29/24    100.000     0.000     2.5700     19.50   0.072306   0.073235   0.074176   0.075129  0.076094     26.37    27.05
Credit Suisse AG London  22551LYG9 04/03/19 04/01/22    100.000     0.000     2.4998     18.69   0.070298   0.071177   0.072066   0.072967  0.073879     25.62    26.27
Credit Suisse AG London  22551LZD5 03/29/19 03/31/22    100.000     0.000     2.5701     19.50   0.072314   0.073244   0.074185   0.075138  0.076104     26.37    27.05
Credit Suisse AG London  22551LZE3 03/29/19 03/31/26*   100.000     0.000     2.5700     19.50   0.072311                                                 6.44*        
Credit Suisse AG London  22551LZJ2 03/29/19 03/31/26*   100.000     0.000     2.2450     17.03   0.063065                                                 5.61*        
Credit Suisse AG London  22551LZU7 03/29/19 03/29/24    100.000     0.000     2.5700     19.50   0.072306   0.073235   0.074176   0.075129  0.076094     26.37    27.05
Credit Suisse AG London  22551LZV5 04/03/19 04/02/24    100.000     0.000     2.5300     18.91   0.071162   0.072062   0.072973   0.073896  0.074831     25.94    26.60
Credit Suisse AG London  22551N4H6 11/29/19 05/29/25    100.000     0.000     2.2500      2.00   0.062499   0.063203   0.063914   0.064633  0.065360     22.67    23.18
Credit Suisse AG London  22551N4J2 11/29/19 11/29/23    100.000     0.000     2.1299      1.89   0.059164   0.059794   0.060431   0.061074  0.061725     21.45    21.91
Credit Suisse AG London  22551N4R4 11/07/19 11/07/29    100.000     0.000     2.4600      3.69   0.068333   0.069173   0.070024   0.070886  0.071757     24.84    25.46
Credit Suisse AG London  22551N6J0 11/29/19 08/30/23    100.000     0.000     2.0196      1.80   0.056100   0.056383   0.056955   0.057524  0.058111     20.35    20.75
Credit Suisse AG         22551N6K7 11/29/19 02/29/24    100.000     0.000     2.0697      1.84   0.057493   0.057790   0.058388   0.058989  0.059603     20.86    21.28
Credit Suisse AG London  22551N6L5 11/29/19 12/03/26*   100.000     0.000     2.2700      2.02   0.063072   0.063788                                     21.07*        
Credit Suisse AG London  22551NAX4 12/02/19 12/01/26    100.000     0.000     2.2800      1.84   0.063333   0.064051   0.064782   0.065520  0.066267     22.97    23.50
Credit Suisse AG London  22551NCE4 12/30/19 06/27/25    100.000     0.000     2.3800      0.07   0.066111   0.066885   0.067681   0.068486  0.069301     23.95    24.52
Credit Suisse AG London  22551NCF1 12/30/19 12/28/23    100.000     0.000     2.0500      0.06   0.056944   0.057521   0.058111   0.058707  0.059308     20.61    21.03
Credit Suisse AG         22551ND78 12/31/19 09/29/23    100.000     0.000     2.0695      0.06   0.057487   0.057781   0.058379   0.058983  0.059593     20.83    21.24
Credit Suisse AG London  22551ND86 12/31/19 12/31/26*   100.000     0.000     2.3000      0.06   0.063890   0.064625                                     23.07*        
Credit Suisse AG London  22551NH33 01/31/20 01/29/27    100.000     0.000     2.0500                        0.056945   0.057525   0.058115  0.058711     18.94    21.00
Credit Suisse AG London  22551NH41 01/31/20 11/02/23    100.000     0.000     1.7996             0.049990   0.050220   0.050672   0.051128  0.051588     16.63    18.38
Credit Suisse AG London  22551NH58 01/31/20 05/02/24    100.000     0.000     1.8197             0.050548   0.050783   0.051245   0.051712  0.052182     16.81    18.59
Credit Suisse AG London  22551NHA7 01/31/20 07/31/25    100.000     0.000     2.0500                        0.056945   0.057528   0.058118  0.058714     18.94    21.00
Credit Suisse AG London  22551NHB5 01/31/20 01/31/24    100.000     0.000     1.7401                        0.048336   0.048756   0.049180  0.049608     16.06    17.76
Credit Suisse AG London  22551NMV5 02/28/20 03/02/26    100.000     0.000     1.7500             0.048611   0.048621   0.049046   0.049475  0.049908     14.78    17.84
Credit Suisse AG London  22551NMX1 02/28/20 02/28/24    100.000     0.000     1.5699                        0.043609   0.043952   0.044297  0.044644     13.26    15.97
Credit Suisse AG London  22551NNC6 02/28/20 08/29/24    100.000     0.000     1.7501                        0.048616   0.049041   0.049468  0.049903     14.78    17.84
Credit Suisse AG         22551NWL6 04/01/20 10/02/25    100.000     0.000     3.0199                        0.083894   0.085160   0.086446  0.087752     22.76    31.12
Credit Suisse AG London  22551NWN2 04/07/20 04/07/25    100.000     0.000     2.4500                        0.068056   0.068890   0.069734  0.070588     18.04    25.10
Credit Suisse AG London  22551NXV3 04/24/20 10/22/25    100.000     0.000     1.8700                        0.051944   0.052424   0.052914  0.053409     12.86    19.03
Credit Suisse AG London  22551NY67 04/21/20 04/21/25    100.000     0.000     2.6886                        0.074683   0.075687   0.076704  0.077736     18.74    27.57
Credit Suisse AG London  22552F4S8 05/03/19 05/04/22    100.000     0.000     2.3599     15.65   0.066332   0.067114   0.067906   0.068707  0.069518     24.11    24.68
Credit Suisse AG London  22552F5M0 04/26/19 04/25/22    100.000     0.000     2.5000     17.07   0.070308   0.071187   0.072077   0.072978  0.073890     25.59    26.23
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22552F5N8 04/26/19 04/25/22    100.000     0.000     2.5000     17.07   0.070308   0.071187   0.072077   0.072978  0.073890     25.59    26.23
Credit Suisse AG London  22552F5R9 04/30/19 04/28/22    100.000     0.000     2.4998     16.79   0.070298   0.071177   0.072066   0.072967  0.073879     25.58    26.22
Credit Suisse AG London  22552F5S7 04/30/19 04/28/22    100.000     0.000     2.7841     18.71   0.078402   0.079493   0.080600   0.081722  0.082860     28.56    29.36
Credit Suisse AG London  22552F5Z1 04/30/19 04/30/26*   100.000     0.000     2.5301     16.99   0.071168                                                 8.47*        
Credit Suisse AG London  22552F6E7 04/30/19 04/30/26*   100.000     0.000     3.2318     21.72   0.091222                                                10.86*        
Credit Suisse AG London  22552FA36 04/30/19 04/30/24    100.000     0.000     2.5300     16.99   0.071167   0.072067   0.072979   0.073902  0.074837     25.89    26.55
Credit Suisse AG London  22552FA44 05/03/19 05/03/24    100.000     0.000     2.3601     15.65   0.066331   0.067113   0.067905   0.068707  0.069517     24.11    24.68
Credit Suisse AG London  22552FBE1 05/10/19 05/10/24*   100.000     0.000     2.3601     15.18   0.066331   0.067113                                      8.62*        
Credit Suisse AG London  22552FBV3 05/31/19 06/03/24    100.000     0.000     2.3600     13.86   0.066343   0.067126   0.067918   0.068719  0.069530     24.07    24.64
Credit Suisse AG London  22552FBX9 05/31/19 06/03/24    100.000     0.000     2.3600     13.86   0.066343   0.067126   0.067918   0.068719  0.069530     24.07    24.64
Credit Suisse AG London  22552FCP5 06/05/19 06/03/22    100.000     0.000     2.3599     13.53   0.066318   0.067101   0.067892   0.068693  0.069504     24.06    24.63
Credit Suisse AG London  22552FDM1 05/31/19 05/31/24    100.000     0.000     2.3601     13.86   0.066331   0.067113   0.067905   0.068707  0.069517     24.07    24.64
Credit Suisse AG London  22552FDN9 06/05/19 06/03/21    100.000     0.000     2.3602     13.53   0.066326   0.067108   0.067900                          24.06    10.32
Credit Suisse AG London  22552FDP4 05/31/19 05/31/24    100.000     0.000     2.7591     16.20   0.077698   0.078770   0.079856   0.080958  0.082075     28.23    29.02
Credit Suisse AG London  22552FDQ2 06/05/19 06/03/21    100.000     0.000     1.8831     10.79   0.052796   0.053293   0.053795                          19.12     8.18
Credit Suisse AG London  22552FDR0 05/31/19 06/02/26*   100.000     0.000     2.3600     13.86   0.066337                                                10.02*        
Credit Suisse AG London  22552FDS8 05/31/19 06/02/26*   100.000     0.000     3.0400     17.86   0.085744                                                12.95*        
Credit Suisse AG London  22552FDV1 05/31/19 05/31/24    100.000     0.000     2.3601     13.86   0.066331   0.067113   0.067905   0.068707  0.069517     24.07    24.64
Credit Suisse AG         22552FDW9 06/05/19 06/05/24    100.000     0.000     2.3699     13.58   0.066612   0.067401   0.068200   0.069008  0.069826     24.16    24.74
Credit Suisse AG London  22552FGF3 07/03/19 07/01/22    100.000     0.000     2.1198     10.48   0.059501   0.060132   0.060769   0.061414               21.53    21.99
Credit Suisse AG London  22552FHJ4 06/28/19 06/30/22    100.000     0.000     2.3700     12.05   0.066621   0.067411   0.068209   0.069018  0.069836     24.13    24.70
Credit Suisse AG London  22552FHK1 06/28/19 06/30/22    100.000     0.000     2.3700     12.05   0.066621   0.067411   0.068209   0.069018  0.069836     24.13    24.70
Credit Suisse AG         22552FHM7 06/28/19 06/30/26*   100.000     0.000     2.3700     12.05   0.066622                                                11.93*        
Credit Suisse AG London  22552FHW5 06/28/19 09/30/24    100.000     0.000     2.3697     12.08   0.066224   0.067009   0.067803   0.068606  0.069419     24.13    24.70
Credit Suisse AG London  22552FJ45 06/28/19 06/28/24    100.000     0.000     2.3699     12.05   0.066612   0.067401   0.068200   0.069008  0.069826     24.13    24.70
Credit Suisse AG         22552FJ52 06/28/19 06/28/24    100.000     0.000     2.3699     12.05   0.066612   0.067401   0.068200   0.069008  0.069826     24.13    24.70
Credit Suisse AG London  22552FL26 07/29/19 07/29/24    100.000     0.000     2.4409     10.31   0.067802   0.068630   0.069468   0.070315  0.071174     24.81    25.42
Credit Suisse AG London  22552FLG5 07/26/19 07/26/24    100.000     0.000     2.4299     10.46   0.067499   0.068319   0.069149   0.069989  0.070839     24.70    25.31
Credit Suisse AG London  22552FLJ9 07/26/19 07/26/24    100.000     0.000     2.4299     10.46   0.067499   0.068319   0.069149   0.069989  0.070839     24.70    25.31
Credit Suisse AG London  22552FLZ3 07/29/19 04/27/23    100.000     0.000     2.3133      9.79   0.064623   0.065370   0.066126   0.066891  0.067665     23.49    24.04
Credit Suisse AG London  22552FM25 07/29/19 01/27/23    100.000     0.000     2.3138      9.77   0.064272   0.065007   0.065759   0.066520  0.067289     23.50    24.05
Credit Suisse AG London  22552FM33 07/29/19 07/29/26*   100.000     0.000     2.6720     11.28   0.074221   0.075213                                     15.62*        
Credit Suisse AG London  22552FM58 07/29/19 07/29/26*   100.000     0.000     2.6720     11.28   0.074221   0.075213                                     15.62*        
Credit Suisse AG London  22552FMC3 08/01/19 08/03/23    100.000     0.000     2.3500      9.79   0.065285   0.066053   0.066829   0.067614  0.068408     23.87    24.43
Credit Suisse AG London  22552FP22 07/23/19 07/21/22    100.000     0.000     2.2599      9.92   0.062776   0.063478   0.064195   0.064920  0.065654     22.95    23.47
Credit Suisse AG London  22552FVG4 09/27/19 03/27/25    100.000     0.000     2.1800      5.69   0.060554   0.061214   0.061881   0.062556  0.063238     22.04    22.53
Credit Suisse AG London  22552FVH2 09/27/19 09/27/23    100.000     0.000     2.0499      5.35   0.056943   0.057526   0.058116   0.058712  0.059313     20.71    21.14
Credit Suisse AG London  22552FWA6 09/11/19 09/11/24*   100.000     0.000     1.7700      5.41   0.049167   0.049602                                     12.37*        
Credit Suisse AG London  22552FWD0 09/30/19 12/29/23    100.000     0.000     2.0796      5.26   0.058064   0.058667   0.059277   0.059894  0.060517     21.01    21.45
Credit Suisse AG London  22552FWE8 09/30/19 06/28/24    100.000     0.000     2.1798      5.51   0.060871   0.061535   0.062205   0.062883  0.063569     22.04    22.52
Credit Suisse AG London  22552FWF5 10/03/19 10/04/23    100.000     0.000     2.0504      5.01   0.056958   0.057542   0.058131   0.058727  0.059329     20.71    21.14
Credit Suisse AG London  22552FY97 10/25/19 04/28/25    100.000     0.000     2.1699      3.98   0.060287   0.060941   0.061602   0.062271  0.062946     21.90    22.38
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22552FYA4 10/25/19 10/25/23    100.000     0.000     2.0101      3.69   0.055836   0.056397   0.056964   0.057537  0.058115     20.28    20.69
Credit Suisse AG London  22552FZM7 10/31/19 08/02/23    100.000     0.000     2.1196      3.59   0.058879   0.059198   0.059825   0.060459  0.061100     21.39    21.84
Credit Suisse AG London  22552FZN5 10/31/19 11/02/26*   100.000     0.000     2.4500      4.15   0.068065   0.068899                                     20.64*        
Credit Suisse AG London  22552W3S2 05/27/20 11/26/25    100.000     0.000     1.5600                        0.043334   0.043670   0.044011  0.044354      9.29    15.81
Credit Suisse AG Nassau  22552W4L6 05/28/20 05/28/27    100.000     0.000     1.9169                        0.053247   0.053757   0.054272  0.054792     11.36    19.48
City of Crest Hill, IL   225903BX0 12/01/10 05/01/23*    94.618     4.800     5.4005     35.73   0.013842                                                 1.67*        
CROWLEY TEX INDPT SCH DI 228130GT1 12/19/19 08/01/21     97.097     0.000     1.8301      0.59   0.049361   0.049466   0.049919   0.050375               17.87    10.57
CROWLEY TEX INDPT SCH DI 228130GU8 12/19/19 08/01/22     95.105     0.000     1.9269      0.61   0.050906   0.051021   0.051512   0.052008  0.052510     18.44    18.78
DENISON TEX INDPT SCH DI 248415XP1 02/27/20 08/01/23     94.288     0.000     1.7231                        0.045130   0.045463   0.045855  0.046250     13.77    16.56
DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24     92.210     0.000     1.8399                        0.047128   0.047499   0.047936  0.048377     14.38    17.31
DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25     90.051     0.000     1.9399                        0.048526   0.048929   0.049403  0.049882     14.81    17.84
DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26     87.123     0.000     2.1560                        0.052177   0.052659   0.053226  0.053800     15.93    19.23
Deutsche Bank AG NewYork 251526BU2 06/01/18 08/20/20     97.791     2.950     3.9995     15.57   0.028020   0.028581                                      6.52         
Deutsche Bank AG         251526BV0 06/01/18 01/13/21     97.629     3.125     4.0894     14.05   0.025210   0.025725   0.026251                           9.34     0.32
Deutsche Bank AG NewYork 251526BW8 06/01/18 05/12/21     97.843     3.375     4.1601     11.27   0.020503   0.020929   0.021364                           7.50     2.80
Deutsche Bank AG London  251526BY4 06/01/18 05/30/24     95.400     3.700     4.5860     10.96   0.020069   0.020530   0.021000   0.021482  0.021974      7.34     7.68
Deutsche Bank AG         251526BZ1 06/01/18 01/13/26     95.724     4.100     4.7762      7.68   0.013821   0.014151   0.014489   0.014835  0.015189      5.15     5.40
Deutsche Bank AG         25152R2S1 07/31/15 07/31/25    100.000    VARIES     3.0783    135.87   0.085554   0.085582   0.085611   0.085617  0.085624     30.81    30.82
Deutsche Bank AG         25152R5G4 05/26/16 05/26/26    100.000    VARIES     3.0802    108.11   0.081793   0.082151   0.082476   0.082806  0.083108     29.53    29.77
Deutsche Bank AG         25152R6M0 09/07/16 09/08/26    100.000    VARIES     3.0640     99.28   0.080899   0.081248   0.081603   0.081927  0.082256     29.27    29.51
Deutsche Bank AG         25152RAT0 12/20/12 12/20/22    100.000     0.000     1.6453             0.051259   0.051680   0.052105   0.052534  0.052966     18.54    18.84
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES     2.3745             0.059736   0.059980   0.060438   0.060902  0.061371     21.65    21.98
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES     2.5035             0.062576   0.062857   0.063348   0.063844  0.064347     22.66    23.00
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES     2.0551             0.052192   0.052457   0.052857   0.053261  0.053670     18.84    19.10
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES     1.1016             0.026094   0.026238   0.026382   0.026527  0.026673      9.45     9.55
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES     1.0463             0.024983   0.025114   0.025245   0.025377  0.025510      9.02     9.11
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES     0.8844             0.021520   0.021615   0.021711   0.021807  0.021903      7.79     7.86
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES     1.1689             0.028907   0.029071   0.029236   0.029407  0.029579     10.47    10.59
Deutsche Bank AG London  25155MBP5 06/15/17 12/15/22     98.650     3.000     3.2702      5.95   0.006809   0.006921   0.007034   0.007149  0.007266      2.47     2.56
Deutsche Bank AG London  25155MDP3 09/08/17 09/08/22     98.750     2.500     2.7694      5.57   0.006891   0.006987   0.007084   0.007182  0.007281      2.52     2.59
Deutsche Bank AG London  25155MFV8 11/24/17 11/24/20     99.175     2.350     2.6378      5.72   0.007789   0.007891                                      2.53         
Deutsche Bank AG London  25155MHY0 02/08/18 08/08/21     99.050     3.000     3.2896      5.02   0.007536   0.007660   0.007786   0.007914                2.77     1.71
Deutsche Bank AG London  25155MJV4 02/23/18 02/23/21     99.175     3.000     3.2911      5.01   0.007698   0.007825   0.007954                           2.83     0.41
Deutsche Bank AG London  25155MJZ5 02/28/18 02/27/20    100.000     0.000     1.5246     28.37   0.043325                                                 2.43         
Deutsche Bank AG London  25155MKA8 03/07/18 03/05/20    100.000     0.000     1.6423     30.17   0.046749                                                 2.99         
Deutsche Bank AG London  25155MKM2 03/13/18 05/01/23    100.000     1.000     3.7501     68.78   0.108950   0.110472   0.112023   0.113603  0.115212     39.68    40.80
Deutsche Bank AG London  25155MKN0 03/29/18 03/29/20     99.450     3.000     3.2864      4.81   0.007827                                                 0.69         
Deutsche Bank AG London  25155MKU4 04/23/18 05/01/23    103.000     1.000     3.9232     69.48   0.117394   0.119152   0.120944   0.122772  0.124635     42.79    44.09
Deutsche Bank AG London  25155MKV2 04/25/18 04/25/20     99.450     3.150     3.4369      4.61   0.007835                                                 0.89         
Deutsche Bank AG London  25155MKZ3 05/10/18 05/10/21     99.175     3.500     3.7935      4.40   0.007707   0.007853   0.008002                           2.82     1.03
Deutsche Bank AG London  25155MLE9 05/24/18 02/24/20     99.575     3.000     3.2517      3.88   0.006934                                                 0.37         
Deutsche Bank AG London  25155MLG4 07/19/18 07/19/20     99.450     3.500     3.7881      3.95   0.007709   0.007855                                      1.55         
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Deutsche Bank AG London  25155MLJ8 08/16/18 02/16/20     99.575     3.000     3.2927      3.89   0.007999                                                 0.36         
Deutsche Bank AG London  25160MAA2 10/04/18 10/04/21     99.175     4.050     4.3463      3.29   0.007552   0.007716   0.007884   0.008055                2.78     2.18
Deutsche Bank AG London  25160MAC8 10/18/18 10/18/21     99.175     4.100     4.3965      3.18   0.007551   0.007717   0.007887   0.008060                2.77     2.29
Deutsche Bank AG London  25160MAD6 10/25/18 10/25/20     99.450     3.750     4.0390      3.20   0.007714   0.007869                                      2.30         
Deutsche Bank AG London  25160MAE4 11/01/18 11/01/20     99.450     3.750     4.0390      3.16   0.007714   0.007869                                      2.34         
Deutsche Bank AG London  25160MAF1 11/23/18 11/23/21     99.175     4.250     4.5473      2.91   0.007548   0.007720   0.007895   0.008075                2.76     2.57
Deutsche Bank AG London  25160NAA0 09/20/18 09/20/21     99.175     4.000     4.2960      3.40   0.007553   0.007715   0.007881   0.008050                2.78     2.07
Downtown Dallas Dev Auth 261149BN7 11/07/07 08/15/20     45.395     0.000     6.2791    508.40   0.163963   0.169110                                     37.65         
DuPage County SD #12, IL 262777CY9 06/28/12 01/01/21    100.000    VARIES     3.2464             0.090182   0.090180                                     32.47         
DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22    100.000    VARIES     3.7456             0.104053   0.104051   0.104049   0.104047               37.46    37.46
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000     6.4699    567.70   0.153271   0.158229   0.163348   0.168632  0.174087     56.98    60.72
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000     6.5000    533.54   0.144338   0.149029   0.153872   0.158873  0.164037     53.66    57.21
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000     6.5100    500.70   0.135544   0.139955   0.144511   0.149215  0.154072     50.40    53.73
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000     6.5300    469.94   0.127388   0.131547   0.135842   0.140277  0.144857     47.37    50.51
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000     6.5499    440.90   0.119673   0.123592   0.127640   0.131820  0.136137     44.50    47.47
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000     6.5600    413.44   0.112295   0.115978   0.119782   0.123711  0.127768     41.76    44.55
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000     6.5700    387.61   0.105349   0.108809   0.112384   0.116076  0.119889     39.18    41.80
Eclipse Resources Corp.  27890GAA8 07/06/15 07/15/23*    97.903     8.875     9.2509      9.84   0.007273   0.007609   0.007961                           2.40*        
Eclipse Resources Corp.  27890GAB6 07/06/15 07/15/23*    97.903     8.875     9.2509      9.84   0.007273   0.007609   0.007961                           2.40*        
EDGEWOOD OHIO CITY SCH D 280455FG6 12/19/19 12/01/24     86.505     0.000     2.9500      0.85   0.070886   0.071827   0.072886   0.073961  0.075052     25.75    26.50
EDGEWOOD OHIO CITY SCH D 280455FH4 12/19/19 12/01/27     77.391     0.000     3.2499      0.84   0.069864   0.070886   0.072038   0.073208  0.074398     25.40    26.22
EDGEWOOD OHIO CITY SCH D 280455FJ0 12/19/19 12/01/28     74.279     0.000     3.3499      0.83   0.069118   0.070160   0.071335   0.072530  0.073745     25.14    25.97
EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34     61.883     0.000     3.2498      6.09   0.055863   0.056564   0.057483   0.058417  0.059366     20.48    21.14
EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39     49.670     0.000     3.5499      5.34   0.048979   0.049650   0.050531   0.051428  0.052341     17.99    18.62
EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45     39.206     0.000     3.6499      4.33   0.039750   0.040310   0.041046   0.041795  0.042558     14.61    15.14
EURONET WORLDWIDE INC    298736AJ8 03/18/19 03/15/49    100.000     0.750     5.4000     42.81   0.153428   0.157008   0.160685   0.164461  0.168339     56.65    59.34
EURONET WORLDWIDE INC    298736AL3 03/18/19 03/15/49    100.000     0.750     5.4000     42.81   0.153428   0.157008   0.160685   0.164461  0.168339     56.65    59.34
EUROPEAN INVT BK         298785DW3 03/10/16 03/10/21     44.672     0.000     5.4450    491.35   0.139539   0.143338   0.147240                          51.77    10.16
Exelon Corporation       30161NAE1 06/17/14 06/01/24    100.000    VARIES     4.8846             0.142598   0.141902   0.141188   0.140458  0.139709     51.17    50.65
EXPEDIA GROUP INC        30212PAS4 05/05/20 05/01/25    100.000     6.250     6.7500                        0.187500   0.187500   0.187500  0.187500     44.25    67.50
EXPEDIA GROUP INC        30212PAU9 05/05/20 05/01/25    100.000     7.000     7.5001                        0.208336   0.208335   0.208335  0.208335     49.17    75.00
FAIRFIELD OHIO CITY SCH  304657NV7 11/06/19 11/01/29     73.964     0.000     3.0430      3.44   0.062520   0.063445   0.064410   0.065390  0.066385     22.79    23.48
FAIRFIELD OHIO CITY SCH  304657NW5 11/06/19 11/01/30     71.376     0.000     3.0931      3.37   0.061325   0.062247   0.063210   0.064187  0.065180     22.36    23.05
FAIRFIELD OHIO CITY SCH  304657NX3 11/06/19 11/01/31     68.568     0.000     3.1731      3.32   0.060436   0.061368   0.062342   0.063331  0.064336     22.04    22.74
FAIRFIELD OHIO CITY SCH  304657NY1 11/06/19 11/01/32     66.020     0.000     3.2230      3.25   0.059107   0.060033   0.061000   0.061983  0.062982     21.56    22.26
Federal Home Loan        3128X0AZ2 10/03/02 01/02/34     19.160     0.000     5.3582    285.31   0.069141   0.070994   0.072896   0.074849  0.076854     25.90    27.30
Federal Home Loan        3128X2SX4 01/30/04 04/01/20     42.215     0.000     5.4047    564.69   0.146181                                                13.16         
Federal Home Loan        3128X2SY2 01/30/04 10/01/20     40.880     0.000     5.4384    551.84   0.143175   0.147068                                     39.36         
Federal Home Loan        3128X52H0 04/03/07 04/02/37     21.177     0.000     5.2422    197.78   0.058875   0.060418   0.062001   0.063626  0.065294     21.75    22.91
Federal Home Loan        3128X5LK2 10/02/06 10/02/34     24.784     0.000     5.0446    231.71   0.066370   0.068044   0.069761   0.071520  0.073324     24.50    25.75
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000     4.9803    184.49   0.057068   0.058490   0.059946   0.061439  0.062969     20.83    21.88
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000     4.4860    169.05   0.053639   0.054842   0.056072   0.057330  0.058616     19.64    20.53
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000     4.3499    168.64   0.053344   0.054505   0.055690   0.056901  0.058139     19.52    20.38
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000     5.1394    172.96   0.055835   0.057269   0.058741   0.060251  0.061799     20.36    21.42
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000     2.9999    158.14   0.046627   0.047327   0.048037   0.048757  0.049488     17.10    17.62
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000     4.5439    172.82   0.058804   0.060140   0.061506   0.062903  0.064332     21.70    22.69
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000     4.5434    170.86   0.058802   0.060138   0.061504   0.062901  0.064330     21.45    22.44
Federal Home Loan        312902LX5 12/17/99 12/17/29     14.255     0.000     6.6001    381.17   0.095772   0.098932   0.102197   0.105570  0.109054     35.14    37.49
Federal Home Loan        312902VG1 04/25/00 01/04/21     25.643     0.000     6.6857    679.42   0.168270   0.173895   0.179708                          63.61     0.54
Federal Home Loan        312902VH9 04/25/00 01/04/22     24.042     0.000     6.6796    635.97   0.157437   0.162696   0.168129   0.173744  0.179547     59.52    63.56
Federal Home Loan        312902VJ5 04/25/00 01/04/23     22.536     0.000     6.6749    595.41   0.147347   0.152264   0.157346   0.162597  0.168024     55.70    59.48
Federal Home Loan        312902VK2 04/25/00 01/04/24     21.145     0.000     6.6664    557.41   0.137858   0.142453   0.147201   0.152108  0.157178     52.11    55.64
Federal Home Loan        312902VL0 04/25/00 01/04/25     20.007     0.000     6.6235    521.49   0.128570   0.132828   0.137227   0.141771  0.146467     48.58    51.86
Federal Home Loan        312902VM8 04/25/00 01/04/26     18.780     0.000     6.6160    488.53   0.120379   0.124361   0.128475   0.132725  0.137116     45.49    48.55
Federal Home Loan        312902VN6 04/25/00 01/04/27     17.654     0.000     6.6034    457.72   0.112682   0.116402   0.120245   0.124215  0.128317     42.57    45.43
Federal Home Loan        312902VX4 04/25/00 01/04/20     27.313     0.000     6.6998    726.33   0.180072                                                 0.54         
Federal Home Loan Banks  3130A0MR8 01/22/14 01/22/21    100.000    VARIES     2.3229             0.065974   0.065622   0.065076                          23.54     1.37
Federal Home Loan Banks  3130A0N63 01/23/14 01/23/20    100.000    VARIES     1.9612             0.054834                                                 1.21         
Federal Home Loan Banks  3130A1DD7 03/26/14 03/26/21    100.000    VARIES     2.2862             0.064946   0.064589   0.064051                          23.23     5.44
Federal Home Loan Banks  3130A1DV7 03/26/14 03/26/21    100.000    VARIES     2.3282             0.066134   0.065772   0.065225                          23.66     5.54
Federal Home Loan Banks  3130A4EV0 03/18/15 03/18/20    100.000    VARIES     1.7026             0.047187                                                 3.63         
Federal Home Loan Banks  3130A4JD5 03/30/15 03/30/20    100.000    VARIES     1.6373             0.045394                                                 4.04         
Federal Home Loan Banks  3130A4LE0 04/02/15 04/02/20    100.000    VARIES     1.6894             0.046826                                                 4.26         
Federal Home Loan Banks  3130A5CB3 05/27/15 05/27/20    100.000    VARIES     1.6122             0.044702                                                 6.53         
Federal Home Loan Banks  3130A5LZ0 06/30/15 06/30/20*   100.000    VARIES     1.7431             0.048301                                                 4.35*        
Federal Home Loan Banks  3130A5M22 06/26/15 06/25/20*   100.000    VARIES     1.7664             0.048953                                                 4.16*        
Federal Home Loan Banks  3130AA4B1 12/02/16 12/02/21*   100.000    VARIES     1.6625     12.24   0.011085                                                 1.67*        
Federal Home Loan Banks  3130AAFH6 12/30/16 12/30/21*   100.000    VARIES     1.8755     14.60   0.013424                                                 1.19*        
Federal Home Loan Banks  3130AAFM5 12/28/16 12/28/21*   100.000    VARIES     1.8759     13.86   0.012735                                                 1.11*        
Federal Home Loan Banks  3130ACGH1 10/06/17 10/06/22*   100.000    VARIES     1.8634      7.73   0.009570                                                 0.91*        
Federal Home Loan Banks  3130ACGS7 10/12/17 10/12/22*   100.000    VARIES     1.8634      7.67   0.009570                                                 0.97*        
Federal Home Loan Banks  3130ACK86 10/18/17 10/18/22*   100.000    VARIES     1.9419      9.25   0.011610                                                 1.24*        
Federal Home Loan Banks  3130ACWV2 12/13/17 12/13/22*   100.000    VARIES     2.0961      8.65   0.011667                                                 0.84*        
Federal Home Loan        3134A1H60 10/22/97 06/03/24     16.813     0.000     6.8127    575.52   0.139988   0.144756   0.149687   0.154786  0.160059     51.53    55.10
Federal Home Loan        3134A1MY3 02/12/97 02/01/20     19.238     0.000     7.3061    801.75   0.195795                                                 5.87         
Federal Home Loan        3134A2G77 12/28/98 11/15/28     20.230     0.000     5.4199    419.96   0.093039   0.095560   0.098150   0.100809  0.103541     34.18    36.06
Federal Home Loan        3134A2HG6 06/30/98 12/11/25     19.896     0.000     5.9700    505.98   0.116515   0.119993   0.123575   0.127264  0.131062     42.71    45.30
Federal Home Loan        3134A3D29 09/09/99 08/15/27     14.928     0.000     6.9258    445.92   0.111587   0.115451   0.119449   0.123585  0.127865     41.94    44.89
Federal Home Loan        3134A3ZU3 08/02/99 12/14/29     15.469     0.000     6.2411    387.78   0.093768   0.096694   0.099711   0.102823  0.106031     34.38    36.56
Freddie Mac              3134G9D61 06/30/16 06/30/21*   100.000    VARIES     1.3050     45.52   0.036108                                                 6.54*        
Freddie Mac              3134G9E37 06/30/16 06/30/21*   100.000    VARIES     1.3050     45.52   0.036108                                                 6.54*        
Freddie Mac              3134G9XE2 06/30/16 06/30/21*   100.000    VARIES     1.3816     48.14   0.038184                                                 6.91*        
Freddie Mac              3134G9XF9 06/30/16 06/30/21*   100.000    VARIES     1.4307     49.91   0.039563                                                 3.56*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Freddie Mac              3134G9XL6 06/29/16 06/29/21*   100.000    VARIES     1.3915     48.53   0.038457                                                 6.92*        
Freddie Mac              3134G9XM4 06/30/16 06/30/21*   100.000    VARIES     1.3945     48.57   0.038533                                                 6.97*        
Freddie Mac              3134G9XP7 06/30/16 06/30/21*   100.000    VARIES     1.4321     49.89   0.039575                                                 7.16*        
Freddie Mac              3134G9XQ5 06/30/16 06/30/21*   100.000    VARIES     1.3945     48.57   0.038533                                                 6.97*        
Freddie Mac              3134G9XT9 06/30/16 06/30/21*   100.000    VARIES     1.4689     51.22   0.040600                                                 3.65*        
Freddie Mac              3134G9XV4 06/30/16 06/30/21*   100.000    VARIES     1.3872     48.31   0.038336                                                 6.94*        
Freddie Mac              3134G9XX0 06/30/16 06/30/21*   100.000    VARIES     1.5060     52.55   0.041624                                                 3.75*        
Freddie Mac              3134GAN34 01/27/17 01/27/22*   100.000    VARIES     1.9668     56.99   0.054014   0.054135                                      6.28*        
Freddie Mac              3134GAQC1 09/30/16 09/30/21*   100.000    VARIES     1.3157     42.58   0.036374   0.036404                                      6.51*        
Freddie Mac              3134GAQE7 09/30/16 09/30/21*   100.000    VARIES     1.3432     43.49   0.037104   0.037144                                      6.65*        
Freddie Mac              3134GAQK3 09/30/16 09/30/21*   100.000    VARIES     1.2929     41.86   0.035752   0.035781                                      6.44*        
Freddie Mac              3134GAZM9 12/02/16 12/02/21*   100.000    VARIES     1.5258     46.69   0.042154                                                 6.45*        
Freddie Mac              3134GAZX5 12/02/16 12/02/21*   100.000    VARIES     1.5968     48.84   0.044098                                                 6.75*        
Freddie Mac              3134GBBQ4 03/28/17 03/28/22*   100.000    VARIES     2.0636     56.34   0.056679                                                 4.93*        
Freddie Mac              3134GBCA8 03/28/17 03/28/22*   100.000    VARIES     2.0949     57.10   0.057493                                                 5.00*        
Freddie Mac              3134GBER9 04/18/17 04/18/22*   100.000    VARIES     1.9672     52.60   0.054024                                                 5.83*        
Freddie Mac              3134GBFY3 04/19/17 04/19/22*   100.000    VARIES     1.9997     53.42   0.054942                                                 5.99*        
Freddie Mac              3134GBML3 05/16/17 05/16/22*   100.000    VARIES     1.9154     49.78   0.052669                                                 7.16*        
Freddie Mac              3134GBNR9 05/24/17 05/24/22*   100.000    VARIES     1.8958     48.87   0.052155                                                 7.51*        
Federal Home Loan Mortga 3134GBP22 10/11/17 10/11/22*   100.000    VARIES     1.8895      8.23   0.010249                                                 1.02*        
Freddie Mac              3134GBQD7 05/24/17 05/24/22*   100.000    VARIES     1.9445     50.06   0.053431                                                 7.69*        
Federal National         3136F1EQ9 12/27/01 03/17/31     16.751     0.000     6.2082    336.42   0.085372   0.088022   0.090755   0.093572  0.096476     31.77    33.77
Federal National         3136F3LA2 04/04/03 10/03/33     20.285     0.000     5.2999    284.17   0.070782   0.072657   0.074583   0.076559  0.078588     26.15    27.56
Federal National         3136F3ZC3 06/09/03 12/15/33     23.674     0.000        N/A             0.069244   0.070907   0.072611   0.074356  0.076143     25.28    26.51
Federal National         3136F4R55 01/07/04 12/15/34     18.268     0.000     5.5708    256.99   0.067869   0.069760   0.071703   0.073700  0.075753     24.83    26.24
Federal National         3136F7NM5 11/15/05 11/15/30     26.938     0.000     5.3159    295.95   0.082916   0.085120   0.087383   0.089705  0.092089     30.45    32.09
Forney Independent SD, T 3464242U7 02/18/14 08/15/39     16.888     0.000     7.1001     85.50   0.048859   0.050594   0.052390   0.054250  0.056176     18.38    19.71
Forney Independent SD, T 3464242V5 02/18/14 08/15/40     15.550     0.000     7.1501     79.39   0.045425   0.047049   0.048731   0.050473  0.052277     17.09    18.34
Forney Independent SD, T 3464242W3 02/18/14 08/15/41     14.304     0.000     7.2001     73.64   0.042189   0.043708   0.045281   0.046911  0.048600     15.88    17.05
Forney Independent SD, T 3464242X1 02/18/14 08/15/42     13.145     0.000     7.2501     68.24   0.039144   0.040563   0.042033   0.043557  0.045136     14.74    15.83
Forney Independent SD, T 3464242Y9 02/18/14 08/15/43     12.068     0.000     7.3002     63.17   0.036281   0.037606   0.038978   0.040401  0.041876     13.67    14.68
Forney Independent SD, T 3464242Z6 02/18/14 08/15/44     11.069     0.000     7.3502     58.42   0.033595   0.034829   0.036109   0.037436  0.038812     12.66    13.61
Forney Independent SD, T 3464243A0 02/18/14 08/15/45     10.143     0.000     7.4002     53.97   0.031076   0.032226   0.033418   0.034655  0.035937     11.71    12.60
Forney Independent SD, T 3464243B8 02/18/14 08/15/46      9.141     0.000     7.5003     49.44   0.028535   0.029606   0.030716   0.031868  0.033063     10.76    11.58
Forney Independent SD, T 3464243C6 02/18/14 08/15/47      8.223     0.000     7.6001     45.19   0.026149   0.027143   0.028174   0.029245  0.030356      9.87    10.63
Forney Independent SD, T 3464243D4 02/18/14 08/15/48      7.382     0.000     7.7003     41.22   0.023911   0.024831   0.025787   0.026780  0.027811      9.03     9.74
Forney Independent SD, T 3464243E2 02/18/14 08/15/49      6.615     0.000     7.8003     37.52   0.021819   0.022670   0.023554   0.024473  0.025428      8.24     8.90
Forney Independent SD, T 3464243F9 02/18/14 08/15/50      6.021     0.000     7.8503     34.42   0.020040   0.020827   0.021644   0.022494  0.023377      7.57     8.18
Forney Independent SD, T 3464243G7 02/18/14 08/15/51      5.475     0.000     7.9003     31.54   0.018388   0.019114   0.019869   0.020654  0.021470      6.95     7.51
Forney Independent SD, T 3464243H5 02/18/14 08/15/52      4.974     0.000     7.9503     28.87   0.016855   0.017525   0.018222   0.018946  0.019699      6.37     6.89
Forney Independent SD, T 3464243J1 02/18/14 08/15/53      4.514     0.000     8.0005     26.41   0.015434   0.016051   0.016693   0.017361  0.018056      5.84     6.32
Forney Independent SD, T 346424X90 08/27/13 08/15/38     17.946     0.000     7.0000     98.26   0.052609   0.054451   0.056356   0.058329  0.060370     19.78    21.19
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Forney Independent SD, T 346424Y24 08/27/13 08/15/39     16.544     0.000     7.0499     91.37   0.048987   0.050713   0.052501   0.054352  0.056268     18.42    19.75
Forney Independent SD, T 346424Y32 08/27/13 08/15/40     15.436     0.000     7.0501     85.25   0.045707   0.047318   0.048986   0.050713  0.052501     17.19    18.42
Forney Independent SD, T 346424Y40 08/27/13 08/15/41     14.210     0.000     7.0999     79.16   0.042496   0.044005   0.045567   0.047185  0.048860     15.99    17.14
Forney Independent SD, T 346424Y57 08/27/13 08/15/42     13.252     0.000     7.1001     73.82   0.039632   0.041039   0.042496   0.044005  0.045567     14.91    15.99
Forney Independent SD, T 346424Y65 08/27/13 08/15/43     12.359     0.000     7.1000     68.85   0.036961   0.038274   0.039632   0.041039  0.042496     13.91    14.91
Franklin CNTYS, IL       352415EK5 09/30/16 12/01/20    104.461     4.250     3.1014    103.93   0.087116   0.086636                                     28.66         
Franklin CNTYS, IL       352415EL3 09/30/16 12/01/21    106.144     4.500     3.2012    108.89   0.091142   0.090600   0.090049   0.089490               32.68    29.62
FRENSHIP TEX INDPT SCH D 357866YY2 12/17/19 02/15/21     97.847     0.000     1.8825      0.72   0.051166   0.051321   0.051804                          18.53     2.28
College District #534 IL 360395FL6 07/22/10 12/01/20    101.888    VARIES     5.4261             0.151050   0.150890                                     49.82         
GCI LIBERTY INC          36164VAA5 06/18/18 09/30/46    100.000     1.750     6.9511    109.93   0.206350   0.211832   0.217505   0.223375  0.229449     76.29    80.45
GS Finance Corp.         362273AG9 12/17/15 06/19/23    100.000     0.000     2.9199             0.091093   0.092423   0.093772   0.095141  0.096530     33.07    34.04
GS Finance Corp.         362273BK9 07/06/17 07/08/24    100.000     0.250     2.8998     73.93   0.084820   0.085949   0.087094   0.088256  0.089435     31.13    31.97
GS Finance Corp.         36253M679 09/14/17 09/16/21    100.000     0.000     2.2324     52.34   0.064835   0.065559   0.066291   0.067031               23.62    17.04
GS Finance Corp.         36253M687 09/14/17 09/15/22    100.000     0.000     2.3683     55.59   0.068961   0.069778   0.070604   0.071440  0.072286     25.15    25.75
GS Finance Corp.         36253M695 09/14/17 09/14/23    100.000     0.000     2.6628     62.67   0.077984   0.079022   0.080074   0.081141  0.082221     28.48    29.25
GS Finance Corp.         36253M703 09/14/17 09/15/22    100.000     0.000     2.3683     55.59   0.068961   0.069778   0.070604   0.071440  0.072286     25.15    25.75
GS Finance Corp.         36253M711 09/14/17 09/14/23    100.000     0.000     2.6628     62.67   0.077984   0.079022   0.080074   0.081141  0.082221     28.48    29.25
GS Finance Corp.         36254F582 02/05/18 02/05/25    100.000     0.000     3.4781     67.94   0.101743   0.103513   0.105313   0.107144  0.109008     37.47    38.78
GS Fin Corp Medium Term  36255H2A5 06/22/18 06/23/25    100.000     0.500     4.0576     63.02   0.118862   0.120991   0.123164   0.125381  0.127643     43.21    44.77
GS Finance Corp.         36255U232 08/03/18 08/05/25    100.000     0.000     4.0135     57.71   0.116033   0.118361   0.120736   0.123159  0.125631     42.88    44.62
GS Finance Corp.         36256M502 11/15/18 07/28/22    100.000     0.000     3.7853     43.26   0.107958   0.110001   0.112083   0.114205  0.116366     39.86    41.39
GS Finance Corp.         36256M569 11/15/18 11/14/23    100.000     0.000     3.9688     45.36   0.114651   0.116926   0.119246   0.121613  0.124026     41.90    43.58
GS Finance Corp.         36256M858 02/05/19 02/05/24    100.000     0.000     3.5778     32.66   0.101161   0.102971   0.104813   0.106688  0.108597     37.28    38.62
GS Finance Corp.         36257D436 05/01/19 09/20/23    100.000     0.000     3.1913     21.39   0.089740   0.091172   0.092627   0.094105  0.095607     32.86    33.91
GS Finance Corp.         36257D808 07/03/19 01/03/24    100.000     0.000     2.6546     13.13   0.073739   0.074718   0.075710   0.076714  0.077733     27.07    27.80
GS Finance Corp.         36257W178 08/05/19 08/05/24    100.000     0.000     2.7442     11.13   0.076228   0.077274   0.078334   0.079409  0.080499     27.94    28.71
GS Finance Corp.         36257W517 08/14/19 08/12/22    100.000     0.000     2.2407      8.53   0.062241   0.062931   0.063636   0.064349  0.065070     22.72    23.24
GS Finance Corp.         36258L742 12/04/19 06/04/25    100.000     0.000     2.4932      1.87   0.069255   0.070119   0.070993   0.071878  0.072774     25.13    25.76
GS Finance Corp.         36259E770 02/05/20 08/05/25    100.000     0.000     2.1693                        0.060260   0.060913   0.061574  0.062242     19.74    22.24
GDB DEBT RECOVERY AUTH O 36829QAA3 11/29/18 08/20/40     70.440     7.500     3.1900     23.82   0.057006   0.056450   0.053257   0.052659  0.049337     20.26    18.81
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES    12.5014             0.864248   0.910810   0.960283   1.012848  1.068699    323.93   360.15
Genworth Holdings Inc    372491AF7 10/03/18 08/15/23     86.900     4.900     8.2191     28.86   0.066802   0.069547   0.072405   0.075381  0.078478     25.30    27.43
Genworth Holdings Inc    372491AG5 10/03/18 02/15/24     85.790     4.800     8.1180     27.84   0.064425   0.067040   0.069761   0.072592  0.075539     24.39    26.41
Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27    100.000    VARIES     4.6427             0.117694   0.118263   0.118845   0.119440  0.120049     42.54    42.96
Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27    100.000    VARIES     4.0948             0.104358   0.104817   0.105286   0.105764  0.106251     37.69    38.03
Goldman Sachs Group, Inc 38141GKC7 12/31/12 01/02/20    100.000     0.000     2.8000             0.093199                                                 0.09         
Goldman Sachs Group, Inc 38141GLQ5 01/31/13 02/03/20    100.000     0.000     3.2298             0.110520                                                 3.54         
Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28    100.000    VARIES     4.3421             0.107584   0.107808   0.108406   0.109016  0.109640     38.90    39.33
Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28    100.000    VARIES     4.2924             0.106779   0.107041   0.107620   0.108211  0.108815     38.61    39.02
Goldman Sachs Group, Inc 38141GNB6 02/28/13 03/02/20    100.000     0.000     2.9677             0.099852                                                 6.09         
Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28    100.000    VARIES     4.2915             0.103138   0.102108   0.104383   0.103265  0.105584     37.71    38.04
Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28    100.000    VARIES     4.1925             0.102745   0.102880   0.103449   0.104030  0.104623     37.09    37.48
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38141GPV0 03/28/13 03/31/20    100.000     0.000     3.1234             0.106150                                                 9.45         
Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28    100.000    VARIES     4.6902             0.117040   0.117479   0.117928   0.118388  0.119056     42.30    42.65
Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28    100.000    VARIES     4.6888             0.116920   0.117373   0.117837   0.118312  0.118994     42.26    42.62
Goldman Sachs Group, Inc 38141GRR7 04/30/13 04/30/20    100.000     0.000     2.8401             0.094763                                                11.28         
Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28    100.000    VARIES     4.3925             0.110776   0.110986   0.111480   0.111986  0.112502     39.96    40.29
Goldman Sachs Group, Inc 38141GSQ8 04/30/13 04/30/20    100.000    VARIES     1.6755             0.004129                                                 0.49         
Goldman Sachs Group, Inc 38141GST2 05/31/13 06/03/21    100.000     0.000     3.4201             0.118467   0.120493   0.122553                          43.13    18.63
Goldman Sachs Group, Inc 38141GTV6 05/21/13 05/21/20    100.000    VARIES     2.7012             0.075535                                                10.57         
Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28    100.000    VARIES     4.3920             0.110023   0.110295   0.110839   0.111395  0.111964     39.68    40.04
Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28    100.000    VARIES     4.4916             0.111774   0.112072   0.112668   0.113276  0.113898     40.33    40.72
Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28    100.000    VARIES     4.4921             0.112832   0.113141   0.113702   0.114274  0.114860     40.70    41.06
Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27    100.000     4.250     3.6188     11.08   0.010934   0.010587   0.010778   0.010973  0.011137      3.87     3.93
Goldman Sachs Group, Inc 38143ULN9 08/06/10 08/06/20    100.000    VARIES     2.8170             0.022285   0.022599                                      4.85         
Goldman Sachs Group, Inc 38143ULV1 08/26/10 08/26/20    100.000    VARIES     2.6793             0.024433   0.024761                                      5.80         
Goldman Sachs Group, Inc 38143UMA6 08/20/10 08/20/20    100.000    VARIES     2.6781             0.015312   0.015517                                      3.54         
Goldman Sachs Group, Inc 38143UMH1 09/08/10 09/08/20    100.000    VARIES     2.6543             0.025928   0.026272                                      6.47         
Goldman Sachs Group, Inc 38143UMJ7 09/10/10 09/10/20    100.000    VARIES     2.6625             0.016625   0.016847                                      4.18         
Goldman Sachs Group, Inc 38143UMU2 09/21/10 09/21/20    100.000    VARIES     2.7709             0.022345   0.022655                                      5.87         
Goldman Sachs Group, Inc 38143UNT4 10/29/10 10/29/20    100.000    VARIES     2.0302             0.020201   0.020406                                      6.06         
Goldman Sachs Group, Inc 38143UNU1 10/29/10 10/29/20    100.000    VARIES     2.3764             0.025455   0.025757                                      7.64         
Goldman Sachs Group, Inc 38143UQP9 12/22/10 12/22/20    100.000    VARIES     2.3885             0.025404   0.025708                                      8.97         
Goldman Sachs Group, Inc 38143USM4 03/18/11 03/18/21    100.000    VARIES     5.2914             0.149031   0.148353   0.147677                          53.39    11.37
Goldman Sachs Group, Inc 38143UTN1 04/13/11 04/13/21    100.000    VARIES     5.2208             0.146306   0.145890   0.145462                          52.53    14.84
Goldman Sachs Group, Inc 38143UUA7 04/29/11 04/29/21    100.000    VARIES     2.1672             0.017299   0.017487   0.017676                           6.28     2.09
Goldman Sachs Group, Inc 38143UUY5 07/20/11 07/20/21    100.000     0.000     5.1298             0.213690   0.219171   0.224792   0.230558               79.70    45.77
Goldman Sachs Group, Inc 38143UVG3 06/07/11 06/07/21    100.000    VARIES     2.2754             0.018029   0.018234   0.018441                           6.54     2.88
Goldman Sachs Group. Inc 381470JN4 08/30/13 09/02/20    100.000     0.000     3.8498             0.134459   0.137047                                     32.87         
Goldman Sachs Group, Inc 38147Q2D7 04/30/14 05/03/21    100.000     0.000     3.0002             0.098194   0.099667   0.101162                          35.79    12.34
Goldman Sachs Group, Inc 38147Q2G0 04/30/14 11/02/21    100.000     0.000     3.1299             0.103156   0.104770   0.106410   0.108075               37.62    32.33
Goldman Sachs Group, Inc 38147Q2H8 04/14/14 04/14/29    100.000    VARIES     4.5255             0.110855   0.111069   0.111562                          40.00    40.33
Goldman Sachs Group, Inc 38147Q2Z8 04/21/14 04/21/29*   100.000    VARIES     4.5486             0.117696   0.117759                                     34.14*        
Goldman Sachs Group, Inc 38147Q4M5 05/30/14 12/02/21    100.000     0.000     3.0000             0.098179   0.099651   0.101146   0.102663               35.70    33.75
Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28    100.000    VARIES     4.9491             0.117016   0.117649   0.118299   0.118964  0.119646     42.26    42.73
Goldman Sachs Group, Inc 38147Q5K8 05/30/14 09/02/20    100.000     0.000     2.5499             0.080922   0.081954                                     19.69         
Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29    100.000    VARIES     4.4103             0.111364   0.111590   0.112034   0.112487  0.112951     40.16    40.45
Goldman Sachs Group, Inc 38147Q7D2 06/30/14 12/30/21    100.000     0.000     3.0001             0.098166   0.099638   0.101133   0.102650               35.61    36.58
Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29    100.000    VARIES     4.3665             0.112195   0.112335   0.112677   0.113025  0.113381     40.42    40.63
Goldman Sachs Group, Inc 38147QAK2 01/10/14 01/10/29    100.000    VARIES     4.9699             0.118300   0.118316   0.118877   0.119451               42.69    43.10
Goldman Sachs Group, Inc 38147QAS5 06/28/13 12/31/20    100.000     0.000     3.9899             0.143312   0.146171                                     51.96         
Goldman Sachs Group, Inc 38147QB39 06/18/14 06/17/21    100.000     0.000     3.2500             0.107781   0.109533   0.111313                          39.17    18.48
Goldman Sachs Group, Inc 38147QBB1 01/31/14 02/03/21    100.000     0.000     3.2502             0.107829   0.109581   0.111362                          39.66     3.56
Goldman Sachs Group, Inc 38147QBC9 06/30/14 06/30/29*   100.000    VARIES     4.3157             0.109869   0.110036                                     39.69*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28    100.000    VARIES     4.8590             0.120147   0.120672   0.121209   0.121760  0.122324     43.42    43.81
Goldman Sachs Group, Inc 38147QC46 07/31/14 08/03/21    100.000     0.000     3.1497             0.102316   0.103927   0.105564   0.107226               37.60    22.68
Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28    100.000    VARIES     4.6926             0.119217   0.119488   0.119993   0.120510  0.121039     42.98    43.30
Goldman Sachs Group, Inc 38147QDF0 01/23/14 01/23/29    100.000    VARIES     4.9794             0.123990   0.124425   0.125244   0.126083  0.126944     44.91    45.51
Goldman Sachs Group, Inc 38147QDL7 08/18/14 08/18/29    100.000    VARIES     4.3047             0.108714   0.108845   0.108979   0.109310  0.109648     39.20    39.38
Goldman Sachs Group, Inc 38147QDV5 08/29/14 09/01/21    100.000     0.000     3.0001             0.096732   0.098183   0.099656   0.101150               35.44    24.19
Goldman Sachs Group, Inc 38147QES1 07/31/13 08/03/20    100.000     0.000     3.9198             0.137483   0.140178                                     29.63         
Goldman Sachs Group, Inc 38147QEX0 01/24/14 01/24/29    100.000    VARIES     4.8384             0.115542   0.115611   0.116175   0.116754  0.117346     41.71    42.11
Goldman Sachs Group, Inc 38147QFG6 09/15/14 09/15/29*   100.000    VARIES     4.2975             0.111285   0.111360   0.111436                          38.20*        
Goldman Sachs Group, Inc 38147QFL5 09/30/14 09/30/21    100.000     0.000     3.0002             0.096718   0.098169   0.099641   0.101136               35.35    27.07
Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28    100.000    VARIES     4.9007             0.123702   0.124056   0.124420   0.125034  0.125663     44.71    45.10
Goldman Sachs Group, Inc 38147QGP5 02/05/14 02/05/29    100.000    VARIES     4.7103             0.117295   0.117534   0.118083   0.118646  0.119222     42.38    42.78
Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22    100.000     0.000     3.4944             0.114763   0.116768   0.118808   0.120884  0.122996     42.25    43.74
Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22    100.000     0.000     3.4944             0.114763   0.116768   0.118808   0.120884  0.122996     42.25    43.74
Goldman Sachs Group, Inc 38147QHH2 10/08/14 02/06/20    100.000     0.000     2.7916             0.088650                                                 3.10         
Goldman Sachs Group, Inc 38147QHL3 09/30/14 09/30/29*   100.000    VARIES     4.2677             0.111348   0.111463   0.111580                          40.02*        
Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28    100.000    VARIES     4.8903             0.123361   0.123760   0.124169   0.124792  0.125429     44.60    45.00
Goldman Sachs Group, Inc 38147QHT6 02/28/14 03/03/21    100.000     0.000     3.0001             0.098190   0.099663   0.101158                          35.96     6.27
Goldman Sachs Group, Inc 38147QHU3 10/30/14 11/01/21    100.000     2.000     3.0152    159.74   0.088316   0.088810   0.089312   0.089821               31.94    26.89
Goldman Sachs Group, Inc 38147QHX7 02/28/14 08/31/21    100.000     0.000     3.1500             0.102769   0.103253   0.106618   0.106531               38.18    25.79
Goldman Sachs Group, Inc 38147QHY5 10/30/14 11/01/21    100.000     0.000     3.0012             0.096764   0.098216   0.099690   0.101186               35.27    30.18
Goldman Sachs Group, Inc 38147QJU1 10/16/14 10/16/29    100.000    VARIES     3.7998             0.097310   0.097397   0.097485   0.097672  0.097863     35.06    35.16
Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28    100.000    VARIES     4.9004             0.120782   0.121381   0.121995   0.122624  0.123268     43.65    44.09
Goldman Sachs Group, Inc 38147QLJ3 08/15/13 08/15/28    100.000    VARIES     4.8879             0.119051   0.119290   0.119535   0.120130  0.120739     42.97    43.30
Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22    100.000     0.000     3.1503             0.102302   0.103914   0.105551   0.107213  0.108902     37.23    38.41
Goldman Sachs Group, Inc 38147QM60 11/29/13 12/01/20    100.000     0.000     3.0003             0.099665   0.101160                                     33.16         
Goldman Sachs Group, Inc 38147QM78 11/21/14 11/21/29    100.000    VARIES     3.9468             0.101594   0.101774   0.101958   0.102211  0.102469     36.62    36.77
Goldman Sachs Group, Inc 38147QMB9 02/24/14 02/24/29    100.000    VARIES     4.6770             0.113630   0.113692   0.114173   0.114666  0.115169     40.99    41.32
Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22    100.000     0.000     3.1499             0.102296   0.103907   0.105543   0.107205  0.108894     37.23    38.41
Goldman Sachs Group, Inc 38147QME3 08/12/13 08/12/20    100.000     0.000     3.9699             0.139610   0.142381                                     31.35         
Goldman Sachs Group, Inc 38147QMF0 02/13/14 02/16/21*   100.000     0.000     3.4814             0.116957   0.118993                                     12.52*        
Goldman Sachs Group, Inc 38147QMJ2 08/15/13 08/15/28*   100.000    VARIES     4.8904             0.122740   0.122995   0.123256                          38.76*        
Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22    100.000     0.000     2.9500             0.094858   0.096257   0.097677   0.099118  0.100580     34.41    35.43
Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22    100.000     0.000     2.9499             0.094854   0.096253   0.097673   0.099113  0.100575     34.41    35.43
Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23    100.000    VARIES     4.5507             0.126174   0.125984   0.126480   0.125579  0.126052     46.18    45.95
Goldman Sachs Group, Inc 38147QQ25 11/13/13 11/13/23*   100.000    VARIES     4.2199             0.109725   0.110559                                     34.38*        
Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28    100.000    VARIES     5.0554             0.122201   0.122573   0.122955   0.123648  0.124358     44.15    44.55
Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22    100.000     0.000     2.4699             0.076628   0.077574   0.078532   0.079502  0.080484     28.04    28.74
Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22    100.000     0.000     2.5001             0.077667   0.078638   0.079621   0.080617  0.081624     28.43    29.14
Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22    100.000     0.000     2.4698             0.076619   0.077566   0.078523   0.079493  0.080475     28.04    28.74
Goldman Sachs Group, Inc 38147QRT5 03/12/14 03/12/29*   100.000    VARIES     4.6444             0.122059   0.122061   0.122202                          30.76*        
Goldman Sachs Group, Inc 38147QS31 01/30/15 01/30/30    100.000    VARIES     3.6879             0.098664   0.098878   0.099069   0.099264  0.099463     35.62    35.76
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38147QSE7 09/30/13 10/01/20    100.000     0.000     3.6700             0.126816   0.129143                                     34.66         
Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29    100.000    VARIES     4.6202             0.115492   0.115731   0.116266   0.116814  0.117375     41.70    42.07
Goldman Sachs Group, Inc 38147QT89 02/27/15 02/28/23    100.000     0.000     2.9999             0.094239   0.094613   0.097624   0.097473  0.100575     34.98    35.97
Goldman Sachs Group, Inc 38147QT97 02/26/15 02/28/23    100.000     0.000     3.0001             0.094256   0.094630   0.097642   0.097490  0.100593     34.98    35.97
Goldman Sachs Group, Inc 38147QTP1 03/31/14 09/30/21    100.000     0.000     3.1501             0.103915   0.105552   0.107214   0.108903               38.00    29.14
Goldman Sachs Group, Inc 38147QTT3 03/31/14 04/01/21    100.000     0.000     2.9998             0.098162   0.099635   0.101129                          35.87     9.10
Goldman Sachs Group, Inc 38147QTV8 02/27/15 08/29/22    100.000     0.000     3.0000             0.093217   0.095655   0.096559   0.098546  0.099478     34.98    35.97
Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29    100.000    VARIES     4.6241             0.112884   0.113236   0.113897   0.114573  0.115264     40.80    41.26
Goldman Sachs Group, Inc 38147QUR5 02/27/15 02/27/30    100.000    VARIES     3.6524             0.097077   0.097297   0.097487   0.097680  0.097877     35.04    35.18
Goldman Sachs Group, Inc 38147QUW4 09/20/13 09/20/28*   100.000    VARIES     5.0884             0.125882   0.126103   0.126330                          32.64*        
Goldman Sachs Group, Inc 38147QV45 02/27/15 02/27/30*   100.000    VARIES     3.4811             0.091033   0.091118   0.091255                          29.71*        
Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23    100.000     0.000     2.8001             0.088149   0.089383   0.090634   0.091903  0.093190     32.18    33.09
Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25    100.000     0.000     2.9501             0.092471   0.092815   0.095745   0.095574  0.098591     34.31    35.27
Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23    100.000     0.000     3.1002             0.098902   0.100435   0.101991   0.103572  0.105178     36.17    37.30
Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22    100.000     0.000     2.8501             0.089915   0.091196   0.092496   0.093814  0.095151     32.84    33.78
Goldman Sachs Group, Inc 38147QVU7 03/12/15 03/12/21    100.000     0.000     2.7499             0.086375   0.087562   0.088766                          31.57     6.30
Goldman Sachs Group, Inc 38147QW77 03/31/15 04/01/21    100.000     0.000     2.1498             0.065752   0.066458   0.067173                          23.93     6.05
Goldman Sachs Group, Inc 38147QWX0 03/31/14 03/31/29*   100.000    VARIES     4.5514             0.115863   0.116139   0.116609                          41.71*        
Goldman Sachs Group, Inc 38147QXA9 10/31/13 11/03/20    100.000     0.000     3.3503             0.112376   0.113016                                     34.62         
Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23    100.000     0.000     3.0000             0.095284   0.096713   0.098164   0.099637  0.101131     34.75    35.80
Goldman Sachs Group, Inc 38147QXF8 03/31/14 03/31/29*   100.000    VARIES     4.5507             0.111738   0.111931   0.112413                          40.21*        
Goldman Sachs Group, Inc 38147QXK7 03/28/14 06/30/20    100.000     0.000     2.7499             0.089391                                                16.00         
Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22    100.000     0.000     2.9999             0.095278   0.096707   0.098157   0.099630  0.101124     34.83    35.88
Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25    100.000    VARIES     3.3914             0.094278   0.094374   0.094422   0.094471  0.094483     33.97    34.01
Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23    100.000     0.000     2.5999             0.081133   0.082187   0.083256   0.084338  0.085434     29.52    30.30
Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22    100.000     0.000     3.0000             0.095298   0.096728   0.098179   0.099651  0.101146     34.73    35.78
Goldman Sachs Group, Inc 38147QY59 04/03/15 04/03/20    100.000    VARIES     2.4873             0.069237                                                 6.37         
Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23    100.000    VARIES     3.9815             0.112342   0.112175   0.112005   0.111810  0.111612     40.39    40.26
Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23    100.000     0.000     2.9999             0.095281   0.096710   0.098160   0.099633  0.101127     34.71    35.76
Goldman Sachs Group, Inc 38147QZ25 12/31/13 12/31/20    100.000     0.000     3.1012             0.103613   0.105220                                     37.49         
Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23    100.000     0.000     3.1502             0.100712   0.102298   0.103910   0.105546  0.107209     36.64    37.80
Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30    100.000    VARIES     3.7833             0.009713   0.009475   0.009815   0.009837  0.010144      3.52     3.61
Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23    100.000     0.000     3.2499             0.104389   0.106085   0.107809   0.109561  0.111341     37.99    39.23
Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25    100.000    VARIES     3.7599             0.015927   0.015905   0.015822   0.015736  0.015603      5.72     5.67
Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22    100.000     0.000     3.1002             0.098921   0.100455   0.102012   0.103593  0.105199     35.98    37.10
Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25    100.000     0.000     3.5000             0.113661   0.115650   0.117674   0.119733  0.121829     41.40    42.86
Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25    100.000    VARIES     3.9250             0.013332   0.013288   0.013242   0.013196  0.013061      4.79     4.75
Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23    100.000     0.000     3.3498             0.108044   0.109854   0.111694   0.113565  0.115467     39.23    40.55
Goldman Sachs Group, Inc 38148T3Z0 06/05/15 06/05/20    100.000     0.000     2.4000             0.074221                                                11.43         
Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22    100.000     0.000     3.2498             0.104366   0.106061   0.107785   0.109536  0.111316     37.88    39.12
Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23    100.000     0.000     3.2500             0.104372   0.106068   0.107791   0.109543  0.111323     37.90    39.14
Goldman Sachs Group, Inc 38148T4Y2 06/15/15 06/15/25*   100.000    VARIES     4.3491             0.117743                                                19.55*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23    100.000     0.000     3.3501             0.106285   0.108065   0.109876   0.111716  0.113587     39.21    40.53
Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25    100.000     0.000     3.6499             0.117183   0.119321   0.121499   0.123716  0.125974     43.32    44.91
Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23    100.000     0.000     3.2500             0.102704   0.104373   0.106069   0.107793  0.109545     37.78    39.02
Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23    100.000     0.000     3.2489             0.102681   0.104349   0.106044   0.107767  0.109518     37.77    39.00
Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23    100.000     0.000     3.3498             0.106284   0.108064   0.109874   0.111714  0.113586     39.12    40.44
Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23    100.000     0.000     3.2489             0.102681   0.104349   0.106044   0.107767  0.109518     37.77    39.00
Goldman Sachs Group, Inc 38148TA58 07/31/15 07/31/20    100.000     0.000     2.5002             0.076706   0.077665                                     16.20         
Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25    100.000     0.000     3.7000             0.119012   0.121213   0.123456   0.125740  0.128066     43.91    45.55
Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22    100.000     0.000     3.1500             0.099143   0.100704   0.102290   0.103901  0.105538     36.48    37.63
Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27    100.000    VARIES     3.9238             0.010321   0.010446   0.010573   0.010642  0.010713      3.78     3.84
Goldman Sachs Group, Inc 38148TAY5 08/04/15 08/04/21    100.000     0.000     2.8500             0.088655   0.089918   0.091200   0.092499               32.52    19.66
Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23    100.000     0.000     3.1988             0.100900   0.102514   0.104154   0.105819  0.107512     37.00    38.19
Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25    100.000     0.000     3.5990             0.115293   0.117368   0.119480   0.121630  0.123819     42.39    43.93
Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23    100.000     0.000     3.1988             0.100900   0.102514   0.104154   0.105819  0.107512     37.00    38.19
Goldman Sachs Group, Inc 38148TB81 08/28/15 08/30/23    100.000     0.000     3.3014             0.102843   0.104540   0.106850   0.108020  0.110406     38.45    39.66
Goldman Sachs Group, Inc 38148TBA6 08/28/15 02/28/23    100.000     0.000     3.1965             0.099719   0.100211   0.103501   0.103440  0.106835     37.05    38.18
Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25    100.000    VARIES     3.9131             0.009217   0.009242   0.009268   0.009227  0.009185      3.33     3.32
Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25    100.000     2.000     3.6202             0.107490   0.108430   0.109387   0.110361  0.111353     39.09    39.79
Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23    100.000     0.000     3.2499             0.102699   0.104368   0.106064   0.107787  0.109539     37.60    38.83
Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23    100.000     0.000     3.2490             0.101874   0.103529   0.105211   0.106920  0.108657     37.57    38.80
Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23    100.000     0.000     3.2992             0.104442   0.106164   0.107916   0.109696  0.111505     38.23    39.50
Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25    100.000     0.000     3.6001             0.115344   0.117420   0.119534   0.121685  0.123876     42.28    43.81
Goldman Sachs Group, Inc 38148TDB2 09/29/15 09/28/23    100.000     0.000     3.3000             0.104480   0.106204   0.107956   0.109738  0.111548     38.25    39.52
Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22    100.000     0.000     3.1000             0.097377   0.098886   0.100419   0.101976  0.103556     35.67    36.79
Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25    100.000    VARIES     3.7872             0.010765   0.010808   0.010851   0.010814  0.010777      3.89     3.89
Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22    100.000    VARIES     3.2799             0.101840   0.103282   0.104749   0.106239  0.107753     37.20    38.27
Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23    100.000     0.000     3.1502             0.099159   0.100720   0.102307   0.103918  0.105555     36.17    37.32
Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23    100.000     0.000     3.1491             0.099128   0.100689   0.102274   0.103885  0.105520     36.16    37.30
Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25    100.000     0.000     3.4498             0.109879   0.111774   0.113702   0.115664  0.117659     40.13    41.53
Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23    100.000     0.000     3.1500             0.099171   0.100733   0.102319   0.103931  0.105568     36.17    37.32
Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25    100.000    VARIES     3.6654             0.008659   0.008732   0.008806   0.008816  0.008825      3.14     3.17
Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27    100.000    VARIES     3.9047             0.012970   0.013223   0.013481   0.013588  0.013697      4.75     4.89
Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25    100.000     0.000     3.4490             0.109828   0.111722   0.113649   0.115609  0.117603     40.01    41.40
Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26    100.000    VARIES     3.8760             0.010885   0.011011   0.011139   0.011199  0.011260      3.95     4.03
Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23    100.000     0.000     3.1499             0.099167   0.100729   0.102316   0.103927  0.105564     36.08    37.23
Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23    100.000     0.000     3.1488             0.099093   0.100653   0.102238   0.103847  0.105482     36.06    37.20
Goldman Sachs Group, Inc 38148THG7 11/10/15 11/10/21    100.000     1.750     2.8620    121.02   0.083218   0.083714   0.084216   0.084726               30.10    26.11
Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25    100.000    VARIES     3.7095             0.008094   0.008158   0.008224   0.008216  0.008209      2.93     2.96
Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23    100.000     0.000     3.1489             0.099105   0.100665   0.102250   0.103860  0.105495     36.06    37.20
Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24    100.000     0.000     3.2988             0.102781   0.104476   0.106200   0.107951  0.109732     37.91    39.18
Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26    100.000     0.000     3.4990             0.109763   0.111684   0.113638   0.115626  0.117649     40.55    41.99
Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23    100.000     0.000     3.0000             0.093876   0.095284   0.096713   0.098164  0.099637     34.05    35.08
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23    100.000     0.000     3.2000             0.100906   0.102521   0.104161   0.105828  0.107521     36.63    37.81
Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26    100.000    VARIES     3.7570     24.94   0.017809   0.018143   0.018362   0.018586  0.018707      6.55     6.70
Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26    100.000    VARIES     2.3290      5.00   0.004180   0.004229   0.004278   0.004328  0.004378      1.52     1.56
Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26    100.000    VARIES     2.2302      8.77   0.007663   0.007749   0.007835   0.007923  0.008011      2.78     2.84
Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27    100.000    VARIES     3.8872    111.09   0.107856   0.107988   0.108122   0.108258  0.108321     38.89    38.97
Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27    100.000    VARIES     3.6989     10.10   0.010029   0.009859   0.010041   0.010227  0.010360      3.58     3.67
Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27    100.000    VARIES     3.6688      9.80   0.009590   0.009293   0.009464   0.009637  0.009779      3.39     3.45
Goldman Sachs Group, Inc 38150A3E3 05/31/17 05/31/37*   100.000     0.000     4.1400    111.82   0.127404   0.130041                                     19.11*        
Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27    100.000    VARIES     3.6160     88.78   0.099101   0.099571   0.099896   0.100071  0.100222     35.90    36.05
Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27    100.000    VARIES     3.5643     85.67   0.098121   0.097890   0.097892   0.098106  0.098293     35.25    35.34
Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24    100.000    VARIES     3.1510     74.96   0.087811   0.087937   0.088025   0.088080  0.088101     31.66    31.71
Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27    100.000    VARIES     3.5451     80.31   0.097555   0.097314   0.097070   0.097290  0.097485     35.03    35.03
Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27    100.000    VARIES     3.5757     79.30   0.098475   0.098712   0.098918   0.099098  0.099254     35.53    35.67
Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27    100.000    VARIES     3.6040     81.00   0.099296   0.099083   0.098866   0.099083  0.099275     35.67    35.67
Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27    100.000    VARIES     3.6048     80.54   0.097980   0.098268   0.098530   0.098767  0.098980     35.38    35.55
Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27    100.000    VARIES     3.5339     73.52   0.097828   0.097741   0.097652   0.097756  0.097845     35.20    35.18
Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27    100.000    VARIES     2.7977      7.35   0.008623   0.008744   0.008866   0.008990  0.009116      3.13     3.22
Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28    100.000    VARIES     3.1064      6.67   0.008755   0.008170   0.008297   0.008426  0.008557      2.98     3.05
Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28    100.000    VARIES     3.3846      9.83   0.014581   0.014010   0.013429   0.012838  0.013055      5.04     4.69
Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28    100.000    VARIES     3.7824     11.02   0.017103   0.015693   0.015990   0.016292  0.016601      5.88     5.82
Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30    100.000    VARIES     3.7644      5.85   0.008848   0.007927   0.008076   0.008228  0.008383      3.01     2.94
Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28    100.000    VARIES     3.7555      4.26   0.008626   0.007985   0.007332   0.007470  0.007610      2.87     2.69
Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28    100.000    VARIES     3.7010      6.63   0.015996   0.015351   0.014695   0.014026  0.013345      5.60     5.13
Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28    100.000    VARIES     3.6601      3.95   0.009448   0.008763   0.008066   0.008214  0.008364      3.25     2.94
Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26    100.000    VARIES     3.5868      5.57   0.016455   0.015764   0.015060   0.014344  0.014601      5.59     5.22
Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22    103.480    VARIES     4.8564             0.134035   0.133779   0.134250   0.133247  0.133703     49.01    48.81
GREENVILLE OHIO CITY SCH 396352GZ3 11/26/19 01/01/21     97.716     0.000     2.1161      2.01   0.057556   0.058165                                     20.83         
GREENVILLE OHIO CITY SCH 396352HA7 11/26/19 01/01/22     95.481     0.000     2.2167      2.06   0.058919   0.059572   0.060232   0.060900               21.33    21.80
GREENVILLE OHIO CITY SCH 396352HB5 11/26/19 01/01/23     93.085     0.000     2.3267      2.11   0.060297   0.060998   0.061708   0.062426               21.83    22.34
GREENVILLE OHIO CITY SCH 396352HC3 11/26/19 01/01/24     90.772     0.000     2.3768      2.10   0.060068   0.060782   0.061504   0.062235               21.75    22.27
GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25     87.834     0.000     2.5610      2.19   0.062639   0.063441   0.064253   0.065076               22.69    23.28
GREENVILLE OHIO CITY SCH 396352HE9 11/26/19 01/01/26     85.114     0.000     2.6608      2.20   0.063071   0.063910   0.064761   0.065622               22.86    23.47
GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27     82.085     0.000     2.8008      2.24   0.064036   0.064933   0.065842   0.066764               23.21    23.87
GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28     79.515     0.000     2.8508      2.20   0.063142   0.064042   0.064955   0.065881               22.89    23.55
GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29     76.605     0.000     2.9509      2.20   0.062973   0.063903   0.064845   0.065802               22.84    23.52
GREENWOOD TEX INDPT SCH  397370HV2 12/05/19 02/15/21     97.721     0.000     1.9385      1.37   0.052620   0.052818   0.053330                          19.08     2.35
GREENWOOD TEX INDPT SCH  397370HW0 12/05/19 02/15/22     95.398     0.000     2.1578      1.49   0.057181   0.057421   0.058041   0.058667  0.059300     20.75    21.18
GREENWOOD TEX INDPT SCH  397370HX8 12/05/19 02/15/23     92.896     0.000     2.3197      1.56   0.059858   0.060127   0.060825   0.061530  0.062244     21.73    22.22
GREENWOOD TEX INDPT SCH  397370HY6 12/05/19 02/15/24     90.290     0.000     2.4497      1.60   0.061439   0.061732   0.062488   0.063253  0.064028     22.31    22.84
GREENWOOD TEX INDPT SCH  397370HZ3 12/05/19 02/15/25     87.541     0.000     2.5777      1.63   0.062683   0.062997   0.063809   0.064631  0.065464     22.78    23.34
GREENWOOD TEX INDPT SCH  397370JA6 12/05/19 02/15/26     84.807     0.000     2.6777      1.64   0.063081   0.063410   0.064258   0.065119  0.065991     22.93    23.52
GS Finance Corp.         40054CAB0 12/31/15 01/03/23    100.000     0.000     2.7988             0.085709   0.086908   0.088124   0.089357  0.090608     31.50    32.39
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054CAD6 01/29/16 07/31/24    100.000     0.000     3.3498    139.30   0.104542   0.106293   0.108073   0.109883  0.111724     38.48    39.78
GS Finance Corp.         40054CAE4 01/29/16 01/29/26    100.000     0.000     3.6001    150.24   0.113304   0.115344   0.117420   0.119534  0.121685     41.78    43.30
GS Finance Corp.         40054CAF1 01/29/16 01/29/24    100.000     0.000     3.0501    126.08   0.094196   0.095632   0.097091   0.098571  0.100075     34.61    35.67
GS Finance Corp.         40054CAM6 01/28/16 07/28/23    100.000     0.000     2.9500    121.82   0.090789   0.092128   0.093487   0.094866  0.096265     33.34    34.33
GS Finance Corp.         40054CBT0 02/18/16 02/17/22    100.000     0.000     2.8500    115.74   0.087404   0.088649   0.089913   0.091194  0.092493     32.03    32.95
GS Finance Corp.         40054CBU7 02/26/16 02/28/23    100.000     0.000     2.7500    110.79   0.083146   0.083373   0.085920   0.085682  0.088299     30.81    31.61
GS Finance Corp.         40054CCB8 02/29/16 02/29/24    100.000     0.000     3.3000    133.88   0.101665   0.102219   0.105628   0.105620  0.109142     37.80    38.98
GS Finance Corp.         40054K2A3 02/29/16 02/27/26    100.000     0.000     3.6002    146.73   0.113274   0.115313   0.117388   0.119502  0.121653     41.66    43.17
GS Finance Corp.         40054K2B1 02/29/16 03/01/22    100.000     0.000     2.8998    116.85   0.088117   0.088423   0.091192   0.091006  0.093856     32.68    33.58
GS Finance Corp.         40054K2H8 02/26/16 08/28/23    100.000     0.000     3.2000    129.94   0.099352   0.100942   0.102557   0.104198  0.105865     36.45    37.62
GS Finance Corp.         40054K7D2 04/29/16 05/01/23    100.000     0.000     2.8501    109.54   0.087428   0.088674   0.089938   0.091219  0.092519     31.85    32.76
GS Finance Corp.         40054K7G5 04/29/16 07/30/20    100.000     0.000     2.1997     83.68   0.065611   0.066332                                     13.84         
GS Finance Corp.         40054K7H3 04/29/16 04/29/22    100.000     0.000     2.6000     99.53   0.079056   0.080083   0.081124   0.082179  0.083247     28.77    29.53
GS Finance Corp.         40054K7J9 04/29/16 05/01/24    100.000     0.000     3.0000    115.58   0.092503   0.093891   0.095299   0.096729  0.098180     33.72    34.74
GS Finance Corp.         40054K7K6 04/29/16 04/30/26    100.000     0.000     3.2999    127.75   0.102799   0.104495   0.106219   0.107971  0.109753     37.52    38.77
GS Finance Corp.         40054K7L4 04/28/16 04/30/24    100.000     0.000     3.0000    115.67   0.092503   0.093891   0.095299   0.096729  0.098180     33.72    34.74
GS Finance Corp.         40054KAB2 04/29/16 04/27/23    100.000     1.250     2.8316    106.67   0.083192   0.083878   0.084574   0.085280  0.085996     30.16    30.66
GS Finance Corp.         40054KAE6 04/28/16 01/28/22    100.000     0.000     2.5498     97.62   0.076910   0.077891   0.078884   0.079889  0.080908     28.17    28.89
GS Finance Corp.         40054KAG1 04/29/16 04/30/20    100.000     0.000     2.1495     81.69   0.064352                                                 7.66         
GS Finance Corp.         40054KB21 04/28/16 04/28/26*   100.000    VARIES     3.2494    117.45   0.088153   0.088255                                     18.35*        
GS Finance Corp.         40054KB62 05/31/16 05/31/23    100.000     0.000     2.8999    108.78   0.089093   0.090385   0.091695   0.093025  0.094374     32.39    33.33
GS Finance Corp.         40054KB70 05/31/16 05/28/21    100.000     0.000     2.4003     89.34   0.072473   0.073342   0.074223                          26.30    10.91
GS Finance Corp.         40054KBA3 05/27/16 05/30/24    100.000     0.000     2.8998    109.04   0.089109   0.090401   0.091712   0.093042  0.094391     32.39    33.34
GS Finance Corp.         40054KBP0 05/27/16 05/30/23    100.000     0.000     2.8998    109.10   0.088130   0.088436   0.091205   0.091019  0.093869     32.41    33.34
GS Finance Corp.         40054KBQ8 05/31/16 12/01/20    100.000     0.000     2.3000     85.48   0.069216   0.070012                                     22.98         
GS Finance Corp.         40054KBR6 05/31/16 08/30/22    100.000     0.000        N/A    101.11   0.080112   0.082087   0.082291   0.084786  0.084530     29.95    30.77
GS Finance Corp.         40054KBS4 05/31/16 05/31/24    100.000     0.000     3.0499    114.68   0.094189   0.095625   0.097083   0.098564  0.100067     34.26    35.31
GS Finance Corp.         40054KBT2 05/31/16 05/29/26    100.000     0.000     3.2989    124.52   0.102745   0.104440   0.106162   0.107913  0.109693     37.40    38.65
GS Finance Corp.         40054KBW5 05/31/16 05/29/23    100.000     1.250     2.9093    107.08   0.085709   0.086451   0.087204   0.087967  0.088742     31.04    31.58
GS Finance Corp.         40054KD29 06/29/16 06/27/24    100.000     0.000     2.7999    102.38   0.085712   0.086912   0.088129   0.089362  0.090614     31.08    31.96
GS Finance Corp.         40054KD78 06/02/16 06/01/20    100.000     0.000     2.2001     81.50   0.065973                                                 9.90         
GS Finance Corp.         40054KD86 06/24/16 06/26/23    100.000     0.000     2.6499     97.08   0.080723   0.081793   0.082876   0.083975  0.085087     29.26    30.04
GS Finance Corp.         40054KD94 06/30/16 09/30/22    100.000     0.000     2.4488     89.03   0.073622   0.074523   0.075436   0.076359  0.077294     26.83    27.49
GS Finance Corp.         40054KDA1 06/03/16 06/05/23    100.000     0.000     3.0002    112.44   0.092510   0.093898   0.095306   0.096736  0.098187     33.63    34.64
GS Finance Corp.         40054KDD5 06/30/16 12/31/20    100.000     0.000     1.9909     71.86   0.059272   0.059862                                     21.38         
GS Finance Corp.         40054KDE3 06/30/16 07/02/24    100.000     0.000     2.7499    100.39   0.082921   0.084061   0.085217   0.086388  0.087576     30.47    31.31
GS Finance Corp.         40054KDF0 06/30/16 07/02/26    100.000     0.000     3.0000    109.94   0.091136   0.092503   0.093890   0.095299  0.096728     33.55    34.56
GS Finance Corp.         40054KDJ2 06/30/16 06/28/23    100.000     1.250     2.6041     93.11   0.075889   0.076425   0.076968   0.077519  0.078076     27.42    27.81
GS Finance Corp.         40054KDK9 06/30/16 07/01/21    100.000     0.000     2.1388     77.37   0.063303   0.063285   0.065022                          23.17    11.77
GS Finance Corp.         40054KDL7 06/30/16 09/30/22    100.000     0.000     2.4488     89.03   0.073622   0.074523   0.075436   0.076359  0.077294     26.83    27.49
GS Finance Corp.         40054KDM5 06/30/16 07/12/23    100.000     0.000     2.6003     94.73   0.078119   0.079134   0.080163   0.081205  0.082261     28.65    29.40
GS Finance Corp.         40054KDT0 06/09/16 06/09/23    100.000     0.000     2.9998    111.87   0.092481   0.093868   0.095276   0.096705  0.098155     33.60    34.62
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KDV5 06/17/16 06/15/23    100.000     2.000     2.6630     95.20   0.075746   0.076015   0.076287   0.076563  0.076843     27.33    27.52
GS Finance Corp.         40054KDX1 06/30/16 07/02/20    100.000     0.000     1.9105     68.87   0.056191   0.056728                                     10.27         
GS Finance Corp.         40054KEY8 07/29/16 05/01/23    100.000     0.000     2.4799     88.05   0.074644   0.075569   0.076506   0.077455  0.078416     27.15    27.83
GS Finance Corp.         40054KEZ5 07/29/16 04/29/21    100.000     0.000     2.0500     72.32   0.060847   0.061470   0.062100                          22.09     7.33
GS Finance Corp.         40054KF27 07/29/16 05/01/25    100.000     0.000     2.7700     98.77   0.084156   0.085321   0.086503   0.087701  0.088916     30.65    31.50
GS Finance Corp.         40054KF35 07/29/16 07/30/26    100.000     0.000     2.9298    104.68   0.088811   0.090112   0.091432   0.092771  0.094130     32.60    33.56
GS Finance Corp.         40054KF43 07/29/16 07/29/21    100.000     0.000     2.1200     74.88   0.061370   0.062702   0.062678   0.064392               22.91    13.41
GS Finance Corp.         40054KF50 07/29/16 08/09/23    100.000     0.000     2.5301     89.87   0.075839   0.076799   0.077770   0.078754  0.079750     27.75    28.46
GS Finance Corp.         40054KF84 07/29/16 07/31/23    100.000     0.000     2.6502     94.38   0.079679   0.080735   0.081805   0.082889  0.083987     29.20    29.97
GS Finance Corp.         40054KFB7 07/28/16 07/30/24    100.000     0.000     2.6502     94.38   0.079679   0.080735   0.081805   0.082889  0.083987     29.20    29.97
GS Finance Corp.         40054KFC5 07/26/16 07/24/20    100.000     0.000     2.0961     74.16   0.061977   0.062626                                     12.70         
GS Finance Corp.         40054KGJ9 08/31/16 06/01/21    100.000     0.000     1.9502     66.91   0.057703   0.058265   0.058833                          20.91     8.83
GS Finance Corp.         40054KGK6 08/31/16 06/01/22    100.000     0.000     2.1998     75.74   0.065614   0.066336   0.067065   0.067803  0.068549     23.79    24.32
GS Finance Corp.         40054KGL4 08/31/16 06/01/23    100.000     0.000     2.3999     82.87   0.072045   0.072910   0.073785   0.074670  0.075566     26.14    26.78
GS Finance Corp.         40054KGM2 08/31/16 05/30/25    100.000     0.000     2.6499     91.83   0.080185   0.081247   0.082324   0.083415  0.084520     29.12    29.90
GS Finance Corp.         40054KGN0 08/31/16 09/12/23    100.000     0.000     2.4502     84.66   0.073278   0.074176   0.075085   0.076005  0.076936     26.74    27.40
GS Finance Corp.         40054KGP5 08/31/16 08/31/26    100.000     0.000     2.8001     97.28   0.083619   0.083868   0.086452   0.086233  0.088890     31.00    31.81
GS Finance Corp.         40054KGQ3 08/31/16 08/31/21    100.000     0.000     2.0001     68.70   0.058330   0.058273   0.059831   0.059444               21.52    14.41
GS Finance Corp.         40054KGR1 08/04/16 08/06/26    100.000     0.000     2.8502    101.28   0.086202   0.087431   0.088677   0.089941  0.091222     31.61    32.52
GS Finance Corp.         40054KGT7 08/26/16 08/28/23    100.000     0.000     2.5001     86.74   0.074833   0.075768   0.076715   0.077674  0.078645     27.34    28.03
GS Finance Corp.         40054KH41 08/30/16 08/29/24    100.000     0.000     2.5993     90.02   0.076318   0.078159   0.078742   0.080204  0.080802     28.57    29.26
GS Finance Corp.         40054KHR0 08/24/16 08/24/26    100.000     0.000     2.8998    101.36   0.087816   0.089089   0.090381   0.091691  0.093021     32.17    33.11
GS Finance Corp.         40054KJ72 09/30/16 10/02/23    100.000     0.000     2.6002     87.69   0.078060   0.079075   0.080103   0.081145  0.082200     28.47    29.21
GS Finance Corp.         40054KJA5 09/30/16 09/30/21    100.000     0.000     2.0998     70.32   0.062099   0.062751   0.063410   0.064075               22.59    17.18
GS Finance Corp.         40054KJB3 09/30/16 06/30/22    100.000     0.000     2.1888     73.39   0.065258   0.065972   0.066694   0.067424  0.068162     23.62    24.14
GS Finance Corp.         40054KJC1 09/30/16 10/02/23    100.000     0.000     2.5002     84.20   0.074836   0.075772   0.076719   0.077678  0.078649     27.28    27.96
GS Finance Corp.         40054KJD9 09/30/16 10/02/25    100.000     0.000     2.8001     94.69   0.084560   0.085744   0.086945   0.088162  0.089396     30.87    31.74
GS Finance Corp.         40054KJE7 09/30/16 10/01/26    100.000     0.000     3.0000    101.74   0.091129   0.092495   0.093883   0.095291  0.096721     33.30    34.31
GS Finance Corp.         40054KJF4 09/30/16 09/30/21    100.000     0.000     2.0998     70.32   0.062099   0.062751   0.063410   0.064075               22.59    17.18
GS Finance Corp.         40054KJG2 09/30/16 10/12/23    100.000     0.000     2.5000     84.20   0.074882   0.075818   0.076766   0.077725  0.078697     27.27    27.96
GS Finance Corp.         40054KJJ6 09/29/16 10/01/24    100.000     0.000     2.7000     91.26   0.081297   0.082395   0.083507   0.084634  0.085777     29.66    30.47
GS Finance Corp.         40054KJY3 09/30/16 10/01/20    100.000     0.000     1.8997     63.44   0.055852   0.056383                                     15.18         
GS Finance Corp.         40054KL87 10/28/16 10/30/24    100.000     0.000     2.7498     90.61   0.082917   0.084057   0.085213   0.086385  0.087572     30.20    31.03
GS Finance Corp.         40054KLC8 10/31/16 11/09/23    100.000     0.000     2.6003     85.35   0.078102   0.079117   0.080146   0.081188  0.082243     28.41    29.15
GS Finance Corp.         40054KLF1 10/31/16 07/29/21    100.000     0.000     2.1986     71.79   0.064855   0.065568   0.066289   0.067018               23.69    13.92
GS Finance Corp.         40054KLG9 10/31/16 10/31/22    100.000     0.000     2.4001     78.57   0.071616   0.072475   0.073345   0.074225  0.075116     26.04    26.67
GS Finance Corp.         40054KLJ3 10/28/16 10/30/23    100.000     0.000     2.5999     85.49   0.078049   0.079063   0.080091   0.081132  0.082187     28.40    29.15
GS Finance Corp.         40054KLQ7 10/31/16 10/31/23    100.000     0.000     2.6000     85.34   0.078043   0.079057   0.080085   0.081126  0.082181     28.40    29.15
GS Finance Corp.         40054KLR5 10/31/16 10/29/26    100.000     0.000     2.9991     98.97   0.091084   0.092450   0.093836   0.095244  0.096672     33.21    34.21
GS Finance Corp.         40054KLS3 10/31/16 07/29/21    100.000     0.000     2.1986     71.79   0.064855   0.065568   0.066289   0.067018               23.69    13.92
GS Finance Corp.         40054KNC6 11/28/16 11/28/23    100.000     0.000     3.0998     99.79   0.094429   0.095893   0.097379   0.098888  0.100421     34.36    35.43
GS Finance Corp.         40054KNF9 11/28/16 11/28/23    100.000     0.000     3.0601     98.46   0.093111   0.094535   0.095982   0.097450  0.098941     33.87    34.92
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KNH5 11/28/16 11/27/26    100.000     0.000     3.4699    112.25   0.106856   0.108710   0.110596   0.112515  0.114467     38.93    40.29
GS Finance Corp.         40054KNK8 11/28/16 08/27/20    100.000     0.000     2.0498     65.11   0.060221   0.060838                                     14.32         
GS Finance Corp.         40054KNL6 11/28/16 08/26/21    100.000     0.000     2.5402     81.21   0.075625   0.076586   0.077558   0.078544               27.64    18.40
GS Finance Corp.         40054KNU6 11/28/16 11/27/24    100.000     0.000     3.2301    104.16   0.098769   0.100364   0.101985   0.103632  0.105306     35.95    37.12
GS Finance Corp.         40054KNV4 11/28/16 11/28/22    100.000     0.000     2.8500     91.45   0.086181   0.087409   0.088655   0.089918  0.091200     31.33    32.23
GS Finance Corp.         40054KP67 11/28/16 11/26/21    100.000     0.000     2.6201     83.82   0.078680   0.079711   0.080755   0.081813               28.58    26.44
GS Finance Corp.         40054KPR1 11/25/16 11/26/24    100.000     0.000     3.2499    105.13   0.099451   0.101067   0.102710   0.104379  0.106075     36.21    37.39
GS Finance Corp.         40054KQH2 12/30/16 01/03/25    100.000     0.000     3.3999    106.54   0.102776   0.104523   0.106300   0.108107  0.109944     37.94    39.24
GS Finance Corp.         40054KQQ2 12/30/16 07/01/24    100.000     0.000     3.4000    106.54   0.104506   0.106283   0.108090   0.109927               37.94    39.24
GS Finance Corp.         40054KQU3 12/30/16 12/31/26    100.000     0.000     3.6499    114.84   0.113017   0.115080   0.117180   0.119318  0.121496     41.06    42.57
GS Finance Corp.         40054KQV1 12/30/16 07/02/24    100.000     0.000     3.3199    103.93   0.100150   0.101813   0.103503   0.105221  0.106968     36.95    38.19
GS Finance Corp.         40054KQW9 12/30/16 12/30/22    100.000     0.000     3.0500     95.15   0.092777   0.094192   0.095629   0.097087  0.098568     33.66    34.69
GS Finance Corp.         40054KQX7 12/30/16 10/01/20    100.000     0.000     2.5001     77.50   0.074366   0.075296                                     20.25         
GS Finance Corp.         40054KR65 12/21/16 12/21/23    100.000     0.000     3.2002    100.91   0.097777   0.099341   0.100931   0.102546  0.104187     35.51    36.66
GS Finance Corp.         40054KS23 12/21/16 12/21/23    100.000     0.000     3.2002    100.91   0.097777   0.099341   0.100931   0.102546  0.104187     35.51    36.66
GS Finance Corp.         40054KSN7 01/30/17 01/30/25    100.000     0.000     3.3999    103.45   0.102747   0.104493   0.106270   0.108076  0.109914     37.84    39.13
GS Finance Corp.         40054KT48 01/31/17 01/29/27    100.000     0.000     3.6999    112.99   0.112629   0.114712   0.116834   0.118996  0.121197     41.56    43.11
GS Finance Corp.         40054KT55 01/31/17 01/31/24    100.000     0.000     3.2500     98.71   0.097854   0.099444   0.101060   0.102702  0.104371     36.00    37.18
GS Finance Corp.         40054KT63 01/31/17 07/29/22    100.000     0.000     2.9200     88.33   0.087201   0.088474   0.089766   0.091077  0.092406     32.01    32.95
GS Finance Corp.         40054KT71 01/31/17 10/29/20    100.000     0.000     2.4502     73.72   0.072771   0.073663                                     21.85         
GS Finance Corp.         40054KTB2 01/27/17 01/29/24    100.000     0.000     3.1998     97.42   0.096242   0.097782   0.099346   0.100936  0.102551     35.40    36.54
GS Finance Corp.         40054KTD8 01/30/17 01/30/24    100.000     0.000     3.2500     98.71   0.097854   0.099444   0.101060   0.102702  0.104371     36.00    37.18
GS Finance Corp.         40054KTP1 01/31/17 01/26/23    100.000     1.250     3.0595     91.33   0.088932   0.089762   0.090604   0.091458  0.092326     32.42    33.04
GS Finance Corp.         40054KUL8 01/30/17 07/30/24    100.000     0.000     3.3302    101.25   0.100469   0.102142   0.103843   0.105572  0.107330     36.98    38.22
GS Finance Corp.         40054KUQ7 02/01/17 06/02/22    100.000     0.000     2.8998     87.64   0.087405   0.088672   0.089957   0.091262  0.092585     31.77    32.70
GS Finance Corp.         40054KV29 02/27/17 08/26/24    100.000     0.000     3.2501     96.07   0.097848   0.099438   0.101054   0.102696  0.104365     35.91    37.09
GS Finance Corp.         40054KVB9 02/27/17 02/27/25    100.000     0.000     3.3001     97.61   0.099487   0.101129   0.102798   0.104494  0.106218     36.52    37.74
GS Finance Corp.         40054KVC7 02/27/17 02/27/24    100.000     0.000     3.1501     93.01   0.094615   0.096105   0.097619   0.099157  0.100718     34.70    35.80
GS Finance Corp.         40054KVS2 02/28/17 02/28/24    100.000     0.000     3.0999     91.38   0.092992   0.094433   0.095897   0.097383  0.098893     34.09    35.16
GS Finance Corp.         40054KVT0 02/28/17 08/26/22    100.000     0.000     2.6997     79.04   0.080168   0.081250   0.082347   0.083459  0.084585     29.33    30.12
GS Finance Corp.         40054KVU7 02/28/17 11/27/20    100.000     0.000     2.3002     67.04   0.068030   0.068812                                     22.32         
GS Finance Corp.         40054KW77 02/28/17 02/26/23    100.000     1.250     2.9063     84.25   0.082334   0.083949   0.083750   0.085873  0.085207     30.61    31.14
GS Finance Corp.         40054KWL6 02/17/17 08/19/24    100.000     0.000     3.2499     97.05   0.097870   0.099461   0.101077   0.102719  0.104388     35.94    37.12
GS Finance Corp.         40054KXL5 02/28/17 08/29/22    100.000     0.000     2.0900     60.83   0.059824   0.061114   0.061415   0.062398  0.062705     22.33    22.76
GS Finance Corp.         40054KXX9 03/30/17 04/01/25    100.000     0.000     3.3001     94.33   0.099497   0.101139   0.102807   0.104504  0.106228     36.41    37.62
GS Finance Corp.         40054KXY7 03/30/17 04/01/24    100.000     0.000     3.1002     88.41   0.093009   0.094450   0.095914   0.097401  0.098911     34.00    35.07
GS Finance Corp.         40054KYD2 03/31/17 12/31/20    100.000     0.000     2.3766     67.22   0.070450   0.071287                                     25.44         
GS Finance Corp.         40054KYE0 03/31/17 10/03/22    100.000     0.000     2.7999     79.57   0.083392   0.084560   0.085744   0.086944  0.088161     30.44    31.30
GS Finance Corp.         40054KYF7 03/31/17 04/02/24    100.000     0.000     3.1000     88.40   0.093010   0.094452   0.095916   0.097403  0.098912     34.00    35.06
GS Finance Corp.         40054KYH3 03/31/17 03/31/23    100.000     1.250     2.9099     81.64   0.084282   0.085003   0.085735   0.086477  0.087230     30.60    31.13
GS Finance Corp.         40054KYJ9 03/31/17 03/31/25    100.000     0.000     3.2999     94.32   0.099481   0.101122   0.102791   0.104487  0.106211     36.41    37.62
GS Finance Corp.         40054L2S2 03/27/17 03/28/22    100.000     1.000     2.7411     77.21   0.079552   0.080261   0.080981   0.081710  0.082449     28.90    29.42
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054L2W3 03/30/17 09/30/22    100.000     0.000     2.8001     79.58   0.083379   0.084546   0.085730   0.086930  0.088147     30.44    31.30
GS Finance Corp.         40054L3Q5 04/28/17 01/28/21    100.000     0.000     2.3002     63.12   0.067271   0.068045   0.068827                          24.59     1.86
GS Finance Corp.         40054L3R3 04/28/17 10/28/22    100.000     0.000     2.7000     74.40   0.080201   0.081283   0.082381   0.083493  0.084620     29.20    30.00
GS Finance Corp.         40054L3S1 04/28/17 04/30/24    100.000     0.000     3.0498     84.36   0.091391   0.092784   0.094199   0.095635  0.097094     33.32    34.35
GS Finance Corp.         40054L3U6 04/27/17 04/29/25    100.000     0.000     3.3000     91.63   0.099500   0.101142   0.102810   0.104507  0.106231     36.32    37.53
GS Finance Corp.         40054L3Y8 04/28/17 04/28/25    100.000     0.000     3.3000     91.54   0.099484   0.101126   0.102794   0.104490  0.106214     36.32    37.53
GS Finance Corp.         40054L4B7 04/28/17 04/24/23    100.000     1.250     2.8079     76.42   0.081108   0.081759   0.082419   0.083089  0.083768     29.40    29.88
GS Finance Corp.         40054L4C5 04/25/17 04/25/24    100.000     0.000     3.0999     86.08   0.092992   0.094433   0.095897   0.097383  0.098893     33.93    34.99
GS Finance Corp.         40054L4L5 04/28/17 01/30/24    100.000     0.000     3.0000     82.96   0.089126   0.090463   0.091820   0.093198  0.094596     32.73    33.72
GS Finance Corp.         40054L6F6 04/13/17 04/13/37*   100.000    VARIES     4.2970    112.49   0.112784   0.112469                                     31.75*        
GS Finance Corp.         40054L6W9 05/09/17 05/07/21    100.000     0.000     2.1501     58.20   0.062996   0.063674   0.064358                          22.87     8.11
GS Finance Corp.         40054LA53 04/28/17 10/31/24    100.000     0.000     3.1210     86.40   0.093691   0.095153   0.096638   0.098146  0.099678     34.17    35.25
GS Finance Corp.         40054LA95 05/08/17 05/10/21    100.000     0.000     2.3697     64.37   0.069829   0.070656   0.071493                          25.37     9.22
GS Finance Corp.         40054LAE4 03/20/17 09/20/22    100.000     0.000     2.9898     86.05   0.089447   0.090784   0.092141   0.093519  0.094917     32.71    33.70
GS Finance Corp.         40054LAM6 05/31/17 11/30/22    100.000     0.000     2.6502     70.47   0.078624   0.079666   0.080721   0.081791  0.082875     28.56    29.32
GS Finance Corp.         40054LAN4 03/31/17 03/31/32*   100.000    VARIES     4.1214    109.72   0.107378   0.107201                                     28.85*        
GS Finance Corp.         40054LAP9 05/31/17 05/31/24    100.000     0.000     2.9498     78.69   0.088163   0.089463   0.090783   0.092122  0.093481     32.05    33.01
GS Finance Corp.         40054LAQ7 05/30/17 05/30/25    100.000     0.000     3.1002     82.83   0.093000   0.094441   0.095905   0.097392  0.098902     33.83    34.89
GS Finance Corp.         40054LAR5 05/30/17 11/29/22    100.000     0.000     2.6501     70.47   0.078615   0.079657   0.080712   0.081782  0.082865     28.56    29.32
GS Finance Corp.         40054LBG8 05/31/17 03/02/21    100.000     0.000     2.2248     58.92   0.064964   0.065687   0.066418                          23.69     4.05
GS Finance Corp.         40054LBJ2 05/31/17 06/11/24    100.000     0.000     2.9497     78.69   0.088240   0.089542   0.090862   0.092202  0.093562     32.05    33.01
GS Finance Corp.         40054LBL7 05/31/17 05/26/23    100.000     1.250     2.7568     72.44   0.079529   0.080146   0.080772   0.081407  0.082050     28.78    29.24
GS Finance Corp.         40054LBV5 05/31/17 05/31/24    100.000     0.000     2.9498     78.69   0.088163   0.089463   0.090783   0.092122  0.093481     32.05    33.01
GS Finance Corp.         40054LCA0 05/18/17 05/19/22    100.000     0.000     2.5602     68.92   0.075791   0.076761   0.077743   0.078739  0.079747     27.54    28.25
GS Finance Corp.         40054LCJ1 05/18/17 05/20/24    100.000     0.000     3.0299     81.98   0.090752   0.092127   0.093523   0.094939  0.096378     33.03    34.04
GS Finance Corp.         40054LEE0 06/30/17 07/02/24    100.000     0.000     2.8998     74.72   0.085339   0.086576   0.087831   0.089105  0.090397     31.39    32.31
GS Finance Corp.         40054LEF7 06/30/17 03/30/23    100.000     0.000     2.6506     68.17   0.078125   0.079160   0.080209   0.081273  0.082350     28.50    29.26
GS Finance Corp.         40054LEM2 06/29/17 07/01/25    100.000     0.000     3.0998     80.12   0.093003   0.094444   0.095908   0.097395               33.74    34.79
GS Finance Corp.         40054LEN0 06/29/17 06/29/23    100.000     0.000     2.6999     69.51   0.080198   0.081281   0.082378   0.083490  0.084617     29.07    29.86
GS Finance Corp.         40054LER1 06/30/17 04/01/21    100.000     0.000     2.2248     56.97   0.064958   0.065680   0.066411                          23.65     5.98
GS Finance Corp.         40054LFC3 06/30/17 07/02/24    100.000     0.000     2.8998     74.72   0.085339   0.086576   0.087831   0.089105  0.090397     31.39    32.31
GS Finance Corp.         40054LFP4 06/30/17 06/26/23    100.000     1.250     2.7083     68.78   0.078025   0.078611   0.079206   0.079808  0.080419     28.20    28.63
GS Finance Corp.         40054LGG3 06/30/17 06/30/25    100.000     0.000     3.0999     80.03   0.092990   0.094431   0.095895   0.097381  0.098891     33.74    34.79
GS Finance Corp.         40054LH23 07/31/17 07/31/24    100.000     0.000     2.9499     73.44   0.086885   0.088167   0.089467   0.090787  0.092126     31.90    32.85
GS Finance Corp.         40054LH31 07/31/17 05/01/23    100.000     0.000     2.6501     65.81   0.078114   0.079149   0.080198   0.081261  0.082337     28.43    29.19
GS Finance Corp.         40054LHH0 07/28/17 07/28/23    100.000     0.000     2.7502     68.49   0.080683   0.081792   0.082917   0.084057  0.085213     29.59    30.41
GS Finance Corp.         40054LHJ6 07/28/17 07/30/25    100.000     0.000     3.0997     77.46   0.091580   0.093000   0.094441   0.095905  0.097391     33.66    34.71
GS Finance Corp.         40054LJ39 07/31/17 08/09/24    100.000     0.000     2.9498     73.44   0.086944   0.088226   0.089527   0.090848  0.092188     31.90    32.85
GS Finance Corp.         40054LJ47 07/31/17 08/09/24    100.000     0.000     2.9498     73.44   0.086944   0.088226   0.089527   0.090848  0.092188     31.90    32.85
GS Finance Corp.         40054LJ54 07/31/17 08/09/27    100.000     0.000     3.3497     83.72   0.099524   0.101191   0.102886   0.104609  0.106361     36.61    37.84
GS Finance Corp.         40054LJA3 07/31/17 08/09/24    100.000     0.000     2.9498     73.44   0.086944   0.088226   0.089527   0.090848  0.092188     31.90    32.85
GS Finance Corp.         40054LJJ4 07/31/17 07/31/24    100.000     0.000     2.9499     73.44   0.086885   0.088167   0.089467   0.090787  0.092126     31.90    32.85
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054LJP0 07/31/17 07/31/24    100.000     0.000     2.9499     73.44   0.086885   0.088167   0.089467   0.090787  0.092126     31.90    32.85
GS Finance Corp.         40054LKQ6 07/31/17 07/26/23    100.000     1.250     2.7589     67.73   0.078972   0.079582   0.080201   0.080828  0.081464     28.73    29.18
GS Finance Corp.         40054LKV5 07/28/17 07/28/25    100.000     0.000     3.1002     77.47   0.091580   0.093000   0.094441   0.095905  0.097392     33.66    34.71
GS Finance Corp.         40054LL85 07/27/17 04/29/21    100.000     0.000     2.2251     55.22   0.064972   0.065695   0.066426                          23.61     7.84
GS Finance Corp.         40054LLF9 07/28/17 07/30/24    100.000     0.000     2.9497     73.61   0.086892   0.088173   0.089474   0.090793  0.092132     31.90    32.85
GS Finance Corp.         40054LLJ1 07/31/17 08/09/24    100.000     0.000     2.9498     73.44   0.086944   0.088226   0.089527   0.090848  0.092188     31.90    32.85
GS Finance Corp.         40054LLP7 08/03/17 08/03/32*   100.000    VARIES     3.5509     83.64   0.094073   0.093252   0.092555                          28.13*        
GS Finance Corp.         40054LLU6 08/16/17 08/26/24    100.000     0.000     2.9499     72.05   0.086954   0.088237   0.089538   0.090859  0.092199     31.86    32.80
GS Finance Corp.         40054LME1 08/30/17 08/28/25    100.000     0.000     3.0491     73.28   0.089966   0.091337   0.092730   0.094143  0.095579     32.97    33.99
GS Finance Corp.         40054LMF8 08/30/17 08/30/23    100.000     0.000     2.7001     64.68   0.079134   0.080197   0.081285   0.082371  0.083495     28.94    29.73
GS Finance Corp.         40054LMZ4 08/31/17 09/03/24    100.000     0.000     2.9002     69.61   0.085357   0.086595   0.087850   0.089124  0.090417     31.25    32.16
GS Finance Corp.         40054LN26 08/31/17 06/02/23    100.000     0.000     2.6505     63.48   0.078132   0.079167   0.080216   0.081279  0.082356     28.37    29.13
GS Finance Corp.         40054LN34 08/31/17 09/12/24    100.000     0.000     2.8996     69.60   0.085402   0.086640   0.087896   0.089170  0.090463     31.24    32.15
GS Finance Corp.         40054LN59 08/31/17 09/12/24    100.000     0.000     2.8996     69.60   0.085402   0.086640   0.087896   0.089170  0.090463     31.24    32.15
GS Finance Corp.         40054LN67 08/31/17 09/14/27    100.000     0.000     2.9002     69.61   0.085433   0.086672   0.087929   0.089204  0.090498     31.25    32.16
GS Finance Corp.         40054LN75 08/31/17 08/28/23    100.000     1.250     2.7089     64.14   0.077458   0.078037   0.078624   0.079218  0.079821     28.14    28.56
GS Finance Corp.         40054LNK6 08/31/17 09/03/24    100.000     0.000     2.9002     69.61   0.085357   0.086595   0.087850   0.089124  0.090417     31.25    32.16
GS Finance Corp.         40054LNL4 08/31/17 09/03/24    100.000     0.000     2.9002     69.61   0.085357   0.086595   0.087850   0.089124  0.090417     31.25    32.16
GS Finance Corp.         40054LPA6 08/18/17 08/20/20    100.000     0.000     1.9994     48.28   0.057801   0.058378                                     13.34         
GS Finance Corp.         40054LQJ6 09/05/17 09/02/21    100.000     0.000     2.2497     53.34   0.065340   0.066075   0.066818   0.067570               23.83    16.24
GS Finance Corp.         40054LQQ0 09/15/17 09/26/24    100.000     0.000     2.8003     65.92   0.082306   0.083458   0.084627   0.085812  0.087013     30.06    30.91
GS Finance Corp.         40054LQS6 09/15/17 06/15/23    100.000     0.000     2.5996     61.08   0.076532   0.077527   0.078534   0.079555  0.080589     27.76    28.49
GS Finance Corp.         40054LQU1 09/28/17 09/30/25    100.000     0.000     3.1000     71.97   0.091590   0.093009   0.094451   0.095915  0.097402     33.49    34.53
GS Finance Corp.         40054LQZ0 09/28/17 09/28/23    100.000     0.000     2.7500     63.65   0.080679   0.081788   0.082912   0.084053  0.085208     29.45    30.27
GS Finance Corp.         40054LR89 09/29/17 10/10/24    100.000     0.000     2.9500     68.32   0.086965   0.088248   0.089549   0.090870  0.092210     31.75    32.69
GS Finance Corp.         40054LR97 09/29/17 10/10/24    100.000     0.000     2.9500     68.32   0.086965   0.088248   0.089549   0.090870  0.092210     31.75    32.69
GS Finance Corp.         40054LRA4 09/29/17 10/10/24    100.000     0.000     2.9500     68.32   0.086965   0.088248   0.089549   0.090870  0.092210     31.75    32.69
GS Finance Corp.         40054LRB2 09/29/17 10/12/27    100.000     0.000     3.3500     77.86   0.099571   0.101238   0.102934   0.104658  0.106411     36.41    37.64
GS Finance Corp.         40054LRL0 09/28/17 10/11/22    100.000     0.000     2.5499     58.92   0.074581   0.075532   0.076495   0.077471  0.078458     27.17    27.87
GS Finance Corp.         40054LS21 09/29/17 10/01/24    100.000     0.000     2.9500     68.31   0.086903   0.088185   0.089485   0.090805  0.092145     31.75    32.69
GS Finance Corp.         40054LS39 09/29/17 06/29/23    100.000     0.000     2.6502     61.21   0.078111   0.079146   0.080195   0.081257  0.082334     28.31    29.07
GS Finance Corp.         40054LS47 09/29/17 10/01/24    100.000     0.000     2.9500     68.31   0.086903   0.088185   0.089485   0.090805  0.092145     31.75    32.69
GS Finance Corp.         40054LSS4 09/29/17 09/26/24    100.000     1.500     2.9596     67.63   0.084645   0.085281   0.085926   0.086581  0.087246     30.71    31.18
GS Finance Corp.         40054LST2 09/29/17 09/29/22    100.000     0.000     2.5498     58.84   0.074510   0.075460   0.076422   0.077397  0.078383     27.17    27.87
GS Finance Corp.         40054LSU9 09/29/17 10/01/24    100.000     0.000     2.9500     68.31   0.086903   0.088185   0.089485   0.090805  0.092145     31.75    32.69
GS Finance Corp.         40054LSV7 09/13/17 09/12/24    100.000     0.000     2.8499     67.28   0.083767   0.084960   0.086171   0.087399  0.088644     30.63    31.51
GS Finance Corp.         40054LSZ8 09/20/17 09/22/25    100.000     0.000     3.0502     71.51   0.090031   0.091404   0.092798   0.094213  0.095650     32.93    33.94
GS Finance Corp.         40054LTA2 09/29/17 09/30/24    100.000     0.000     2.9501     68.31   0.086896   0.088178   0.089478   0.090798  0.092137     31.75    32.69
GS Finance Corp.         40054LTJ3 09/29/17 12/29/21    100.000     0.000     2.3500     54.13   0.068803   0.069612   0.070430   0.071257               24.92    25.36
GS Finance Corp.         40054LTR5 09/25/17 09/25/23    100.000     0.000     2.7000     62.70   0.079134   0.080203   0.081285   0.082383  0.083495     28.89    29.67
GS Finance Corp.         40054LUA0 10/13/17 10/25/24    100.000     0.000     2.9399     66.86   0.086657   0.087930   0.089223   0.090534  0.091865     31.60    32.53
GS Finance Corp.         40054LUF9 10/30/17 10/30/25    100.000     0.000     3.1001     69.04   0.091577   0.092997   0.094438   0.095902  0.097388     33.40    34.44
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054LUG7 10/30/17 10/30/24    100.000     0.000     3.0002     66.76   0.088452   0.089779   0.091126   0.092493  0.093880     32.24    33.22
GS Finance Corp.         40054LUM4 09/29/17 03/31/23    100.000     0.000     2.6512     61.23   0.077633   0.078662   0.079705   0.080762  0.081832     28.32    29.08
GS Finance Corp.         40054LUT9 10/31/17 07/31/23    100.000     0.000     2.7496     61.07   0.080117   0.081219   0.082335   0.083467  0.084615     29.38    30.19
GS Finance Corp.         40054LUU6 10/31/17 10/31/24    100.000     0.000     2.9999     66.76   0.088445   0.089771   0.091118   0.092485  0.093872     32.24    33.22
GS Finance Corp.         40054LV76 10/31/17 11/12/24    100.000     0.000     3.0000     66.76   0.088536   0.089864   0.091212   0.092581  0.093969     32.24    33.22
GS Finance Corp.         40054LV84 10/31/17 11/12/24    100.000     0.000     3.0000     66.76   0.088536   0.089864   0.091212   0.092581  0.093969     32.24    33.22
GS Finance Corp.         40054LV92 10/31/17 11/12/24    100.000     0.000     3.0000     66.76   0.088536   0.089864   0.091212   0.092581  0.093969     32.24    33.22
GS Finance Corp.         40054LVA9 10/31/17 11/09/27    100.000     0.000     3.3500     74.77   0.099531   0.101198   0.102893   0.104617  0.106369     36.31    37.53
GS Finance Corp.         40054LVS0 10/31/17 10/31/24    100.000     0.000     2.9999     66.76   0.088445   0.089771   0.091118   0.092485  0.093872     32.24    33.22
GS Finance Corp.         40054LVX9 10/31/17 10/31/22    100.000     0.000     2.6001     57.66   0.076055   0.077043   0.078045   0.079059  0.080087     27.68    28.40
GS Finance Corp.         40054LW67 10/30/17 11/08/22    100.000     0.000     2.6000     57.66   0.076094   0.077084   0.078086   0.079101  0.080129     27.68    28.40
GS Finance Corp.         40054LWJ9 11/03/17 08/05/20    100.000     0.000     2.1495     47.31   0.061993   0.062659                                     13.39         
GS Finance Corp.         40054LWV2 10/25/17 04/25/23    100.000     0.000     2.6502     59.19   0.077596   0.078624   0.079666   0.080721  0.081791     28.26    29.01
GS Finance Corp.         40054LXN9 10/31/17 10/31/24    100.000     0.000     2.9999     66.76   0.088445   0.089771   0.091118   0.092485  0.093872     32.24    33.22
GS Finance Corp.         40054LXR0 10/31/17 11/10/27    100.000     0.000     3.3499     74.77   0.099538   0.101205   0.102900   0.104624  0.106376     36.31    37.53
GS Finance Corp.         40054LXT6 10/31/17 11/12/24    100.000     0.000     3.0000     66.76   0.088536   0.089864   0.091212   0.092581  0.093969     32.24    33.22
GS Finance Corp.         40054LY57 11/09/17 05/11/23    100.000     0.000     2.5499     55.86   0.074524   0.075474   0.076436   0.077411  0.078398     27.10    27.79
GS Finance Corp.         40054LYD0 11/15/17 11/25/24    100.000     0.000     2.9499     64.31   0.086954   0.088237   0.089538   0.090859  0.092199     31.63    32.57
GS Finance Corp.         40054LZ72 11/30/17 12/03/24    100.000     0.000     2.9998     64.10   0.088464   0.089791   0.091138   0.092505  0.093892     32.16    33.13
GS Finance Corp.         40054LZ80 11/30/17 12/03/24    100.000     0.000     2.9998     64.10   0.088464   0.089791   0.091138   0.092505  0.093892     32.16    33.13
GS Finance Corp.         40054LZ98 11/30/17 12/03/24    100.000     0.000     2.9998     64.10   0.088464   0.089791   0.091138   0.092505  0.093892     32.16    33.13
GS Finance Corp.         40054LZB3 11/30/17 08/31/23    100.000     0.000     2.7995     59.76   0.081644   0.082780   0.083945   0.085107  0.086312     29.88    30.72
GS Finance Corp.         40054LZC1 11/30/17 12/03/24    100.000     0.000     2.9998     64.10   0.088464   0.089791   0.091138   0.092505  0.093892     32.16    33.13
GS Finance Corp.         40054LZE7 11/30/17 12/03/25    100.000     0.000     3.1001     66.30   0.091601   0.093021   0.094462   0.095927  0.097413     33.31    34.35
GS Finance Corp.         40054LZS6 11/30/17 12/12/24    100.000     0.000     2.9999     64.11   0.088533   0.089861   0.091208   0.092577  0.093965     32.16    33.13
GS Finance Corp.         40054LZT4 11/30/17 12/12/24    100.000     0.000     2.9999     64.11   0.088533   0.089861   0.091208   0.092577  0.093965     32.16    33.13
GS Finance Corp.         40054LZU1 11/30/17 12/12/24    100.000     0.000     2.9999     64.11   0.088533   0.089861   0.091208   0.092577  0.093965     32.16    33.13
GS Finance Corp.         40054LZV9 11/30/17 12/13/27    100.000     0.000     3.3000     70.69   0.097985   0.099601   0.101245   0.102915  0.104613     35.62    36.81
GS Finance Corp.         40055A2G1 12/05/17 12/03/20    100.000     0.000     2.2502     47.47   0.065357   0.066092                                     21.83         
GS Finance Corp.         40055A2P1 11/10/17 11/10/21    100.000     0.000     2.4000     52.44   0.069925   0.070764   0.071613   0.072472               25.41    22.28
GS Finance Corp.         40055A2Z9 11/30/17 12/12/22    100.000     0.000     2.6499     56.47   0.077657   0.078686   0.079729   0.080785  0.081856     28.18    28.93
GS Finance Corp.         40055A3B1 11/30/17 05/31/23    100.000     0.000     2.7000     57.56   0.079132   0.080201   0.081283   0.082381  0.083493     28.75    29.53
GS Finance Corp.         40055A3G0 12/05/17 12/05/22    100.000     0.000     2.6501     56.08   0.077593   0.078621   0.079663   0.080718  0.081788     28.17    28.92
GS Finance Corp.         40055A3P0 11/30/17 05/31/23    100.000     0.000     2.7499     58.64   0.080673   0.081782   0.082907   0.084047  0.085202     29.31    30.12
GS Finance Corp.         40055A3U9 11/22/17 05/31/23    100.000     0.000     2.7513     59.32   0.080766   0.081877   0.083004   0.084146  0.085303     29.35    30.16
GS Finance Corp.         40055A4B0 11/27/17 05/27/25    100.000     0.000     3.1501     67.67   0.093147   0.094614   0.096104   0.097618  0.099156     33.90    34.97
GS Finance Corp.         40055A4C8 11/30/17 12/12/24    100.000     0.000     2.9999     64.11   0.088533   0.089861   0.091208   0.092577  0.093965     32.16    33.13
GS Finance Corp.         40055A4D6 11/30/17 12/13/27    100.000     0.000     3.3000     70.69   0.097985   0.099601   0.101245   0.102915  0.104613     35.62    36.81
GS Finance Corp.         40055A4K0 11/27/17 11/24/25    100.000     0.000     3.2000     68.78   0.094691   0.096206   0.097745   0.099309  0.100898     34.47    35.59
GS Finance Corp.         40055A4N4 11/24/17 11/26/21    100.000     0.000     2.5000     53.65   0.072993   0.073905   0.074829   0.075764               26.51    24.49
GS Finance Corp.         40055A4T1 12/05/17 12/05/32*   100.000    VARIES     3.7436     76.07   0.101576   0.101985                                     25.13*        
GS Finance Corp.         40055A5G8 12/26/17 12/26/24    100.000     0.000     3.0002     61.81   0.088452   0.089779   0.091126   0.092493  0.093880     32.09    33.07
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055A5H6 12/26/17 12/26/24    100.000     0.000     3.0002     61.81   0.088452   0.089779   0.091126   0.092493  0.093880     32.09    33.07
GS Finance Corp.         40055A5L7 12/26/17 01/07/25    100.000     0.000     2.9999     61.81   0.087218   0.088526   0.089854   0.091202  0.092570     32.09    33.06
GS Finance Corp.         40055A5M5 12/26/17 01/07/25*   100.000     0.000     2.9999     61.81   0.087218                                                 0.52*        
GS Finance Corp.         40055A5T0 12/13/17 12/23/24    100.000     0.000     3.0499     64.03   0.090083   0.091457   0.092852   0.094268  0.095705     32.70    33.70
GS Finance Corp.         40055A5W3 12/26/17 12/26/24    100.000     0.000     3.0002     61.81   0.088452   0.089779   0.091126   0.092493  0.093880     32.09    33.07
GS Finance Corp.         40055A6D4 12/06/17 12/02/20    100.000     0.000     2.2499     47.40   0.065341   0.066077                                     21.76         
GS Finance Corp.         40055A6F9 12/27/17 01/08/25    100.000     0.000     2.9998     61.72   0.087214   0.088523   0.089850   0.091198  0.092566     32.09    33.06
GS Finance Corp.         40055A6H5 12/27/17 01/08/25    100.000     0.000     2.9998     61.72   0.087214   0.088523   0.089850   0.091198  0.092566     32.09    33.06
GS Finance Corp.         40055A6J1 12/27/17 01/04/28    100.000     0.000     3.2999     68.05   0.096340   0.097929   0.099545   0.101187  0.102857     35.54    36.72
GS Finance Corp.         40055A6K8 12/27/17 01/08/25    100.000     0.000     2.9998     61.72   0.087214   0.088523   0.089850   0.091198  0.092566     32.09    33.06
GS Finance Corp.         40055A7J0 12/26/17 01/05/23    100.000     0.000     2.6999     55.50   0.078129   0.079183   0.080252   0.081335  0.082433     28.69    29.47
GS Finance Corp.         40055AAD9 01/03/18 01/03/23    100.000     0.000     2.6999     54.95   0.078077   0.079131   0.080199   0.081282  0.082379     28.68    29.45
GS Finance Corp.         40055ABF3 12/19/17 06/19/25    100.000     0.000     3.1000     64.55   0.091575   0.092994   0.094435   0.095899  0.097386     33.26    34.30
GS Finance Corp.         40055AC54 01/31/18 01/30/25    100.000     0.000     3.4101     67.08   0.099652   0.101351   0.103079   0.104837  0.106624     36.70    37.96
GS Finance Corp.         40055AC62 01/31/18 02/11/25    100.000     0.000     3.4199     67.29   0.100057   0.101768   0.103508   0.105278  0.107078     36.81    38.08
GS Finance Corp.         40055AC70 01/31/18 02/11/25    100.000     0.000     3.4199     67.29   0.100057   0.101768   0.103508   0.105278  0.107078     36.81    38.08
GS Finance Corp.         40055AC88 01/31/18 01/30/25    100.000     0.000     3.4101     67.08   0.099652   0.101351   0.103079   0.104837  0.106624     36.70    37.96
GS Finance Corp.         40055ACE5 01/18/18 01/29/25    100.000     0.000     3.3498     67.05   0.097905   0.099545   0.101212   0.102908  0.104631     36.04    37.26
GS Finance Corp.         40055ACF2 01/18/18 01/29/25    100.000     0.000     3.3498     67.05   0.097905   0.099545   0.101212   0.102908  0.104631     36.04    37.26
GS Finance Corp.         40055ACK1 01/31/18 10/31/23    100.000     0.000     3.2433     63.77   0.095313   0.096858   0.098429   0.100025  0.101647     34.78    35.92
GS Finance Corp.         40055ACL9 01/31/18 01/30/25    100.000     0.000     3.3896     66.66   0.099025   0.100703   0.102410   0.104146  0.105911     36.46    37.71
GS Finance Corp.         40055ACW5 01/30/18 01/29/26    100.000     0.000     3.4733     68.35   0.101586   0.103351   0.105145   0.106972  0.108829     37.43    38.74
GS Finance Corp.         40055AD20 01/30/18 02/08/23    100.000     0.000     3.1499     61.85   0.091762   0.093208   0.094676   0.096167  0.097681     33.71    34.78
GS Finance Corp.         40055ADC8 01/31/18 02/11/25    100.000     0.000     3.4199     67.29   0.100057   0.101768   0.103508   0.105278  0.107078     36.81    38.08
GS Finance Corp.         40055ADD6 01/31/18 02/11/25    100.000     0.000     3.4199     67.29   0.100057   0.101768   0.103508   0.105278  0.107078     36.81    38.08
GS Finance Corp.         40055ADF1 01/31/18 02/11/25    100.000     0.000     3.4199     67.29   0.100057   0.101768   0.103508   0.105278  0.107078     36.81    38.08
GS Finance Corp.         40055ADG9 01/31/18 02/11/28    100.000     0.000     3.6599     72.14   0.107469   0.109436   0.111438   0.113477  0.115554     39.60    41.06
GS Finance Corp.         40055ADK0 01/31/18 02/11/25    100.000     0.000     3.4199     67.29   0.100057   0.101768   0.103508   0.105278  0.107078     36.81    38.08
GS Finance Corp.         40055ADU8 02/05/18 02/03/23    100.000     0.000     3.2054     62.49   0.093372   0.094868   0.096389   0.097933  0.099503     34.33    35.44
GS Finance Corp.         40055ADV6 02/05/18 11/04/20    100.000     0.000     2.5502     49.51   0.074049   0.074993                                     22.61         
GS Finance Corp.         40055AE78 02/05/18 02/03/23    100.000     0.000     3.2054     62.49   0.093372   0.094868   0.096389   0.097933  0.099503     34.33    35.44
GS Finance Corp.         40055AES2 01/29/18 02/07/25    100.000     0.000     3.4299     67.59   0.100338   0.102059   0.103809   0.105589  0.107400     36.93    38.21
GS Finance Corp.         40055AF51 01/31/18 02/11/28    100.000     0.000     3.6599     72.14   0.107469   0.109436   0.111438   0.113477  0.115554     39.60    41.06
GS Finance Corp.         40055AGK7 02/16/18 02/28/25    100.000     0.000     3.6799     70.81   0.108099   0.110088   0.112113   0.114176  0.116277     39.77    41.24
GS Finance Corp.         40055AGL5 02/16/18 02/28/25    100.000     0.000     3.6799     70.81   0.108099   0.110088   0.112113   0.114176  0.116277     39.77    41.24
GS Finance Corp.         40055AGZ4 01/31/18 02/12/25    100.000     0.000     3.4499     67.89   0.100991   0.102733   0.104506   0.106308  0.108142     37.16    38.45
GS Finance Corp.         40055AHD2 02/28/18 03/11/25    100.000     0.000     3.6869     69.65   0.108328   0.110325   0.112359   0.114430  0.116539     39.80    41.28
GS Finance Corp.         40055AHE0 02/28/18 02/27/25    100.000     0.000     3.6753     69.41   0.107813   0.109795   0.111812   0.113867  0.115960     39.67    41.14
GS Finance Corp.         40055AHF7 02/28/18 02/27/25    100.000     0.000     3.6753     69.41   0.107813   0.109795   0.111812   0.113867  0.115960     39.67    41.14
GS Finance Corp.         40055AHG5 02/28/18 02/27/25    100.000     0.000     3.7053     69.99   0.108741   0.110755   0.112807   0.114897  0.117026     40.01    41.51
GS Finance Corp.         40055AHH3 02/28/18 03/11/25    100.000     0.000     3.6869     69.65   0.108328   0.110325   0.112359   0.114430  0.116539     39.80    41.28
GS Finance Corp.         40055AHJ9 02/28/18 03/11/25    100.000     0.000     3.6869     69.65   0.108328   0.110325   0.112359   0.114430  0.116539     39.80    41.28
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055AHK6 02/28/18 03/10/28    100.000     0.000     3.9678     75.10   0.117061   0.119384   0.121752   0.124168  0.126631     43.08    44.81
GS Finance Corp.         40055AHL4 02/28/18 03/11/25    100.000     0.000     3.6869     69.65   0.108328   0.110325   0.112359   0.114430  0.116539     39.80    41.28
GS Finance Corp.         40055AHM2 02/28/18 03/11/25    100.000     0.000     3.6869     69.65   0.108328   0.110325   0.112359   0.114430  0.116539     39.80    41.28
GS Finance Corp.         40055AHN0 02/28/18 11/29/23    100.000     0.000     3.5414     66.85   0.104619   0.106472   0.108357   0.110276  0.112229     38.12    39.48
Goldman Sachs Group, Inc 40055AHP5 03/05/18 03/03/23    100.000     0.000     3.4453     64.26   0.100716   0.102451   0.104216   0.106012  0.107838     36.98    38.27
GS Finance Corp.         40055AHQ3 03/05/18 12/03/20    100.000     0.000     2.7636     51.32   0.080532   0.081645                                     26.94         
GS Finance Corp.         40055AHU4 02/28/18 03/11/25    100.000     0.000     3.6869     69.65   0.108328   0.110325   0.112359   0.114430  0.116539     39.80    41.28
GS Finance Corp.         40055AHV2 02/16/18 02/28/25*   100.000     0.000     3.6799     70.81   0.108099                                                 6.16*        
Goldman Sachs Group, Inc 40055AJF5 03/05/18 03/03/23    100.000     0.000     3.4453     64.26   0.100716   0.102451   0.104216   0.106012  0.107838     36.98    38.27
GS Finance Corp.         40055AJG3 02/22/18 06/22/26    100.000     0.000     3.8739     73.96   0.115454   0.117690   0.119970   0.122294  0.124662     42.01    43.65
GS Finance Corp.         40055AJN8 02/27/18 03/08/23    100.000     0.000     3.4252     64.69   0.100222   0.101938   0.103684   0.105460  0.107266     36.78    38.05
GS Finance Corp.         40055AJS7 02/28/18 08/31/23    100.000     0.000     3.4583     65.21   0.101152   0.102891   0.104680   0.106470  0.108332     37.16    38.45
GS Finance Corp.         40055AJY4 02/27/18 02/26/26    100.000     0.000     3.8056     72.05   0.111848   0.113977   0.116145   0.118355  0.120607     41.19    42.77
GS Finance Corp.         40055AK89 02/27/18 02/27/25    100.000     0.000     3.7200     70.39   0.109208   0.111239   0.113308   0.115415  0.117562     40.19    41.70
GS Finance Corp.         40055AKQ9 02/28/18 03/10/28    100.000     0.000     3.9678     75.10   0.117061   0.119384   0.121752   0.124168  0.126631     43.08    44.81
GS Finance Corp.         40055AL21 02/14/18 02/14/23    100.000     0.000     3.3099     63.71   0.096582   0.098181   0.099806   0.101457  0.103137     35.50    36.68
GS Finance Corp.         40055ALA3 02/20/18 02/20/25    100.000     0.000     3.7500     71.74   0.110137   0.112202   0.114305   0.116449  0.118632     40.57    42.10
GS Finance Corp.         40055ALY1 02/28/18 08/28/25    100.000     0.000     3.7368     70.60   0.109729   0.111779   0.113868   0.115995  0.118162     40.38    41.90
GS Finance Corp.         40055AM20 02/26/18 02/26/23*   100.000    VARIES     3.4615     63.68   0.095713   0.096000                                     13.90*        
GS Finance Corp.         40055AMP9 02/26/18 03/05/25    100.000     0.000     3.7000     70.12   0.108690   0.110700   0.112748   0.114834  0.116959     39.96    41.45
GS Finance Corp.         40055AMU8 02/28/18 03/10/28    100.000     0.000     3.9678     75.10   0.117061   0.119384   0.121752   0.124168  0.126631     43.08    44.81
GS Finance Corp.         40055AMV6 02/28/18 03/10/28    100.000     0.000     3.9678     75.10   0.117061   0.119384   0.121752   0.124168  0.126631     43.08    44.81
GS Finance Corp.         40055AMX2 02/28/18 03/10/28    100.000     0.000     3.9678     75.10   0.117061   0.119384   0.121752   0.124168  0.126631     43.08    44.81
GS Finance Corp.         40055AMZ7 02/28/18 12/02/20    100.000     0.000     2.7985     52.55   0.081636   0.082779                                     27.23         
GS Finance Corp.         40055ANA1 02/28/18 03/12/25    100.000     0.000     3.6670     69.27   0.107720   0.109695   0.111706   0.113755  0.115840     39.57    41.03
GS Finance Corp.         40055ANE3 03/16/18 03/27/25    100.000     0.000     3.8098     70.01   0.112123   0.114259   0.116436   0.118654  0.120914     41.15    42.74
GS Finance Corp.         40055ANF0 03/16/18 03/27/25    100.000     0.000     3.8098     70.01   0.112123   0.114259   0.116436   0.118654  0.120914     41.15    42.74
GS Finance Corp.         40055ANM5 03/16/18 03/27/25    100.000     0.000     3.8098     70.01   0.112123   0.114259   0.116436   0.118654  0.120914     41.15    42.74
GS Finance Corp.         40055APD3 03/29/18 03/30/23    100.000     0.000     3.6000     64.68   0.105507   0.107406   0.109340   0.111308  0.113311     38.67    40.08
GS Finance Corp.         40055APE1 03/29/18 10/01/25    100.000     0.000     3.9000     70.21   0.114821   0.117061   0.119343   0.121670  0.124043     42.15    43.81
GS Finance Corp.         40055APF8 03/29/18 12/31/24    100.000     0.000     3.8275     68.87   0.113631   0.115806   0.118022   0.120280  0.122582     41.30    42.90
GS Finance Corp.         40055APG6 04/05/18 04/17/23    100.000     0.000     3.4899     62.06   0.102226   0.104009   0.105824   0.107671  0.109550     37.39    38.70
GS Finance Corp.         40055APL5 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055APM3 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055APN1 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055APP6 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055APR2 03/29/18 04/10/28    100.000     0.000     4.0900     73.73   0.120876   0.123348   0.125871   0.128445  0.131071     44.36    46.20
GS Finance Corp.         40055APU5 03/29/18 10/10/25    100.000     0.000     3.9000     70.22   0.114933   0.117174   0.119459   0.121788  0.124163     42.15    43.81
GS Finance Corp.         40055APV3 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055APW1 03/29/18 12/31/20    100.000     0.000     2.9975     53.65   0.087724   0.089039                                     31.73         
GS Finance Corp.         40055AQA8 03/28/18 03/27/25    100.000     0.000     3.8492     69.39   0.113203   0.115381   0.117602   0.119865  0.122172     41.56    43.17
GS Finance Corp.         40055AQB6 03/28/18 03/26/26    100.000     0.000     3.9333     70.94   0.115808   0.118085   0.120407   0.122775  0.125190     42.54    44.23
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055AQE0 03/29/18 03/31/25    100.000     0.000     3.8700     69.66   0.113875   0.116079   0.118325   0.120615  0.122949     41.80    43.43
GS Finance Corp.         40055AQK6 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055AQM2 03/29/18 04/09/25    100.000     0.000     3.8700     69.67   0.113984   0.116189   0.118438   0.120729  0.123066     41.80    43.43
GS Finance Corp.         40055AQP5 03/29/18 04/10/28    100.000     0.000     4.0900     73.73   0.120876   0.123348   0.125871   0.128445  0.131071     44.36    46.20
GS Finance Corp.         40055AQZ3 03/14/18 03/25/25    100.000     0.000     3.7899     69.86   0.111504   0.113617   0.115770   0.117964  0.120199     40.93    42.50
GS Finance Corp.         40055AR25 03/14/18 03/25/25    100.000     0.000     3.7899     69.86   0.111504   0.113617   0.115770   0.117964  0.120199     40.93    42.50
GS Finance Corp.         40055ARD1 04/02/18 04/02/20    100.000     0.000     2.1535     38.15   0.061772                                                 5.62         
GS Finance Corp.         40055ARE9 04/02/18 03/31/23    100.000     0.000     3.5367     63.21   0.103525   0.105356   0.107219   0.109115  0.111045     37.93    39.29
GS Finance Corp.         40055ARR0 03/21/18 03/20/25    100.000     0.000     3.7991     69.24   0.111648   0.113769   0.115930   0.118133  0.120377     41.01    42.58
GS Finance Corp.         40055ART6 03/21/18 03/21/24    100.000     0.000     3.6850     67.11   0.108124   0.110116   0.112145   0.114211  0.116315     39.69    41.16
GS Finance Corp.         40055ARV1 03/21/18 03/20/25    100.000     0.000     3.7991     69.24   0.111648   0.113769   0.115930   0.118133  0.120377     41.01    42.58
GS Finance Corp.         40055ARW9 03/29/18 04/10/28    100.000     0.000     4.0900     73.73   0.120876   0.123348   0.125871   0.128445  0.131071     44.36    46.20
GS Finance Corp.         40055ATH0 04/17/18 04/28/25    100.000     0.000     3.7800     66.01   0.111196   0.113298   0.115439   0.117621  0.119844     40.68    42.23
GS Finance Corp.         40055ATJ6 04/17/18 04/28/25    100.000     0.000     3.7800     66.01   0.111196   0.113298   0.115439   0.117621  0.119844     40.68    42.23
GS Finance Corp.         40055ATK3 04/17/18 04/28/25    100.000     0.000     3.7800     66.01   0.111196   0.113298   0.115439   0.117621  0.119844     40.68    42.23
GS Finance Corp.         40055ATU1 04/02/18 10/03/24    100.000     0.000     3.7376     66.89   0.109762   0.111814   0.113903   0.116032  0.118200     40.25    41.77
GS Finance Corp.         40055ATX5 04/30/18 04/30/25    100.000     0.000     4.0400     69.10   0.119163   0.121570   0.124026   0.126531  0.129087     43.63    45.41
GS Finance Corp.         40055AU21 03/29/18 03/31/21    100.000     0.000     3.2700     58.63   0.095372   0.096931   0.098516                          34.90     8.77
GS Finance Corp.         40055AU39 04/30/18 05/09/25    100.000     0.000     4.0400     69.11   0.119281   0.121690   0.124149   0.126656  0.129215     43.63    45.41
GS Finance Corp.         40055AU47 04/30/18 05/09/25    100.000     0.000     4.0400     69.11   0.119281   0.121690   0.124149   0.126656  0.129215     43.63    45.41
GS Finance Corp.         40055AU54 04/30/18 05/09/28    100.000     0.000     4.3200     74.02   0.128083   0.130849   0.133676   0.136563  0.139513     46.90    48.95
GS Finance Corp.         40055AU70 04/30/18 05/09/25*   100.000     0.000     4.0400     69.11   0.119281   0.121690                                     15.51*        
GS Finance Corp.         40055AU88 04/30/18 05/09/25    100.000     0.000     4.0400     69.11   0.119281   0.121690   0.124149   0.126656  0.129215     43.63    45.41
GS Finance Corp.         40055AUA3 04/30/18 05/09/25    100.000     0.000     4.0400     69.11   0.119281   0.121690   0.124149   0.126656  0.129215     43.63    45.41
GS Finance Corp.         40055AUB1 04/30/18 05/09/25    100.000     0.000     4.0400     69.11   0.119281   0.121690   0.124149   0.126656  0.129215     43.63    45.41
GS Finance Corp.         40055AUC9 04/30/18 05/09/28    100.000     0.000     4.3200     74.02   0.128083   0.130849   0.133676   0.136563  0.139513     46.90    48.95
GS Finance Corp.         40055AUD7 04/30/18 05/09/25    100.000     0.000     4.0400     69.11   0.119281   0.121690   0.124149   0.126656  0.129215     43.63    45.41
GS Finance Corp.         40055AUP0 04/30/18 11/10/25    100.000     0.000     4.0867     69.93   0.120758   0.123225   0.125743   0.128313  0.130935     44.17    45.99
GS Finance Corp.         40055AUQ8 04/30/18 11/10/25    100.000     0.000     4.0867     69.93   0.120758   0.123225   0.125743   0.128313  0.130935     44.17    45.99
GS Finance Corp.         40055AV79 04/03/18 04/01/21    100.000     0.000     3.1404     55.89   0.091392   0.092827   0.094284                          33.42     8.49
GS Finance Corp.         40055AVN4 04/30/18 01/30/23    100.000     0.000     3.6788     62.82   0.106957   0.108925   0.110928   0.112969  0.115047     39.46    40.92
GS Finance Corp.         40055AVQ7 04/30/18 01/30/25    100.000     0.000     4.0014     68.46   0.116798   0.119134   0.121518   0.123949  0.126429     43.18    44.93
GS Finance Corp.         40055AVR5 04/30/18 10/30/25    100.000     0.000     4.0867     69.92   0.120620   0.123085   0.125600   0.128166  0.130785     44.17    45.99
GS Finance Corp.         40055AW37 04/27/18 04/29/26    100.000     0.000     4.0867     70.28   0.120648   0.123113   0.125628   0.128195  0.130815     44.19    46.01
GS Finance Corp.         40055AW45 04/27/18 04/29/24    100.000     0.000     3.8501     66.12   0.113266   0.115447   0.117669   0.119934  0.122243     41.44    43.05
GS Finance Corp.         40055AW52 04/30/18 10/31/23    100.000     0.000     3.7750     64.47   0.110911   0.113004   0.115137   0.117310  0.119524     40.56    42.11
GS Finance Corp.         40055AWC7 05/07/18 05/16/23    100.000     0.000     3.7100     62.57   0.108998   0.111020   0.113080   0.115177  0.117314     39.79    41.28
GS Finance Corp.         40055AWD5 04/30/18 05/09/28    100.000     0.000     4.3200     74.02   0.128083   0.130849   0.133676   0.136563  0.139513     46.90    48.95
GS Finance Corp.         40055AWP8 05/03/18 05/04/23    100.000     0.000     3.6800     62.48   0.107980   0.109967   0.111991   0.114051  0.116150     39.46    40.92
GS Finance Corp.         40055AWU7 05/03/18 05/04/23    100.000     0.000     3.6800     62.48   0.107980   0.109967   0.111991   0.114051  0.116150     39.46    40.92
GS Finance Corp.         40055AX44 05/03/18 05/05/20    100.000     0.000     2.1991     37.01   0.063131                                                 7.83         
GS Finance Corp.         40055AXA0 04/11/18 04/09/21    100.000     0.000     3.1014     54.47   0.090206   0.091605   0.093026                          32.96     9.12
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055AXU6 04/18/18 04/15/21    100.000     0.000     3.1207     54.18   0.090785   0.092202   0.093641                          33.15     9.74
GS Finance Corp.         40055AYK7 04/26/18 05/07/25    100.000     0.000     3.9700     68.35   0.117117   0.119442   0.121813   0.124231  0.126697     42.83    44.55
GS Finance Corp.         40055AYL5 04/26/18 05/07/25    100.000     0.000     3.9700     68.35   0.117117   0.119442   0.121813   0.124231  0.126697     42.83    44.55
GS Finance Corp.         40055AYR2 04/26/18 10/28/25    100.000     0.000     4.0117     69.08   0.118305   0.120678   0.123098   0.125567  0.128086     43.32    45.07
GS Finance Corp.         40055AYT8 05/17/18 05/29/25    100.000     0.000     3.9900     66.23   0.117757   0.120107   0.122503   0.124947  0.127439     42.97    44.70
GS Finance Corp.         40055AYU5 05/17/18 05/29/25    100.000     0.000     3.9900     66.23   0.117757   0.120107   0.122503   0.124947  0.127439     42.97    44.70
GS Finance Corp.         40055AYW1 05/17/18 05/29/25    100.000     0.000     3.9900     66.23   0.117757   0.120107   0.122503   0.124947  0.127439     42.97    44.70
GS Finance Corp.         40055AZ67 05/09/18 05/08/25    100.000     0.000     3.9777     66.96   0.117204   0.119535   0.121913   0.124337  0.126810     42.86    44.58
GS Finance Corp.         40055AZG5 05/02/18 05/15/28    100.000     0.000     4.2400     72.37   0.125620   0.128283   0.131002   0.133780  0.136616     45.95    47.92
GS Finance Corp.         40055AZL4 05/30/18 05/30/25    100.000     0.000     4.0099     65.03   0.118223   0.120593   0.123011   0.125477  0.127993     43.14    44.88
GS Finance Corp.         40055AZM2 05/30/18 05/30/25    100.000     0.000     4.0099     65.03   0.118223   0.120593   0.123011   0.125477  0.127993     43.14    44.88
GS Finance Corp.         40055AZN0 05/23/18 05/23/33*   100.000     6.250     4.5052     71.61   0.121792   0.120623                                     28.27*        
GS Finance Corp.         40055AZP5 05/17/18 05/30/28    100.000     0.000     4.2500     70.65   0.125935   0.128611   0.131344   0.134135  0.136986     45.99    47.96
GS Finance Corp.         40055AZX8 05/29/18 05/29/24    100.000     0.000     3.9300     63.82   0.115730   0.118004   0.120322   0.122687  0.125098     42.22    43.89
GS Finance Corp.         40055AZY6 05/29/18 05/29/26    100.000     0.000     4.1267     67.09   0.121873   0.124388   0.126955   0.129574  0.132248     44.49    46.34
GS Finance Corp.         40055Q2D3 05/30/18 05/30/23*   100.000    VARIES     2.7000     42.31   0.073605   0.073921                                     11.04*        
GS Finance Corp.         40055Q2P6 05/25/18 05/30/23    100.000     0.000     3.7700     61.61   0.110814   0.112903   0.115031   0.117199  0.119408     40.40    41.94
GS Finance Corp.         40055Q2R2 05/04/18 05/02/24    100.000     1.450     3.8675     65.26   0.112173   0.112784   0.114965   0.115631  0.117867     40.66    41.68
GS Finance Corp.         40055Q2V3 05/25/18 05/28/25    100.000     0.000     4.0600     66.46   0.119827   0.122259   0.124741   0.127273  0.129857     43.74    45.53
GS Finance Corp.         40055Q2W1 05/17/18 05/29/25    100.000     0.000     3.9900     66.23   0.117757   0.120107   0.122503   0.124947  0.127439     42.97    44.70
GS Finance Corp.         40055Q2X9 05/17/18 05/29/25    100.000     0.000     3.9900     66.23   0.117757   0.120107   0.122503   0.124947  0.127439     42.97    44.70
GS Finance Corp.         40055Q3C4 05/30/18 02/27/25    100.000     0.000     3.9600     64.27   0.115493   0.117780   0.120112   0.122490  0.124916     42.56    44.26
GS Finance Corp.         40055Q3E0 05/30/18 03/01/23    100.000     0.000     3.6601     59.30   0.106399   0.108346   0.110329   0.112348  0.114404     39.13    40.57
GS Finance Corp.         40055Q3F7 05/30/18 05/30/28    100.000     0.000     4.3000     69.84   0.127316   0.130053   0.132849   0.135706  0.138623     46.50    48.52
GS Finance Corp.         40055Q3G5 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q3H3 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q3J9 05/30/18 06/08/28    100.000     0.000     4.3000     69.85   0.127437   0.130177   0.132976   0.135835  0.138755     46.50    48.52
GS Finance Corp.         40055Q3K6 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q3L4 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q3M2 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q3N0 05/30/18 06/08/28    100.000     0.000     4.3000     69.85   0.127437   0.130177   0.132976   0.135835  0.138755     46.50    48.52
GS Finance Corp.         40055Q3P5 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q3R1 05/30/18 11/28/25    100.000     0.000     4.0503     65.70   0.119458   0.121877   0.124345   0.126863  0.129433     43.60    45.39
GS Finance Corp.         40055Q3S9 05/30/18 06/08/28    100.000     0.000     4.3000     69.85   0.127437   0.130177   0.132976   0.135835  0.138755     46.50    48.52
GS Finance Corp.         40055Q3U4 05/30/18 12/11/25    100.000     0.000     4.0583     65.83   0.119883   0.122316   0.124798   0.127330  0.129914     43.69    45.49
GS Finance Corp.         40055Q3V2 05/30/18 06/12/28    100.000     0.000     4.3000     69.85   0.127498   0.130239   0.133039   0.135899  0.138821     46.50    48.52
GS Finance Corp.         40055Q4M1 05/30/18 06/10/25    100.000     0.000     4.0101     65.03   0.118357   0.120731   0.123151   0.125620  0.128139     43.14    44.88
GS Finance Corp.         40055Q4W9 06/06/18 06/19/23    100.000     0.000     3.7000     59.25   0.108733   0.110744   0.112793   0.114880  0.117005     39.55    41.03
GS Finance Corp.         40055Q5H1 06/05/18 06/05/23    100.000     0.000     3.6299     58.21   0.106421   0.108353   0.110320   0.112322  0.114360     38.76    40.18
GS Finance Corp.         40055Q5L2 06/05/18 06/05/23    100.000     0.000     3.6299     58.21   0.106421   0.108353   0.110320   0.112322  0.114360     38.76    40.18
GS Finance Corp.         40055Q5N8 06/05/18 06/04/20    100.000     0.000     2.3298     37.10   0.067001                                                10.25         
GS Finance Corp.         40055Q6F4 05/29/18 06/07/23    100.000     0.000     3.7299     60.51   0.109606   0.111650   0.113732   0.115853  0.118014     39.93    41.43
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055Q6X5 05/25/18 11/25/26    100.000     0.000     4.2450     69.56   0.125587   0.128252   0.130974   0.133754  0.136593     45.88    47.85
GS Finance Corp.         40055QA28 05/31/18 06/12/25    100.000     0.000     3.8600     62.55   0.113697   0.115892   0.118128   0.120408  0.122732     41.41    43.02
GS Finance Corp.         40055QA51 05/24/18 06/05/25    100.000     0.000     4.0800     66.92   0.120563   0.123023   0.125533   0.128094  0.130707     43.97    45.79
GS Finance Corp.         40055QA69 05/24/18 08/26/25    100.000     0.000     4.1042     67.38   0.119976   0.122439   0.124951   0.127515  0.130132     44.26    46.09
GS Finance Corp.         40055QAB8 06/04/18 06/13/25    100.000     0.000     3.9400     63.41   0.116155   0.118443   0.120777   0.123156  0.125582     42.31    43.99
GS Finance Corp.         40055QAD4 06/04/18 06/13/25*   100.000     0.000     3.9400     63.41   0.116155   0.118443                                     19.05*        
GS Finance Corp.         40055QAH5 05/31/18 05/27/21    100.000     0.000     3.2181     51.96   0.093751   0.095260   0.096793                          34.13    14.13
GS Finance Corp.         40055QAJ1 05/31/18 05/28/21    100.000     0.000     3.2182     51.96   0.093763   0.095271   0.096804                          34.13    14.23
GS Finance Corp.         40055QAK8 05/31/18 06/12/25    100.000     0.000     3.8600     62.55   0.113697   0.115892   0.118128   0.120408  0.122732     41.41    43.02
GS Finance Corp.         40055QAR3 06/15/18 06/26/25    100.000     0.000     4.0700     64.22   0.120248   0.122695   0.125192   0.127740  0.130339     43.75    45.55
GS Finance Corp.         40055QAS1 06/15/18 06/26/25    100.000     0.000     4.0700     64.22   0.120248   0.122695   0.125192   0.127740  0.130339     43.75    45.55
GS Finance Corp.         40055QAU6 06/15/18 06/26/25    100.000     0.000     4.0700     64.22   0.120248   0.122695   0.125192   0.127740  0.130339     43.75    45.55
GS Finance Corp.         40055QAV4 06/15/18 06/26/25    100.000     0.000     4.0700     64.22   0.120248   0.122695   0.125192   0.127740  0.130339     43.75    45.55
GS Finance Corp.         40055QAZ5 06/01/18 06/12/25    100.000     0.000     3.8600     62.43   0.113685   0.115879   0.118116   0.120395  0.122719     41.41    43.02
GS Finance Corp.         40055QB84 06/29/18 07/11/25    100.000     0.000     4.0800     62.72   0.118166   0.120577   0.123037   0.125547  0.128108     43.80    45.61
GS Finance Corp.         40055QB92 06/29/18 07/11/25    100.000     0.000     4.0800     62.72   0.118166   0.120577   0.123037   0.125547  0.128108     43.80    45.61
GS Finance Corp.         40055QBA9 06/29/18 07/11/25    100.000     0.000     4.0800     62.72   0.118166   0.120577   0.123037   0.125547  0.128108     43.80    45.61
GS Finance Corp.         40055QBB7 06/29/18 07/11/25    100.000     0.000     4.0800     62.72   0.118166   0.120577   0.123037   0.125547  0.128108     43.80    45.61
GS Finance Corp.         40055QBF8 06/29/18 07/01/25    100.000     0.000     4.1000     63.01   0.121067   0.123549   0.126081   0.128666               44.03    45.85
GS Finance Corp.         40055QBG6 06/29/18 07/03/23    100.000     0.000     3.7800     58.00   0.109053   0.111114   0.113214   0.115354  0.117534     40.37    41.91
GS Finance Corp.         40055QBK7 06/08/18 10/08/26    100.000     0.000     4.1144     65.87   0.120672   0.123154   0.125688   0.128273  0.130912     44.30    46.15
GS Finance Corp.         40055QBU5 06/29/18 07/01/24    100.000     0.000     3.9250     60.27   0.115597   0.117866   0.120179   0.122538               42.02    43.69
GS Finance Corp.         40055QC42 06/29/18 07/01/26    100.000     0.000     4.1733     64.16   0.123364   0.125938   0.128566   0.131249               44.87    46.77
GS Finance Corp.         40055QC59 06/05/18 06/13/28    100.000     0.000     4.2300     68.06   0.125231   0.127880   0.130584   0.133346  0.136166     45.66    47.61
GS Finance Corp.         40055QCH3 06/29/18 07/11/28    100.000     0.000     4.3600     67.12   0.126633   0.129394   0.132215   0.135097  0.138042     47.03    49.11
GS Finance Corp.         40055QCJ9 06/29/18 07/11/28    100.000     0.000     4.3600     67.12   0.126633   0.129394   0.132215   0.135097  0.138042     47.03    49.11
GS Finance Corp.         40055QCK6 06/29/18 07/11/28*   100.000     0.000     4.3600     67.12   0.126633                                                 1.14*        
GS Finance Corp.         40055QCL4 06/29/18 07/11/25*   100.000     0.000     4.0800     62.72   0.118166   0.120577                                     22.76*        
GS Finance Corp.         40055QCM2 06/29/18 03/30/23    100.000     0.000     3.7238     57.21   0.108336   0.110353   0.112408   0.114501  0.116632     39.73    41.23
GS Finance Corp.         40055QCN0 06/29/18 12/31/25    100.000     0.000     4.1267     63.43   0.121889   0.124404   0.126970   0.129590  0.132264     44.34    46.19
GS Finance Corp.         40055QCQ3 06/29/18 03/31/21    100.000     0.000     3.1168     47.73   0.090002   0.091405   0.092829                          32.91     8.26
GS Finance Corp.         40055QCS9 06/29/18 03/31/25    100.000     0.000     4.0414     62.20   0.118036   0.120421   0.122855   0.125337  0.127870     43.36    45.13
GS Finance Corp.         40055QCU4 06/29/18 07/11/25    100.000     0.000     4.0800     62.72   0.118166   0.120577   0.123037   0.125547  0.128108     43.80    45.61
GS Finance Corp.         40055QCV2 06/29/18 06/29/23    100.000     0.000     3.7700     57.84   0.110756   0.112844   0.114971   0.117138  0.119347     40.26    41.79
GS Finance Corp.         40055QCW0 06/29/18 06/29/23    100.000     0.000     3.7700     57.84   0.110756   0.112844   0.114971   0.117138  0.119347     40.26    41.79
GS Finance Corp.         40055QDU3 06/29/18 07/11/28    100.000     0.000     4.3600     67.12   0.126633   0.129394   0.132215   0.135097  0.138042     47.03    49.11
GS Finance Corp.         40055QE24 06/20/18 09/18/20    100.000     0.000     2.4557     38.10   0.070320   0.071183                                     18.23         
GS Finance Corp.         40055QE40 06/29/18 12/29/23    100.000     0.000     3.7950     58.24   0.111533   0.113649   0.115805   0.118003  0.120242     40.54    42.09
GS Finance Corp.         40055QE81 06/20/18 03/22/21    100.000     1.000     3.1243     48.35   0.089572   0.090537   0.091517                          32.45     7.41
GS Finance Corp.         40055QEC2 07/05/18 07/02/20    100.000     0.000     2.3698     35.70   0.067383   0.068182                                     12.34         
GS Finance Corp.         40055QED0 07/05/18 07/05/23    100.000     0.000     3.7500     56.88   0.108111   0.110138   0.112203   0.114307  0.116450     40.00    41.52
GS Finance Corp.         40055QEJ7 07/05/18 10/04/21    100.000     0.000     3.4201     51.86   0.099110   0.100804   0.102528   0.104281               36.28    28.31
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055QEK4 07/05/18 07/18/23    100.000     0.000     3.7500     56.90   0.108257   0.110287   0.112354   0.114461  0.116607     40.01    41.52
GS Finance Corp.         40055QEU2 07/06/18 07/18/23    100.000     0.000     3.7600     56.95   0.108545   0.110586   0.112665   0.114783  0.116941     40.11    41.64
GS Finance Corp.         40055QFR8 06/20/18 06/18/21    100.000     0.000     3.3057     51.47   0.096436   0.098029   0.099650                          35.05    16.64
GS Finance Corp.         40055QFW7 06/29/18 07/10/26*   100.000     0.000     4.1733     64.18   0.120968                                                 1.09*        
GS Finance Corp.         40055QFZ0 06/27/18 07/11/28    100.000     0.000     4.3800     67.69   0.127270   0.130057   0.132905   0.135816  0.138790     47.28    49.37
GS Finance Corp.         40055QGB2 06/29/18 12/31/25    100.000     0.000     4.1267     63.43   0.121889   0.124404   0.126970   0.129590  0.132264     44.34    46.19
GS Finance Corp.         40055QGE6 06/27/18 06/27/23    100.000     5.000     3.5005     52.50   0.096505   0.097056   0.097430   0.097637  0.097698     34.84    35.11
GS Finance Corp.         40055QGV8 07/17/18 07/28/25    100.000     0.000     4.0100     59.53   0.116042   0.118368   0.120741   0.123162  0.125632     42.91    44.65
GS Finance Corp.         40055QGW6 07/17/18 07/28/25    100.000     0.000     4.0100     59.53   0.116042   0.118368   0.120741   0.123162  0.125632     42.91    44.65
GS Finance Corp.         40055QGX4 07/17/18 07/28/25    100.000     0.000     4.0100     59.53   0.116042   0.118368   0.120741   0.123162  0.125632     42.91    44.65
GS Finance Corp.         40055QGY2 07/17/18 07/28/25    100.000     0.000     4.0100     59.53   0.116042   0.118368   0.120741   0.123162  0.125632     42.91    44.65
GS Finance Corp.         40055QHK1 06/28/18 07/10/25    100.000     0.000     4.0800     62.84   0.118166   0.120577   0.123037   0.125547  0.128108     43.81    45.61
GS Finance Corp.         40055QJ52 07/31/18 07/30/26    100.000     0.000     4.1364     59.87   0.119703   0.122179   0.124706   0.127285  0.129917     44.29    46.15
GS Finance Corp.         40055QJ60 07/31/18 07/31/24    100.000     0.000     3.9250     56.75   0.113350   0.115574   0.117843   0.120155  0.122513     41.88    43.54
GS Finance Corp.         40055QK68 08/06/18 08/04/23    100.000     0.000     3.7554     53.61   0.108249   0.110281   0.112352   0.114462  0.116611     39.94    41.45
GS Finance Corp.         40055QKC5 07/27/18 08/23/23    100.000     0.000     3.7600     54.69   0.108703   0.110746   0.112828   0.114949  0.117110     40.03    41.55
GS Finance Corp.         40055QKF8 07/17/18 07/26/28    100.000     0.000     4.2500     63.16   0.123256   0.125876   0.128551   0.131282  0.134072     45.66    47.63
GS Finance Corp.         40055QKK7 07/27/18 08/25/25    100.000     0.000     4.0300     58.69   0.116866   0.119221   0.121623   0.124073  0.126574     43.09    44.85
GS Finance Corp.         40055QKV3 07/31/18 04/29/21    100.000     0.000     3.0668     44.21   0.088488   0.089845   0.091223                          32.27    10.76
GS Finance Corp.         40055QKW1 07/31/18 05/01/25    100.000     0.000     4.0263     58.31   0.117573   0.119940   0.122355   0.124818  0.127330     43.04    44.79
GS Finance Corp.         40055QKX9 07/31/18 05/01/23    100.000     0.000     3.7275     53.91   0.108451   0.110472   0.112531   0.114628  0.116765     39.65    41.14
GS Finance Corp.         40055QKY7 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QKZ4 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QL26 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QL75 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QLC4 07/31/18 01/29/26    100.000     0.000     4.0947     59.25   0.118434   0.120858   0.123333   0.125858  0.128435     43.82    45.63
GS Finance Corp.         40055QLD2 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QLG5 07/31/18 08/09/28    100.000     0.000     4.3100     62.45   0.125073   0.127768   0.130522   0.133335  0.136208     46.29    48.30
GS Finance Corp.         40055QLH3 07/31/18 08/09/28    100.000     0.000     4.3100     62.45   0.125073   0.127768   0.130522   0.133335  0.136208     46.29    48.30
GS Finance Corp.         40055QLJ9 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QLK6 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QLN0 08/06/18 08/15/23    100.000     0.000     3.8000     54.27   0.109707   0.111792   0.113916   0.116080  0.118286     40.44    41.99
GS Finance Corp.         40055QLQ3 08/03/18 08/03/23    100.000     0.000     3.7700     54.14   0.108707   0.110756   0.112844   0.114971  0.117138     40.12    41.64
GS Finance Corp.         40055QLS9 08/03/18 11/03/21    100.000     0.000     3.4639     49.73   0.100443   0.102182   0.103952   0.105752               36.68    31.72
GS Finance Corp.         40055QLZ3 08/03/18 08/05/20    100.000     0.000     2.4101     34.40   0.068579   0.069405                                     14.82         
GS Finance Corp.         40055QM66 07/31/18 08/02/21    100.000     0.000     3.4500     49.77   0.099187   0.100898   0.102639   0.104409               36.53    21.98
GS Finance Corp.         40055QMJ8 07/31/18 08/11/25    100.000     0.000     4.0600     58.76   0.117550   0.119936   0.122371   0.124855  0.127390     43.42    45.20
GS Finance Corp.         40055QMS8 07/17/18 01/12/21    100.000     1.200     2.7520     40.36   0.077611   0.078220   0.078838                          28.26     0.87
GS Finance Corp.         40055QMW9 07/27/18 07/29/25    100.000     0.000     4.0300     58.65   0.116526   0.118874   0.121269   0.123713  0.126206     43.09    44.85
GS Finance Corp.         40055QNJ7 07/31/18 08/12/25    100.000     0.000     4.0601     58.76   0.117563   0.119950   0.122385   0.124869  0.127404     43.42    45.20
GS Finance Corp.         40055QNS7 08/16/18 08/27/25    100.000     0.000     3.9600     55.45   0.114536   0.116804   0.119117   0.121475  0.123881     42.21    43.90
GS Finance Corp.         40055QPA4 08/31/18 09/07/21    100.000     0.000     3.3700     45.70   0.096856   0.098488   0.100147   0.101835               35.54    24.94
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055QPB2 08/31/18 09/02/26    100.000     0.000     4.0567     55.17   0.117329   0.119709   0.122137   0.124614  0.127142     43.24    45.01
GS Finance Corp.         40055QPC0 08/31/18 09/03/24    100.000     0.000     3.8250     51.97   0.110389   0.112500   0.114652   0.116844  0.119079     40.62    42.19
GS Finance Corp.         40055QQ96 08/31/18 09/20/23    100.000     0.000     3.6399     49.44   0.105035   0.106946   0.108893   0.110874  0.112892     38.55    39.96
GS Finance Corp.         40055QQB1 08/31/18 09/22/25    100.000     0.000     3.9200     53.31   0.113471   0.115696   0.117963   0.120275  0.122633     41.69    43.35
GS Finance Corp.         40055QR20 08/14/18 08/14/21    100.000    VARIES     3.0409     41.84   0.083865   0.084289   0.084521   0.084574               30.36    18.86
GS Finance Corp.         40055QR61 08/31/18 06/03/21    100.000     0.000     3.0618     41.48   0.088369   0.089722   0.091095                          32.13    13.85
GS Finance Corp.         40055QR79 08/31/18 06/02/23    100.000     0.000     3.6500     49.58   0.106103   0.108039   0.110011   0.112019  0.114063     38.66    40.08
GS Finance Corp.         40055QR87 08/31/18 06/02/25    100.000     0.000     3.8963     52.99   0.113609   0.115822   0.118078   0.120379  0.122724     41.43    43.06
GS Finance Corp.         40055QR95 08/31/18 03/04/26    100.000     0.000     4.0083     54.51   0.115901   0.118224   0.120593   0.123010  0.125475     42.69    44.42
GS Finance Corp.         40055QRD6 08/16/18 08/12/20    100.000     0.000     2.4100     33.50   0.068548   0.069374                                     15.30         
GS Finance Corp.         40055QRL8 08/08/18 08/05/21    100.000     0.000     3.2862     46.62   0.094284   0.095833   0.097408   0.099008               34.68    21.13
GS Finance Corp.         40055QRR5 08/31/18 09/12/25    100.000     0.000     3.9600     53.85   0.114551   0.116819   0.119132   0.121491  0.123896     42.15    43.83
GS Finance Corp.         40055QRV6 08/08/18 08/19/25*   100.000     0.000     4.0000     56.95   0.115741   0.118056                                     26.81*        
GS Finance Corp.         40055QRY0 08/31/18 09/12/25    100.000     0.000     3.9600     53.85   0.114551   0.116819   0.119132   0.121491  0.123896     42.15    43.83
GS Finance Corp.         40055QRZ7 08/31/18 09/12/25    100.000     0.000     3.9600     53.85   0.114551   0.116819   0.119132   0.121491  0.123896     42.15    43.83
GS Finance Corp.         40055QS29 08/31/18 09/12/25    100.000     0.000     3.9600     53.85   0.114551   0.116819   0.119132   0.121491  0.123896     42.15    43.83
GS Finance Corp.         40055QS78 08/31/18 09/12/28    100.000     0.000     4.2500     57.87   0.123300   0.125920   0.128596   0.131329  0.134120     45.44    47.39
GS Finance Corp.         40055QS94 09/07/18 09/08/23    100.000     0.000     3.7000     49.50   0.106627   0.108599   0.110609   0.112655  0.114739     39.19    40.65
GS Finance Corp.         40055QSB9 08/08/18 02/06/26    100.000     0.000     4.0319     57.39   0.116532   0.118881   0.121278   0.123723  0.126217     43.06    44.82
GS Finance Corp.         40055QSC7 08/08/18 02/06/26    100.000     0.000     4.0319     57.39   0.116532   0.118881   0.121278   0.123723  0.126217     43.06    44.82
GS Finance Corp.         40055QSF0 09/06/18 09/03/21    100.000     0.000     3.2375     43.32   0.092842   0.094345   0.095872   0.097424               34.05    23.48
GS Finance Corp.         40055QSN3 09/06/18 09/06/23    100.000     0.000     3.6500     48.92   0.105123   0.107041   0.108995   0.110984  0.113009     38.63    40.06
GS Finance Corp.         40055QSR4 09/06/18 09/03/20    100.000     0.000     2.4899     33.21   0.070882   0.071764                                     17.31         
GS Finance Corp.         40055QSU7 08/09/18 08/13/25    100.000     0.000     3.9699     56.39   0.114748   0.117026   0.119349   0.121718  0.124134     42.35    44.05
GS Finance Corp.         40055QSZ6 08/13/18 02/12/20    100.000     0.000     2.4094     33.70   0.068546                                                 2.81         
GS Finance Corp.         40055QTG7 09/04/18 09/08/25    100.000     0.000     3.9400     53.11   0.113848   0.116091   0.118378   0.120710  0.123088     41.90    43.57
GS Finance Corp.         40055QU67 09/05/18 01/03/20    100.000     0.000     2.4899     33.28   0.070597                                                 0.14         
GS Finance Corp.         40055QU83 08/30/18 03/03/22    100.000     0.000     3.4200     46.39   0.098305   0.099986   0.101696   0.103435  0.105204     36.09    37.34
GS Finance Corp.         40055QUP5 09/19/18 09/30/25    100.000     0.000     4.0500     52.87   0.117247   0.119621   0.122043   0.124515  0.127036     43.07    44.83
GS Finance Corp.         40055QUQ3 09/19/18 09/30/25    100.000     0.000     4.0500     52.87   0.117247   0.119621   0.122043   0.124515  0.127036     43.07    44.83
GS Finance Corp.         40055QUR1 09/19/18 09/30/25    100.000     0.000     4.0500     52.87   0.117247   0.119621   0.122043   0.124515  0.127036     43.07    44.83
GS Finance Corp.         40055QUU4 09/28/18 10/09/25    100.000     0.000     4.1100     52.59   0.119055   0.121502   0.123998   0.126547  0.129147     43.71    45.52
GS Finance Corp.         40055QUW0 09/28/18 10/09/25    100.000     0.000     4.1100     52.59   0.119055   0.121502   0.123998   0.126547  0.129147     43.71    45.52
GS Finance Corp.         40055QUY6 09/28/18 10/09/25    100.000     0.000     4.1100     52.59   0.119055   0.121502   0.123998   0.126547  0.129147     43.71    45.52
GS Finance Corp.         40055QUZ3 09/28/18 10/09/25    100.000     0.000     4.1100     52.59   0.119055   0.121502   0.123998   0.126547  0.129147     43.71    45.52
GS Finance Corp.         40055QV58 09/04/18 09/04/25    100.000     0.000     3.9600     53.38   0.114399   0.116664   0.118974   0.121329  0.123732     42.13    43.81
GS Finance Corp.         40055QV90 09/28/18 10/09/25    100.000     0.000     4.1100     52.59   0.119055   0.121502   0.123998   0.126547  0.129147     43.71    45.52
GS Finance Corp.         40055QVB5 09/04/18 09/06/23    100.000     0.000     3.6999     49.82   0.106636   0.108609   0.110618   0.112664  0.114749     39.20    40.67
GS Finance Corp.         40055QVC3 09/28/18 10/10/28    100.000     0.000     4.3700     55.98   0.126936   0.129709   0.132543   0.135439  0.138399     46.65    48.71
GS Finance Corp.         40055QVY5 09/28/18 10/04/21    100.000     0.000     3.5401     45.19   0.101908   0.103712   0.105547   0.107416               37.33    29.15
GS Finance Corp.         40055QWN8 09/28/18 09/30/24    100.000     0.000     3.9849     50.96   0.115174   0.117468   0.119809   0.122196  0.124631     42.30    44.00
GS Finance Corp.         40055QWR9 09/28/18 09/30/26    100.000     0.000     4.1967     53.71   0.121546   0.124097   0.126700   0.129359  0.132073     44.68    46.58
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055QX64 10/04/18 04/06/21    100.000     0.000     2.9167     36.64   0.083414   0.084630   0.085864                          30.46     8.16
GS Finance Corp.         40055QXN7 09/10/18 09/19/25    100.000     0.000     3.9900     53.11   0.115415   0.117718   0.120066   0.122461  0.124905     42.44    44.15
GS Finance Corp.         40055QXT4 10/03/18 10/01/21    100.000     0.000     3.4028     42.92   0.097748   0.099411   0.101102   0.102822               35.79    27.61
GS Finance Corp.         40055QXX5 09/28/18 06/30/25    100.000     0.000     4.0788     52.18   0.119198   0.121629   0.124110   0.126641  0.129223     43.35    45.14
GS Finance Corp.         40055QXZ0 09/28/18 06/30/21    100.000     0.000     3.2451     41.37   0.093861   0.095384   0.096932                          34.07    17.35
GS Finance Corp.         40055QY48 09/28/18 06/29/23    100.000     0.000     3.8199     48.81   0.111265   0.113390   0.115556   0.117763  0.120012     40.45    42.01
GS Finance Corp.         40055QY55 10/03/18 10/01/20    100.000     0.000     2.5299     31.80   0.072054   0.072965                                     19.62         
GS Finance Corp.         40055QY63 10/03/18 10/03/23    100.000     0.000     3.8100     48.13   0.109905   0.111998   0.114132   0.116306  0.118522     40.31    41.87
GS Finance Corp.         40055QYA4 10/03/18 10/17/23    100.000     0.000     3.8100     48.15   0.110068   0.112165   0.114301   0.116479  0.118698     40.32    41.87
GS Finance Corp.         40055QYQ9 09/14/18 03/16/21    100.000     0.000     2.8918     37.97   0.082682   0.083878   0.085091                          30.23     6.38
GS Finance Corp.         40055QZU9 10/09/18 11/04/20    100.000     0.000     2.5302     31.38   0.072199   0.073113                                     22.04         
GS Finance Corp.         40056E3E6 10/31/18 10/29/21    100.000     0.000     3.4612     40.98   0.099493   0.101215   0.102966   0.104748               36.34    31.00
GS Finance Corp.         40056E3F3 10/31/18 10/29/26    100.000     0.000     4.2586     50.57   0.123371   0.125998   0.128680   0.131420  0.134219     45.22    47.16
GS Finance Corp.         40056E3G1 10/31/18 10/31/24    100.000     0.000     4.0300     47.81   0.116501   0.118848   0.121243   0.123686  0.126178     42.65    44.39
GS Finance Corp.         40056E4Q8 10/05/18 10/05/30*   100.000    VARIES     3.3003     40.25   0.088022   0.088922                                     24.28*        
GS Finance Corp.         40056E4U9 10/31/18 07/29/21    100.000     0.000     3.1646     37.45   0.089994   0.091418   0.092865   0.094334               33.09    19.58
GS Finance Corp.         40056E4V7 10/31/18 07/31/23    100.000     0.000     3.8487     45.66   0.110013   0.112130   0.114288   0.116487  0.118729     40.63    42.21
GS Finance Corp.         40056E4W5 10/31/18 04/30/26    100.000     0.000     4.2103     49.98   0.121928   0.124495   0.127116   0.129792  0.132524     44.67    46.57
GS Finance Corp.         40056E4X3 10/31/18 07/31/25    100.000     0.000     4.1350     49.11   0.118448   0.120897   0.123397   0.125948  0.128552     43.83    45.66
GS Finance Corp.         40056E5Q7 11/06/18 05/06/21    100.000     0.000     3.0168     35.14   0.086347   0.087650   0.088972                          31.46    11.12
GS Finance Corp.         40056E6A1 11/05/18 11/05/20    100.000     0.000     2.6801     31.26   0.076457   0.077482                                     23.43         
GS Finance Corp.         40056E6K9 11/05/18 11/04/21    100.000     0.000     3.5292     41.29   0.101513   0.103304   0.105127   0.106982               37.07    32.19
GS Finance Corp.         40056E6S2 10/31/18 11/12/25    100.000     0.000     4.1700     49.51   0.120881   0.123401   0.125974   0.128601  0.131282     44.22    46.08
GS Finance Corp.         40056E6W3 11/05/18 11/03/23    100.000     0.000     3.9463     46.24   0.113965   0.116213   0.118506   0.120845  0.123229     41.70    43.36
GS Finance Corp.         40056EA24 10/30/18 11/10/25*   100.000     0.000     4.2200     50.11   0.122364   0.124946                                     38.15*        
GS Finance Corp.         40056EA32 10/12/18 10/24/25    100.000     0.000     4.2199     52.31   0.122392   0.124974   0.127611   0.130303  0.133053     44.88    46.79
GS Finance Corp.         40056EA65 10/24/18 10/20/21*   100.000     0.000     3.5292     42.41   0.101484                                                 8.42*        
GS Finance Corp.         40056EA81 10/29/18 04/28/22    100.000     0.000     3.6667     43.55   0.105612   0.107548   0.109520   0.111528  0.113572     38.61    40.04
GS Finance Corp.         40056EAL2 09/28/18 09/28/23    100.000     0.000     3.8299     48.94   0.110501   0.112617   0.114773   0.116971  0.119211     40.56    42.13
GS Finance Corp.         40056EAS7 10/17/18 10/15/20    100.000     0.000     2.5299     30.79   0.072054   0.072965                                     20.63         
GS Finance Corp.         40056EB49 10/24/18 10/22/21    100.000     0.000     3.5584     42.76   0.102374   0.104196   0.106050   0.107937               37.44    31.20
GS Finance Corp.         40056EB72 10/22/18 10/21/21    100.000     0.000     3.5292     42.61   0.101513   0.103304   0.105127   0.106982               37.12    30.82
GS Finance Corp.         40056EBC1 10/23/18 11/02/26*   100.000     0.000     4.3200     52.19   0.125376   0.128084                                     38.23*        
GS Finance Corp.         40056EBM9 10/24/18 10/21/21    100.000     0.000     3.5584     42.76   0.102363   0.104184   0.106037   0.107924               37.44    31.09
GS Finance Corp.         40056EBW7 11/07/18 05/06/21    100.000     0.000     2.9564     34.35   0.084561   0.085811   0.087079                          30.81    10.88
GS Finance Corp.         40056EEG9 11/30/18 12/02/26    100.000     0.000     4.4667     49.19   0.129711   0.132608   0.135570   0.138597  0.141693     47.39    49.53
GS Finance Corp.         40056EEH7 11/30/18 12/02/21    100.000     0.000     3.7900     41.65   0.109328   0.111400   0.113511   0.115662               39.85    37.96
GS Finance Corp.         40056EEJ3 11/30/18 12/03/24    100.000     0.000     4.2600     46.88   0.123471   0.126101   0.128787   0.131530  0.134332     45.07    47.01
GS Finance Corp.         40056EEQ7 11/30/18 08/31/23    100.000     0.000     4.0588     44.70   0.116199   0.118544   0.120963   0.123390  0.125922     42.83    44.59
GS Finance Corp.         40056EER5 11/30/18 09/01/21    100.000     0.000     3.4558     37.99   0.098507   0.100209   0.101940   0.103702               36.18    24.78
GS Finance Corp.         40056EES3 11/30/18 09/02/25    100.000     0.000     4.3363     47.81   0.124428   0.127125   0.129882   0.132698  0.135575     45.93    47.94
GS Finance Corp.         40056EET1 11/30/18 06/01/26    100.000     0.000     4.4283     48.76   0.128531   0.131377   0.134286   0.137259  0.140298     46.96    49.06
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056EFT0 12/05/18 12/03/21    100.000     0.000     3.7236     40.38   0.107297   0.109295   0.111330   0.113403               39.10    37.33
GS Finance Corp.         40056EFW3 12/05/18 12/03/20    100.000     0.000     2.7401     29.62   0.078202   0.079273                                     26.16         
GS Finance Corp.         40056EFX1 12/05/18 12/05/23    100.000     0.000     4.1700     45.27   0.120713   0.123230   0.125800   0.128423  0.131100     44.04    45.90
GS Finance Corp.         40056EGA0 11/30/18 11/30/28    100.000     0.000     4.6200     50.90   0.134332   0.137435   0.140610   0.143858  0.147181     49.11    51.41
GS Finance Corp.         40056EGG7 11/29/18 06/01/22    100.000     0.000     3.8525     42.45   0.111201   0.113343   0.115526   0.117751  0.120020     40.55    42.12
GS Finance Corp.         40056EGW2 11/20/18 11/18/21    100.000     0.000     3.5875     40.43   0.103239   0.105091   0.106976   0.108895               37.66    34.26
GS Finance Corp.         40056EJ41 12/27/18 01/10/29*   100.000     0.000     4.7400     48.54   0.135017                                                 0.95*        
GS Finance Corp.         40056EJ66 12/27/18 01/08/26*   100.000     0.000     4.6100     47.19   0.131192                                                 0.92*        
GS Finance Corp.         40056EJ74 12/27/18 01/08/26*   100.000     0.000     4.6100     47.19   0.131192                                                 0.92*        
GS Finance Corp.         40056EJ82 12/27/18 01/08/26*   100.000     0.000     4.6100     47.19   0.131192                                                 0.92*        
GS Finance Corp.         40056EJA7 12/27/18 01/10/29*   100.000     0.000     4.7400     48.54   0.135017                                                 0.95*        
GS Finance Corp.         40056EJD1 01/03/19 12/31/21    100.000     0.000     3.7624     37.77   0.108446   0.110486   0.112564   0.114682               39.41    40.79
GS Finance Corp.         40056EJE9 01/03/19 01/17/24*   100.000     0.000     4.2401     42.64   0.120475                                                 1.57*        
GS Finance Corp.         40056EJF6 12/05/18 12/02/20    100.000     0.000     2.7401     29.62   0.078195   0.079266                                     26.08         
GS Finance Corp.         40056EJQ2 12/28/18 12/27/24    100.000     0.000     4.4909     45.81   0.130395   0.133323   0.136317   0.139378  0.142507     47.49    49.65
GS Finance Corp.         40056EJS8 12/06/18 12/08/22    100.000     0.000     4.0067     43.36   0.115828   0.118149   0.120516   0.122930  0.125393     42.22    43.93
GS Finance Corp.         40056EK23 12/28/18 12/24/21    100.000     0.000     3.9180     39.91   0.113091   0.115307   0.117566   0.119869               41.14    41.92
GS Finance Corp.         40056EKC1 12/27/18 12/27/28    100.000     0.000     4.7400     48.51   0.137982   0.141252   0.144600   0.148027  0.151535     50.29    52.70
GS Finance Corp.         40056EKK3 12/27/18 09/24/21    100.000     0.000     3.5734     36.54   0.101907   0.103728   0.105581   0.107468               37.37    28.11
GS Finance Corp.         40056EKL1 12/27/18 09/26/23    100.000     0.000     4.3301     44.39   0.124200   0.126889   0.129636   0.132442  0.135310     45.71    47.71
GS Finance Corp.         40056EKM9 12/27/18 09/25/25    100.000     0.000     4.5267     46.43   0.130012   0.132954   0.135964   0.139041  0.142188     47.91    50.10
GS Finance Corp.         40056EKN7 12/27/18 06/25/26    100.000     0.000     4.5781     46.84   0.133026   0.136071   0.139185   0.142372  0.145631     48.47    50.72
GS Finance Corp.         40056EKV9 12/31/18 01/10/24*   100.000     0.000     4.3901     44.53   0.124775   0.127514                                      1.76*        
GS Finance Corp.         40056EKW7 12/31/18 01/15/26*   100.000     0.000     4.6101     46.80   0.131260                                                 1.84*        
GS Finance Corp.         40056ELD8 12/27/18 01/08/26*   100.000     0.000     4.6100     47.19   0.131192                                                 0.92*        
GS Finance Corp.         40056ELK2 12/27/18 01/08/26*   100.000     0.000     4.6100     47.19   0.131192                                                 0.92*        
GS Finance Corp.         40056ELR7 12/27/18 01/08/26*   100.000     0.000     4.6100     47.19   0.131192                                                 0.92*        
GS Finance Corp.         40056ELS5 12/27/18 01/10/29*   100.000     0.000     4.7400     48.54   0.135017                                                 0.95*        
GS Finance Corp.         40056ELT3 01/03/19 12/31/20    100.000     0.000     2.7000     27.03   0.077023   0.078063                                     27.84         
GS Finance Corp.         40056ELW6 01/03/19 01/17/24*   100.000     0.000     4.2401     42.64   0.120475                                                 1.57*        
GS Finance Corp.         40056EM21 01/03/19 01/03/24    100.000     0.000     4.2400     42.61   0.120274   0.122824   0.125427   0.128087  0.130802     44.67    46.59
GS Finance Corp.         40056EMU9 01/02/19 01/02/24    100.000     0.000     4.3600     43.95   0.123752   0.126450   0.129207   0.132024  0.134902     46.01    48.04
GS Finance Corp.         40056EMX3 12/14/18 12/16/21    100.000     0.000     3.9701     42.05   0.114727   0.117004   0.119327   0.121696               41.78    41.59
GS Finance Corp.         40056EN20 12/14/18 12/16/21    100.000     0.000     3.9701     42.05   0.114727   0.117004   0.119327   0.121696               41.78    41.59
GS Finance Corp.         40056EN87 12/28/18 12/29/20    100.000     0.000     2.7402     27.82   0.078221   0.079293                                     28.20         
GS Finance Corp.         40056ENA2 12/28/18 06/29/20    100.000     0.000     2.7397     27.82   0.078207                                                13.92         
GS Finance Corp.         40056ENM6 12/28/18 12/24/21    100.000     1.250     3.8908     39.50   0.110911   0.112393   0.113904   0.115444               40.22    40.49
GS Finance Corp.         40056ENN4 01/16/19 01/28/26*   100.000     0.000     4.3700     42.34   0.124221                                                 3.35*        
GS Finance Corp.         40056ENP9 01/16/19 01/28/26*   100.000     0.000     4.3700     42.34   0.124221                                                 3.35*        
GS Finance Corp.         40056ENQ7 01/16/19 01/28/26*   100.000     0.000     4.3700     42.34   0.124221                                                 3.35*        
GS Finance Corp.         40056ENR5 01/16/19 01/28/26*   100.000     0.000     4.3700     42.34   0.124221                                                 3.35*        
GS Finance Corp.         40056ENS3 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056ENT1 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056ENU8 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056ENV6 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056ENW4 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056ENX2 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056ENY0 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056ENZ7 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
Goldman Sachs Group, Inc 40056EP28 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056EP36 01/31/19 02/11/26*   100.000     0.000     4.0600     37.70   0.115211                                                 4.61*        
GS Finance Corp.         40056EP77 01/31/19 02/12/29*   100.000     0.000     4.2900     39.85   0.121898                                                 4.88*        
GS Finance Corp.         40056EP85 01/31/19 02/12/29*   100.000     0.000     4.2900     39.85   0.121898                                                 4.88*        
GS Finance Corp.         40056EP93 01/31/19 02/12/29*   100.000     0.000     4.2900     39.85   0.121898                                                 4.88*        
GS Finance Corp.         40056EPF9 01/31/19 02/02/27    100.000     0.000     4.1367     38.40   0.117313   0.119739   0.122216   0.124744  0.127324     43.40    45.21
GS Finance Corp.         40056EPG7 01/31/19 01/31/25    100.000     0.000     3.9350     36.50   0.111456   0.113649   0.115885   0.118165  0.120490     41.19    42.82
GS Finance Corp.         40056EPQ5 01/31/19 02/02/22    100.000     0.000     3.5001     32.44   0.098944   0.100676   0.102438   0.104231  0.106055     36.45    37.74
GS Finance Corp.         40056EQK7 01/31/19 11/02/21    100.000     0.000     3.2268     29.93   0.091832   0.093313   0.094819   0.096349               33.50    28.82
GS Finance Corp.         40056EQL5 01/31/19 07/31/26    100.000     0.000     4.1350     38.38   0.117236   0.119660   0.122134   0.124659  0.127236     43.38    45.19
GS Finance Corp.         40056EQM3 01/31/19 11/02/23    100.000     0.000     3.8087     35.39   0.108862   0.110935   0.113048   0.115201  0.117395     39.81    41.34
GS Finance Corp.         40056EQN1 01/31/19 10/31/25    100.000     0.000     4.0688     37.83   0.116496   0.118866   0.121284   0.123752  0.126269     42.66    44.41
GS Finance Corp.         40056ES33 01/25/19 02/13/26*   100.000     0.000     4.2400     40.00   0.120529   0.123084                                      5.19*        
GS Finance Corp.         40056ES41 01/25/19 02/09/24*   100.000     0.000     3.9900     37.61   0.113221   0.115480                                      4.88*        
GS Finance Corp.         40056ESL3 02/05/19 02/05/24    100.000     0.000     3.5800     32.68   0.101225   0.103037   0.104881   0.106759  0.108670     37.30    38.65
GS Finance Corp.         40056ESM1 02/05/19 02/03/22    100.000     0.000     3.1595     28.81   0.089136   0.090545   0.091975   0.093428  0.094904     32.76    33.81
GS Finance Corp.         40056ESP4 02/05/19 02/14/24*   100.000     0.000     3.5800     32.69   0.101316                                                 4.36*        
GS Finance Corp.         40056ESQ2 02/05/19 02/14/24*   100.000     0.000     3.5800     32.69   0.101316                                                 4.36*        
GS Finance Corp.         40056ESV1 02/05/19 02/04/21    100.000     0.000     2.5500     23.22   0.071731   0.072646   0.073572                          26.26     2.43
GS Finance Corp.         40056ET73 01/16/19 01/29/20    100.000     0.000     2.6996     26.05   0.076076                                                 2.13         
GS Finance Corp.         40056EU22 01/29/19 01/27/22    100.000     0.000     3.4126     31.72   0.096394   0.098039   0.099712   0.101413  0.103144     35.51    36.73
GS Finance Corp.         40056EUB2 02/15/19 02/27/26*   100.000     0.000     3.8900     34.45   0.110300                                                 6.18*        
GS Finance Corp.         40056EUG1 02/15/19 02/27/26*   100.000     0.000     3.8900     34.45   0.110300                                                 6.18*        
GS Finance Corp.         40056EUH9 02/15/19 02/27/26*   100.000     0.000     3.8900     34.45   0.110300                                                 6.18*        
GS Finance Corp.         40056EUJ5 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EUK2 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EUL0 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EUS5 02/22/19 03/11/26*   100.000     0.000     3.8700     33.51   0.109805                                                 7.69*        
GS Finance Corp.         40056EUT3 02/22/19 03/13/24*   100.000     0.000     3.6199     31.33   0.102590                                                 7.18*        
GS Finance Corp.         40056EUU0 02/28/19 11/30/23    100.000     0.000     3.5488     30.11   0.101238   0.103035   0.104863   0.106724  0.108617     36.88    38.20
GS Finance Corp.         40056EUV8 02/28/19 12/01/25    100.000     0.000     3.8350     32.56   0.109645   0.111748   0.113890   0.116074  0.118300     39.98    41.53
GS Finance Corp.         40056EV47 02/28/19 03/02/27    100.000     0.000     3.9567     33.58   0.112131   0.114350   0.116612   0.118919  0.121271     41.30    42.95
GS Finance Corp.         40056EV54 02/28/19 02/28/25    100.000     0.000     3.7301     31.63   0.105545   0.107514   0.109519   0.111562  0.113642     38.84    40.30
GS Finance Corp.         40056EVD7 02/28/19 03/02/22    100.000     0.000     3.2599     27.62   0.092063   0.093564   0.095089   0.096639  0.098214     33.77    34.88
GS Finance Corp.         40056EW61 03/05/19 03/04/24    100.000     0.000     3.5562     29.44   0.100531   0.102319   0.104138   0.105990  0.107874     36.93    38.26
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056EW79 03/05/19 03/04/21    100.000     0.000     2.5500     21.07   0.071731   0.072646   0.073572                          26.20     4.64
GS Finance Corp.         40056EWA2 02/20/19 10/19/21    100.000     0.000     2.8502     24.80   0.080677   0.081827   0.082993   0.084176               29.42    24.11
GS Finance Corp.         40056EWB0 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EWC8 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EWG9 02/28/19 12/01/21    100.000     0.000     2.9884     25.32   0.084901   0.086170   0.087457   0.088764               30.87    29.10
GS Finance Corp.         40056EWH7 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EWJ3 03/05/19 09/06/22    100.000     0.000     3.3375     27.62   0.094264   0.095837   0.097437   0.099063  0.100716     34.58    35.75
GS Finance Corp.         40056EWK0 03/05/19 09/06/22    100.000     0.000     3.3375     27.62   0.094264   0.095837   0.097437   0.099063  0.100716     34.58    35.75
GS Finance Corp.         40056EWM6 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EWN4 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EWS3 03/05/19 03/13/24*   100.000     0.000     3.6000     29.82   0.101882                                                 7.34*        
GS Finance Corp.         40056EWT1 03/05/19 03/13/24    100.000     0.000     3.6000     29.82   0.101882   0.103716   0.105583   0.107483  0.109418     37.41    38.77
GS Finance Corp.         40056EWU8 03/05/19 03/13/24*   100.000     0.000     3.6000     29.82   0.101882                                                 7.34*        
GS Finance Corp.         40056EWV6 02/28/19 03/11/26*   100.000     0.000     3.8700     32.84   0.109732                                                 7.57*        
GS Finance Corp.         40056EWY0 02/28/19 03/12/29*   100.000     0.000     4.1300     35.07   0.117280                                                 8.09*        
GS Finance Corp.         40056EWZ7 02/28/19 03/12/29*   100.000     0.000     4.1300     35.07   0.117280                                                 8.09*        
GS Finance Corp.         40056EXC7 02/21/19 02/18/22    100.000     0.000     3.2181     27.90   0.090806   0.092267   0.093751   0.095260  0.096793     33.34    34.43
GS Finance Corp.         40056EXD5 02/28/19 03/12/29*   100.000     0.000     4.1300     35.07   0.117280                                                 8.09*        
GS Finance Corp.         40056EXH6 02/21/19 03/04/20    100.000     0.000     2.5503     22.09   0.071811                                                 4.52         
GS Finance Corp.         40056EYB8 03/19/19 03/30/26*   100.000     0.000     3.8000     29.98   0.107685                                                 9.58*        
Goldman Sachs Group, Inc 40056EYE2 03/19/19 03/30/26    100.000     0.000     3.8000     29.98   0.107685   0.109731   0.111815   0.113940  0.116105     39.51    41.03
Goldman Sachs Group, Inc 40056EYF9 03/19/19 03/30/26    100.000     0.000     3.8000     29.98   0.107685   0.109731   0.111815   0.113940  0.116105     39.51    41.03
GS Finance Corp.         40056EYS1 03/29/19 03/31/25    100.000     0.000     3.4250     26.03   0.096777   0.098434   0.100120   0.101835  0.103578     35.44    36.67
GS Finance Corp.         40056EYT9 03/29/19 03/31/22    100.000     0.000     2.9501     22.40   0.083162   0.084389   0.085633   0.086896  0.088178     30.38    31.29
GS Finance Corp.         40056EYX0 03/29/19 12/29/23    100.000     0.000     3.2563     24.74   0.092672   0.094181   0.095715   0.097273  0.098857     33.64    34.74
GS Finance Corp.         40056EYY8 03/29/19 12/30/21    100.000     0.000     2.7043     20.53   0.076654   0.077691   0.078741   0.079806               27.78    28.46
GS Finance Corp.         40056EZA9 03/29/19 04/01/27    100.000     0.000     3.6700     27.90   0.103838   0.105743   0.107683   0.109659  0.111672     38.07    39.48
GS Finance Corp.         40056EZB7 03/29/19 12/31/25    100.000     0.000     3.5625     27.08   0.101628   0.103438   0.105281   0.107156  0.109065     36.92    38.24
GS Finance Corp.         40056EZK7 03/29/19 04/09/26    100.000     0.000     3.5700     27.14   0.101037   0.102840   0.104676   0.106544  0.108446     37.00    38.33
GS Finance Corp.         40056EZM3 03/29/19 04/09/26    100.000     0.000     3.5700     27.14   0.101037   0.102840   0.104676   0.106544  0.108446     37.00    38.33
GS Finance Corp.         40056EZP6 03/29/19 04/09/26    100.000     0.000     3.5700     27.14   0.101037   0.102840   0.104676   0.106544  0.108446     37.00    38.33
GS Finance Corp.         40056EZR2 03/29/19 04/09/26    100.000     0.000     3.5700     27.14   0.101037   0.102840   0.104676   0.106544  0.108446     37.00    38.33
GS Finance Corp.         40056EZT8 04/03/19 04/01/21    100.000     0.000     2.4999     18.69   0.070301   0.071180   0.072070                          25.63     6.49
GS Finance Corp.         40056EZU5 04/03/19 04/04/24    100.000     0.000     3.3401     25.00   0.094338   0.095914   0.097516   0.099144  0.100800     34.52    35.68
GS Finance Corp.         40056EZV3 03/29/19 09/30/21    100.000     0.000     2.5302     19.20   0.071177   0.072077   0.072989   0.073912               25.95    19.80
Goldman Sachs Group, Inc 40056EZX9 03/22/19 04/02/26    100.000     0.000     3.7800     29.50   0.107097   0.109121   0.111183   0.113284  0.115425     39.28    40.78
GS Finance Corp.         40056EZY7 03/29/19 04/09/26*   100.000     0.000     3.5700     27.14   0.101037                                                 9.90*        
GS Finance Corp.         40056EZZ4 03/29/19 04/09/26*   100.000     0.000     3.5700     27.14   0.101037                                                 9.90*        
GS Finance Corp.         40056F2A2 03/29/19 04/09/26*   100.000     0.000     3.5700     27.14   0.101037                                                 9.90*        
GS Finance Corp.         40056F2B0 03/29/19 04/09/26*   100.000     0.000     3.5700     27.14   0.101037                                                 9.90*        
GS Finance Corp.         40056F2J3 04/03/19 04/15/24*   100.000     0.000     3.3400     25.01   0.094432                                                 9.63*        
GS Finance Corp.         40056F2M6 04/03/19 04/15/24    100.000     0.000     3.3400     25.01   0.094432   0.096009   0.097613   0.099243  0.100900     34.52    35.68
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056F2N4 04/03/19 04/15/24    100.000     0.000     3.3400     25.01   0.094432   0.096009   0.097613   0.099243  0.100900     34.52    35.68
GS Finance Corp.         40056F2T1 04/03/19 10/04/22    100.000     0.000     3.0851     23.08   0.087026   0.088368   0.089731   0.091115  0.092521     31.81    32.80
GS Finance Corp.         40056F2U8 04/03/19 10/04/22    100.000     0.000     3.0851     23.08   0.087026   0.088368   0.089731   0.091115  0.092521     31.81    32.80
Goldman Sachs Group, Inc 40056F2W4 03/22/19 04/02/26    100.000     0.000     3.7800     29.50   0.107097   0.109121   0.111183   0.113284  0.115425     39.28    40.78
GS Finance Corp.         40056F3J2 03/29/19 11/16/20    100.000     0.000     2.5323     19.23   0.071467   0.072371                                     22.67         
GS Finance Corp.         40056F3T0 03/28/19 03/30/26    100.000     2.000     3.6081     27.44   0.101032   0.101853   0.102688   0.103538  0.104404     36.67    37.28
GS Finance Corp.         40056F3Y9 03/28/19 03/28/24    100.000     0.000     3.3001     25.17   0.093181   0.094719   0.096281   0.097870  0.099485     34.11    35.25
GS Finance Corp.         40056F3Z6 03/28/19 03/30/23    100.000     0.000     3.1250     23.83   0.088177   0.089555   0.090954   0.092375  0.093819     32.24    33.26
GS Finance Corp.         40056F4B8 03/21/19 03/23/20*   100.000     0.000     2.5502     19.93   0.071753                                                 5.45*        
GS Finance Corp.         40056F4C6 03/21/19 10/07/20    100.000     0.000     2.5502     19.93   0.071823   0.072739                                     19.99         
GS Finance Corp.         40056F4D4 03/21/19 03/23/20*   100.000     0.000     2.5502     19.93   0.071753                                                 5.60*        
GS Finance Corp.         40056F4E2 03/26/19 04/06/26    100.000     0.000     3.6900     28.38   0.104499   0.106427   0.108391   0.110391  0.112427     38.30    39.72
GS Finance Corp.         40056F4H5 04/03/19 02/02/23    100.000     0.000     3.1275     23.42   0.087775   0.089147   0.090541   0.091957  0.093395     32.26    33.27
GS Finance Corp.         40056F4J1 03/25/19 03/26/20*   100.000     0.000     2.5298     19.48   0.071166                                                 5.55*        
GS Finance Corp.         40056F5C5 04/22/19 04/30/26*   100.000     0.000     3.6700     25.52   0.103900                                                12.36*        
GS Finance Corp.         40056F5D3 04/22/19 04/30/26    100.000     0.000     3.6700     25.52   0.103900   0.105806   0.107748   0.109725  0.111738     37.98    39.39
GS Finance Corp.         40056F5E1 04/22/19 04/30/26*   100.000     0.000     3.6700     25.52   0.103900                                                12.36*        
GS Finance Corp.         40056F5F8 04/30/19 05/11/26*   100.000     0.000     3.5900     24.15   0.101623                                                13.21*        
GS Finance Corp.         40056F5G6 04/30/19 05/11/26    100.000     0.000     3.5900     24.15   0.101623   0.103448   0.105304   0.107195  0.109119     37.10    38.44
GS Finance Corp.         40056F5L5 04/30/19 04/30/25    100.000     0.000     3.4500     23.20   0.097485   0.099167   0.100877   0.102617  0.104388     35.60    36.84
GS Finance Corp.         40056F6B6 04/30/19 04/28/22    100.000     0.000     2.9263     19.66   0.082463   0.083670   0.084894   0.086136  0.087397     30.06    30.94
GS Finance Corp.         40056F6F7 04/30/19 01/28/22    100.000     0.000     2.6755     17.99   0.074805   0.075806   0.076820   0.077847  0.078889     27.42    28.16
GS Finance Corp.         40056F6L4 04/30/19 10/28/21    100.000     0.000     2.5001     16.79   0.070307   0.071186   0.072076   0.072977               25.58    21.57
GS Finance Corp.         40056F6N0 05/03/19 11/03/21    100.000     0.000     2.4752     16.41   0.069606   0.070467   0.071339   0.072222               25.31    21.70
GS Finance Corp.         40056F6Q3 04/09/19 11/09/20*   100.000     0.000     2.4998     18.27   0.070453                                                 5.92*        
GS Finance Corp.         40056F6R1 04/30/19 01/30/24    100.000     0.000     3.2726     22.02   0.091649   0.093148   0.094672   0.096221  0.097796     33.72    34.83
GS Finance Corp.         40056F6S9 04/30/19 01/29/26    100.000     0.000     3.5433     23.85   0.099288   0.101048   0.102838   0.104660  0.106514     36.60    37.91
GS Finance Corp.         40056F6W0 05/03/19 05/05/21    100.000     0.000     2.3802     15.78   0.066913   0.067710   0.068516                          24.32     8.50
GS Finance Corp.         40056F6X8 05/03/19 05/03/24    100.000     0.000     3.2700     21.70   0.092319   0.093828   0.095362   0.096921  0.098506     33.68    34.79
GS Finance Corp.         40056F6Y6 05/03/19 11/03/22    100.000     0.000     3.0450     20.21   0.085872   0.087180   0.088507   0.089855  0.091223     31.30    32.26
GS Finance Corp.         40056F6Z3 05/03/19 11/03/22    100.000     0.000     3.0450     20.21   0.085872   0.087180   0.088507   0.089855  0.091223     31.30    32.26
GS Finance Corp.         40056F7A7 04/30/19 01/28/22    100.000     0.000     2.6755     17.99   0.074805   0.075806   0.076820   0.077847  0.078889     27.42    28.16
GS Finance Corp.         40056F7H2 05/03/19 05/14/24*   100.000     0.000     3.2699     21.71   0.092409                                                12.29*        
GS Finance Corp.         40056F7M1 04/30/19 05/11/26*   100.000     0.000     3.5900     24.15   0.101623                                                13.21*        
GS Finance Corp.         40056FA21 04/30/19 05/11/26*   100.000     0.000     3.5900     24.15   0.101623                                                13.21*        
GS Finance Corp.         40056FA54 04/30/19 05/11/26*   100.000     0.000     3.5900     24.15   0.101623                                                13.21*        
GS Finance Corp.         40056FA70 04/30/19 05/11/26    100.000     0.000     3.5900     24.15   0.101623   0.103448   0.105304   0.107195  0.109119     37.10    38.44
GS Finance Corp.         40056FA88 04/30/19 05/11/26    100.000     0.000     3.5900     24.15   0.101623   0.103448   0.105304   0.107195  0.109119     37.10    38.44
GS Finance Corp.         40056FA96 05/03/19 05/14/24*   100.000     0.000     3.2699     21.71   0.092409                                                12.29*        
GS Finance Corp.         40056FAB1 05/03/19 05/14/24    100.000     0.000     3.2699     21.71   0.092409   0.093919   0.095455   0.097016  0.098602     33.68    34.79
GS Finance Corp.         40056FAD7 04/30/19 05/11/26*   100.000     0.000     3.5900     24.15   0.101623                                                13.21*        
GS Finance Corp.         40056FAX3 04/11/19 04/11/24    100.000     0.000     3.3601     24.39   0.094903   0.096497   0.098118   0.099767  0.101443     34.71    35.89
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056FAZ8 04/30/19 07/15/20    100.000     0.000     2.5004     16.80   0.069816   0.070689                                     13.70         
GS Finance Corp.         40056FB87 05/06/19 05/04/23    100.000     0.000     3.1376     20.56   0.088507   0.089895   0.091306   0.092738  0.094193     32.27    33.29
GS Finance Corp.         40056FBF1 04/23/19 04/26/21*   100.000     0.000     2.4998     17.28   0.070321                                                 5.91*        
GS Finance Corp.         40056FBK0 05/01/19 07/30/20    100.000     0.000     2.4998     16.73   0.069869   0.070742                                     14.76         
GS Finance Corp.         40056FBL8 04/24/19 04/23/26*   100.000     0.000     3.6588     25.23   0.103483                                                11.59*        
GS Finance Corp.         40056FBN4 04/25/19 05/06/26    100.000     0.000     3.6400     25.00   0.103065   0.104941   0.106851   0.108795  0.110775     37.65    39.03
GS Finance Corp.         40056FBQ7 05/01/19 05/10/27*   100.000     0.000     3.6667     24.56   0.103815   0.105718                                     13.50*        
GS Finance Corp.         40056FBU8 05/02/19 05/02/24    100.000     0.000     3.3001     22.00   0.093181   0.094719   0.096281   0.097870  0.099485     34.00    35.14
GS Finance Corp.         40056FBV6 05/10/19 05/11/23    100.000     0.000     3.1001     19.96   0.087455   0.088811   0.090187   0.091585  0.093005     31.86    32.86
GS Finance Corp.         40056FBW4 05/02/19 11/03/21    100.000     0.000     2.4918     16.59   0.070083   0.070957   0.071841   0.072736               25.49    21.86
GS Finance Corp.         40056FC45 04/25/19 05/07/29*   100.000     0.000     3.9100     26.87   0.110879                                                13.86*        
GS Finance Corp.         40056FC52 05/02/19 11/03/21    100.000     0.000     2.4918     16.59   0.070083   0.070957   0.071841   0.072736               25.49    21.86
GS Finance Corp.         40056FCM5 05/01/19 05/10/29*   100.000     0.000     3.8400     25.73   0.108820   0.110909                                     14.15*        
GS Finance Corp.         40056FCN3 05/31/19 06/12/29*   100.000     0.000     3.7000     21.75   0.104809                                                16.77*        
GS Finance Corp.         40056FCP8 05/31/19 05/31/24    100.000     0.000     3.1099     18.27   0.087730   0.089094   0.090479   0.091886  0.093315     31.91    32.91
GS Finance Corp.         40056FDA0 05/17/19 05/29/26    100.000     0.000     3.4900     21.79   0.098750   0.100473   0.102227   0.104010  0.105825     35.97    37.24
GS Finance Corp.         40056FDB8 05/17/19 05/29/26*   100.000     0.000     3.4900     21.79   0.098750                                                14.62*        
GS Finance Corp.         40056FDH5 05/31/19 06/11/26    100.000     0.000     3.3900     19.92   0.095861   0.097486   0.099138   0.100818  0.102527     34.87    36.06
GS Finance Corp.         40056FDJ1 05/31/19 06/11/26*   100.000     0.000     3.3900     19.92   0.095861                                                15.34*        
GS Finance Corp.         40056FDK8 05/31/19 06/11/26    100.000     0.000     3.3900     19.92   0.095861   0.097486   0.099138   0.100818  0.102527     34.87    36.06
GS Finance Corp.         40056FDL6 05/31/19 06/11/26*   100.000     0.000     3.3900     19.92   0.095861                                                15.34*        
GS Finance Corp.         40056FDM4 05/31/19 06/11/26*   100.000     0.000     3.3900     19.92   0.095861                                                15.34*        
GS Finance Corp.         40056FDP7 06/05/19 06/14/24*   100.000     0.000     3.0200     17.31   0.085219   0.086506                                     13.98*        
GS Finance Corp.         40056FDQ5 06/05/19 06/14/24    100.000     0.000     3.0200     17.31   0.085219   0.086506   0.087812   0.089138  0.090484     30.95    31.90
GS Finance Corp.         40056FDR3 06/05/19 06/14/24*   100.000     0.000     3.0200     17.31   0.085219   0.086506                                     13.98*        
GS Finance Corp.         40056FEG6 05/31/19 06/02/25    100.000     0.000     3.2500     19.09   0.091763   0.093254   0.094769   0.096309  0.097874     33.39    34.48
GS Finance Corp.         40056FEL5 05/31/19 06/02/22    100.000     0.000     2.8299     16.62   0.079735   0.080863   0.082007   0.083167  0.084344     28.97    29.80
GS Finance Corp.         40056FF59 05/31/19 06/03/27    100.000     0.000     3.4933     20.53   0.098760   0.100485   0.102240   0.104026  0.105843     35.96    37.23
GS Finance Corp.         40056FF83 05/31/19 06/02/26    100.000     0.000     3.3900     19.92   0.095781   0.097404   0.099055   0.100734  0.102441     34.87    36.06
GS Finance Corp.         40056FF91 05/31/19 05/31/24    100.000     0.000     3.1099     18.27   0.087730   0.089094   0.090479   0.091886  0.093315     31.91    32.91
GS Finance Corp.         40056FFA8 05/31/19 06/11/26*   100.000     0.000     3.3900     19.92   0.095861                                                15.34*        
GS Finance Corp.         40056FFC4 05/31/19 06/11/26*   100.000     0.000     3.3900     19.92   0.095861                                                15.34*        
GS Finance Corp.         40056FFK6 05/31/19 06/11/26*   100.000     0.000     3.3900     19.92   0.095861                                                15.34*        
GS Finance Corp.         40056FFN0 05/31/19 03/03/22    100.000     0.000     2.5943     15.26   0.072547   0.073488   0.074441   0.075407  0.076385     26.51    27.20
GS Finance Corp.         40056FFU4 06/05/19 06/04/21    100.000     0.000     2.3598     13.52   0.066319   0.067102   0.067893                          24.06    10.39
GS Finance Corp.         40056FFV2 06/05/19 06/05/24    100.000     0.000     3.0199     17.31   0.085153   0.086439   0.087744   0.089069  0.090414     30.95    31.90
GS Finance Corp.         40056FFW0 06/05/19 12/05/22    100.000     0.000     2.8025     16.07   0.078939   0.080045   0.081167   0.082304  0.083458     28.68    29.48
GS Finance Corp.         40056FFX8 06/05/19 12/05/22    100.000     0.000     2.8025     16.07   0.078939   0.080045   0.081167   0.082304  0.083458     28.68    29.48
GS Finance Corp.         40056FG66 05/17/19 05/29/26*   100.000     0.000     3.4900     21.79   0.098750                                                14.62*        
GS Finance Corp.         40056FG74 06/05/19 06/03/22    100.000     0.000     2.6543     15.22   0.074698   0.075689   0.076693   0.077711  0.078743     27.13    27.85
GS Finance Corp.         40056FGA7 05/22/19 01/21/21    100.000     0.000     2.3801     14.52   0.066372   0.067162   0.067961                          24.29     1.36
GS Finance Corp.         40056FGC3 05/15/19 05/13/21*   100.000     0.000     2.3800     14.98   0.066890                                                 5.62*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056FH65 05/17/19 05/19/22    100.000     0.000     2.9099     18.16   0.082019   0.083212   0.084423   0.085651  0.086898     29.84    30.72
GS Finance Corp.         40056FHT5 05/20/19 04/01/21    100.000     0.000     2.3800     14.66   0.066684   0.067477   0.068280                          24.29     6.15
GS Finance Corp.         40056FJ89 05/23/19 05/24/21    100.000     0.000     2.3802     14.44   0.066908   0.067704   0.068510                          24.29     9.80
GS Finance Corp.         40056FJF3 05/31/19 03/03/21    100.000     0.000     2.3802     14.00   0.066522   0.067314   0.068115                          24.28     4.22
GS Finance Corp.         40056FJH9 05/30/19 11/27/20*   100.000     0.000     2.3798     13.97   0.066878                                                 5.55*        
GS Finance Corp.         40056FJW6 06/12/19 06/16/21*   100.000     0.000     2.3602     13.06   0.066351                                                 5.57*        
GS Finance Corp.         40056FJX4 06/12/19 06/16/21    100.000     0.000     2.3602     13.06   0.066351   0.067134   0.067926                          24.05    11.21
GS Finance Corp.         40056FK46 06/17/19 06/26/26    100.000     0.000     3.2600     17.59   0.092107   0.093608   0.095134   0.096685  0.098261     33.44    34.54
GS Finance Corp.         40056FK95 06/17/19 06/26/26*   100.000     0.000     3.2600     17.59   0.092107                                                16.12*        
GS Finance Corp.         40056FKB0 06/28/19 06/28/24    100.000     0.000     2.6900     13.68   0.075727   0.076746   0.077778   0.078824  0.079885     27.45    28.19
GS Finance Corp.         40056FKC8 06/28/19 06/30/26    100.000     0.000     2.9700     15.10   0.083738   0.084982   0.086244   0.087524  0.088824     30.37    31.28
GS Finance Corp.         40056FKD6 07/03/19 07/01/21    100.000     0.000     2.1201     10.48   0.059510   0.060141   0.060778                          21.54    10.94
GS Finance Corp.         40056FKE4 07/03/19 07/03/24    100.000     0.000     2.7200     13.45   0.075554   0.076582   0.077623   0.078679  0.079749     27.75    28.51
GS Finance Corp.         40056FKS3 06/28/19 07/10/29    100.000     0.000     3.2900     16.74   0.091488   0.092993   0.094523   0.096078  0.097659     33.73    34.84
GS Finance Corp.         40056FKT1 06/28/19 07/09/26    100.000     0.000     2.9701     15.11   0.082576   0.083803   0.085047   0.086310  0.087592     30.37    31.28
GS Finance Corp.         40056FKU8 06/28/19 07/09/26    100.000     0.000     2.9701     15.11   0.082576   0.083803   0.085047   0.086310  0.087592     30.37    31.28
GS Finance Corp.         40056FKV6 06/28/19 07/09/26*   100.000     0.000     2.9701     15.11   0.082576   0.083803                                     15.75*        
GS Finance Corp.         40056FKW4 06/28/19 07/09/26*   100.000     0.000     2.9701     15.11   0.082576   0.083803                                     15.75*        
GS Finance Corp.         40056FKX2 06/28/19 07/09/26*   100.000     0.000     2.9701     15.11   0.082576   0.083803                                     15.75*        
GS Finance Corp.         40056FKY0 06/28/19 07/09/26    100.000     0.000     2.9701     15.11   0.082576   0.083803   0.085047   0.086310  0.087592     30.37    31.28
GS Finance Corp.         40056FKZ7 06/28/19 07/09/26    100.000     0.000     2.9701     15.11   0.082576   0.083803   0.085047   0.086310  0.087592     30.37    31.28
GS Finance Corp.         40056FL29 06/21/19 01/15/21    100.000     0.000     2.3601     12.47   0.065660   0.066435   0.067219                          24.04     0.94
GS Finance Corp.         40056FL60 06/28/19 12/31/24    100.000     0.000     2.7600     14.03   0.077737   0.078810   0.079898   0.081000  0.082118     28.18    28.96
GS Finance Corp.         40056FL94 07/03/19 01/03/23    100.000     0.000     2.5175     12.45   0.069930   0.070810   0.071702   0.072604  0.073518     25.65    26.30
GS Finance Corp.         40056FLB9 07/03/19 07/15/24*   100.000     0.000     2.7200     13.46   0.075624   0.076652                                     14.70*        
GS Finance Corp.         40056FLC7 07/03/19 01/03/23    100.000     0.000     2.5175     12.45   0.069930   0.070810   0.071702   0.072604  0.073518     25.65    26.30
GS Finance Corp.         40056FLD5 07/03/19 07/15/24    100.000     0.000     2.7200     13.46   0.075624   0.076652   0.077695   0.078752  0.079823     27.75    28.51
GS Finance Corp.         40056FLG8 06/28/19 07/09/26    100.000     0.000     2.9701     15.11   0.082576   0.083803   0.085047   0.086310  0.087592     30.37    31.28
GS Finance Corp.         40056FM44 06/28/19 03/30/22    100.000     0.000     2.3598     12.03   0.065947   0.066725   0.067512   0.068309  0.069115     24.02    24.59
GS Finance Corp.         40056FM85 06/28/19 06/30/25    100.000     0.000     2.8299     14.39   0.079734   0.080862   0.082007   0.083167  0.084344     28.91    29.73
GS Finance Corp.         40056FMH5 06/28/19 06/30/22    100.000     0.000     2.4001     12.20   0.067477   0.068287   0.069107   0.069936  0.070775     24.44    25.03
GS Finance Corp.         40056FMW2 07/03/19 07/01/22    100.000     0.000     2.3820     11.78   0.066945   0.067742   0.068549   0.069365               24.24    24.82
GS Finance Corp.         40056FN27 06/28/19 12/31/26    100.000     0.000     3.0233     15.37   0.085265   0.086554   0.087863   0.089191  0.090539     30.93    31.87
GS Finance Corp.         40056FNT8 06/28/19 11/30/20    100.000     0.000     2.3600     12.02   0.066208   0.066990                                     21.92         
GS Finance Corp.         40056FP90 06/21/19 06/23/22    100.000     0.000     2.5898     13.68   0.072882   0.073826   0.074782   0.075750  0.076731     26.42    27.11
GS Finance Corp.         40056FPL3 06/28/19 06/11/21    100.000     0.000     2.3601     12.01   0.066259   0.067041   0.067832                          24.03    10.85
GS Finance Corp.         40056FPU3 07/03/19 07/08/24    100.000     0.000     2.7199     13.45   0.075582   0.076610   0.077651   0.078708  0.079778     27.75    28.51
GS Finance Corp.         40056FPX7 06/26/19 06/26/23*   100.000     0.000     2.5800     13.26   0.072590                                                 6.10*        
GS Finance Corp.         40056FR56 08/05/19 08/03/22*   100.000     0.000     2.4694     10.01   0.068594   0.069431                                      5.81*        
GS Finance Corp.         40056FRU1 07/31/19 04/29/22    100.000     0.000     2.2579      9.49   0.063069   0.063781   0.064501   0.065229  0.065965     22.92    23.44
GS Finance Corp.         40056FRX5 07/31/19 07/31/25    100.000     0.000     2.8851     12.10   0.080141   0.081297   0.082469   0.083659  0.084866     29.41    30.26
GS Finance Corp.         40056FRY3 07/31/19 01/31/23    100.000     0.000     2.5974     10.89   0.072151   0.073088   0.074037   0.074999  0.075973     26.43    27.12
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056FS71 07/31/19 08/09/29*   100.000     0.000     3.2400     13.60   0.090073   0.091532   0.093015                          19.99*        
GS Finance Corp.         40056FS89 07/31/19 08/10/26*   100.000     0.000     3.0000     12.59   0.083402   0.084653                                     18.49*        
GS Finance Corp.         40056FS97 07/31/19 08/10/26*   100.000     0.000     3.0000     12.59   0.083402   0.084653                                     18.49*        
GS Finance Corp.         40056FSA4 07/31/19 08/10/26*   100.000     0.000     3.0000     12.59   0.083402   0.084653                                     18.49*        
GS Finance Corp.         40056FSB2 07/31/19 08/10/26*   100.000     0.000     3.0000     12.59   0.083402   0.084653                                     18.49*        
GS Finance Corp.         40056FSC0 07/31/19 08/10/26    100.000     0.000     3.0000     12.59   0.083402   0.084653   0.085923   0.087212  0.088520     30.61    31.53
GS Finance Corp.         40056FSD8 07/31/19 07/29/22    100.000     0.000     2.4693     10.36   0.068591   0.069433   0.070291   0.071158  0.072037     25.10    25.73
GS Finance Corp.         40056FSG1 07/11/19 08/04/21    100.000     0.000     2.1199     10.02   0.058966   0.059591   0.060223   0.060861               21.53    12.94
GS Finance Corp.         40056FSN6 07/31/19 07/31/25    100.000     0.000     2.8851     12.10   0.080141   0.081297   0.082469   0.083659  0.084866     29.41    30.26
GS Finance Corp.         40056FSQ9 08/05/19 08/14/24    100.000     0.000     2.7501     11.16   0.076444   0.077495   0.078560   0.079641  0.080736     28.00    28.77
GS Finance Corp.         40056FSR7 08/05/19 08/14/24*   100.000     0.000     2.7501     11.16   0.076444   0.077495                                     17.24*        
GS Finance Corp.         40056FSS5 08/05/19 02/05/25    100.000     0.000     2.8100     11.40   0.078056   0.079153   0.080265   0.081393  0.082537     28.62    29.43
GS Finance Corp.         40056FST3 08/05/19 02/03/22    100.000     0.000     2.0460      8.30   0.056835   0.057409   0.057997   0.058590  0.059189     20.74    21.16
GS Finance Corp.         40056FSU0 08/05/19 02/03/23    100.000     0.000     2.5838     10.48   0.071773   0.072690   0.073629   0.074580  0.075543     26.28    26.96
GS Finance Corp.         40056FT62 08/05/19 08/04/22    100.000     0.000     2.4693     10.01   0.068591   0.069433   0.070291   0.071158  0.072037     25.09    25.72
GS Finance Corp.         40056FTA3 08/05/19 08/04/22    100.000     0.000     2.4693     10.01   0.068591   0.069433   0.070291   0.071158  0.072037     25.09    25.72
GS Finance Corp.         40056FTJ4 07/10/19 07/09/21    100.000     0.000     2.1201     10.07   0.058891   0.059512   0.060143   0.060781               21.53    11.42
GS Finance Corp.         40056FTL9 07/31/19 06/30/21*   100.000     0.000     2.1202      8.89   0.059416                                                 4.57*        
GS Finance Corp.         40056FTM7 07/31/19 09/16/20*   100.000     0.000     2.1201      8.91   0.059051   0.059677                                      4.55*        
GS Finance Corp.         40056FTN5 07/31/19 08/09/29    100.000     0.000     3.2400     13.60   0.090073   0.091532   0.093015   0.094522  0.096053     33.11    34.19
GS Finance Corp.         40056FU86 07/17/19 07/15/21    100.000     0.000     2.1201      9.66   0.058892   0.059510   0.060141   0.060778               21.52    11.78
GS Finance Corp.         40056FUF0 07/17/19 07/15/21*   100.000     0.000     2.1201      9.66   0.058892   0.059510                                      4.63*        
GS Finance Corp.         40056FUL7 08/02/19 08/13/27*   100.000     0.000     3.0933     12.81   0.086007   0.087337                                     19.33*        
GS Finance Corp.         40056FUM5 07/22/19 07/21/22    100.000     0.000     2.4693     10.91   0.068591   0.069433   0.070291   0.071158  0.072037     25.12    25.74
GS Finance Corp.         40056FUP8 07/31/19 01/31/22*   100.000     0.000     2.1202      8.89   0.058894   0.059518                                      4.51*        
GS Finance Corp.         40056FUS2 07/24/19 07/22/21    100.000     0.000     2.1201      9.25   0.058892   0.059510   0.060141   0.060778               21.51    12.20
GS Finance Corp.         40056FUX1 08/02/19 02/03/22    100.000     0.000     2.0917      8.66   0.058107   0.058715   0.059329   0.059950  0.060577     21.21    21.65
GS Finance Corp.         40056FUY9 07/26/19 01/28/21    100.000     0.000     2.1200      9.13   0.058896   0.059520   0.060151                          21.51     1.62
GS Finance Corp.         40056FV36 08/02/19 02/03/22    100.000     0.000     2.0917      8.66   0.058107   0.058715   0.059329   0.059950  0.060577     21.21    21.65
GS Finance Corp.         40056FVJ1 08/01/19 08/03/21*   100.000     0.000     2.1199      8.83   0.058893   0.059518                                      4.98*        
GS Finance Corp.         40056FVM4 07/31/19 07/29/21    100.000     0.000     2.1201      8.89   0.058891   0.059512   0.060143   0.060781               21.50    12.62
GS Finance Corp.         40056FVN2 07/31/19 07/29/21*   100.000     0.000     2.1201      8.89   0.058891   0.059512                                      4.98*        
GS Finance Corp.         40056FVV4 08/09/19 08/04/21    100.000     0.000     1.8998      7.49   0.052773   0.053260   0.053766   0.054277               19.23    11.54
GS Finance Corp.         40056FVZ5 08/06/19 11/03/20*   100.000     0.000     1.9000      7.67   0.053021                                                 4.40*        
GS Finance Corp.         40056FW43 09/05/19 09/02/22*   100.000     0.000     2.1097      6.80   0.058604   0.059212                                      4.94*        
GS Finance Corp.         40056FWD3 08/30/19 09/11/26    100.000     0.000     2.5401      8.54   0.070612   0.071509   0.072417   0.073336  0.074268     25.78    26.44
GS Finance Corp.         40056FWY7 08/30/19 09/11/26    100.000     0.000     2.5401      8.54   0.070612   0.071509   0.072417   0.073336  0.074268     25.78    26.44
GS Finance Corp.         40056FWZ4 08/30/19 09/11/26*   100.000     0.000     2.5401      8.54   0.070612   0.071509                                     17.81*        
GS Finance Corp.         40056FX26 08/30/19 09/11/26*   100.000     0.000     2.5401      8.54   0.070612   0.071509                                     17.81*        
GS Finance Corp.         40056FX34 08/30/19 09/11/26    100.000     0.000     2.5401      8.54   0.070612   0.071509   0.072417   0.073336  0.074268     25.78    26.44
GS Finance Corp.         40056FX42 08/30/19 09/11/26    100.000     0.000     2.5401      8.54   0.070612   0.071509   0.072417   0.073336  0.074268     25.78    26.44
GS Finance Corp.         40056FX67 08/30/19 09/11/29    100.000     0.000     2.7400      9.22   0.076175   0.077218   0.078276   0.079349  0.080436     27.84    28.61
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056FX75 08/30/19 09/02/25    100.000     0.000     2.4350      8.19   0.067649   0.068473   0.069306   0.070150  0.071004     24.70    25.30
GS Finance Corp.         40056FX83 09/05/19 03/03/22    100.000     0.000     1.8401      5.93   0.051113   0.051578   0.052053   0.052532  0.053015     18.60    18.94
GS Finance Corp.         40056FX91 09/05/19 03/05/25    100.000     0.000     2.3900      7.70   0.066388   0.067181   0.067984   0.068796  0.069618     24.23    24.81
GS Finance Corp.         40056FXA8 09/05/19 03/03/23    100.000     0.000     2.2054      7.11   0.061262   0.061930   0.062613   0.063303  0.064001     22.33    22.83
GS Finance Corp.         40056FXB6 09/05/19 09/16/24    100.000     0.000     2.3400      7.54   0.065047   0.065808   0.066578   0.067357  0.068145     23.71    24.27
GS Finance Corp.         40056FXC4 09/05/19 09/16/24*   100.000     0.000     2.3400      7.54   0.065047   0.065808                                     16.66*        
GS Finance Corp.         40056FXF7 08/14/19 02/14/22*   100.000     0.000     1.9084      7.26   0.053012   0.053518                                      4.05*        
GS Finance Corp.         40056FXS9 08/30/19 03/04/25    100.000     0.000     2.3825      8.01   0.066198   0.066987   0.067785   0.068592  0.069409     24.16    24.74
GS Finance Corp.         40056FY66 09/05/19 09/02/22    100.000     0.000     2.1097      6.80   0.058604   0.059212   0.059837   0.060468  0.061106     21.35    21.81
GS Finance Corp.         40056FYB5 09/05/19 09/02/22    100.000     0.000     2.1097      6.80   0.058604   0.059212   0.059837   0.060468  0.061106     21.35    21.81
GS Finance Corp.         40056FYH2 08/30/19 06/02/22    100.000     0.000     1.9802      6.66   0.055283   0.055830   0.056383   0.056941  0.057505     20.03    20.43
GS Finance Corp.         40056FYT6 08/22/19 08/31/22    100.000     0.000     2.2099      7.92   0.061416   0.062091   0.062781   0.063467  0.064176     22.40    22.89
GS Finance Corp.         40056FYU3 08/30/19 09/01/22    100.000     0.000     2.1600      7.26   0.060004   0.060653   0.061308   0.061970  0.062639     21.87    22.35
GS Finance Corp.         40056FYV1 08/30/19 03/04/27    100.000     0.000     2.5733      8.65   0.071500   0.072420   0.073351   0.074295  0.075251     26.12    26.80
GS Finance Corp.         40056FYW9 08/30/19 09/02/25    100.000     0.000     2.4350      8.19   0.067649   0.068473   0.069306   0.070150  0.071004     24.70    25.30
GS Finance Corp.         40056FZS7 08/30/19 09/04/24    100.000     0.000     2.3300      7.83   0.064738   0.065492   0.066255   0.067027  0.067808     23.62    24.17
GS Finance Corp.         40056FZX6 08/21/19 10/12/21    100.000     0.000     1.9000      6.87   0.052919   0.053422   0.053930   0.054442               19.22    15.25
GS Finance Corp.         40056X2D7 08/20/19 11/23/21    100.000     0.000     1.8999      6.92   0.053034   0.053538   0.054046   0.054560               19.22    17.50
GS Finance Corp.         40056X3M6 08/30/19 02/22/21    100.000     0.000     1.8999      6.39   0.052775   0.053254   0.053760                          19.21     2.74
GS Finance Corp.         40056X3R5 08/14/19 08/12/21    100.000     0.000     1.9002      7.23   0.052783   0.053279   0.053785   0.054296               19.23    11.98
GS Finance Corp.         40056X3Y0 08/30/19 02/25/21    100.000     0.000     1.8998      6.39   0.052773   0.053260   0.053766                          19.21     2.90
GS Finance Corp.         40056X4R4 08/30/19 11/22/21    100.000     0.000     1.9000      6.40   0.053007   0.053510   0.054019   0.054532               19.21    17.43
GS Finance Corp.         40056X5G7 08/29/19 08/31/21    100.000     0.000     1.9000      6.44   0.052781   0.053280   0.053789   0.054294               19.21    12.95
GS Finance Corp.         40056X5V4 09/30/19 10/09/26    100.000     0.000     2.7800      7.03   0.077275   0.078350   0.079439   0.080543  0.081662     28.19    28.98
GS Finance Corp.         40056X5Z5 10/03/19 10/15/24    100.000     0.000     2.4599      6.02   0.068388   0.069229   0.070081   0.070943  0.071815     24.90    25.52
GS Finance Corp.         40056X6B7 10/03/19 07/06/23    100.000     0.000     2.3413      5.72   0.065035   0.065428   0.066194   0.066969  0.067753     23.69    24.24
GS Finance Corp.         40056X6E1 09/30/19 10/10/29    100.000     0.000     3.0300      7.66   0.084238   0.085514   0.086810   0.088125  0.089460     30.76    31.70
GS Finance Corp.         40056X6K7 09/30/19 09/29/22    100.000     0.000     2.2654      5.73   0.062928   0.063637   0.064358   0.065087  0.065824     22.91    23.44
GS Finance Corp.         40056X6P6 09/30/19 10/09/26    100.000     0.000     2.7800      7.03   0.077275   0.078350   0.079439   0.080543  0.081662     28.19    28.98
GS Finance Corp.         40056X6Q4 09/30/19 10/09/26*   100.000     0.000     2.7800      7.03   0.077275   0.078350                                     21.68*        
GS Finance Corp.         40056X6R2 09/30/19 10/09/26*   100.000     0.000     2.7800      7.03   0.077275   0.078350                                     21.68*        
GS Finance Corp.         40056X6X9 09/30/19 10/10/29    100.000     0.000     3.0300      7.66   0.084238   0.085514   0.086810   0.088125  0.089460     30.76    31.70
GS Finance Corp.         40056XAG1 09/30/19 09/29/22    100.000     0.000     2.2654      5.73   0.062928   0.063637   0.064358   0.065087  0.065824     22.91    23.44
GS Finance Corp.         40056XAM8 10/03/19 10/05/22*   100.000     0.000     2.2701      5.55   0.063066                                                 5.30*        
GS Finance Corp.         40056XAR7 09/04/19 09/02/21*   100.000     0.000     1.8402      5.98   0.051117   0.051582                                      4.36*        
GS Finance Corp.         40056XAS5 09/30/19 03/28/25    100.000     0.000     2.5900      6.55   0.071945   0.072867   0.073810   0.074766  0.075735     26.24    26.92
GS Finance Corp.         40056XAT3 09/30/19 09/30/27    100.000     0.000     2.8633      7.24   0.079536   0.080674   0.081829   0.083001  0.084189     29.05    29.88
GS Finance Corp.         40056XB39 10/03/19 10/05/22    100.000     0.000     2.2701      5.55   0.063066   0.063782   0.064506   0.065238  0.065979     22.96    23.48
GS Finance Corp.         40056XBV7 09/18/19 09/28/26    100.000     0.000     2.8901      8.27   0.080344   0.081505   0.082682   0.083877  0.085089     29.35    30.20
GS Finance Corp.         40056XCP9 09/30/19 05/28/21    100.000     0.000     1.8399      4.66   0.051260   0.051731   0.052207                          18.57     7.67
GS Finance Corp.         40056XCQ7 09/11/19 03/10/22    100.000     0.000     1.8400      5.62   0.051110   0.051577   0.052052   0.052531  0.053014     18.59    18.93
GS Finance Corp.         40056XCS3 09/23/19 09/18/29    100.000     0.000     3.0928      8.42   0.085912   0.087203   0.088552   0.089921  0.091312     31.43    32.41
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056XDT0 09/27/19 10/05/26    100.000     0.000     2.7000      7.05   0.075046   0.076059   0.077085   0.078126  0.079181     27.37    28.12
GS Finance Corp.         40056XDX1 10/08/19 10/09/29    100.000     0.000     2.9000      6.69   0.080561   0.081729   0.082914   0.084116  0.085336     29.41    30.26
GS Finance Corp.         40056XE85 11/05/19 11/03/22*   100.000     0.000     2.1195      3.30   0.058875                                                 4.59*        
GS Finance Corp.         40056XEZ5 10/02/19 10/04/24    100.000     0.000     2.4700      6.11   0.068621   0.069468   0.070326   0.071195  0.072074     25.00    25.63
GS Finance Corp.         40056XFE1 11/05/19 08/03/23    100.000     0.000     2.2501      3.50   0.062503   0.062846   0.063553   0.064268  0.064991     22.72    23.22
GS Finance Corp.         40056XFJ0 10/31/19 05/01/25    100.000     0.000     2.5800      4.37   0.071672   0.072597   0.073534   0.074482  0.075443     26.08    26.76
GS Finance Corp.         40056XFK7 09/30/19 12/30/20*   100.000     0.000     1.8400      4.65   0.051347                                                 3.95*        
GS Finance Corp.         40056XFQ4 10/31/19 11/02/27    100.000     0.000     2.8600      4.85   0.079456   0.080592   0.081744   0.082913  0.084099     28.94    29.78
GS Finance Corp.         40056XG34 10/31/19 11/02/22    100.000     0.000     2.3000      3.90   0.063896   0.064631   0.065374   0.066126  0.066886     23.22    23.76
GS Finance Corp.         40056XG91 11/05/19 11/03/22    100.000     0.000     2.1195      3.30   0.058875   0.059492   0.060123   0.060760  0.061404     21.38    21.83
GS Finance Corp.         40056XGF7 11/05/19 11/03/22    100.000     0.000     2.1195      3.30   0.058875   0.059492   0.060123   0.060760  0.061404     21.38    21.83
GS Finance Corp.         40056XGY6 10/31/19 11/12/26    100.000     0.000     2.7600      4.68   0.076738   0.077797   0.078870   0.079959  0.081062     27.92    28.70
GS Finance Corp.         40056XGZ3 10/31/19 11/13/29    100.000     0.000     3.0600      5.19   0.085095   0.086397   0.087719   0.089061  0.090423     30.99    31.95
GS Finance Corp.         40056XH25 10/31/19 11/12/26*   100.000     0.000     2.7600      4.68   0.076738   0.077797                                     24.06*        
GS Finance Corp.         40056XH33 10/31/19 11/12/26    100.000     0.000     2.7600      4.68   0.076738   0.077797   0.078870   0.079959  0.081062     27.92    28.70
GS Finance Corp.         40056XH41 10/31/19 11/12/26    100.000     0.000     2.7600      4.68   0.076738   0.077797   0.078870   0.079959  0.081062     27.92    28.70
GS Finance Corp.         40056XH58 10/31/19 11/13/29    100.000     0.000     3.0600      5.19   0.085095   0.086397   0.087719   0.089061  0.090423     30.99    31.95
GS Finance Corp.         40056XHB5 10/24/19 05/05/27    100.000     0.000     2.7683      5.16   0.076963   0.078028   0.079109   0.080204  0.081314     28.02    28.80
GS Finance Corp.         40056XHC3 10/07/19 10/06/22    100.000     0.000     2.1388      4.99   0.059410   0.060042   0.060684   0.061333  0.061989     21.61    22.07
GS Finance Corp.         40056XHF6 10/31/19 10/31/22    100.000     0.000     2.2999      3.90   0.063885   0.064620   0.065363   0.066114  0.066875     23.22    23.76
GS Finance Corp.         40056XJA5 10/16/19 10/14/21*   100.000     0.000     1.6800      3.50   0.046667                                                 3.92*        
GS Finance Corp.         40056XJF4 10/23/19 12/03/20    100.000     0.000     1.6801      3.18   0.046757   0.047150                                     15.59         
GS Finance Corp.         40056XJZ0 11/13/19 05/07/21*   100.000     0.000     1.6802      2.24   0.046671                                                 3.87*        
GS Finance Corp.         40056XK70 10/25/19 04/21/21*   100.000     0.000     1.6798      3.08   0.046662                                                 3.92*        
GS Finance Corp.         40056XKG0 10/29/19 07/29/21*   100.000     0.000     1.6801      2.89   0.046668   0.046864                                      3.98*        
GS Finance Corp.         40056XKH8 10/28/19 10/22/27    100.000     1.000     2.8087      4.92   0.078021   0.079080   0.079410   0.080525  0.080876     28.37    28.89
GS Finance Corp.         40056XL53 12/02/19 12/01/22*   100.000     0.000     2.1584      1.74   0.059955                                                 4.56*        
GS Finance Corp.         40056XLC8 11/04/19 01/05/21    100.000     0.000     1.6703      2.64   0.046396   0.046527   0.046916                          16.82     0.19
GS Finance Corp.         40056XLD6 11/07/19 11/20/29    100.000     0.000     2.9500      4.43   0.082031   0.083241   0.084469   0.085715  0.086979     29.85    30.74
GS Finance Corp.         40056XM37 12/02/19 12/01/22    100.000     0.000     2.1584      1.74   0.059955   0.060598   0.061252   0.061913  0.062581     21.74    22.21
GS Finance Corp.         40056XM52 12/02/19 12/01/22    100.000     0.000     2.1584      1.74   0.059955   0.060598   0.061252   0.061913  0.062581     21.74    22.21
GS Finance Corp.         40056XM78 12/02/19 11/30/23    100.000     0.000     2.3118      1.86   0.064216   0.064950   0.065700   0.066460  0.067228     23.30    23.84
GS Finance Corp.         40056XME3 11/29/19 05/30/25    100.000     0.000     2.4675      2.19   0.068546   0.069392   0.070248   0.071115  0.071992     24.88    25.50
GS Finance Corp.         40056XMS2 10/31/19 02/01/21*   100.000     0.000     1.6801      2.85   0.046669   0.046867                                      3.60*        
GS Finance Corp.         40056XN77 11/29/19 12/01/27    100.000     0.000     2.7267      2.42   0.075752   0.076785   0.077832   0.078893  0.079969     27.52    28.27
GS Finance Corp.         40056XNB8 11/18/19 11/28/29    100.000     0.000     3.0200      3.61   0.083959   0.085226   0.086513   0.087820  0.089146     30.54    31.47
GS Finance Corp.         40056XND4 12/02/19 12/04/24    100.000     0.000     2.4200      1.95   0.067233   0.068046   0.068870   0.069703  0.070546     24.39    24.99
GS Finance Corp.         40056XNE2 12/02/19 12/04/24    100.000     0.000     2.4200      1.95   0.067233   0.068046   0.068870   0.069703  0.070546     24.39    24.99
GS Finance Corp.         40056XNH5 11/29/19 12/10/26    100.000     0.000     2.6400      2.35   0.073391   0.074360   0.075342   0.076336  0.077344     26.64    27.34
GS Finance Corp.         40056XNJ1 11/29/19 12/03/29    100.000     0.000     2.9000      2.58   0.080582   0.081751   0.082936   0.084139  0.085359     29.29    30.14
GS Finance Corp.         40056XNK8 11/29/19 12/03/29    100.000     0.000     2.9000      2.58   0.080582   0.081751   0.082936   0.084139  0.085359     29.29    30.14
GS Finance Corp.         40056XNL6 11/29/19 12/10/26    100.000     0.000     2.6400      2.35   0.073391   0.074360   0.075342   0.076336  0.077344     26.64    27.34
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056XNM4 11/29/19 12/10/26    100.000     0.000     2.6400      2.35   0.073391   0.074360   0.075342   0.076336  0.077344     26.64    27.34
GS Finance Corp.         40056XNS1 11/22/19 11/23/29    100.000     0.000     2.9800      3.23   0.082784   0.084017   0.085269   0.086539  0.087829     30.12    31.02
GS Finance Corp.         40056XNT9 11/13/19 11/10/22    100.000     0.000     2.2750      3.03   0.063195   0.063901   0.064628   0.065363  0.066107     22.95    23.47
GS Finance Corp.         40056XPP5 11/29/19 08/30/21*   100.000     0.000     1.5997      1.42   0.044437   0.044615                                      3.69*        
GS Finance Corp.         40056XPY6 11/19/19 12/01/26    100.000     0.000     2.7100      3.16   0.075346   0.076367   0.077402   0.078451  0.079514     27.37    28.12
GS Finance Corp.         40056XQ33 11/18/19 03/17/21    100.000     0.000     1.6802      2.01   0.046672   0.046931   0.047325                          16.92     3.60
GS Finance Corp.         40056XQ66 11/21/19 11/15/29    100.000     0.000     2.9200      3.24   0.081112   0.082256   0.083457   0.084676  0.085912     29.51    30.38
GS Finance Corp.         40056XQ74 12/03/19 12/02/21    100.000     0.000     1.6801      1.31   0.046670   0.047059   0.047455   0.047853               16.89    15.78
GS Finance Corp.         40056XQR0 11/29/19 12/10/29    100.000     0.000     2.9000      2.58   0.080627   0.081796   0.082982   0.084185  0.085406     29.29    30.14
GS Finance Corp.         40056XQW9 12/04/19 02/03/22    100.000     0.000     1.5999      1.20   0.044440   0.044557   0.044913   0.045273  0.045635     16.09    16.34
GS Finance Corp.         40056XRY4 01/03/20 10/03/24    100.000     0.000     2.4313             0.067537   0.067947   0.068773   0.069609  0.070456     24.36    25.06
GS Finance Corp.         40056XRZ1 01/03/20 01/05/24    100.000     0.000     2.3449             0.065136   0.065145   0.065909   0.066681  0.067463     23.46    24.14
GS Finance Corp.         40056XS23 01/03/20 01/14/25    100.000     0.000     2.4601             0.068335   0.068387   0.069228   0.070080  0.070942     24.62    25.36
GS Finance Corp.         40056XS56 01/03/20 01/05/23*   100.000     0.000     2.2302             0.061949   0.061956                                      4.58*        
GS Finance Corp.         40056XSF4 12/27/19 06/26/25    100.000     0.000     2.5775      0.29   0.071598   0.072516   0.073450   0.074397  0.075355     25.95    26.62
GS Finance Corp.         40056XSK3 12/27/19 01/08/27    100.000     0.000     2.7200      0.30   0.075557   0.075620   0.076648   0.077690  0.078747     27.40    28.14
GS Finance Corp.         40056XSL1 12/27/19 01/09/30    100.000     0.000     2.8800      0.32   0.080000   0.080077   0.081230   0.082400  0.083587     29.03    29.86
GS Finance Corp.         40056XSM9 12/27/19 01/08/27    100.000     0.000     2.7200      0.30   0.075557   0.075620   0.076648   0.077690  0.078747     27.40    28.14
GS Finance Corp.         40056XSN7 12/27/19 01/08/27    100.000     0.000     2.7200      0.30   0.075557   0.075620   0.076648   0.077690  0.078747     27.40    28.14
GS Finance Corp.         40056XSP2 12/27/19 01/08/27    100.000     0.000     2.7200      0.30   0.075557   0.075620   0.076648   0.077690  0.078747     27.40    28.14
GS Finance Corp.         40056XSQ0 12/27/19 01/09/30    100.000     0.000     2.8800      0.32   0.080000   0.080077   0.081230   0.082400  0.083587     29.03    29.86
GS Finance Corp.         40056XT30 01/03/20 01/05/23    100.000     0.000     2.2302             0.061949   0.061956   0.062647   0.063346  0.064052     22.30    22.93
GS Finance Corp.         40056XT48 01/03/20 01/05/23    100.000     0.000     2.2302             0.061949   0.061956   0.062647   0.063346  0.064052     22.30    22.93
GS Finance Corp.         40056XTK2 12/03/19 12/03/24    100.000     0.000     2.4500      1.91   0.068056   0.068890   0.069734   0.070588  0.071453     24.70    25.31
GS Finance Corp.         40056XTW6 12/27/19 12/28/27    100.000     0.000     2.7733      0.31   0.077043   0.078111   0.079195   0.080293  0.081406     27.93    28.71
GS Finance Corp.         40056XUH7 12/16/19 12/26/29    100.000     0.000     2.8000      1.17   0.077838   0.078928   0.080033   0.081153  0.082290     28.23    29.02
GS Finance Corp.         40056XVK9 12/27/19 01/09/30    100.000     0.000     2.8800      0.32   0.080000   0.080077   0.081230   0.082400  0.083587     29.03    29.86
GS Finance Corp.         40056XW44 01/08/20 01/17/30    100.000     0.000     2.8100             0.078055   0.078109   0.079207   0.080320  0.081448     27.75    29.08
GS Finance Corp.         40056XWE2 12/31/19 12/29/21    100.000     1.000     1.6015      0.04   0.044486   0.044840   0.044754   0.045112               16.08    16.09
GS Finance Corp.         40056XWF9 12/31/19 12/29/22    100.000     1.500     2.2043      0.06   0.061232   0.061903   0.061667   0.062346  0.062115     22.17    22.32
GS Finance Corp.         40056XWG7 12/31/19 12/29/23    100.000     1.600     2.3779      0.07   0.066053   0.066305   0.066565   0.066828  0.067094     23.83    24.01
GS Finance Corp.         40056XWH5 12/31/19 12/30/24    100.000     2.000     2.4808      0.07   0.068912   0.069766   0.069253   0.070113  0.069604     24.96    25.09
GS Finance Corp.         40056XWP7 02/05/20 02/03/23*   100.000     0.000     1.8668                        0.051857                                      2.18*        
GS Finance Corp.         40056XXQ4 02/05/20 02/05/24    100.000     0.000     2.0150                        0.055972   0.056536   0.057106  0.057681     18.33    20.62
GS Finance Corp.         40056XXR2 02/05/20 02/05/24    100.000     0.000     2.0150                        0.055972   0.056536   0.057106  0.057681     18.33    20.62
GS Finance Corp.         40056XXS0 02/05/20 02/14/25    100.000     0.000     2.1100             0.058612   0.058643   0.059262   0.059887  0.060519     19.20    21.62
GS Finance Corp.         40056XXT8 02/05/20 02/14/25    100.000     0.000     2.1100             0.058612   0.058643   0.059262   0.059887  0.060519     19.20    21.62
GS Finance Corp.         40056XXZ4 01/31/20 07/31/25    100.000     0.000     2.2875                        0.063542   0.064268   0.065003  0.065747     21.14    23.49
GS Finance Corp.         40056XYT7 01/31/20 02/02/28    100.000     0.000     2.5000             0.069445   0.069454   0.070323   0.071202  0.072092     23.12    25.74
GS Finance Corp.         40056XYY6 01/31/20 02/11/27    100.000     0.000     2.4300             0.067501   0.067551   0.068371   0.069202  0.070043     22.47    25.00
GS Finance Corp.         40056XYZ3 01/31/20 02/11/27    100.000     0.000     2.4300             0.067501   0.067551   0.068371   0.069202  0.070043     22.47    25.00
GS Finance Corp.         40056XZ25 01/31/20 02/11/30    100.000     0.000     2.6400             0.073333   0.073393   0.074361   0.075343  0.076337     24.43    27.22
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056XZ33 01/31/20 02/11/27    100.000     0.000     2.4300             0.067501   0.067551   0.068371   0.069202  0.070043     22.47    25.00
GS Finance Corp.         40056XZ41 01/31/20 02/11/27    100.000     0.000     2.4300             0.067501   0.067551   0.068371   0.069202  0.070043     22.47    25.00
GS Finance Corp.         40056XZC3 01/31/20 02/11/30    100.000     0.000     2.6400             0.073333   0.073393   0.074361   0.075343  0.076337     24.43    27.22
GS Finance Corp.         40056XZS8 02/05/20 02/03/23    100.000     0.000     1.8668                        0.051857   0.052335   0.052824  0.053317     16.98    19.07
GS Finance Corp.         40056XZU3 02/05/20 02/03/23    100.000     0.000     1.8668                        0.051857   0.052335   0.052824  0.053317     16.98    19.07
GS Finance Corp.         40056Y6J8 01/31/20 01/31/23    100.000     0.000     2.0501                        0.056947   0.057530   0.058120  0.058716     18.94    21.00
GS Finance Corp.         40056Y6P4 01/31/20 01/31/24    100.000     0.000     2.1851                        0.060697   0.061360   0.062031  0.062708     20.19    22.41
GS Finance Corp.         40056Y6Q2 01/31/20 01/31/23    100.000     0.000     2.1001                        0.058336   0.058948   0.059567  0.060193     19.40    21.52
GS Finance Corp.         40056Y7A6 01/27/20 02/05/30    100.000     0.000     2.6900             0.074722   0.074767   0.075772   0.076791  0.077824     25.12    27.76
GS Finance Corp.         40056Y7G3 01/22/20 03/20/25    100.000     0.000     2.3879             0.066330   0.066586   0.067381   0.068185  0.068999     22.64    24.57
GS Finance Corp.         40056YC85 01/29/20 01/27/22*   100.000     0.000     1.5900                        0.044166                                      2.21*        
GS Finance Corp.         40056YCH5 01/24/20 01/25/30    100.000     0.000     2.7100                        0.075283   0.076304   0.077338  0.078385     25.53    27.98
GS Finance Corp.         40056YCK8 01/24/20 03/31/21*   100.000     0.000     1.5896                        0.044156                                      2.30*        
GS Finance Corp.         40056YDZ4 03/04/20 03/14/25    100.000     0.000     1.8399             0.051109   0.051135   0.051606   0.052080  0.052560     15.24    18.77
GS Finance Corp.         40056YE26 03/04/20 03/14/25    100.000     0.000     1.8399             0.051109   0.051135   0.051606   0.052080  0.052560     15.24    18.77
GS Finance Corp.         40056YE34 02/06/20 02/19/30    100.000     0.000     2.5700             0.071389   0.071456   0.072374   0.073304  0.074246     23.34    26.47
GS Finance Corp.         40056YET7 03/04/20 09/03/24    100.000     0.000     1.7759                        0.049330   0.049766   0.050208  0.050654     14.70    18.10
GS Finance Corp.         40056YFG4 03/04/20 03/03/23    100.000     0.000     1.5749                        0.043746   0.044088   0.044436  0.044786     13.03    16.02
GS Finance Corp.         40056YFZ2 02/28/20 03/01/28    100.000     0.000     2.3000             0.063888   0.063900   0.064635   0.065378  0.066130     19.45    23.58
GS Finance Corp.         40056YGN8 02/28/20 08/28/25    100.000     0.000     2.0300                        0.056388   0.056960   0.057538  0.058122     17.16    20.75
GS Finance Corp.         40056YGS7 02/28/20 03/11/27    100.000     0.000     2.2100             0.061389   0.061438   0.062117   0.062804  0.063498     18.69    22.64
GS Finance Corp.         40056YGT5 02/28/20 03/11/27    100.000     0.000     2.2100             0.061389   0.061438   0.062117   0.062804  0.063498     18.69    22.64
GS Finance Corp.         40056YGU2 02/28/20 03/11/27    100.000     0.000     2.2100             0.061389   0.061438   0.062117   0.062804  0.063498     18.69    22.64
GS Finance Corp.         40056YGZ1 02/28/20 03/11/30    100.000     0.000     2.4800             0.068888   0.068950   0.069805   0.070670  0.071547     20.99    25.48
GS Finance Corp.         40056YH23 02/28/20 03/11/30    100.000     0.000     2.4800             0.068888   0.068950   0.069805   0.070670  0.071547     20.99    25.48
GS Finance Corp.         40056YH56 02/28/20 03/11/27    100.000     0.000     2.2100             0.061389   0.061438   0.062117   0.062804  0.063498     18.69    22.64
GS Finance Corp.         40056YH64 02/28/20 08/28/24    100.000     0.000     1.9925                        0.055347   0.055899   0.056456  0.057018     16.84    20.36
GS Finance Corp.         40056YH72 02/28/20 02/28/23    100.000     0.000     1.8799                        0.052220   0.052711   0.053207  0.053707     15.88    19.19
GS Finance Corp.         40056YHJ6 02/24/20 02/24/22*   100.000     0.000     1.5802                        0.043894                                      0.97*        
GS Finance Corp.         40056YHR8 02/12/20 02/23/27    100.000     0.000     2.3500             0.065278   0.065325   0.066092   0.066869  0.067655     20.94    24.13
GS Finance Corp.         40056YHT4 02/24/20 08/18/21*   100.000     0.000     1.5800                        0.043888                                      0.97*        
GS Finance Corp.         40056YJ47 02/28/20 04/27/22*   100.000     0.000     1.5801                        0.043891                                      1.14*        
GS Finance Corp.         40056YJF2 02/20/20 02/15/23    100.000     0.000     1.9251                        0.053475   0.053975   0.054495  0.055019     16.70    19.67
GS Finance Corp.         40056YJM7 02/21/20 02/21/30    100.000    VARIES     2.5596                        0.071099   0.070587   0.070069  0.069543     21.97    25.18
GS Finance Corp.         40056YJX3 02/26/20 03/07/30    100.000     0.000     2.4900             0.069168   0.069220   0.070082   0.070954  0.071838     21.21    25.59
GS Finance Corp.         40056YJY1 02/26/20 03/07/30    100.000     0.000     2.4900             0.069168   0.069220   0.070082   0.070954  0.071838     21.21    25.59
GS Finance Corp.         40056YK60 03/02/20 03/03/22*   100.000     0.000     1.5799                        0.043888                                      1.01*        
GS Finance Corp.         40056YL77 03/09/20 05/11/22    100.000     0.000     1.4901             0.041391   0.041497   0.041807   0.042118  0.042432     12.13    15.14
GS Finance Corp.         40056YM76 04/03/20 04/05/23    100.000     0.000     2.5099             0.069720   0.069730   0.070605   0.071491  0.072388     18.76    25.73
GS Finance Corp.         40056YNK6 03/31/20 10/01/25    100.000     0.000     3.2325                        0.089799   0.091250   0.092725  0.094224     24.47    33.38
GS Finance Corp.         40056YNL4 04/03/20 04/04/24    100.000     0.000     2.6801                        0.074452   0.075449   0.076460  0.077485     20.04    27.52
GS Finance Corp.         40056YNR1 03/27/20 03/27/25    100.000     0.000     3.8599                        0.107220   0.109289   0.111399  0.113549     29.57    40.12
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056YNS9 03/27/20 03/27/23    100.000     0.000     3.5399                        0.098332   0.100072   0.101844  0.103646     27.11    36.68
GS Finance Corp.         40056YPD0 03/31/20 04/01/27    100.000     0.000     3.3000                        0.091674   0.093187   0.094725  0.096288     24.98    34.10
GS Finance Corp.         40056YQ56 03/31/20 03/30/28    100.000     0.000     3.3672                        0.093532   0.095107   0.096708  0.098336     25.49    34.82
GS Finance Corp.         40056YR30 03/31/20 04/09/30    100.000     0.000     3.5200             0.097778   0.097864   0.099586   0.101339  0.103123     26.66    36.46
GS Finance Corp.         40056YR55 03/31/20 04/09/30    100.000     0.000     3.5200             0.097778   0.097864   0.099586   0.101339  0.103123     26.66    36.46
GS Finance Corp.         40056YRN6 03/06/20 03/07/23*   100.000     0.000     1.5300                        0.042501                                      0.51*        
GS Finance Corp.         40056YRP1 03/31/20 04/12/27    100.000     0.000     3.3000             0.091667   0.091768   0.093282   0.094821  0.096385     24.99    34.10
GS Finance Corp.         40056YRQ9 03/31/20 04/12/27    100.000     0.000     3.3000             0.091667   0.091768   0.093282   0.094821  0.096385     24.99    34.10
GS Finance Corp.         40056YRR7 03/31/20 04/12/27    100.000     0.000     3.3000             0.091667   0.091768   0.093282   0.094821  0.096385     24.99    34.10
GS Finance Corp.         40056YS39 03/31/20 04/01/27    100.000     0.000     3.3000                        0.091674   0.093187   0.094725  0.096288     24.98    34.10
GS Finance Corp.         40056YVU5 03/24/20 03/23/23    100.000     0.000     3.9958                        0.110994   0.113199   0.115461  0.117767     30.96    41.61
GS Finance Corp.         40056YXF6 04/14/20 10/15/25    100.000     0.000     2.1451                        0.059588   0.060228   0.060874  0.061526     15.36    21.90
GS Finance Corp.         40056YXG4 04/14/20 04/14/27    100.000     0.000     2.3699                        0.065832   0.066612   0.067401  0.068200     16.98    24.24
GS Finance Corp.         40056YXV1 04/13/20 04/11/25    100.000     0.000     2.5468                        0.070744   0.071634   0.072547  0.073470     18.32    26.10
GS Finance Corp.         40056YXW9 04/13/20 04/11/24    100.000     0.000     2.3867                        0.066299   0.067081   0.067881  0.068692     17.17    24.42
GS Finance Corp.         40056YXX7 04/14/20 04/23/27    100.000     0.000     2.3700             0.065832   0.065871   0.066652   0.067442  0.068241     16.98    24.24
GS Finance Corp.         40056YYK4 04/22/20 05/01/30    100.000     0.000     2.7300             0.075833   0.075885   0.076921   0.077971  0.079035     18.96    28.01
GS Finance Corp.         40056YYL2 04/22/20 05/01/30    100.000     0.000     2.7300             0.075833   0.075885   0.076921   0.077971  0.079035     18.96    28.01
GS Finance Corp.         40056YZ49 04/13/20 04/13/27    100.000     0.000     2.8100                        0.078054   0.079151   0.080263  0.081391     20.22    28.87
GS Finance Corp.         40056YZD9 05/05/20 05/03/24    100.000     0.000     1.8596                        0.051656   0.052131   0.052615  0.053104     12.22    18.91
GS Finance Corp.         40056YZE7 04/30/20 10/30/25    100.000     0.000     2.2800                        0.063334   0.064056   0.064787  0.065525     15.31    23.28
GS Finance Corp.         40057C2Z3 05/29/20 06/23/21    100.000     0.000     0.4999             0.013886   0.013890   0.013925                           2.94     2.40
GS Finance Corp.         40057E2G1 04/30/20 04/30/27    100.000     0.000     2.4600                        0.068334   0.069174   0.070025  0.070887     16.52    25.16
GS Finance Corp.         40057E2H9 04/30/20 01/30/26    100.000     0.000     2.3100                        0.064167   0.064537   0.065283  0.066037     15.52    23.59
GS Finance Corp.         40057E3L9 04/30/20 05/11/27    100.000     0.000     2.4600             0.068333   0.068385   0.069226   0.070077  0.070939     16.52    25.16
GS Finance Corp.         40057E3U9 05/05/20 05/14/30    100.000     0.000     2.6400             0.073334   0.073382   0.074351   0.075332  0.076326     17.36    27.04
GS Finance Corp.         40057E5Y9 06/03/20 12/04/24    100.000     0.000     1.7526                        0.048685   0.049112   0.049542  0.049976     10.14    17.78
GS Finance Corp.         40057E6D4 06/03/20 06/03/24    100.000     0.000     1.6451                        0.045697   0.046073   0.046452  0.046834      9.52    16.68
GS Finance Corp.         40057E6Y8 05/29/20 06/01/28    100.000     0.000     2.3367             0.064908   0.064917   0.065675   0.066442  0.067219     13.79    23.83
GS Finance Corp.         40057EAD9 05/29/20 06/11/30    100.000     0.000     2.5500             0.070834   0.070894   0.071798   0.072713  0.073640     15.05    26.05
GS Finance Corp.         40057EAF4 05/29/20 06/10/27    100.000     0.000     2.2300             0.061945   0.061987   0.062678   0.063377  0.064083     13.16    22.72
HSBC USA, Inc.           4042K0P66 02/26/10 02/26/20    100.000    VARIES     4.3500             0.120833                                                 6.65         
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES     4.1953             0.115391   0.115669   0.115952   0.116241               41.61    38.20
HSBC USA, Inc.           4042K1TZ6 12/20/11 12/20/21    100.000    VARIES     4.3009             0.118557   0.118778   0.119004   0.119235               42.73    41.57
HSBC USA, Inc.           40432X5F4 12/21/12 12/21/22    100.000    VARIES     1.3476             0.011141   0.011216   0.011291   0.011367  0.011444      4.03     4.08
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000     4.5776             0.170649   0.174554   0.178550   0.182636  0.186816     63.45    66.39
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000     4.6460             0.173954   0.177995   0.182130   0.186361  0.190690     64.59    67.63
HSBC USA, Inc.           40432XGZ8 07/08/13 07/08/20    100.000    VARIES     1.3420             0.007456   0.007506                                      1.40         
HSBC USA, Inc.           40432XHZ7 07/26/13 07/26/23    100.000    VARIES     1.5824             0.008149   0.008213   0.008278   0.008344  0.008410      2.97     3.01
HSBC USA, Inc.           40432XJY8 08/23/13 08/23/23     98.875    VARIES     1.6689             0.010629   0.010718   0.010807   0.010897  0.010988      3.87     3.93
HSBC USA, Inc.           40432XKQ3 09/26/13 09/26/23    100.000    VARIES     3.9579             0.109648   0.109682   0.109717   0.109753  0.109789     39.49    39.51
HSBC USA, Inc.           40432XKX8 09/12/13 09/12/23     98.875    VARIES     1.6700             0.010657   0.010746   0.010836   0.010926  0.011017      3.87     3.94
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40432XLT6 09/30/13 10/02/23    100.000    VARIES     1.5394             0.007560   0.007618   0.007677   0.007736  0.007796      2.74     2.78
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES     3.4249             0.090746   0.090957   0.091171   0.091388  0.091610     32.72    32.87
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES     3.9810             0.107277   0.107422   0.107570   0.107721  0.107874     38.66    38.76
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES     4.0230             0.109274   0.109382   0.109492   0.109605  0.109720     39.36    39.44
HSBC USA, Inc.           40433BH50 03/31/15 03/31/20    100.000     0.000     2.5279             0.078622                                                 7.00         
HSBC USA, Inc.           40433BN61 04/08/15 04/08/20    100.000     0.000     1.6949             0.050795                                                 4.93         
HSBC USA, Inc.           40433BUB2 12/03/14 12/04/23    100.000     0.000     2.9962             0.096580   0.098026   0.099495   0.100985  0.102498     35.11    36.17
HSBC USA, Inc.           40433UFF8 12/31/15 01/02/24    100.000     0.000     1.6730             0.049267   0.049679   0.050095   0.050514  0.050937     17.96    18.26
HSBC USA, Inc.           40433UQV1 07/29/16 07/31/23    100.000     0.000     2.6252     93.45   0.078867   0.079902   0.080951   0.082014  0.083090     28.89    29.66
HSBC USA, Inc.           40433UQZ2 07/29/16 07/31/23    100.000     0.000     2.6252     93.45   0.078868   0.079903   0.080952   0.082015  0.083091     28.89    29.66
HSBC USA, Inc.           40433USA5 08/31/16 08/31/23    100.000     0.000     2.6052     90.26   0.077351   0.077507   0.079818   0.079539  0.081911     28.64    29.34
HSBC USA, Inc.           40433USB3 08/31/16 08/31/23    100.000     0.000     2.6052     90.26   0.077351   0.077507   0.079818   0.079539  0.081911     28.64    29.34
HSBC USA, Inc.           40433UTZ9 09/30/16 10/02/23    100.000     0.000     2.3972     80.61   0.071532   0.072389   0.073257   0.074135  0.075024     26.06    26.69
HSBC USA, Inc.           40433UUA2 09/30/16 10/02/23    100.000     0.000     2.3972     80.61   0.071532   0.072389   0.073257   0.074135  0.075024     26.06    26.69
HSBC USA, Inc.           40433UVZ6 10/31/16 10/31/23    100.000     0.000     2.6044     85.49   0.078184   0.079202   0.080234   0.081279  0.082337     28.45    29.20
HSBC USA, Inc.           40433UW44 03/08/17 03/06/20    100.000     0.000     2.5296     73.32   0.074815                                                 4.86         
HSBC USA, Inc.           40433UWA0 10/31/16 10/31/23    100.000     0.000     2.6044     85.49   0.078183   0.079201   0.080233   0.081277  0.082336     28.45    29.20
HSBC USA, Inc.           40433UZY5 11/10/16 11/10/22    100.000     0.000     2.5056     81.39   0.074997   0.075937   0.076888   0.077852  0.078827     27.26    27.95
HSBC USA, Inc.           40433X316 08/12/13 08/14/23    100.000     0.000     3.8455             0.134277   0.136859   0.139491   0.142173  0.144906     49.52    51.44
HSBC USA, Inc.           40434B131 04/03/14 03/26/21    100.000     0.000     3.2029             0.105895   0.107591   0.109314                          38.75     9.29
HSBC USA, Inc.           40434B545 02/06/14 01/29/21    100.000     0.000     3.0855             0.101370   0.102934   0.104522                          37.25     2.93
HSBC USA, Inc.           40434B610 12/26/13 06/28/21    100.000     0.000     3.3585             0.113948   0.115862   0.117807                          41.38    20.85
HSBC USA, Inc.           40434B636 12/31/13 01/04/21    100.000     0.000     3.4305             0.114940   0.116911   0.118917                          42.44     0.36
HSBC USA, Inc.           40434B867 12/03/13 11/25/20    100.000     0.000     3.1083             0.103822   0.105436                                     33.93         
HSBC USA, Inc.           40434C188 07/31/14 07/30/21    100.000     0.000     2.8870             0.090535   0.092851   0.093167   0.096079               33.97    20.09
HSBC USA, Inc.           40434C386 06/16/14 12/16/22    100.000     0.000     3.2386             0.107348   0.109086   0.110852   0.112647  0.114472     39.01    40.28
HSBC USA, Inc.           40434C659 06/05/14 05/28/21    100.000     0.000     2.9290             0.095418   0.096815   0.098233                          34.69    14.44
HSBC USA, Inc.           40434E127 03/03/16 02/24/23    100.000     0.000     2.1215     84.14   0.063413   0.064086   0.064766   0.065453  0.066147     23.12    23.61
HSBC USA, Inc.           40434E267 02/04/16 01/27/23    100.000     0.000     1.8122     73.06   0.053602   0.054088   0.054578   0.055073  0.055572     19.53    19.89
HSBC USA, Inc.           40434G775 04/30/15 05/02/22    100.000     0.000     2.2886             0.070436   0.071242   0.072057   0.072882  0.073716     25.60    26.19
HSBC USA, Inc.           40434K354 12/30/15 12/23/22    100.000     0.000     1.6731             0.049662   0.050077   0.050496   0.050918  0.051344     17.96    18.26
HSBC USA, Inc.           40434N283 06/03/16 05/26/23    100.000     0.000     2.4858     92.43   0.075251   0.076186   0.077133   0.078091  0.079062     27.32    28.01
HSBC USA, Inc.           40434V293 09/02/16 08/25/23    100.000     0.000     2.5349     87.54   0.075905   0.076867   0.077841   0.078828  0.079827     27.74    28.45
HSBC USA, Inc.           40434V780 07/13/16 06/30/23    100.000     0.000     2.5156     90.61   0.076203   0.077162   0.078132   0.079115  0.080110     27.61    28.31
HSBC USA, Inc.           40435B247 12/30/16 12/22/23    100.000     0.000     3.3412    104.63   0.102437   0.104149   0.105889   0.107658  0.109456     37.22    38.47
HSBC USA, Inc.           40435B304 10/06/16 09/29/23    100.000     0.000     2.5061     83.96   0.074977   0.075916   0.076868   0.077831  0.078806     27.33    28.02
HSBC USA, Inc.           40435F2S5 09/28/18 09/28/20    100.000     0.000     3.3672     42.95   0.096711   0.098339                                     26.11         
HSBC USA, Inc.           40435F3B1 09/19/18 09/19/25    100.000     0.000     3.3749     43.92   0.096937   0.098573   0.100236   0.101927  0.103647     35.53    36.74
HSBC USA, Inc.           40435F3C9 09/19/18 09/16/20    100.000     0.000     3.3285     43.31   0.095534   0.097124                                     24.65         
HSBC USA, Inc.           40435F4T1 10/31/18 11/02/20    100.000     0.000     3.3838     40.05   0.097219   0.098864                                     29.56         
HSBC USA, Inc.           40435F4Z7 09/28/18 02/28/20    100.000     0.000     3.0916     39.40   0.088330                                                 5.03         
HSBC USA, Inc.           40435F5A1 10/03/18 09/30/20    100.000     0.000     3.3473     42.21   0.096093   0.097701                                     26.14         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40435F5B9 10/03/18 09/30/21    100.000     0.000     3.5071     44.26   0.100836   0.102604   0.104404   0.106234               36.94    28.41
HSBC USA, Inc.           40435F5Q6 10/23/18 10/25/21    100.000     0.000     3.5942     43.30   0.103479   0.105339   0.107232   0.109159               37.83    31.87
HSBC USA, Inc.           40435F5R4 10/23/18 10/23/23    100.000     0.000     3.8181     46.04   0.110146   0.112249   0.114392   0.116576  0.118801     40.32    41.87
HSBC USA, Inc.           40435F5S2 10/23/18 10/23/23    100.000     0.000     3.8181     46.04   0.110146   0.112249   0.114392   0.116576  0.118801     40.32    41.87
HSBC USA, Inc.           40435F5V5 10/26/18 10/26/21    100.000     0.000     3.5942     42.99   0.103459   0.105318   0.107211   0.109137               37.82    31.97
HSBC USA, Inc.           40435F6A0 10/24/18 04/24/20    100.000     0.000     3.1206     37.44   0.089410                                                10.10         
HSBC USA, Inc.           40435FA64 05/31/18 06/01/21    100.000     0.000     3.2917     53.17   0.096034   0.097615   0.099222                          34.95    14.88
HSBC USA, Inc.           40435FAQ0 07/03/17 07/01/22    100.000     0.000     2.5570     65.43   0.075674   0.076641   0.077621   0.078613               27.42    28.12
HSBC USA, Inc.           40435FB48 05/24/18 05/27/25    100.000     0.000     2.6745     43.52   0.077330   0.078364   0.079412   0.080474  0.081550     28.10    28.85
HSBC USA, Inc.           40435FBA4 07/27/17 07/27/20    100.000     0.000     2.1741     53.91   0.063059   0.063745                                     13.11         
HSBC USA, Inc.           40435FBB2 07/27/17 07/27/22    100.000     0.000     2.6657     66.41   0.078075   0.079115   0.080170   0.081238  0.082321     28.62    29.38
HSBC USA, Inc.           40435FCC9 07/28/17 07/29/24    100.000     0.000     3.0414     75.96   0.089748   0.091112   0.092498   0.093905  0.095333     32.97    33.98
HSBC USA, Inc.           40435FCZ8 09/06/17 09/08/20    100.000     0.000     2.0146     47.60   0.058257   0.058844                                     14.50         
HSBC USA, Inc.           40435FF69 05/30/18 06/01/21    100.000     0.000     3.2353     52.24   0.094310   0.095836   0.097386                          34.32    14.61
HSBC USA, Inc.           40435FG35 06/29/18 06/30/25    100.000     0.000     3.7007     56.76   0.108621   0.110631   0.112678   0.114763  0.116886     39.47    40.94
HSBC USA, Inc.           40435FG43 06/29/18 06/29/23    100.000     0.000     3.5351     54.18   0.103497   0.105326   0.107188   0.109082  0.111010     37.60    38.94
HSBC USA, Inc.           40435FGU5 11/03/17 11/03/20    100.000     0.000     2.2992     50.66   0.066853   0.067622                                     20.33         
HSBC USA, Inc.           40435FH91 08/09/18 08/09/23    100.000    VARIES     3.6010     50.12   0.099626   0.099674   0.099722   0.099771  0.099820     35.89    35.92
HSBC USA, Inc.           40435FHY6 10/12/17 10/12/22    100.000     0.000     2.6944     61.23   0.078961   0.080025   0.081103   0.082196  0.083303     28.79    29.57
HSBC USA, Inc.           40435FJ99 07/27/18 07/28/25    100.000     0.000     3.7400     54.35   0.107821   0.109837   0.111891   0.113983  0.116115     39.80    41.30
HSBC USA, Inc.           40435FJB4 10/31/17 04/28/23    100.000     0.000     2.7712     61.55   0.081321   0.082448   0.083591   0.084749  0.085923     29.62    30.45
HSBC USA, Inc.           40435FJL2 10/25/17 10/25/24    100.000     0.000     3.0894     69.26   0.091243   0.092652   0.094083   0.095536  0.097012     33.29    34.32
HSBC USA, Inc.           40435FJQ1 10/30/17 10/30/24    100.000     0.500     3.1256     69.42   0.091496   0.092925   0.093944   0.095412  0.096469     33.35    34.24
HSBC USA, Inc.           40435FK22 07/27/18 07/27/23    100.000     0.000     3.5941     52.20   0.103457   0.105317   0.107209   0.109136  0.111097     38.16    39.54
HSBC USA, Inc.           40435FKC0 12/05/17 12/07/20    100.000     0.000     2.3474     49.56   0.068329   0.069131                                     23.10         
HSBC USA, Inc.           40435FM87 07/31/18 07/31/20    100.000     0.000     3.2411     46.71   0.092972   0.094479                                     19.70         
HSBC USA, Inc.           40435FM95 08/03/18 08/03/20    100.000     0.000     3.2410     46.43   0.092970   0.094477                                     19.98         
HSBC USA, Inc.           40435FMM6 12/26/17 12/28/20    100.000     0.000     2.4968     51.24   0.072894   0.073804                                     26.19         
HSBC USA, Inc.           40435FN29 07/09/18 07/10/23    100.000     0.000     3.5252     53.01   0.101414   0.103201   0.105020   0.106871  0.108755     37.45    38.78
HSBC USA, Inc.           40435FPB7 12/19/17 12/21/20    100.000     0.000     2.4181     50.09   0.070486   0.071338                                     24.82         
HSBC USA, Inc.           40435FPC5 12/18/17 06/18/25    100.000     0.000     2.0994     43.44   0.060805   0.061443   0.062088   0.062740  0.063399     22.02    22.49
HSBC USA, Inc.           40435FPK7 12/27/17 12/29/25    100.000     0.000     3.2733     67.48   0.097042   0.098630   0.100244   0.101885  0.103552     35.23    36.39
HSBC USA, Inc.           40435FPX9 02/05/18 02/05/21    100.000     0.000     2.7928     54.29   0.080874   0.082004   0.083149                          29.65     2.83
HSBC USA, Inc.           40435FPY7 01/31/18 01/31/25    100.000     0.000     3.4220     67.32   0.100020   0.101732   0.103472   0.105243  0.107043     36.84    38.11
HSBC USA, Inc.           40435FQZ3 12/29/17 12/31/24    100.000     0.000     2.1006     42.80   0.060845   0.061484   0.062130   0.062782  0.063442     22.02    22.49
HSBC USA, Inc.           40435FR90 08/31/18 09/02/25    100.000     0.000     3.6706     49.84   0.105759   0.107700   0.109677   0.111689  0.113739     38.89    40.33
HSBC USA, Inc.           40435FRS8 02/02/18 02/02/23    100.000    VARIES     3.1727     60.61   0.087875   0.087910   0.087946   0.087982  0.088018     31.65    31.68
HSBC USA, Inc.           40435FS24 08/31/18 08/31/23    100.000     0.000     3.5246     47.82   0.101385   0.103162   0.104990   0.106820  0.108723     37.26    38.58
HSBC USA, Inc.           40435FTA5 02/28/18 02/28/25    100.000     0.000     3.5313     66.63   0.103379   0.105204   0.107062   0.108952  0.110876     38.00    39.35
HSBC USA, Inc.           40435FTN7 02/08/18 02/09/23    100.000     0.000     3.1077     60.27   0.090420   0.091825   0.093252   0.094701  0.096172     33.21    34.25
HSBC USA, Inc.           40435FTR8 02/13/18 02/13/23    100.000    VARIES     3.1734     59.65   0.087894   0.087929   0.087964   0.088000  0.088037     31.66    31.68
HSBC USA, Inc.           40435FV38 07/30/18 07/30/21    100.000     0.000     2.7870     40.08   0.079588   0.080697   0.081822   0.082962               29.19    17.31
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40435FV46 07/31/18 08/01/23    100.000     0.000     3.6433     52.61   0.104935   0.106846   0.108792   0.110774  0.112792     38.70    40.12
HSBC USA, Inc.           40435FV61 08/31/18 08/31/20    100.000     0.000     3.2102     43.50   0.092059   0.093528                                     22.27         
HSBC USA, Inc.           40435FV95 08/07/18 08/07/20    100.000     0.000     2.7938     39.62   0.079788   0.080903                                     17.43         
HSBC USA, Inc.           40435FVW4 03/06/18 03/06/26    100.000     0.000     3.5803     66.73   0.104891   0.106768   0.108680   0.110625  0.112606     38.53    39.93
HSBC USA, Inc.           40435FW29 08/07/18 08/09/21    100.000     0.000     2.7867     39.52   0.079594   0.080703   0.081827   0.082967               29.17    18.04
HSBC USA, Inc.           40435FW60 08/30/18 08/30/23    100.000     0.000     3.5443     48.10   0.101973   0.103770   0.105619   0.107470  0.109396     37.48    38.82
HSBC USA, Inc.           40435FXS1 04/30/18 05/01/23    100.000     0.000     3.7905     64.74   0.111404   0.113515   0.115666   0.117858  0.120092     40.74    42.30
HSBC USA, Inc.           40435FY35 08/29/18 08/26/21    100.000     0.000     3.3308     45.25   0.095603   0.097195   0.098814   0.100459               35.11    23.52
HSBC USA, Inc.           40435FZ26 09/28/18 09/29/25    100.000     0.000     3.8667     49.42   0.111614   0.113772   0.115972   0.118214  0.120499     40.97    42.57
HSBC USA, Inc.           40435FZ34 09/28/18 09/28/23    100.000     0.000     3.7109     47.40   0.106942   0.108926   0.110947   0.113006  0.115103     39.23    40.70
HSBC USA, Inc.           40435FZN0 05/02/18 05/02/23    100.000     0.000     3.6133     61.43   0.105907   0.107820   0.109768   0.111751  0.113770     38.70    40.11
HSBC USA, Inc.           40435G279 09/14/17 09/15/22    100.000     0.000     1.9322     45.18   0.055780   0.056319   0.056863   0.057412  0.057967     20.29    20.69
HSBC USA, Inc.           40435G287 09/14/17 09/16/21    100.000     0.000     1.9325     45.18   0.055791   0.056330   0.056874   0.057424               20.30    14.60
HSBC USA, Inc.           40435G295 09/14/17 09/14/23    100.000     0.000     1.9320     45.17   0.055770   0.056309   0.056853   0.057402  0.057956     20.29    20.68
HSBC USA, Inc.           40435G725 08/31/17 08/30/24    100.000     0.000     2.8720     68.91   0.084461   0.085667   0.086904   0.088138  0.089418     30.92    31.81
HSBC USA, Inc.           40435U3S1 02/04/20 02/06/23    100.000     0.000     1.7448             0.048468   0.048472   0.048895   0.049322  0.049752     15.91    17.80
HSBC USA, Inc.           40435U3T9 02/04/20 02/05/24    100.000     0.000     1.7442                        0.048454   0.048876   0.049302  0.049732     15.91    17.80
HSBC USA, Inc.           40435UAC8 11/30/18 11/30/20    100.000     0.000     3.4003     37.32   0.097693   0.099354                                     32.44         
HSBC USA, Inc.           40435UAJ3 11/07/18 11/04/20    100.000     0.000     3.4726     40.42   0.099813   0.101546                                     30.56         
HSBC USA, Inc.           40435UAK0 11/20/18 11/20/23    100.000     0.000     3.7182     41.92   0.107160   0.109153   0.111182   0.113249  0.115354     39.10    40.57
HSBC USA, Inc.           40435UAL8 11/16/18 11/16/23    100.000     2.000     3.7066     41.94   0.104734   0.105646   0.106574   0.107519  0.108482     37.95    38.62
HSBC USA, Inc.           40435UAX2 11/30/18 11/30/21    100.000     0.000     3.4829     38.24   0.100145   0.101889   0.103663   0.105469               36.48    34.43
HSBC USA, Inc.           40435UBA1 11/27/18 11/27/20    100.000     0.000     3.3612     37.18   0.096532   0.098154                                     31.76         
HSBC USA, Inc.           40435UBL7 12/31/18 01/14/26*   100.000     0.000     3.7743     38.23   0.106977   0.108996                                      1.50*        
HSBC USA, Inc.           40435UBM5 12/31/18 01/10/24*   100.000     0.000     3.6172     36.62   0.102398   0.104249                                      1.44*        
HSBC USA, Inc.           40435UEV2 02/22/19 02/22/24    100.000     0.000     3.3153     28.65   0.093618   0.095170   0.096747   0.098351  0.099981     34.39    35.53
HSBC USA, Inc.           40435UEW0 02/22/19 02/22/24    100.000     0.000     3.3153     28.65   0.093618   0.095170   0.096747   0.098351  0.099981     34.39    35.53
HSBC USA, Inc.           40435UFW9 02/22/19 02/22/21    100.000     0.000     2.5577     22.07   0.071957   0.072877   0.073809                          26.31     3.76
HSBC USA, Inc.           40435UGT5 02/27/19 02/25/21    100.000     0.000     3.0431     25.86   0.085802   0.087108   0.088433                          31.46     4.78
HSBC USA, Inc.           40435UHX5 03/15/19 09/29/21*   100.000    VARIES     2.9178     23.18   0.081051   0.081051   0.081057                          29.02*        
HSBC USA, Inc.           40435UJM7 03/18/19 03/24/21    100.000     0.000     3.0343     23.99   0.085609   0.086908   0.088227                          31.31     7.32
HSBC USA, Inc.           40435UJQ8 04/02/19 04/04/22    100.000     0.000     2.5379     19.04   0.071402   0.072308   0.073226   0.074155  0.075096     26.03    26.69
HSBC USA, Inc.           40435UJV7 03/27/19 04/01/21    100.000     0.000     2.8607     21.88   0.080626   0.081779   0.082949                          29.44     7.47
HSBC USA, Inc.           40435ULL6 04/03/19 04/09/21    100.000     0.000     2.8372     21.22   0.079967   0.081101   0.082252                          29.18     8.06
HSBC USA, Inc.           40435UNY6 06/19/19 06/20/22    100.000     0.000     2.3706     12.65   0.066635   0.067425   0.068224   0.069033  0.069851     24.15    24.72
HSBC USA, Inc.           40436A347 02/28/19 02/24/23    100.000     0.000     3.2374     27.43   0.091350   0.092829   0.094331   0.095858  0.097410     33.53    34.63
Hancock County SD 316,IL 409792DN5 05/01/14 12/01/20    105.881    VARIES     3.2317             0.090661   0.090218                                     29.84         
City of Hoboken          434110QH8 08/28/03 04/01/27     19.107     0.000     7.1398    410.35   0.117187   0.121370   0.125703   0.130191  0.134838     43.71    46.88
City of Hoboken          434110QJ4 08/28/03 04/01/28     17.813     0.000     7.1397    382.55   0.109247   0.113147   0.117186   0.121369  0.125702     40.75    43.71
City of Hoboken          434110QK1 08/28/03 04/01/29     16.606     0.000     7.1397    356.64   0.101846   0.105482   0.109247   0.113147  0.117186     37.99    40.75
City of Hoboken          434110QL9 08/28/03 04/01/30     15.481     0.000     7.1397    332.47   0.094946   0.098336   0.101846   0.105482  0.109247     35.41    37.99
City of Hoboken          434110QM7 08/28/03 04/01/31     14.432     0.000     7.1398    309.95   0.088514   0.091674   0.094946   0.098336  0.101846     33.01    35.41
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
City of Hoboken          434110QN5 08/28/03 04/01/32     13.454     0.000     7.1398    288.95   0.082517   0.085463   0.088514   0.091674  0.094947     30.78    33.01
City of Hoboken          434110QP0 08/28/03 04/01/33     12.543     0.000     7.1397    269.38   0.076927   0.079673   0.082517   0.085463  0.088514     28.69    30.78
Hovnanian Enterprises    442488BL5 11/01/11 11/01/21     53.000     5.000    13.8062    331.77   0.187295   0.200224   0.214046   0.228822               71.36    66.87
Hovnanian Enterprises    442488BM3 11/01/11 11/01/21     42.000     2.000    12.1926             0.279007   0.292629   0.307082   0.322415              104.58    94.88
K. HOVNANIAN ENTERPRISES 442488CH3 02/01/18 02/01/40     48.820     5.000    11.3861     11.62   0.018324   0.019368   0.020470   0.021636  0.022867      7.11     7.94
Illinois Student Asst Co 452281JD1 10/27/10 04/25/23     95.305    VARIES        N/A             0.010785   0.009647   0.006409   0.005348  0.002711      2.99     1.52
JP Morgan Chase & Co.    46625HME7 07/31/15 07/31/35    100.000    VARIES     4.4624             0.122143   0.123233   0.124348   0.125488  0.126653     44.50    45.32
JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24    103.000     0.250     3.1279     81.96   0.094779   0.096153   0.097548   0.098965  0.100404     34.84    35.86
JPMorgan Chase Financial 46647MNA7 08/23/17 08/20/20    100.000     0.000     2.1009     50.47   0.060838   0.061477                                     14.05         
JPMorgan Chase Financial 46647MNK5 09/27/17 09/27/23    100.000     0.000     2.9208     67.79   0.085977   0.087232   0.088506   0.089799  0.091110     31.42    32.34
JPMorgan Chase Financial 46647MQK2 01/31/18 01/31/20    100.000     0.000     2.5710     50.27   0.074206                                                 2.15         
JPMorgan Chase Financial 46647MQQ9 02/14/18 02/14/20    100.000     0.000     2.6715     51.19   0.077222                                                 3.32         
JPMorgan Chase Financial 46647MQW6 03/14/18 03/16/20    100.000     0.000     2.8425     52.06   0.082385                                                 6.18         
JPMorgan Chase Financial 46647MRM7 04/25/18 04/25/23    100.000     0.000     3.6617     63.03   0.107404   0.109370   0.111372   0.113412  0.115488     39.28    40.73
JPMorgan Chase Financial 46647MSA2 06/20/18 06/20/23    100.000     0.000     3.7406     58.37   0.109844   0.111898   0.113991   0.116123  0.118295     39.96    41.47
JPMorgan Chase Financial 46647MSD6 08/03/18 07/30/21    100.000     0.000     3.3214     47.60   0.095324   0.096907   0.098516   0.100152               35.08    20.88
Jackson CNTYS SD#165, IL 466484FE7 06/28/07 12/01/20     44.055     0.000     6.1997    505.08   0.162014   0.167036                                     54.37         
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000     6.2497    477.23   0.153498   0.158294   0.163241   0.168342               56.41    54.79
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000     6.2498    448.75   0.144338   0.148848   0.153500   0.158296  0.163243     53.05    56.42
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000     6.2997    423.36   0.136542   0.140843   0.145280   0.149856  0.154576     50.19    53.40
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000     6.2996    397.90   0.128330   0.132372   0.136542   0.140843  0.145279     47.17    50.19
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000     6.2997    373.97   0.120613   0.124412   0.128331   0.132373  0.136543     44.34    47.17
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000     6.3498    352.11   0.113873   0.117488   0.121218   0.125066  0.129037     41.87    44.57
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000     6.3500    340.42   0.110371   0.113875   0.117490   0.121221  0.125070     40.48    43.09
JACKSON PERRY & RANDOLPH 468687BS6 09/12/17 12/01/20    104.745     4.250     2.6851     64.49   0.075729   0.075161                                     24.89         
JACKSON PERRY & RANDOLPH 468687BT4 09/12/17 12/01/21    105.525     4.250     2.8378     68.78   0.080976   0.080450   0.079916   0.079375               29.02    26.28
JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22    104.761     4.250     3.2383     78.19   0.092535   0.092122   0.091702   0.091275  0.090842     33.21    32.91
Jefferies Group LLC      47233JAK4 02/28/17 02/28/24    100.000    VARIES     2.8488      7.51   0.006965   0.007064   0.007164   0.007266  0.007370      2.55     2.62
Jefferies Group LLC      47233JAL2 04/28/17 04/28/33    100.000    VARIES     5.1690    130.94   0.128823   0.128474   0.128115   0.127747  0.127772     46.27    46.03
Jefferies Group LLC      47233JAP3 05/31/17 05/31/34    100.000    VARIES     5.0961    126.43   0.131073   0.129862   0.129412   0.128950  0.128477     46.92    46.48
Jefferies Group LLC      47233JAQ1 06/30/17 06/30/37    100.000    VARIES     5.1829    123.30   0.125726   0.125026   0.124467   0.124043  0.123743     45.13    44.73
Jefferies Group LLC      47233JAT5 07/31/17 07/31/37    100.000    VARIES     5.3560    125.65   0.140751   0.139925   0.138552   0.137429  0.136557     50.19    49.38
Jefferies Group LLC      47233JAV0 08/31/17 08/31/37    100.000    VARIES     5.1572    117.19   0.134774   0.132497   0.130199   0.127786  0.125385     47.55    45.85
Jefferies Group LLC      47233JAX6 08/31/17 08/31/37    100.000    VARIES     5.1565    116.03   0.131789   0.130531   0.129425   0.128405  0.127621     46.93    46.19
Jefferies Group LLC      47233JAY4 09/29/17 09/30/37    100.000    VARIES     5.0451    110.75   0.131550   0.129260   0.126912   0.126345  0.125875     46.52    45.49
Jefferies Group LLC      47233JBB3 10/31/17 10/31/37    100.000    VARIES     5.1557    107.92   0.133924   0.132958   0.132042   0.131198  0.130480     47.92    47.29
Jefferies Group LLC      47233JBC1 10/31/17 10/31/37    100.000    VARIES     5.1265    108.36   0.135143   0.134170   0.133284   0.132503  0.131876     48.36    47.76
Jefferies Group LLC      47233JBE7 12/28/17 12/28/37    100.000    VARIES     4.3011     14.40   0.017542   0.016549   0.015535   0.014498  0.013440      6.13     5.40
Jefferies Group LLC      47233JBG2 01/31/18 01/31/38    100.000    VARIES     5.0271     93.69   0.131108   0.128120   0.128469   0.128782  0.129069     46.26    46.40
Jefferies Group LLC      47233JBJ6 02/28/18 02/28/38    100.000    VARIES     4.1737      7.46   0.009552   0.008483   0.007380   0.006272  0.006404      2.98     2.34
Jefferies Group LLC      47233JBK3 03/29/18 03/29/38    100.000    VARIES     5.3355     92.65   0.144407   0.143072   0.141702   0.140295  0.140491     51.50    50.65
Jefferies Group LLC      47233JBT4 03/21/19 03/21/31    100.000    VARIES     4.2780      4.97   0.016776   0.015214   0.013618   0.011988  0.012245      5.44     4.47
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Jefferies Group LLC      47233JBV9 04/30/19 04/30/34    100.000    VARIES     5.1653      3.85   0.015398   0.014584   0.013749   0.012892  0.012014      5.30     4.69
Jefferies Group LLC      47233JBW7 05/31/19 05/31/39    100.000    VARIES     5.4586      2.52   0.011287   0.010473   0.009637   0.008779  0.007896      3.87     3.26
Jefferies Group LLC      47233JBY3 06/26/19 06/26/39    100.000    VARIES     5.4862      3.27   0.016824   0.015932   0.015016   0.014074  0.013107      5.89     5.23
Jefferies Group LLC      47233JCE6 08/30/19 08/31/39    100.000    VARIES     4.1514     13.95   0.115317   0.113661   0.111997   0.110260  0.108538     40.81    39.58
Jefferies Group LLC      47233JCR7 11/29/19 11/29/34    100.000    VARIES     4.1288      3.67   0.114690   0.114191   0.113681   0.113160  0.112629     41.17    40.80
Jefferies Group LLC      47233JDF2 05/29/20 05/28/32    100.000    VARIES     3.1824                        0.022774   0.021275   0.019744  0.018189      4.78     7.28
Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22    107.317    VARIES     2.8895             0.082234   0.081917   0.081596   0.081270  0.080939     29.53    29.30
Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23    105.651    VARIES     3.0399             0.086368   0.086140   0.085908   0.085673  0.085434     31.04    30.87
Johnson CNTYS, IL        478167HH5 07/03/14 10/01/20    107.066    VARIES     3.0900             0.086890   0.086365                                     23.37         
Johnson CNTYS, IL        478167HJ1 07/03/14 10/01/21    105.766    VARIES     3.3404             0.094408   0.094013   0.093611   0.093203               33.84    25.20
Johnson CNTYS, IL        478167HK8 07/03/14 10/01/22    104.620    VARIES     3.5910             0.101603   0.101308   0.101007   0.100701  0.100389     36.47    36.25
Johnson CNTYS, IL        478167HL6 07/03/14 10/01/23    103.105    VARIES     3.8407             0.108292   0.108104   0.107913   0.107718  0.107520     38.92    38.78
JOHNSON & UN CNTYS ILL C 478169AA3 07/19/17 12/01/27    100.000     5.700     5.6760    141.17   0.157907   0.157895   0.157882   0.157869  0.157856     56.84    56.83
J2 Global, Inc.          48123VAC6 06/17/14 06/15/29    100.000    VARIES     8.0003             0.293330   0.301452   0.309899   0.318685  0.327821    107.33   113.43
JP Morgan Chase & Co.    48124AZW0 09/15/10 09/15/25*   100.000    VARIES     3.5832             0.091246   0.091910   0.092585                          31.54*        
JP Morgan Chase & Co.    48125UDK5 03/30/15 03/30/25*   100.000    VARIES     3.4193             0.092195   0.092457                                     24.76*        
JP Morgan Chase & Co.    48125UKN1 03/31/15 12/31/20    100.000     0.000     2.9102             0.092734   0.094083                                     33.53         
JP Morgan Chase & Co.    48125UL59 08/17/15 02/18/21    100.000     1.000     2.8256             0.084517   0.085318   0.086131                          30.79     4.05
JP Morgan Chase & Co.    48125UTC6 06/26/15 06/26/30*   100.000    VARIES     4.4666             0.117334                                                20.77*        
JP Morgan Chase & Co.    48125UTF9 06/30/15 06/30/30*   100.000    VARIES     4.4796             0.109495   0.109222                                     29.65*        
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES     4.4810             0.110973   0.110654   0.110815   0.110980  0.111148     39.89    39.92
JP Morgan Chase & Co.    48125UTH5 06/30/15 06/30/30*   100.000    VARIES     4.4852             0.116450                                                21.08*        
JP Morgan Chase & Co.    48125UTL6 06/30/15 06/30/30*   100.000    VARIES     4.4865             0.122523                                                22.18*        
JP Morgan Chase & Co.    48125UTT9 07/31/15 07/31/30*   100.000    VARIES     4.3052             0.112610   0.112400                                     23.61*        
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES     4.2124             0.112751   0.113777   0.114824   0.115894  0.116986     41.03    41.79
JP Morgan Chase & Co.    48125UUN0 08/31/15 08/31/30*   100.000    VARIES     4.2249             0.108760   0.107368                                     25.85*        
JP Morgan Chase & Co.    48125UUT7 08/31/15 08/31/25    100.000    VARIES     2.5712             0.007782   0.007796   0.008028   0.007998  0.008235      2.88     2.95
JP Morgan Chase & Co.    48125UY48 09/30/15 09/30/30*   100.000    VARIES     4.2752             0.111797   0.111593                                     30.04*        
JP Morgan Chase & Co.    48125UY71 09/18/15 09/18/30    100.000    VARIES     2.6025             0.011416   0.011324   0.011230   0.011136  0.011040      4.07     4.01
JP Morgan Chase & Co.    48125VSN1 03/27/12 03/27/20    100.000     0.000     3.7709             0.138622                                                11.92         
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES     5.0718             0.142982   0.142324   0.141613                          51.23    12.60
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES     5.1602             0.145591   0.145172   0.144722   0.144259  0.143805     52.27    51.94
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES     5.0712             0.143109   0.142796   0.142471   0.142137  0.141821     51.45    51.22
JP Morgan Chase & Co.    48126D3W7 05/31/13 05/29/20    100.000    VARIES     2.8293             0.087203                                                12.91         
JP Morgan Chase & Co.    48126D3X5 05/31/13 05/31/23    100.000    VARIES     3.5785             0.106771   0.107549   0.108341   0.109148  0.110056     38.63    39.20
JP Morgan Chase & Co.    48126D6Y0 09/20/13 09/20/23*   100.000    VARIES     4.4963             0.118503   0.119142   0.119795                          30.81*        
JP Morgan Chase & Co.    48126DJ91 04/30/13 04/28/23    100.000    VARIES     3.1390             0.092895   0.093507   0.094128   0.094759  0.095473     33.63    34.08
JP Morgan Chase & Co.    48126DQL6 01/31/13 01/31/23    100.000    VARIES     3.1823             0.093156   0.093680   0.094265   0.094860  0.095494     33.80    34.23
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES     3.8928             0.095070   0.095353   0.095641   0.095935  0.096525     34.31    34.54
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES     3.8747             0.094211   0.094662   0.095123   0.095592  0.096269     34.04    34.38
JP Morgan Chase & Co.    48126DVG1 02/28/13 02/28/23    100.000    VARIES     3.2856             0.095278   0.094801   0.096996   0.096038  0.098324     35.00    35.39
JP Morgan Chase & Co.    48126DVY2 02/11/13 02/10/20    100.000     0.000     2.6403             0.086968                                                 3.39         
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126DZQ5 03/28/13 03/31/23    100.000    VARIES     3.3453             0.099753   0.100450   0.101192   0.101946  0.102750     36.17    36.71
JP Morgan Chase & Co.    48126N3B1 02/28/14 02/29/20    100.000     0.000     2.8179             0.090294                                                 5.33         
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES     4.4199             0.115325   0.115228   0.115329   0.115432  0.115537     41.50    41.56
JP Morgan Chase & Co.    48126NCV7 06/28/13 06/30/20    100.000    VARIES     3.6189             0.109886                                                19.67         
JP Morgan Chase & Co.    48126NCW5 06/28/13 06/30/23    100.000    VARIES     4.3049             0.128770   0.129867   0.130987   0.132132  0.133421     46.56    47.36
JP Morgan Chase & Co.    48126NHJ9 07/31/13 07/31/23    100.000    VARIES     3.9757             0.117934   0.118922   0.119929   0.120957  0.122005     42.94    43.67
JP Morgan Chase & Co.    48126NMH7 08/30/13 08/31/23    100.000    VARIES     4.2968             0.125612   0.125313   0.128498   0.127516  0.130786     46.27    47.00
JP Morgan Chase & Co.    48126NQB6 08/29/13 08/31/20    100.000     0.000     3.7494             0.128749   0.129737                                     31.47         
JP Morgan Chase & Co.    48126NSK4 09/18/13 09/18/20    100.000     0.000     3.8713             0.135352   0.137972                                     35.26         
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES     4.4385             0.113334   0.113833   0.114344   0.114866  0.115399     40.95    41.32
JP Morgan Chase & Co.    48126NT64 01/31/14 01/31/20    100.000     0.000     2.7907             0.090284                                                 2.62         
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES     4.6982             0.119973   0.120567   0.121176   0.121799  0.122436     43.35    43.79
JP Morgan Chase & Co.    48126NU96 01/24/14 01/26/21    100.000     0.000     3.3005             0.109787   0.111598   0.113440                          40.42     2.84
JP Morgan Chase & Co.    48126NWV5 10/31/13 10/31/23    100.000    VARIES     3.8580             0.113560   0.114406   0.115267   0.116146  0.117041     41.14    41.76
JP Morgan Chase & Co.    48126NXS1 10/21/13 10/21/20    100.000     0.000     3.5611             0.122255   0.124431                                     35.85         
JP Morgan Chase & Co.    48127A351 12/26/13 06/24/21    100.000     0.000     3.6699             0.126775   0.129101   0.131470                          46.09    22.74
JP Morgan Chase & Co.    48127D3H9 12/17/14 12/17/20    100.000    VARIES     2.7853             0.080296   0.081414                                     27.98         
JP Morgan Chase & Co.    48127D4A3 12/31/14 12/31/20    100.000     0.000     1.7101             0.051724   0.052166                                     18.65         
JP Morgan Chase & Co.    48127DCY2 04/30/14 04/30/20    100.000     0.000     2.8708             0.093280                                                11.10         
JP Morgan Chase & Co.    48127DFJ2 04/23/14 04/22/20    100.000    VARIES     2.8446             0.082862                                                 9.20         
JP Morgan Chase & Co.    48127DMP0 06/30/14 09/30/20    100.000     0.000     2.7898             0.089628   0.090879                                     24.34         
JP Morgan Chase & Co.    48127DPA0 11/21/14 11/21/29*   100.000    VARIES     4.0317             0.104228   0.104279   0.104332                          33.57*        
JP Morgan Chase & Co.    48127DPH5 12/24/14 12/24/29*   100.000    VARIES     2.8705             0.079941   0.079976                                     21.19*        
JP Morgan Chase & Co.    48127DVW5 08/29/14 08/31/20    100.000     0.000     2.8193             0.089104   0.089378                                     21.70         
JP Morgan Chase & Co.    48127DYS1 09/30/14 09/30/20    100.000     0.000     2.9910             0.096378   0.097819                                     26.19         
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000     3.8108             0.130283   0.132765   0.135295   0.137873  0.140500     47.65    49.49
JP Morgan Chase & Co.    48128GF88 05/24/17 05/24/27    100.000    VARIES     2.5870      9.44   0.009186   0.009305   0.009426   0.009548  0.009671      3.34     3.42
JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27    100.000    VARIES     2.4049      6.39   0.007166   0.006959   0.006747   0.006827  0.006910      2.49     2.46
JP Morgan Chase & Co.    48128GYQ7 11/27/18 11/27/68     12.184     0.000     4.2547      5.75   0.015019   0.015338   0.015665   0.015998  0.016338      5.49     5.72
JP Morgan Chase & Co.    48128GYU8 12/19/18 11/10/36     47.489     0.000     4.2056     20.91   0.057576   0.058787   0.060023   0.061285  0.062574     21.07    21.97
JP Morgan Chase & Co.    48128GYV6 12/20/18 12/20/28    100.000    VARIES     3.6202      6.03   0.014752   0.013694   0.012617   0.012845  0.013078      5.10     4.59
JPMorgan Chase Financial 48129M2G0 06/18/18 06/18/20    100.000     0.000     2.8409     44.29   0.082325                                                13.75         
JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25    100.000     0.000     3.9304     60.59   0.115730   0.118004   0.120323   0.122687  0.125098     42.09    43.77
JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25    100.000     0.000     3.8909     56.25   0.112326   0.114511   0.116738   0.119010  0.121325     41.50    43.13
JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25    100.000     0.000     2.5507     45.52   0.073608   0.074547   0.075498   0.076460  0.077436     26.84    27.53
JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25    100.000     0.000     3.8909     56.25   0.112326   0.114511   0.116738   0.119010  0.121325     41.50    43.13
JPMorgan Chase Financial 48129MEQ5 03/28/18 03/26/21    100.000     0.000     2.5513     45.61   0.073605   0.074544   0.075495                          26.85     6.42
JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25    100.000     0.000     3.8909     56.25   0.112326   0.114511   0.116738   0.119010  0.121325     41.50    43.13
JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25    100.000     0.000     3.8909     56.25   0.112326   0.114511   0.116738   0.119010  0.121325     41.50    43.13
JPMorgan Chase Financial 48129MG42 08/03/18 07/31/23    100.000     0.000     3.6608     52.55   0.105415   0.107345   0.109310   0.111311  0.113348     38.88    40.32
JPMorgan Chase Financial 48129MG59 08/03/18 07/30/21    100.000     0.000     3.3214     47.60   0.095324   0.096907   0.098516   0.100152               35.08    20.88
JPMorgan Chase Financial 48129MH25 08/03/18 07/31/23    100.000     0.000     3.6608     52.55   0.105415   0.107345   0.109310   0.111311  0.113348     38.88    40.32
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25    100.000     0.000     3.9714     67.90   0.117019   0.119343   0.121713   0.124130  0.126594     42.83    44.55
JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25    100.000     0.000     3.9714     67.90   0.117019   0.119343   0.121713   0.124130  0.126594     42.83    44.55
JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25    100.000     0.000     3.9714     67.90   0.117019   0.119343   0.121713   0.124130  0.126594     42.83    44.55
JPMorgan Chase Financial 48129MKS4 05/03/18 04/30/21    100.000     0.000     3.3521     56.81   0.097849   0.099489   0.101157                          35.72    12.04
JPMorgan Chase Financial 48129MM60 07/25/18 07/25/23    100.000     0.000     3.6610     53.40   0.105452   0.107383   0.109348   0.111350  0.113388     38.92    40.36
JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25    100.000     0.000     3.9611     64.22   0.116698   0.119010   0.121367   0.123770  0.126222     42.57    44.28
JPMorgan Chase Financial 48129MQ74 07/30/18 07/28/23    100.000     0.000     3.6712     53.02   0.105735   0.107676   0.109653   0.111666  0.113715     39.01    40.46
JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25    100.000     0.000     3.9611     64.22   0.116698   0.119010   0.121367   0.123770  0.126222     42.57    44.28
JPMorgan Chase Financial 48129MSR8 06/04/18 06/02/23    100.000     0.000     3.7008     59.48   0.108590   0.110600   0.112646   0.114731  0.116854     39.57    41.05
JPMorgan Chase Financial 48129MX92 09/06/18 08/31/23    100.000     0.000     3.7714     50.58   0.108683   0.110721   0.112820   0.114924  0.117115     40.00    41.52
JPMorgan Chase Financial 48129MXY7 07/05/18 06/30/23    100.000     0.000     3.6903     55.96   0.108233   0.110230   0.112264   0.114336  0.116446     39.33    40.79
JPMorgan Chase Financial 48129MXZ4 07/05/18 06/30/21    100.000     0.000     3.3201     50.25   0.096852   0.098460   0.100094                          35.16    17.92
JPMorgan Chase Financial 48129MY34 09/06/18 08/31/23    100.000     0.000     3.7714     50.58   0.108683   0.110721   0.112820   0.114924  0.117115     40.00    41.52
JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25    100.000     0.000     3.9300     60.46   0.115754   0.118029   0.120348   0.122713  0.125124     42.09    43.76
JPMorgan Chase Financial 48130U2L8 11/05/18 10/29/21    100.000     0.000     3.5020     40.97   0.100655   0.102418   0.104211   0.106036               36.77    31.38
JPMorgan Chase Financial 48130U2M6 10/31/18 10/29/21    100.000     0.000     3.5120     41.59   0.101003   0.102777   0.104582   0.106418               36.90    31.50
JP Morgan Chase & Co.    48130U2N4 10/31/18 10/31/25    100.000     0.000     4.1115     48.79   0.118952   0.121397   0.123893   0.126440  0.129039     43.56    45.37
JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25    100.000     0.000     4.1115     48.79   0.118952   0.121397   0.123893   0.126440  0.129039     43.56    45.37
JPMorgan Chase Financial 48130U4A0 11/05/18 10/30/20    100.000     0.000     3.3129     38.73   0.095057   0.096632                                     28.71         
JPMorgan Chase Financial 48130U4B8 11/05/18 10/29/21    100.000     0.000     3.5020     40.97   0.100655   0.102418   0.104211   0.106036               36.77    31.38
JPMorgan Chase Financial 48130U4D4 11/05/18 10/31/23    100.000     0.000     3.8416     45.00   0.110792   0.112920   0.115089   0.117300  0.119553     40.53    42.10
JPMorgan Chase Financial 48130U4E2 11/05/18 10/31/23    100.000     0.000     3.8416     45.00   0.110792   0.112920   0.115089   0.117300  0.119553     40.53    42.10
JPMorgan Chase Financial 48130U4F9 11/05/18 10/31/23    100.000     0.000     3.8416     45.00   0.110792   0.112920   0.115089   0.117300  0.119553     40.53    42.10
JPMorgan Chase Financial 48130U4G7 11/05/18 10/31/23    100.000     0.000     3.8416     45.00   0.110792   0.112920   0.115089   0.117300  0.119553     40.53    42.10
JPMorgan Chase Financial 48130U4H5 11/05/18 10/31/23    100.000     0.000     3.8416     45.00   0.110792   0.112920   0.115089   0.117300  0.119553     40.53    42.10
JPMorgan Chase Financial 48130U4J1 11/05/18 10/31/23    100.000     0.000     3.8416     45.00   0.110792   0.112920   0.115089   0.117300  0.119553     40.53    42.10
JPMorgan Chase Financial 48130U4K8 10/10/18 10/10/23    100.000     0.000     3.8717     48.14   0.111752   0.113915   0.116120   0.118368  0.120660     40.97    42.58
JPMorgan Chase Financial 48130U4X0 10/15/18 10/15/20    100.000     0.000     3.2933     40.39   0.094517   0.096073                                     27.12         
JPMorgan Chase Financial 48130U5P6 10/11/18 10/12/23    100.000     0.000     3.8719     48.03   0.111769   0.113932   0.116138   0.118386  0.120678     40.97    42.57
JPMorgan Chase Financial 48130UAC9 09/06/18 08/31/23    100.000     0.000     3.7714     50.58   0.108683   0.110721   0.112820   0.114924  0.117115     40.00    41.52
JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25    100.000     0.000     4.0210     54.68   0.116219   0.118556   0.120939   0.123357  0.125851     42.84    44.58
JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25    100.000     0.000     4.0210     54.68   0.116219   0.118556   0.120939   0.123357  0.125851     42.84    44.58
JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25    100.000     0.000     4.0210     54.68   0.116219   0.118556   0.120939   0.123357  0.125851     42.84    44.58
JPMorgan Chase Financial 48130UAQ8 09/06/18 09/03/21    100.000     0.000     3.4020     45.55   0.097714   0.099376   0.101066   0.102785               35.87    24.77
JPMorgan Chase Financial 48130UAT2 09/06/18 09/03/21    100.000     0.000     3.4020     45.55   0.097714   0.099376   0.101066   0.102785               35.87    24.77
JPMorgan Chase Financial 48130UAZ8 08/20/18 08/17/20    100.000     0.000     3.1821     44.03   0.091204   0.092655                                     20.87         
JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25    100.000     0.000     4.1114     50.10   0.118978   0.121424   0.123920   0.126467  0.129067     43.62    45.43
JPMorgan Chase Financial 48130UDH5 08/30/18 09/01/21    100.000     0.000     3.4016     46.13   0.097738   0.099401   0.101091   0.102811               35.89    24.57
JPMorgan Chase Financial 48130UE92 10/31/18 10/31/22    100.000     0.000     3.6920     43.75   0.106375   0.108339   0.110339   0.112376  0.114450     38.89    40.34
JPMorgan Chase Financial 48130UEW1 09/28/18 09/30/21    100.000     0.000     3.5126     44.83   0.101048   0.102823   0.104629   0.106466               37.02    28.48
JPMorgan Chase Financial 48130UHC2 10/03/18 09/29/23    100.000     0.000     3.8721     48.93   0.111715   0.113878   0.116083   0.118330  0.120621     41.01    42.61
JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25    100.000     0.000     4.1116     52.60   0.118981   0.121427   0.123923   0.126471  0.129071     43.72    45.54
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25    100.000     0.000     4.1116     52.60   0.118981   0.121427   0.123923   0.126471  0.129071     43.72    45.54
JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25    100.000     0.000     4.1116     52.60   0.118981   0.121427   0.123923   0.126471  0.129071     43.72    45.54
JPMorgan Chase Financial 48130UHK4 10/03/18 10/05/21    100.000     0.000     3.5126     44.33   0.101048   0.102823   0.104629   0.106466               37.00    29.00
JPMorgan Chase Financial 48130UHX6 10/03/18 09/29/23    100.000     0.000     3.8721     48.93   0.111715   0.113878   0.116083   0.118330  0.120621     41.01    42.61
JPMorgan Chase Financial 48130UHY4 10/03/18 09/29/23    100.000     0.000     3.8721     48.93   0.111715   0.113878   0.116083   0.118330  0.120621     41.01    42.61
JPMorgan Chase Financial 48130UHZ1 10/03/18 09/30/21    100.000     0.000     3.5124     44.33   0.100996   0.102769   0.104574   0.106411               37.00    28.46
JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25    100.000     0.000     4.1113     49.39   0.118974   0.121420   0.123916   0.126464  0.129063     43.59    45.40
JPMorgan Chase Financial 48130UJB2 10/03/18 09/30/20    100.000     0.000     3.2932     41.52   0.094489   0.096045                                     25.70         
JPMorgan Chase Financial 48130UK46 10/25/18 10/27/21    100.000     0.000     3.5123     42.10   0.101039   0.102813   0.104619   0.106456               36.92    31.30
JPMorgan Chase Financial 48130UL37 11/05/18 11/02/20    100.000     0.000     3.3128     38.73   0.095070   0.096644                                     28.90         
JPMorgan Chase Financial 48130UMA0 09/27/18 09/28/23    100.000     0.000     3.8719     49.60   0.111769   0.113932   0.116138   0.118386  0.120678     41.03    42.64
JPMorgan Chase Financial 48130UNK7 10/31/18 10/29/21    100.000     0.000     3.5120     41.59   0.101003   0.102777   0.104582   0.106418               36.90    31.50
JPMorgan Chase Financial 48130UNN1 08/07/18 08/06/20    100.000     0.000     3.1824     45.21   0.091227   0.092678                                     19.88         
JPMorgan Chase Financial 48130UNX9 09/25/18 09/25/20    100.000     0.000     3.1336     40.20   0.089793   0.091200                                     23.96         
JPMorgan Chase Financial 48130UNY7 10/09/18 10/05/20    100.000     0.000     3.2925     40.95   0.094461   0.096016                                     26.16         
JPMorgan Chase Financial 48130UP74 10/31/18 04/30/20    100.000     0.000     3.0137     35.63   0.086256                                                10.26         
JPMorgan Chase Financial 48130UPG4 11/02/18 11/02/20    100.000     0.000     3.3128     39.01   0.095095   0.096670                                     28.91         
JPMorgan Chase Financial 48130UPW9 01/16/19 01/17/20    100.000     0.000     3.0029     28.99   0.084672                                                 1.35         
JPMorgan Chase Financial 48130UPZ2 01/24/19 01/27/20    100.000     0.000     3.0027     28.31   0.084681                                                 2.20         
JPMorgan Chase Financial 48130UQK4 02/27/19 02/28/20    100.000     0.000     3.0137     25.61   0.084982                                                 4.84         
JPMorgan Chase Financial 48130UR80 11/30/18 11/30/21    100.000     0.000     3.5314     38.77   0.101589   0.103383   0.105208   0.107066               37.01    34.95
JPMorgan Chase Financial 48130URX5 08/21/19 08/23/21    100.000     0.000     2.4317      8.78   0.067556   0.068378   0.069209   0.070051               24.68    16.21
JPMorgan Chase Financial 48130US63 11/30/18 11/30/21    100.000     0.000     3.5314     38.77   0.101589   0.103383   0.105208   0.107066               37.01    34.95
JPMorgan Chase Financial 48130USF3 10/08/19 10/09/20    100.000     0.000     1.8818      4.34   0.052276   0.052767                                     14.62         
JPMorgan Chase Financial 48130USG1 10/09/19 04/09/21    100.000     0.000     2.2115      5.04   0.061429   0.062109   0.062795                          22.35     6.15
JPMorgan Chase Financial 48130USL0 10/30/19 04/30/21    100.000     0.000     2.0215      3.43   0.056153   0.056720   0.057294                          20.39     6.82
JPMorgan Chase Financial 48130USP1 11/06/19 12/04/20    100.000     0.000     1.8811      2.88   0.052329   0.052821                                     17.51         
JPMorgan Chase Financial 48130UST3 11/27/19 12/11/20    100.000     0.000     1.8216      1.72   0.050635   0.051096                                     17.30         
JPMorgan Chase Financial 48130USW6 12/04/19 12/18/20    100.000     0.000     1.8197      1.37   0.050582   0.051042                                     17.63         
JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27    100.000     0.000     2.6405                        0.073347   0.074304   0.075285  0.076279     22.34    27.17
JP Morgan Chase & Co.    48130UU29 11/30/18 11/28/25    100.000     0.000     4.1207     45.33   0.119202   0.121658   0.124164   0.126722  0.129333     43.52    45.33
JPMorgan Chase Financial 48130UZ40 12/05/18 11/30/20    100.000     0.000     3.3522     36.31   0.096221   0.097834                                     31.95         
JPMorgan Chase Financial 48130UZ57 12/05/18 11/30/21    100.000     0.000     3.5313     38.27   0.101536   0.103329   0.105153   0.107010               36.99    34.93
JPMorgan Chase Financial 48130UZ65 12/05/18 11/30/23    100.000     0.000     3.8710     42.00   0.111672   0.113833   0.116037   0.118283  0.120572     40.73    42.32
JPMorgan Chase Financial 48130UZ73 12/05/18 11/30/23    100.000     0.000     3.8710     42.00   0.111672   0.113833   0.116037   0.118283  0.120572     40.73    42.32
JPMorgan Chase Financial 48130UZ81 12/05/18 11/30/23    100.000     0.000     3.8710     42.00   0.111672   0.113833   0.116037   0.118283  0.120572     40.73    42.32
JPMorgan Chase Financial 48130UZ99 12/05/18 11/30/23    100.000     0.000     3.8710     42.00   0.111672   0.113833   0.116037   0.118283  0.120572     40.73    42.32
JPMorgan Chase Financial 48130W2J9 03/12/19 07/12/22    100.000     0.000     3.0703     24.79   0.086158   0.087481   0.088824   0.090187  0.091572     31.71    32.69
JPMorgan Chase Financial 48130W4H1 03/29/19 09/30/21    100.000     0.000     2.6618     20.20   0.074930   0.075927   0.076937   0.077961               27.34    20.88
JPMorgan Chase Financial 48130W4J7 03/29/19 03/31/22    100.000     0.000     2.6812     20.35   0.075481   0.076493   0.077518   0.078557  0.079610     27.54    28.28
JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26    100.000     0.000     3.2713     24.85   0.092365   0.093876   0.095411   0.096972  0.098558     33.80    34.92
JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26    100.000     0.000     3.2713     24.85   0.092365   0.093876   0.095411   0.096972  0.098558     33.80    34.92
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130W4V0 04/03/19 03/31/21    100.000     0.000     2.6320     19.68   0.074057   0.075032   0.076019                          27.01     6.77
JPMorgan Chase Financial 48130W4W8 03/04/19 04/01/20    100.000     0.000     2.6430     21.93   0.074535                                                 6.71         
JPMorgan Chase Financial 48130W4X6 03/04/19 04/01/20    100.000     0.000     2.6430     21.93   0.074535                                                 6.71         
JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26    100.000     0.000     3.5710     28.25   0.100966   0.102769   0.104604   0.106472  0.108373     37.05    38.38
JPMorgan Chase Financial 48130W5H0 04/03/19 03/31/22    100.000     0.000     2.6818     20.05   0.075476   0.076488   0.077514   0.078553  0.079606     27.54    28.28
JPMorgan Chase Financial 48130W5K3 04/03/19 03/31/22    100.000     0.000     2.6818     20.05   0.075476   0.076488   0.077514   0.078553  0.079606     27.54    28.28
JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24    100.000     0.000     3.0015     22.46   0.084592   0.085861   0.087150   0.088458  0.089785     30.92    31.85
JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24    100.000     0.000     3.0015     22.46   0.084592   0.085861   0.087150   0.088458  0.089785     30.92    31.85
JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24    100.000     0.000     3.0015     22.46   0.084592   0.085861   0.087150   0.088458  0.089785     30.92    31.85
JPMorgan Chase Financial 48130W5T4 03/29/19 03/31/22    100.000     0.000     2.6812     20.35   0.075481   0.076493   0.077518   0.078557  0.079610     27.54    28.28
JP Morgan Chase & Co.    48130W5U1 03/29/19 03/31/26    100.000     0.000     3.2713     24.85   0.092365   0.093876   0.095411   0.096972  0.098558     33.80    34.92
JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24    100.000     0.000     3.0015     22.46   0.084592   0.085861   0.087150   0.088458  0.089785     30.92    31.85
JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24    100.000     0.000     3.0015     22.46   0.084592   0.085861   0.087150   0.088458  0.089785     30.92    31.85
JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24    100.000     0.000     3.0015     22.46   0.084592   0.085861   0.087150   0.088458  0.089785     30.92    31.85
JPMorgan Chase Financial 48130W7F2 04/03/19 03/31/21    100.000     0.000     2.6320     19.68   0.074057   0.075032   0.076019                          27.01     6.77
JPMorgan Chase Financial 48130W7M7 04/03/19 12/31/21    100.000     0.000     2.6703     19.97   0.075651   0.076661   0.077684   0.078721               27.42    28.08
JPMorgan Chase Financial 48130WAB7 12/05/18 11/30/23    100.000     0.000     3.8710     42.00   0.111672   0.113833   0.116037   0.118283  0.120572     40.73    42.32
JPMorgan Chase Financial 48130WAC5 12/05/18 11/30/23    100.000     0.000     3.8710     42.00   0.111672   0.113833   0.116037   0.118283  0.120572     40.73    42.32
JPMorgan Chase Financial 48130WAJ0 12/05/18 11/30/21    100.000     0.000     3.5313     38.27   0.101536   0.103329   0.105153   0.107010               36.99    34.93
JPMorgan Chase Financial 48130WC58 02/05/19 01/29/21    100.000     0.000     2.9715     27.09   0.083727   0.084971   0.086234                          30.75     2.41
JPMorgan Chase Financial 48130WCQ2 11/30/18 05/29/20    100.000     0.000     3.3526     36.79   0.096267                                                14.25         
JPMorgan Chase Financial 48130WE23 03/20/19 09/18/20    100.000     0.000     2.7733     21.76   0.078091   0.079174                                     20.26         
JPMorgan Chase Financial 48130WEC1 11/26/18 11/26/21    100.000     0.000     3.0209     33.46   0.086469   0.087775   0.089101   0.090447               31.46    29.20
JPMorgan Chase Financial 48130WEF4 11/27/18 11/26/21    100.000     0.000     2.6812     29.59   0.076482   0.077507   0.078546   0.079599               27.79    25.72
JPMorgan Chase Financial 48130WEW7 01/02/19 01/02/24*   100.000     0.000     3.8700     38.97   0.109581                                                 0.11*        
JPMorgan Chase Financial 48130WFN6 12/31/18 12/31/21    100.000     0.000     3.4798     35.20   0.100053   0.101793   0.103564   0.105366               36.34    37.50
JPMorgan Chase Financial 48130WGF2 01/02/19 12/31/20    100.000     0.000     3.3497     33.68   0.096172   0.097783                                     34.82         
JPMorgan Chase Financial 48130WGM7 01/02/19 12/31/21    100.000     0.000     3.4801     35.01   0.100043   0.101784   0.103555   0.105357               36.33    37.50
JPMorgan Chase Financial 48130WGV7 12/31/18 06/30/21    100.000     0.000     3.4400     34.79   0.098871   0.100572   0.102302                          35.90    18.31
JPMorgan Chase Financial 48130WGW5 01/02/19 12/31/20    100.000     0.000     3.3497     33.68   0.096172   0.097783                                     34.82         
JPMorgan Chase Financial 48130WGX3 01/02/19 12/31/21    100.000     0.000     3.5300     35.51   0.101528   0.103320   0.105143   0.106999               36.88    38.08
JPMorgan Chase Financial 48130WGY1 01/02/19 12/29/23    100.000     0.000     3.8699     38.97   0.111662   0.113823   0.116026   0.118271  0.120559     40.60    42.18
JPMorgan Chase Financial 48130WGZ8 01/02/19 12/29/23    100.000     0.000     3.8699     38.97   0.111662   0.113823   0.116026   0.118271  0.120559     40.60    42.18
JPMorgan Chase Financial 48130WHA2 01/02/19 12/29/23    100.000     0.000     3.8699     38.97   0.111662   0.113823   0.116026   0.118271  0.120559     40.60    42.18
JPMorgan Chase Financial 48130WHB0 01/02/19 12/29/23    100.000     0.000     3.8699     38.97   0.111662   0.113823   0.116026   0.118271  0.120559     40.60    42.18
JPMorgan Chase Financial 48130WHM6 01/02/19 12/29/23    100.000     0.000     3.8699     38.97   0.111662   0.113823   0.116026   0.118271  0.120559     40.60    42.18
JPMorgan Chase Financial 48130WHN4 01/02/19 12/29/23    100.000     0.000     3.8699     38.97   0.111662   0.113823   0.116026   0.118271  0.120559     40.60    42.18
JPMorgan Chase Financial 48130WJW2 12/19/18 12/19/23    100.000     0.000     3.8702     40.42   0.111706   0.113868   0.116071   0.118317  0.120607     40.66    42.24
JPMorgan Chase Financial 48130WLF6 12/27/18 06/30/20    100.000     0.000     3.1594     32.21   0.090580                                                16.21         
JPMorgan Chase Financial 48130WLN9 12/24/18 12/22/23    100.000     0.000     3.8705     39.87   0.111691   0.113852   0.116055   0.118301  0.120591     40.64    42.22
JPMorgan Chase Financial 48130WMQ1 12/31/18 12/29/23    100.000     0.000     3.8703     39.19   0.111698   0.113860   0.116063   0.118309  0.120599     40.61    42.20
JP Morgan Chase & Co.    48130WND9 01/31/19 02/02/26    100.000     0.000     3.7407     34.69   0.105873   0.107854   0.109871   0.111926  0.114019     39.07    40.54
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130WNE7 01/31/19 02/02/22    100.000     0.000     3.1416     29.09   0.088654   0.090046   0.091461   0.092897  0.094357     32.58    33.62
JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26    100.000     0.000     3.7407     34.69   0.105851   0.107831   0.109848   0.111902  0.113995     39.07    40.54
JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26    100.000     0.000     3.7407     34.69   0.105851   0.107831   0.109848   0.111902  0.113995     39.07    40.54
JPMorgan Chase Financial 48130WNJ6 01/22/19 01/22/26*   100.000     0.000     4.1207     39.18   0.116822                                                 2.45*        
JPMorgan Chase Financial 48130WNV9 01/31/19 07/30/21    100.000     0.000     3.0917     28.63   0.087209   0.088557   0.089926   0.091316               32.05    19.04
JPMorgan Chase Financial 48130WNW7 01/31/19 01/31/22    100.000     0.000     3.1417     29.09   0.088640   0.090032   0.091446   0.092883  0.094342     32.58    33.62
JPMorgan Chase Financial 48130WPX3 02/05/19 01/29/21    100.000     0.000     3.0212     27.54   0.085147   0.086434   0.087739                          31.28     2.46
JPMorgan Chase Financial 48130WPY1 02/05/19 01/31/22    100.000     0.000     3.1213     28.46   0.088017   0.089391   0.090786   0.092203  0.093642     32.35    33.37
JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24    100.000     0.000     3.4409     31.40   0.097181   0.098853   0.100553   0.102283  0.104043     35.80    37.04
JPMorgan Chase Financial 48130WQZ7 02/05/19 01/31/22    100.000     0.000     3.1213     28.46   0.088017   0.089391   0.090786   0.092203  0.093642     32.35    33.37
JPMorgan Chase Financial 48130WR29 04/30/19 10/29/21    100.000     0.000     2.6617     17.88   0.074915   0.075912   0.076923   0.077946               27.27    23.11
JPMorgan Chase Financial 48130WR37 04/30/19 04/29/22    100.000     0.000     2.6815     18.01   0.075479   0.076491   0.077516   0.078556  0.079609     27.48    28.22
JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26    100.000     0.000     3.2709     21.99   0.092345   0.093855   0.095390   0.096950  0.098535     33.70    34.81
JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26    100.000     0.000     3.2709     21.99   0.092345   0.093855   0.095390   0.096950  0.098535     33.70    34.81
JPMorgan Chase Financial 48130WR94 04/30/19 10/31/22    100.000     0.000     2.8813     19.36   0.081189   0.082359   0.083545   0.084749  0.085970     29.58    30.44
JPMorgan Chase Financial 48130WRE3 01/10/19 07/12/21    100.000     0.000     3.0405     29.87   0.085755   0.087059   0.088383   0.089726               31.55    17.12
JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24    100.000     0.000     3.1311     21.04   0.088338   0.089721   0.091125   0.092552  0.094001     32.22    33.24
JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26    100.000     0.000     3.4011     22.87   0.096082   0.097716   0.099377   0.101067  0.102786     35.08    36.29
JPMorgan Chase Financial 48130WST9 01/31/19 07/31/20    100.000     0.000     3.0124     27.89   0.084938   0.086217                                     17.98         
JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24    100.000     0.000     3.1311     20.78   0.088315   0.089698   0.091102   0.092528  0.093977     32.21    33.23
JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24    100.000     0.000     3.8413     34.43   0.108729   0.110817   0.112945   0.115115  0.117326     40.12    41.67
JPMorgan Chase Financial 48130WTQ4 01/30/19 02/12/20    100.000     0.000     2.9833     27.63   0.084190                                                 3.45         
JPMorgan Chase Financial 48130WTS0 02/04/19 02/04/21    100.000     0.000     3.0218     27.63   0.085208   0.086495   0.087802                          31.29     2.90
JPMorgan Chase Financial 48130WU82 05/03/19 04/30/21    100.000     0.000     2.7121     17.99   0.076341   0.077376   0.078425                          27.80     9.33
JPMorgan Chase Financial 48130WV24 05/03/19 01/31/22    100.000     0.000     2.7705     18.39   0.077473   0.078546   0.079635   0.080738  0.081856     28.41    29.20
JPMorgan Chase Financial 48130WV32 05/03/19 04/29/22    100.000     0.000     2.8015     18.59   0.078885   0.079990   0.081111   0.082247  0.083399     28.74    29.55
JPMorgan Chase Financial 48130WV40 05/03/19 04/29/22    100.000     0.000     2.8015     18.59   0.078885   0.079990   0.081111   0.082247  0.083399     28.74    29.55
JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24    100.000     0.000     3.1311     20.78   0.088315   0.089698   0.091102   0.092528  0.093977     32.21    33.23
JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24    100.000     0.000     3.1311     20.78   0.088315   0.089698   0.091102   0.092528  0.093977     32.21    33.23
JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26    100.000     0.000     3.2710     23.10   0.092365   0.093876   0.095411   0.096972  0.098558     33.74    34.85
JPMorgan Chase Financial 48130WVJ7 02/28/19 08/31/21    100.000     0.000     2.9420     24.91   0.082939   0.084152   0.085397   0.086639               30.37    20.64
JPMorgan Chase Financial 48130WVN8 02/28/19 02/28/22    100.000     0.000     2.9919     25.33   0.084350   0.085612   0.086893   0.088193  0.089512     30.91    31.84
JPMorgan Chase Financial 48130WXE6 02/28/19 05/31/22    100.000     0.000     3.0304     25.68   0.086114   0.087418   0.088743   0.090088  0.091452     31.32    32.27
JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26    100.000     0.000     3.5711     30.27   0.100958   0.102760   0.104595   0.106463  0.108364     37.12    38.46
JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24    100.000     0.000     3.2313     26.74   0.091160   0.092633   0.094130   0.095642  0.097196     33.45    34.53
JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24    100.000     0.000     3.2313     26.74   0.091160   0.092633   0.094130   0.095642  0.097196     33.45    34.53
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24    100.000     0.000     3.2313     26.74   0.091160   0.092633   0.094130   0.095642  0.097196     33.45    34.53
JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24    100.000     0.000     3.2313     26.74   0.091160   0.092633   0.094130   0.095642  0.097196     33.45    34.53
JPMorgan Chase Financial 48130WXT3 03/05/19 02/28/22    100.000     0.000     2.9917     24.75   0.084299   0.085560   0.086840   0.088139  0.089457     30.89    31.82
JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24    100.000     0.000     3.3109     27.40   0.093442   0.094989   0.096562   0.098151  0.099785     34.30    35.44
JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24    100.000     0.000     3.3109     27.40   0.093442   0.094989   0.096562   0.098151  0.099785     34.30    35.44
JPMorgan Chase Financial 48130WXX4 03/05/19 02/26/21    100.000     0.000     2.8919     23.92   0.081434   0.082612   0.083806                          29.82     4.61
JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24    100.000     0.000     3.3109     27.40   0.093442   0.094989   0.096562   0.098151  0.099785     34.30    35.44
JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26    100.000     0.000     3.7408     31.72   0.105844   0.107824   0.109841   0.111895  0.113988     38.96    40.43
JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26    100.000     0.000     3.7408     31.72   0.105844   0.107824   0.109841   0.111895  0.113988     38.96    40.43
JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26    100.000     0.000     3.6910     32.24   0.104419   0.106346   0.108309   0.110308  0.112344     38.45    39.88
JPMorgan Chase Financial 48130WYN5 03/05/19 03/04/21    100.000     0.000     2.8919     23.91   0.081485   0.082663   0.083858                          29.82     5.28
JPMorgan Chase Financial 48130WYT2 03/05/19 02/28/22    100.000     0.000     2.9917     24.75   0.084299   0.085560   0.086840   0.088139  0.089457     30.89    31.82
JPMorgan Chase Financial 48130WZ20 05/03/19 04/30/21    100.000     0.000     2.7121     17.99   0.076341   0.077376   0.078425                          27.80     9.33
JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24    100.000     0.000     3.4413     29.85   0.097237   0.098911   0.100613   0.102344  0.104105     35.75    36.99
JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26    100.000     0.000     3.6909     31.61   0.104416   0.106343   0.108305   0.110304  0.112340     38.43    39.86
JPMorgan Chase Financial 48130X133 05/01/19 05/27/21    100.000     0.000     2.7106     18.14   0.076464   0.077501   0.078551                          27.78    11.47
JPMorgan Chase Financial 48132C3A9 08/05/19 07/30/21    100.000     0.000     2.4313      9.86   0.067536   0.068335   0.069165   0.070006               24.70    14.61
JPMorgan Chase Financial 48132C3P6 08/05/19 04/29/22    100.000     0.000     2.4505      9.96   0.068460   0.069298   0.070147   0.071007  0.071877     24.90    25.52
JPMorgan Chase Financial 48132C3Q4 08/05/19 07/29/22    100.000     0.000     2.4606      9.98   0.068350   0.069163   0.070014   0.070875  0.071747     25.01    25.62
JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24    100.000     0.000     2.5905     10.51   0.071960   0.072866   0.073810   0.074766  0.075734     26.35    27.03
JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24    100.000     0.000     2.5905     10.51   0.071960   0.072866   0.073810   0.074766  0.075734     26.35    27.03
JPMorgan Chase Financial 48132C4Z3 07/17/19 01/18/22    100.000     0.000     2.1209      9.66   0.058916   0.059541   0.060172   0.060810  0.061455     21.53    21.99
JPMorgan Chase Financial 48132CCJ0 04/25/19 04/27/21    100.000     0.000     2.6319     18.05   0.074081   0.075056   0.076043                          26.97     8.82
JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24    100.000     0.000     3.1313     20.96   0.088343   0.089726   0.091131   0.092558  0.094007     32.22    33.24
JPMorgan Chase Financial 48132CDT7 04/29/19 04/28/21    100.000     0.000     2.6324     17.76   0.074079   0.075054   0.076041                          26.97     8.90
JPMorgan Chase Financial 48132CFA6 05/31/19 11/30/21    100.000     0.000     2.7509     16.16   0.077464   0.078530   0.079610   0.080705               28.15    26.39
JPMorgan Chase Financial 48132CFB4 05/31/19 05/31/22    100.000     0.000     2.8011     16.45   0.078897   0.080002   0.081123   0.082259  0.083411     28.67    29.48
JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24    100.000     0.000     2.8505     16.34   0.080276   0.081421   0.082581   0.083758  0.084952     29.18    30.01
JPMorgan Chase Financial 48132CFD0 05/31/19 11/30/22    100.000     0.000     2.8805     16.92   0.081167   0.082336   0.083521   0.084724  0.085945     29.50    30.36
JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24    100.000     0.000     3.1310     18.39   0.088333   0.089716   0.091120   0.092547  0.093995     32.14    33.15
JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26    100.000     0.000     3.4005     19.98   0.096055   0.097689   0.099350   0.101039  0.102757     34.98    36.18
JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26    100.000     0.000     3.4010     21.33   0.096097   0.097731   0.099393   0.101083  0.102802     35.03    36.23
JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26    100.000     0.000     3.4005     19.98   0.096055   0.097689   0.099350   0.101039  0.102757     34.98    36.18
JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26    100.000     0.000     3.4005     19.98   0.096055   0.097689   0.099350   0.101039  0.102757     34.98    36.18
JPMorgan Chase Financial 48132CHM8 06/05/19 05/28/21    100.000     0.000     2.4610     14.11   0.069170   0.070021   0.070883                          25.11    10.42
JPMorgan Chase Financial 48132CHN6 06/05/19 02/28/22    100.000     0.000     2.5202     14.47   0.070413   0.071301   0.072199   0.073109  0.074030     25.73    26.38
JPMorgan Chase Financial 48132CHP1 06/05/19 05/31/22    100.000     0.000     2.5307     14.51   0.071163   0.072063   0.072975   0.073898  0.074833     25.84    26.49
JPMorgan Chase Financial 48132CHQ9 06/05/19 05/31/22    100.000     0.000     2.5307     14.51   0.071163   0.072063   0.072975   0.073898  0.074833     25.84    26.49
JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24    100.000     0.000     2.8505     16.34   0.080276   0.081421   0.082581   0.083758  0.084952     29.18    30.01
JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24    100.000     0.000     2.8505     16.34   0.080276   0.081421   0.082581   0.083758  0.084952     29.18    30.01
JPMorgan Chase Financial 48132CJ20 08/30/19 02/28/23    100.000     0.000     2.4808      8.34   0.068912   0.069758   0.070623   0.071499  0.072386     25.17    25.80
JPMorgan Chase Financial 48132CJ46 08/30/19 02/28/22    100.000     0.000     2.4410      8.20   0.067805   0.068623   0.069461   0.070309  0.071167     24.76    25.37
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132CK51 09/05/19 08/31/21    100.000     0.000     2.0714      6.67   0.057540   0.058116   0.058721   0.059323               20.96    14.14
JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24    100.000     0.000     2.1403      6.90   0.059452   0.060067   0.060714   0.061356  0.062020     21.67    22.13
JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24    100.000     0.000     2.1403      6.90   0.059452   0.060067   0.060714   0.061356  0.062020     21.67    22.13
JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24    100.000     0.000     2.5405      8.54   0.070570   0.071462   0.072369   0.073284  0.074220     25.79    26.44
JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25    100.000     0.000     2.6709      8.98   0.074191   0.075170   0.076174   0.077191  0.078222     27.13    27.86
JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26    100.000     0.000     2.8904      9.72   0.080290   0.081444   0.082627   0.083808  0.085033     29.40    30.25
JPMorgan Chase Financial 48132CMF7 05/14/19 11/02/20    100.000     0.000     2.6319     16.65   0.074007   0.074981                                     22.45         
JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24    100.000     0.000     2.1403      6.90   0.059452   0.060067   0.060714   0.061356  0.062020     21.67    22.13
JPMorgan Chase Financial 48132CPQ0 06/28/19 12/31/21    100.000     0.000     2.5004     12.71   0.070333   0.071212   0.072103   0.073004               25.48    26.05
JPMorgan Chase Financial 48132CPR8 06/28/19 06/30/22    100.000     0.000     2.5296     12.86   0.071165   0.072066   0.072977   0.073900  0.074835     25.78    26.44
JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26    100.000     0.000     2.8100     14.29   0.079164   0.080276   0.081404   0.082547  0.083707     28.70    29.51
JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26    100.000     0.000     2.8100     14.29   0.079164   0.080276   0.081404   0.082547  0.083707     28.70    29.51
JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24    100.000     0.000     2.5102     12.76   0.070602   0.071488   0.072386   0.073294  0.074214     25.58    26.23
JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26    100.000     0.000     2.8100     14.29   0.079164   0.080276   0.081404   0.082547  0.083707     28.70    29.51
JPMorgan Chase Financial 48132CPX5 06/28/19 03/31/23    100.000     0.000     2.2397     11.42   0.062570   0.063270   0.063979   0.064695  0.065420     22.78    23.29
JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26    100.000     0.000     3.1201     16.74   0.088022   0.089396   0.090790   0.092207  0.093645     31.97    32.98
JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26    100.000     0.000     2.8904      9.72   0.080290   0.081444   0.082627   0.083808  0.085033     29.40    30.25
JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26    100.000     0.000     2.8904      9.72   0.080290   0.081444   0.082627   0.083808  0.085033     29.40    30.25
JPMorgan Chase Financial 48132CRH8 07/03/19 06/30/21    100.000     0.000     2.3601     11.67   0.066319   0.067101   0.067893                          24.02    12.15
JPMorgan Chase Financial 48132CRL9 07/03/19 03/31/22    100.000     0.000     2.3601     11.70   0.065933   0.066711   0.067498   0.068294  0.069100     24.02    24.59
JPMorgan Chase Financial 48132CRM7 07/03/19 06/30/22    100.000     0.000     2.3700     11.72   0.066600   0.067389   0.068188   0.068996  0.069813     24.12    24.69
JPMorgan Chase Financial 48132CRN5 07/03/19 12/31/21    100.000     0.000     2.1196     10.48   0.059490   0.060121   0.060758   0.061402               21.53    21.93
JPMorgan Chase Financial 48132CRR6 07/03/19 06/30/22    100.000     0.000     2.3700     11.72   0.066600   0.067389   0.068188   0.068996  0.069813     24.12    24.69
JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24    100.000     0.000     2.3702     11.72   0.066598   0.067388   0.068186   0.068994  0.069812     24.12    24.70
JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24    100.000     0.000     2.3702     11.72   0.066598   0.067388   0.068186   0.068994  0.069812     24.12    24.70
JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26    100.000     0.000     2.8906     10.44   0.080295   0.081449   0.082626   0.083821  0.085032     29.42    30.28
JPMorgan Chase Financial 48132CU76 09/05/19 08/31/22    100.000     0.000     2.0306      6.54   0.056407   0.056960   0.057542   0.058120  0.058716     20.54    20.96
JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24    100.000     0.000     2.5104     10.53   0.069732   0.070607   0.071494   0.072391  0.073300     25.53    26.17
JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24    100.000     0.000     2.4204     10.15   0.067232   0.068046   0.068869   0.069703  0.070546     24.60    25.20
JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26    100.000     0.000     2.8103     11.79   0.078064   0.079161   0.080274   0.081402  0.082545     28.63    29.44
JPMorgan Chase Financial 48132CYG2 07/31/19 01/31/22    100.000     0.000     2.1006      8.81   0.058350   0.058963   0.059582   0.060208  0.060841     21.30    21.75
JPMorgan Chase Financial 48132CYH0 07/31/19 01/31/23    100.000     0.000     2.2402      9.40   0.062227   0.062924   0.063628   0.064341  0.065062     22.74    23.25
JPMorgan Chase Financial 48132CYS6 08/05/19 07/29/22    100.000     0.000     1.9004      7.71   0.052788   0.053272   0.053779   0.054290  0.054805     19.24    19.61
JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26    100.000     0.000     2.8103     11.79   0.078064   0.079161   0.080274   0.081402  0.082545     28.63    29.44
JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26    100.000     0.000     2.8103     11.79   0.078064   0.079161   0.080274   0.081402  0.082545     28.63    29.44
JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26    100.000     0.000     2.9402     13.23   0.081687   0.082888   0.084106   0.085343  0.086597     30.01    30.90
JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26    100.000     0.000     2.6406      4.47   0.073361   0.074329   0.075311   0.076305  0.077312     26.70    27.41
JPMorgan Chase Financial 48132F5V4 12/03/19 05/31/22    100.000     0.000     2.0803      1.62   0.057786   0.058377   0.058984   0.059598  0.060218     20.95    21.38
JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24    100.000     0.000     2.2505      2.00   0.062517   0.063220   0.063932   0.064651  0.065379     22.68    23.19
JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25    100.000     0.000     2.4004      2.13   0.066681   0.067481   0.068291   0.069111  0.069940     24.20    24.78
JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26    100.000     0.000     2.6400      2.35   0.073338   0.074306   0.075287   0.076281  0.077287     26.64    27.34
JPMorgan Chase Financial 48132F6H4 12/03/19 11/30/22    100.000     0.000     2.1009      1.63   0.058357   0.058960   0.059580   0.060205  0.060838     21.16    21.60
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24    100.000     0.000     2.3202      1.80   0.064449   0.065180   0.065936   0.066701  0.067475     23.38    23.92
JPMorgan Chase Financial 48132F6P6 12/03/19 12/09/20    100.000     0.000     1.8608      1.45   0.051704   0.052185                                     17.56         
JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26    100.000     0.000     2.6400      2.35   0.073338   0.074306   0.075287   0.076281  0.077287     26.64    27.34
JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24    100.000     0.000     2.3202      1.80   0.064449   0.065180   0.065936   0.066701  0.067475     23.38    23.92
JPMorgan Chase Financial 48132F7E0 11/29/19 05/31/22    100.000     0.000     2.0810      1.85   0.057809   0.058411   0.059018   0.059632  0.060253     20.96    21.40
JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24    100.000     0.000     2.3202      2.06   0.064451   0.065199   0.065955   0.066721  0.067495     23.39    23.93
JPMorgan Chase Financial 48132F7L4 12/03/19 11/30/22    100.000     0.000     2.1009      1.63   0.058357   0.058960   0.059580   0.060205  0.060838     21.16    21.60
JPMorgan Chase Financial 48132F7M2 12/03/19 11/30/22    100.000     0.000     2.1009      1.63   0.058357   0.058960   0.059580   0.060205  0.060838     21.16    21.60
JPMorgan Chase Financial 48132FCW4 09/19/19 10/21/20    100.000     0.000     1.8418      5.22   0.051244   0.051716                                     14.95         
JPMorgan Chase Financial 48132FD37 11/29/19 11/30/22    100.000     0.000     2.1007      1.87   0.058355   0.058968   0.059587   0.060213  0.060846     21.16    21.60
JPMorgan Chase Financial 48132FDL7 08/28/19 08/26/22    100.000     0.000     2.4612      8.41   0.068367   0.069199   0.070050   0.070912  0.071785     24.97    25.59
JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26    100.000     0.000     2.8905      7.31   0.080293   0.081453   0.082631   0.083825  0.085036     29.33    30.18
JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25    100.000     0.000     2.7505      6.95   0.076402   0.077452   0.078517   0.079597  0.080692     27.89    28.66
JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24    100.000     0.000     2.5908      6.55   0.071968   0.072900   0.073844   0.074801  0.075770     26.25    26.93
JPMorgan Chase Financial 48132FHY5 09/30/19 03/31/22    100.000     0.000     2.0511      5.18   0.056975   0.057559   0.058150   0.058746  0.059348     20.72    21.15
JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24    100.000     0.000     2.1409      5.41   0.059469   0.060105   0.060749   0.061399  0.062056     21.64    22.11
JPMorgan Chase Financial 48132FJB3 10/03/19 03/31/22    100.000     0.000     2.2314      5.45   0.061984   0.062664   0.063363   0.064070  0.064785     22.56    23.07
JPMorgan Chase Financial 48132FJC1 10/03/19 09/30/22    100.000     0.000     2.2406      5.48   0.062238   0.062923   0.063628   0.064341  0.065062     22.66    23.16
JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24    100.000     0.000     2.4507      5.99   0.068075   0.068896   0.069740   0.070594  0.071459     24.81    25.42
JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24    100.000     0.000     2.4507      5.99   0.068075   0.068896   0.069740   0.070594  0.071459     24.81    25.42
JPMorgan Chase Financial 48132FJP2 09/09/19 09/09/22    100.000     0.000     2.0307      6.32   0.056410   0.056982   0.057561   0.058145  0.058736     20.54    20.96
JPMorgan Chase Financial 48132FKJ4 10/03/19 03/31/21*   100.000     0.000     2.0821      5.09   0.057835                                                 4.86*        
JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26    100.000     0.000     2.4202      6.12   0.067229   0.068043   0.068866   0.069699  0.070543     24.50    25.09
JPMorgan Chase Financial 48132FNJ1 09/30/19 09/30/21    100.000     0.000     2.0711      5.24   0.057531   0.058126   0.058728   0.059337               20.93    15.91
JPMorgan Chase Financial 48132FPL4 10/07/19 10/04/21    100.000     0.000     2.2315      5.21   0.061986   0.062666   0.063365   0.064072               22.56    17.43
JPMorgan Chase Financial 48132FPT7 10/04/19 07/07/22    100.000     0.000     1.8407      4.45   0.051130   0.051373   0.051846   0.052323  0.052805     18.58    18.92
JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26    100.000     0.000     2.7505      4.66   0.076403   0.077454   0.078519   0.079599  0.080693     27.82    28.59
JPMorgan Chase Financial 48132FPZ3 10/31/19 04/29/22    100.000     0.000     2.2311      3.78   0.061974   0.062661   0.063360   0.064067  0.064782     22.52    23.03
JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24    100.000     0.000     2.1904      1.95   0.060845   0.061512   0.062185   0.062866  0.063555     22.07    22.55
JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24    100.000     0.000     2.4504      4.15   0.068066   0.068900   0.069745   0.070599  0.071464     24.76    25.37
JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24    100.000     0.000     2.3206      3.61   0.064460   0.065187   0.065944   0.066709  0.067483     23.43    23.97
JPMorgan Chase Financial 48132FQN9 11/05/19 04/29/22    100.000     0.000     2.2312      3.47   0.061978   0.062646   0.063345   0.064052  0.064767     22.52    23.02
JPMorgan Chase Financial 48132FQP4 11/05/19 10/31/22    100.000     0.000     2.2406      3.49   0.062239   0.062917   0.063622   0.064334  0.065055     22.61    23.12
JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26    100.000     0.000     2.6402      2.93   0.073351   0.074319   0.075300   0.076294  0.077301     26.65    27.36
JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26    100.000     0.000     2.7505      4.66   0.076403   0.077454   0.078519   0.079599  0.080693     27.82    28.59
JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24    100.000     0.000     2.3812      4.03   0.066144   0.066931   0.067728   0.068534  0.069350     24.05    24.63
JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25    100.000     0.000     2.5307      4.29   0.070298   0.071188   0.072089   0.073001  0.073925     25.58    26.23
JPMorgan Chase Financial 48132FT22 11/27/19 11/30/21    100.000     0.000     2.0711      1.96   0.057541   0.058137   0.058739   0.059347               20.86    19.43
JPMorgan Chase Financial 48132FTW6 10/03/19 11/04/20    100.000     0.000     1.9421      4.75   0.054037   0.054561                                     16.47         
JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24    100.000     0.000     2.4507      3.81   0.068076   0.068887   0.069731   0.070586  0.071451     24.75    25.36
JPMorgan Chase Financial 48132FU87 11/27/19 12/28/20    100.000     0.000     1.8511      1.75   0.051501   0.051977                                     18.47         
JPMorgan Chase Financial 48132FU95 11/27/19 05/27/21    100.000     0.000     2.0208      1.91   0.056135   0.056702   0.057275                          20.35     8.36
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24    100.000     0.000     2.4507      3.81   0.068076   0.068887   0.069731   0.070586  0.071451     24.75    25.36
JPMorgan Chase Financial 48132FUQ7 11/05/19 04/30/21*   100.000     0.000     2.2124      3.44   0.061455                                                 4.79*        
JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27    100.000     0.000     2.6405      4.48   0.073364   0.074333   0.075314   0.076309  0.077316     26.70    27.41
JPMorgan Chase Financial 48132FVJ2 10/08/19 10/07/21    100.000     0.000     2.2316      5.15   0.061988   0.062676   0.063375   0.064083               22.56    17.62
JPMorgan Chase Financial 48132FZK5 10/31/19 11/02/21    100.000     0.000     2.2314      3.78   0.061991   0.062683   0.063382   0.064089               22.52    19.21
JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25    100.000     0.000     2.3804             0.066123   0.066525   0.067317   0.068118  0.068929     20.14    24.43
JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26    100.000     0.000     2.5004                        0.069455   0.070318   0.071197  0.072087     21.15    25.69
JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27    100.000     0.000     2.6405                        0.073347   0.074304   0.075285  0.076279     22.34    27.17
JPMorgan Chase Financial 48132H2V3 03/04/20 03/05/21    100.000     0.000     1.4912                        0.041425   0.041734                          12.34     2.67
JPMorgan Chase Financial 48132H2W1 03/04/20 11/30/22    100.000     0.000     1.7402             0.048339   0.048540   0.048962   0.049388  0.049818     14.41    17.73
JPMorgan Chase Financial 48132H2X9 03/04/20 02/28/23    100.000     0.000     1.7536                        0.048712   0.049124   0.049555  0.049990     14.52    17.87
JPMorgan Chase Financial 48132H2Y7 03/04/20 02/28/23    100.000     0.000     1.7504                        0.048622   0.049034   0.049463  0.049896     14.49    17.84
JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25    100.000     0.000     1.9626                        0.054516   0.055033   0.055573  0.056118     16.25    20.04
JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25    100.000     0.000     1.9604                        0.054455   0.054971   0.055509  0.056053     16.24    20.02
JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25    100.000     0.000     1.9604                        0.054455   0.054971   0.055509  0.056053     16.24    20.02
JPMorgan Chase Financial 48132H3G5 02/28/20 11/30/22    100.000     0.000     1.7401             0.048336   0.048551   0.048974   0.049400  0.049830     14.70    17.73
JPMorgan Chase Financial 48132H3H3 02/28/20 02/28/23    100.000     0.000     1.7503                        0.048618   0.049044   0.049473  0.049906     14.78    17.84
JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25    100.000     0.000     1.9606                        0.054461   0.054995   0.055534  0.056079     16.57    20.03
JPMorgan Chase Financial 48132H4H2 02/28/20 11/30/22    100.000     0.000     2.1104             0.058623   0.058939   0.059561   0.060190  0.060825     17.85    21.59
JPMorgan Chase Financial 48132H4J8 02/28/20 11/30/23    100.000     0.000     2.1703             0.060286   0.060620   0.061278   0.061943  0.062615     18.36    22.22
JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25    100.000     0.000     2.3804             0.066123   0.066525   0.067317   0.068118  0.068929     20.14    24.43
JPMorgan Chase Financial 48132H4M1 03/04/20 11/30/21    100.000     0.000     1.7297             0.048046   0.048245   0.048662   0.049083               14.32    16.09
JPMorgan Chase Financial 48132H4N9 03/04/20 03/05/21    100.000     0.000     1.4912                        0.041425   0.041734                          12.34     2.67
JPMorgan Chase Financial 48132H4U3 03/04/20 08/31/21*   100.000     0.000     1.7413                        0.048368                                      1.02*        
JPMorgan Chase Financial 48132HAV4 01/02/20 01/05/21    100.000     0.000     1.8203             0.050563   0.050571   0.051031                          18.24     0.20
JPMorgan Chase Financial 48132HAW2 01/02/20 09/30/22    100.000     0.000     2.0804             0.057790   0.058084   0.058688   0.059299  0.059915     20.88    21.35
JPMorgan Chase Financial 48132HAX0 01/02/20 12/30/22    100.000     0.000     2.0900             0.058057   0.058657   0.059270   0.059889  0.060515     20.95    21.45
JPMorgan Chase Financial 48132HAY8 01/02/20 12/30/22    100.000     0.000     2.1100             0.058611   0.059223   0.059848   0.060479  0.061117     21.15    21.66
JPMorgan Chase Financial 48132HAZ5 01/02/20 12/30/22    100.000     0.000     2.1100             0.058611   0.059223   0.059848   0.060479  0.061117     21.15    21.66
JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24    100.000     0.000     2.3102             0.064173   0.064544   0.065289   0.066043  0.066806     21.38    23.73
JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24    100.000     0.000     2.3200             0.064445   0.065172   0.065928   0.066693  0.067466     23.27    23.88
JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24    100.000     0.000     2.3399             0.064997   0.065737   0.066506   0.067284  0.068071     23.47    24.09
JPMorgan Chase Financial 48132HBC5 12/26/19 09/30/22    100.000     0.000     2.0996      0.29   0.058322   0.058642   0.059258   0.059880  0.060508     21.14    21.56
JPMorgan Chase Financial 48132HBE1 12/26/19 12/30/22    100.000     0.000     2.1096      0.29   0.058614   0.059232   0.059857   0.060488  0.061126     21.21    21.66
JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24    100.000     0.000     2.3400      0.33   0.065005   0.065765   0.066535   0.067313  0.068101     23.54    24.10
JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26    100.000     0.000     2.5004                        0.069455   0.070323   0.071202  0.072092     23.12    25.74
JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27    100.000     0.000     2.6405                        0.073348   0.074311   0.075292  0.076286     24.42    27.23
JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26    100.000     0.000     2.6396      0.37   0.073343   0.074311   0.075291   0.076285  0.077292     26.58    27.29
JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26    100.000     0.000     2.6396      0.37   0.073343   0.074311   0.075291   0.076285  0.077292     26.58    27.29
JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25    100.000     0.000     2.4900      0.35   0.069187   0.070048   0.070920   0.071803  0.072697     25.06    25.69
JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24    100.000     0.000     2.2798      0.32   0.063329   0.063706   0.064432   0.065167  0.065910     22.97    23.46
JPMorgan Chase Financial 48132HET5 01/02/20 06/30/21*   100.000     0.000     2.0598                        0.057218                                      4.29*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132HEZ1 12/06/19 12/08/22    100.000     0.000     2.1104      1.47   0.058628   0.059247   0.059872   0.060504  0.061142     21.25    21.70
JPMorgan Chase Financial 48132HF98 02/28/20 02/28/22    100.000     0.000     2.1016                        0.058379   0.058992   0.059612  0.060239     17.76    21.50
JPMorgan Chase Financial 48132HFA5 12/06/19 12/08/22    100.000     0.000     2.1104      1.47   0.058628   0.059247   0.059872   0.060504  0.061142     21.25    21.70
JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26    100.000     0.000     2.6398      0.07   0.073329   0.074296   0.075277   0.076271  0.077277     26.57    27.28
JPMorgan Chase Financial 48132HKD3 12/31/19 12/31/21    100.000     0.000     2.0701      0.06   0.057504   0.058099   0.058700   0.059308               20.81    21.18
JPMorgan Chase Financial 48132HKM3 12/24/19 12/22/23    100.000     0.000     2.2002      0.43   0.061117   0.061781   0.062461   0.063148  0.063843     22.13    22.62
JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25    100.000     0.000     2.3402                        0.065007   0.065768   0.066537  0.067316     22.62    24.07
JPMorgan Chase Financial 48132HMF6 02/05/20 02/08/21    100.000     0.000     1.7908             0.049744   0.049752   0.050197                          16.28     1.86
JPMorgan Chase Financial 48132HMG4 02/05/20 10/31/22    100.000     0.000     2.1004             0.058345   0.058634   0.059250   0.059872  0.060501     19.13    21.52
JPMorgan Chase Financial 48132HMH2 02/05/20 01/31/23    100.000     0.000     2.1108                        0.058634   0.059235   0.059861  0.060492     19.21    21.63
JPMorgan Chase Financial 48132HMK5 02/05/20 01/31/23    100.000     0.000     2.1108                        0.058634   0.059235   0.059861  0.060492     19.21    21.63
JPMorgan Chase Financial 48132HML3 02/05/20 01/31/23    100.000     0.000     2.1108                        0.058634   0.059235   0.059861  0.060492     19.21    21.63
JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25    100.000     0.000     2.3404                        0.065012   0.065752   0.066521  0.067300     21.31    24.04
JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25    100.000     0.000     2.3404                        0.065012   0.065752   0.066521  0.067300     21.31    24.04
JPMorgan Chase Financial 48132HMV1 01/31/20 10/31/22    100.000     0.000     2.1002             0.058338   0.058644   0.059260   0.059882  0.060511     19.42    21.52
JPMorgan Chase Financial 48132HMX7 01/31/20 01/31/23    100.000     0.000     2.1102                        0.058617   0.059236   0.059861  0.060492     19.50    21.63
JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25    100.000     0.000     2.3404                        0.065012   0.065773   0.066542  0.067321     21.63    24.05
JPMorgan Chase Financial 48132HPB2 02/05/20 10/29/21    100.000     0.000     1.5895             0.044152   0.044316   0.044668   0.045023               14.46    13.37
JPMorgan Chase Financial 48132HPD8 01/31/20 07/31/23    100.000     0.000     1.6802                        0.046672   0.047064   0.047460  0.047858     15.51    17.13
JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24    100.000     0.000     1.6800             0.046667   0.046863   0.047257   0.047654  0.048054     15.52    17.13
JPMorgan Chase Financial 48132HPF3 02/05/20 07/30/21*   100.000     0.000     2.0615                        0.057264                                      2.41*        
JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27    100.000     0.000     2.6405                        0.073348   0.074311   0.075292  0.076286     24.42    27.23
JPMorgan Chase Financial 48132HTV4 01/31/20 01/31/22    100.000     0.000     2.1007                        0.058352   0.058965   0.059584  0.060210     19.41    21.53
JPMorgan Chase Financial 48132HWD0 02/03/20 02/03/22    100.000     0.000     2.1007                        0.058352   0.058965   0.059584  0.060210     19.23    21.52
JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27    100.000     0.000     2.6405                        0.073347   0.074304   0.075285  0.076279     22.34    27.17
JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27    100.000     0.000     3.0405                        0.084459   0.085736   0.087039  0.088363     17.95    31.19
JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25    100.000     0.000     2.8498                        0.079161   0.079725   0.080855  0.082013     16.85    29.18
JPMorgan Chase Financial 48132K3E3 06/03/20 05/31/23    100.000     0.000     2.7309                        0.075857   0.076875   0.077925  0.078989     15.81    27.93
JPMorgan Chase Financial 48132K3G8 06/03/20 05/31/23    100.000     0.000     2.7309                        0.075857   0.076875   0.077925  0.078989     15.81    27.93
JPMorgan Chase Financial 48132K4G7 05/29/20 05/28/27    100.000     0.000     3.0405                        0.084459   0.085736   0.087039  0.088363     17.95    31.19
JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24    100.000     0.000     1.8698             0.051939   0.052177   0.052664   0.053157  0.053654     14.12    19.05
JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26    100.000     0.000     2.0908                        0.058079   0.058686   0.059299  0.059919     15.79    21.35
JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27    100.000     0.000     2.2306                        0.061960   0.062651   0.063350  0.064057     16.85    22.81
JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24    100.000     0.000     1.9300             0.053611   0.053870   0.054390   0.054915  0.055445     14.58    19.68
JPMorgan Chase Financial 48132KAH8 03/31/20 03/31/27    100.000     0.000     2.2306                        0.061960   0.062651   0.063350  0.064057     16.85    22.81
JPMorgan Chase Financial 48132KAJ4 03/31/20 03/31/27    100.000     0.000     2.2306                        0.061960   0.062651   0.063350  0.064057     16.85    22.81
JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26    100.000     0.000     2.0908                        0.058079   0.058686   0.059299  0.059919     15.79    21.35
JPMorgan Chase Financial 48132KBQ7 04/03/20 09/30/21    100.000     0.000     1.7413                        0.048370   0.048784   0.049208               13.00    13.20
JPMorgan Chase Financial 48132KBS3 04/03/20 12/30/22    100.000     0.000     1.7402             0.048339   0.048542   0.048964   0.049390  0.049820     12.99    17.70
JPMorgan Chase Financial 48132KBU8 04/03/20 03/31/23    100.000     0.000     1.7507                        0.048629   0.049048   0.049477  0.049910     13.07    17.81
JPMorgan Chase Financial 48132KBV6 04/03/20 03/31/23    100.000     0.000     1.7507                        0.048629   0.049048   0.049477  0.049910     13.07    17.81
JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25    100.000     0.000     1.9606                        0.054461   0.054986   0.055525  0.056069     14.64    19.99
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25    100.000     0.000     1.9606                        0.054461   0.054986   0.055525  0.056069     14.64    19.99
JPMorgan Chase Financial 48132KCA1 03/31/20 03/31/23    100.000     0.000     1.7509                        0.048636   0.049062   0.049491  0.049925     13.22    17.82
JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25    100.000     0.000     1.9604                        0.054456   0.054990   0.055529  0.056073     14.81    19.99
JPMorgan Chase Financial 48132KCD5 04/03/20 03/31/22    100.000     0.000     1.7210                        0.047806   0.048211   0.048625  0.049044     12.85    17.51
JPMorgan Chase Financial 48132KCE3 04/03/20 04/08/21    100.000     0.000     1.4513             0.040313   0.040322   0.040614                          10.83     3.94
JPMorgan Chase Financial 48132KCF0 04/03/20 06/30/22    100.000     0.000     1.7300             0.048057   0.048258   0.048675   0.049096  0.049521     12.92    17.60
JPMorgan Chase Financial 48132KCG8 04/03/20 06/30/21    100.000     0.000     1.6006             0.044460   0.044632   0.044990                          11.95     8.05
JPMorgan Chase Financial 48132KCH6 04/03/20 09/30/22    100.000     0.000     1.7309                        0.048082   0.048491   0.048911  0.049334     12.92    17.61
JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24    100.000     0.000     2.7908                        0.077523   0.078605   0.079702  0.080814     18.75    28.63
JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27    100.000     0.000     3.0407                        0.084465   0.085749   0.087053  0.088376     20.43    31.26
JPMorgan Chase Financial 48132KPW9 05/05/20 07/29/22    100.000     0.000     2.7205                        0.075569   0.076048   0.077083  0.078131     17.91    27.88
JPMorgan Chase Financial 48132KPX7 05/05/20 01/31/23    100.000     0.000     1.7300                        0.048056   0.048253   0.048670  0.049091     11.37    17.57
JPMorgan Chase Financial 48132KPY5 04/30/20 04/30/27    100.000     0.000     3.0407                        0.084465   0.085749   0.087053  0.088376     20.43    31.26
Justice Park Dist, IL    48214PAT2 06/07/11 12/01/20     94.574    VARIES     5.7224             0.157855   0.158398                                     52.19         
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES     5.9725             0.162904   0.163621   0.164360   0.165121               58.82    54.38
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300     4.9136      7.19   0.005447   0.005581   0.005718   0.005858  0.006002      2.00     2.10
Kansas City Southern     485170AN4 12/09/15 05/15/20     97.300     2.350     3.0050     24.60   0.017925                                                 2.40         
Kansas City Southern     485170AP9 12/09/15 05/15/23     95.360     3.000     3.7202     23.78   0.017584   0.017911   0.018245   0.018584  0.018930      6.42     6.66
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300     4.9136      7.19   0.005447   0.005581   0.005718   0.005858  0.006002      2.00     2.10
Kansas City Southern     485170AV6 12/09/15 05/15/23     95.360     3.000     3.7202     23.78   0.017584   0.017911   0.018245   0.018584  0.018930      6.42     6.66
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300     4.9136      7.19   0.005447   0.005581   0.005718   0.005858  0.006002      2.00     2.10
Kansas City Southern     485170AZ7 12/09/15 05/15/20     97.300     2.350     3.0050     24.60   0.017925                                                 2.40         
KINGS LOC SCH DIST OHIO  496026MA0 01/29/20 12/01/31     68.518     0.000     3.2189             0.061264   0.061933   0.062929   0.063942  0.064971     20.51    22.90
KFW                      500769BR4 04/19/06 04/18/36     19.779     0.000     5.4760    216.85   0.062378   0.064086   0.065841   0.067644  0.069496     23.02    24.29
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000     5.7800    188.07   0.059233   0.060945   0.062706   0.064518  0.066383     21.64    22.91
LA SALLE BUREAU & LEE CN 504354DH1 06/30/17 12/01/22    104.232     3.750     2.8869     75.51   0.082166   0.081849   0.081526   0.081200  0.080868     29.50    29.27
LA SALLE BUREAU & LEE CN 504354DJ7 06/30/17 12/01/23    103.755     3.750     3.0878     80.55   0.087895   0.087644   0.087389   0.087130  0.086867     31.58    31.40
LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24    104.424     3.875     3.1886     83.75   0.091362   0.091103   0.090839   0.090571  0.090299     32.83    32.64
LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25    104.194     3.875     3.2895     86.29   0.094266   0.094046   0.093822   0.093595  0.093364     33.88    33.72
Lake County, IL          509262CV1 04/09/03 01/01/21     35.244     0.000     5.9695    590.44   0.156346   0.161013                                     57.12         
Liberty Interactive Corp 530610AA2 04/09/13 03/30/43*   100.000     2.984     6.0293             0.207161   0.210907                                     18.65*        
Liberty Interactive Corp 530610AB0 09/09/13 09/30/43*   100.000     1.000     2.5054             0.076404                                                 6.88*        
Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750     5.2776    186.50   0.163796   0.166835   0.169955   0.173157  0.176443     60.07    62.35
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000     9.0690             0.940772   0.978393   1.017720   1.058830  1.101805    348.99   377.65
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000     9.0690             0.940772   0.978393   1.017720   1.058830  1.101805    348.99   377.65
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750     9.4298             1.056821   1.101738   1.148773   1.198025  1.249600    401.05   436.14
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750     9.4298             1.056821   1.101738   1.148773   1.198025  1.249600    401.05   436.14
Liberty Media Corp.      530715AM3 01/11/01 01/15/31**  100.000     3.500        N/A             1.026157   1.070282   1.116502   1.164918  1.215633    392.36** 427.11
Liberty Media Corp.      530715AN1 01/11/01 01/15/31**  100.000     3.500        N/A             1.026157   1.070282   1.116502   1.164918  1.215633    392.36** 427.11
Liberty Media Corp.      531229AC6 08/17/16 09/30/46    100.000     2.250     4.1931    145.53   0.123936   0.125224   0.126539   0.127881  0.129252     45.09    46.04
Liberty Media Corp.      531229AE2 08/17/16 09/30/46    100.000     2.250     4.1931    145.53   0.123936   0.125224   0.126539   0.127881  0.129252     45.09    46.04
    -----------------------------                                                                                                                                      
    *  Called in 2020; reportable OID is computed to call date.                                                                                                        
    ** These calculations may be revised.                                                                                                                              



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Liberty Media Corp.      531229AG7 03/06/18 03/31/48    100.000     2.125     4.8953     90.78   0.142041   0.144073   0.146156   0.148289  0.150474     51.87    53.39
Liberty Media Corp.      531229AH5 12/03/18 12/01/48     99.500     2.250     5.2748     57.09   0.150217   0.152530   0.154905   0.157342  0.159843     54.64    56.35
Liberty Media Corp.      531229AJ1 11/26/19 12/01/49    100.000     2.750     4.4630      4.34   0.123972   0.125064   0.126150   0.127260  0.128395     44.89    45.68
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES     4.6791             0.116345   0.117146   0.117966   0.118805  0.119878     42.13    42.74
Lloyds TSB Bank PLC      5394E8AP4 04/27/12 04/27/20    100.000    VARIES     2.7871             0.021563                                                 2.50         
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES     2.8121             0.007973   0.008085   0.008199   0.008314  0.008431      2.93     3.01
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000    VARIES     4.6384     22.16   0.009683   0.009908   0.010137   0.010373  0.010613      3.60     3.77
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES     3.6033             0.085187   0.084865   0.084955   0.085045  0.085138     30.57    30.63
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES     3.6892             0.084788   0.084569   0.084345   0.084118  0.084284     30.43    30.32
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES     3.6255             0.072548   0.072940   0.074209   0.075502  0.076819     26.30    27.12
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES     4.1638             0.090299   0.091164   0.092047   0.093610  0.095205     32.97    33.97
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES     4.0718             0.086490   0.087172   0.087868   0.088578  0.089302     31.47    31.98
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES     4.1865             0.076411   0.074526   0.072601   0.074028  0.075484     26.59    26.83
Lloyds TSB Bank PLC      5394E8BZ1 08/28/13 08/28/33*   100.000    VARIES     4.7627             0.114932   0.114728                                     16.99*        
Lloyds TSB Bank PLC      5394E8CA5 09/26/13 09/26/33*   100.000    VARIES     5.0070             0.117963   0.118332   0.118711                          31.92*        
Lloyds TSB Bank PLC      5394E8CB3 10/17/13 10/17/33*   100.000    VARIES     5.0356             0.119798   0.120071                                     23.74*        
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES     5.0339             0.113541   0.113689   0.113841   0.113996  0.114156     40.92    41.03
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28     97.000    VARIES     4.8307             0.119839   0.120030   0.120225   0.120425  0.120628     43.19    43.33
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES     4.4797             0.100971   0.101286   0.101609   0.101939  0.102277     36.43    36.66
Lloyds TSB Bank PLC      5394E8CF4 12/27/13 12/27/28*   100.000    VARIES     4.0355             0.099701   0.100110                                     26.86*        
Lloyds TSB Bank PLC      5394E8CG2 01/29/14 01/29/34*   100.000    VARIES     4.7510             0.110726   0.110601   0.110900                          33.32*        
Lloyds TSB Bank PLC      5394E8CK3 04/10/14 04/10/34*   100.000    VARIES     4.6720             0.112230   0.112290   0.112566                          32.00*        
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES     3.7159             0.079320   0.079180   0.079692   0.080212  0.080743     28.55    28.85
LOGAN SANGAMON ETC CNTYS 541100BQ5 05/01/19 12/01/20    100.000     3.050     3.0305     20.29   0.085673   0.084190                                     28.01         
LUBBOCK TEX INDPT SCH DI 5492203D1 12/03/19 02/15/21     97.765     0.000     1.8916      1.44   0.051371   0.051565   0.052053                          18.62     2.29
LUBBOCK TEX INDPT SCH DI 5492203E9 12/03/19 02/15/22     95.718     0.000     1.9986      1.49   0.053141   0.053353   0.053886   0.054425  0.054969     19.27    19.64
LUBBOCK TEX INDPT SCH DI 5492203F6 12/03/19 02/15/23     93.211     0.000     2.2087      1.60   0.057187   0.057439   0.058074   0.058715  0.059363     20.75    21.20
Macon CNTYS SD #11, IL   555495DU1 05/06/15 12/01/20    109.863    VARIES     2.3354             0.066093   0.065486                                     21.70         
Macon CNTYS SD #9, IL    555864AK3 05/24/13 12/01/20    105.634    VARIES     2.6887             0.075281   0.074986                                     24.79         
MADISON OHIO LOC SCH DIS 558090KE5 12/30/19 12/01/30     70.024     0.000     3.2899      0.06   0.063992   0.064875   0.065942   0.067027  0.068129     23.25    24.00
MADISON OHIO LOC SCH DIS 558090KF2 12/30/19 12/01/31     66.986     0.000     3.3899      0.06   0.063076   0.063973   0.065057   0.066160  0.067281     22.93    23.69
Marion County, IL        56884PAQ0 06/02/16 12/01/21    106.954     3.550     2.2000     82.77   0.062717   0.062323   0.061923   0.061520               22.48    20.36
Marion CNTY SD #133, IL  568870BK4 05/05/15 12/01/20    116.003    VARIES     3.0724             0.087996   0.086681                                     28.80         
Marion CNTY SD #133, IL  568870BL2 05/05/15 12/01/21    116.656    VARIES     3.3738             0.098887   0.097626   0.096345   0.095041               35.30    31.56
Marion CNTY SD #133, IL  568870BM0 05/05/15 12/01/22    117.424    VARIES     3.5754             0.106811   0.105617   0.104401   0.103164  0.101905     38.16    37.29
Marion CNTY SD #133, IL  568870BN8 05/05/15 12/01/23    119.592    VARIES     3.7759             0.115403   0.114173   0.112920   0.111643  0.110342     41.25    40.34
Marion County, OR        56913RAU2 03/28/02 06/01/20     26.649     0.000     7.4091    703.74   0.198457                                                29.77         
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     6.350        N/A             0.304256   0.311024   0.318316   0.326172  0.334636    112.03   117.49
Mashantucket Western     574754AM9 07/01/13 07/01/36     14.695     1.000        N/A             0.247742   0.272114   0.298884   0.328288  0.331636     98.23   115.87
Mclean County, IL        582001FD0 06/30/14 12/01/20     99.401    VARIES     3.1536             0.086292   0.086941                                     28.59         
Mclean County, IL        582001FE8 06/30/14 12/01/21    112.369    VARIES     3.6290             0.104412   0.103535   0.102641   0.101732               37.38    33.71
Mclean County, IL        582001FF5 06/30/14 12/01/22    111.828    VARIES     3.8797             0.112669   0.111891   0.111098   0.110290  0.109465     40.37    39.80
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Mclean County, IL        582001FG3 06/30/14 12/01/23    110.876    VARIES     4.1300             0.120462   0.119795   0.119114   0.118418  0.117709     43.21    42.71
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES     4.3801             0.127729   0.127181   0.126620   0.126047  0.125462     45.85    45.45
Miami-Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760     8.7676    109.11   0.045820   0.047828   0.049925   0.052114  0.054398     16.92    18.44
MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32     65.193     0.000     3.3310      0.72   0.060321   0.061225   0.062245   0.063281  0.064335     21.94    22.66
MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33     62.215     0.000     3.4310      0.71   0.059294   0.060209   0.061242   0.062293  0.063361     21.57    22.30
MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34     59.694     0.000     3.4810      0.69   0.057720   0.058624   0.059644   0.060683  0.061739     21.00    21.72
MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35     57.219     0.000     3.5309      0.67   0.056121   0.057013   0.058020   0.059044  0.060086     20.42    21.13
MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36     55.067     0.000     3.5510      0.65   0.054317   0.055185   0.056164   0.057162  0.058177     19.77    20.46
MOOD MEDIA BORROWER LLC  614875AB8 06/28/17 07/01/24     65.470    VARIES    24.9700    269.02   0.388889   0.427333   0.470222   0.518000              146.92   177.88
MOOD MEDIA BORROWER LLC  614875AC6 06/28/19 12/31/23     84.250    VARIES    20.4523     88.12   0.528402   0.582437   0.641998   0.707649  0.780014    200.06   243.07
MOOD MEDIA BORROWER LLC  614875AD4 06/28/19 12/31/23     84.250    VARIES    20.4523     88.12   0.528402   0.582437   0.641998   0.707649  0.780014    200.06   243.07
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935     4.6422             0.121914   0.122851   0.123810   0.124792  0.125796     44.25    44.95
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350    VARIES     4.6440             0.120671   0.121780   0.122915   0.124077  0.125266     43.87    44.70
Morgan Stanley           61745E2D2 01/24/11 01/24/20    100.000    VARIES     5.2662             0.146571                                                 3.37         
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES     5.5160             0.155128   0.154958   0.154783   0.154561  0.154332     55.76    55.61
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES     6.0157             0.146996   0.148158   0.149354   0.150569  0.151820     53.21    54.07
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES     5.7295             0.131546   0.132936   0.134366   0.135837  0.137769     48.06    49.18
Morgan Stanley           61745E2L4 07/07/11 07/07/20    100.000    VARIES     2.2423             0.013481   0.013632                                      2.53         
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES     6.5857             0.160073   0.160373   0.160682   0.161001  0.161331     57.70    57.92
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES     5.5541             0.135417   0.135367   0.135315   0.135600  0.135894     48.72    48.86
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES     6.7334             0.155785   0.156604   0.157450   0.158305  0.159188     56.28    56.89
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES     6.0719             0.138103   0.139083   0.140092   0.141132  0.142421     50.17    50.94
Morgan Stanley           61745E3R0 02/11/11 02/11/20    100.000    VARIES     5.7501             0.160255                                                 6.41         
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES     5.6231             0.136225   0.136416   0.136613   0.137143  0.137688     49.13    49.44
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES     6.9292             0.165991   0.167574   0.169211   0.170832  0.172510     60.05    61.22
Morgan Stanley           61745E3W9 08/17/10 08/17/20    100.000    VARIES     2.7071             0.023118   0.023431                                      5.28         
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES     5.4529             0.126385   0.127419   0.128481   0.129966  0.131491     46.00    46.98
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES     5.4933             0.137113   0.138199   0.139316   0.140387  0.141487     49.89    50.68
Morgan Stanley           61745E4K4 02/18/11 02/18/20    100.000    VARIES     2.8599             0.017730                                                 0.83         
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES     5.5117             0.129225   0.130360   0.131527   0.132925  0.134361     47.08    48.03
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES     6.1787             0.136557   0.137315   0.138097   0.138903  0.139824     49.56    50.15
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES     5.2217             0.146013   0.145697   0.145377                          52.44    10.76
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES     5.6565             0.139209   0.140134   0.141085   0.141717  0.142368     50.52    51.07
Morgan Stanley           61745E5W7 08/31/10 08/31/20    100.000    VARIES     2.8095             0.013730   0.013772                                      3.34         
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES     5.8739             0.159998   0.160195   0.160399   0.160608  0.160995     57.67    57.84
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES     5.6272             0.135615   0.136072   0.136541   0.137024  0.137561     49.04    49.40
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES     5.5647             0.153605   0.153951   0.154110   0.154274  0.154442     55.41    55.54
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES     4.5799             0.128475   0.128392   0.128307   0.128162  0.128014     46.21    46.13
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES     5.9463             0.145624   0.146554   0.147512   0.148498  0.149531     52.77    53.48
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES     5.5533             0.152252   0.152390   0.152531   0.152676  0.152855     54.86    54.96
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES     5.0167             0.140279   0.140215   0.140149   0.140040  0.139929     50.47    50.40
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES     5.5216             0.126254   0.125899   0.129048   0.128431  0.132113     46.49    47.37
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES     5.3224             0.149149   0.148730   0.148294                          53.54    13.35
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES     5.9065             0.163466   0.163845   0.164156   0.164477  0.164806     58.97    59.21
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES     5.7613             0.153619   0.154103   0.154647   0.155208  0.155784     55.47    55.86
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES     5.8397             0.170375   0.170436   0.170089   0.169732  0.169365     61.32    61.11
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES     6.0399             0.163685   0.163837   0.163994   0.164156  0.164504     58.97    59.09
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES     2.2565             0.007566   0.007651   0.007738                           2.75     0.80
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES     5.6735             0.137683   0.137019   0.140160   0.138522  0.141495     50.57    51.02
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES     5.6779             0.155616   0.155548   0.156323   0.155387  0.156149     56.99    56.87
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES     5.7525             0.134272   0.135334   0.137457   0.138117  0.140336     49.55    50.49
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES     5.7372             0.141738   0.142479   0.143242   0.144026  0.145219     51.25    51.83
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES     5.8527             0.144025   0.145018   0.146039   0.147091  0.148174     52.25    53.00
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES     5.8547             0.138417   0.139401   0.140415   0.141458  0.142532     50.22    50.96
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES     5.5348             0.136155   0.137093   0.138057   0.139033  0.140035     49.37    50.07
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES     5.1511             0.144049   0.143920   0.143793   0.143663  0.143522     51.82    51.73
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES     5.5224             0.139358   0.138107   0.141048   0.139408  0.142408     50.85    51.24
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES     6.1252             0.138671   0.139958   0.141283   0.142408  0.143568     50.39    51.27
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES     1.9923             0.014331   0.014474   0.014618                           5.20     1.91
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES     5.6682             0.137231   0.137460   0.137696   0.137938  0.138465     49.46    49.64
Morgan Stanley           61745ES28 06/24/10 06/24/20    100.000    VARIES     5.8923             0.164636                                                28.48         
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES     5.5394             0.149725   0.149768   0.149929   0.150095  0.150265     53.92    54.01
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES     5.3579             0.147219   0.147057   0.147015   0.146971  0.146927     52.97    52.92
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES     2.3142             0.015266   0.015442   0.015621                           5.53     2.55
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES     5.9022             0.156846   0.157593   0.158363   0.159155  0.159870     56.84    57.40
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES     5.4880             0.129779   0.130782   0.132183   0.133622  0.135101     46.92    47.87
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES     6.4618             0.175660   0.175855   0.176057   0.176539  0.177037     63.30    63.53
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES     6.4553             0.172923   0.173532   0.174161   0.174810  0.175452     62.55    63.01
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES     5.7759             0.137846   0.138156   0.138476   0.138804  0.139383     49.68    49.91
Morgan Stanley           61745EY21 07/15/10 07/15/20    100.000    VARIES     3.4515             0.024879   0.025309                                      4.90         
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES     5.5720             0.141927   0.142909   0.143880   0.144879  0.145905     51.27    51.98
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES     5.7789             0.147665   0.148632   0.149626   0.150649  0.151701     53.67    54.41
Morgan Stanley           6174824H4 04/30/13 04/28/23    100.000    VARIES     3.0093             0.081720   0.081942   0.082187   0.082435  0.082709     29.49    29.66
Morgan Stanley           6174824W1 05/30/13 05/30/28    100.000    VARIES     3.5684             0.095353   0.095542   0.095734   0.095929  0.096134     34.37    34.51
Morgan Stanley           6174824Z4 07/03/13 06/29/20    100.000     0.000     3.7329             0.131817                                                23.46         
Morgan Stanley           617482H23 03/16/12 03/16/27    100.000    VARIES     6.4024             0.166968   0.166918   0.167137   0.167363  0.167597     60.12    60.26
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES     6.2468             0.162599   0.162934   0.163279   0.163964  0.164672     58.60    58.92
Morgan Stanley           617482QY3 02/08/11 12/22/20    100.000    VARIES        N/A             0.150096   0.150542                                     52.82         
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES     5.9551             0.156951   0.157112   0.157277   0.157677  0.158088     56.57    56.79
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES     5.3835             0.144757   0.144652   0.144768   0.144886  0.145009     52.09    52.15
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES     5.5345             0.137707   0.137715   0.137723   0.137732  0.137997     49.58    49.59
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES     5.5330             0.139136   0.138970   0.139039   0.139110  0.139182     50.06    50.07
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES     6.1189             0.150741   0.152178   0.151122   0.151971  0.151159     55.48    55.32
Morgan Stanley           61758S260 09/04/14 02/28/22    100.000     0.000     3.2754             0.105816   0.106380   0.109914   0.109893  0.113544     39.34    40.56
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61758S559 09/02/14 07/03/23    100.000     0.000     3.4567             0.113334   0.115293   0.117285   0.119312  0.121374     41.86    43.32
Morgan Stanley           61758S625 10/03/14 03/31/22    100.000     0.000     3.6906             0.123061   0.125332   0.127644   0.130000  0.132399     45.13    46.81
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000     5.3273             0.215575   0.220578   0.225713   0.230986  0.236398     78.58    82.28
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES     5.1014             0.119398   0.118664   0.121218   0.119835  0.122444     43.79    44.14
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES     5.1025             0.130442   0.129003   0.131465   0.129648  0.132137     47.60    47.73
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES     5.5710             0.131144   0.131632   0.132134   0.132650  0.133260     47.40    47.78
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES     5.8741             0.134863   0.135471   0.136136   0.136821  0.137526     48.78    49.26
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES     6.0912             0.147743   0.147539   0.147796   0.148060  0.148332     53.16    53.30
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES     5.8451             0.141003   0.141879   0.142899   0.143948  0.145028     51.09    51.83
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES     5.9580             0.138123   0.138855   0.139655   0.140479  0.141328     49.95    50.53
Morgan Stanley           61760QBE3 05/21/12 05/21/21    100.000    VARIES     3.6559             0.017256   0.017571   0.017892                           6.29     2.50
Morgan Stanley           61760QBG8 05/16/12 05/16/22    100.000    VARIES     3.9371             0.024399   0.024880   0.025369   0.025869  0.026378      8.91     9.27
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES     6.1478             0.142734   0.143407   0.144102   0.144817  0.146354     51.55    52.08
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES     6.1478             0.142734   0.143407   0.144102   0.144817  0.146354     51.55    52.08
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES     4.4801             0.124571   0.124540   0.124509   0.124477  0.124456     44.84    44.81
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES     4.6395             0.128864   0.128863   0.128863   0.128869  0.128874     46.39    46.39
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES     4.4679             0.139986   0.140011   0.140036   0.139751  0.139460     50.40    50.34
Morgan Stanley           61760QCD4 12/28/12 12/28/22    100.000    VARIES     2.1577             0.009108   0.009206   0.009305   0.009406  0.009507      3.30     3.37
Morgan Stanley           61760QCG7 01/31/13 01/31/23    100.000    VARIES     2.1326             0.009867   0.009972   0.010078   0.010186  0.010295      3.60     3.68
Morgan Stanley           61760QCK8 02/28/13 03/01/23    100.000    VARIES     1.9099             0.009689   0.009782   0.009875   0.009969  0.010064      3.53     3.59
Morgan Stanley           61760QCQ5 06/28/13 06/28/28    100.000    VARIES     3.9696             0.097904   0.098492   0.099092   0.099703  0.100381     35.35    35.79
Morgan Stanley           61760QCR3 06/07/13 06/07/20    100.000    VARIES     1.7754             0.012119                                                 1.89         
Morgan Stanley           61760QCS1 06/07/13 06/07/28    100.000    VARIES     4.0272             0.097019   0.097410   0.097809   0.098215  0.098949     35.02    35.31
Morgan Stanley           61760QCT9 06/28/13 06/28/28    100.000    VARIES     4.5851             0.110440   0.111209   0.111996   0.112800  0.113701     39.90    40.47
Morgan Stanley           61760QCV4 06/28/13 06/28/28    100.000    VARIES     4.3010             0.110571   0.111162   0.111822   0.112496  0.113185     39.92    40.38
Morgan Stanley           61760QCW2 06/28/13 06/28/28    100.000    VARIES     4.2811             0.110134   0.110732   0.111391   0.112064  0.112752     39.76    40.23
Morgan Stanley           61760QCY8 07/31/13 07/31/28    100.000    VARIES     4.5084             0.114252   0.114807   0.115375   0.116056  0.116752     41.40    41.87
Morgan Stanley           61760QCZ5 07/31/13 07/31/33    100.000    VARIES     4.4981             0.107931   0.108231   0.108538   0.109111  0.109697     39.00    39.35
Morgan Stanley           61760QDB7 08/19/13 08/19/33    100.000    VARIES     4.7352             0.119348   0.119919   0.120504   0.121102  0.121715     43.22    43.65
Morgan Stanley           61760QDD3 08/19/13 08/19/33    100.000    VARIES     4.5466             0.106128   0.106522   0.106924   0.107336  0.107757     38.38    38.68
Morgan Stanley           61760QDE1 08/28/13 08/28/33    100.000    VARIES     4.4982             0.103113   0.103373   0.103639   0.103910  0.104188     37.23    37.43
Morgan Stanley           61760QDH4 09/06/13 09/06/21    100.000    VARIES     2.3953             0.010470   0.010596   0.010723   0.010851                3.82     2.65
Morgan Stanley           61760QDL5 09/26/13 09/26/33    100.000    VARIES     4.6879             0.110888   0.111221   0.111561   0.111910  0.112267     40.04    40.29
Morgan Stanley           61760QDR2 11/27/13 11/27/33    100.000    VARIES     4.4302             0.100978   0.101429   0.101890   0.102361  0.102842     36.46    36.80
Morgan Stanley           61760QEC4 03/31/14 03/31/34    100.000    VARIES     4.3149             0.105045   0.105112   0.105330   0.105552  0.105779     37.85    38.00
Morgan Stanley           61760QEZ3 09/17/14 09/17/34    100.000    VARIES     2.6675             0.009921   0.010053   0.010188   0.010323  0.010461      3.62     3.72
Morgan Stanley           61760QFH2 10/30/14 10/30/24    100.000    VARIES     2.1052             0.056343   0.056546   0.056752   0.056960  0.057170     20.35    20.49
Morgan Stanley           61760QGA6 05/27/15 05/27/30    100.000    VARIES     2.7018             0.009062   0.008775   0.008893   0.009014  0.009135      3.20     3.23
Morgan Stanley           61760QGB4 05/20/15 05/20/25    100.000    VARIES     2.6352             0.007967   0.008072   0.008178   0.008286  0.008395      2.90     2.97
Morgan Stanley           61760QGP3 06/30/15 06/30/22    100.000    VARIES     1.5573             0.010940   0.010893   0.010846   0.010798  0.010750      3.93     3.90
Morgan Stanley           61760QGV0 07/31/15 07/31/27    100.000    VARIES     2.7160             0.008999   0.009121   0.009245   0.009371  0.009498      3.30     3.39
Morgan Stanley           61760QGW8 07/31/15 07/31/27    100.000    VARIES     2.7281             0.010037   0.010174   0.010313   0.010453  0.010596      3.68     3.78
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QHA5 08/28/15 08/28/25    100.000    VARIES     2.5293             0.007651   0.007748   0.007846   0.007945  0.008045      2.80     2.87
Morgan Stanley           61760QHQ0 09/30/15 09/30/22    100.000    VARIES     1.6929             0.009715   0.009798   0.009881   0.009964  0.010049      3.53     3.59
Morgan Stanley           61760QHT4 10/07/15 10/07/25    100.000    VARIES     2.4403             0.009469   0.009584   0.009701   0.009820  0.009940      3.45     3.53
Morgan Stanley           61760QHZ0 11/10/15 11/10/25    100.000    VARIES     2.5656             0.008502   0.008611   0.008721   0.008833  0.008946      3.09     3.17
Morgan Stanley           61760QJA3 11/25/15 11/25/25    100.000    VARIES     2.4581             0.008448   0.008551   0.008657   0.008763  0.008871      3.07     3.14
Morgan Stanley           61760QJJ4 01/28/16 01/28/23    100.000    VARIES     2.2365     12.79   0.009135   0.009237   0.009340   0.009445  0.009550      3.34     3.41
Morgan Stanley           61760QJK1 02/17/16 02/17/26    100.000    VARIES     2.3885     24.68   0.016533   0.016731   0.016930   0.017133  0.017337      6.04     6.19
Morgan Stanley           61760QJS4 02/24/17 02/24/27    100.000    VARIES     2.8869     15.43   0.013733   0.013225   0.013416   0.013610  0.013806      4.81     4.91
Morgan Stanley           61760QJT2 03/20/17 03/20/27    100.000    VARIES     2.5542      7.46   0.006844   0.006931   0.007020   0.007109  0.007200      2.50     2.56
Morgan Stanley           61760QJV7 03/31/17 03/31/27    100.000    VARIES     2.8769     12.22   0.011239   0.010825   0.010981   0.011138  0.011299      3.95     4.01
Morgan Stanley           61760QKA1 09/30/16 09/30/26    100.000    VARIES     2.5378     21.86   0.016895   0.017109   0.017326   0.017546  0.017769      6.16     6.32
Morgan Stanley           61760QKE3 12/28/16 12/28/26    100.000    VARIES     2.2900      8.24   0.006910   0.006989   0.007070   0.007150  0.007232      2.50     2.56
Morgan Stanley           61760QKF0 12/30/16 12/30/26    100.000    VARIES     2.8667     14.42   0.011806   0.011976   0.012147   0.012321  0.012498      4.28     4.40
Morgan Stanley           61760QKH6 02/21/17 02/21/27    100.000    VARIES     2.7058      7.66   0.006807   0.006899   0.006992   0.007087  0.007183      2.49     2.56
Morgan Stanley           61760QKK9 06/30/17 06/30/27    100.000    VARIES     2.7385     11.22   0.011312   0.010918   0.011067   0.011219  0.011372      4.00     4.01
Morgan Stanley           61760QKQ6 08/02/17 08/02/27    100.000    VARIES     2.7106     11.52   0.012434   0.012024   0.011609   0.011767  0.011926      4.28     4.25
Morgan Stanley           61760QKR4 09/15/17 09/15/27    100.000    VARIES     2.6232      9.73   0.011034   0.010683   0.010327   0.010463  0.010600      3.83     3.77
Morgan Stanley           61760QKU7 09/29/17 09/29/27    100.000    VARIES     2.7477      9.78   0.011235   0.010860   0.010480   0.010624  0.010770      3.91     3.83
Morgan Stanley           61760QKZ6 03/22/18 03/22/28    100.000    VARIES     3.8651     68.66   0.106176   0.105128   0.106937   0.105272  0.107052     38.74    38.74
Morgan Stanley           61760QLA0 04/03/18 04/03/28    100.000    VARIES     3.1280      4.76   0.006807   0.006349   0.006448   0.006549  0.006652      2.34     2.36
Morgan Stanley           61760QLB8 04/03/18 04/03/28    100.000    VARIES     3.4407     10.51   0.014888   0.013779   0.014017   0.014258  0.014503      5.08     5.13
Morgan Stanley           61760QLC6 05/03/18 05/03/28    100.000    VARIES     3.4370      6.72   0.009940   0.009200   0.009358   0.009519  0.009683      3.41     3.42
Morgan Stanley           61760QLJ1 06/29/18 06/29/23    100.000    VARIES     3.3558      6.31   0.011071   0.010781   0.010961   0.011145  0.011332      3.93     3.98
Morgan Stanley           61760QLM4 06/29/18 06/29/23    100.000    VARIES     3.2564      4.66   0.008172   0.008305   0.008440   0.008578  0.008717      2.97     3.06
Morgan Stanley           61760QLN2 07/31/18 07/31/23    100.000    VARIES     3.2828      4.32   0.007872   0.008002   0.008133   0.008267  0.008402      2.90     2.99
Morgan Stanley           61760QLT9 09/05/18 03/05/21    100.000    VARIES     3.0209      3.63   0.007707   0.007713   0.007572                           2.76     0.48
Morgan Stanley           61760QLX0 09/26/18 09/26/28    100.000    VARIES     3.8192      3.84   0.007754   0.007168   0.006571   0.006696  0.006824      2.57     2.41
Morgan Stanley           61760QMC5 08/23/19 08/23/21    100.000    VARIES     2.3620      0.93   0.007278   0.007194   0.007109   0.007193                2.58     1.66
Morgan Stanley           61760QMF8 11/28/18 11/28/28    100.000    VARIES     3.9167      6.73   0.016209   0.015521   0.014819   0.014104  0.013374      5.67     5.16
Morgan Stanley           61760QMM3 02/25/19 02/25/29    100.000    VARIES     3.3395      5.27   0.016626   0.015608   0.014574   0.013523  0.013749      5.54     4.95
Morgan Stanley           61760S134 02/05/14 01/29/21    100.000     0.000     3.2801             0.108910   0.110696   0.112511                          40.08     3.15
Morgan Stanley           61760S282 03/04/14 02/26/21    100.000     0.000     3.1844             0.105167   0.106841   0.108542                          38.58     5.97
Morgan Stanley           61760S522 04/03/14 03/31/21    100.000     0.000     3.3225             0.110598   0.112435   0.114303                          40.48    10.17
Morgan Stanley           61760S613 03/18/14 09/20/21    100.000     0.000     3.4354             0.115111   0.117089   0.119100   0.121146               42.20    31.22
Morgan Stanley           61760S621 03/18/14 07/18/22    100.000     0.000     3.7451             0.126802   0.129177   0.131596   0.134060  0.136570     46.86    48.63
Morgan Stanley           61760S738 05/05/14 10/29/21    100.000     0.000     3.5626             0.120106   0.122245   0.124423   0.126639               43.89    37.48
Morgan Stanley           61761JAY5 01/31/13 07/31/20    100.000     0.000     3.2934             0.113124   0.114987                                     23.98         
Morgan Stanley           61761JB24 07/06/15 07/06/22    100.000     0.000     3.3973             0.107984   0.109818   0.111684   0.113581  0.115510     39.85    41.22
Morgan Stanley           61761JCC1 02/28/13 08/28/20    100.000     0.000     2.9762             0.100175   0.101666                                     24.01         
Morgan Stanley           61761JDB2 02/20/13 02/18/33    100.000    VARIES     4.5201             0.113234   0.113180   0.113124   0.113068  0.113178     40.74    40.72
Morgan Stanley           61761JGF0 05/08/13 05/06/33    100.000    VARIES     3.9967             0.102537   0.102460   0.102382   0.102303  0.102371     36.89    36.84
Morgan Stanley           61761JGH6 05/30/13 05/31/33    100.000    VARIES     4.3438             0.109316   0.109280   0.109843   0.109206  0.109913     40.02    39.98
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61761JGS2 05/24/13 05/24/33    100.000    VARIES     4.1821             0.105726   0.105710   0.105693   0.105676  0.105809     38.06    38.05
Morgan Stanley           61761JHD4 06/28/13 06/28/33    100.000    VARIES     5.2916             0.133427   0.133370   0.133310   0.133249  0.133387     48.02    47.98
Morgan Stanley           61761JHJ1 06/28/13 06/28/21    100.000     0.000     4.0232             0.144780   0.147692   0.150663                          52.66    26.67
Morgan Stanley           61761JJB6 06/18/13 06/18/32    100.000    VARIES     4.7373             0.122650   0.122619   0.122587   0.122555  0.122673     44.15    44.13
Morgan Stanley           61761JJF7 06/25/13 06/25/21    100.000     0.000     3.9339             0.140766   0.143535   0.146358                          51.21    25.47
Morgan Stanley           61761JJP5 07/31/13 07/29/33    100.000    VARIES     4.8133             0.122822   0.122755   0.122687   0.122617  0.122545     44.18    44.13
Morgan Stanley           61761JJW0 07/31/13 01/29/21    100.000     0.000     3.5968             0.123725   0.125950   0.128216                          45.62     3.59
Morgan Stanley           61761JJY6 07/15/13 07/15/33     99.000    VARIES     4.8838             0.126509   0.126529   0.126549   0.126569  0.126590     45.55    45.57
Morgan Stanley           61761JKJ7 08/30/13 02/26/21    100.000     0.000     3.7094             0.128408   0.130790   0.133215                          47.26     7.33
Morgan Stanley           61761JKL2 08/30/13 08/30/33    100.000    VARIES     5.0532             0.127059   0.127046   0.127731   0.127019  0.127703     46.58    46.49
Morgan Stanley           61761JKY4 09/30/13 09/30/33    100.000    VARIES     4.8148             0.123631   0.123653   0.123676   0.123700  0.123725     44.52    44.53
Morgan Stanley           61761JLF4 09/30/13 09/30/20    100.000     0.000     3.4026             0.115726   0.117695                                     31.48         
Morgan Stanley           61761JLU1 09/30/13 09/30/33    100.000    VARIES     4.8742             0.127771   0.127785   0.127800   0.127814  0.127829     46.00    46.01
Morgan Stanley           61761JLY3 10/31/13 10/31/33    100.000    VARIES     4.7082             0.119151   0.119073   0.118994   0.118912  0.118829     42.87    42.81
Morgan Stanley           61761JMC0 10/31/13 10/29/21    100.000     0.000     3.4604             0.118082   0.120126   0.122204   0.124318               43.13    36.80
Morgan Stanley           61761JMW6 11/29/13 03/29/22    100.000     0.000     3.7206             0.128148   0.130532   0.132960   0.135434  0.137953     47.01    48.77
Morgan Stanley           61761JMZ9 12/26/13 06/27/22    100.000     0.000     3.9457             0.138574   0.141308   0.144095   0.146938  0.149837     50.40    52.41
Morgan Stanley           61761JNF2 12/26/13 12/27/33    100.000    VARIES     4.7412             0.120545   0.120541   0.121198   0.120531  0.121189     44.12    44.12
Morgan Stanley           61761JQC6 04/30/14 10/30/20    100.000     0.000     3.2667             0.108444   0.110216                                     32.74         
Morgan Stanley           61761JQT9 05/30/14 11/30/20    100.000     0.000     3.1489             0.102174   0.103783                                     34.42         
Morgan Stanley           61761JRH4 06/30/14 06/30/21    100.000     0.000     3.0261             0.099157   0.100657   0.102180                          35.97    18.29
Morgan Stanley           61761JUW7 11/25/14 11/25/20    100.000     0.000     3.1262             0.101410   0.102995                                     33.14         
Morgan Stanley           61761JVF3 12/31/14 12/31/20    100.000     0.000     3.0557             0.098778   0.100287                                     35.73         
Morgan Stanley           61761JVY2 01/30/15 01/29/21    100.000     0.000     2.7901             0.087790   0.089014   0.090256                          32.20     2.53
Morgan Stanley           61761JWZ8 02/24/15 02/24/23    100.000     0.000     3.1504             0.100727   0.102314   0.103925   0.105562  0.107225     36.95    38.13
Morgan Stanley           61761JXP9 03/03/15 03/03/25    100.000     0.000     3.5983             0.117354   0.119465   0.121615   0.123803  0.126030     43.13    44.70
Morgan Stanley           61761JZB8 06/03/15 06/03/22    100.000     0.000     3.2133             0.103025   0.104680   0.106362   0.108071  0.109807     37.48    38.69
Morgan Stanley           61761S331 07/03/14 12/31/21    100.000     0.000     3.3219             0.110586   0.112423   0.114290   0.116189               40.15    41.37
Morgan Stanley           61761S661 08/05/14 04/30/20    100.000     0.000     2.9149             0.094225                                                11.21         
Morgan Stanley           61761S679 08/05/14 01/31/22    100.000     0.000     3.4470             0.111071   0.114227   0.114932   0.118851  0.118928     41.82    43.27
Morgan Stanley           61762E299 06/05/13 05/29/20    100.000     0.000     3.0962             0.104962                                                15.53         
Morgan Stanley           61762GAM6 11/27/13 05/27/21    100.000     0.000     3.3898             0.115201   0.117154   0.119139                          41.96    17.39
Morgan Stanley           61762GAN4 12/04/13 12/07/20    100.000     0.000     3.3435             0.113352   0.115247                                     38.43         
Morgan Stanley           61762GAS3 01/03/14 12/31/20    100.000     0.000     3.4768             0.118733   0.120797                                     43.00         
Morgan Stanley           61762GBE3 03/11/14 03/04/24    100.000    VARIES     3.8517             0.110002   0.109783   0.109494   0.109200  0.108852     39.50    39.29
Morgan Stanley           61762GBF0 03/31/14 03/29/29    100.000    VARIES     4.2966             0.128004   0.128286   0.128225   0.128162  0.128099     46.15    46.14
Morgan Stanley           61762GFA7 10/30/15 10/30/23    100.000     0.000     3.5009             0.111728   0.113684   0.115674   0.117698  0.119759     40.81    42.26
Morgan Stanley           61762P286 08/05/13 08/05/20    100.000     0.000     3.6083             0.124219   0.126460                                     26.99         
Morgan Stanley           61762P476 08/09/13 08/09/23    100.000     0.000     4.3446             0.156189   0.159582   0.163049   0.166591  0.170210     57.81    60.35
Morgan Stanley           61762W539 11/20/13 11/20/20    100.000     0.000     3.3854             0.115022   0.116969                                     37.04         
Morgan Stanley           61762W604 12/04/13 12/04/20    100.000     0.000     3.3450             0.113380   0.115277                                     38.10         
Morgan Stanley           61764C275 11/05/14 04/29/22    100.000     0.000     3.5062             0.115816   0.117846   0.119912   0.122014  0.124154     42.31    43.81
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61764C622 12/03/14 05/31/22    100.000     0.000     3.3216             0.106976   0.108753   0.111166   0.112395  0.114889     39.61    40.92
Morgan Stanley           61764V364 04/06/15 04/05/22    100.000     0.000     2.9611             0.093879   0.095269   0.096680   0.098111  0.099564     34.29    35.31
Morgan Stanley           61764V570 04/01/15 11/07/25    100.000     0.000     3.4095             0.110645   0.112531   0.114450   0.116401  0.118385     40.38    41.77
Morgan Stanley           61764V646 05/05/15 11/03/22    100.000     0.000     3.1620             0.101133   0.102732   0.104356   0.106006  0.107682     36.88    38.06
Morgan Stanley           61764V828 06/03/15 12/05/22    100.000     0.000     3.2131             0.103037   0.104692   0.106374   0.108083  0.109820     37.48    38.69
Morgan Stanley           61765G309 07/06/15 01/05/23    100.000     0.000     3.3974             0.107975   0.109809   0.111675   0.113572  0.115501     39.85    41.22
Morgan Stanley           61765G564 08/05/15 02/03/23    100.000     0.000     3.4449             0.109681   0.111571   0.113492   0.115447  0.117436     40.39    41.79
Morgan Stanley           61765G804 09/03/15 03/03/23    100.000     0.000     3.4969             0.111584   0.113535   0.115520   0.117540  0.119595     40.99    42.43
Morgan Stanley           61765R271 09/18/15 03/20/23    100.000     0.000     3.6136             0.115863   0.117957   0.120088   0.122258  0.124467     42.51    44.06
Morgan Stanley           61765R438 10/05/15 04/04/23    100.000     0.000     3.3207             0.105220   0.106967   0.108743   0.110548  0.112384     38.50    39.79
Morgan Stanley           61765R669 11/04/15 05/05/23    100.000     0.000     3.3210             0.104093   0.104671   0.108173   0.108176  0.111795     38.44    39.69
Morgan Stanley           61765U175 12/03/15 06/02/23    100.000     0.000     3.3916             0.107766   0.109594   0.111452   0.113342  0.115264     39.23    40.57
Morgan Stanley           61765U217 12/03/15 12/10/20    100.000     0.000     2.7611             0.085634   0.086816                                     29.24         
Morgan Stanley           61765U381 01/05/16 07/06/23    100.000     0.000     3.3685    142.54   0.105184   0.106955   0.108757   0.110589  0.112451     38.81    40.13
Morgan Stanley           61765U407 01/05/16 07/06/21    100.000     0.000     2.9924    125.79   0.092235   0.093615   0.095016   0.096438               33.94    17.83
Morgan Stanley           61765U597 02/03/16 08/03/21    100.000     0.000     3.0506    125.72   0.094210   0.095647   0.097106   0.098587               34.60    20.85
Morgan Stanley           61765U787 03/03/16 09/02/21    100.000     0.000     3.1367    126.55   0.097149   0.098672   0.100220   0.101792               35.61    24.44
Morgan Stanley           61765U803 03/03/16 09/01/23    100.000     0.000     3.5888    145.90   0.112883   0.114909   0.116971   0.119070  0.121206     41.49    43.00
Morgan Stanley           61766B135 04/05/16 10/04/23    100.000     0.000     3.0621    120.36   0.094597   0.096046   0.097516   0.099009  0.100525     34.57    35.64
Morgan Stanley           61766B168 04/05/16 10/04/23    100.000     0.000     3.0621    120.36   0.094597   0.096046   0.097516   0.099009  0.100525     34.57    35.64
Morgan Stanley           61766B176 04/05/16 10/05/21    100.000     0.000     2.6206    102.27   0.079741   0.080786   0.081845   0.082917               29.08    22.62
Morgan Stanley           61766B259 05/04/16 11/03/23    100.000     0.000     3.0362    116.58   0.093714   0.095136   0.096581   0.098047  0.099535     34.16    35.20
Morgan Stanley           61766B309 05/04/16 11/03/21    100.000     0.000     2.5128     95.67   0.076168   0.077125   0.078094   0.079076               27.70    23.76
Morgan Stanley           61766B366 06/03/16 12/05/23    100.000     0.000     3.0194    113.20   0.093165   0.094571   0.095999   0.097448  0.098920     33.87    34.90
Morgan Stanley           61766B408 06/03/16 12/03/21    100.000     0.000     2.6240     97.77   0.079852   0.080900   0.081961   0.083037               28.99    27.40
Morgan Stanley           61766B564 07/06/16 01/03/24    100.000     0.000     2.7558    100.12   0.083081   0.084225   0.085386   0.086563  0.087755     30.53    31.37
Morgan Stanley           61766B598 07/06/16 01/04/22    100.000     0.000     2.5838     93.63   0.077507   0.078508   0.079523   0.080550  0.081591     28.44    29.18
Morgan Stanley           61766F250 11/03/16 05/03/24    100.000     0.000     2.9896     98.37   0.090776   0.092133   0.093510   0.094908  0.096326     33.08    34.08
Morgan Stanley           61766F466 12/05/16 06/05/24    100.000     0.000     3.5039    112.64   0.108020   0.109913   0.111838   0.113797  0.115791     39.33    40.72
Morgan Stanley           61766F839 02/03/17 02/03/22    100.000     0.000     3.0758     92.94   0.092213   0.093631   0.095071   0.096533  0.098018     33.87    34.92
Morgan Stanley Finance   61766V313 03/01/17 02/27/20    100.000     0.000     2.4916     72.70   0.073610                                                 4.12         
Morgan Stanley           61766V578 04/05/17 10/04/23    100.000     0.000     3.3161     94.30   0.100000   0.101658   0.103344   0.105057  0.106799     36.59    37.81
Morgan Stanley Finance   61766V867 05/03/17 11/03/23    100.000     0.000     3.2047     88.32   0.096385   0.097929   0.099498   0.101093  0.102713     35.16    36.29
Morgan Stanley Finance   61766W352 06/05/17 12/05/23    100.000     0.000     3.0702     81.54   0.092034   0.093446   0.094881   0.096337  0.097816     33.46    34.50
Morgan Stanley Finance   61766X459 09/06/17 03/05/24    100.000     0.000     3.0212     72.05   0.089102   0.090448   0.091814   0.093201  0.094609     32.63    33.63
Morgan Stanley Finance   61766X483 09/06/17 09/06/23    100.000     0.000     2.9385     70.03   0.086529   0.087801   0.089091   0.090400  0.091728     31.67    32.61
Morgan Stanley Finance   61766X822 10/04/17 10/04/23    100.000     0.000     2.9409     67.66   0.086605   0.087878   0.089170   0.090482  0.091812     31.63    32.57
Morgan Stanley Finance   61766X848 10/04/17 10/04/23    100.000     0.000     2.9409     67.66   0.086605   0.087878   0.089170   0.090482  0.091812     31.63    32.57
Morgan Stanley           61766YAB7 05/25/16 05/25/26    100.000    VARIES     2.2927     12.14   0.009010   0.009113   0.009217   0.009323  0.009430      3.27     3.34
Morgan Stanley           61766YAD3 05/25/16 05/25/23    100.000    VARIES     1.9635     10.09   0.007703   0.007778   0.007855   0.007932  0.008010      2.79     2.85
Morgan Stanley           61766YAN1 09/30/16 09/30/26    100.000    VARIES     2.2435     10.45   0.008454   0.008549   0.008645   0.008742  0.008840      3.08     3.15
Morgan Stanley Finance   61766YBG5 04/28/17 04/28/32*   100.000    VARIES     3.9156    102.02   0.103810   0.103265                                     21.54*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61766YCN9 03/21/18 03/25/20    100.000     0.000     2.2785     41.12   0.065497                                                 5.50         
Morgan Stanley Finance   61766YCP4 04/04/18 04/02/20    100.000     0.000     2.5359     44.89   0.073144                                                 6.66         
Morgan Stanley Finance   61766YDG3 09/06/18 09/06/25*   100.000    VARIES     3.5675     46.78   0.097666   0.096930   0.096182                          23.99*        
Morgan Stanley Finance   61766YDX6 06/18/19 07/19/21    100.000     0.000     2.7205     14.61   0.075745   0.076776   0.077820   0.078879               27.79    15.60
Morgan Stanley Finance   61766YEC1 07/03/19 07/01/21    100.000     0.000     2.3707     11.72   0.066626   0.067415   0.068215                          24.13    12.28
Morgan Stanley           61767BAA8 02/22/16 02/23/26    100.000    VARIES     3.7844    146.74   0.106232   0.106403   0.106576   0.106753  0.106802     38.32    38.43
Morgan Stanley Finance   61768C2K2 05/30/18 05/29/26    100.000     0.000     4.0544     65.77   0.119598   0.122023   0.124496   0.127020  0.129595     43.65    45.44
Morgan Stanley Finance   61768C2X4 05/23/18 05/20/21    100.000     0.000     3.6531     59.88   0.107105   0.109061   0.111053                          39.07    15.44
Morgan Stanley Finance   61768C3B1 05/31/18 12/04/25*   100.000     0.000     3.8523     62.42   0.113360                                                17.23*        
Morgan Stanley Finance   61768C3D7 06/04/18 06/04/21    100.000     0.000     3.3961     54.49   0.099223   0.100908   0.102622                          36.12    15.70
Morgan Stanley Finance   61768C3H8 06/29/18 07/01/25    100.000     0.000     4.0272     61.87   0.118788   0.121180   0.123620   0.126109               43.19    44.95
Morgan Stanley Finance   61768C4D6 06/05/18 06/04/21    100.000     0.000     3.3960     54.39   0.099213   0.100897   0.102611                          36.11    15.70
Morgan Stanley Finance   61768C4E4 06/20/18 06/18/21    100.000     0.000     3.4825     54.28   0.101859   0.103633   0.105437                          37.04    17.61
Morgan Stanley Finance   61768C4F1 06/20/18 06/18/21    100.000     0.000     3.4825     54.28   0.101859   0.103633   0.105437                          37.04    17.61
Morgan Stanley Finance   61768C4Q7 06/29/18 06/30/23    100.000     0.000     3.7636     57.74   0.110570   0.112650   0.114770   0.116930  0.119130     40.18    41.71
Morgan Stanley Finance   61768C4T1 06/27/18 07/21/20    100.000     0.000     3.3557     51.61   0.096584   0.098205                                     19.61         
Morgan Stanley Finance   61768C5E3 06/20/18 06/18/21    100.000     0.000     3.4825     54.28   0.101859   0.103633   0.105437                          37.04    17.61
Morgan Stanley Finance   61768C5F0 06/28/18 06/30/21    100.000     0.000     3.4856     53.51   0.101993   0.103771   0.105579                          37.04    18.90
Morgan Stanley Finance   61768C5S2 07/31/18 07/31/25    100.000     0.000     4.0045     57.92   0.115735   0.118052   0.120416   0.122827  0.125286     42.79    44.52
Morgan Stanley Finance   61768C6X0 07/26/18 07/28/21    100.000     0.000     3.4862     50.71   0.100265   0.102012   0.103791   0.105600               36.95    21.81
Morgan Stanley Finance   61768C6Y8 07/26/18 07/28/21    100.000     0.000     3.4862     50.71   0.100265   0.102012   0.103791   0.105600               36.95    21.81
Morgan Stanley Finance   61768C6Z5 07/26/18 07/28/21    100.000     0.000     3.4862     50.71   0.100265   0.102012   0.103791   0.105600               36.95    21.81
Morgan Stanley Finance   61768C7D3 07/17/18 07/17/23    100.000     2.500     3.7523     55.19   0.105574   0.107555   0.106967   0.108974  0.108398     38.59    39.10
Morgan Stanley Finance   61768C7J0 07/18/18 07/16/21    100.000     0.000     3.4782     51.39   0.099988   0.101727   0.103496   0.105296               36.89    20.51
Morgan Stanley Finance   61768CA56 02/07/18 02/04/21    100.000     0.000     2.9301     56.84   0.085000   0.086246   0.087509                          31.19     2.89
Morgan Stanley           61768CAV9 10/31/16 10/31/23    100.000     0.000     2.9263     96.47   0.088688   0.089985   0.091302   0.092638  0.093993     32.32    33.27
Morgan Stanley Finance   61768CB63 03/05/18 03/04/21    100.000     0.000     3.1415     58.47   0.091432   0.092868   0.094327                          33.51     5.94
Morgan Stanley Finance   61768CB89 02/28/18 03/03/26    100.000     0.000     3.7712     71.28   0.110852   0.112942   0.115072   0.117241  0.119452     40.78    42.33
Morgan Stanley Finance   61768CE78 03/02/18 03/04/21    100.000     0.000     3.1690     59.27   0.092294   0.093756   0.095242                          33.83     6.00
Morgan Stanley Finance   61768CG27 02/28/18 02/24/21    100.000     0.000     3.0750     57.84   0.089386   0.090761   0.092156                          32.78     4.88
Morgan Stanley Finance   61768CH42 03/29/18 03/31/25    100.000     0.000     3.8850     69.93   0.114342   0.116563   0.118827   0.121135  0.123488     41.97    43.62
Morgan Stanley Finance   61768CH75 03/14/18 03/12/21    100.000     0.000     3.2612     59.90   0.095076   0.096626   0.098201                          34.85     6.97
Morgan Stanley Finance   61768CH91 03/29/18 10/01/25    100.000     0.000     3.9182     70.55   0.115388   0.117649   0.119954   0.122304  0.124700     42.36    44.03
Morgan Stanley Finance   61768CL47 03/29/18 03/30/23    100.000     0.000     3.6383     65.39   0.106692   0.108633   0.110609   0.112622  0.114670     39.12    40.55
Morgan Stanley Finance   61768CM38 03/28/18 03/26/21    100.000     0.000     3.4041     61.19   0.099449   0.101142   0.102864                          36.43     8.74
Morgan Stanley Finance   61768CMZ7 07/31/17 07/29/22    100.000     0.000     2.8125     69.92   0.082608   0.083770   0.084948   0.086142  0.087354     30.30    31.16
Morgan Stanley Finance   61768CN45 03/29/18 07/01/21    100.000     0.000     3.4534     61.99   0.101875   0.103634   0.105424                          36.99    18.98
Morgan Stanley Finance   61768CN52 03/28/18 03/26/21    100.000     0.000     3.4041     61.19   0.099449   0.101142   0.102864                          36.43     8.74
Morgan Stanley Finance   61768CNA1 07/31/17 07/29/22    100.000     0.000     2.8126     69.93   0.082611   0.083773   0.084951   0.086145  0.087357     30.30    31.16
Morgan Stanley Finance   61768CNB9 08/01/17 02/01/22    100.000     0.000     2.7076     67.17   0.079367   0.080441   0.081530   0.082634  0.083753     29.09    29.88
Morgan Stanley Finance   61768CPE1 08/16/17 08/14/20    100.000     0.000     2.3995     58.30   0.069900   0.070738                                     15.74         
Morgan Stanley Finance   61768CPJ0 08/28/17 08/28/24    100.000     0.000     3.1530     76.03   0.093238   0.094707   0.096200   0.097717  0.099258     34.19    35.28
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61768CQ34 04/30/18 04/30/25*   100.000     0.000     4.0890     69.96   0.120694                                                14.36*        
Morgan Stanley Finance   61768CQ75 04/05/18 04/01/21    100.000     0.000     3.3668     59.82   0.098288   0.099942   0.101625                          35.98     9.15
Morgan Stanley Finance   61768CQT7 09/29/17 03/31/23    100.000     0.000     2.8669     66.34   0.084309   0.085517   0.086743   0.087987  0.089248     30.79    31.68
Morgan Stanley Finance   61768CR25 04/03/18 04/02/20    100.000     0.000     3.1952     56.89   0.093068                                                 8.47         
Morgan Stanley Finance   61768CR33 04/03/18 04/02/20    100.000     0.000     3.1952     56.89   0.093068                                                 8.47         
Morgan Stanley Finance   61768CR58 04/18/18 04/16/21    100.000     0.000     3.3291     57.87   0.097152   0.098769   0.100413                          35.51    10.54
Morgan Stanley Finance   61768CR66 04/18/18 04/16/21    100.000     0.000     3.3291     57.87   0.097152   0.098769   0.100413                          35.51    10.54
Morgan Stanley Finance   61768CR74 04/18/18 04/16/21    100.000     0.000     3.3291     57.87   0.097152   0.098769   0.100413                          35.51    10.54
Morgan Stanley Finance   61768CR82 04/04/18 07/08/21    100.000     0.000     3.3930     60.39   0.098338   0.100007   0.101703   0.103429               36.28    19.33
Morgan Stanley Finance   61768CRZ2 10/31/17 10/31/23    100.000     0.000     2.9977     66.71   0.088376   0.089701   0.091045   0.092410  0.093795     32.22    33.19
Morgan Stanley Finance   61768CS81 04/30/18 10/30/25*   100.000     0.000     4.1226     70.55   0.121744                                                14.49*        
Morgan Stanley Finance   61768CSH1 10/30/17 10/28/32    100.000     0.000     3.7753     82.50   0.104519   0.106492   0.104615   0.106590  0.104903     37.99    38.03
Morgan Stanley Finance   61768CSS7 10/31/17 10/31/22    100.000     0.000     2.8463     63.26   0.083662   0.084852   0.086060   0.087285  0.088527     30.48    31.35
Morgan Stanley           61768CST5 12/08/17 06/10/24    100.000     0.000     3.1083     65.74   0.091850   0.093278   0.094727   0.096200  0.097695     33.38    34.43
Morgan Stanley Finance   61768CSU2 11/30/17 11/29/24    100.000     0.000     3.1215     66.77   0.092241   0.093681   0.095143   0.096628  0.098136     33.56    34.61
Morgan Stanley Finance   61768CTF4 11/30/17 05/30/25    100.000     0.000     3.2698     70.02   0.096915   0.098499   0.100109   0.101746  0.103410     35.27    36.44
Morgan Stanley Finance   61768CTQ0 11/30/17 12/03/25    100.000     0.000     3.2697     70.02   0.096939   0.098523   0.100134   0.101771  0.103435     35.27    36.44
Morgan Stanley Finance   61768CUZ8 12/27/17 12/27/24    100.000     0.000     3.2580     67.15   0.096541   0.098114   0.099712   0.101337  0.102987     35.05    36.20
Morgan Stanley Finance   61768CV46 04/25/18 04/26/21    100.000     0.000     3.4324     59.00   0.100348   0.102071   0.103822                          36.66    11.94
Morgan Stanley Finance   61768CV53 04/30/18 04/29/21    100.000     0.000     3.4816     59.35   0.101841   0.103614   0.105418                          37.20    12.44
Morgan Stanley Finance   61768CVP9 12/29/17 06/30/23    100.000     0.000     3.0395     62.37   0.089689   0.091052   0.092436   0.093840  0.095267     32.54    33.53
Morgan Stanley Finance   61768CVQ7 12/29/17 06/30/23    100.000     0.000     3.0395     62.37   0.089689   0.091052   0.092436   0.093840  0.095267     32.54    33.53
Morgan Stanley Finance   61768CVR5 12/08/17 06/10/24    100.000     0.000     3.1083     65.74   0.091850   0.093278   0.094727   0.096200  0.097695     33.38    34.43
Morgan Stanley Finance   61768CWB9 12/13/17 12/09/20    100.000     0.000     2.6001     54.40   0.076032   0.077021                                     25.88         
Morgan Stanley Finance   61768CWE3 12/29/17 12/31/25    100.000     0.000     3.3131     68.12   0.098291   0.099919   0.101574   0.103257  0.104968     35.68    36.87
Morgan Stanley Finance   61768CWL7 12/18/17 06/18/25    100.000     0.000     3.2094     66.99   0.095012   0.096537   0.098086   0.099660  0.101259     34.52    35.64
Morgan Stanley Finance   61768CWM5 12/20/17 12/16/20    100.000     0.000     2.5926     53.71   0.075802   0.076785                                     26.33         
Morgan Stanley Finance   61768CX28 05/30/18 05/30/25    100.000     0.000     3.9488     64.01   0.116314   0.118611   0.120953   0.123341  0.125776     42.43    44.12
Morgan Stanley Finance   61768CX69 05/30/18 05/30/25*   100.000     0.000     3.9488     64.01   0.116314                                                17.21*        
Morgan Stanley Finance   61768CX77 06/05/18 06/05/23*   100.000     0.000     3.7067     59.47   0.108796                                                16.65*        
Morgan Stanley Finance   61768CXC6 01/31/18 01/30/25    100.000     0.000     3.4110     67.09   0.099680   0.101380   0.103109   0.104868  0.106656     36.71    37.97
Morgan Stanley Finance   61768CXJ1 01/31/18 07/31/23    100.000     0.000     3.3080     65.02   0.096524   0.098120   0.099743   0.101393  0.103070     35.52    36.71
Morgan Stanley Finance   61768CXP7 01/31/18 07/31/25    100.000     0.000     3.4534     67.95   0.100982   0.102725   0.104499   0.106303  0.108139     37.20    38.49
Morgan Stanley Finance   61768CXW2 01/31/18 07/31/25    100.000     0.000     3.4534     67.95   0.100982   0.102725   0.104499   0.106303  0.108139     37.20    38.49
Morgan Stanley Finance   61768CXY8 01/31/18 02/01/24    100.000     0.000     3.3672     66.21   0.098345   0.100001   0.101684   0.103396  0.105137     36.20    37.43
Morgan Stanley Finance   61768CY35 05/23/18 05/21/21    100.000     0.000     3.6531     59.88   0.107116   0.109073   0.111065                          39.07    15.55
Morgan Stanley Finance   61768CY43 05/23/18 05/21/21    100.000     0.000     3.6531     59.88   0.107116   0.109073   0.111065                          39.07    15.55
Morgan Stanley Finance   61768CY92 05/30/18 05/27/21    100.000     0.000     3.4134     55.18   0.099728   0.101430   0.103161                          36.33    15.06
Morgan Stanley Finance   61768CYW1 01/31/18 01/31/23    100.000     0.000     3.2187     63.23   0.093795   0.095305   0.096839   0.098397  0.099981     34.50    35.62
Morgan Stanley Finance   61768CZ59 05/31/18 11/30/23    100.000     0.000     3.6409     58.92   0.106762   0.108705   0.110684   0.112699  0.114751     38.91    40.34
Morgan Stanley Finance   61768CZ91 05/30/18 11/28/25    100.000     0.000     4.0016     64.89   0.117937   0.120297   0.122704   0.125159  0.127663     43.04    44.78
Morgan Stanley Finance   61768CZF7 02/28/18 02/27/25    100.000     0.000     3.6613     69.14   0.107380   0.109346   0.111348   0.113386  0.115462     39.50    40.96
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61768CZL4 02/07/18 02/05/21    100.000     0.000     2.9301     56.84   0.085008   0.086254   0.087517                          31.19     2.98
Morgan Stanley Finance   61768CZX8 02/28/18 08/28/25*   100.000     0.000     3.7208     70.29   0.109233                                                 6.12*        
Morgan Stanley Finance   61768D7N9 05/31/19 06/02/26*   100.000     0.000     3.3172     19.49   0.093690   0.095244                                     14.24*        
Morgan Stanley Finance   61768D7P4 05/31/19 06/02/26*   100.000     0.000     3.3172     19.49   0.093690   0.095244                                     14.24*        
Morgan Stanley Finance   61768D8A6 05/31/19 03/03/23    100.000     0.000     2.9097     17.13   0.081433   0.082618   0.083820   0.085040  0.086277     29.81    30.68
Morgan Stanley Finance   61768D8H1 06/05/19 12/06/21    100.000     0.000     2.6443     15.16   0.074430   0.075414   0.076411   0.077421               27.02    25.78
Morgan Stanley Finance   61768D8J7 06/05/19 06/03/22    100.000     0.000     2.6953     15.45   0.075868   0.076890   0.077926   0.078977  0.080041     27.55    28.30
Morgan Stanley Finance   61768DAR6 08/31/18 09/03/25    100.000     0.000     3.9373     53.52   0.113755   0.115995   0.118278   0.120607  0.122981     41.89    43.55
Morgan Stanley Finance   61768DAV7 08/29/18 08/27/21    100.000     0.000     3.3880     46.04   0.097310   0.098958   0.100635   0.102339               35.74    24.06
Morgan Stanley Finance   61768DAW5 08/29/18 08/27/21    100.000     0.000     3.3880     46.04   0.097310   0.098958   0.100635   0.102339               35.74    24.06
Morgan Stanley Finance   61768DAX3 08/29/18 08/27/21    100.000     0.000     3.3880     46.04   0.097310   0.098958   0.100635   0.102339               35.74    24.06
Morgan Stanley Finance   61768DBS3 08/07/18 08/07/23    100.000     0.000     3.7613     53.58   0.108446   0.110485   0.112563   0.114680  0.116837     40.00    41.52
Morgan Stanley Finance   61768DBW4 08/09/18 08/11/25    100.000     0.000     3.9321     55.84   0.113588   0.115821   0.118098   0.120420  0.122787     41.92    43.59
Morgan Stanley Finance   61768DBX2 08/29/18 08/29/23    100.000     0.000     3.6325     49.42   0.104603   0.106503   0.108437   0.110396  0.112412     38.47    39.88
Morgan Stanley Finance   61768DCV5 08/27/18 08/26/20    100.000     0.000     3.2273     44.01   0.092555   0.094048                                     22.02         
Morgan Stanley Finance   61768DDL6 09/28/18 09/30/25    100.000     0.000     4.1262     52.79   0.119422   0.121885   0.124400   0.126967  0.129586     43.89    45.72
Morgan Stanley Finance   61768DDX0 09/28/18 06/30/20    100.000     0.000     3.3174     42.31   0.096040                                                17.19         
Morgan Stanley Finance   61768DEU5 09/18/18 03/17/20    100.000     0.000     3.1943     41.63   0.091580                                                 6.96         
Morgan Stanley Finance   61768DEW1 09/27/18 09/29/21    100.000     0.000     3.5590     45.53   0.102430   0.104253   0.106108   0.107996               37.54    28.78
Morgan Stanley Finance   61768DFA8 09/26/18 09/23/20    100.000     0.000     3.4009     43.58   0.097682   0.099343                                     25.89         
Morgan Stanley Finance   61768DFB6 09/26/18 09/24/21    100.000     0.000     3.5813     45.93   0.103055   0.104901   0.106779   0.108691               37.79    28.43
Morgan Stanley Finance   61768DFQ3 10/31/18 10/30/25    100.000     0.000     4.1832     49.66   0.121111   0.123645   0.126231   0.128871  0.131566     44.37    46.24
Morgan Stanley Finance   61768DFW0 11/05/18 11/04/21    100.000     0.000     3.6429     42.64   0.104902   0.106813   0.108758   0.110739               38.33    33.31
Morgan Stanley Finance   61768DFZ3 10/26/18 10/26/21    100.000     0.000     3.6548     43.72   0.105265   0.107189   0.109147   0.111142               38.49    32.56
Morgan Stanley Finance   61768DGC3 10/26/18 10/26/21    100.000     0.000     3.6548     43.72   0.105265   0.107189   0.109147   0.111142               38.49    32.56
Morgan Stanley Finance   61768DH40 03/05/19 03/04/24    100.000     0.000     3.5292     29.22   0.099754   0.101514   0.103306   0.105129  0.106984     36.64    37.95
Morgan Stanley Finance   61768DH57 02/28/19 03/02/22    100.000     0.000     3.1591     26.76   0.089170   0.090578   0.092009   0.093462  0.094939     32.69    33.73
Morgan Stanley Finance   61768DHD0 10/16/18 01/14/21    100.000     0.000     3.4749     42.56   0.099037   0.100758   0.102509                          36.54     1.33
Morgan Stanley Finance   61768DHE8 10/31/18 05/01/23    100.000    VARIES     3.8571     45.67   0.110242   0.112368   0.113457   0.115645  0.116807     40.27    41.44
Morgan Stanley Finance   61768DHG3 10/16/18 10/15/21    100.000     0.000     3.5937     44.02   0.103434   0.105292   0.107184   0.109110               37.86    30.79
Morgan Stanley Finance   61768DHK4 10/22/18 10/20/23    100.000     0.000     3.9969     48.34   0.115483   0.117791   0.120145   0.122546  0.124995     42.32    44.03
Morgan Stanley Finance   61768DHP3 10/16/18 10/14/22    100.000     0.000     3.7996     46.58   0.109571   0.111653   0.113774   0.115936  0.118138     40.14    41.68
Morgan Stanley Finance   61768DJG1 10/24/18 10/21/21    100.000     0.000     3.6547     43.94   0.105233   0.107156   0.109114   0.111108               38.50    32.00
Morgan Stanley Finance   61768DJJ5 10/25/18 10/27/21    100.000     0.000     3.6694     44.01   0.105724   0.107664   0.109639   0.111650               38.66    32.82
Morgan Stanley Finance   61768DJS5 11/09/18 11/12/20    100.000     0.000     3.7444     43.41   0.107977   0.109998                                     33.94         
Morgan Stanley Finance   61768DKG9 11/30/18 12/03/25    100.000     0.000     4.2632     46.92   0.123569   0.126203   0.128893   0.131640  0.134446     45.11    47.05
Morgan Stanley Finance   61768DQA6 12/05/18 12/03/21    100.000     0.000     3.7382     40.54   0.107734   0.109748   0.111799   0.113889               39.26    37.49
Morgan Stanley Finance   61768DQE8 12/05/18 12/05/23    100.000     0.000     4.0845     44.33   0.118140   0.120553   0.123014   0.125527  0.128090     43.09    44.87
Morgan Stanley Finance   61768DQF5 12/05/18 12/03/20    100.000     0.000     3.6458     39.52   0.104976   0.106890                                     35.20         
Morgan Stanley Finance   61768DQT5 11/21/18 11/19/21    100.000     0.000     3.6635     41.19   0.105504   0.107437   0.109405   0.111409               38.49    35.15
Morgan Stanley Finance   61768DRF4 11/26/18 11/18/20    100.000     0.000     3.5566     39.48   0.102260   0.104079                                     32.74         
Morgan Stanley Finance   61768DRG2 11/29/18 12/02/20    100.000     0.000     3.6199     39.86   0.104257   0.106144                                     34.85         
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61768DRL1 11/21/18 11/18/21    100.000     0.000     3.6635     41.20   0.105493   0.107426   0.109393   0.111397               38.49    35.04
Morgan Stanley Finance   61768DRQ0 11/26/18 11/26/21    100.000     0.000     3.6347     40.34   0.104666   0.106569   0.108505   0.110477               38.16    35.62
Morgan Stanley Finance   61768DZW8 02/28/19 02/29/24    100.000     0.000     3.4964     29.64   0.098828   0.100556   0.102314   0.104093  0.105922     36.31    37.60
Morgan Stanley Finance   61768J441 11/03/17 11/03/23    100.000     0.000     2.9727     65.87   0.087595   0.088897   0.090218   0.091559  0.092920     31.92    32.88
Morgan Stanley Finance   61768J458 11/03/17 11/05/24    100.000     0.000     3.0987     68.74   0.091550   0.092969   0.094409   0.095872  0.097357     33.37    34.42
Morgan Stanley Finance   61768J854 12/05/17 09/03/21    100.000     0.000     2.7004     57.20   0.078606   0.079667   0.080743   0.081833               28.74    19.74
Morgan Stanley Finance   61768J870 12/05/17 12/04/24    100.000     0.000     3.1714     67.39   0.093809   0.095297   0.096808   0.098343  0.099902     34.12    35.21
Morgan Stanley Finance   61768K562 01/03/18 01/04/22    100.000     0.000     2.8170     57.38   0.081609   0.082758   0.083924   0.085106  0.086304     30.00    30.85
Morgan Stanley Finance   61768M576 03/05/18 03/05/25    100.000     0.000     3.7266     69.64   0.109413   0.111452   0.113528   0.115644  0.117799     40.23    41.75
Morgan Stanley Finance   61768M584 03/05/18 03/03/23    100.000     0.000     3.4611     64.56   0.101202   0.102953   0.104735   0.106547  0.108391     37.16    38.46
Morgan Stanley Finance   61768M592 03/05/18 03/03/22    100.000     0.000     3.3336     62.13   0.097290   0.098912   0.100561   0.102237  0.103941     35.70    36.90
Morgan Stanley Finance   61768P124 04/04/18 04/05/22    100.000     0.000     3.4793     61.96   0.101791   0.103561   0.105363   0.107196  0.109061     37.27    38.58
Morgan Stanley Finance   61768P157 04/05/18 04/03/25    100.000     0.000     3.8093     67.87   0.111951   0.114083   0.116256   0.118470  0.120727     41.07    42.64
Morgan Stanley Finance   61768P173 04/05/18 04/07/21    100.000     0.000     3.3669     59.82   0.098345   0.100001   0.101684                          35.98     9.76
Morgan Stanley Finance   61768P355 03/21/18 03/19/20    100.000     0.000     3.2107     58.29   0.093535                                                 7.30         
Morgan Stanley Finance   61768P496 04/04/18 04/01/21    100.000     0.000     3.3669     59.92   0.098302   0.099956   0.101639                          35.99     9.15
Morgan Stanley Finance   61768P702 05/03/18 05/05/21    100.000     0.000     3.4039     57.70   0.099481   0.101174   0.102896                          36.31    12.76
Morgan Stanley Finance   61768Q452 06/05/18 06/03/20    100.000     0.000     3.2069     51.31   0.093418                                                14.20         
Morgan Stanley Finance   61768Q601 07/05/18 07/05/22    100.000     0.000     3.6810     55.81   0.106047   0.107999   0.109987   0.112011  0.114072     39.22    40.68
Morgan Stanley Finance   61768Q619 07/05/18 07/05/22    100.000     0.000     3.6810     55.81   0.106047   0.107999   0.109987   0.112011  0.114072     39.22    40.68
Morgan Stanley Finance   61768R161 07/18/18 08/05/20    100.000     0.000     3.3434     49.38   0.096154   0.097761                                     20.87         
Morgan Stanley Finance   61768R187 08/03/18 08/04/21    100.000     0.000     3.5287     50.62   0.101518   0.103309   0.105132   0.106987               37.40    22.73
Morgan Stanley Finance   61768R435 09/06/18 09/03/21    100.000     0.000     3.3743     45.17   0.096893   0.098528   0.100190   0.101880               35.56    24.55
Morgan Stanley Finance   61768R583 08/15/18 08/14/25    100.000     0.000     3.9076     54.80   0.112816   0.115021   0.117268   0.119559  0.121895     41.62    43.26
Morgan Stanley Finance   61768R591 08/15/18 08/15/24    100.000     0.000     3.7617     52.72   0.108460   0.110500   0.112579   0.114696  0.116853     39.97    41.49
Morgan Stanley Finance   61768R757 09/19/18 10/05/20    100.000     0.000     3.3940     44.19   0.097650   0.099308                                     27.05         
Morgan Stanley Finance   61768R781 10/03/18 10/04/23    100.000     0.000     3.8198     48.26   0.110210   0.112315   0.114460   0.116646  0.118874     40.42    41.98
Morgan Stanley Finance   61768R799 10/03/18 10/05/21    100.000     0.000     3.5187     44.40   0.101230   0.103011   0.104823   0.106667               37.07    29.05
Morgan Stanley Finance   61768T209 10/03/18 10/05/20    100.000     0.000     3.3552     42.31   0.096370   0.097987                                     26.70         
Morgan Stanley Finance   61768T357 11/05/18 11/03/21    100.000     0.000     3.6428     42.64   0.104887   0.106797   0.108742   0.110723               38.33    33.20
Morgan Stanley Finance   61768T381 11/05/18 11/05/25    100.000     0.000     4.2534     49.89   0.123229   0.125849   0.128526   0.131259  0.134050     45.13    47.07
Morgan Stanley Finance   61768T613 12/05/18 12/03/21    100.000     0.000     3.7382     40.54   0.107734   0.109748   0.111799   0.113889               39.26    37.49
Morgan Stanley Finance   61768X101 03/05/19 03/03/23    100.000     0.000     3.3204     27.48   0.093749   0.095305   0.096887   0.098496  0.100131     34.40    35.55
Morgan Stanley Finance   61768Y299 06/05/19 06/05/24    100.000     0.000     2.9744     17.05   0.083852   0.085099   0.086365   0.087649  0.088953     30.48    31.39
Morgan Stanley Finance   61768Y307 06/05/19 03/05/24    100.000     0.000     2.9394     16.89   0.082249   0.083458   0.084685   0.085929  0.087192     30.11    31.00
Morgan Stanley Finance   61768Y356 06/05/19 06/03/22    100.000     0.000     2.6952     15.45   0.075865   0.076887   0.077923   0.078974  0.080038     27.55    28.30
Morgan Stanley Finance   61768Y679 07/03/19 07/06/22    100.000     0.000     2.4288     12.01   0.067480   0.068300   0.069129   0.069969  0.070819     24.73    25.33
Morgan Stanley Finance   61768Y687 07/03/19 07/06/23    100.000     0.000     2.5444     12.58   0.070693   0.071592   0.072503   0.073426  0.074360     25.93    26.59
Morgan Stanley Finance   61769H2F1 12/27/19 12/27/24    100.000     0.000     2.5252      0.28   0.070143   0.071029   0.071926   0.072834  0.073753     25.42    26.06
Morgan Stanley Finance   61769H2G9 12/26/19 12/24/26    100.000     0.000     2.7295      0.38   0.075818   0.076841   0.077890   0.078953  0.080031     27.49    28.25
Morgan Stanley Finance   61769H2L8 01/02/20 01/02/24    100.000     0.000     2.2779                        0.063276   0.063997   0.064726  0.065463     22.85    23.43
Morgan Stanley Finance   61769H2N4 01/02/20 01/02/25    100.000     0.000     2.3600                        0.065556   0.066330   0.067113  0.067905     23.67    24.30
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61769H2P9 01/02/20 01/02/25    100.000     0.000     2.3600                        0.065556   0.066330   0.067113  0.067905     23.67    24.30
Morgan Stanley Finance   61769H2Q7 01/02/20 01/02/25    100.000     0.000     2.3600                        0.065556   0.066330   0.067113               23.67     0.27
Morgan Stanley Finance   61769H2T1 12/18/19 12/17/26    100.000     0.000     2.5573      0.92   0.071037   0.071941   0.072860   0.073792  0.074736     25.76    26.42
Morgan Stanley Finance   61769H2Y0 12/26/19 12/24/26    100.000     0.000     2.7295      0.38   0.075818   0.076841   0.077890   0.078953  0.080031     27.49    28.25
Morgan Stanley Finance   61769H2Z7 12/26/19 12/24/26    100.000     0.000     2.7295      0.38   0.075818   0.076841   0.077890   0.078953  0.080031     27.49    28.25
Morgan Stanley Finance   61769H3A1 12/26/19 12/24/26    100.000     0.000     2.7295      0.38   0.075818   0.076841   0.077890   0.078953  0.080031     27.49    28.25
Morgan Stanley Finance   61769H3B9 12/26/19 06/25/24    100.000     0.000     2.4842      0.35   0.069005   0.069857   0.070725   0.071603  0.072493     25.01    25.63
Morgan Stanley Finance   61769H3D5 12/27/19 06/26/24    100.000     0.000     2.4842      0.28   0.069004   0.069857   0.070724   0.071603  0.072492     25.00    25.63
Morgan Stanley Finance   61769H4T9 12/27/19 01/02/24    100.000     0.000     2.4620      0.27   0.068389   0.068412   0.069254   0.070107  0.070970     24.78    25.39
Morgan Stanley Finance   61769H4W2 12/27/19 01/02/24    100.000     0.000     2.4620      0.27   0.068389   0.068412   0.069254   0.070107  0.070970     24.78    25.39
Morgan Stanley Finance   61769H5G6 12/18/19 06/17/21    100.000     0.000     2.0224      0.73   0.056178   0.056743   0.057317                          20.34     9.51
Morgan Stanley Finance   61769H6P5 02/05/20 02/05/25    100.000     0.000     1.9970                        0.055473   0.056026   0.056586  0.057151     18.16    20.43
Morgan Stanley Finance   61769H6T7 01/23/20 01/22/27    100.000     0.000     2.5533                        0.070926   0.071827   0.072744  0.073673     24.12    26.32
Morgan Stanley Finance   61769H6W0 01/31/20 01/31/25    100.000     0.000     2.1858                        0.060718   0.061381   0.062052  0.062730     20.20    22.42
Morgan Stanley Finance   61769H6X8 01/31/20 01/31/25    100.000     0.000     2.1858                        0.060718   0.061381   0.062052  0.062730     20.20    22.42
Morgan Stanley Finance   61769H7K5 01/31/20 02/02/27    100.000     0.000     2.4454             0.067928   0.067937   0.068767   0.069608  0.070459     22.61    25.16
Morgan Stanley Finance   61769H7L3 01/31/20 02/02/27    100.000     0.000     2.4454             0.067928   0.067937   0.068767   0.069608  0.070459     22.61    25.16
Morgan Stanley Finance   61769H7M1 01/31/20 02/02/27    100.000     0.000     2.4454             0.067928   0.067937   0.068767   0.069608  0.070459     22.61    25.16
Morgan Stanley Finance   61769H7N9 01/31/20 02/02/27    100.000     0.000     2.4454             0.067928   0.067937   0.068767   0.069608  0.070459     22.61    25.16
Morgan Stanley Finance   61769H7Q2 02/05/20 02/05/25    100.000     0.000     1.9970                        0.055473   0.056026   0.056586  0.057151     18.16    20.43
Morgan Stanley Finance   61769HA47 10/31/19 11/02/26    100.000     0.000     2.7148      4.60   0.075422   0.076445   0.077483   0.078535  0.079601     27.46    28.21
Morgan Stanley Finance   61769HA54 10/31/19 11/02/26    100.000     0.000     2.7148      4.60   0.075422   0.076445   0.077483   0.078535  0.079601     27.46    28.21
Morgan Stanley Finance   61769HAG0 06/05/19 12/03/21    100.000     0.000     2.6443     15.16   0.074414   0.075398   0.076395   0.077405               27.02    25.54
Morgan Stanley Finance   61769HAH8 06/05/19 06/05/24    100.000     0.000     2.9744     17.05   0.083852   0.085099   0.086364   0.087649  0.088952     30.48    31.39
Morgan Stanley Finance   61769HAP0 05/31/19 05/31/24    100.000     0.000     3.0990     18.20   0.087416   0.088771   0.090146   0.091543  0.092961     31.80    32.79
Morgan Stanley Finance   61769HAQ8 06/05/19 12/06/22    100.000     0.000     2.7658     15.85   0.077897   0.078974   0.080066   0.081174  0.082296     28.29    29.08
Morgan Stanley Finance   61769HAR6 06/05/19 06/05/24    100.000     0.000     2.9744     17.05   0.083852   0.085099   0.086364   0.087649  0.088952     30.48    31.39
Morgan Stanley Finance   61769HB87 10/30/19 05/02/24    100.000     0.000     2.3725      4.02   0.065911   0.066693   0.067484   0.068284  0.069094     23.96    24.53
Morgan Stanley Finance   61769HCK9 05/24/19 05/26/22    100.000     0.000     2.9183     17.63   0.082259   0.083459   0.084677   0.085913  0.087166     29.91    30.79
Morgan Stanley Finance   61769HDG7 06/03/19 06/03/24    100.000     0.000     3.3497     19.40   0.094606   0.096191   0.097802   0.099440  0.101105     34.43    35.60
Morgan Stanley Finance   61769HDP7 07/02/19 06/30/26*   100.000     0.000     2.8803     14.32   0.081148   0.082316                                     14.77*        
Morgan Stanley Finance   61769HDQ5 06/28/19 06/30/26    100.000     0.000     2.8412     14.45   0.080056   0.081193   0.082347   0.083516  0.084703     29.03    29.86
Morgan Stanley Finance   61769HDR3 07/03/19 07/03/24    100.000     0.000     2.6772     13.24   0.074366   0.075361   0.076370   0.077392  0.078428     27.31    28.04
Morgan Stanley Finance   61769HE43 10/25/19 10/25/24    100.000     0.250     2.3773      4.36   0.066036   0.066738   0.067449   0.068168  0.068896     23.99    24.51
Morgan Stanley Finance   61769HE68 10/31/19 11/02/26    100.000     0.000     2.7148      4.60   0.075422   0.076445   0.077483   0.078535  0.079601     27.46    28.21
Morgan Stanley Finance   61769HEN1 06/28/19 12/30/22    100.000     0.000     2.4358     12.38   0.068494   0.069329   0.070173   0.071028  0.071893     24.81    25.42
Morgan Stanley Finance   61769HEQ4 07/03/19 12/31/21    100.000     0.000     2.4181     11.96   0.067968   0.068790   0.069622   0.070463               24.62    25.15
Morgan Stanley Finance   61769HER2 07/03/19 07/01/22    100.000     0.000     2.4284     12.01   0.068266   0.069095   0.069934   0.070783               24.73    25.33
Morgan Stanley Finance   61769HET8 06/28/19 06/28/24    100.000     0.000     2.6301     13.37   0.074020   0.074994   0.075980   0.076979  0.077991     26.83    27.54
Morgan Stanley Finance   61769HFS9 07/03/19 07/03/24    100.000     0.000     2.6772     13.24   0.074366   0.075361   0.076370   0.077392  0.078428     27.31    28.04
Morgan Stanley Finance   61769HFT7 07/03/19 01/03/23    100.000     0.000     2.4864     12.29   0.069066   0.069925   0.070794   0.071674  0.072565     25.33    25.96
Morgan Stanley Finance   61769HH32 11/27/19 08/27/24    100.000     0.000     2.3730      2.24   0.065916   0.066307   0.067094   0.067890  0.068695     23.95    24.50
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61769HH40 11/27/19 02/26/26    100.000     0.000     2.5493      2.41   0.070815   0.071262   0.072170   0.073090  0.074022     25.74    26.38
Morgan Stanley Finance   61769HHQ1 07/01/19 07/01/25    100.000     0.000     2.7490     13.75   0.077411   0.078475   0.079554   0.080647               28.06    28.84
Morgan Stanley Finance   61769HJU0 07/02/19 07/03/24    100.000     0.000     2.6771     13.31   0.074370   0.075366   0.076375   0.077397  0.078433     27.31    28.05
Morgan Stanley Finance   61769HJV8 08/05/19 08/05/24    100.000     0.000     2.7548     11.17   0.076522   0.077576   0.078645   0.079728  0.080826     28.05    28.83
Morgan Stanley Finance   61769HJY2 07/31/19 05/02/23    100.000     0.000     2.6026     10.94   0.072776   0.073723   0.074683   0.075655  0.076639     26.48    27.18
Morgan Stanley Finance   61769HK38 12/02/19 12/02/24    100.000     0.000     2.3657      1.91   0.065713   0.066490   0.067277   0.068073  0.068878     23.84    24.41
Morgan Stanley Finance   61769HKB0 08/05/19 08/04/22    100.000     0.000     2.5169     10.21   0.069914   0.070789   0.071680   0.072582  0.073495     25.59    26.23
Morgan Stanley Finance   61769HKN4 07/31/19 07/30/26*   100.000     0.000     2.9451     12.35   0.081809   0.083014   0.084236                          17.31*        
Morgan Stanley Finance   61769HKR5 08/05/19 08/04/22    100.000     0.000     2.5169     10.21   0.069914   0.070789   0.071680   0.072582  0.073495     25.59    26.23
Morgan Stanley Finance   61769HKS3 08/05/19 08/05/24    100.000     0.000     2.7548     11.17   0.076522   0.077576   0.078645   0.079728  0.080826     28.05    28.83
Morgan Stanley Finance   61769HL78 11/06/19 05/05/22    100.000     0.000     2.1373      3.27   0.059368   0.059999   0.060640   0.061288  0.061943     21.56    22.02
Morgan Stanley Finance   61769HM36 11/27/19 11/27/26*   100.000     0.000     2.6238      2.48   0.072882   0.073839   0.074807                          24.16*        
Morgan Stanley Finance   61769HM44 11/27/19 11/27/26    100.000     0.000     2.6238      2.48   0.072882   0.073839   0.074807   0.075789  0.076783     26.48    27.17
Morgan Stanley Finance   61769HM51 12/02/19 12/02/24    100.000     0.000     2.3657      1.91   0.065713   0.066490   0.067277   0.068073  0.068878     23.84    24.41
Morgan Stanley Finance   61769HM77 12/02/19 12/02/24    100.000     0.000     2.3657      1.91   0.065713   0.066490   0.067277   0.068073  0.068878     23.84    24.41
Morgan Stanley Finance   61769HNG6 08/30/19 09/01/26    100.000     0.000     2.4648      8.28   0.068471   0.069315   0.070169   0.071033  0.071909     25.01    25.63
Morgan Stanley Finance   61769HNU5 09/05/19 09/05/24    100.000     0.000     2.3651      7.62   0.065698   0.066475   0.067262   0.068057  0.068862     23.97    24.54
Morgan Stanley Finance   61769HNV3 09/05/19 09/05/24    100.000     0.000     2.3651      7.62   0.065698   0.066475   0.067262   0.068057  0.068862     23.97    24.54
Morgan Stanley Finance   61769HNY7 08/30/19 06/02/23    100.000     0.000     2.2160      7.46   0.061903   0.062589   0.063283   0.063984  0.064693     22.45    22.95
Morgan Stanley Finance   61769HP82 11/29/19 05/30/24    100.000     0.000     2.3629      2.10   0.065641   0.066417   0.067201   0.067995  0.068799     23.82    24.38
Morgan Stanley Finance   61769HPA7 09/05/19 09/02/22    100.000     0.000     2.1339      6.88   0.059276   0.059898   0.060537   0.061183  0.061836     21.60    22.06
Morgan Stanley Finance   61769HPC3 09/05/19 09/02/22    100.000     0.000     2.1339      6.88   0.059276   0.059898   0.060537   0.061183  0.061836     21.60    22.06
Morgan Stanley Finance   61769HQ99 11/26/19 11/26/21    100.000     0.000     2.0848      2.03   0.057912   0.058516   0.059126   0.059742               21.00    19.33
Morgan Stanley Finance   61769HRA5 08/30/19 09/01/26    100.000     0.000     2.4648      8.28   0.068471   0.069315   0.070169   0.071033  0.071909     25.01    25.63
Morgan Stanley Finance   61769HRK3 08/29/19 08/31/26    100.000     0.000     2.4648      8.35   0.068471   0.069310   0.070169   0.071024  0.071909     25.01    25.63
Morgan Stanley Finance   61769HTA3 09/30/19 06/29/23    100.000     0.000     2.4287      6.14   0.067869   0.068694   0.069528   0.070372  0.071227     24.58    25.19
Morgan Stanley Finance   61769HTJ4 09/30/19 09/30/26    100.000     0.000     2.7926      7.06   0.077572   0.078655   0.079754   0.080867  0.081996     28.32    29.12
Morgan Stanley Finance   61769HTM7 10/03/19 10/05/22    100.000     0.000     2.1500      5.26   0.059730   0.060373   0.061022   0.061678  0.062341     21.73    22.20
Morgan Stanley Finance   61769HTU9 10/03/19 10/03/24    100.000     0.000     2.1901      5.35   0.060836   0.061502   0.062176   0.062857  0.063545     22.14    22.63
Morgan Stanley Finance   61769HUJ2 09/13/19 03/15/23    100.000     0.000     2.3832      7.15   0.066208   0.066996   0.067795   0.068603  0.069420     24.14    24.72
Morgan Stanley Finance   61769HXH3 11/05/19 11/05/24    100.000     0.000     2.3221      3.61   0.064502   0.065251   0.066008   0.066775  0.067550     23.44    23.99
Morgan Stanley Finance   61769HXR1 10/31/19 10/31/25    100.000     0.000     2.5933      4.39   0.072037   0.072971   0.073917   0.074875  0.075846     26.22    26.90
Morgan Stanley Finance   61769HXW0 11/05/19 08/04/22    100.000     0.000     2.1452      3.34   0.059590   0.059906   0.060549   0.061198  0.061854     21.65    22.11
Morgan Stanley Finance   61769HXY6 10/31/19 05/04/23    100.000     0.000     2.3061      3.91   0.064074   0.064813   0.065561   0.066317  0.067081     23.28    23.82
Morgan Stanley Finance   61769HYC3 11/05/19 11/03/22    100.000     0.000     2.1789      3.39   0.060526   0.061178   0.061844   0.062518  0.063199     21.98    22.46
Morgan Stanley Finance   61769HZ57 01/02/20 06/30/22    100.000     0.000     2.1271             0.059086   0.059708   0.060343   0.060984  0.061633     21.33    21.84
Morgan Stanley Finance   61769HZU2 10/23/19 10/21/22    100.000     0.000     2.2217      4.20   0.061715   0.062393   0.063086   0.063787  0.064496     22.44    22.94
Morgan Stanley Finance   61769P495 05/05/20 05/05/26    100.000     0.000     1.9401                        0.053891   0.054414   0.054941  0.055474     12.75    19.74
Morgan Stanley Finance   61769P529 05/05/20 05/05/27    100.000     0.000     2.0902                        0.058061   0.058668   0.059281  0.059900     13.74    21.30
Morgan Stanley Finance   61769Q212 08/05/19 02/05/25    100.000     0.000     2.8032     11.37   0.077868   0.078959   0.080066   0.081188  0.082326     28.55    29.36
Morgan Stanley Finance   61769Q220 08/05/19 08/03/23    100.000     0.000     2.6268     10.65   0.072966   0.073914   0.074884   0.075868  0.076864     26.72    27.43
Morgan Stanley Finance   61769Q535 09/05/19 09/06/23    100.000     0.000     2.2400      7.22   0.062226   0.062923   0.063628   0.064340  0.065061     22.69    23.20
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61769Q543 09/05/19 09/06/22    100.000     0.000     2.1338      6.88   0.059277   0.059909   0.060548   0.061194  0.061847     21.60    22.06
Morgan Stanley Finance   61769Q881 10/03/19 04/03/25    100.000     0.000     2.2103      5.40   0.061396   0.062075   0.062761   0.063455  0.064156     22.34    22.84
Morgan Stanley Finance   61770C111 10/03/19 04/03/24    100.000     0.000     2.1674      5.30   0.060206   0.060858   0.061518   0.062184  0.062858     21.91    22.38
Morgan Stanley Finance   61770C343 11/05/19 05/03/24    100.000     0.000     2.2919      3.57   0.063663   0.064384   0.065122   0.065868  0.066623     23.13    23.67
Morgan Stanley Finance   61770C640 12/04/19 12/04/24    100.000     0.000     2.3719      1.78   0.065887   0.066668   0.067459   0.068259  0.069068     23.90    24.47
Morgan Stanley Finance   61770E232 01/03/20 01/05/27    100.000     0.000     2.6098             0.072493   0.072504   0.073450   0.074408  0.075379     26.12    26.95
Morgan Stanley Finance   61770E307 01/03/20 01/03/25    100.000     0.000     2.3534                        0.065372   0.066141   0.066920  0.067707     23.54    24.23
Morgan Stanley Finance   61770E588 02/05/20 02/05/25    100.000     0.000     1.9970                        0.055473   0.056027   0.056587  0.057152     18.17    20.43
Morgan Stanley Finance   61770FAB2 02/05/20 02/05/25    100.000     0.000     1.9970                        0.055473   0.056026   0.056586  0.057151     18.16    20.43
Morgan Stanley Finance   61770FAJ5 02/05/20 02/05/24    100.000     0.000     1.9189                        0.053302   0.053813   0.054329  0.054851     17.45    19.62
Morgan Stanley Finance   61770FAP1 01/23/20 01/22/27    100.000     0.000     2.5533                        0.070926   0.071827   0.072744  0.073673     24.12    26.32
Morgan Stanley Finance   61770FB96 04/30/20 02/01/27    100.000     0.000     2.2244                        0.061789   0.062136   0.062828  0.063526     14.94    22.70
Morgan Stanley Finance   61770FBU9 01/31/20 08/01/24    100.000     0.000     2.1409                        0.059472   0.060108   0.060752  0.061402     19.78    21.95
Morgan Stanley Finance   61770FC38 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FC46 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FC53 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FC61 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FC79 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FCR5 01/29/20 01/28/27    100.000     0.000     2.4281                        0.067447   0.068261   0.069090  0.069928     22.52    24.98
Morgan Stanley Finance   61770FCS3 01/30/20 02/01/24    100.000     0.000     2.0269             0.056302   0.056305   0.056875   0.057452  0.058034     18.72    20.75
Morgan Stanley Finance   61770FD37 04/22/20 04/22/27    100.000     0.000     2.1853                        0.060703   0.061366   0.062037  0.062714     15.16    22.31
Morgan Stanley Finance   61770FD45 04/22/20 04/22/27    100.000     0.000     2.1853                        0.060703   0.061366   0.062037  0.062714     15.16    22.31
Morgan Stanley Finance   61770FD52 04/22/20 04/22/27    100.000     0.000     2.1853                        0.060703   0.061366   0.062037  0.062714     15.16    22.31
Morgan Stanley Finance   61770FDU7 01/28/20 01/29/30    100.000     0.000     2.6694                        0.074156   0.075146   0.076149  0.077166     24.84    27.54
Morgan Stanley Finance   61770FE36 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FE69 05/05/20 11/03/22    100.000     0.000     1.4528                        0.040357   0.040647   0.040942  0.041239      9.54    14.72
Morgan Stanley Finance   61770FED4 01/29/20 01/27/23    100.000     0.000     2.0128                        0.055912   0.056468   0.057037  0.057611     18.65    20.61
Morgan Stanley Finance   61770FFB7 02/28/20 02/28/25    100.000     0.000     1.9133                        0.053147   0.053656   0.054169  0.054687     16.17    19.54
Morgan Stanley Finance   61770FFJ0 02/04/20 02/04/25    100.000     0.000     2.0787                        0.057742   0.058343   0.058949  0.059562     18.97    21.29
Morgan Stanley Finance   61770FGC4 03/04/20 03/03/23    100.000     0.000     1.6561                        0.046003   0.046382   0.046766  0.047153     13.71    16.86
Morgan Stanley Finance   61770FGP5 02/28/20 03/02/27    100.000     0.000     2.1748             0.060410   0.060425   0.061082   0.061746  0.062417     18.39    22.27
Morgan Stanley Finance   61770FGS9 03/04/20 03/04/24    100.000     0.000     1.7557                        0.048771   0.049199   0.049631  0.050066     14.53    17.89
Morgan Stanley Finance   61770FHN9 03/04/20 03/05/25    100.000     0.000     1.7527                        0.048690   0.049117   0.049547  0.049981     14.51    17.86
Morgan Stanley Finance   61770FHP4 03/04/20 03/05/25    100.000     0.000     1.7527                        0.048690   0.049117   0.049547  0.049981     14.51    17.86
Morgan Stanley Finance   61770FJD9 02/07/20 08/09/23    100.000     0.000     1.9816             0.055043   0.055049   0.055595   0.056145  0.056702     17.91    20.27
Morgan Stanley Finance   61770FJQ0 03/04/20 03/05/25    100.000     0.000     1.7527                        0.048690   0.049117   0.049547  0.049981     14.51    17.86
Morgan Stanley Finance   61770FJW7 03/04/20 09/01/22    100.000     0.000     1.5946                        0.044293   0.044640   0.044996  0.045355     13.20    16.22
Morgan Stanley Finance   61770FKC9 02/28/20 08/29/24    100.000     0.000     1.8417                        0.051161   0.051632   0.052105  0.052588     15.56    18.79
Morgan Stanley Finance   61770FL46 04/29/20 04/27/23    100.000     0.000     1.6712                        0.046422   0.046806   0.047197  0.047592     11.26    16.97
Morgan Stanley Finance   61770FLC8 02/19/20 02/19/25    100.000     0.000     2.1606                        0.060016   0.060664   0.061319  0.061982     18.81    22.13
Morgan Stanley Finance   61770FPB6 03/31/20 04/01/27    100.000     0.000     3.4107                        0.094751   0.096367   0.098011  0.099682     25.82    35.29
Morgan Stanley Finance   61770FPC4 03/31/20 04/01/27    100.000     0.000     3.4107                        0.094751   0.096367   0.098011  0.099682     25.82    35.29
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61770FPD2 03/31/20 04/01/27    100.000     0.000     3.4107                        0.094751   0.096367   0.098011  0.099682     25.82    35.29
Morgan Stanley Finance   61770FPV2 04/03/20 04/03/25    100.000     0.000     2.4892                        0.069144   0.070004   0.070876  0.071758     18.61    25.51
Morgan Stanley Finance   61770FST4 04/03/20 10/05/22    100.000     0.000     2.4324             0.067568   0.067577   0.068399   0.069231  0.070073     18.18    24.92
Morgan Stanley Finance   61770FV86 05/29/20 06/01/27    100.000     0.000     1.9425             0.053958   0.053964   0.054488   0.055017  0.055551     11.46    19.74
Morgan Stanley Finance   61770FV94 05/29/20 06/01/27    100.000     0.000     1.9425             0.053958   0.053964   0.054488   0.055017  0.055551     11.46    19.74
Morgan Stanley Finance   61770FW28 05/29/20 05/29/26    100.000     0.000     1.7764                        0.049344   0.049782   0.050225  0.050671     10.47    18.03
Morgan Stanley Finance   61770FW36 05/29/20 06/01/27    100.000     0.000     1.9425             0.053958   0.053964   0.054488   0.055017  0.055551     11.46    19.74
Morgan Stanley Finance   61770FW77 05/21/20 05/21/27    100.000     0.000     2.1231                        0.058974   0.059600   0.060233  0.060872     13.00    21.62
Morgan Stanley Finance   61770FW85 05/20/20 05/20/25    100.000     0.000     1.7889                        0.049691   0.050135   0.050584  0.051036     11.00    18.17
Morgan Stanley Finance   61770FW93 05/21/20 05/21/27    100.000     0.000     2.1231                        0.058974   0.059600   0.060233  0.060872     13.00    21.62
Morgan Stanley Finance   61770FX27 05/21/20 05/21/26    100.000     0.000     1.9379                        0.053830   0.054351   0.054878  0.055410     11.86    19.70
Morgan Stanley Finance   61770FX35 05/21/20 05/21/27    100.000     0.000     2.1231                        0.058974   0.059600   0.060233  0.060872     13.00    21.62
Morgan Stanley Finance   61770FX50 06/03/20 06/03/25    100.000     0.000     1.5338                        0.042604   0.042931   0.043260  0.043592      8.87    15.53
Morgan Stanley Finance   61770FX68 06/03/20 06/03/25    100.000     0.000     1.5338                        0.042604   0.042931   0.043260  0.043592      8.87    15.53
Morgan Stanley Finance   61770FX84 06/03/20 06/02/23    100.000     0.000     1.1097                        0.030826   0.030996   0.031168  0.031341      6.42    11.20
Morgan Stanley Finance   61770FXY7 04/01/20 05/28/27    100.000     0.000     2.8687             0.079685   0.080047   0.081195   0.082360  0.083541     21.63    29.52
Morgan Stanley Finance   61770FYH3 04/22/20 10/22/25    100.000     0.000     1.9271                        0.053530   0.054046   0.054567  0.055093     13.36    19.62
Morgan Stanley Finance   61770FYL4 05/05/20 05/05/25    100.000     0.000     1.8350                        0.050971   0.051439   0.051911  0.052387     12.06    18.66
Morgan Stanley Finance   61770FYU4 04/30/20 10/30/25    100.000     0.000     1.9442                        0.054005   0.054530   0.055060  0.055595     13.05    19.79
Morgan Stanley Finance   61770FYX8 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FZG4 05/05/20 05/05/25    100.000     0.000     1.8350                        0.050971   0.051439   0.051911  0.052387     12.06    18.66
Morgan Stanley Finance   61770FZV1 04/30/20 04/30/27    100.000     0.000     2.2634                        0.062872   0.063584   0.064304  0.065031     15.20    23.11
Morgan Stanley Finance   61770FZW9 05/05/20 11/03/22    100.000     0.000     1.4528                        0.040357   0.040647   0.040942  0.041239      9.54    14.72
Morgan Stanley Finance   61770FZZ2 05/05/20 05/05/25    100.000     0.000     1.8350                        0.050971   0.051439   0.051911  0.052387     12.06    18.66
Morgan Stanley Finance   61770G203 03/04/20 09/03/25    100.000     0.000     1.8551                        0.051531   0.052006   0.052488  0.052975     15.36    18.92
Morgan Stanley Finance   61770G211 03/04/20 03/04/27    100.000     0.000     2.0962                        0.058227   0.058837   0.059454  0.060077     17.36    21.44
Morgan Stanley Finance   61770G641 04/03/20 04/06/26    100.000     0.000     2.6405             0.073346   0.073362   0.074331   0.075312  0.076306     19.74    27.10
Morgan Stanley Finance   61770G708 04/03/20 04/07/26    100.000     0.000     2.6405             0.073348   0.073369   0.074338   0.075319  0.076314     19.74    27.10
Morgan Stanley Finance   61771BCJ1 05/29/20 06/01/27    100.000     0.000     1.9425             0.053958   0.053964   0.054488   0.055017  0.055551     11.46    19.74
Morgan Stanley Finance   61771BKZ6 06/30/20 12/30/27    100.000     0.000     1.6965                        0.047125   0.047525   0.047928  0.048334      8.53    17.18
Morgan Stanley Finance   61771C136 06/03/20 06/03/26    100.000     0.000     1.6786                        0.046629   0.047020   0.047415  0.047813      9.71    17.02
Morris CNTY Improv Auth  618027AY2 02/18/10 08/15/20    100.000    VARIES        N/A             0.130067   0.130055                                     29.13         
Morris CNTY Improv Auth  618027AZ9 02/18/10 08/15/21*   100.000    VARIES        N/A             0.132871   0.132860                                     29.76*        
Morris CNTY Improv Auth  618027BA3 02/18/10 08/15/22*   100.000    VARIES        N/A             0.135679   0.135668                                     30.39*        
Morris CNTY Improv Auth  618027BB1 02/18/10 08/15/23*   100.000    VARIES        N/A             0.138487   0.138477                                     31.02*        
Morris CNTY Improv Auth  618027BC9 02/18/10 08/15/24*   100.000    VARIES        N/A             0.141285   0.141276                                     31.65*        
Morris CNTY Improv Auth  618027BD7 02/18/10 08/15/25*   100.000    VARIES        N/A             0.144083   0.144074                                     32.27*        
Multnomah County, OR     625506HN3 12/08/99 06/01/20     21.112     0.000     7.7401    757.83   0.206991                                                31.05         
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000     7.7401    702.41   0.191855   0.199279   0.206992                          70.86    31.05
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000     7.7401    651.05   0.177825   0.184706   0.191855   0.199280  0.206992     65.68    70.86
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000     7.7400    603.44   0.164819   0.171198   0.177823   0.184705  0.191853     60.87    65.68
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000     7.7399    559.31   0.152765   0.158677   0.164818   0.171196  0.177821     56.42    60.87
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000     7.7401    518.41   0.141595   0.147075   0.152767   0.158679  0.164820     52.30    56.42
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000     7.7400    480.50   0.131240   0.136319   0.141595   0.147075  0.152766     48.47    52.30
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000     7.7400    445.36   0.121643   0.126351   0.131241   0.136320  0.141595     44.93    48.47
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000     7.7400    412.79   0.112747   0.117110   0.121642   0.126350  0.131240     41.64    44.93
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000     7.7400    382.60   0.104502   0.108546   0.112747   0.117110  0.121643     38.60    41.64
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000     7.7401    354.62   0.096861   0.100609   0.104503   0.108547  0.112748     35.77    38.60
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000     0.8138     89.24   0.021884   0.021973   0.022062   0.022152  0.022242      7.90     7.96
National Rural Utilities 637432LJ2 02/06/08 12/15/20     90.083     0.000     0.8139     91.44   0.022424   0.022516                                      7.73         
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000     0.8239     91.74   0.022512   0.022605   0.022698   0.022791                8.12     7.82
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000     0.8539     94.05   0.023121   0.023219   0.023319   0.023418  0.023518      8.34     8.42
Natixis US MTN LLC       63873HJP0 12/27/13 12/27/21    100.000     0.000     3.3519             0.113661   0.115565   0.117502   0.119472               41.28    42.19
Natixis US MTN LLC       63873HJR6 09/09/14 09/09/24*   100.000    VARIES     3.2415             0.083875   0.084198   0.084526                          28.80*        
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES     4.8026             0.116781   0.117314   0.117860   0.118549  0.119256     42.14    42.56
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES     4.2419             0.102036   0.102173   0.102314   0.102457  0.102719     36.77    36.88
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES     4.2606             0.104891   0.105582   0.106287   0.107008  0.107744     38.10    38.61
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES     4.2409             0.102387   0.102557   0.102731   0.102908  0.103190     36.91    37.04
Natixis US MTN LLC       63873HKX1 01/30/14 01/31/22    100.000     0.000     3.4392             0.112747   0.115946   0.116658   0.120631  0.120705     42.45    43.92
Natixis US Medium Term   63873HLN2 08/29/13 08/29/33    100.000    VARIES     4.5781             0.113185   0.115014   0.114981   0.116296  0.116356     41.98    42.38
Natixis US MTN LLC       63873HLS1 09/30/13 09/30/28*   100.000    VARIES     4.4223             0.112055   0.112497   0.112949                          40.39*        
Natixis US Medium        63873HLU6 07/31/14 07/31/34    100.000    VARIES     3.9932             0.103796   0.104039   0.104287   0.104541  0.104799     37.48    37.67
Natixis US MTN LLC       63873HLX0 02/28/14 02/28/29*   100.000    VARIES     4.1177             0.101384   0.100653   0.102706                          33.75*        
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES     4.5708             0.106092   0.106247   0.106405   0.106913  0.107433     38.24    38.46
Natixis US MTN LLC       63873HMF8 03/31/14 03/31/34*   100.000    VARIES     4.1471             0.098466   0.098576   0.098687                          35.88*        
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES     4.5649             0.111344   0.111770   0.112205   0.112831  0.113470     40.19    40.55
NEW HOPE CULTURAL ED FAC 64542UFK5 03/04/20 01/01/22     99.559     3.750     4.0028             0.006533   0.006618   0.006750   0.006885                1.96     2.45
NJ Econ Dev Auth         64578JAL0 09/07/07 07/01/20     44.269     0.000     6.4592    526.02   0.173809                                                31.29         
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000     6.5093    495.74   0.164248   0.169594   0.175113                          60.09    31.52
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000     6.4993    464.63   0.153858   0.158858   0.164020   0.169351               56.29    60.01
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000     6.5093    436.13   0.144498   0.149201   0.154057   0.159071               52.87    56.36
New Jersey Economic      645913AY0 06/30/97 02/15/20     18.435     0.000     7.6145    806.68   0.203756                                                 8.97         
New Jersey Economic      645913AZ7 06/30/97 02/15/21     17.088     0.000     7.6195    748.74   0.189195   0.196403   0.203885                          71.41     8.97
New Jersey Economic      645913BA1 06/30/97 02/15/22     15.838     0.000     7.6245    694.90   0.175657   0.182353   0.189305   0.196522  0.204014     66.30    71.45
New Jersey Economic      645913BB9 06/30/97 02/15/23     14.678     0.000     7.6295    644.86   0.163072   0.169293   0.175751   0.182455  0.189416     61.55    66.34
New Jersey Economic      645913BC7 06/30/97 02/15/24     13.601     0.000     7.6347    598.37   0.151377   0.157155   0.163154   0.169383  0.175849     57.14    61.58
New Jersey Economic      645913BD5 06/30/97 02/15/25     12.602     0.000     7.6398    555.17   0.140505   0.145872   0.151445   0.157230  0.163236     53.04    57.16
New Jersey Economic      645913BE3 06/30/97 02/15/26     11.676     0.000     7.6447    515.05   0.130400   0.135384   0.140559   0.145931  0.151509     49.22    53.06
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800     7.2575     69.11   0.026397   0.027354   0.028347   0.029376  0.030442      9.88    10.61
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000     6.4399    566.83   0.152672   0.157588   0.162663   0.167900  0.173307     56.75    60.46
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000     6.4699    532.88   0.143817   0.148469   0.153272   0.158231  0.163349     53.46    56.98
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000     6.4900    500.45   0.135245   0.139633   0.144164   0.148843  0.153672     50.28    53.60
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000     6.5100    469.80   0.127132   0.131270   0.135543   0.139955  0.144511     47.27    50.40
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000     6.5299    440.85   0.119459   0.123359   0.127386   0.131546  0.135841     44.42    47.37
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000     6.5499    413.53   0.112204   0.115878   0.119673   0.123593  0.127640     41.73    44.50
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000     6.5600    387.73   0.105275   0.108728   0.112294   0.115978  0.119782     39.15    41.76
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000     6.5700    363.47   0.098754   0.101998   0.105349   0.108810  0.112384     36.73    39.18
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000     6.5800    340.67   0.092619   0.095666   0.098813   0.102064  0.105422     34.45    36.75
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000     6.5901    319.23   0.086848   0.089710   0.092666   0.095719  0.098873     32.30    34.47
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000     6.5900    299.19   0.081395   0.084077   0.086848   0.089709  0.092665     30.28    32.30
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000     6.5899    280.40   0.076285   0.078799   0.081395   0.084077  0.086848     28.38    30.28
City of Newark, NJ       650367KL8 01/29/13 04/01/20     97.004     3.057     3.5335     28.79   0.013006                                                 1.17         
City of Newark, NJ       650367KM6 01/29/13 04/01/21     97.005     3.305     3.7336     24.77   0.011262   0.011472   0.011687                           4.13     1.05
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES     4.5379             0.096530   0.097315   0.098118   0.098940  0.099780     34.89    35.47
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES     5.5492             0.125548   0.126720   0.127925   0.129853  0.131835     45.50    46.54
Nomura America Finance   65539AAL4 12/22/10 12/22/25    100.000    VARIES     5.9587             0.133505   0.134678   0.135886   0.137929  0.140034     48.29    49.32
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES     2.3555             0.016338   0.016530   0.016725                           5.92     2.98
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES     4.5092             0.095616   0.094002   0.096214   0.095303  0.097567     34.77    35.12
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES     3.7543             0.090471   0.090430   0.090546   0.090664  0.090785     32.56    32.63
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES     4.2954             0.081349   0.080789   0.080217   0.080939  0.081677     29.01    29.23
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES     2.8015             0.072002   0.072401   0.072805   0.073191  0.073582     26.00    26.28
Nomura America Finance   65539ABS8 02/25/15 02/25/20    100.000    VARIES     1.9120             0.011520                                                 0.62         
Nomura America Finance   65539ACG3 01/22/16 01/22/23    103.000     0.125     3.0300    129.37   0.095929   0.097329   0.098751   0.100195  0.101660     35.24    36.27
NORTHWEST OHIO LOC SCH D 667712CN1 11/15/19 12/01/38     49.534     0.000     3.7230      2.36   0.051310   0.052266   0.053239   0.054230  0.055239     18.70    19.40
NORTHWEST OHIO LOC SCH D 667712CP6 11/15/19 12/01/39     47.272     0.000     3.7730      2.28   0.049627   0.050563   0.051517   0.052489  0.053479     18.09    18.78
NORTHWEST OHIO LOC SCH D 667712CQ4 11/15/19 12/01/40     45.070     0.000     3.8230      2.20   0.047943   0.048860   0.049794   0.050746  0.051716     17.48    18.15
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41    100.000    VARIES     8.1005             0.371965   0.384077   0.396680   0.409793  0.422243    137.22   146.34
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41    100.000    VARIES     8.1005             0.371965   0.384077   0.396680   0.409793  0.422243    137.22   146.34
NUTRIEN LTD              67077MAD0 04/10/18 04/01/25     94.730     3.000     3.8693     11.76   0.019558   0.019937   0.020322   0.020716  0.021116      7.18     7.46
NUTRIEN LTD              67077MAE8 04/10/18 12/15/26     97.410     4.000     4.3616      4.41   0.007425   0.007587   0.007753   0.007922  0.008095      2.71     2.83
NUTRIEN LTD              67077MAJ7 04/10/18 10/01/22     98.300     3.150     3.5643      6.24   0.010352   0.010536   0.010724   0.010915  0.011110      3.79     3.93
NUTRIEN LTD              67077MAK4 04/10/18 06/01/23     98.160     3.500     3.8983      5.78   0.009666   0.009854   0.010046   0.010242  0.010442      3.53     3.66
NUTRIEN LTD              67077MAL2 04/10/18 03/15/25     96.240     3.375     4.0016      8.42   0.013996   0.014277   0.014562   0.014854  0.015151      5.15     5.36
Nuverra Environmental    67091KAA2 04/15/16 04/15/21     36.385    VARIES        N/A    767.11   0.828830   0.922412   1.033132                         330.75   107.45
OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36     49.134     0.000     4.2087      5.93   0.057589   0.058801   0.060038   0.061302  0.062592     21.15    22.05
Orange County, CA        68428LCC6 01/17/97 09/01/20     16.480     0.000     7.7797    785.74   0.200222   0.208010                                     49.46         
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000     7.7695    727.78   0.185303   0.192501   0.199979   0.207748               69.77    49.39
Oregon Community College 68583RAS1 04/23/03 06/30/20     35.297     0.000     6.1515    617.36   0.165775                                                29.67         
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000     6.2213    584.21   0.157641   0.162545   0.167601                          57.64    30.00
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000     6.2613    550.95   0.149082   0.153749   0.158562   0.163526  0.168646     54.52    57.99
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000     6.2713    518.30   0.140344   0.144745   0.149283   0.153964  0.158792     51.32    54.59
Oregon School Boards     686053AT6 10/31/02 06/30/20     34.591     0.000     6.0995    624.66   0.164417                                                29.43         
Oregon School Boards     686053CK3 04/21/03 06/30/20     35.297     0.000     6.1494    617.37   0.165722                                                29.66         
Oregon School Boards     686053CL1 04/21/03 06/30/21     32.815     0.000     6.2194    584.23   0.157596   0.162497   0.167550                          57.63    29.99
Oregon School Boards     686053CM9 04/21/03 06/30/22     30.636     0.000     6.2595    550.99   0.149044   0.153709   0.158520   0.163481  0.168598     54.51    57.97
Oregon School Boards     686053CN7 04/21/03 06/30/23     28.748     0.000     6.2695    518.34   0.140313   0.144711   0.149248   0.153926  0.158752     51.31    54.58
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
PDL BIOPHARMA INC        69329YAJ3 09/17/19 12/01/24     98.000     2.750     5.4000      7.34   0.071512   0.073444   0.075428   0.077467  0.079560     26.22    27.64
Peoria CNTYS SD #322, IL 712762CP6 05/14/15 12/01/20    100.000    VARIES     2.2423             0.062290   0.062287                                     20.56         
Peoria County SD #325, I 713165FK9 09/04/13 12/01/20    108.812    VARIES     3.8365             0.108033   0.107307                                     35.52         
Peoria County SD #325, I 713165FL7 09/04/13 12/01/21    107.288    VARIES     4.1865             0.118641   0.118072   0.117490   0.116897               42.57    38.67
Peoria County, IL        713168BB7 10/05/11 12/01/20    105.512    VARIES     4.9860             0.139520   0.139016                                     45.95         
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000     6.6895    563.75   0.138196   0.142819   0.147596   0.152532  0.157634     51.30    54.79
Philadelphia Authority   71781LAY5 02/03/99 04/15/20     24.985     0.000     6.6495    731.56   0.178765                                                18.59         
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000     6.6495    685.24   0.167445   0.173012   0.178765                          62.14    18.59
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000     6.6595    642.15   0.157040   0.162269   0.167672   0.173256  0.179024     58.28    62.23
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000     6.6695    601.65   0.147254   0.152164   0.157239   0.162482  0.167901     54.65    58.36
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000     6.6796    527.76   0.129272   0.133590   0.138051   0.142662  0.147426     47.98    51.24
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000     6.6896    494.24   0.121156   0.125209   0.129397   0.133725  0.138198     44.97    48.03
Piatt and Champaign Coun 719457BW2 02/25/16 12/01/20    102.231     3.000     2.5007     97.69   0.069803   0.069634                                     23.00         
Piatt and Champaign Coun 719457BX0 02/25/16 12/01/21    102.646     3.250     2.7507    107.92   0.077147   0.076966   0.076783   0.076597               27.73    25.30
Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23    111.543    VARIES     4.3459             0.122587   0.121801   0.120998   0.120178  0.119341     43.94    43.36
Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24    110.329    VARIES     4.5669             0.126396   0.125665   0.124919   0.124156  0.123377     45.33    44.79
Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25    109.132    VARIES     4.7572             0.130164   0.129494   0.128809   0.128108  0.127392     46.70    46.20
Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26    108.343    VARIES     4.8857             0.132657   0.132030   0.131389   0.130733  0.130061     47.61    47.14
Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27    106.399    VARIES     5.1092             0.138832   0.138322   0.137800   0.137265  0.136717     49.86    49.48
Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28    106.016    VARIES     5.1714             0.140054   0.139569   0.139072   0.138563  0.138041     50.30    49.94
Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29    104.498    VARIES     5.3285             0.144915   0.144535   0.144146   0.143746  0.143336     52.08    51.80
PIQUA OHIO CITY SCH DIST 724190EW9 02/13/20 12/01/23     92.646     0.000     2.0199             0.051983   0.052298   0.052826   0.053360  0.053899     16.61    19.15
PIQUA OHIO CITY SCH DIST 724190EX7 02/13/20 12/01/25     87.728     0.000     2.2699             0.055315   0.055692   0.056324   0.056963  0.057610     17.69    20.43
Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25    100.000    VARIES     7.7501             0.472316   0.486821   0.501868   0.517478  0.533670    175.78   186.85
Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25    100.000    VARIES     7.7501             0.472316   0.486821   0.501868   0.517478  0.533670    175.78   186.85
Presidio Independent     741020EE7 05/14/98 02/15/20     21.242     0.000     7.2494    779.03   0.194328                                                 8.55         
Presidio Independent     741020EF4 05/14/98 02/15/21     19.782     0.000     7.2494    725.48   0.180970   0.187530   0.194327                          68.15     8.55
Presidio Independent     741020EG2 05/14/98 02/15/22     18.422     0.000     7.2494    675.62   0.168533   0.174642   0.180972   0.187532  0.194329     63.46    68.15
Pride International      741932AE7 01/16/01 01/16/21     60.841     0.000     2.5000    366.05   0.066905   0.067741   0.068588                          24.51     1.03
PRINCETON OHIO CITY SCH  742327FJ3 12/18/19 12/01/35     57.808     0.000     3.4650      0.72   0.055640   0.056513   0.057492   0.058488  0.059502     20.24    20.94
PRINCETON OHIO CITY SCH  742327FK0 12/18/19 12/01/36     55.393     0.000     3.5149      0.70   0.054084   0.054945   0.055911   0.056893  0.057893     19.68    20.36
PUBLIC FIN AUTH WIS HEAL 74444KAM6 12/23/19 11/01/24     98.973     6.750     7.0031      0.04   0.005032   0.005157   0.005338   0.005525  0.005718      1.85     1.98
Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40     82.961     4.550     5.9712      3.62   0.011817   0.012170   0.012534   0.012908                4.32     4.58
Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53     81.968     4.750     5.9941      1.47   0.004779   0.004922   0.005069   0.005221                1.75     1.85
Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58     83.618     5.000     6.1032      0.93   0.003028   0.003120   0.003215   0.003314                1.11     1.18
Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40     82.961     4.550     5.9712      3.62   0.011817   0.012170   0.012534   0.012908                4.32     4.58
Quicksilver Resources In 74837RAA2 11/01/04 11/01/24     98.500    VARIES     6.7503             0.404733   0.416164   0.427964   0.440144  0.452717    149.16   157.74
Quicksilver Resources In 74837RAB0 11/01/04 11/01/24     98.500    VARIES     6.7503             0.404733   0.416164   0.427964   0.440144  0.452717    149.16   157.74
Randolph & Perry CNTYS   752368BA7 05/16/13 12/01/20    107.856    VARIES     3.0845             0.086657   0.086173                                     28.51         
Randolph & Perry CNTYS   752368BB5 05/16/13 12/01/21    108.667    VARIES     3.3340             0.094684   0.094178   0.093665   0.093142               33.96    30.82
Randolph & Perry CNTYS   752368BC3 05/16/13 12/01/22    107.818    VARIES     3.5344             0.100853   0.100427   0.099992   0.099550  0.099101     36.20    35.89
Randolph County, IL      752535DN1 01/30/13 12/01/20     76.487     0.000     3.4497    204.28   0.092603   0.094200                                     30.85         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Randolph County, IL      752535DP6 01/30/13 12/01/21     72.328     0.000     3.6997    208.89   0.095504   0.097271   0.099070   0.100903               34.81    33.02
Randolph County, IL      752535DQ4 01/30/13 12/01/22     68.391     0.000     3.8997    209.58   0.096474   0.098355   0.100273   0.102228  0.104221     35.18    36.57
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES     8.7500             0.685576   0.711389   0.738296   0.766342  0.795580    257.04   276.91
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES     8.7500             0.685576   0.711389   0.738296   0.766342  0.795580    257.04   276.91
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000     9.8184             1.530158   1.602548   1.678493   1.758166  1.841750    579.61   635.90
City of Reno, NV         759830AQ5 09/22/16 06/01/20     99.117     2.000     2.2506      7.80   0.006883                                                 1.03         
City of Reno, NV         759830AR3 09/22/16 06/01/21     98.102     2.000     2.4304     13.02   0.011531   0.011671   0.011813                           4.18     1.77
City of Reno, NV         759830AS1 09/22/16 06/01/22     98.689     2.500     2.7504      7.30   0.006496   0.006585   0.006676   0.006768  0.006861      2.36     2.43
City of Reno, NV         759830AT9 09/22/16 06/01/25     97.746     3.000     3.3004      7.75   0.006969   0.007084   0.007201   0.007320  0.007441      2.54     2.62
RIVERSIDE OHIO LOC SCH D 769229CY9 12/30/19 10/01/39     46.260     0.000     3.9408      0.05   0.050639   0.051144   0.052151   0.053179  0.054227     18.46    19.15
RIVERSIDE OHIO LOC SCH D 769229CZ6 12/30/19 10/01/40     44.039     0.000     3.9908      0.05   0.048820   0.049312   0.050296   0.051300  0.052323     17.80    18.47
RIVERSIDE OHIO LOC SCH D 769229DA0 12/30/19 10/01/41     41.883     0.000     4.0409      0.05   0.047012   0.047492   0.048452   0.049431  0.050430     17.14    17.80
RIVERSIDE OHIO LOC SCH D 769229DB8 12/30/19 10/01/42     39.795     0.000     4.0908      0.05   0.045220   0.045688   0.046622   0.047576  0.048549     16.49    17.13
ROCKFORD ILL PK DIST     773182XG0 05/29/19 12/15/20    100.000     3.100     3.0818     18.19   0.087043   0.085613                                     29.69         
Royal Bank of Canada     78008HUA6 01/28/10 01/28/20    100.000    VARIES     4.5517             0.127639                                                 3.45         
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES     4.1703             0.116106   0.116019   0.115931                          41.77    10.32
Royal Bank of Canada     78008KYV9 01/27/11 01/27/31*   100.000    VARIES     4.9792             0.134306   0.134437   0.134572                          40.21*        
Royal Bank of Canada     78008SVM5 02/04/13 02/04/20    100.000     0.000     2.2565             0.072523                                                 2.39         
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES     4.0300             0.108730   0.108836   0.108943   0.109053  0.109165     39.19    39.27
ABN AMRO BANK N.V.       78009KAB8 01/13/05 01/13/20    100.000    VARIES     4.7502    705.69   0.132167                                                 1.59         
Royal Bank of Scotland   78009KLF7 08/11/10 08/11/20    100.000    VARIES     4.9855             0.140508   0.139510                                     30.73         
Royal Bank of Scotland   78009KME9 09/16/10 09/16/20    100.000    VARIES     3.6714             0.024065   0.024507                                      6.22         
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES     5.5209             0.148489   0.148653   0.148821   0.148994  0.149172     53.50    53.62
Royal Bank of Scotland   78009KNR9 11/16/10 11/16/20    100.000    VARIES     4.5134             0.127175   0.126284                                     39.90         
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES     5.3208             0.140301   0.140632   0.140971   0.141319  0.141676     50.58    50.82
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES     5.7104             0.152640   0.152839   0.153044   0.153255  0.153471     54.99    55.13
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES     5.4494             0.144130   0.144360   0.144597   0.144841  0.145091     51.99    52.16
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES     5.5247             0.153313   0.153362   0.153412                          55.21    11.35
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES     4.4729             0.124965   0.124741   0.124496                          44.93    17.93
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES     2.5505             0.016058   0.016263   0.016470                           5.82     2.68
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES     2.8322             0.021852   0.022161   0.022475   0.022794                8.02     4.55
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES     4.7435             0.129166   0.130780   0.132433   0.133852  0.135304     47.20    48.29
Royal Bank of Canada     78009Q489 09/26/13 09/26/22    100.000     0.000     3.5770             0.122914   0.125113   0.127350   0.129628  0.131947     45.07    46.69
Royal Bank of Canada     78010UDH7 12/30/13 12/30/20    100.000    VARIES     1.1631             0.007309   0.007351                                      2.63         
Royal Bank of Canada     78010UDU8 02/28/14 02/28/34    100.000    VARIES     4.0700             0.100085   0.099295   0.101249   0.099908  0.101885     36.63    36.79
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES     3.5597             0.096372   0.096484   0.096598   0.096714  0.096832     34.71    34.80
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES     3.6300             0.096233   0.096350   0.096468   0.096589  0.096713     34.69    34.77
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES     3.3500             0.088609   0.088725   0.088842   0.088961  0.089082     31.93    32.01
Royal Bank of Canada     78010UWU7 12/23/14 12/23/24    100.000    VARIES     2.8500             0.078629   0.078679   0.078730   0.078782  0.078835     28.32    28.35
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES     3.4100             0.087609   0.087785   0.087964   0.088146  0.088332     31.57    31.70
Royal Bank of Canada     78012KP84 05/18/17 02/21/23    100.000     0.000     2.4412     65.66   0.071631   0.072506   0.073391   0.074286  0.075193     26.17    26.82
Royal Bank of Canada     78012KT64 05/31/17 06/01/23    100.000     0.000     2.5535     67.83   0.075580   0.076545   0.077522   0.078512  0.079514     27.44    28.15
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78013GJR7 10/18/17 10/18/23    100.000     0.000     2.1352     47.91   0.061885   0.062546   0.063214   0.063889  0.064571     22.49    22.98
Royal Bank of Canada     78013Q152 02/05/18 02/03/21    100.000     0.000     2.7735     53.91   0.080281   0.081394   0.082523                          29.43     2.64
Royal Bank of Canada     78013X3E6 03/29/19 03/31/22    100.000     0.000     2.7531     20.90   0.077533   0.078600   0.079682   0.080779  0.081891     28.30    29.08
Royal Bank of Canada     78013X3H9 03/29/19 03/30/23    100.000     0.000     2.8294     21.48   0.079713   0.080841   0.081984   0.083144  0.084321     29.11    29.94
Royal Bank of Canada     78013X4T2 04/30/19 04/28/23    100.000     0.000     2.9042     19.52   0.081832   0.083020   0.084226   0.085449  0.086690     29.82    30.70
Royal Bank of Canada     78013X5E4 04/30/19 05/01/23    100.000     0.000     2.8548     19.18   0.080437   0.081585   0.082750   0.083931  0.085129     29.30    30.15
Royal Bank of Canada     78013X6W3 05/31/19 06/01/23    100.000     0.000     2.5276     14.84   0.071104   0.072003   0.072913   0.073834  0.074768     25.81    26.47
Royal Bank of Canada     78013XBL1 12/29/17 12/30/22    100.000     0.000     2.7655     56.63   0.081162   0.082285   0.083422   0.084576  0.085745     29.42    30.24
Royal Bank of Canada     78013XCS5 01/31/18 01/31/23    100.000     0.000     3.0653     60.15   0.089123   0.090489   0.091876   0.093284  0.094714     32.75    33.76
Royal Bank of Canada     78013XD62 09/28/18 09/30/20    100.000     0.000     3.3099     42.21   0.095026   0.096599                                     25.85         
Royal Bank of Canada     78013XF45 09/28/18 09/29/22    100.000     0.000     3.5421     45.21   0.101919   0.103724   0.105561   0.107431  0.109333     37.35    38.69
Royal Bank of Canada     78013XF52 09/28/18 09/29/22    100.000     0.000     3.5746     45.63   0.102886   0.104725   0.106597   0.108502  0.110441     37.71    39.07
Royal Bank of Canada     78013XFK9 02/28/18 02/28/23    100.000     0.000     3.2254     60.73   0.093999   0.095515   0.097055   0.098620  0.100211     34.49    35.61
Royal Bank of Canada     78013XGY8 03/29/18 03/30/23    100.000     0.000     3.2987     59.16   0.096249   0.097837   0.099450   0.101091  0.102758     35.23    36.40
Royal Bank of Canada     78013XJD1 04/30/18 07/28/22    100.000     0.000     3.5027     59.74   0.101597   0.103376   0.105186   0.107028  0.108903     37.44    38.77
Royal Bank of Canada     78013XJZ2 05/31/18 06/03/22    100.000     0.000     3.1800     51.33   0.092639   0.094112   0.095609   0.097129  0.098673     33.70    34.78
Royal Bank of Canada     78013XKR8 05/31/18 06/03/22    100.000     0.000     3.1798     51.33   0.092633   0.094105   0.095602   0.097122  0.098666     33.70    34.78
Royal Bank of Canada     78013XL97 10/31/18 10/31/22    100.000     0.000     3.5349     41.86   0.101694   0.103491   0.105321   0.107182  0.109076     37.15    38.48
Royal Bank of Canada     78013XLY2 06/29/18 06/30/22    100.000     0.000     3.4324     52.57   0.100347   0.102069   0.103820   0.105602  0.107415     36.44    37.70
Royal Bank of Canada     78013XM62 10/31/18 11/02/22    100.000     0.000     3.5454     41.99   0.102026   0.103834   0.105675   0.107548  0.109455     37.27    38.60
Royal Bank of Canada     78013XMP0 06/29/18 06/30/22    100.000     0.000     3.3884     51.89   0.098998   0.100675   0.102381   0.104115  0.105879     35.94    37.17
Royal Bank of Canada     78013XNY0 07/31/18 07/29/22    100.000     0.000     3.5199     50.80   0.101237   0.103019   0.104832   0.106677  0.108554     37.31    38.64
Royal Bank of Canada     78013XPT9 07/31/18 07/31/22    100.000     0.000     3.5174     50.76   0.101174   0.102953   0.104764   0.106606  0.108481     37.28    38.61
Royal Bank of Canada     78013XRB6 08/31/18 08/31/20    100.000     0.000     3.1400     42.53   0.089982   0.091387                                     21.76         
Royal Bank of Canada     78013XRF7 08/31/18 08/31/22    100.000     0.000     3.4339     46.58   0.098690   0.100375   0.102108   0.103842  0.105644     36.25    37.50
Royal Bank of Canada     78013XRM2 11/30/18 11/30/22    100.000     0.000     3.4756     38.16   0.099929   0.101666   0.103432   0.105230  0.107058     36.40    37.67
Royal Bank of Canada     78013XRX8 11/09/18 07/09/20    100.000     0.000     3.2978     38.18   0.093628   0.095172                                     17.88         
Royal Bank of Canada     78013XS33 11/29/18 12/01/22    100.000     0.000     3.4997     38.52   0.100664   0.102426   0.104218   0.106042  0.107897     36.66    37.96
Royal Bank of Canada     78013XS74 11/29/18 06/01/21    100.000     0.000     3.3356     36.70   0.095790   0.097388   0.099012                          34.87    14.85
Royal Bank of Canada     78013XSJ8 08/31/18 09/01/22    100.000     0.000     3.4206     46.39   0.098304   0.099986   0.101696   0.103435  0.105204     36.10    37.34
Royal Bank of Canada     78013XSK5 12/03/18 12/02/21    100.000     0.000     3.4932     38.05   0.100444   0.102198   0.103983   0.105799               36.58    34.75
Royal Bank of Canada     78013XTG3 12/31/18 12/31/20    100.000     0.000     3.4000     34.39   0.097683   0.099344                                     35.37         
Royal Bank of Canada     78013XTJ7 12/31/18 07/01/21    100.000     0.000     3.0965     31.29   0.088706   0.090079   0.091474                          32.18    16.47
Royal Bank of Canada     78013XTK4 12/31/18 06/30/22    100.000     0.000     3.2158     32.51   0.092223   0.093706   0.095213   0.096744  0.098299     33.47    34.56
Royal Bank of Canada     78013XUC0 12/24/18 12/23/21    100.000     0.000     3.3631     34.59   0.096580   0.098204   0.099855   0.101534               35.09    35.45
Royal Bank of Canada     78013XWE4 01/31/19 02/01/24    100.000     0.000     3.6269     33.62   0.102584   0.104444   0.106338   0.108266  0.110230     37.83    39.21
Royal Bank of Canada     78013XWF1 01/31/19 08/02/22    100.000     0.000     3.5183     32.61   0.099469   0.101219   0.103000   0.104812  0.106655     36.65    37.95
Royal Bank of Canada     78013XWW4 01/31/19 08/02/21    100.000     0.000     3.4352     31.84   0.097081   0.098748   0.100444   0.102170               35.75    21.50
Royal Bank of Canada     78013XXM5 01/24/19 01/22/21    100.000     0.000     3.4789     32.83   0.098297   0.100007   0.101746                          36.24     2.14
Royal Bank of Canada     78013XYA0 02/28/19 02/28/25    100.000     0.000     3.2010     27.12   0.090339   0.091785   0.093254   0.094746  0.096263     33.14    34.21
Royal Bank of Canada     78013XYV4 02/28/19 03/02/23    100.000     0.000     3.1550     26.73   0.089053   0.090458   0.091885   0.093334  0.094807     32.65    33.69
Royal Bank of Canada     78014G484 09/06/18 09/03/20    100.000     0.000     3.1200     41.72   0.089369   0.090763                                     21.88         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78014G872 01/04/19 01/05/21    100.000     0.000     3.3158     33.15   0.093641   0.095194   0.096772                          34.54     0.39
Royal Bank of Canada     78014H235 02/19/19 03/03/21    100.000     0.000     3.0491     26.61   0.086090   0.087402   0.088735                          31.54     5.50
Royal Bank of Canada     78014RAA8 03/20/18 03/20/25*   100.000    VARIES     3.4379     60.67   0.094106                                                 7.43*        
Royal Bank of Canada     78014RAE0 04/13/18 04/13/28    100.000    VARIES     3.5146     59.39   0.093923   0.092644   0.092917   0.093194  0.093476     33.50    33.54
Royal Bank of Canada     78014RBT6 11/27/19 11/27/34    100.000    VARIES     2.3582      2.23   0.065506   0.065050   0.064589   0.064122  0.063650     23.47    23.14
Royal Bank of Canada     78014RBV1 12/27/19 12/27/34    100.000    VARIES     2.5623      0.28   0.071174   0.070662   0.070144   0.069619  0.069088     25.53    25.15
Royal Bank of Canada     78015KDC5 11/29/19 12/01/25    100.000     0.000     2.1621      1.92   0.060065   0.060715   0.061371   0.062034  0.062705     21.78    22.25
SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31    100.000    VARIES     3.8136             0.075331   0.074730   0.074117   0.074429  0.074747     26.83    26.83
SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31    100.000    VARIES     3.8227             0.076904   0.075886   0.074849   0.073792  0.072714     27.19    26.43
SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31    100.000    VARIES     3.8133             0.076218   0.075395   0.074557   0.074761  0.074969     27.04    26.94
SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31    100.000    VARIES     3.8090             0.074969   0.074892   0.073569   0.074104  0.073832     27.25    26.98
SG Structured Prods, Inc 78423AC42 12/31/10 12/31/30*   100.000    VARIES     4.1616             0.086754   0.085294                                     31.06*        
SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31    100.000    VARIES     4.1899             0.086298   0.085293   0.084268   0.083220  0.082151     30.58    29.83
SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26    100.000    VARIES     4.0468             0.096699   0.097225   0.098138   0.099069  0.100019     35.09    35.73
SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31    100.000    VARIES     4.1578             0.088775   0.086849   0.087291   0.084866  0.086247     31.95    31.29
SG Structured Prods, Inc 78423AG63 03/18/11 03/18/21    100.000    VARIES     4.1694             0.115892   0.115901   0.115859                          41.72     8.92
SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26    100.000    VARIES     3.9820             0.093805   0.094595   0.095402   0.096224  0.097417     34.06    34.68
SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31    100.000    VARIES     4.2878             0.095171   0.094512   0.093544   0.092556  0.091547     33.99    33.32
SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31    100.000    VARIES     4.1591             0.090370   0.089579   0.088549   0.087497  0.086424     32.28    31.56
SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26    100.000    VARIES     4.1342             0.100914   0.101425   0.102257   0.103106  0.103972     36.50    37.07
SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31    100.000    VARIES     4.0970             0.089296   0.087548   0.087927   0.085418  0.085717     32.32    31.56
SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23    100.000    VARIES     4.1100             0.111254   0.110218   0.112268   0.110661  0.112727     40.56    40.70
SG Structured Prods, Inc 78423AU75 05/31/11 05/30/31*   100.000    VARIES     4.0953             0.086143   0.084661                                     28.08*        
SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26    100.000    VARIES     4.1202             0.099479   0.098980   0.101224   0.100467  0.103060     36.38    36.87
SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31    100.000    VARIES     4.0040             0.082278   0.081575   0.080776   0.079961  0.079129     29.49    28.93
SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31    100.000    VARIES     4.0073             0.083427   0.081624   0.081823   0.079331  0.079445     30.20    29.40
SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23    100.000    VARIES     3.9769             0.110442   0.110558   0.110573   0.110588  0.110603     39.78    39.81
SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26    100.000    VARIES     3.9854             0.095478   0.094853   0.097277   0.096545  0.099032     34.83    35.37
SG Structured Products,  78423AYJ5 08/31/10 08/29/25    100.000     0.000     3.6972             0.080642   0.083035   0.084108   0.086133  0.087246     30.38    31.46
SG Structured Prods, Inc 78423EBE3 06/29/12 06/30/32*   100.000    VARIES     2.6184             0.061686   0.061807                                     22.29*        
SG Structured Prods, Inc 78423EBR4 07/31/12 07/30/32    100.000    VARIES     2.2858             0.052957   0.053505   0.052889   0.053731  0.052820     19.47    19.45
SG Structured Prods, Inc 78423ECC6 07/31/12 07/30/32*   100.000    VARIES     4.6280             0.119626                                                 3.59*        
SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32    100.000    VARIES     2.2189             0.051619   0.051186   0.052165   0.051446  0.052432     18.88    18.94
SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27    100.000    VARIES     2.2060             0.054848   0.054278   0.055204   0.054458  0.055519     20.01    20.05
SG Structured Prods, Inc 78423ECS1 08/31/12 08/31/32*   100.000    VARIES     4.5638             0.117221                                                 6.92*        
SG Structured Prods, Inc 78423EDB7 09/28/12 09/30/32*   100.000    VARIES     4.0173             0.105046   0.105199                                      9.35*        
SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32    100.000    VARIES     2.1721             0.051233   0.051438   0.051645   0.051855  0.052067     18.52    18.67
SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27    100.000    VARIES     2.3465             0.059006   0.059388   0.059774   0.060164  0.060560     21.36    21.64
SG Structured Prods, Inc 78423EDQ4 10/31/12 10/29/32*   100.000    VARIES     3.5854             0.093609                                                11.23*        
SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32    100.000    VARIES     2.3864             0.056854   0.056930   0.057006   0.057083  0.057160     20.48    20.54
SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32    100.000    VARIES     2.3463             0.058192   0.058458   0.058726   0.058997  0.059271     21.03    21.22
SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32    100.000    VARIES     2.3877             0.058716   0.058809   0.058903   0.058998  0.059094     21.16    21.23
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 78423EJF2 11/27/13 11/27/23*   100.000    VARIES     3.9019             0.103180   0.103811                                     33.75*        
SG Structured Prods, Inc 78423EJG0 12/18/13 12/18/23*   100.000    VARIES     3.8787             0.103020   0.103605                                     35.96*        
SM Energy Company        78454LAM2 08/09/16 07/01/21     86.000     1.500     4.7379     93.65   0.083840   0.085826   0.087860                          30.54    15.81
ST CLAIR CNTY ILL SCH DI 788420GH4 10/01/19 12/01/20     97.535     0.000     2.1497      5.25   0.058451   0.059079                                     19.40         
St. Clair CNTY SD #187,  788550JQ5 06/20/12 01/01/21    107.017     5.500     4.5004             0.126219   0.125621                                     45.33         
St. Clair County, IL     788550JU6 06/25/15 01/01/21     79.080     0.000     4.3001    167.55   0.113213   0.114391                                     41.65         
St. Clair County, IL     788550JV4 06/25/15 01/01/22     74.588     0.000     4.5500    168.07   0.114244   0.115573   0.120161   0.120891               42.06    43.99
St. Clair County, IL     788550JW2 06/25/15 01/01/23     70.267     0.000     4.7499    165.96   0.113351   0.114781   0.119455   0.120298               41.75    43.76
St. Clair County, IL     788550JX0 06/25/15 01/01/24     65.665     0.000     5.0000    164.10   0.112740   0.114303   0.119102   0.120089               41.55    43.65
St. Clair County, IL     788553GR0 04/13/17 12/01/22     99.225     2.850     3.0005      3.58   0.003824   0.003882   0.003940   0.003999  0.004059      1.39     1.43
St. Clair County, IL     788553GS8 04/13/17 12/01/23    101.777     3.500     3.2006     88.25   0.089897   0.089780   0.089660   0.089539  0.089416     32.33    32.25
St. Clair County, IL     788553GT6 04/13/17 12/01/26    102.645     4.000     3.6716    102.12   0.104039   0.103909   0.103777   0.103642  0.103505     37.42    37.33
St. Clair County, IL     788553GU3 04/13/17 12/01/27    101.642     4.000     3.8108    105.07   0.107224   0.107150   0.107075   0.106998  0.106920     38.58    38.53
San Luis Obispo County   798703AS3 07/02/03 09/01/20     39.603     0.000     5.4696    568.71   0.143952   0.147888                                     35.26         
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000     5.5396    542.42   0.137947   0.141768   0.145695   0.149730               51.28    35.69
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000     5.5996    516.13   0.131795   0.135485   0.139278   0.143178  0.147186     49.01    51.79
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000     5.6397    489.81   0.125412   0.128948   0.132584   0.136323  0.140167     46.65    49.31
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000     5.6797    464.44   0.119236   0.122622   0.126105   0.129686  0.133369     44.36    46.91
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000     5.6997    439.59   0.113007   0.116228   0.119540   0.122947  0.126451     42.05    44.48
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000     5.7298    416.06   0.107175   0.110246   0.113404   0.116653  0.119995     39.88    42.20
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000     5.7298    393.21   0.101288   0.104190   0.107175   0.110246  0.113404     37.69    39.88
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000     5.7297    371.61   0.095724   0.098467   0.101288   0.104189  0.107174     35.62    37.69
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000     5.7298    351.20   0.090467   0.093059   0.095725   0.098468  0.101289     33.67    35.62
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000     5.7298    331.91   0.085499   0.087948   0.090468   0.093060  0.095726     31.82    33.67
Santa Monica School, CA  802498PT6 10/11/16 07/01/32     95.746     3.000     3.3503      7.01   0.006423   0.006530   0.006640   0.006751                2.33     2.41
Seacor Holdings, Inc.    81170YAA7 11/13/13 11/15/28*   100.000     3.000     8.2500    592.63   0.320313   0.330088                                     82.20*        
Seacor Holdings, Inc.    81170YAB5 11/13/13 11/15/28*   100.000    VARIES     8.2503             0.320336   0.330112                                     82.53*        
SEADRILL NEW FINANCE LTD 81173JAA7 07/02/18 07/15/25     44.667    12.000    26.7500    133.16   0.276444   0.308611   0.344889   0.385778  0.432000    116.60   145.90
Seacor Holdings, Inc.    811904AL5 12/11/12 12/15/27    100.000    VARIES     7.1504             0.280374   0.287682   0.295252   0.302975  0.310974    102.49   107.93
Seacor Holdings, Inc.    811904AM3 12/11/12 12/15/27    100.000    VARIES     7.1504             0.280374   0.287682   0.295252   0.302975  0.310974    102.49   107.93
Seacor Holdings, Inc.    811904AN1 05/15/18 05/15/30    100.000     3.250     7.6251    127.32   0.226247   0.231431   0.236812   0.242399  0.248199     82.87    86.78
Shelby Christian CNTYS,  821510BA1 02/24/16 12/01/20    106.279     3.750     2.3508     94.30   0.066198   0.065752                                     21.76         
Shelby Christian CNTYS,  821510BB9 02/24/16 12/01/21    106.397     3.750     2.5508    102.80   0.072501   0.072097   0.071688   0.071274               26.00    23.58
SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27    100.000    VARIES     4.2451             0.106933   0.107346   0.107767   0.108197  0.108637     38.65    38.95
SG Structured Prods, Inc 83368W2F7 07/28/15 07/28/21    100.000     0.000     3.0305             0.094943   0.096382   0.097842   0.099325               34.88    20.52
SG Structured Prods, Inc 83368W2V2 08/31/15 09/03/30    100.000    VARIES     3.4214             0.089365   0.089941   0.090528   0.091370  0.092226     32.41    32.94
SG Structured Prods, Inc 83368WB59 01/30/15 01/30/30    100.000    VARIES     2.8761             0.080313   0.080456   0.080555   0.080655  0.080756     28.97    29.05
SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33    100.000    VARIES     3.8966             0.105925   0.106669   0.107550   0.108448  0.109364     38.51    39.15
SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33    100.000    VARIES     3.8943             0.098263   0.098520   0.098996   0.099481  0.099976     35.53    35.87
SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33    100.000    VARIES     3.4646             0.086951   0.086679   0.088812   0.088061  0.090308     32.00    32.46
SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33    100.000    VARIES     2.9028             0.074023   0.074402   0.074857   0.075319  0.075788     26.79    27.12
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33    100.000    VARIES     3.9684             0.100985   0.101460   0.102038   0.102628  0.103229     36.52    36.93
SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33    100.000    VARIES     3.9499             0.101730   0.102334   0.103003   0.103684  0.104379     36.81    37.29
SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23    100.000    VARIES     1.6708             0.010422   0.010509   0.010597   0.010685  0.010774      3.78     3.84
SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23    100.000    VARIES     3.1496             0.086977   0.087040   0.087118   0.087197  0.087272     31.33    31.39
SG Structured Prods, Inc 83368WDL2 06/28/13 06/28/33*   100.000    VARIES     4.7629             0.139828   0.141674   0.143406                          50.53*        
SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33    100.000    VARIES     4.7593             0.123933   0.124850   0.125815   0.126804  0.127815     44.79    45.48
SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33    100.000    VARIES     4.5906             0.117092   0.117870   0.118665   0.119479  0.120311     42.53    43.11
SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33    100.000    VARIES     4.5832             0.119449   0.120537   0.121649   0.122787  0.123952     43.53    44.35
SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33    100.000    VARIES     4.5941             0.110513   0.111180   0.111862   0.112560  0.113274     40.11    40.61
SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33    100.000    VARIES     4.6389             0.116745   0.116332   0.119151   0.118184  0.121157     42.95    43.56
SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33    100.000    VARIES     4.6414             0.122103   0.121736   0.124751   0.123700  0.126772     44.95    45.59
SG Structured Prods, Inc 83368WDZ1 08/30/13 08/31/28    100.000    VARIES     4.5931             0.123594   0.123260   0.126353   0.125069  0.127948     45.51    46.08
SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33    100.000    VARIES     4.5116             0.117309   0.118212   0.119134   0.120078  0.121043     42.56    43.23
SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33    100.000    VARIES     4.2945             0.108012   0.108653   0.109308   0.109977  0.110660     39.08    39.55
SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33    100.000    VARIES     4.2911             0.112536   0.113315   0.114112   0.114925  0.115756     40.75    41.33
SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33    100.000    VARIES     4.4027             0.113537   0.114205   0.114888   0.115585  0.116298     41.04    41.53
SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32     90.000    VARIES     4.3778             0.101233   0.102343   0.103477   0.104636  0.105820     36.72    37.54
SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32     90.000    VARIES     4.3778             0.101231   0.102341   0.103475   0.104634  0.105818     36.71    37.53
SG Structured Prods, Inc 83368WGZ8 12/30/13 12/30/33*   100.000    VARIES     4.4481             0.116943   0.117700                                     42.23*        
SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32     93.000    VARIES     4.4186             0.109209   0.110333   0.111482   0.112656  0.113857     39.52    40.35
SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33    100.000    VARIES     4.4457             0.112253   0.112894   0.113550   0.114300  0.115067     40.53    41.01
SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34    100.000    VARIES     4.0888             0.106204   0.106967   0.107743   0.108535  0.109343     38.60    39.17
SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33     91.000    VARIES     4.0761             0.098385   0.099416   0.100439   0.101484  0.102550     35.91    36.66
SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24    100.000     0.000     3.6893             0.125302   0.127614   0.129968   0.132365  0.134807     46.13    47.85
SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34     91.000    VARIES     4.0373             0.097690   0.097867   0.100761   0.100394  0.103381     36.16    37.03
SG Structured Prods, Inc 83368WKC4 02/28/14 02/28/34    100.000    VARIES     4.0411             0.105630   0.105170   0.107638   0.106610  0.109131     38.82    39.28
SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34    100.000    VARIES     4.4731             0.112789   0.113079   0.113597   0.114125  0.114666     40.73    41.09
SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25    100.000    VARIES     2.7151             0.075415   0.075390   0.075364   0.075338  0.075323     27.14    27.12
SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34     91.000    VARIES     4.4572             0.102197   0.103427   0.104652   0.105906  0.107187     37.24    38.13
SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34    100.000    VARIES     4.4742             0.108908   0.108861   0.109077   0.109298  0.109524     39.21    39.35
SG Structured Prods, Inc 83368WMW8 05/14/14 05/14/21    100.000    VARIES     2.9301             0.081523   0.081472   0.081433                          29.33    10.83
SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34     91.000    VARIES     3.6947             0.087086   0.087649   0.088218   0.088797  0.089387     31.50    31.91
SG Structured Prods, Inc 83368WP21 05/20/15 05/21/35    100.000    VARIES     3.3762             0.090226   0.090631   0.091044   0.091463  0.091873     32.59    32.88
SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34    100.000    VARIES     3.6333             0.094547   0.094981   0.095476   0.095980  0.096493     34.12    34.47
SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34    100.000    VARIES     3.4030             0.088279   0.089659   0.089584   0.090480  0.090393     32.72    32.96
SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34    100.000    VARIES     3.4025             0.086957   0.088104   0.087816   0.088535  0.088290     32.14    32.24
SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29    100.000    VARIES     3.5292             0.096780   0.096926   0.097075   0.097226  0.097380     34.89    35.00
SG Structured Prods, Inc 83368WTS0 09/30/14 09/30/24    100.000    VARIES     3.2998             0.088896   0.089205   0.089519   0.089819  0.090124     32.11    32.34
SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35    100.000    VARIES     3.7086             0.095093   0.095418   0.096016   0.096626  0.097247     34.29    34.68
SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34    100.000    VARIES     3.5842             0.094007   0.094341   0.094681   0.095027  0.095379     33.96    34.21
SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34    100.000    VARIES     3.5616             0.093371   0.093803   0.094242   0.094650  0.095065     33.77    34.08
SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34    100.000    VARIES     3.4502             0.091424   0.091891   0.092366   0.092849  0.093341     33.05    33.40
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34    100.000    VARIES     3.3123             0.087090   0.087541   0.088000   0.088413  0.088833     31.47    31.78
SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34    100.000    VARIES     3.0162             0.082798   0.083311   0.083832   0.084254  0.084682     29.90    30.26
SG Structured Prods, Inc 83369ECH1 10/30/15 11/01/27*   100.000    VARIES     3.1962             0.086179   0.086311                                     25.88*        
Societe Generale Medium  83369EE30 10/19/17 10/19/20    100.000    VARIES     1.9157     42.85   0.055283   0.055813                                     16.02         
SG Structured Prods, Inc 83369EEM8 01/29/16 01/29/36    100.000    VARIES     3.1196    116.94   0.081845   0.082095   0.082348   0.082605  0.083040     29.59    29.80
Societe Generale Medium  83369EG95 11/15/17 11/14/22    100.000    VARIES     2.7307     59.43   0.080075   0.081168   0.082276   0.083400  0.084538     29.13    29.93
SG Structured Prods, Inc 83369EGC8 02/26/16 02/26/21    100.000    VARIES     1.8853     11.19   0.008108   0.008184   0.008261                           2.95     0.45
SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26    100.000    VARIES     1.6326     35.67   0.025054   0.025258   0.025464   0.025672  0.025882      9.10     9.25
SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23    100.000     0.000     1.8500     66.96   0.054817   0.055324   0.055835   0.056352  0.056873     19.83    20.20
Societe Generale SA      83369ER51 01/31/18 07/31/23    100.000     0.000     3.1299     61.44   0.091089   0.092515   0.093962   0.095433  0.096926     33.48    34.54
SG Structured Prods, Inc 83369EUT5 03/31/17 03/31/37*   100.000    VARIES     3.2302     86.16   0.086725   0.087176                                     23.41*        
Societe Generale Medium  83369EZS2 08/30/17 08/30/29*   100.000    VARIES     2.7704     64.17   0.075747   0.075580   0.075441                          18.07*        
Societe Generale SA      83369F3A3 01/31/18 01/28/21    100.000     0.000     2.8909     56.65   0.083822   0.085034   0.086263                          30.77     2.33
Societe Generale SA      83369F3F2 01/31/18 01/30/25    100.000     0.000     3.2105     63.06   0.093545   0.095047   0.096572   0.098123  0.099698     34.40    35.52
Societe Generale SA      83369F3S4 02/28/18 02/27/25    100.000     0.000     3.2782     61.74   0.095604   0.097171   0.098764   0.100383  0.102028     35.09    36.25
Societe Generale         83369F3V7 02/05/18 02/03/21    100.000     0.000     2.6909     52.27   0.077793   0.078840   0.079901                          28.51     2.56
Societe Generale SA      83369F4R5 03/02/18 03/04/25    100.000     0.000     3.3609     62.95   0.098163   0.099812   0.101489   0.103195  0.104929     36.02    37.25
Societe Generale SA      83369F5J2 03/28/18 03/26/20    100.000     0.000     3.0528     54.75   0.088729                                                 7.54         
Societe Generale SA      83369F5K9 03/28/18 03/26/21    100.000     0.000     3.1620     56.75   0.092051   0.093506   0.094984                          33.68     8.07
Societe Generale SA      83369F7H4 05/23/18 05/23/22    100.000    VARIES     2.8699     45.98   0.079257   0.079099   0.079348   0.079533  0.079653     28.51    28.61
Societe Generale SA      83369F7M3 05/30/18 05/31/22    100.000    VARIES     3.3928     53.86   0.094451   0.094521   0.094548   0.094508  0.094403     34.02    34.03
Societe Generale SA      83369FA23 05/29/18 05/27/21    100.000     0.000     3.4381     55.68   0.100494   0.102221   0.103979                          36.61    15.18
Societe Generale SA      83369FA72 06/04/18 06/06/22    100.000    VARIES     2.9511     46.41   0.081888   0.082047   0.082134   0.082147  0.082085     29.51    29.57
Societe Generale SA      83369FAD9 06/13/18 06/13/22    100.000    VARIES     3.2002     49.66   0.089167   0.089260   0.089279   0.089213  0.089076     32.12    32.12
Societe Generale SA      83369FAF4 06/20/18 06/20/22    100.000    VARIES     3.2003     49.03   0.089167   0.089261   0.089285   0.089221  0.089081     32.12    32.13
Societe Generale Medium  83369FBC0 08/31/18 09/02/25*   100.000     7.000     3.1352     41.18   0.083717   0.084676                                     12.48*        
Societe Generale SA      83369FBN6 09/19/18 09/17/20    100.000     0.000     3.0929     40.21   0.088576   0.089946                                     22.92         
Societe Generale SA      83369FBQ9 09/21/18 09/23/25*   100.000    VARIES     3.7878     48.16   0.103930   0.104025                                     17.78*        
Societe Generale SA      83369FBR7 09/26/18 09/24/20    100.000     0.000     3.1330     40.11   0.089760   0.091166                                     23.86         
Societe Generale SA      83369FBT3 09/25/18 09/25/23    100.000     0.000     3.7818     48.65   0.109060   0.111122   0.113223   0.115364  0.117545     40.03    41.56
Societe Generale SA      83369FC39 10/31/18 10/29/21*   100.000     0.000     3.5523     42.07   0.102202                                                 2.15*        
Societe Generale SA      83369FCA3 11/30/18 12/02/21*   100.000     0.000     3.5864     39.39   0.103247                                                 4.44*        
Societe Generale SA      83369FCD7 11/07/18 11/07/22    100.000    VARIES     3.3999     39.02   0.093870   0.093577   0.093279   0.093563  0.093851     33.71    33.66
Societe Generale SA      83369FCK1 11/30/18 11/30/21    100.000    VARIES     3.2251     35.06   0.089926   0.089945   0.089839   0.089704               32.37    29.53
Societe Generale SA      83369FD79 12/31/18 12/31/20    100.000    VARIES     3.1199     31.21   0.085889   0.086305                                     30.91         
Societe Generale SCF SA  83369FDG9 01/30/19 01/30/23    100.000    VARIES     3.0400     27.83   0.083616   0.082776   0.083381   0.083573  0.083599     29.92    30.08
Societe Generale SA      83369FDJ3 02/06/19 02/06/23    100.000    VARIES     3.0400     27.32   0.083616   0.082776   0.083381   0.083573  0.083599     29.92    30.08
Societe Generale SA      83369FDU8 02/13/19 02/13/23    100.000    VARIES     3.1600     27.80   0.086970   0.086150   0.086747   0.086951  0.086991     31.13    31.30
Societe Generale SA      83369FE86 03/11/19 03/11/22    100.000    VARIES     3.0803     24.77   0.085171   0.084771   0.085371   0.085579  0.085584     30.61    30.79
Societe Generale SA      83369FEB9 03/22/19 03/22/21    100.000     0.000     2.7624     21.51   0.077792   0.078867   0.079956                          28.41     6.48
Societe Generale SA      83369FF44 05/08/19 05/09/22    100.000    VARIES     2.7601     17.86   0.076576   0.076483   0.076685   0.076667  0.076627     27.56    27.60
Societe Generale SA      83369FF51 05/15/19 05/16/22    100.000    VARIES     2.6399     16.57   0.073199   0.073065   0.073161   0.073140  0.073163     26.33    26.33
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Societe Generale SA      83369FFK8 06/19/19 06/20/22    100.000    VARIES     2.4001     12.80   0.066942   0.067041   0.066909   0.066784  0.066701     24.12    24.06
Societe Generale SA      83369FFY8 07/18/19 07/20/21    100.000     0.000     2.3006     10.42   0.063913   0.064648   0.065392   0.066144               23.38    13.15
Societe Generale SA      83369FG92 08/07/19 08/05/21    100.000     0.000     2.1609      8.64   0.060025   0.060666   0.061322   0.061985               21.91    13.24
Societe Generale SA      83369FGW1 10/08/19 11/03/21    100.000     0.000     2.0659      4.77   0.057468   0.058062   0.058661   0.059267               20.86    17.82
Societe Generale SA      83369FHE0 12/04/19 02/03/22    100.000     0.000     2.1751      1.63   0.060421   0.060636   0.061296   0.061962  0.062636     21.92    22.38
Societe Generale SA      83369FHF7 11/29/19 03/29/22    100.000     0.000     2.1604      1.92   0.060012   0.060444   0.061097   0.061757  0.062424     21.78    22.24
Societe Generale SA      83369FP84 03/06/19 03/04/22    100.000     0.000     2.9316     24.16   0.082614   0.083825   0.085054   0.086300  0.087565     30.24    31.14
Societe Generale SA      83369FP92 03/06/19 03/04/21    100.000     0.000     2.8823     23.75   0.081206   0.082376   0.083563                          29.72     5.26
Societe Generale SA      83369FQN0 10/26/18 12/24/20    100.000     0.000     4.0255     48.33   0.115200   0.117518                                     41.67         
Societe Generale SA      83369FSM0 04/24/19 04/21/22    100.000     0.000     2.8816     19.85   0.081177   0.082347   0.083533   0.084737  0.085958     29.60    30.46
Societe Generale SA      83369FUX3 06/05/19 06/03/22    100.000     0.000     2.4706     14.16   0.069466   0.070324   0.071193   0.072072  0.072963     25.21    25.84
Societe Generale SA      83369FUZ8 06/05/19 06/03/22    100.000     0.000     2.4706     14.16   0.069466   0.070324   0.071193   0.072072  0.072963     25.21    25.84
Societe Generale SA      83369FXR3 08/05/19 08/05/25    100.000     0.000     2.3103      9.37   0.064176   0.064918   0.065668   0.066426  0.067194     23.45    24.00
Societe Generale SA      83369MJK9 12/16/19 12/16/22    100.000     0.000     2.2503      0.94   0.062508   0.063212   0.063923   0.064642  0.065370     22.65    23.16
Societe Generale SA      83369MJQ6 12/20/19 12/21/26    100.000     0.100     2.4730      0.76   0.068694   0.069509   0.070334   0.071170  0.072015     24.89    25.49
Societe Generale SA      83369MJR4 12/18/19 12/21/23    100.000     2.100     2.2723      0.82   0.063119   0.063194   0.063249   0.063305  0.063361     22.74    22.78
Societe Generale SA      83369MMN9 02/10/20 02/03/22    100.000     0.000     1.8806                        0.052240   0.052712   0.053208  0.053708     16.84    19.21
Solectron Corporation    834182AK3 05/08/00 05/08/20     57.912     0.000     2.7500    411.31   0.075352                                                 9.57         
Sprint Capital Corporati 852060AD4 05/18/18 11/15/28     96.500     6.875     7.3596      3.83   0.007024   0.007283   0.007551   0.007828  0.008117      2.60     2.79
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600    10.4990             0.308733   0.308025   0.307280   0.306496  0.305670    110.88   110.33
TARRANT CNTY TEX CULTURA 87638XAB0 03/15/18 03/15/23*   100.000     0.000    10.0000    191.71   0.321563   0.337641                                     80.52*        
TARRANT CNTY TEX CULTURA 87638XAC8 03/15/18 03/15/23*   100.000     0.000    12.5000    243.61   0.416480   0.442510                                    105.16*        
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES     8.8001             0.233910   0.234058   0.234212   0.234372  0.234540     84.28    84.40
TITUS CNTY TEX           888514JV9 11/27/19 03/01/21     97.066     0.000     2.3739      2.18   0.064008   0.064405   0.065169                          23.25     3.91
TITUS CNTY TEX           888514JW7 11/27/19 03/01/22     94.459     0.000     2.5361      2.26   0.066545   0.066986   0.067835   0.068695  0.069566     24.19    24.78
TITUS CNTY TEX           888514JX5 11/27/19 03/01/23     91.737     0.000     2.6615      2.31   0.067822   0.068293   0.069202   0.070123  0.071056     24.67    25.30
TITUS CNTY TEX           888514JY3 11/27/19 03/01/24     88.968     0.000     2.7616      2.32   0.068248   0.068741   0.069690   0.070652  0.071628     24.83    25.49
Tornillo Indpt SCH DIST  891084NY7 12/06/12 02/01/20     83.718     0.000     2.4998    160.76   0.068583                                                 2.06         
Tornillo Indpt SCH DIST  891084NZ4 12/06/12 02/01/21     80.360     0.000     2.6998    167.78   0.072037   0.073009   0.073995                          26.40     2.22
Toronto-Dominion Bank    89114QS33 05/24/19 05/18/22    100.000     0.000     2.6800     16.20   0.075409   0.076419   0.077443   0.078481  0.079533     27.42    28.16
Toronto-Dominion Bank    89114QS41 05/24/19 05/18/22    100.000     0.000     2.6800     16.20   0.075409   0.076419   0.077443   0.078481  0.079533     27.42    28.16
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000     4.8000    179.98   0.055442   0.056773   0.058135   0.059531  0.060959     20.45    21.44
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000     6.1698    558.08   0.147230   0.151772   0.156454   0.161280  0.166255     54.65    58.07
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES     4.6496             0.130428   0.130012   0.129589                          46.80    10.89
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES     2.4224             0.066868   0.066972   0.067076   0.067182               24.11    17.46
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES     2.5378             0.011036   0.011176   0.011318   0.011461                4.02     3.06
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES     5.7801             0.109730   0.110544   0.111381   0.113625  0.115934     39.92    41.23
UBS AG London Branch     90270KB24 04/30/19 12/31/20    100.000     0.000     2.5602     17.20   0.072335   0.073261                                     26.13         
UBS AG London Branch     90270KG37 07/15/19 01/12/21*   100.000     0.000     1.8197      8.39   0.050547   0.050999                                      4.23*        
UBS AG London Branch     90270KG94 07/15/19 07/14/21*   100.000     0.000     2.2698     10.47   0.063051   0.063762                                      5.41*        
UBS AG London Branch     90270KJ75 08/07/19 08/05/21    100.000     0.000     2.0200      8.08   0.056110   0.056671   0.057243   0.057821               20.47    12.35
UBS AG London Branch     90270KJ83 08/07/19 08/05/21*   100.000     0.000     2.0200      8.08   0.056110   0.056671                                      4.80*        
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
UBS AG London Branch     90270KK24 08/07/19 08/05/21    100.000     0.000     2.0200      8.08   0.056110   0.056671   0.057243   0.057821               20.47    12.35
UBS AG London Branch     90270KP29 09/30/19 09/26/24*   100.000     0.000     1.9600      4.95   0.054445                                                 4.63*        
UBS AG London Branch     90270KQ51 10/31/19 08/03/21*   100.000     0.000     2.0402      3.46   0.056673   0.056971                                      4.83*        
UBS AG London Branch     90270KR68 10/29/19 12/04/20*   100.000     0.000     1.9601      3.38   0.054550                                                 4.58*        
UBS AG London Branch     90270KRF8 04/27/18 07/22/21    100.000     0.000     3.3688     57.70   0.097527   0.099170   0.100840   0.102539               35.93    20.57
UBS AG London Branch     90270KS67 10/30/19 10/31/24*   100.000     0.000     2.0899      3.54   0.058054                                                 4.93*        
UBS AG London Branch     90270KSF7 06/20/18 06/16/21    100.000     0.000     3.6899     57.57   0.108231   0.110228   0.112262                          39.38    18.52
UBS AG London Branch     90270KSL4 06/29/18 06/30/20    100.000     0.000     3.2501     49.74   0.094762                                                16.96         
UBS AG London Branch     90270KSW0 07/31/18 07/31/20    100.000     0.000     3.3898     48.89   0.097381   0.099032                                     20.65         
UBS AG London Branch     90270KSY6 07/31/18 09/30/20    100.000     0.000     3.4298     49.53   0.099132   0.100832                                     26.97         
UBS AG London Branch     90270KTF6 08/17/18 06/14/21    100.000     0.000     3.3901     47.26   0.098463   0.100132   0.101830                          35.80    16.60
UBS AG London Branch     90270KTR0 09/19/18 09/17/20    100.000     0.000     3.4500     44.91   0.099149   0.100860                                     25.69         
UBS AG London Branch     90270KUF4 09/28/18 09/30/20    100.000     0.000     3.4897     44.54   0.100368   0.102119                                     27.31         
UBS AG London Branch     90270KUM9 10/31/18 10/29/20    100.000     0.000     3.5002     41.45   0.100650   0.102411                                     30.31         
UBS AG London Branch     90270KV22 11/20/19 12/18/20    100.000     0.000     1.9003      2.17   0.052865   0.053368                                     18.43         
UBS AG London Branch     90270KV48 11/14/19 11/15/24*   100.000     0.000     2.0900      2.73   0.058060                                                 4.88*        
UBS AG London Branch     90270KVG1 11/30/18 11/30/20    100.000     0.000     3.5802     39.32   0.103043   0.104887                                     34.23         
UBS AG London Branch     90270KWD7 01/02/19 01/03/20    100.000     0.000     3.2807     32.98   0.092633                                                 0.19         
UBS AG London Branch     90270KWM7 01/31/19 01/29/21    100.000     0.000     3.2702     30.29   0.092316   0.093825   0.095359                          33.97     2.67
UBS AG London Branch     90270KXM6 02/28/19 09/30/20    100.000     0.000     2.9594     25.08   0.083641   0.084879                                     22.72         
UBS AG London Branch     90270KY37 12/02/19 07/29/21*   100.000     0.000     1.9804      1.60   0.055010   0.055182                                      4.63*        
UBS AG London Branch     90270KY86 12/31/19 11/15/21*   100.000     0.000     1.9399      0.05   0.053886                                                 4.20*        
UBS AG London Branch     90270KZH5 04/18/19 12/03/20    100.000     0.000     2.7738     19.58   0.078389   0.079476                                     26.22         
UBS AG London Branch     90280Y826 04/05/18 04/06/20    100.000     0.000     3.0514     54.10   0.088709                                                 8.43         
UBS AG London Branch     90281A405 06/20/18 06/18/20    100.000     0.000     3.2800     51.07   0.095650                                                15.97         
UBS AG                   90281B338 11/05/18 11/04/20    100.000     0.000     3.5591     41.64   0.102403   0.104226                                     31.36         
UBS AG London Branch     90281B684 01/04/19 08/02/22    100.000     0.000     3.2800     32.83   0.092842   0.094364   0.095912   0.097485  0.099083     34.15    35.28
UBS AG London Branch     90281C344 03/19/19 03/24/20    100.000    VARIES     2.6864     21.04   0.074609   0.075612                                      6.20         
UBS AG                   90281C823 05/03/19 11/04/20    100.000     0.000     2.6600     17.64   0.074877   0.075873                                     22.87         
ULTRA RESOURCES INC      90400GAE1 12/21/18 07/12/24     73.000    11.000    18.6600     50.17   0.139611   0.150111   0.161556   0.174056  0.187722     55.77    64.73
UNION ALEXANDER ETC CNTY 904842CY5 12/15/17 12/01/20    103.530     4.000     2.6990     58.17   0.075928   0.075453                                     24.97         
Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000     5.4001     44.35   0.033740   0.034651   0.035586   0.036547  0.037534     12.37    13.04
Uruguay, Republic        917288BA9 05/29/03 01/15/33     61.000     3.875        N/A             0.151003   0.152729   0.154564   0.156512  0.158582     55.26    56.66
Veritas Capital Trust    92343W300 12/22/97 01/01/28    100.000    10.000    10.0000             0.277778   0.277778   0.277778   0.277778              100.00   100.00
Virginia Pub School Auth 92817SPA0 11/13/09 09/15/26     90.643     6.050     7.0050     43.17   0.016382   0.016956   0.017550   0.018165  0.018801      6.12     6.56
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES     2.3691             0.009197   0.009306   0.009416   0.009527  0.009640      3.34     3.42
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES     2.3798             0.008934   0.009041   0.009148   0.009257  0.009367      3.24     3.31
Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES     2.4986             0.009088   0.009202   0.009317   0.009433  0.009551      3.29     3.38
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES     2.5508             0.009486   0.009607   0.009730   0.009854  0.009980      3.44     3.53
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES     2.1764     13.75   0.009398   0.009500   0.009603   0.009708  0.009813      3.43     3.51
Wells Fargo & Co.        94986RDD0 03/31/11 03/31/21    100.000    VARIES     4.1709             0.116306   0.116180   0.116021                          41.82    10.33
Wells Fargo & Co.        94986RDL2 04/29/11 04/30/21    100.000    VARIES     4.3019             0.120024   0.119874   0.119687                          43.16    14.24
    -----------------------------                                                                                                                                      
    *  Called in 2020; 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     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES     4.1141             0.115230   0.114941   0.114614                          41.41    16.85
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES     1.9880     16.38   0.010941   0.011050   0.011160   0.011271  0.011383      3.99     4.07
Wells Fargo & Company    94986RF71 02/29/16 03/01/23    100.000    VARIES     1.9956     13.10   0.009393   0.009486   0.009581   0.009677  0.009773      3.42     3.49
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES     2.2005     14.69   0.010445   0.010560   0.010676   0.010793  0.010912      3.80     3.89
Wells Fargo & Company    94986RH53 03/16/16 03/16/22    100.000     0.000     2.2405     88.17   0.067284   0.068037   0.068800   0.069570  0.070350     24.52    25.07
Wells Fargo & Company    94986RJ28 03/29/16 03/29/21    100.000     0.125     2.5923    101.38   0.078474   0.079446   0.080431                          28.61     7.08
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES     2.1558     13.91   0.009805   0.009911   0.010018   0.010126  0.010235      3.56     3.64
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES     1.2945             0.011635   0.011711   0.011787   0.011863  0.011940      4.22     4.27
Wells Fargo & Company    94986RLV1 10/19/12 10/19/20    100.000    VARIES     1.1744             0.009594   0.009650                                      2.77         
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES     1.1530             0.009125   0.009178   0.009231   0.009284  0.009338      3.30     3.34
Wells Fargo & Company    94986RMD0 11/16/12 11/16/20    100.000    VARIES     1.0417             0.007729   0.007769                                      2.44         
Wells Fargo & Company    94986RMH1 01/03/13 01/08/20    100.000     0.000     1.0001             0.029647                                                 0.21         
Wells Fargo & Company    94986RMJ7 01/03/13 01/08/20    100.000     0.000     1.6998             0.052719                                                 0.37         
Wells Fargo & Company    94986RMK4 12/27/12 12/28/22    100.000    VARIES     1.2833             0.011316   0.011388   0.011461   0.011535  0.011609      4.09     4.14
Wells Fargo & Company    94986RMT5 02/07/13 02/07/20    100.000     0.000     1.3701             0.041592                                                 1.50         
Wells Fargo & Company    94986RMU2 02/07/13 02/07/20    100.000     0.000     1.6097             0.049626                                                 1.79         
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES     1.1863             0.010002   0.010061   0.010121   0.010181  0.010241      3.63     3.67
Wells Fargo & Company    94986RNF4 03/06/13 03/06/20    100.000     0.000     1.5600             0.047938                                                 3.12         
Wells Fargo & Company    94986RNG2 03/06/13 03/06/20    100.000     0.000     1.3399             0.040595                                                 2.64         
Wells Fargo & Company    94986RNJ6 02/22/13 02/22/21    100.000    VARIES     1.0349             0.011929   0.012122   0.012052                           4.42     0.63
Wells Fargo & Company    94986RNU1 04/03/13 04/07/20    100.000     0.000     1.4905             0.045607                                                 4.38         
Wells Fargo & Company    94986RNV9 04/03/13 04/07/20    100.000     0.000     1.5698             0.048280                                                 4.63         
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES     1.1812             0.010611   0.010674   0.010737   0.010801  0.010864      3.85     3.89
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES     1.3587             0.010934   0.011009   0.011083   0.011159  0.011234      3.96     4.02
Wells Fargo & Company    94986RPA3 03/20/13 03/20/20    100.000    VARIES     1.1707             0.007942                                                 0.63         
Wells Fargo & Company    94986RPF2 05/08/13 05/07/20    100.000     0.000     1.5101             0.046255                                                 5.83         
Wells Fargo & Company    94986RPG0 05/08/13 05/07/20    100.000     0.000     1.4899             0.045576                                                 5.74         
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES     1.3234             0.007874   0.007926   0.007978   0.008031  0.008084      2.85     2.89
Wells Fargo & Company    94986RPJ4 04/10/13 01/24/20     95.000     0.000     1.9490             0.058103                                                 1.34         
Wells Fargo & Company    94986RPS4 06/07/13 06/05/20    100.000     0.000     1.8198             0.056862                                                 8.76         
Wells Fargo & Company    94986RPT2 06/07/13 06/05/20    100.000     0.000     1.8598             0.058261                                                 8.97         
Wells Fargo & Company    94986RQA2 07/02/13 07/08/20    100.000     0.000     2.4199             0.077687   0.078627                                     14.70         
Wells Fargo & Company    94986RQB0 07/02/13 07/08/20    100.000     0.000     2.2502             0.071515   0.072320                                     13.52         
Wells Fargo & Company    94986RQF1 06/12/13 06/05/20    100.000     0.000     2.3333             0.075330                                                11.60         
Wells Fargo & Company    94986RQJ3 06/17/13 01/24/20     93.099     0.000     2.3705             0.070785                                                 1.63         
Wells Fargo & Company    94986RQR5 08/08/13 08/07/20    100.000     0.000     2.4500             0.078758   0.079722                                     17.19         
Wells Fargo & company    94986RQS3 08/08/13 08/07/20    100.000     0.000     2.3798             0.076184   0.077090                                     16.62         
Wells Fargo & Company    94986RQZ7 09/09/13 09/08/20    100.000     0.000     2.0800             0.065413   0.066093                                     16.28         
Wells Fargo & Company    94986RRH6 10/03/13 10/07/20    100.000     0.000     1.9199             0.059820   0.060394                                     16.61         
Wells Fargo & Company    94986RRS2 11/07/13 05/07/20    100.000     0.000     1.7499             0.053965                                                 6.80         
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000     3.5789             0.120830   0.122992   0.125193   0.127434  0.129714     44.30    45.90
Wells Fargo & Company    94986RUS8 08/25/14 08/25/21    100.000    VARIES     1.0019             0.027685   0.027721   0.027757   0.027794                9.98     6.50
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES     2.5651             0.007111   0.007202   0.007294   0.007388  0.007483      2.59     2.66
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES     2.5155             0.007132   0.007221   0.007312   0.007404  0.007497      2.60     2.67
Wells Fargo & Company    94986RVY4 02/23/15 02/21/20    110.000     0.125     2.3385             0.078942                                                 3.95         
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES     2.1821             0.010048   0.010158   0.010268   0.010380  0.010494      3.66     3.74
Wells Fargo & Company    94986RWD9 04/06/15 04/06/22    100.000     0.000     2.0104             0.061103   0.061717   0.062338   0.062964  0.063597     22.21    22.66
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES     2.0659             0.056259   0.056357   0.056455   0.056554  0.056654     20.29    20.36
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES     2.2225             0.058658   0.058789   0.058922   0.059056  0.059191     21.16    21.25
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES     2.2895             0.009930   0.010044   0.010159   0.010275  0.010393      3.60     3.69
Wells Fargo & Company    94986RX30 10/18/16 10/18/26    100.000    VARIES     2.2447     10.89   0.008637   0.008734   0.008832   0.008931  0.009031      3.14     3.21
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES     2.5017             0.009506   0.009625   0.009745   0.009867  0.009991      3.44     3.53
Wells Fargo & Company    94986RXR7 06/24/15 06/24/22    100.000     0.250     2.4237             0.074239   0.075054   0.075880   0.076715  0.077561     26.88    27.48
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES     2.4666             0.008698   0.008806   0.008914   0.009024  0.009135      3.18     3.26
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES     2.4323             0.008399   0.008501   0.008605   0.008709  0.008815      3.07     3.14
Wells Fargo & Company    94986RZ46 10/20/16 10/20/26    100.000    VARIES     2.2262     14.97   0.011901   0.012033   0.012167   0.012302  0.012439      4.33     4.42
Wells Fargo & Company    94986RZ79 11/04/16 11/06/23    100.000     0.250     2.8285     92.48   0.084877   0.085979   0.087097   0.088231  0.089380     30.88    31.68
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES     2.2452             0.010175   0.010290   0.010405   0.010522  0.010640      3.70     3.79
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES     2.2547             0.009204   0.009308   0.009413   0.009519  0.009626      3.35     3.43
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES     2.3811             0.011619   0.011757   0.011897   0.012039  0.012182      4.23     4.33
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES     2.3226             0.062572   0.062684   0.062796   0.062910  0.063025     22.56    22.64
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES     2.4455             0.008325   0.008427   0.008530   0.008634  0.008739      3.03     3.10
Wells Fargo & Company    94988U250 12/28/18 12/17/21    100.000     0.000     2.7409     27.84   0.078173   0.079244   0.080330   0.081431               28.37    27.99
Wells Fargo & Company    94988U326 12/06/18 11/19/21    100.000     0.000     2.6803     28.91   0.076367   0.077391   0.078428   0.079479               27.76    25.13
Wells Fargo & Company    95000E3U1 10/20/17 10/22/24    100.000     0.250     1.8358     40.89   0.052638   0.053057   0.053480   0.053908  0.054339     19.08    19.39
Wells Fargo & Company    95000N2A6 02/23/17 02/23/22    100.000    VARIES     1.8572      8.32   0.008087   0.008162   0.008238   0.008315  0.008392      2.94     3.00
Wells Fargo & Company    95000N2D0 02/24/17 02/24/27    100.000    VARIES     2.7668     78.72   0.076509   0.076530   0.076551   0.076573  0.076595     27.55    27.57
Wells Fargo & Company    95000N2J7 05/19/17 05/19/27    100.000    VARIES     2.6993     12.54   0.012362   0.012289   0.012215   0.012140  0.012304      4.43     4.39
Wells Fargo & Company    95000N2K4 06/23/17 06/23/27    100.000    VARIES     2.5340      9.49   0.009520   0.009640   0.009763   0.009886  0.010012      3.45     3.54
Wells Fargo & Company    95000N2P3 07/25/17 07/25/29    100.000    VARIES     2.6059      7.21   0.007137   0.007230   0.007325   0.007420  0.007517      2.62     2.68
Wells Fargo & Company    95000N2T5 08/16/17 08/16/27    100.000    VARIES     2.5861      8.11   0.008460   0.008570   0.008681   0.008793  0.008907      3.10     3.18
Wells Fargo & Company    95000N2V0 08/31/17 08/31/29    100.000    VARIES     2.4309      7.38   0.007654   0.007747   0.007842   0.007936  0.008033      2.79     2.86
Wells Fargo & Company    95000N2Y4 09/15/17 09/15/27    100.000    VARIES     2.8997     12.75   0.014763   0.014444   0.014120   0.013791  0.013458      5.19     4.95
Wells Fargo & Company    95000N2Z1 09/20/17 09/20/27    100.000    VARIES     2.5328      6.98   0.007785   0.007883   0.007983   0.008084  0.008187      2.84     2.91
Wells Fargo & Company    95000N3B3 09/21/17 09/21/27    100.000    VARIES     2.5668      7.12   0.007719   0.007818   0.007918   0.008020  0.008123      2.82     2.89
Wells Fargo & Company    95000N3F4 10/25/17 10/25/27    100.000    VARIES     2.7552      6.59   0.007347   0.007448   0.007551   0.007655  0.007761      2.68     2.75
Wells Fargo & Company    95000N3G2 10/20/17 10/20/27    100.000    VARIES     2.7158      7.25   0.008055   0.008164   0.008275   0.008388  0.008501      2.94     3.02
Wells Fargo & Company    95000N3M9 01/31/18 01/31/28    100.000    VARIES     3.2008      5.16   0.006752   0.006286   0.006387   0.006489  0.006593      2.29     2.35
Wells Fargo & Company    95000N3N7 01/31/18 01/31/38    100.000    VARIES     3.2610      6.61   0.007613   0.006332   0.006435   0.006540  0.006646      2.33     2.37
Wells Fargo & Company    95001B2K9 02/14/18 02/14/25    105.000     0.125     3.5350     71.49   0.108481   0.110337   0.112226   0.114148  0.116104     39.90    41.28
Wells Fargo & Company    95001BAQ7 12/07/18 12/05/23    100.000     0.000     3.0505     32.84   0.087327   0.088659   0.090011   0.091384  0.092778     31.75    32.72
Wells Fargo & Company    95001BBA1 12/05/18 12/03/21    100.000     0.000     2.7407     29.63   0.078221   0.079293   0.080379   0.081481               28.41    26.88
Wells Fargo & Company    95001BBB9 01/03/19 01/03/22    100.000     0.000     3.1102     31.17   0.087738   0.089103   0.090488   0.091896  0.093325     32.32    33.33
Wells Fargo & Company    95001BBT0 02/05/19 02/03/22    100.000     0.000     2.8110     25.62   0.079168   0.080281   0.081409   0.082553  0.083713     29.03    29.85
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    95001D2D1 03/21/18 03/21/30    100.000    VARIES     3.3176      6.04   0.008214   0.007468   0.007592   0.007718  0.007846      2.76     2.78
Wells Fargo & Company    95001D2G4 04/20/18 04/20/28    100.000    VARIES     3.4399      7.37   0.010690   0.009894   0.010064   0.010237  0.010413      3.66     3.68
Wells Fargo & Company    95001D2N9 07/03/18 07/03/28    100.000    VARIES     3.5475      9.09   0.016284   0.015653   0.015010   0.014357  0.013692      5.52     5.05
Wells Fargo & Company    95001D2R0 08/24/18 08/24/28    100.000    VARIES     3.6466      9.78   0.019251   0.018485   0.017706   0.016913  0.016105      6.60     6.03
Wells Fargo & Company    95001D2X7 09/26/18 09/26/28    100.000    VARIES     3.7928      4.17   0.008431   0.007798   0.007153   0.007289  0.007427      2.80     2.63
Wells Fargo Finance LLC  95001H3A7 02/11/19 09/28/23     96.600     0.000     3.5621     30.87   0.097738   0.099478   0.101250   0.103053  0.104889     35.83    37.11
Wells Fargo Finance LLC  95001H4M0 05/02/19 05/02/24    100.000     0.000     2.9409     19.60   0.082894   0.084113   0.085350   0.086605  0.087878     30.21    31.10
Wells Fargo Finance LLC  95001H5U1 05/30/19 06/03/22    100.000     0.000     2.3606     13.86   0.066359   0.067142   0.067934   0.068736  0.069547     24.07    24.65
Wells Fargo Finance LLC  95001H6P1 07/02/19 07/03/23    100.000     0.000     2.3900     11.88   0.066394   0.067188   0.067991   0.068803  0.069625     24.33    24.91
Wells Fargo & Company    95001H6Q9 07/02/19 07/01/22    100.000     0.000     2.3500     11.68   0.066041   0.066817   0.067602   0.068397               23.91    24.48
Wells Fargo Finance LLC  95001H6S5 08/07/19 02/06/23    100.000     0.000     1.8604      7.44   0.051677   0.052156   0.052641   0.053130  0.053625     18.83    19.18
Wells Fargo Finance LLC  95001H6T3 08/07/19 02/06/25    100.000     0.000     1.8602      7.44   0.051674   0.052152   0.052637   0.053126  0.053620     18.83    19.18
Wells Fargo Finance LLC  95001H6Y2 07/31/19 07/29/21    100.000     0.000     3.4220     14.35   0.095055   0.096672   0.098326   0.100008               35.01    20.75
Wells Fargo & Company    95001HA76 08/30/19 08/31/21    100.000     0.000     2.9224      9.82   0.081177   0.082356   0.083566   0.084774               29.73    20.19
WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26    100.000     0.000     1.5302      3.74   0.042511   0.042837   0.043164   0.043495  0.043827     15.42    15.66
Wells Fargo Finance LLC  95001HAH4 09/05/19 09/02/21    100.000     0.000     2.9424      9.48   0.081733   0.082916   0.084135   0.085373               29.92    20.50
Wells Fargo Finance LLC  95001HB26 11/07/19 05/07/24    100.000     0.000     1.5803      2.37   0.043897   0.044244   0.044593   0.044946  0.045301     15.90    16.16
Wells Fargo Finance LLC  95001HBY6 11/08/19 11/03/21    100.000     0.000     1.6707      2.46   0.046408   0.046785   0.047176   0.047570               16.82    14.32
Wells Fargo Finance LLC  95001HBZ3 11/08/19 11/03/21    100.000     0.000     1.6707      2.46   0.046408   0.046785   0.047176   0.047570               16.82    14.32
Wells Fargo Finance LLC  95001HC41 10/31/19 11/01/24    100.000     0.250     2.3100      3.91   0.064167   0.064832   0.065500   0.066177  0.066861     23.30    23.78
Wells Fargo Finance LLC  95001HFH9 02/28/20 02/28/22    100.000     0.000     1.8710                        0.051971   0.052457   0.052948  0.053443     15.81    19.09
Wells Fargo Finance LLC  95001HFJ5 02/28/20 02/28/22    100.000     0.000     1.6007                        0.044464   0.044820   0.045178  0.045540     13.52    16.29
WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23    103.545     3.875     3.2387     81.21   0.092095   0.091844   0.091588   0.091328  0.091064     33.09    32.91
WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24    103.054     3.875     3.3896     84.70   0.096240   0.096047   0.095851   0.095651  0.095448     34.60    34.46
WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25    104.477     4.250     3.5381     89.57   0.101462   0.101168   0.100870   0.100566  0.100256     36.46    36.24
WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26    103.497     4.250     3.6875     92.58   0.105040   0.104800   0.104555   0.104306  0.104053     37.76    37.58
Will County, IL          968852TN3 03/15/07 10/01/25     34.635     0.000     5.8000    373.54   0.114325   0.117640   0.121052   0.124562  0.128174     42.36    44.85
Will County, IL          968852TP8 03/15/07 10/01/26     32.402     0.000     5.8498    353.65   0.108531   0.111705   0.114973   0.118336  0.121797     40.22    42.61
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000     7.3751    287.07   0.106755   0.110691   0.114773   0.119005  0.123394     39.86    42.86
Will CNTY SD #365, IL    969078QM9 03/17/09 11/01/27     23.731     0.000     7.8744    308.86   0.117917   0.122560   0.127385   0.132401  0.137614     43.85    47.38
Will CNTY SD #365, IL    969078QN7 03/17/09 11/01/28     21.864     0.000     7.8993    285.87   0.109263   0.113578   0.118064   0.122727  0.127574     40.64    43.91
Williamson Jackson , IL  970013EL8 11/20/14 12/01/20    102.500    VARIES     2.5464             0.071049   0.070892                                     23.42         
Williamson Jackson , IL  970013EM6 11/20/14 12/01/21    101.267    VARIES     2.7966             0.077989   0.077915   0.077839   0.077762               28.06    25.67
Williamson Jackson , IL  970013EN4 11/20/14 12/01/22    100.000    VARIES     2.9965             0.083246   0.083244   0.083243   0.083242  0.083240     29.97    29.97
WOODFORD & MARSHALL CNTY 979293BJ5 08/07/18 12/01/20    104.033     5.125     3.2629     48.09   0.092283   0.091466                                     30.31         
WOODFORD & MARSHALL CNTY 979293BK2 08/07/18 12/01/21    105.912     5.250     3.3227     49.87   0.095712   0.094880   0.094033   0.093173               34.26    30.88
WOODFORD & MARSHALL CNTY 979293BL0 08/07/18 12/01/22    106.949     5.250     3.4778     52.75   0.101443   0.100671   0.099886   0.099087  0.098274     36.33    35.77
WOODFORD & MARSHALL CNTY 979293BM8 08/07/18 12/01/23    109.113     5.500     3.5804     55.43   0.106513   0.105685   0.104842   0.103984  0.103110     38.15    37.54
WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24    110.347     5.500     3.6329     56.90   0.109459   0.108672   0.107871   0.107055  0.106225     39.22    38.64
WOODFORD CNTY ILL CMNTY  979336EU4 11/09/17 12/01/20    102.195     3.250     2.4925     54.56   0.069750   0.069494                                     22.97         
WOODFORD CNTY ILL CMNTY  979336EV2 11/09/17 12/01/21    101.907     3.250     2.7435     60.02   0.076956   0.076773   0.076588   0.076400               27.66    25.24
York County, PA          986812MF9 12/28/95 02/01/20     18.025     0.000     7.2396    813.93   0.194075                                                 5.82         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2020 1st   2020 2nd   2020 3rd   2021 2nd  2021 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/20      Period     Period    2021 1st    Period    Period      2020     2021 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000     7.2398    758.06   0.180756   0.187299   0.194079                          68.25     5.82
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000     7.2397    706.02   0.168345   0.174439   0.180754   0.187297  0.194076     63.56    68.25
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000     7.2398    657.55   0.156792   0.162468   0.168349   0.174443  0.180758     59.20    63.56
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000     7.2397    612.41   0.146026   0.151312   0.156789   0.162465  0.168346     55.14    59.20
York County, PA          986812QD0 12/28/95 02/01/20     18.025     0.000     7.2396    813.93   0.194075                                                 5.82         
York County, PA          986812RC1 12/28/95 02/01/20     18.025     0.000     7.2396    813.93   0.194075                                                 5.82         
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000     2.6250    348.49   0.068314   0.069211   0.070119   0.071039  0.071972     24.89    25.55
Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26    100.000    VARIES     8.7499             0.247121   0.247906   0.248726   0.249582  0.250475     89.36    89.98
ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26     96.122     3.650     4.2802      5.34   0.013293   0.013578   0.013868   0.014165  0.014468      4.92     5.14
ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36     93.636     4.700     5.2667      2.67   0.006676   0.006852   0.007033   0.007218  0.007408      2.49     2.62
Caesars Entertainment    U1229TAB2 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
Caesars Entertainment    U1229TAC0 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
Caesars Entertainment    U1229TAD8 02/15/13 02/15/20     97.500     9.000     9.4970     24.42   0.013181                                                 0.58         
Cheriere Energy, Inc.    U16344AB6 11/28/14 05/28/21    100.000     0.000     4.8750             0.172291   0.176490   0.181600                          63.24    26.51
CHESAPEAKE ENERGY CORP   U16450AZ8 12/19/19 01/01/25^    94.912    11.500    12.9059      0.25   0.020812   0.022245   0.023680   0.025209                7.75^    8.80
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300     4.9136      7.19   0.005447   0.005581   0.005718   0.005858  0.006002      2.00     2.10
Kansas City Southern     U24468AE7 12/09/15 05/15/20     97.300     2.350     3.0050     24.60   0.017925                                                 2.40         
Kansas City Southern     U24468AF4 12/09/15 05/15/23     95.360     3.000     3.7202     23.78   0.017584   0.017911   0.018245   0.018584  0.018930      6.42     6.66
Eclipse Resources Corp.  U2779QAA2 07/06/15 07/15/23     97.903     8.875     9.2509      9.84   0.007273   0.007609   0.007961   0.008329  0.008714      2.79     3.06
HOUGHTON MIFFLIN HARCOUR U44150AA5 11/22/19 02/15/25     98.000     9.000     9.4937      0.33   0.008441   0.008626   0.009035   0.009464  0.009913      3.15     3.45
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000    13.8062    331.77   0.187295   0.200224   0.214046   0.228822               71.36    66.87
Hovnanian Enterprises    U48654AN4 11/01/11 11/01/21     42.000     2.000    12.1926             0.279007   0.292629   0.307082   0.322415              104.58    94.88
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31**  100.000     3.500        N/A             1.026157   1.070282   1.116502   1.164918  1.215633    392.36** 427.11
MOOD MEDIA BORROWER LLC  U55360AB4 06/28/19 12/31/23     84.250    VARIES    20.4523     88.12   0.528402   0.582437   0.641998   0.707649  0.780014    200.06   243.07
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
    ^  Issuer filed for bankruptcy on 6/28/2020.                                                                                                                       
                                                                                                                                                                       


SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2020 1st   2020 2nd   2020 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/20     Period     Period     Period         2020     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98   04/15/28     100.000       3.625      591.11     0.056190   0.039508   0.072821       18.81
U.S. Treasury        912810FH6   04/15/99   04/15/29     100.000       3.875      565.43     0.055333   0.038852   0.071538       18.50
U.S. Treasury        912810FQ6   10/15/01   04/15/32     100.000       3.375      449.84     0.051238   0.035956   0.066282       17.13
U.S. Treasury        912810FR4   07/15/04   01/15/25     100.000       2.375      365.25    -0.023571  -0.025989   0.124706       16.14
U.S. Treasury        912810FS2   01/15/06   01/15/26     100.000       2.000      296.60    -0.022143  -0.024725   0.118471       15.33
U.S. Treasury        912810PS1   01/15/07   01/15/27     100.000       2.375      276.11    -0.022143  -0.024286   0.116529       15.08
U.S. Treasury        912810PV4   01/15/08   01/15/28     100.000       1.750      228.40    -0.020714  -0.023407   0.112176       14.52
U.S. Treasury        912810PZ5   01/15/09   01/15/29     100.000       2.500      198.63    -0.020714  -0.022802   0.109471       14.17
U.S. Treasury        912810QF8   02/15/10   02/15/40     100.000       2.125      190.65    -0.025778  -0.001758   0.111871       14.07
U.S. Treasury        912810QP6   02/15/11   02/15/41     100.000       2.125      175.14    -0.025333  -0.001703   0.110432       13.90
U.S. Treasury        912810QV3   02/15/12   02/15/42     100.000       0.750      138.90    -0.024667  -0.001648   0.106978       13.46
U.S. Treasury        912810RA8   02/15/13   02/15/43     100.000       0.625      119.33    -0.024222  -0.001648   0.105180       13.23
U.S. Treasury        912810RF7   02/15/14   02/15/44     100.000       1.375      104.21    -0.024000  -0.001593   0.103741       13.05
U.S. Treasury        912810RL4   02/15/15   02/15/45     100.000       0.750       92.85    -0.023778  -0.001538   0.102662       12.92
U.S. Treasury        912810RR1   02/15/16   02/15/46     100.000       1.000       86.10    -0.023556  -0.001538   0.102014       12.84
U.S. Treasury        912810RW0   02/15/17   02/15/47     100.000       0.875       66.09    -0.023111  -0.001538   0.100144       12.60
U.S. Treasury        912810SB5   02/15/18   02/15/48     100.000       1.000       43.59    -0.022667  -0.001484   0.098058       12.34
U.S. Treasury        912810SG4   02/15/19   02/15/49     100.000       1.000       22.69    -0.022000  -0.001484   0.096043       12.09
U.S. Treasury        912810SM1   02/15/20   02/15/50     100.000       0.250                           -0.001429   0.094029       12.81
U.S. Treasury        9128282L3   07/15/17   07/15/27     100.000       0.375       52.03    -0.017857  -0.020055   0.096118       12.44
U.S. Treasury        9128283R9   01/15/18   01/15/28     100.000       0.500       43.30    -0.017857  -0.019890   0.095294       12.33
U.S. Treasury        9128284H0   04/15/18   04/15/23     100.000       0.625       36.05     0.036571   0.025738   0.047436       12.25
U.S. Treasury        9128285W6   01/15/19   01/15/29     100.000       0.875       19.18    -0.017143  -0.019451   0.093118       12.05
U.S. Treasury        9128286N5   04/15/19   04/15/24     100.000       0.500       20.37     0.036095   0.025301   0.046667       12.06
U.S. Treasury        9128287D6   07/15/19   07/15/29     100.000       0.250        6.07    -0.017143  -0.019176   0.091882       11.89
U.S. Treasury        912828B25   01/15/14   01/15/24     100.000       0.625      102.92    -0.018571  -0.021044   0.100765       13.04
U.S. Treasury        912828H45   01/15/15   01/15/25     100.000       0.250       86.52    -0.019286  -0.020659   0.099235       12.84
U.S. Treasury        912828K33   04/15/15   04/15/20     100.000       0.125       98.92     0.038857                              4.08
U.S. Treasury        912828MF4   01/15/10   01/15/20     100.000       1.375      190.06    -0.020714                             -0.29
U.S. Treasury        912828N71   01/15/16   01/15/26     100.000       0.625       83.05    -0.018571  -0.020604   0.098941       12.81
U.S. Treasury        912828NM8   07/15/10   07/15/20     100.000       1.250      180.02    -0.020000  -0.022473                  -4.37
U.S. Treasury        912828PP9   01/15/11   01/15/21     100.000       1.125      176.43    -0.020714  -0.022418   0.107471       13.90
U.S. Treasury        912828Q60   04/15/16   04/15/21     100.000       0.125       85.82     0.038381   0.026940   0.049615       12.83
U.S. Treasury        912828QV5   07/15/11   07/15/21     100.000       0.625      141.81    -0.019286  -0.021758   0.104294       13.50
U.S. Treasury        912828S50   07/15/16   07/15/26     100.000       0.125       73.61    -0.018571  -0.020440   0.098059       12.69
U.S. Treasury        912828SA9   01/15/12   01/15/22     100.000       0.125      137.02    -0.020000  -0.021648   0.103882       13.44
U.S. Treasury        912828TE0   07/15/12   07/15/22     100.000       0.125      119.08    -0.020000  -0.021319   0.102235       13.22
U.S. Treasury        912828UH1   01/15/13   01/15/23     100.000       0.125      114.91    -0.019286  -0.021264   0.101882       13.18
U.S. Treasury        912828V49   01/15/17   01/15/27     100.000       0.375       65.35    -0.017857  -0.020330   0.097353       12.60
U.S. Treasury        912828VM9   07/15/13   07/15/23     100.000       0.375      105.83    -0.019286  -0.021044   0.101000       13.07



SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2020 1st   2020 2nd   2020 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/20     Period     Period     Period         2020     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912828WU0   07/15/14   07/15/24     100.000       0.125       83.81    -0.018571  -0.020659   0.099000       12.81
U.S. Treasury        912828X39   04/15/17   04/15/22     100.000       0.125       58.19     0.037333   0.026284   0.048333       12.50
U.S. Treasury        912828XL9   07/15/15   07/15/25     100.000       0.375       85.19    -0.018571  -0.020714   0.099176       12.83
U.S. Treasury        912828Y38   07/15/18   07/15/28     100.000       0.750       25.22    -0.017857  -0.019560   0.093647       12.11
U.S. Treasury        912828YL8   10/15/19   10/15/24     100.000       0.125        3.04     0.035524   0.024863   0.045897       11.86
U.S. Treasury        912828Z37   01/15/20   01/15/30     100.000       0.125                           -0.019066   0.091412       12.07
U.S. Treasury        912828ZJ2   04/15/20   04/15/25     100.000       0.125                            0.024754   0.045513        8.08
U.S. Treasury        912828ZZ6   07/15/20   07/15/30     100.000       0.125                                       0.091706       15.59
U.S. Treasury        91282CAQ4   10/15/20   10/15/25     100.000       0.125                                       0.045385        3.54



                                       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 2020).

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/20    03/31/20       3.84          07/01/30    09/30/30      16.01
     04/01/20    06/30/20       7.94          10/01/30    12/31/30      16.00
     07/01/20    09/30/20      11.87          01/01/31    03/31/31      15.92
     10/01/20    12/31/20      15.71          04/01/31    06/30/31      15.91
     01/01/21    03/31/21      15.65          07/01/31    09/30/31      15.90
     04/01/21    06/30/21      15.49          10/01/31    12/31/31      15.88
     07/01/21    09/30/21      15.43          01/01/32    03/31/32      15.87
     10/01/21    12/31/21      15.37          04/01/32    06/30/32      15.79
     01/01/22    03/31/22      15.41          07/01/32    09/30/32      15.77
     04/01/22    06/30/22      15.44          10/01/32    12/31/32      15.76
     07/01/22    09/30/22      15.47          01/01/33    03/31/33      15.74
     10/01/22    12/31/22      15.50          04/01/33    06/30/33      15.72
     01/01/23    03/31/23      15.44          07/01/33    09/30/33      15.71
     04/01/23    06/30/23      15.47          10/01/33    12/31/33      15.62
     07/01/23    09/30/23      15.50          01/01/34    03/31/34      15.60
     10/01/23    12/31/23      15.53          04/01/34    06/30/34      15.58
     01/01/24    03/31/24      15.55          07/01/34    09/30/34      15.56
     04/01/24    06/30/24      15.58          10/01/34    12/31/34      15.53
     07/01/24    09/30/24      15.60          01/01/35    03/31/35      15.45
     10/01/24    12/31/24      15.62          04/01/35    06/30/35      15.43
     01/01/25    03/31/25      15.64          07/01/35    09/30/35      15.40
     04/01/25    06/30/25      15.75          10/01/35    12/31/35      15.37
     07/01/25    09/30/25      15.86          01/01/36    03/31/36      15.34
     10/01/25    12/31/25      15.96          04/01/36    06/30/36      15.26
     01/01/26    03/31/26      16.06          07/01/36    09/30/36      15.23
     04/01/26    06/30/26      16.15          10/01/36    12/31/36      15.20
     07/01/26    09/30/26      16.24          01/01/37    03/31/37      15.17
     10/01/26    12/31/26      16.25          04/01/37    06/30/37      15.14
     01/01/27    03/31/27      16.26          07/01/37    09/30/37      15.05
     04/01/27    06/30/27      16.26          10/01/37    12/31/37      15.02
     07/01/27    09/30/27      16.18          01/01/38    03/31/38      14.98
     10/01/27    12/31/27      16.19          04/01/38    06/30/38      14.95
     01/01/28    03/31/28      16.19          07/01/38    09/30/38      14.91
     04/01/28    06/30/28      16.19          10/01/38    12/31/38      14.83
     07/01/28    09/30/28      16.19          01/01/39    03/31/39      14.79
     10/01/28    12/31/28      16.11          04/01/39    06/30/39      14.75
     01/01/29    03/31/29      16.11          07/01/39    09/30/39      14.71
     04/01/29    06/30/29      16.11          10/01/39    12/31/39      14.67
     07/01/29    09/30/29      16.10          01/01/40    03/31/40      14.58
     10/01/29    12/31/29      16.02          04/01/40    06/30/40      14.54
     01/01/30    03/31/30      16.02          07/01/40    09/30/40      14.50
     04/01/30    06/30/30      16.01          10/01/40    12/31/40      14.41





                                    Section II
                                   (continued)

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/41    03/31/41      14.37          01/01/51    03/31/51      11.54
     04/01/41    06/30/41      14.32          04/01/51    06/30/51      11.46
     07/01/41    09/30/41      14.28          07/01/51    09/30/51      11.39
     10/01/41    12/31/41      14.19          10/01/51    12/31/51      11.32
     01/01/42    03/31/42      14.15          01/01/52    03/31/52      11.25
     04/01/42    06/30/42      14.06          04/01/52    06/30/52      11.19
     07/01/42    09/30/42      14.01          07/01/52    09/30/52      11.12
     10/01/42    12/31/42      13.96          10/01/52    12/31/52      11.05
     01/01/43    03/31/43      13.88          01/01/53    03/31/53      10.98
     04/01/43    06/30/43      13.83          04/01/53    06/30/53      10.91
     07/01/43    09/30/43      13.74          07/01/53    09/30/53      10.85
     10/01/43    12/31/43      13.69          10/01/53    12/31/53      10.78
     01/01/44    03/31/44      13.61          01/01/54    03/31/54      10.71
     04/01/44    06/30/44      13.53          04/01/54    06/30/54      10.65
     07/01/44    09/30/44      13.47          07/01/54    09/30/54      10.58
     10/01/44    12/31/44      13.39          10/01/54    12/31/54      10.52
     01/01/45    03/31/45      13.34          01/01/55    03/31/55      10.45
     04/01/45    06/30/45      13.26          04/01/55    06/30/55      10.39
     07/01/45    09/30/45      13.17          07/01/55    09/30/55      10.33
     10/01/45    12/31/45      13.09          10/01/55    12/31/55      10.26
     01/01/46    03/31/46      13.04          01/01/56    03/31/56      10.20
     04/01/46    06/30/46      12.96          04/01/56    06/30/56      10.14
     07/01/46    09/30/46      12.88          07/01/56    09/30/56      10.08
     10/01/46    12/31/46      12.80          10/01/56    12/31/56      10.01
     01/01/47    03/31/47      12.72          01/01/57    03/31/57       9.95
     04/01/47    06/30/47      12.64          04/01/57    06/30/57       9.89
     07/01/47    09/30/47      12.59          07/01/57    09/30/57       9.83
     10/01/47    12/31/47      12.51          10/01/57    12/31/57       9.77
     01/01/48    03/31/48      12.43          01/01/58    03/31/58       9.71
     04/01/48    06/30/48      12.35          04/01/58    06/30/58       9.65
     07/01/48    09/30/48      12.27          07/01/58    09/30/58       9.59
     10/01/48    12/31/48      12.20          10/01/58    12/31/58       9.54
     01/01/49    03/31/49      12.12          01/01/59    03/31/59       9.48
     04/01/49    06/30/49      12.05          04/01/59    06/30/59       9.42
     07/01/49    09/30/49      11.97          07/01/59    09/30/59       9.36
     10/01/49    12/31/49      11.90          10/01/59    12/31/59       9.31
     01/01/50    03/31/50      11.83          01/01/60    03/31/60       9.25
     04/01/50    06/30/50      11.75          04/01/60    06/30/60       9.19
     07/01/50    09/30/50      11.68          07/01/60    09/30/60       9.14
     10/01/50    12/31/50      11.61          10/01/60    12/31/60       9.08


       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 2020,
    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 2020 - December 2021

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796RT8  01/02/20  01/03/19      97.427                25.73
912796WM7  01/07/20  11/12/19      99.762                 2.38
912796TA7  01/09/20  07/11/19      98.951                10.49
912796WN5  01/14/20  11/19/19      99.764                 2.36
912796TB5  01/16/20  07/18/19      98.984                10.16
912796WP0  01/21/20  11/26/19      99.760                 2.40
912796TC3  01/23/20  07/25/19      98.984                10.16
912796WQ8  01/28/20  12/03/19      99.756                 2.44
912796RY7  01/30/20  01/31/19      97.457                25.43
912796WR6  02/04/20  12/10/19      99.764                 2.36
912796TE9  02/06/20  08/08/19      99.014                 9.86
912796WS4  02/11/20  12/17/19      99.760                 2.40
912796TF6  02/13/20  08/15/19      99.045                 9.55
912796WT2  02/18/20  12/24/19      99.758                 2.42
912796TG4  02/20/20  08/22/19      99.070                 9.30
912796WU9  02/25/20  12/31/19      99.757                 2.43
912796SD2  02/27/20  02/28/19      97.503                24.97
912796WV7  03/03/20  01/07/20      99.764                 2.36
912796TH2  03/05/20  09/05/19      99.077                 9.23
912796XA2  03/10/20  01/14/20      99.764                 2.36
912796TK5  03/12/20  09/12/19      99.077                 9.23
912796XB0  03/17/20  01/21/20      99.762                 2.38
912796TL3  03/19/20  09/19/19      99.055                 9.45
912796XC8  03/24/20  01/28/20      99.760                 2.40
912796SH3  03/26/20  03/28/19      97.614                23.86
912796XD6  03/31/20  02/04/20      99.759                 2.41
912796TM1  04/02/20  10/03/19      99.093                 9.07
9127962A6  04/07/20  02/11/20      99.759                 2.41
912796TQ2  04/09/20  10/10/19      99.146                 8.54
9127962B4  04/14/20  02/18/20      99.757                 2.43
912796TR0  04/16/20  10/17/19      99.181                 8.19
9127962C2  04/21/20  02/25/20      99.756                 2.44
912796SM2  04/23/20  04/25/19      97.614                23.86
9127962D0  04/28/20  03/03/20      99.767                 2.33
912796TS8  04/30/20  10/31/19      99.186                 8.14
9127962K4  05/05/20  03/10/20      99.872                 1.28
912796TT6  05/07/20  11/07/19      99.224                 7.76
9127962L2  05/12/20  03/17/20      99.955                 0.45
912796TV1  05/14/20  11/14/19      99.216                 7.84
9127962M0  05/19/20  03/24/20      99.995                 0.05
912796SR1  05/21/20  05/23/19      97.695                23.05
912796TW9  05/28/20  11/29/19      99.206                 7.94
9127962P3  06/02/20  04/07/20      99.985                 0.15
912796TX7  06/04/20  12/05/19      99.209                 7.91
9127962U2  06/09/20  04/01/20      99.987                 0.13
912796TZ2  06/11/20  12/12/19      99.232                 7.68
9127962V0  06/16/20  04/08/20      99.974                 0.26




                               Section III-A
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796SV2  06/18/20  06/20/19      97.993                20.07
9127962W8  06/23/20  04/15/20      99.948                 0.52
912796UA5  06/25/20  12/26/19      99.206                 7.94
9127962X6  06/30/20  05/05/20      99.985                 0.15
912796UB3  07/02/20  01/02/20      99.211                 7.89
9127963C1  07/07/20  05/12/20      99.983                 0.17
912796WW5  07/09/20  01/09/20      99.232                 7.68
9127963D9  07/14/20  04/03/20      99.965                 0.35
912796SZ3  07/16/20  07/18/19      98.064                19.36
9127963F4  07/21/20  04/09/20      99.943                 0.57
912796WX3  07/23/20  01/23/20      99.232                 7.68
9127963G2  07/28/20  04/16/20      99.953                 0.47
912796WY1  07/30/20  01/30/20      99.224                 7.76
9127963M9  08/04/20  04/23/20      99.970                 0.30
912796WZ8  08/06/20  02/06/20      99.232                 7.68
9127963N7  08/11/20  04/30/20      99.967                 0.33
912796TD1  08/13/20  08/15/19      98.180                18.20
9127963P2  08/18/20  05/05/20      99.966                 0.34
912796XF1  08/20/20  02/20/20      99.237                 7.63
9127963Q0  08/25/20  05/12/20      99.964                 0.36
912796XG9  08/27/20  02/27/20      99.272                 7.28
9127963R8  09/01/20  05/19/20      99.959                 0.41
912796XH7  09/03/20  03/05/20      99.489                 5.11
9127963X5  09/08/20  04/07/20      99.936                 0.64
912796TJ8  09/10/20  09/12/19      98.241                17.59
9127963Y3  09/15/20  04/14/20      99.893                 1.07
9127962G3  09/17/20  03/19/20      99.848                 1.52
9127963Z0  09/22/20  04/21/20      99.919                 0.81
9127962H1  09/24/20  03/26/20      99.960                 0.40
9127964A4  09/29/20  04/28/20      99.942                 0.58
9127962J7  10/01/20  04/02/20      99.949                 0.51
9127964G1  10/06/20  05/05/20      99.940                 0.60
912796TN9  10/08/20  10/10/19      98.382                16.18
9127964H9  10/13/20  05/12/20      99.936                 0.64
9127962R9  10/15/20  04/16/20      99.853                 1.47
9127964J5  10/20/20  05/19/20      99.934                 0.66
9127962S7  10/22/20  04/23/20      99.927                 0.73
9127964K2  10/27/20  05/26/20      99.936                 0.64
9127962T5  10/29/20  04/30/20      99.924                 0.76
9127964Q9  11/03/20  06/02/20      99.927                 0.73
912796TP4  11/05/20  11/07/19      98.418                15.82
9127964R7  11/10/20  06/09/20      99.923                 0.77
9127962Z1  11/12/20  05/14/20      99.922                 0.78
9127964S5  11/17/20  06/16/20      99.919                 0.81
9127963A5  11/19/20  05/21/20      99.924                 0.76
9127964T3  11/24/20  06/23/20      99.921                 0.79
9127963B3  11/27/20  05/28/20      99.919                 0.81




                               Section III-A
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
9127964U0  12/01/20  06/30/20      99.929                 0.71
912796TU3  12/03/20  12/05/19      98.458                15.42
9127965B1  12/08/20  07/07/20      99.934                 0.66
9127963J6  12/10/20  06/11/20      99.906                 0.94
9127965C9  12/15/20  07/14/20      99.934                 0.66
9127963K3  12/17/20  06/18/20      99.906                 0.94
9127965D7  12/22/20  07/21/20      99.938                 0.62
9127963L1  12/24/20  06/25/20      99.912                 0.88
9127965F2  12/29/20  07/28/20      99.942                 0.58
912796TY5  12/31/20  01/02/20      98.433                15.67





                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796A58  01/05/21  08/04/20      99.953                 0.47
9127963T4  01/07/21  07/09/20      99.917                 0.83
912796A66  01/12/21  08/11/20      99.953                 0.47
9127963U1  01/14/21  07/16/20      99.927                 0.73
912796A74  01/19/21  08/18/20      99.949                 0.51
9127963V9  01/21/21  07/23/20      99.934                 0.66
912796A82  01/26/21  08/25/20      99.951                 0.49
912796UC1  01/28/21  01/30/20      98.493                15.07
912796B65  02/02/21  09/01/20      99.953                 0.47
9127963W7  02/04/21  08/06/20      99.947                 0.53
912796B73  02/09/21  09/08/20      99.949                 0.51
9127964C0  02/11/21  08/13/20      99.939                 0.61
912796B81  02/16/21  09/15/20      99.949                 0.51
9127964D8  02/18/21  08/20/20      99.939                 0.61
912796B99  02/23/21  09/22/20      99.953                 0.47
912796XE4  02/25/21  02/27/20      98.716                12.84
912796C23  03/02/21  09/29/20      99.957                 0.43
9127964F3  03/04/21  09/03/20      99.942                 0.58
912796C72  03/09/21  10/06/20      99.955                 0.45
9127964M8  03/11/21  09/10/20      99.937                 0.63
912796C80  03/16/21  10/13/20      99.953                 0.47
9127964N6  03/18/21  09/17/20      99.939                 0.61
912796C98  03/23/21  10/20/20      99.949                 0.51
9127962F5  03/25/21  03/26/20      99.737                 2.63
912796D22  03/30/21  10/27/20      99.951                 0.49
9127964P1  04/01/21  10/01/20      99.947                 0.53
912796D71  04/06/21  11/03/20      99.955                 0.45
9127964X4  04/08/21  10/08/20      99.944                 0.56
912796D89  04/13/21  11/10/20      99.955                 0.45
9127964Y2  04/15/21  10/15/20      99.942                 0.58
912796D97  04/20/21  11/17/20      99.957                 0.43
9127962Q1  04/22/21  04/23/20      99.833                 1.67
912796F20  04/27/21  11/24/20      99.962                 0.38
9127964Z9  04/29/21  10/29/20      99.944                 0.56
912796F79  05/04/21  12/01/20      99.962                 0.38
9127965A3  05/06/21  11/05/20      99.944                 0.56
912796F87  05/11/21  12/08/20      99.962                 0.38
912796A25  05/13/21  11/12/20      99.944                 0.56
912796F95  05/18/21  12/15/20      99.962                 0.38
9127962Y4  05/20/21  05/21/20      99.838                 1.62
912796G29  05/25/21  12/22/20      99.962                 0.38
912796A33  05/27/21  11/27/20      99.955                 0.45




                               Section III-B

                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2020

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384RG6  01/02/20  01/07/19      97.540                24.60
313384RH4  01/03/20  01/03/19      97.455                25.45
313384RL5  01/06/20  07/15/19      99.013                 9.87
313384RM3  01/07/20  04/05/19      98.200                18.00
313384RN1  01/08/20  05/17/19      98.512                14.88
313384RP6  01/09/20  07/16/19      99.004                 9.96
313384RQ4  01/10/20  01/10/19      97.410                25.90
313384RT8  01/13/20  06/24/19      98.951                10.49
313384RU5  01/14/20  02/07/19      97.698                23.02
313384RV3  01/15/20  02/04/19      97.690                23.10
313384RW1  01/16/20  03/29/19      98.096                19.04
313384RX9  01/17/20  02/14/19      97.753                22.47
313384SB6  01/21/20  02/26/19      97.779                22.21
313384SC4  01/22/20  01/23/19      97.417                25.83
313384SD2  01/23/20  10/01/19      99.417                 5.83
313384SE0  01/24/20  01/25/19      97.422                25.78
313384SH3  01/27/20  04/25/19      98.184                18.16
313384SJ9  01/28/20  04/26/19      98.184                18.16
313384SK6  01/29/20  01/29/19      97.415                25.85
313384SL4  01/30/20  05/22/19      98.412                15.88
313384SM2  01/31/20  02/15/19      97.667                23.33
313384SQ3  02/03/20  07/16/19      98.906                10.94
313384SR1  02/04/20  07/16/19      98.900                11.00
313384SS9  02/05/20  04/12/19      98.048                19.52
313384ST7  02/06/20  04/02/19      97.985                20.15
313384SU4  02/07/20  08/06/19      98.993                10.07
313384SX8  02/10/20  02/20/19      97.554                24.46
313384SY6  02/11/20  08/16/19      99.105                 8.95
313384SZ3  02/12/20  03/27/19      97.898                21.02
313384TA7  02/13/20  03/29/19      97.914                20.86
313384TB5  02/14/20  02/14/19      97.486                25.14
313384TF6  02/18/20  03/05/19      97.638                23.62
313384TG4  02/19/20  09/23/19      99.222                 7.78
313384TH2  02/20/20  02/21/19      97.487                25.13
313384TJ8  02/21/20  02/26/19      97.570                24.30
313384TM1  02/24/20  10/18/19      99.441                 5.59
313384TN9  02/25/20  06/25/19      98.680                13.20
313384TP4  02/26/20  08/28/19      99.075                 9.25
313384TQ2  02/27/20  10/28/19      99.458                 5.42
313384TR0  02/28/20  02/28/19      97.475                25.25
313384TU3  03/02/20  03/12/19      97.548                24.52
313384TV1  03/03/20  11/26/19      99.567                 4.33
313384TW9  03/04/20  11/06/19      99.498                 5.02
313384TX7  03/05/20  04/16/19      97.876                21.24
313384TY5  03/06/20  03/12/19      97.520                24.80
313384UB3  03/09/20  03/12/19      97.499                25.01
313384UC1  03/10/20  03/13/19      97.560                24.40




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384UD9  03/11/20  03/11/19      97.480                25.20
313384UE7  03/12/20  03/29/19      97.732                22.68
313384UF4  03/13/20  03/14/19      97.506                24.94
313384UJ6  03/16/20  03/27/19      97.633                23.67
313384UK3  03/17/20  10/15/19      99.316                 6.84
313384UL1  03/18/20  03/18/19      97.494                25.06
313384UM9  03/19/20  04/12/19      97.768                22.33
313384UN7  03/20/20  03/21/19      97.567                24.33
313384UR8  03/23/20  03/29/19      97.660                23.40
313384US6  03/24/20  03/27/19      97.580                24.20
313384UT4  03/25/20  08/22/19      98.950                10.50
313384UU1  03/26/20  03/27/19      97.567                24.33
313384UV9  03/27/20  03/29/19      97.639                23.61
313384UY3  03/30/20  11/22/19      99.445                 5.55
313384UZ0  03/31/20  04/05/19      97.664                23.36
313384VA4  04/01/20  07/24/19      98.649                13.51
313384VB2  04/02/20  04/02/19      97.621                23.79
313384VC0  04/03/20  04/05/19      97.634                23.66
313384VF3  04/06/20  10/09/19      99.235                 7.65
313384VG1  04/07/20  10/15/19      99.198                 8.02
313384VH9  04/08/20  10/09/19      99.148                 8.52
313384VJ5  04/09/20  07/25/19      98.608                13.92
313384VN6  04/13/20  10/11/19      99.155                 8.45
313384VP1  04/14/20  12/16/19      99.483                 5.17
313384VQ9  04/15/20  04/16/19      97.612                23.88
313384VR7  04/16/20  04/16/19      97.601                23.99
313384VS5  04/17/20  10/18/19      99.191                 8.09
313384VV8  04/20/20  10/04/19      99.088                 9.12
313384VW6  04/21/20  11/06/19      99.295                 7.05
313384VX4  04/22/20  10/23/19      99.182                 8.18
313384VY2  04/23/20  04/23/19      97.585                24.15
313384VZ9  04/24/20  04/25/19      97.617                23.83
313384WC9  04/27/20  09/27/19      98.982                10.18
313384WD7  04/28/20  12/30/19      99.487                 5.13
313384WE5  04/29/20  10/30/19      99.186                 8.14
313384WF2  04/30/20  05/01/19      97.617                23.83
313384WG0  05/01/20  05/02/19      97.668                23.32
313384WK1  05/04/20  12/04/19      99.346                 6.54
313384WL9  05/05/20  11/13/19      99.265                 7.35
313384WM7  05/06/20  11/06/19      99.207                 7.93
313384WN5  05/07/20  12/03/19      99.328                 6.72
313384WP0  05/08/20  11/08/19      99.212                 7.88
313384WS4  05/11/20  06/12/19      98.144                18.56
313384WT2  05/12/20  10/25/19      99.133                 8.67
313384WU9  05/13/20  10/24/19      99.125                 8.75
313384WV7  05/14/20  10/30/19      99.146                 8.54
313384WW5  05/15/20  05/17/19      97.725                22.75




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384WZ8  05/18/20  10/24/19      99.103                 8.97
313384XA2  05/19/20  10/30/19      99.125                 8.75
313384XB0  05/20/20  10/30/19      99.120                 8.80
313384XC8  05/21/20  10/30/19      99.116                 8.84
313384XD6  05/22/20  10/30/19      99.112                 8.88
313384XH7  05/26/20  11/18/19      99.192                 8.07
313384XJ3  05/27/20  11/15/19      99.176                 8.24
313384XK0  05/28/20  11/21/19      99.197                 8.03
313384XL8  05/29/20  05/30/19      97.729                22.71
313384XP9  06/01/20  06/27/19      98.177                18.23
313384XQ7  06/02/20  11/27/19      99.164                 8.36
313384XR5  06/03/20  11/14/19      99.139                 8.61
313384XS3  06/04/20  12/18/19      99.270                 7.30
313384XT1  06/05/20  12/04/19      99.223                 7.77
313384XW4  06/08/20  12/10/19      99.241                 7.59
313384XX2  06/09/20  01/21/20      99.401                 5.99
313384XY0  06/10/20  12/11/19      99.212                 7.88
313384XZ7  06/11/20  11/18/19      99.119                 8.81
313384YA1  06/12/20  06/25/19      98.127                18.73
313384YD5  06/15/20  11/18/19      99.102                 8.98
313384YE3  06/16/20  11/14/19      99.086                 9.14
313384YF0  06/17/20  11/14/19      99.082                 9.18
313384YG8  06/18/20  06/19/19      97.977                20.23
313384YH6  06/19/20  06/20/19      97.952                20.48
313384YL7  06/22/20  11/15/19      99.065                 9.35
313384YM5  06/23/20  11/21/19      99.098                 9.02
313384YN3  06/24/20  11/22/19      99.098                 9.02
313384YP8  06/25/20  10/30/19      98.971                10.29
313384YQ6  06/26/20  10/29/19      98.976                10.24
313384YT0  06/29/20  12/31/19      99.231                 7.69
313384YU7  06/30/20  07/26/19      98.253                17.47
313384YV5  07/01/20  07/17/19      98.114                18.86
313384YW3  07/02/20  01/17/20      99.300                 7.00
313384ZA0  07/06/20  11/20/19      99.001                 9.99
313384ZB8  07/07/20  11/22/19      99.044                 9.56
313384ZC6  07/08/20  07/18/19      98.082                19.18
313384ZD4  07/09/20  11/15/19      98.993                10.07
313384ZE2  07/10/20  07/17/19      98.065                19.35
313384ZH5  07/13/20  01/09/20      99.220                 7.80
313384ZJ1  07/14/20  11/19/19      98.989                10.11
313384ZK8  07/15/20  11/15/19      98.967                10.33
313384ZL6  07/16/20  11/15/19      98.963                10.37
313384ZM4  07/17/20  01/17/20      99.211                 7.89
313384ZQ5  07/20/20  12/13/19      99.083                 9.17
313384ZR3  07/21/20  08/22/19      98.404                15.96
313384ZS1  07/22/20  07/23/19      98.063                19.37
313384ZT9  07/23/20  07/24/19      98.063                19.37




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384ZU6  07/24/20  07/24/19      98.048                19.52
313384ZX0  07/27/20  07/30/19      98.044                19.56
313384ZY8  07/28/20  12/02/19      98.991                10.09
313384ZZ5  07/29/20  12/04/19      98.995                10.05
313384A25  07/30/20  12/30/19      99.107                 8.93
313384A33  07/31/20  07/31/19      98.048                19.52
313384A66  08/03/20  08/20/19      98.333                16.67
313384A74  08/04/20  11/26/19      98.887                11.13
313384A82  08/05/20  08/05/19      98.221                17.79
313384A90  08/06/20  11/29/19      98.891                11.09
313384B24  08/07/20  12/11/19      99.000                10.00
313384B57  08/10/20  11/26/19      98.861                11.39
313384B65  08/11/20  12/24/19      99.038                 9.62
313384B73  08/12/20  02/12/20      99.221                 7.79
313384B81  08/13/20  11/27/19      98.851                11.49
313384B99  08/14/20  11/25/19      98.860                11.40
313384C49  08/17/20  12/23/19      99.008                 9.92
313384C56  08/18/20  12/23/19      99.004                 9.96
313384C64  08/19/20  08/23/19      98.270                17.30
313384C72  08/20/20  08/20/19      98.251                17.49
313384C80  08/21/20  12/31/19      98.986                10.14
313384D30  08/24/20  03/17/20      99.769                 2.31
313384D48  08/25/20  01/06/20      99.046                 9.54
313384D55  08/26/20  02/26/20      99.272                 7.28
313384D63  08/27/20  01/02/20      99.015                 9.85
313384D71  08/28/20  12/31/19      98.956                10.44
313384E21  08/31/20  12/31/19      98.943                10.57
313384E39  09/01/20  01/06/20      99.017                 9.83
313384E47  09/02/20  01/08/20      99.021                 9.79
313384E54  09/03/20  09/03/19      98.251                17.49
313384E62  09/04/20  01/10/20      99.022                 9.78
313384F20  09/08/20  01/17/20      99.014                 9.86
313384F38  09/09/20  02/21/20      99.168                 8.32
313384F46  09/10/20  02/19/20      99.161                 8.39
313384F53  09/11/20  02/19/20      99.157                 8.43
313384F87  09/14/20  11/26/19      98.714                12.86
313384F95  09/15/20  01/17/20      98.985                10.15
313384G29  09/16/20  02/20/20      99.135                 8.65
313384G37  09/17/20  01/23/20      98.995                10.05
313384G45  09/18/20  01/24/20      98.995                10.05
313384G78  09/21/20  09/23/19      98.160                18.40
313384G86  09/22/20  09/23/19      98.155                18.45
313384G94  09/23/20  09/23/19      98.150                18.50
313384H28  09/24/20  03/19/20      99.848                 1.52
313384H36  09/25/20  02/27/20      99.168                 8.32
313384H69  09/28/20  01/21/20      98.947                10.53
313384H77  09/29/20  02/19/20      99.102                 8.98




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384H85  09/30/20  03/16/20      99.714                 2.86
313384H93  10/01/20  12/13/19      98.771                12.29
313384J26  10/02/20  12/13/19      98.767                12.33
313384J59  10/05/20  12/16/19      98.767                12.33
313384J67  10/06/20  03/23/20      99.841                 1.59
313384J75  10/07/20  04/08/20      99.902                 0.98
313384J83  10/08/20  12/30/19      98.782                12.18
313384J91  10/09/20  03/17/20      99.702                 2.98
313384K57  10/13/20  03/30/20      99.962                 0.38
313384K65  10/14/20  03/18/20      99.697                 3.03
313384K73  10/15/20  03/13/20      99.760                 2.40
313384K81  10/16/20  01/24/20      98.884                11.16
313384L31  10/19/20  01/21/20      98.859                11.41
313384L49  10/20/20  03/16/20      99.685                 3.15
313384L56  10/21/20  10/22/19      98.439                15.61
313384L64  10/22/20  12/31/19      98.726                12.74
313384L72  10/23/20  03/24/20      99.823                 1.77
313384M22  10/26/20  03/23/20      99.819                 1.81
313384M30  10/27/20  02/13/20      98.943                10.57
313384M48  10/28/20  02/24/20      99.005                 9.95
313384M55  10/29/20  12/30/19      98.691                13.09
313384M63  10/30/20  12/31/19      98.691                13.09
313384M97  11/02/20  03/19/20      99.671                 3.29
313384N21  11/03/20  04/14/20      99.859                 1.41
313384N39  11/04/20  04/14/20      99.858                 1.42
313384N47  11/05/20  03/24/20      99.787                 2.13
313384N54  11/06/20  04/06/20      99.881                 1.19
313384N88  11/09/20  03/18/20      99.659                 3.41
313384N96  11/10/20  04/07/20      99.885                 1.15
313384P37  11/12/20  03/17/20      99.653                 3.47
313384P45  11/13/20  12/05/19      98.514                14.86
313384P78  11/16/20  03/24/20      99.803                 1.97
313384P86  11/17/20  03/23/20      99.801                 1.99
313384P94  11/18/20  11/18/19      98.409                15.91
313384Q28  11/19/20  11/19/19      98.414                15.86
313384Q36  11/20/20  11/21/19      98.418                15.82
313384Q69  11/23/20  02/24/20      98.900                11.00
313384Q77  11/24/20  02/21/20      98.884                11.16
313384Q85  11/25/20  03/23/20      99.780                 2.20
313384R27  11/27/20  11/27/19      98.399                16.01
313384R50  11/30/20  02/20/20      98.856                11.44
313384R68  12/01/20  02/20/20      98.852                11.48
313384R76  12/02/20  02/20/20      98.848                11.52
313384R84  12/03/20  12/23/19      98.520                14.80
313384R92  12/04/20  03/06/20      99.469                 5.31
313384S42  12/07/20  03/09/20      99.560                 4.40
313384S59  12/08/20  04/07/20      99.878                 1.22




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313384S67  12/09/20  12/16/19      98.504                14.96
313384S75  12/10/20  07/08/20      99.940                 0.60
313384S83  12/11/20  03/17/20      99.611                 3.89
313384T33  12/14/20  12/16/19      98.483                15.17
313384T41  12/15/20  12/26/19      98.481                15.19
313384T58  12/16/20  03/19/20      99.796                 2.04
313384T66  12/17/20  03/16/20      99.601                 3.99
313384T74  12/18/20  03/13/20      99.627                 3.73
313384U23  12/21/20  03/20/20      99.739                 2.61
313384U31  12/22/20  03/31/20      99.926                 0.74
313384U49  12/23/20  03/23/20      99.740                 2.60
313384U56  12/24/20  03/24/20      99.733                 2.67
313384U98  12/28/20  03/24/20      99.729                 2.71
313384V22  12/29/20  03/25/20      99.737                 2.64
313384V30  12/30/20  03/23/20      99.734                 2.66
313384V48  12/31/20  02/07/20      98.693                13.07




                               Section III-C

                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2020

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588RG2  01/02/20  07/01/19      98.958                10.42
313588RH0  01/03/20  10/23/19      99.678                 3.22
313588RL1  01/06/20  10/28/19      99.681                 3.19
313588RM9  01/07/20  11/22/19      99.808                 1.92
313588RN7  01/08/20  10/09/19      99.582                 4.18
313588RP2  01/09/20  10/24/19      99.658                 3.42
313588RQ0  01/10/20  10/24/19      99.653                 3.47
313588RT4  01/13/20  01/10/20      99.988                 0.12
313588RU1  01/14/20  11/07/19      99.711                 2.89
313588RV9  01/15/20  10/16/19      99.583                 4.17
313588RW7  01/16/20  11/01/19      99.683                 3.17
313588RX5  01/17/20  10/30/19      99.645                 3.56
313588SB2  01/21/20  11/05/19      99.681                 3.19
313588SC0  01/22/20  10/23/19      99.591                 4.09
313588SD8  01/23/20  11/06/19      99.677                 3.23
313588SE6  01/24/20  11/12/19      99.690                 3.10
313588SH9  01/27/20  12/02/19      99.756                 2.44
313588SJ5  01/28/20  01/27/20      99.996                 0.04
313588SK2  01/29/20  10/30/19      99.598                 4.02
313588SL0  01/30/20  11/20/19      99.704                 2.96
313588SM8  01/31/20  12/20/19      99.823                 1.77
313588SQ9  02/03/20  08/01/19      98.927                10.73
313588SR7  02/04/20  11/18/19      99.675                 3.25
313588SS5  02/05/20  11/06/19      99.614                 3.86
313588ST3  02/06/20  11/18/19      99.667                 3.33
313588SU0  02/07/20  11/22/19      99.679                 3.21
313588SX4  02/10/20  12/17/19      99.767                 2.33
313588SY2  02/11/20  02/10/20      99.996                 0.04
313588SZ9  02/12/20  11/27/19      99.668                 3.32
313588TA3  02/13/20  11/26/19      99.662                 3.38
313588TB1  02/14/20  11/27/19      99.660                 3.40
313588TF2  02/18/20  12/03/19      99.665                 3.35
313588TG0  02/19/20  12/03/19      99.661                 3.39
313588TH8  02/20/20  12/03/19      99.657                 3.43
313588TJ4  02/21/20  12/27/19      99.762                 2.38
313588TM7  02/24/20  12/02/19      99.634                 3.66
313588TN5  02/25/20  01/02/20      99.778                 2.22
313588TP0  02/26/20  11/27/19      99.597                 4.03
313588TQ8  02/27/20  12/11/19      99.675                 3.25
313588TR6  02/28/20  12/16/19      99.683                 3.17
313588TU9  03/02/20  12/13/19      99.657                 3.43
313588TV7  03/03/20  12/13/19      99.652                 3.48
313588TW5  03/04/20  12/04/19      99.607                 3.93
313588TX3  03/05/20  12/12/19      99.640                 3.61
313588TY1  03/06/20  12/11/19      99.642                 3.58
313588UB9  03/09/20  12/12/19      99.622                 3.78
313588UC7  03/10/20  12/13/19      99.622                 3.78




                               Section III-C
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588UD5  03/11/20  12/27/19      99.679                 3.21
313588UE3  03/12/20  12/12/19      99.609                 3.91
313588UF0  03/13/20  01/15/20      99.754                 2.46
313588UJ2  03/16/20  12/16/19      99.609                 3.91
313588UK9  03/17/20  01/22/20      99.769                 2.31
313588UL7  03/18/20  02/07/20      99.829                 1.71
313588UM5  03/19/20  12/18/19      99.604                 3.96
313588UN3  03/20/20  02/04/20      99.808                 1.92
313588UR4  03/23/20  01/07/20      99.685                 3.15
313588US2  03/24/20  12/27/19      99.624                 3.76
313588UT0  03/25/20  02/03/20      99.786                 2.14
313588UU7  03/26/20  01/29/20      99.759                 2.41
313588UV5  03/27/20  01/07/20      99.669                 3.31
313588UY9  03/30/20  01/21/20      99.711                 2.89
313588UZ6  03/31/20  12/20/19      99.564                 4.36
313588VA0  04/01/20  10/01/19      99.046                 9.54
313588VC6  04/03/20  01/23/20      99.705                 2.95
313588VF9  04/06/20  01/23/20      99.689                 3.11
313588VH5  04/08/20  01/08/20      99.616                 3.84
313588VJ1  04/09/20  01/31/20      99.711                 2.89
313588VN2  04/13/20  02/03/20      99.699                 3.01
313588VP7  04/14/20  02/05/20      99.705                 2.95
313588VR3  04/16/20  01/07/20      99.583                 4.17
313588VS1  04/17/20  02/03/20      99.680                 3.20
313588VV4  04/20/20  02/03/20      99.667                 3.33
313588VW2  04/21/20  02/05/20      99.675                 3.25
313588VX0  04/22/20  01/22/20      99.613                 3.87
313588VY8  04/23/20  01/09/20      99.563                 4.37
313588VZ5  04/24/20  01/08/20      99.554                 4.46
313588WC5  04/27/20  03/02/20      99.778                 2.22
313588WD3  04/28/20  01/14/20      99.563                 4.38
313588WE1  04/29/20  01/17/20      99.568                 4.32
313588WF8  04/30/20  01/16/20      99.563                 4.38
313588WG6  05/01/20  11/01/19      99.134                 8.66
313588WK7  05/04/20  01/21/20      99.561                 4.39
313588WL5  05/05/20  01/21/20      99.557                 4.43
313588WM3  05/06/20  02/05/20      99.608                 3.92
313588WN1  05/07/20  01/24/20      99.567                 4.33
313588WP6  05/08/20  01/22/20      99.550                 4.50
313588WS0  05/11/20  01/29/20      99.571                 4.29
313588WV3  05/14/20  02/03/20      99.564                 4.36
313588WW1  05/15/20  11/15/19      99.121                 8.79
313588WZ4  05/18/20  02/03/20      99.545                 4.55
313588XA8  05/19/20  02/18/20      99.616                 3.84
313588XC4  05/21/20  01/28/20      99.535                 4.66
313588XD2  05/22/20  02/26/20      99.639                 3.61
313588XH3  05/26/20  04/01/20      99.995                 0.05




                               Section III-C
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588XL4  05/29/20  02/20/20      99.582                 4.18
313588XP5  06/01/20  02/26/20      99.600                 4.00
313588XS9  06/04/20  02/26/20      99.588                 4.12
313588XT7  06/05/20  02/27/20      99.588                 4.12
313588XW0  06/08/20  02/26/20      99.571                 4.29
313588XZ3  06/11/20  02/28/20      99.567                 4.33
313588YA7  06/12/20  02/24/20      99.549                 4.51
313588YF6  06/17/20  03/10/20      99.808                 1.92
313588YH2  06/19/20  03/12/20      99.893                 1.07
313588YL3  06/22/20  03/06/20      99.859                 1.41
313588YN9  06/24/20  03/11/20      99.886                 1.14
313588YP4  06/25/20  05/06/20      99.988                 0.13
313588YV1  07/01/20  01/02/20      99.136                 8.64
313588ZK4  07/15/20  03/05/20      99.751                 2.49
313588ZL2  07/16/20  03/06/20      99.751                 2.49
313588ZM0  07/17/20  03/31/20      99.988                 0.12
313588ZQ1  07/20/20  03/09/20      99.897                 1.03
313588ZS7  07/22/20  04/03/20      99.982                 0.18
313588ZU2  07/24/20  03/06/20      99.739                 2.61
313588ZX6  07/27/20  06/04/20      99.981                 0.19
313588ZZ1  07/29/20  04/01/20      99.965                 0.35
313588A88  08/05/20  05/06/20      99.975                 0.25
313588B53  08/10/20  03/26/20      99.996                 0.04
313588B61  08/11/20  03/30/20      99.996                 0.04
313588B87  08/13/20  04/15/20      99.940                 0.60
313588B95  08/14/20  03/18/20      99.803                 1.97
313588C60  08/19/20  03/25/20      99.927                 0.73
313588C78  08/20/20  03/18/20      99.776                 2.24
313588D44  08/25/20  07/06/20      99.982                 0.18
313588D51  08/26/20  04/01/20      99.943                 0.57
313588E43  09/02/20  04/08/20      99.910                 0.90
313588F34  09/09/20  06/10/20      99.961                 0.39
313588F91  09/15/20  03/18/20      99.874                 1.26
313588G25  09/16/20  03/27/20      99.990                 0.10
313588G90  09/23/20  03/25/20      99.874                 1.26
313588H24  09/24/20  03/31/20      99.961                 0.39
313588H32  09/25/20  08/05/20      99.987                 0.13
313588H81  09/30/20  07/01/20      99.966                 0.34
313588H99  10/01/20  04/01/20      99.484                 5.16
313588J71  10/07/20  07/08/20      99.966                 0.34
313588K61  10/14/20  07/15/20      99.970                 0.30
313588K79  10/15/20  03/18/20      99.883                 1.17
313588K87  10/16/20  03/20/20      99.827                 1.73
313588L37  10/19/20  03/18/20      99.881                 1.19
313588L45  10/20/20  03/19/20      99.904                 0.96
313588L52  10/21/20  03/20/20      99.809                 1.91
313588L60  10/22/20  03/18/20      99.879                 1.21




                               Section III-C
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313588L78  10/23/20  03/18/20      99.878                 1.22
313588M28  10/26/20  09/04/20      99.987                 0.13
313588M44  10/28/20  07/29/20      99.979                 0.21
313588M93  11/02/20  05/01/20      99.731                 2.69
313588N35  11/04/20  08/05/20      99.980                 0.20
313588P41  11/13/20  03/26/20      99.948                 0.52
313588P74  11/16/20  05/15/20      99.754                 2.46
313588Q73  11/24/20  03/20/20      99.875                 1.25
313588Q81  11/25/20  10/06/20      99.988                 0.12
313588T47  12/15/20  03/19/20      99.857                 1.43
313588T54  12/16/20  04/08/20      99.888                 1.12
313588T62  12/17/20  04/08/20      99.888                 1.12
313588T70  12/18/20  04/08/20      99.887                 1.13
313588U29  12/21/20  04/16/20      99.896                 1.04
313588U94  12/28/20  11/05/20      99.987                 0.13




                               Section III-D

                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2020

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312RG7  01/02/20  08/08/19      99.192                 8.09
313312RH5  01/03/20  02/26/19      97.823                21.77
313312RL6  01/06/20  07/02/19      98.914                10.86
313312RM4  01/07/20  01/06/20      99.996                 0.04
313312RN2  01/08/20  11/01/19      99.700                 3.00
313312RP7  01/09/20  11/20/19      99.779                 2.21
313312RQ5  01/10/20  01/09/20      99.996                 0.04
313312RT9  01/13/20  07/05/19      98.880                11.20
313312RU6  01/14/20  04/26/19      98.232                17.68
313312RV4  01/15/20  06/11/19      98.686                13.14
313312RW2  01/16/20  07/05/19      98.868                11.32
313312RX0  01/17/20  03/25/19      97.972                20.28
313312SB7  01/21/20  07/09/19      98.851                11.49
313312SC5  01/22/20  02/22/19      97.681                23.19
313312SD3  01/23/20  06/28/19      98.810                11.90
313312SE1  01/24/20  01/23/20      99.996                 0.04
313312SH4  01/27/20  01/24/20      99.988                 0.12
313312SJ0  01/28/20  05/08/19      98.233                17.67
313312SK7  01/29/20  06/28/19      98.782                12.18
313312SL5  01/30/20  10/31/19      99.596                 4.04
313312SM3  01/31/20  07/11/19      98.833                11.67
313312SQ4  02/03/20  08/06/19      98.994                10.06
313312SR2  02/04/20  03/27/19      97.907                20.93
313312SS0  02/05/20  04/10/19      97.985                20.15
313312ST8  02/06/20  06/26/19      98.725                12.75
313312SU5  02/07/20  07/12/19      98.798                12.02
313312SX9  02/10/20  10/09/19      99.421                 5.79
313312SY7  02/11/20  12/05/19      99.702                 2.98
313312SZ4  02/12/20  08/29/19      99.123                 8.77
313312TA8  02/13/20  01/08/20      99.845                 1.55
313312TB6  02/14/20  04/29/19      98.058                19.42
313312TF7  02/18/20  07/15/19      98.759                12.41
313312TG5  02/19/20  12/23/19      99.744                 2.56
313312TH3  02/20/20  07/23/19      98.799                12.01
313312TJ9  02/21/20  05/02/19      98.050                19.50
313312TM2  02/24/20  09/06/19      99.112                 8.88
313312TN0  02/25/20  01/21/20      99.850                 1.50
313312TP5  02/26/20  06/03/19      98.310                16.90
313312TQ3  02/27/20  02/26/20      99.996                 0.04
313312TR1  02/28/20  02/26/20      99.992                 0.09
313312TU4  03/02/20  02/28/20      99.989                 0.12
313312TV2  03/03/20  07/25/19      98.736                12.64
313312TW0  03/04/20  07/26/19      98.736                12.64
313312TX8  03/05/20  12/19/19      99.660                 3.40
313312TY6  03/06/20  04/29/19      97.903                20.97
313312UB4  03/09/20  12/20/19      99.644                 3.56
313312UC2  03/10/20  05/01/19      97.889                21.11




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312UD0  03/11/20  07/29/19      98.707                12.93
313312UE8  03/12/20  03/11/20      99.997                 0.03
313312UF5  03/13/20  12/17/19      99.613                 3.87
313312UJ7  03/16/20  03/06/20      99.971                 0.29
313312UK4  03/17/20  06/28/19      98.517                14.83
313312UM0  03/19/20  05/15/19      97.983                20.17
313312UN8  03/20/20  07/26/19      98.645                13.55
313312US7  03/24/20  05/29/19      98.042                19.58
313312UT5  03/25/20  02/19/20      99.844                 1.56
313312UU2  03/26/20  10/02/19      99.105                 8.95
313312UV0  03/27/20  03/28/19      97.587                24.13
313312UY4  03/30/20  04/16/19      97.664                23.36
313312UZ1  03/31/20  01/30/20      99.734                 2.66
313312VA5  04/01/20  04/10/19      97.630                23.70
313312VB3  04/02/20  05/24/19      97.950                20.50
313312VC1  04/03/20  02/12/20      99.776                 2.24
313312VG2  04/07/20  06/20/19      98.289                17.11
313312VH0  04/08/20  07/03/19      98.429                15.71
313312VJ6  04/09/20  05/31/19      97.994                20.06
313312VN7  04/13/20  03/06/20      99.916                 0.84
313312VP2  04/14/20  02/21/20      99.764                 2.36
313312VQ0  04/15/20  06/14/19      98.224                17.77
313312VR8  04/16/20  06/19/19      98.230                17.70
313312VS6  04/17/20  01/08/20      99.567                 4.33
313312VV9  04/20/20  03/13/20      99.932                 0.68
313312VW7  04/21/20  06/20/19      98.283                17.17
313312VX5  04/22/20  08/01/19      98.484                15.16
313312VY3  04/23/20  05/16/19      97.761                22.39
313312VZ0  04/24/20  09/18/19      98.832                11.68
313312WD8  04/28/20  08/23/19      98.720                12.80
313312WE6  04/29/20  03/20/20      99.991                 0.09
313312WF3  04/30/20  03/26/20      99.996                 0.04
313312WG1  05/01/20  10/24/19      99.171                 8.29
313312WK2  05/04/20  03/18/20      99.965                 0.35
313312WL0  05/05/20  09/23/19      98.813                11.88
313312WM8  05/06/20  08/02/19      98.440                15.60
313312WN6  05/07/20  12/20/19      99.378                 6.22
313312WP1  05/08/20  07/18/19      98.394                16.06
313312WT3  05/12/20  05/31/19      97.773                22.27
313312WU0  05/13/20  11/13/19      99.196                 8.04
313312WV8  05/14/20  08/19/19      98.640                13.60
313312WZ9  05/18/20  10/22/19      99.054                 9.46
313312XA3  05/19/20  10/29/19      99.070                 9.30
313312XB1  05/20/20  05/21/19      97.617                23.83
313312XC9  05/21/20  08/16/19      98.559                14.42
313312XD7  05/22/20  12/23/19      99.325                 6.75
313312XJ4  05/27/20  10/30/19      99.049                 9.51




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312XK1  05/28/20  04/23/20      99.990                 0.10
313312XL9  05/29/20  04/24/20      99.990                 0.10
313312XP0  06/01/20  02/06/20      99.488                 5.12
313312XQ8  06/02/20  06/11/19      97.927                20.73
313312XR6  06/03/20  11/21/19      99.133                 8.67
313312XS4  06/04/20  03/12/20      99.883                 1.17
313312XT2  06/05/20  11/14/19      99.093                 9.07
313312XW5  06/08/20  11/18/19      99.098                 9.02
313312XX3  06/09/20  08/05/19      98.369                16.31
313312XY1  06/10/20  06/13/19      97.933                20.67
313312YA2  06/12/20  08/19/19      98.502                14.98
313312YD6  06/15/20  11/21/19      99.080                 9.20
313312YE4  06/16/20  12/03/19      99.118                 8.82
313312YF1  06/17/20  11/18/19      99.058                 9.42
313312YH7  06/19/20  07/18/19      98.165                18.35
313312YL8  06/22/20  08/06/19      98.306                16.94
313312YM6  06/23/20  03/20/20      99.955                 0.45
313312YN4  06/24/20  05/20/20      99.989                 0.11
313312YQ7  06/26/20  08/07/19      98.317                16.83
313312YT1  06/29/20  03/09/20      99.882                 1.18
313312YU8  06/30/20  09/12/19      98.508                14.92
313312YV6  07/01/20  11/01/19      98.927                10.73
313312YW4  07/02/20  07/25/19      98.104                18.96
313312ZA1  07/06/20  07/26/19      98.087                19.13
313312ZB9  07/07/20  08/19/19      98.394                16.06
313312ZC7  07/08/20  07/25/19      98.071                19.29
313312ZD5  07/09/20  12/16/19      99.073                 9.27
313312ZE3  07/10/20  11/18/19      98.949                10.51
313312ZH6  07/13/20  11/29/19      98.966                10.34
313312ZJ2  07/14/20  12/04/19      98.997                10.04
313312ZK9  07/15/20  11/22/19      98.945                10.55
313312ZL7  07/16/20  12/05/19      99.011                 9.89
313312ZM5  07/17/20  05/19/20      99.979                 0.21
313312ZQ6  07/20/20  12/18/19      99.038                 9.62
313312ZR4  07/21/20  05/14/20      99.974                 0.26
313312ZS2  07/22/20  09/20/19      98.377                16.24
313312ZT0  07/23/20  12/18/19      99.025                 9.75
313312ZU7  07/24/20  03/16/20      99.809                 1.91
313312ZX1  07/27/20  10/03/19      98.585                14.16
313312ZY9  07/28/20  09/19/19      98.348                16.52
313312ZZ6  07/29/20  09/05/19      98.369                16.31
313312A34  07/31/20  09/27/19      98.417                15.83
313312A67  08/03/20  12/31/19      99.040                 9.60
313312A75  08/04/20  01/09/20      99.087                 9.13
313312A83  08/05/20  09/10/19      98.359                16.41
313312A91  08/06/20  04/02/20      99.944                 0.56
313312B25  08/07/20  12/31/19      99.022                 9.78




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312B58  08/10/20  09/17/19      98.260                17.40
313312B66  08/11/20  09/27/19      98.361                16.39
313312B82  08/13/20  09/06/19      98.290                17.10
313312B90  08/14/20  11/27/19      98.818                11.82
313312C40  08/17/20  12/30/19      98.961                10.40
313312C57  08/18/20  12/27/19      98.936                10.64
313312C65  08/19/20  11/20/19      98.779                12.21
313312C73  08/20/20  03/26/20      99.898                 1.02
313312C81  08/21/20  11/19/19      98.758                12.42
313312D31  08/24/20  01/13/20      98.998                10.02
313312D49  08/25/20  07/21/20      99.987                 0.13
313312D56  08/26/20  01/16/20      99.009                 9.91
313312D64  08/27/20  07/31/20      99.993                 0.08
313312E30  09/01/20  09/19/19      98.163                18.37
313312E48  09/02/20  03/12/20      99.792                 2.08
313312E55  09/03/20  12/30/19      98.877                11.23
313312E63  09/04/20  02/13/20      99.116                 8.84
313312F21  09/08/20  03/03/20      99.433                 5.67
313312F39  09/09/20  07/15/20      99.980                 0.20
313312F47  09/10/20  04/23/20      99.938                 0.62
313312F54  09/11/20  03/17/20      99.728                 2.72
313312F88  09/14/20  08/10/20      99.989                 0.11
313312F96  09/15/20  09/16/19      98.134                18.66
313312G20  09/16/20  03/16/20      99.719                 2.81
313312G38  09/17/20  03/16/20      99.728                 2.72
313312G79  09/21/20  11/20/19      98.649                13.52
313312G87  09/22/20  01/16/20      98.889                11.11
313312G95  09/23/20  12/23/19      98.755                12.45
313312H29  09/24/20  01/15/20      98.876                11.24
313312H37  09/25/20  02/27/20      99.150                 8.50
313312H60  09/28/20  12/30/19      98.764                12.36
313312H78  09/29/20  08/25/20      99.989                 0.11
313312H94  10/01/20  04/16/20      99.893                 1.07
313312J27  10/02/20  03/17/20      99.696                 3.04
313312J50  10/05/20  12/30/19      98.732                12.68
313312J68  10/06/20  12/10/19      98.654                13.46
313312J76  10/07/20  10/24/19      98.459                15.41
313312J92  10/09/20  09/04/20      99.988                 0.12
313312K58  10/13/20  03/11/20      99.772                 2.28
313312K66  10/14/20  02/13/20      98.949                10.51
313312K74  10/15/20  05/19/20      99.930                 0.70
313312K82  10/16/20  03/16/20      99.673                 3.27
313312L32  10/19/20  12/30/19      98.669                13.31
313312L40  10/20/20  03/10/20      99.670                 3.30
313312L65  10/22/20  03/20/20      99.814                 1.86
313312L73  10/23/20  04/13/20      99.812                 1.88
313312M23  10/26/20  11/01/19      98.390                16.10




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313312M31  10/27/20  03/31/20      99.907                 0.93
313312M49  10/28/20  03/16/20      99.655                 3.45
313312M56  10/29/20  12/18/19      98.569                14.31
313312M64  10/30/20  11/25/19      98.461                15.39
313312M98  11/02/20  03/17/20      99.649                 3.51
313312N22  11/03/20  12/17/19      98.542                14.58
313312N30  11/04/20  11/21/19      98.420                15.80
313312N48  11/05/20  04/20/20      99.878                 1.22
313312N55  11/06/20  04/02/20      99.861                 1.39
313312N89  11/09/20  04/21/20      99.888                 1.12
313312N97  11/10/20  11/13/19      98.356                16.44
313312P38  11/12/20  03/11/20      99.652                 3.49
313312P46  11/13/20  03/17/20      99.632                 3.68
313312P79  11/16/20  03/16/20      99.605                 3.95
313312P87  11/17/20  12/12/19      98.466                15.35
313312P95  11/18/20  03/13/20      99.611                 3.89
313312Q29  11/19/20  05/12/20      99.899                 1.01
313312Q37  11/20/20  03/27/20      99.914                 0.86
313312Q60  11/23/20  02/21/20      98.827                11.73
313312Q86  11/25/20  02/14/20      98.765                12.35
313312R28  11/27/20  04/22/20      99.878                 1.22
313312R51  11/30/20  12/24/19      98.433                15.68
313312R69  12/01/20  03/16/20      99.581                 4.19
313312R77  12/02/20  03/10/20      99.607                 3.93
313312R85  12/03/20  02/25/20      98.872                11.28
313312R93  12/04/20  03/24/20      99.752                 2.48
313312S43  12/07/20  01/29/20      98.626                13.74
313312S50  12/08/20  01/30/20      98.626                13.74
313312S68  12/09/20  08/13/20      99.957                 0.43
313312S76  12/10/20  07/22/20      99.941                 0.59
313312S84  12/11/20  03/16/20      99.588                 4.13
313312T34  12/14/20  03/04/20      99.343                 6.57
313312T42  12/15/20  01/06/20      98.452                15.48
313312T75  12/18/20  08/18/20      99.956                 0.44
313312U24  12/21/20  12/17/20      99.999                 0.01
313312U32  12/22/20  02/18/20      98.665                13.35
313312U40  12/23/20  05/06/20      99.885                 1.16
313312U57  12/24/20  11/20/20      99.992                 0.09
313312U99  12/28/20  05/18/20      99.888                 1.12
313312V23  12/29/20  12/01/20      99.992                 0.08
313312V49  12/31/20  03/18/20      99.656                 3.44




                               Section III-E

                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2020

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396RG0  01/02/20  03/21/19      98.127                18.73
313396RH8  01/03/20  04/18/19      98.317                16.83
313396RL9  01/06/20  04/23/19      98.323                16.77
313396RM7  01/07/20  04/17/19      98.285                17.15
313396RN5  01/08/20  04/15/19      98.265                17.35
313396RP0  01/09/20  06/21/19      98.945                10.55
313396RQ8  01/10/20  04/12/19      98.233                17.67
313396RT2  01/13/20  06/24/19      98.940                10.60
313396RU9  01/14/20  01/13/20      99.996                 0.04
313396RV7  01/15/20  01/14/20      99.996                 0.04
313396RW5  01/16/20  01/15/20      99.996                 0.04
313396RX3  01/17/20  07/26/19      99.052                 9.48
313396SB0  01/21/20  05/20/19      98.449                15.51
313396SC8  01/22/20  04/10/19      98.146                18.54
313396SD6  01/23/20  07/26/19      99.020                 9.80
313396SE4  01/24/20  04/15/19      98.166                18.34
313396SH7  01/27/20  04/29/19      98.229                17.71
313396SJ3  01/28/20  01/27/20      99.996                 0.04
313396SK0  01/29/20  09/04/19      99.273                 7.27
313396SL8  01/30/20  10/01/19      99.387                 6.13
313396SM6  01/31/20  04/08/19      98.075                19.25
313396SQ7  02/03/20  05/03/19      98.229                17.71
313396SR5  02/04/20  12/06/19      99.744                 2.56
313396SS3  02/05/20  04/26/19      98.155                18.45
313396ST1  02/06/20  04/26/19      98.149                18.51
313396SU8  02/07/20  04/26/19      98.142                18.58
313396SX2  02/10/20  05/16/19      98.298                17.02
313396SY0  02/11/20  07/31/19      98.938                10.62
313396SZ7  02/12/20  08/07/19      99.034                 9.66
313396TA1  02/13/20  07/25/19      98.906                10.94
313396TB9  02/14/20  02/13/20      99.996                 0.04
313396TF0  02/18/20  08/08/19      99.025                 9.75
313396TG8  02/19/20  02/18/20      99.996                 0.04
313396TH6  02/20/20  08/27/19      99.164                 8.36
313396TJ2  02/21/20  05/30/19      98.339                16.61
313396TM5  02/24/20  08/08/19      98.989                10.11
313396TN3  02/25/20  08/06/19      98.954                10.46
313396TP8  02/26/20  08/28/19      99.141                 8.59
313396TQ6  02/27/20  08/08/19      98.974                10.26
313396TR4  02/28/20  08/06/19      98.941                10.59
313396TU7  03/02/20  05/30/19      98.276                17.24
313396TW3  03/04/20  09/25/19      99.186                 8.14
313396TX1  03/05/20  10/07/19      99.305                 6.95
313396TY9  03/06/20  05/31/19      98.289                17.11
313396UB7  03/09/20  07/22/19      98.794                12.06
313396UC5  03/10/20  07/19/19      98.779                12.21
313396UD3  03/11/20  08/28/19      99.064                 9.36




                               Section III-E
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396UE1  03/12/20  07/22/19      98.780                12.20
313396UF8  03/13/20  08/28/19      99.060                 9.40
313396UJ0  03/16/20  08/28/19      99.045                 9.55
313396UL5  03/18/20  05/15/19      98.049                19.51
313396UM3  03/19/20  08/28/19      99.031                 9.69
313396UN1  03/20/20  09/06/19      99.091                 9.09
313396UR2  03/23/20  07/29/19      98.724                12.76
313396US0  03/24/20  07/26/19      98.703                12.97
313396UT8  03/25/20  10/10/19      99.244                 7.56
313396UU5  03/26/20  10/10/19      99.242                 7.58
313396UV3  03/27/20  05/16/19      98.016                19.84
313396UY7  03/30/20  08/22/19      98.941                10.59
313396UZ4  03/31/20  04/15/19      97.748                22.52
313396VA8  04/01/20  05/30/19      98.107                18.93
313396VB6  04/02/20  10/10/19      99.213                 7.87
313396VC4  04/03/20  09/17/19      99.011                 9.89
313396VF7  04/06/20  09/17/19      98.996                10.04
313396VG5  04/07/20  09/26/19      99.035                 9.65
313396VH3  04/08/20  09/19/19      98.996                10.04
313396VJ9  04/09/20  09/17/19      98.981                10.19
313396VK6  04/10/20  12/04/19      99.452                 5.48
313396VN0  04/13/20  08/22/19      98.897                11.03
313396VQ3  04/15/20  10/11/19      99.179                 8.21
313396VS9  04/17/20  05/29/19      98.002                19.98
313396VV2  04/20/20  10/15/19      99.172                 8.28
313396VX8  04/22/20  12/19/19      99.462                 5.38
313396VZ3  04/24/20  09/24/19      98.968                10.32
313396WC3  04/27/20  09/27/19      98.959                10.41
313396WD1  04/28/20  09/30/19      98.968                10.32
313396WE9  04/29/20  10/15/19      99.135                 8.65
313396WF6  04/30/20  10/15/19      99.131                 8.69
313396WK5  05/04/20  09/26/19      98.929                10.71
313396WL3  05/05/20  11/01/19      99.225                 7.75
313396WM1  05/06/20  10/03/19      99.016                 9.84
313396WN9  05/07/20  10/17/19      99.109                 8.91
313396WP4  05/08/20  11/08/19      99.232                 7.68
313396WS8  05/11/20  01/08/20      99.475                 5.25
313396WT6  05/12/20  08/22/19      98.790                12.10
313396WV1  05/14/20  11/08/19      99.217                 7.83
313396WZ2  05/18/20  11/08/19      99.200                 8.00
313396XA6  05/19/20  09/03/19      98.842                11.58
313396XB4  05/20/20  12/23/19      99.356                 6.44
313396XD0  05/22/20  10/09/19      99.027                 9.73
313396XH1  05/26/20  10/10/19      99.014                 9.86
313396XJ7  05/27/20  10/17/19      99.052                 9.48
313396XK4  05/28/20  10/17/19      99.048                 9.52
313396XL2  05/29/20  10/11/19      99.005                 9.95




                               Section III-E
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396XP3  06/01/20  09/26/19      98.817                11.83
313396XQ1  06/02/20  11/14/19      99.146                 8.54
313396XR9  06/03/20  10/18/19      99.039                 9.61
313396XS7  06/04/20  11/14/19      99.137                 8.63
313396XT5  06/05/20  10/29/19      99.083                 9.17
313396XW8  06/08/20  10/29/19      99.071                 9.29
313396XX6  06/09/20  11/13/19      99.112                 8.88
313396XY4  06/10/20  10/24/19      99.042                 9.58
313396XZ1  06/11/20  08/22/19      98.693                13.07
313396YE7  06/16/20  03/17/20      99.967                 0.33
313396YF4  06/17/20  08/29/19      98.698                13.02
313396YG2  06/18/20  11/14/19      99.078                 9.22
313396YH0  06/19/20  10/31/19      99.046                 9.54
313396YL1  06/22/20  11/18/19      99.078                 9.22
313396YM9  06/23/20  11/06/19      99.042                 9.58
313396YN7  06/24/20  11/13/19      99.048                 9.52
313396YP2  06/25/20  11/21/19      99.084                 9.16
313396YQ0  06/26/20  10/16/19      98.913                10.87
313396YT4  06/29/20  08/22/19      98.622                13.78
313396YU1  06/30/20  10/15/19      98.914                10.86
313396YV9  07/01/20  10/11/19      98.915                10.85
313396YW7  07/02/20  11/18/19      99.035                 9.65
313396YX5  07/03/20  11/20/19      99.052                 9.48
313396ZA4  07/06/20  11/13/19      98.997                10.03
313396ZB2  07/07/20  10/29/19      98.968                10.32
313396ZH9  07/13/20  01/09/20      99.228                 7.72
313396ZJ5  07/14/20  01/09/20      99.223                 7.77
313396ZM8  07/17/20  11/06/19      98.942                10.58
313396ZQ9  07/20/20  11/21/19      98.982                10.18
313396ZR7  07/21/20  11/22/19      98.992                10.08
313396ZS5  07/22/20  02/05/20      99.281                 7.19
313396ZT3  07/23/20  11/06/19      98.917                10.83
313396ZU0  07/24/20  11/13/19      98.921                10.79
313396ZX4  07/27/20  11/13/19      98.908                10.92
313396ZY2  07/28/20  12/26/19      99.080                 9.20
313396ZZ9  07/29/20  12/03/19      98.994                10.06
313396A29  07/30/20  11/14/19      98.899                11.01
313396A37  07/31/20  11/15/19      98.899                11.01
313396A60  08/03/20  11/08/19      98.857                11.43
313396A78  08/04/20  02/05/20      99.231                 7.69
313396A86  08/05/20  12/03/19      98.961                10.39
313396A94  08/06/20  11/06/19      98.858                11.42
313396B28  08/07/20  11/12/19      98.857                11.43
313396B51  08/10/20  11/13/19      98.848                11.52
313396B69  08/11/20  12/06/19      98.980                10.20
313396B77  08/12/20  01/10/20      99.101                 8.99
313396B85  08/13/20  11/13/19      98.836                11.64




                               Section III-E
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396C43  08/17/20  01/09/20      99.091                 9.09
313396C68  08/19/20  10/09/19      98.731                12.69
313396C76  08/20/20  11/07/19      98.796                12.04
313396C84  08/21/20  11/08/19      98.780                12.20
313396D34  08/24/20  11/20/19      98.842                11.58
313396D42  08/25/20  12/06/19      98.930                10.70
313396D59  08/26/20  12/18/19      98.936                10.64
313396D67  08/27/20  12/03/19      98.868                11.32
313396D75  08/28/20  11/06/19      98.767                12.33
313396E25  08/31/20  10/31/19      98.763                12.37
313396E33  09/01/20  09/10/19      98.463                15.37
313396E41  09/02/20  01/10/20      99.017                 9.83
313396E58  09/03/20  01/14/20      99.026                 9.74
313396E66  09/04/20  04/20/20      99.954                 0.46
313396F57  09/11/20  04/30/20      99.963                 0.37
313396F81  09/14/20  04/30/20      99.962                 0.38
313396F99  09/15/20  06/29/20      99.971                 0.29
313396G31  09/17/20  11/25/19      98.754                12.46
313396G49  09/18/20  12/12/19      98.821                11.79
313396G72  09/21/20  12/13/19      98.813                11.87
313396G80  09/22/20  12/12/19      98.805                11.95
313396G98  09/23/20  12/13/19      98.805                11.95
313396H22  09/24/20  12/13/19      98.800                12.00
313396H30  09/25/20  11/13/19      98.662                13.38
313396H63  09/28/20  12/10/19      98.787                12.13
313396H89  09/30/20  05/11/20      99.961                 0.39
313396H97  10/01/20  11/18/19      98.675                13.25
313396J20  10/02/20  02/18/20      99.076                 9.24
313396J53  10/05/20  01/10/20      98.879                11.21
313396J61  10/06/20  01/15/20      98.896                11.04
313396J79  10/07/20  01/10/20      98.871                11.29
313396J87  10/08/20  01/29/20      98.967                10.33
313396J95  10/09/20  01/09/20      98.874                11.26
313396K51  10/13/20  01/17/20      98.875                11.25
313396L35  10/19/20  01/10/20      98.825                11.75
313396L43  10/20/20  01/28/20      98.921                10.79
313396L50  10/21/20  01/10/20      98.816                11.84
313396L68  10/22/20  02/05/20      98.953                10.47
313396L76  10/23/20  01/14/20      98.825                11.75
313396M26  10/26/20  01/10/20      98.796                12.04
313396M34  10/27/20  01/09/20      98.800                12.00
313396M42  10/28/20  01/10/20      98.787                12.13
313396M59  10/29/20  02/05/20      98.925                10.75
313396M67  10/30/20  01/21/20      98.825                11.75
313396M91  11/02/20  02/06/20      98.909                10.91
313396N25  11/03/20  07/08/20      99.961                 0.39
313396N33  11/04/20  02/20/20      98.961                10.39




                               Section III-E
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313396N41  11/05/20  02/12/20      98.925                10.75
313396N58  11/06/20  02/13/20      98.925                10.75
313396N82  11/09/20  02/10/20      98.904                10.96
313396N90  11/10/20  07/08/20      99.958                 0.42
313396P31  11/12/20  01/23/20      98.787                12.13
313396P98  11/18/20  04/03/20      99.930                 0.70
313396Q30  11/20/20  02/14/20      98.880                11.20
313396Q63  11/23/20  02/20/20      98.892                11.08
313396Q89  11/25/20  02/24/20      98.953                10.47
313396R21  11/27/20  02/18/20      98.868                11.32
313396R54  11/30/20  02/11/20      98.828                11.72
313396R62  12/01/20  02/27/20      99.035                 9.65
313396T60  12/17/20  04/06/20      99.922                 0.78
313396U27  12/21/20  06/18/20      99.933                 0.67




                               Section III-F

                  FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2020

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315KRG7  01/02/20  06/05/19      98.699                13.01
31315KRH5  01/03/20  01/02/20      99.997                 0.03
31315KRL6  01/06/20  12/12/19      99.893                 1.07
31315KRM4  01/07/20  12/23/19      99.937                 0.63
31315KRN2  01/08/20  12/26/19      99.947                 0.53
31315KRP7  01/09/20  12/27/19      99.947                 0.53
31315KRQ5  01/10/20  01/09/20      99.996                 0.04
31315KRT9  01/13/20  01/06/20      99.972                 0.28
31315KRU6  01/14/20  10/10/19      99.557                 4.43
31315KRV4  01/15/20  05/09/19      98.369                16.31
31315KRW2  01/16/20  12/30/19      99.928                 0.72
31315KRX0  01/17/20  01/18/19      97.452                25.48
31315KSB7  01/21/20  02/13/19      97.654                23.46
31315KSC5  01/22/20  11/21/19      99.730                 2.70
31315KSD3  01/23/20  11/21/19      99.725                 2.75
31315KSE1  01/24/20  12/30/19      99.893                 1.07
31315KSH4  01/27/20  04/24/19      98.178                18.22
31315KSJ0  01/28/20  12/03/19      99.753                 2.47
31315KSK7  01/29/20  01/29/19      97.450                25.50
31315KSL5  01/30/20  02/08/19      97.562                24.38
31315KSM3  01/31/20  01/23/20      99.967                 0.33
31315KSQ4  02/03/20  06/24/19      98.818                11.82
31315KSR2  02/04/20  02/03/20      99.996                 0.04
31315KSS0  02/05/20  01/24/20      99.950                 0.50
31315KST8  02/06/20  02/05/20      99.996                 0.04
31315KSU5  02/07/20  02/06/20      99.996                 0.04
31315KSX9  02/10/20  01/07/20      99.858                 1.42
31315KSY7  02/11/20  01/24/20      99.925                 0.75
31315KSZ4  02/12/20  02/11/20      99.996                 0.04
31315KTA8  02/13/20  02/04/20      99.963                 0.37
31315KTB6  02/14/20  02/28/19      97.602                23.98
31315KTF7  02/18/20  03/05/19      97.599                24.01
31315KTG5  02/19/20  02/18/20      99.996                 0.04
31315KTH3  02/20/20  01/28/20      99.903                 0.97
31315KTJ9  02/21/20  02/07/20      99.943                 0.57
31315KTM2  02/24/20  02/21/20      99.988                 0.12
31315KTN0  02/25/20  01/23/20      99.860                 1.40
31315KTP5  02/26/20  01/29/20      99.882                 1.18
31315KTQ3  02/27/20  06/07/19      98.506                14.94
31315KTR1  02/28/20  04/09/19      97.883                21.17
31315KTU4  03/02/20  02/20/20      99.954                 0.46
31315KTV2  03/03/20  03/02/20      99.996                 0.04
31315KTW0  03/04/20  12/04/19      99.606                 3.94
31315KTX8  03/05/20  02/04/20      99.871                 1.29
31315KTY6  03/06/20  03/05/20      99.997                 0.03
31315KUB4  03/09/20  03/06/20      99.992                 0.08
31315KUC2  03/10/20  03/09/20      99.997                 0.03




                               Section III-F
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315KUD0  03/11/20  03/04/20      99.977                 0.23
31315KUE8  03/12/20  02/11/20      99.872                 1.28
31315KUF5  03/13/20  03/12/20      99.997                 0.03
31315KUJ7  03/16/20  03/04/20      99.961                 0.39
31315KUK4  03/17/20  02/28/20      99.928                 0.72
31315KUL2  03/18/20  03/17/20      99.999                 0.01
31315KUM0  03/19/20  03/20/19      97.536                24.64
31315KUN8  03/20/20  12/11/19      99.574                 4.26
31315KUR9  03/23/20  09/18/19      99.023                 9.77
31315KUT5  03/25/20  09/20/19      99.023                 9.77
31315KUU2  03/26/20  02/25/20      99.870                 1.30
31315KUV0  03/27/20  09/23/19      99.024                 9.76
31315KVA5  04/01/20  08/02/19      98.674                13.26
31315KVB3  04/02/20  10/08/19      99.174                 8.26
31315KVC1  04/03/20  03/06/20      99.928                 0.72
31315KVF4  04/06/20  03/09/20      99.936                 0.64
31315KVH0  04/08/20  03/16/20      99.971                 0.29
31315KVQ0  04/15/20  01/09/20      99.588                 4.12
31315KVS6  04/17/20  03/06/20      99.908                 0.92
31315KVX5  04/22/20  01/22/20      99.607                 3.93
31315KVZ0  04/24/20  01/22/20      99.598                 4.02
31315KWD8  04/28/20  04/30/19      97.639                23.61
31315KWF3  04/30/20  06/06/19      98.049                19.51
31315KWG1  05/01/20  08/02/19      98.544                14.56
31315KWK2  05/04/20  02/04/20      99.610                 3.90
31315KWM8  05/06/20  11/01/19      99.216                 7.84
31315KWP1  05/08/20  05/10/19      97.690                23.10
31315KWW6  05/15/20  02/18/20      99.625                 3.75
31315KXB1  05/20/20  05/23/19      97.686                23.14
31315KXD7  05/22/20  04/20/20      99.993                 0.07
31315KXH8  05/26/20  08/21/19      98.644                13.56
31315KXL9  05/29/20  06/05/19      98.026                19.74
31315KXP0  06/01/20  06/20/19      98.188                18.12
31315KXT2  06/05/20  03/05/20      99.824                 1.76
31315KXW5  06/08/20  05/01/20      99.992                 0.08
31315KYA2  06/12/20  06/03/20      99.998                 0.02
31315KYD6  06/15/20  06/19/19      97.979                20.21
31315KYH7  06/19/20  03/10/20      99.871                 1.29
31315KYL8  06/22/20  03/12/20      99.867                 1.33
31315KYN4  06/24/20  05/12/20      99.989                 0.11
31315KYP9  06/25/20  08/23/19      98.508                14.92
31315KYT1  06/29/20  02/25/20      99.479                 5.21
31315KYU8  06/30/20  12/30/19      99.212                 7.88
31315KYV6  07/01/20  02/27/20      99.510                 4.90
31315KYW4  07/02/20  01/02/20      99.216                 7.84
31315KZA1  07/06/20  06/05/20      99.990                 0.10
31315KZC7  07/08/20  06/10/20      99.990                 0.10




                               Section III-F
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315KZD5  07/09/20  06/30/20      99.998                 0.02
31315KZE3  07/10/20  06/25/20      99.996                 0.04
31315KZH6  07/13/20  07/01/20      99.997                 0.03
31315KZK9  07/15/20  07/30/19      98.099                19.01
31315KZM5  07/17/20  03/12/20      99.843                 1.57
31315KZQ6  07/20/20  07/31/19      98.087                19.13
31315KZR4  07/21/20  06/30/20      99.994                 0.06
31315KZS2  07/22/20  07/09/20      99.997                 0.03
31315KZU7  07/24/20  10/15/19      98.758                12.42
31315KZX1  07/27/20  06/18/20      99.986                 0.14
31315KZZ6  07/29/20  03/25/20      99.930                 0.70
31315KA26  07/30/20  07/24/20      99.999                 0.01
31315KA34  07/31/20  08/09/19      98.275                17.25
31315KA67  08/03/20  07/24/20      99.998                 0.02
31315KA83  08/05/20  07/01/20      99.988                 0.12
31315KA91  08/06/20  07/27/20      99.998                 0.02
31315KB25  08/07/20  07/20/20      99.995                 0.05
31315KB58  08/10/20  07/17/20      99.993                 0.07
31315KB66  08/11/20  07/27/20      99.997                 0.03
31315KB74  08/12/20  07/24/20      99.996                 0.04
31315KB90  08/14/20  05/05/20      99.969                 0.31
31315KC40  08/17/20  07/24/20      99.994                 0.06
31315KC57  08/18/20  07/21/20      99.992                 0.08
31315KC65  08/19/20  08/06/20      99.997                 0.03
31315KC73  08/20/20  07/24/20      99.993                 0.07
31315KC81  08/21/20  02/24/20      99.252                 7.48
31315KD31  08/24/20  08/06/20      99.997                 0.03
31315KD49  08/25/20  07/14/20      99.987                 0.13
31315KD64  08/27/20  08/11/20      99.997                 0.03
31315KD72  08/28/20  07/20/20      99.988                 0.12
31315KE22  08/31/20  08/12/20      99.996                 0.04
31315KE55  09/03/20  08/18/20      99.996                 0.04
31315KF21  09/08/20  08/03/20      99.989                 0.11
31315KF47  09/10/20  08/03/20      99.988                 0.12
31315KF54  09/11/20  09/25/19      98.250                17.50
31315KF88  09/14/20  09/11/20      99.999                 0.01
31315KF96  09/15/20  03/20/20      99.841                 1.59
31315KG38  09/17/20  09/10/20      99.998                 0.02
31315KG79  09/21/20  09/11/20      99.997                 0.03
31315KH29  09/24/20  08/20/20      99.990                 0.10
31315KH37  09/25/20  03/05/20      99.666                 3.34
31315KH60  09/28/20  03/12/20      99.750                 2.50
31315KH78  09/29/20  09/11/20      99.995                 0.05
31315KH86  09/30/20  11/22/19      98.644                13.56
31315KH94  10/01/20  12/12/19      98.742                12.58
31315KJ50  10/05/20  12/27/19      98.726                12.74
31315KJ68  10/06/20  09/15/20      99.993                 0.07




                               Section III-F
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2020  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315KJ76  10/07/20  09/18/20      99.994                 0.06
31315KJ84  10/08/20  09/08/20      99.990                 0.10
31315KJ92  10/09/20  09/24/20      99.996                 0.04
31315KK58  10/13/20  09/25/20      99.995                 0.05
31315KL32  10/19/20  07/24/20      99.966                 0.34
31315KL40  10/20/20  03/20/20      99.798                 2.02
31315KL57  10/21/20  09/25/20      99.992                 0.08
31315KL65  10/22/20  09/28/20      99.992                 0.08
31315KL73  10/23/20  09/23/20      99.991                 0.09
31315KM23  10/26/20  07/09/20      99.949                 0.51
31315KM31  10/27/20  10/09/20      99.995                 0.05
31315KM49  10/28/20  09/28/20      99.990                 0.10
31315KM64  10/30/20  07/22/20      99.960                 0.40
31315KM98  11/02/20  04/03/20      99.858                 1.42
31315KN22  11/03/20  04/09/20      99.856                 1.44
31315KN30  11/04/20  10/09/20      99.991                 0.09
31315KN48  11/05/20  05/07/20      99.914                 0.86
31315KN55  11/06/20  10/06/20      99.991                 0.09
31315KN89  11/09/20  10/15/20      99.992                 0.08
31315KP38  11/12/20  10/13/20      99.990                 0.10
31315KP46  11/13/20  11/25/19      98.446                15.54
31315KP79  11/16/20  01/03/20      98.578                14.22
31315KP87  11/17/20  10/13/20      99.988                 0.12
31315KP95  11/18/20  10/21/20      99.991                 0.09
31315KQ29  11/19/20  10/28/20      99.994                 0.06
31315KQ37  11/20/20  11/03/20      99.995                 0.05
31315KQ60  11/23/20  10/26/20      99.992                 0.08
31315KQ78  11/24/20  08/20/20      99.967                 0.33
31315KQ86  11/25/20  10/20/20      99.989                 0.11
31315KR51  11/30/20  04/30/20      99.905                 0.95
31315KR69  12/01/20  10/27/20      99.990                 0.10
31315KR93  12/04/20  09/04/20      99.966                 0.34
31315KS43  12/07/20  11/06/20      99.991                 0.09
31315KS50  12/08/20  11/13/20      99.994                 0.06
31315KS76  12/10/20  11/04/20      99.989                 0.11
31315KS84  12/11/20  11/17/20      99.993                 0.07
31315KT34  12/14/20  12/11/20      99.999                 0.01
31315KT42  12/15/20  03/20/20      99.723                 2.77
31315KT67  12/17/20  11/09/20      99.988                 0.12
31315KT75  12/18/20  11/19/20      99.993                 0.07
31315KU24  12/21/20  03/09/20      99.570                 4.30
31315KU32  12/22/20  11/30/20      99.994                 0.06
31315KU40  12/23/20  09/15/20      99.962                 0.38
31315KU99  12/28/20  11/20/20      99.991                 0.09
31315KV49  12/31/20  11/25/20      99.990                 0.10




