SECTION I-A
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969,               
and before January 1, 1985.  Debt instruments which matured or were entirely called before 2021 are not included. See Section I-B for corporate           
discount debt instruments issued after 1984.                                                                                                              
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of              
rounding or updated information.                                                                                                                          
                                                                                                                                             OID per      
                                                                                                         Daily OID per $1,000               $1,000 of     
                                                                                                          of Maturity Value                 Maturity      
                                                               Issue Price   Annual                    for Each Accrual Period              Value for     
                                                               (Percent of   Stated      Total      -------------------------------       Calendar Year   
                                           Issue    Maturity    Principal   Interest     OID to     2021 1st    2021 2nd   2022 2nd       --------------- 
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/21      Period     2022 1st    Period        2021       2022 
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______

Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      820.35     0.225222    0.247599                 84.22      68.09






SECTION I-B                                                                                                                                                            
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after December 31, 1984.                       
Debt instruments which matured or were entirely called before 2021 are not included.  See Section I-A for corporate discount debt instruments                          
issued before 1985.                                                                                                                                                    
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of                           
rounding or updated information.                                                                                                                                       
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25     94.017     0.000     1.3572      5.60   0.035473   0.035713   0.035956   0.036200  0.036445     12.88    13.05
ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26     91.448     0.000     1.6140      6.48   0.041040   0.041371   0.041705   0.042041  0.042381     14.92    15.17
ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28     85.895     0.000     2.0999                        0.050104   0.050396   0.050925  0.051460     11.86    18.38
ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29     83.776     0.000     2.1498                        0.050029   0.050328   0.050869  0.051416     11.85    18.36
ALEDO TEX INDPT SCH DIST 014464XL0 02/04/21 02/15/22     99.702     0.000     0.2898             0.008026   0.008027   0.008038                           2.63     0.35
ALEDO TEX INDPT SCH DIST 014464XM8 02/04/21 02/15/23     99.169     0.000     0.4114             0.011332   0.011334   0.011357   0.011380  0.011404      3.71     4.10
ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24     98.040     0.000     0.6542             0.017817   0.017820   0.017879   0.017937  0.017996      5.84     6.46
ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25     96.817     0.000     0.8042             0.021627   0.021632   0.021719   0.021806  0.021894      7.09     7.86
ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26     94.773     0.000     1.0700             0.028169   0.028179   0.028329   0.028481  0.028633      9.23    10.27
ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27     93.206     0.000     1.1701             0.030294   0.030305   0.030482   0.030661  0.030840      9.93    11.05
ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26     94.159     0.000     1.2800                        0.033478   0.033571   0.033786  0.034002      7.18    12.18
ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27     91.292     0.000     1.5999                        0.040573   0.040713   0.041039  0.041367      8.70    14.80
ALTERYX INC              02156BAA1 05/18/18 06/01/23     98.000     0.500     0.9072     10.29   0.011057   0.011108   0.011158   0.011209  0.011259      3.99     4.03
ALTERYX INC              02156BAB9 05/18/18 06/01/23     98.000     0.500     0.9072     10.29   0.011057   0.011108   0.011158   0.011209  0.011259      3.99     4.03
ALVARADO TEX INDPT SCH D 022357H26 10/28/20 02/15/25     96.321     0.000     0.8741      1.47   0.023388   0.023449   0.023551   0.023654  0.023758      8.45     8.53
ALVARADO TEX INDPT SCH D 022357H34 10/28/20 02/15/26     94.240     0.000     1.1230      1.85   0.029398   0.029496   0.029662   0.029828  0.029996     10.64    10.75
ALVARADO TEX INDPT SCH D 022357H42 10/28/20 02/15/27     92.609     0.000     1.2230      1.98   0.031461   0.031575   0.031768   0.031963  0.032158     11.39    11.52
ALVARADO TEX INDPT SCH D 022357H59 10/28/20 02/15/28     89.415     0.000     1.5390      2.41   0.038225   0.038400   0.038695   0.038993  0.039293     13.86    14.07
ALVARADO TEX INDPT SCH D 022357H67 10/28/20 02/15/29     87.333     0.000     1.6390      2.50   0.039760   0.039953   0.040281   0.040611  0.040944     14.42    14.65
ALVARADO TEX INDPT SCH D 022357H75 10/28/20 02/15/30     85.130     0.000     1.7390      2.59   0.041123   0.041336   0.041695   0.042057  0.042423     14.92    15.17
AMARILLO TEX INDPT SCH D 023051YU3 10/14/20 02/01/23     98.612     0.000     0.6093      1.29   0.016691   0.016721   0.016772   0.016823  0.016874      6.03     6.06
AMARILLO TEX INDPT SCH D 023051YV1 10/14/20 02/01/24     97.347     0.000     0.8171      1.70   0.022095   0.022148   0.022239   0.022330  0.022421      7.99     8.05
AMARILLO TEX INDPT SCH D 023051YW9 10/14/20 02/01/25     96.350     0.000     0.8671      1.79   0.023207   0.023267   0.023368   0.023469  0.023571      8.39     8.46
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES     4.4730             0.178411   0.182203   0.186079   0.190042  0.194071     65.83    68.66
ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26     96.122     3.650     4.2802     10.27   0.013868   0.014165   0.014468   0.014778  0.015094      5.14     5.36
ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36     93.636     4.700     5.2667      5.16   0.007033   0.007218   0.007408   0.007603  0.007803      2.62     2.76
Republic of Argentina    040114BD1 03/01/99 03/01/29     75.576     8.875        N/A             0.025117   0.025111   0.025105   0.025098  0.025091      9.04     9.03
Argentina, Republic      040114GB0 07/21/00 07/21/30     80.144    10.250    12.8670     56.96   0.020890   0.022234   0.023664   0.025186  0.026807      8.21     9.30
Republic of Argentina    040114GH7 06/19/01 06/19/31     75.250     0.000        N/A             0.617476   0.616037   0.621506   0.620332  0.626136    225.17   226.70
ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25     95.120     0.000     1.0371      2.11   0.027404   0.027499   0.027642   0.027785  0.027929      9.91    10.02
ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26     92.991     0.000     1.2489      2.48   0.032261   0.032397   0.032599   0.032803  0.033007     11.68    11.83
ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27     91.280     0.000     1.3390      2.61   0.033952   0.034105   0.034333   0.034563  0.034795     12.30    12.46
ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30     84.028     0.000     1.7770      3.19   0.041476   0.041724   0.042095   0.042469  0.042846     15.06    15.32
ARLINGTON TEX INDPT SCH  0418265M6 07/30/20 02/15/24     95.925     0.000     1.1781      4.74   0.031407   0.031592   0.031778   0.031965  0.032154     11.39    11.52
BRE Properties, Inc.     05564EBM7 04/04/14 01/15/23*    94.166     3.375     4.1754     42.85   0.020051   0.020469                                      3.37*        
Banco de Galicia         059538AR9 07/19/16 07/19/26    100.000    VARIES     8.7499    393.63   0.248726   0.249582   0.250475   0.249867  0.249233     89.98    89.86
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WB74 08/02/19 08/02/49    100.000     0.000     4.1568     59.93   0.120316   0.122817   0.125370   0.127975  0.130635     44.52    46.39
Bank of America Corp.    06048WCB4 05/28/10 05/28/30*   100.000    VARIES     5.5514             0.138709                                                 8.32*        
Bank of America Corp.    06048WCS7 07/12/10 07/12/30*   100.000    VARIES     5.8002             0.152309                                                 1.68*        
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES     5.2017             0.134878   0.135251   0.135633   0.136025  0.136427     48.68    48.96
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES     5.6999             0.148729   0.149092   0.149465   0.149849  0.150244     53.64    53.91
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES     5.9911             0.154542   0.154984   0.155440   0.155909  0.156392     55.73    56.06
Bank of America Corp.    06048WEY2 01/13/11 01/13/31*   100.000    VARIES     5.1717             0.137990                                                 1.66*        
Bank of America Corp.    06048WFA3 01/14/11 01/14/21    100.000    VARIES     5.4019             0.149991                                                 1.95         
Bank of America Corp.    06048WFE5 02/18/11 02/18/21    100.000    VARIES     5.5089             0.152972                                                 7.19         
Bank of America Corp.    06048WFG0 02/24/11 02/24/31*   100.000    VARIES     5.9293             0.160050                                                 8.64*        
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES     5.6399             0.150890   0.151095   0.151306   0.151523  0.151747     54.41    54.56
Bank of America Corp.    06048WFK1 02/25/11 02/25/21    100.000    VARIES     5.2650             0.146174                                                 7.89         
Bank of America Corp.    06048WFM7 03/11/11 03/11/21    100.000    VARIES     5.0284             0.139902                                                 9.79         
Bank of America Corp.    06048WFT2 03/31/11 03/31/21    100.000    VARIES     5.2102             0.144832                                                12.89         
Bank of America Corp.    06048WFU9 03/29/11 03/29/21    100.000    VARIES     2.3129             0.010515                                                 0.93         
Bank of America Corp.    06048WFW5 04/12/11 04/12/21    100.000    VARIES     5.3401             0.148416                                                14.99         
Bank of America Corp.    06048WG61 12/23/19 12/23/49    100.000     0.000     3.6664     37.84   0.105613   0.107549   0.109520   0.111528  0.113572     38.40    39.82
Bank of America Corp.    06048WGC8 05/27/11 05/27/31*   100.000    VARIES     5.1375             0.136086                                                 8.17*        
Bank of America Corp.    06048WGE4 06/14/11 06/14/21    100.000    VARIES     2.2369             0.061985                                                10.10         
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES     4.8974             0.135977   0.135989   0.136001   0.136013  0.136026     48.95    48.96
Bank of America Corp.    06048WGN4 07/07/11 07/07/21    100.000    VARIES     5.1062             0.141858   0.141848                                     26.38         
Bank of America Corp.    06048WGP9 06/28/11 06/28/21    100.000    VARIES     2.3483             0.016544                                                 2.93         
Bank of America Corp.    06048WGQ7 07/14/11 07/14/31*   100.000    VARIES     5.5582             0.147337                                                 1.92*        
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES     5.1475             0.142721   0.142763   0.142805   0.142849  0.142894     51.40    51.43
Bank of America Corp.    06048WGZ7 08/15/11 08/15/31*   100.000    VARIES     5.2773             0.139661   0.139897                                      6.42*        
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES     4.7457             0.131650   0.131678   0.131706   0.131734  0.131763     47.41    47.43
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES     5.0293             0.132421   0.132673   0.132931   0.133196  0.133467     47.78    47.97
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES     5.3142             0.139627   0.139899   0.140178   0.140464  0.140759     50.36    50.57
Bank of America Corp.    06048WKG4 01/31/12 01/31/32*   100.000    VARIES     5.8093             0.155193   0.155387                                      4.81*        
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES     1.6066             0.009512   0.009589   0.009666   0.009743                3.45     2.99
Bank of America Corp.    06048WNK2 12/10/12 12/10/22    100.000    VARIES     1.4139             0.038762   0.038889   0.039016   0.039145               13.98    13.25
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES     5.0043             0.133262   0.133422   0.133585   0.133753  0.133925     48.06    48.18
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES     4.8453             0.129145   0.129298   0.129454   0.129615  0.129779     46.56    46.68
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES     4.9958             0.131837   0.131266   0.132141   0.131576  0.132461     48.05    48.17
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES     4.8735             0.129656   0.129816   0.129980   0.130148  0.130320     46.74    46.86
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES     4.7034             0.125236   0.125389   0.125546   0.125707  0.125871     45.14    45.25
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES     4.8649             0.129685   0.129838   0.129994   0.130154  0.130319     46.72    46.83
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES     3.7879             0.102726   0.101305   0.103247   0.101827  0.103787     37.30    37.49
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES     4.4527             0.118201   0.118351   0.118505   0.118662  0.118822     42.61    42.72
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES     2.8047             0.015447   0.015664   0.015884   0.016106  0.016332      5.64     5.80
Bank of America Corp.    06048WRV4 10/30/15 10/30/25    100.000    VARIES     2.4485             0.008818   0.008926   0.009035   0.009146  0.009258      3.21     3.29
Bank of America Corp.    06048WTR1 10/28/16 10/28/26    100.000    VARIES     2.1950     11.41   0.007431   0.007513   0.007595   0.007679  0.007763      2.70     2.76
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Bank of America Corp.    06048WUR9 08/25/17 08/25/29    100.000    VARIES     1.6609      9.45   0.007441   0.007503   0.007565   0.007628  0.007692      2.71     2.75
Bank of America Corp.    06048WUT5 08/28/17 08/28/27    100.000    VARIES     1.7157     12.20   0.009753   0.009837   0.009921   0.010006  0.010092      3.55     3.61
Bank of America Corp.    06048WVM9 01/30/18 01/30/28    100.000    VARIES     3.1591     10.97   0.009422   0.009571   0.009722   0.009875  0.010031      3.46     3.57
Bank of America Corp.    06048WWA4 03/27/18 03/27/28    100.000    VARIES     3.7904    104.87   0.105554   0.105539   0.105523   0.105507  0.105491     37.99    37.98
Bank of America Corp.    06048WWX4 06/13/18 06/13/28    100.000    VARIES     3.6250     13.44   0.012794   0.013026   0.013262   0.013502  0.013747      4.66     4.83
Bank of America Corp.    06048WWY2 06/27/18 06/27/28    100.000    VARIES     3.6179     15.77   0.015357   0.014630   0.014894   0.015164  0.015438      5.40     5.41
Bank of America Corp.    06048WZE3 02/06/19 02/06/39    100.000     0.000     4.7730     93.95   0.142305   0.145702   0.149179   0.152739  0.156384     52.84    55.39
Bank of America Corp.    06051GHN2 08/29/18 12/15/37     43.329     0.000     4.3817     46.27   0.058255   0.059531   0.060835   0.062168  0.063530     21.24    22.18
Bank of America Corp.    06053M427 09/05/14 08/27/21    100.000     0.000     2.9178             0.096374   0.097780                                     23.00         
Bank of America Corp.    06053M518 10/02/14 09/24/21    100.000     0.000     3.1046             0.103678   0.105288                                     27.56         
Bank of America Corp.    06053M534 11/06/14 10/29/21    100.000     0.000     2.9616             0.098081   0.099533                                     29.49         
Bank of America Corp.    06053M674 12/03/14 11/24/21    100.000     0.000     2.8708             0.094550   0.095908                                     30.78         
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000     3.3492             0.111825   0.113698   0.115602   0.117538  0.119506     41.07    42.45
Bank of America Corp.    06053U106 02/05/15 01/28/22    100.000     0.000     2.5377             0.080940   0.081967   0.083007                          29.64     2.24
Bank of America Corp.    06053W169 04/02/15 03/25/22    100.000     0.000     2.7072             0.087142   0.088322   0.089517                          31.81     7.52
Bank of America Corp.    06053W359 06/04/15 05/27/22    100.000     0.000     2.8843             0.093736   0.095088   0.096459                          34.08    14.08
Bank of America Corp.    06053W458 07/02/15 06/24/22    100.000     0.000     3.1925             0.105483   0.107167   0.108878                          38.30    18.84
Bank of America Corp.    06053W631 08/10/15 08/27/21    100.000     0.000     2.7830             0.088877   0.090114                                     21.20         
Bank of America Corp.    06053W649 08/10/15 08/26/22    100.000     0.000     3.0325             0.098047   0.099533   0.101042   0.102574               35.94    24.02
Bank of America Corp.    06053W730 10/01/15 09/30/22    100.000     0.000     2.9206             0.092746   0.093586   0.095474   0.096339               34.26    26.13
Bank of America Corp.    06053W888 10/23/15 10/28/22    100.000     0.000     2.9889             0.096339   0.097779   0.099240   0.100723               35.12    29.74
Bank of Nova Scotia      064159MP8 11/09/18 11/04/21    100.000     0.000     3.6704     81.16   0.109593   0.111604                                     33.57         
Bank of Nova Scotia      064159PJ9 07/09/19 08/04/21    100.000     0.000     2.2132     33.08   0.062942   0.063639                                     13.53         
Bank of Nova Scotia      064159X92 06/16/21 06/16/36    100.000    VARIES     2.3423                        0.065065   0.064200   0.063325  0.063035     12.67    22.94
Bank of Nova Scotia      06417P124 08/01/19 07/26/24    100.000     0.000     2.5003     35.84   0.071176   0.072066   0.072967   0.073879  0.074803     26.06    26.72
Bank of Nova Scotia      06417P330 06/06/19 05/30/25    100.000     0.000     3.0038     47.93   0.087213   0.088523   0.089853   0.091202  0.092572     31.71    32.67
Bank of Nova Scotia      06417P538 01/31/19 01/27/23    100.000     0.000     3.6098     71.11   0.105769   0.107678   0.109622   0.111601  0.113615     39.01    40.43
Bank of Nova Scotia      06417P611 12/28/18 12/20/24    100.000     0.000     3.9396     81.52   0.118213   0.120542   0.122916   0.125337  0.127806     43.03    44.74
Bank of Nova Scotia      06417P819 11/01/18 10/25/24    100.000     0.000     3.9550     88.61   0.118735   0.121083   0.123477   0.125919  0.128409     43.48    45.22
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000     3.5500             0.123955   0.126155   0.128394   0.130673  0.132993     45.43    47.06
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000     3.6100             0.126533   0.128817   0.131142   0.133509  0.135919     46.34    48.02
Barclays Bank PLC        06738G8A1 01/30/20 02/04/25    104.000     0.000     2.1300     20.47   0.062203   0.062865   0.063535   0.064211  0.064895     22.71    23.19
Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES     3.8891             0.110297   0.110011   0.109720   0.108883               39.63    33.97
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES     4.2147             0.119483   0.118900   0.118304   0.117696               42.82    33.49
Barclays Bank PLC        06738JL28 03/24/11 03/24/21    100.000    VARIES     4.4416             0.124920                                                10.37         
Barclays Bank PLC        06738JLF9 11/04/10 11/04/25**  100.000    VARIES     3.9434             0.000000   0.000000   0.000000   0.000000  0.000000      0.00**   0.00
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES     4.2148             0.119510   0.118921   0.118320   0.117706               42.82    32.55
Barclays Bank PLC        06738JMB7 08/19/10 08/19/22    100.000    VARIES     4.2846    449.29   0.120607   0.120513   0.120417   0.119723               43.38    27.33
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES     5.5651             0.130170   0.131499   0.132864   0.134268  0.135640     47.44    48.43
Barclays Bank PLC        06738KBW0 02/09/11 02/09/21    100.000    VARIES     4.8413             0.134836                                                 5.12         
Barclays Bank PLC        06738KCN9 03/16/11 03/16/21    100.000    VARIES     4.8210             0.134276                                                10.07         
Barclays Bank PLC        06738KEA5 03/09/11 03/09/21    100.000    VARIES     5.1731             0.144968                                                 9.86         
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06738KEM9 04/08/11 04/08/21    100.000    VARIES     5.0807             0.141563                                                13.73         
Barclays Bank PLC        06738KHK0 05/12/11 05/12/21    100.000    VARIES     4.6809             0.130371                                                17.08         
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES     4.8717             0.137480   0.137008   0.136569   0.136119  0.135726     49.41    49.08
Barclays Bank PLC        06738KMV0 07/28/11 07/28/21    100.000    VARIES     4.8123             0.134742   0.134215                                     27.80         
Barclays Bank PLC        06738KN98 02/29/12 02/28/22    100.000    VARIES     4.0104             0.111085   0.109173   0.110884                          40.17     6.43
Barclays Bank PLC        06738KQ53 02/14/12 02/14/22    100.000     0.500     4.1087             0.155530   0.158440   0.161410                          57.32     6.94
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES     6.1336             0.151793   0.150950   0.155162   0.154367  0.158742     55.66    56.93
Barclays Bank PLC        06738KQT1 08/05/11 08/05/21    100.000    VARIES     4.6124             0.129833   0.128987                                     27.63         
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES     5.4570             0.144235   0.145647   0.147096   0.148586  0.150115     52.44    53.50
Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES     5.2986             0.140386   0.141382   0.142406   0.143456  0.144534     50.90    51.65
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES     4.5597             0.123772   0.122575   0.125460   0.124273  0.127225     45.06    45.68
Barclays Bank PLC        06739FJA0 12/18/15 12/19/22    100.000     0.125     2.3109    122.33   0.071587   0.072374   0.073170   0.073975               25.93    25.61
Barclays Bank PLC        06739FJF9 03/11/16 03/13/23    100.000     0.125     2.2608    113.80   0.069124   0.069866   0.070616   0.071375  0.072143     25.18    25.72
Barclays Bank PLC        06739FJQ5 10/30/18 10/30/23    100.000     0.000     3.9200     87.91   0.117680   0.119987   0.122338   0.124736  0.127181     43.06    44.77
Barclays Bank PLC        06739GCF4 02/20/20 02/18/25    104.000     0.000     3.2800     29.67   0.096291   0.097871   0.099476   0.101107  0.102765     35.37    36.54
Barclays Bank PLC        06740ASJ9 02/29/12 02/28/22    100.000    VARIES     3.2529             0.091654   0.089609   0.090481                          32.93     5.25
Barclays Bank PLC        06740D558 02/04/15 08/03/22    100.000     0.000     2.2500             0.070680   0.071475   0.072279   0.073092               25.82    15.47
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES     4.9296             0.110962   0.112150   0.113368   0.114721  0.116106     40.24    41.14
Barclays Bank PLC        06740PMQ6 09/16/10 09/16/25*   100.000    VARIES     4.4380             0.111986                                                 8.29*        
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES     5.2624             0.133430   0.134507   0.135613   0.136749  0.137914     48.23    49.03
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES     4.6203             0.130087   0.129930   0.129769   0.129604  0.129436     46.78    46.66
Barclays Bank PLC        06740PVZ6 09/30/10 09/30/25*   100.000    VARIES     4.7399             0.114827                                                10.22*        
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES     5.6003             0.135840   0.137595   0.139398   0.141252  0.143158     49.22    50.52
Barclays Bank PLC        06740PYG5 01/14/11 01/14/21    100.000    VARIES     4.9825             0.139270                                                 1.81         
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES     5.5228             0.138720   0.139495   0.140594   0.141724  0.142885     50.37    51.17
Barclays Bank PLC        06741J7V5 09/27/18 09/26/23    100.000     0.000     3.8900     91.07   0.116698   0.118967   0.121281   0.123640  0.126045     42.86    44.54
Barclays Bank PLC        06741JS59 05/20/14 05/20/21    100.000     0.000     2.7400             0.090838                                                12.63         
Barclays Bank PLC        06741JV30 07/23/14 07/23/21    100.000     0.000     2.8400             0.093431   0.094758                                     19.11         
Barclays Bank PLC        06741JV89 08/18/14 08/18/21    100.000     0.000     2.8000             0.091899   0.093185                                     21.09         
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES     3.0513             0.089523   0.089618   0.089714   0.089811  0.089910     32.26    32.33
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES     4.3876             0.093413   0.094471   0.095552   0.096891  0.098260     33.84    34.66
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES     4.0797             0.092061   0.091444   0.093877   0.093267  0.095900     33.71    34.40
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES     4.1532             0.074247   0.075062   0.076621   0.078212  0.079836     27.10    28.17
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250     3.4337             0.117286   0.119180   0.121107   0.123067  0.125060     43.01    44.41
Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES     3.9299             0.067113   0.068432   0.069777   0.071148  0.072546     24.66    25.64
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES     3.9300             0.067114   0.068433   0.069777   0.071148  0.072546     24.65    25.62
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES     3.5338             0.078002   0.079121   0.080519   0.081941  0.083389     28.49    29.48
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES     3.7861             0.073909   0.074953   0.076372   0.077817  0.079291     26.97    27.96
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES     3.2563             0.070993   0.072149   0.073324   0.074518  0.075731     25.88    26.73
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES     3.4200             0.062177   0.063241   0.064322   0.065422  0.066541     22.70    23.48
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES     3.5100             0.063112   0.064219   0.065346   0.066493  0.067660     22.99    23.80
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES     3.6856             0.066283   0.067486   0.068730   0.069996  0.071286     24.11    25.01
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES     3.9848    233.78   0.080728   0.082336   0.083976   0.085650  0.087356     29.86    31.06
Barclays Bank PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES     4.2320    229.20   0.072625   0.073486   0.074524   0.075733  0.077138     26.56    27.40
Barclays Bank PLC        06741TZX8 08/01/13 08/01/23    100.000     0.250     3.5547             0.124421   0.126509   0.128634   0.130797  0.132998     45.80    47.35
Barclays Bank PLC        06741U2A1 12/31/15 12/31/21    100.000     0.000     2.5800             0.081468   0.082519                                     29.44         
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES     3.4516             0.066550   0.067699   0.068867   0.070056  0.071265     24.32    25.16
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES     3.4912             0.099421   0.099150   0.098836   0.098517  0.098157     35.71    35.48
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES     3.8795             0.083132   0.083559   0.083994   0.084438  0.085289     30.03    30.36
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES     3.8226             0.065109   0.065022   0.064933   0.066160  0.067409     23.40    23.98
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES     3.8919             0.085668   0.086261   0.086865   0.087480  0.088108     31.13    31.57
Barclays Bank PLC        06741UFY5 07/30/14 07/29/21    100.000     0.000     2.8200             0.092658   0.093964                                     19.51         
Barclays Bank PLC        06741UGX6 08/29/14 08/28/29*   100.000    VARIES     3.7703             0.088814   0.089331                                      5.42*        
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES     3.7464             0.085526   0.086031   0.086545   0.087068  0.087602     30.97    31.35
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES     3.5915             0.084775   0.085015   0.085258   0.085695  0.086140     30.59    30.83
Barclays Bank PLC        06741UMK7 12/04/14 12/06/21    100.000     0.000     2.6300             0.085467   0.086591                                     28.83         
Barclays Bank PLC        06741UQZ0 02/20/15 02/25/22    100.000     0.000     2.6399             0.084742   0.085860   0.086994                          30.99     4.70
Barclays Bank PLC        06741VAN2 09/30/16 09/29/23    100.000     0.000     2.2200     98.46   0.067356   0.068104   0.068860   0.069624  0.070397     24.52    25.07
Barclays Bank PLC        06741VAY8 09/30/16 09/30/21    100.000     0.000     2.0500     90.62   0.061785   0.062418                                     16.73         
Barclays Bank PLC        06741VCG5 10/31/16 10/31/23    100.000     0.000     2.5499    111.45   0.078387   0.079387   0.080399   0.081424  0.082462     28.52    29.25
Barclays Bank PLC        06741VCH3 10/31/16 10/29/21    100.000     0.000     2.2199     96.43   0.067354   0.068101                                     20.21         
Barclays Bank PLC        06741VDS8 11/28/16 11/24/23    100.000     0.000     3.0999    134.15   0.097350   0.098859   0.100392   0.101948  0.103528     35.43    36.54
Barclays Bank PLC        06741VE40 11/28/16 11/26/21    100.000     0.000     2.6500    113.75   0.081773   0.082857                                     26.77         
Barclays Bank PLC        06741VE65 11/28/16 11/26/21    100.000     0.000     2.6500    113.75   0.081773   0.082857                                     26.77         
Barclays Bank PLC        06741VEJ7 12/30/16 12/29/23    100.000     0.000     3.3400    141.78   0.105913   0.107681   0.109480   0.111308  0.113167     38.45    39.75
Barclays Bank PLC        06741VFP2 12/30/16 12/30/21    100.000     0.000     2.9701    125.26   0.092828   0.094206                                     33.57         
Barclays Bank PLC        06741VFX5 12/30/16 12/31/21    100.000     0.000     2.9684    125.27   0.092265   0.092108                                     33.56         
Barclays Bank PLC        06741VG30 01/27/17 01/25/23    100.000     0.000     3.1501    130.63   0.097600   0.099138   0.100699   0.102285  0.103896     35.90    37.04
Barclays Bank PLC        06741VG63 01/31/17 01/31/22    100.000     0.000     2.9201    120.35   0.089775   0.091086   0.092416                          32.95     2.68
Barclays Bank PLC        06741VHH8 01/27/17 01/27/27    100.000    VARIES     2.3799     12.44   0.008481   0.008582   0.008684   0.008787  0.008892      3.10     3.18
Barclays Bank PLC        06741VHQ8 02/10/17 02/08/23    100.000     0.000     3.1499    129.36   0.097596   0.099133   0.100694   0.102280  0.103891     35.85    36.99
Barclays Bank PLC        06741VJB9 02/02/17 02/03/21    100.000     0.000     2.7601    113.27   0.084395                                                 2.70         
Barclays Bank PLC        06741VJH6 03/03/17 03/03/22    100.000     0.000     2.9401    118.23   0.090453   0.091783   0.093132                          33.12     5.77
Barclays Bank PLC        06741VJJ2 02/28/17 08/28/23    100.000     0.000     3.1900    129.31   0.098990   0.100569   0.102173   0.103803  0.105458     36.31    37.48
Barclays Bank PLC        06741VLW0 03/31/17 03/28/24    100.000     0.000     3.2600    129.06   0.101388   0.103040   0.104720   0.106427  0.108161     37.11    38.33
Barclays Bank PLC        06741VLY6 03/31/17 09/29/23    100.000     0.000     3.2100    126.98   0.099673   0.101273   0.102898   0.104550  0.106228     36.47    37.65
Barclays Bank PLC        06741VLZ3 04/05/17 04/05/22    100.000     0.000     2.8900    113.28   0.088760   0.090043   0.091344                          32.41     8.59
Barclays Bank PLC        06741VQQ8 04/28/17 04/25/24    100.000     0.000     3.0900    119.32   0.095534   0.097010   0.098509   0.100031  0.101576     34.85    35.94
Barclays Bank PLC        06741VQR6 04/28/17 10/30/23    100.000     0.000     3.1299    120.93   0.096942   0.098459   0.100000   0.101565  0.103154     35.36    36.47
Barclays Bank PLC        06741VQS4 05/03/17 05/03/22    100.000     0.000     2.9001    111.19   0.089098   0.090390   0.091701                          32.46    11.19
Barclays Bank PLC        06741VTW2 05/31/17 05/30/24    100.000     0.000     3.0612    115.11   0.094042   0.093924   0.096942   0.096821  0.099933     34.40    35.46
Barclays Bank PLC        06741VU83 05/26/17 05/23/24    100.000     0.000     3.0400    114.66   0.093826   0.095252   0.096700   0.098170  0.099662     34.14    35.19
Barclays Bank PLC        06741VUR1 05/19/17 05/19/27    100.000    VARIES     2.5708     13.43   0.009877   0.010004   0.010132   0.010263  0.010394      3.59     3.68
Barclays Bank PLC        06741VXA5 06/30/17 06/27/24    100.000     0.000     2.9300    107.26   0.090090   0.091410   0.092750   0.094108  0.095487     32.68    33.65
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06741VXB3 06/30/17 06/28/23    100.000     0.000     2.8299    103.44   0.086720   0.087947   0.089192   0.090454  0.091734     31.45    32.34
Barclays Bank PLC        06741VXF4 07/06/17 07/06/22    100.000     0.000     2.7400     99.52   0.082584   0.083716   0.084863   0.086025               30.33    15.91
Barclays Bank PLC        06741WCJ7 06/05/17 06/03/22    100.000     0.000     2.6701     99.40   0.081372   0.082459   0.083560                          29.55    12.70
Barclays Bank PLC        06741WDG2 12/04/17 06/02/23    100.000     1.000     3.0301     95.91   0.089512   0.090869   0.091404   0.092788  0.093352     32.52    33.21
Barclays Bank PLC        06741WEM8 12/26/18 12/26/23    100.000     0.000     2.8900     59.49   0.085020   0.086249   0.087495   0.088760  0.090042     30.84    31.74
Barclays Bank PLC        06742B634 03/05/14 03/05/21    100.000     0.000     2.8400             0.094760                                                 6.06         
Barclays Bank PLC        06742W752 06/25/14 06/25/21    100.000     0.000     2.8300             0.094364                                                16.42         
Barclays Bank PLC        06744C3B5 09/29/17 09/30/24    100.000     0.000     3.1200    106.08   0.095110   0.096593   0.098100   0.099630  0.101185     34.78    35.87
Barclays Bank PLC        06744C3C3 09/29/17 03/31/21    100.000     0.000     2.6100     88.11   0.078370                                                 6.97         
Barclays Bank PLC        06744C3D1 10/04/17 10/05/22    100.000     0.000     2.7800     93.65   0.083897   0.085063   0.086246   0.087444               30.61    23.85
Barclays Bank PLC        06744C4C2 09/15/17 09/15/27    100.000    VARIES     2.4839     10.23   0.008131   0.008232   0.008335   0.008438  0.008543      2.97     3.04
Barclays Bank PLC        06744C6M8 10/31/17 04/29/21    100.000     0.000     2.8100     92.49   0.084864                                                10.01         
Barclays Bank PLC        06744C6N6 10/31/17 10/31/24    100.000     0.000     3.2400    107.27   0.099110   0.100716   0.102347   0.104005  0.105690     36.17    37.35
Barclays Bank PLC        06744C6P1 11/03/17 11/03/22    100.000     0.000     2.6500     86.80   0.079660   0.080716   0.081785   0.082869               28.99    24.89
Barclays Bank PLC        06744C7B1 10/27/17 10/24/24    100.000     0.000     3.2400    107.57   0.099082   0.100688   0.102319   0.103976  0.105661     36.18    37.36
Barclays Bank PLC        06744C7C9 10/27/17 10/25/23    100.000     0.000     3.1300    103.76   0.095418   0.096911   0.098428   0.099968  0.101532     34.82    35.92
Barclays Bank PLC        06744CAL5 07/31/17 07/31/24    100.000     0.000     3.0701    109.82   0.093441   0.094876   0.096332   0.097811  0.099312     34.33    35.40
Barclays Bank PLC        06744CAM3 07/31/17 01/29/21    100.000     0.000     2.5600     90.89   0.076746                                                 2.15         
Barclays Bank PLC        06744CAN1 08/03/17 08/04/22    100.000     0.000     2.6899     95.44   0.080962   0.082051   0.083154   0.084273               29.66    17.91
Barclays Bank PLC        06744CBB6 07/28/17 07/25/24    100.000     0.000     3.0200    108.13   0.091759   0.093145   0.094551   0.095979  0.097428     33.72    34.74
Barclays Bank PLC        06744CBC4 07/28/17 07/27/22    100.000     0.000     2.6601     94.74   0.079981   0.081045   0.082123   0.083215               29.31    17.11
Barclays Bank PLC        06744CD65 10/25/17 10/24/24    100.000     0.000     3.2400    107.76   0.099101   0.100706   0.102338   0.103995  0.105680     36.18    37.36
Barclays Bank PLC        06744CD73 10/25/17 10/24/24    100.000     0.000     3.2400    107.76   0.099101   0.100707   0.102338   0.103996  0.105681     36.18    37.36
Barclays Bank PLC        06744CEV9 08/31/17 08/30/24    100.000     0.000     2.9100    101.20   0.088151   0.089419   0.090735   0.092040  0.093394     32.28    33.22
Barclays Bank PLC        06744CEX5 08/31/17 02/26/21    100.000     0.000     2.4699     85.36   0.073831                                                 4.06         
Barclays Bank PLC        06744CGK1 08/25/17 08/22/24    100.000     0.000     2.9600    103.47   0.089776   0.091105   0.092453   0.093821  0.095210     32.90    33.88
Barclays Bank PLC        06744CHA2 08/17/17 08/19/21    100.000     0.000     2.5199     88.13   0.075469   0.076420                                     17.38         
Barclays Bank PLC        06744CJQ5 11/27/17 11/21/24    100.000     0.000     3.1199    100.57   0.095051   0.096534   0.098040   0.099569  0.101122     34.60    35.69
Barclays Bank PLC        06744CJR3 11/27/17 11/22/23    100.000     0.000     3.0299     97.55   0.092073   0.093468   0.094884   0.096322  0.097781     33.51    34.53
Barclays Bank PLC        06744CJY8 11/30/17 05/28/21    100.000     0.000     2.8000     89.62   0.084530                                                12.43         
Barclays Bank PLC        06744CJZ5 11/30/17 11/29/24    100.000     0.000     3.1200    100.28   0.095093   0.096577   0.098083   0.099613  0.101167     34.60    35.68
Barclays Bank PLC        06744CKH3 12/05/17 12/05/22    100.000     0.000     2.9000     92.50   0.087823   0.089096   0.090388   0.091699               31.91    30.43
Barclays Bank PLC        06744CKT7 12/05/17 12/05/22    100.000     0.000     2.9800     95.15   0.090459   0.091807   0.093175   0.094563               32.88    31.37
Barclays Bank PLC        06744CMQ1 12/27/17 12/30/22    100.000     0.000     3.0300     94.78   0.092136   0.093532   0.094949   0.096388               33.42    34.35
Barclays Bank PLC        06744CMR9 12/27/17 06/30/21    100.000     0.000     2.8799     89.92   0.087185                                                15.61         
Barclays Bank PLC        06744CN72 12/29/17 12/27/24    100.000     0.000     3.2100    100.45   0.098088   0.099662   0.101261   0.102887  0.104538     35.61    36.76
Barclays Bank PLC        06744CN80 12/29/17 12/27/23    100.000     0.000     3.1400     98.17   0.095751   0.097254   0.098781   0.100332  0.101907     34.75    35.85
Barclays Bank PLC        06744CP21 12/13/17 12/13/22    100.000     0.000     2.9000     91.80   0.087823   0.089096   0.090388   0.091699               31.89    31.15
Barclays Bank PLC        06744CPC9 01/05/18 01/06/23    100.000     1.300     3.0300     92.86   0.088490   0.088737   0.090081   0.090352  0.091720     32.18    32.76
Barclays Bank PLC        06744CQA2 01/31/18 07/29/21    100.000     0.000     2.9600     89.58   0.088481   0.089791                                     18.64         
Barclays Bank PLC        06744CQB0 01/31/18 01/30/25    100.000     0.000     3.2700     99.34   0.098506   0.100116   0.101753   0.103417  0.105108     36.24    37.44
Barclays Bank PLC        06744CQE4 01/31/18 01/31/23    100.000     1.000     3.0900     92.78   0.090902   0.091448   0.092861   0.093437  0.094881     33.12    33.84
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06744CQJ3 02/05/18 02/03/23    100.000     1.000     3.3800    101.34   0.100133   0.100887   0.102592   0.103387  0.105134     36.55    37.45
Barclays Bank PLC        06744CQZ7 01/26/18 01/24/25    100.000     0.000     3.2700     99.74   0.098488   0.100098   0.101734   0.103398  0.105088     36.26    37.45
Barclays Bank PLC        06744CR29 01/26/18 01/24/24    100.000     0.000     3.2100     97.83   0.096538   0.098088   0.099662   0.101262  0.102887     35.52    36.67
Barclays Bank PLC        06744CRB9 12/29/17 06/30/23    100.000     0.000     3.0800     96.22   0.093779   0.095223   0.096690   0.098179  0.099691     34.02    35.08
Barclays Bank PLC        06744CRJ2 01/10/18 01/07/21    100.000     0.000     2.8899     89.12   0.086226                                                 0.52         
Barclays Bank PLC        06744CSB8 01/18/18 01/14/21    100.000     0.000     3.0399     93.19   0.091027                                                 1.18         
Barclays Bank PLC        06744CT50 01/26/18 01/26/28    100.000    VARIES     3.1964     10.72   0.009161   0.009308   0.009456   0.009607  0.009761      3.37     3.48
Barclays Bank PLC        06744CTC5 02/14/18 02/12/25    100.000     0.000     3.7700    113.62   0.114947   0.117114   0.119321   0.121570  0.123862     42.38    43.99
Barclays Bank PLC        06744CTD3 02/01/18 02/01/21    100.000    VARIES     3.2299     93.94   0.089621                                                 2.69         
Barclays Bank PLC        06744CTM3 03/05/18 03/05/25    100.000    VARIES     3.7200    104.41   0.103452   0.103736   0.103840   0.103802  0.103722     37.34    37.36
Barclays Bank PLC        06744CTR2 02/26/18 02/21/25    100.000     0.000     3.3199     98.32   0.100088   0.101749   0.103438   0.105155  0.106901     36.77    38.00
Barclays Bank PLC        06744CTS0 02/26/18 11/21/23    100.000     0.000     3.2994     97.72   0.100239   0.101892   0.103573   0.105282  0.107019     36.52    37.73
Barclays Bank PLC        06744CU90 01/31/18 07/29/22    100.000     0.000     3.0600     92.72   0.091696   0.093099   0.094524   0.095970               33.69    19.92
Barclays Bank PLC        06744CUA7 01/31/18 07/29/22    100.000     0.000     3.0600     92.72   0.091697   0.093100   0.094524   0.095971               33.69    19.92
Barclays Bank PLC        06744CUB5 02/28/18 02/28/25    100.000     0.000     3.7300    110.77   0.113640   0.115759   0.117918   0.120117  0.122358     41.82    43.39
Barclays Bank PLC        06744CUC3 02/28/18 02/28/23    100.000     1.100     3.5359    103.70   0.104977   0.105753   0.107623   0.108445  0.110362     38.26    39.23
Barclays Bank PLC        06744CUD1 02/28/18 02/26/21    100.000     0.000     3.2938     97.31   0.099262                                                 5.46         
Barclays Bank PLC        06744CUP4 03/05/18 03/03/23    100.000     1.000     3.5700    104.10   0.106262   0.107167   0.109080   0.110035  0.112000     38.75    39.79
Barclays Bank PLC        06744CUQ2 03/05/18 03/03/23    100.000     0.000     3.5700    105.06   0.108317   0.110251   0.112219   0.114222  0.116260     39.80    41.24
Barclays Bank PLC        06744CVE8 02/09/18 02/09/21    100.000    VARIES     3.1999     92.30   0.088709                                                 3.37         
Barclays Bank PLC        06744CVY4 02/14/18 02/14/23    100.000     0.000     3.5600    107.02   0.108009   0.109932   0.111888   0.113880  0.115907     39.76    41.19
Barclays Bank PLC        06744CWD9 02/16/18 02/16/21    100.000    VARIES     2.8899     82.77   0.080074                                                 3.60         
Barclays Bank PLC        06744CWE7 02/13/18 02/16/21    100.000     0.000     2.8899     86.27   0.086267                                                 3.88         
Barclays Bank PLC        06744CWV9 02/21/18 02/19/21    100.000     0.000     2.8900     85.58   0.086233                                                 4.14         
Barclays Bank PLC        06744CWY3 02/22/18 02/22/21    100.000    VARIES     3.3299     95.08   0.092495                                                 4.72         
Barclays Bank PLC        06744CY62 03/29/18 03/28/23    100.000     0.000     3.5100    100.67   0.106350   0.108217   0.110116   0.112049  0.114015     38.97    40.35
Barclays Bank PLC        06744CY70 03/29/18 09/26/24    100.000     0.000     3.6400    104.55   0.110619   0.112632   0.114682   0.116769  0.118894     40.57    42.06
Barclays Bank PLC        06744CYD7 03/29/18 03/31/21    100.000     0.000     3.3000     94.42   0.099491                                                 8.85         
Barclays Bank PLC        06744CYE5 04/03/18 04/05/23    100.000     0.000     3.5300    100.84   0.107040   0.108929   0.110851   0.112808  0.114799     39.20    40.60
Barclays Bank PLC        06744CYF2 03/29/18 03/31/23    100.000     1.250     3.5081     99.49   0.103775   0.104377   0.106208   0.106853  0.108727     37.69    38.58
Barclays Bank PLC        06744CYT2 03/08/18 03/08/21    100.000    VARIES     3.3300     93.62   0.092526                                                 6.20         
Barclays Bank PLC        06744CYW5 03/09/18 03/09/28    100.000    VARIES     3.4394     12.55   0.011042   0.011232   0.011425   0.011622  0.011822      4.05     4.19
Barclays Bank PLC        06746L125 09/14/17 09/16/21    100.000     0.000     2.5900     88.58   0.077729   0.078736                                     20.00         
Barclays Bank PLC        06746M107 09/14/17 09/15/22    100.000     0.000     2.7800     95.33   0.083897   0.085063   0.086245   0.087444               30.66    22.12
Barclays Bank PLC        06746M206 09/14/17 09/14/23    100.000     0.000     2.9700    102.12   0.090129   0.091467   0.092826   0.094204  0.095603     32.98    33.96
Barclays Bank PLC        06746M404 09/14/17 09/16/21    100.000     0.000     2.5900     88.58   0.077729   0.078736                                     20.00         
Barclays Bank PLC        06746N451 01/03/18 01/03/25    100.000     0.000     3.2700    102.00   0.098506   0.100116   0.101753   0.103417  0.105108     36.33    37.53
Barclays Bank PLC        06746P795 02/05/18 02/03/23    100.000     0.000     3.3800    102.31   0.102075   0.103800   0.105555   0.107338  0.109152     37.57    38.85
Barclays Bank PLC        06746Q462 03/01/18 03/03/21    100.000     0.000     3.2599     95.98   0.098196                                                 6.09         
Barclays Bank PLC        06746Q702 03/05/18 03/03/21    100.000     0.000     3.3199     97.42   0.100115                                                 6.21         
Barclays Bank PLC        06746R338 06/01/18 05/27/22    100.000     0.000     3.5899     96.30   0.108954   0.110909   0.112900                          39.71    16.48
Barclays Bank PLC        06746R841 05/03/18 05/06/21    100.000     0.000     3.4899     96.48   0.105731                                                13.22         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06746T250 09/06/18 09/04/25    100.000     0.000     3.8400     92.28   0.115073   0.117282   0.119534   0.121829  0.124168     42.35    43.99
Barclays Bank PLC        06746T805 07/05/18 07/03/25    100.000     0.000     3.8500     99.57   0.115395   0.117616   0.119880   0.122188  0.124540     42.74    44.40
Barclays Bank PLC        06746U448 10/03/18 10/03/23    100.000     0.000     3.9800     92.53   0.119622   0.122002   0.124430   0.126906  0.129432     43.92    45.68
Barclays Bank PLC        06746V776 12/06/18 11/29/24    100.000     0.000     3.9099     83.47   0.117265   0.119558   0.121895   0.124278  0.126708     42.78    44.47
Barclays Bank PLC        06746X2A0 03/13/18 03/11/21    100.000     0.000     3.3499     97.52   0.101094                                                 7.08         
Barclays Bank PLC        06746X2B8 03/16/18 03/16/21    100.000    VARIES     3.2600     90.93   0.090638                                                 6.80         
Barclays Bank PLC        06746X2F9 03/21/18 03/22/21    100.000     0.000     3.3500     96.71   0.101123                                                 8.19         
Barclays Bank PLC        06746X3C5 03/28/18 03/29/21    100.000     0.000     3.3000     94.52   0.099491                                                 8.76         
Barclays Bank PLC        06746X3U5 04/30/18 04/30/21    100.000     0.000     3.4900     96.80   0.105703                                                12.58         
Barclays Bank PLC        06746X3V3 04/30/18 04/30/25    100.000     0.000     3.8700    107.78   0.118311   0.120601   0.122934   0.125313  0.127738     43.29    44.98
Barclays Bank PLC        06746X3W1 04/30/18 04/28/23    100.000     1.250     3.7000    101.76   0.109977   0.110727   0.112776   0.113577  0.115679     39.90    40.92
Barclays Bank PLC        06746X3X9 05/03/18 05/03/23    100.000     0.000     3.7000    102.52   0.112643   0.114727   0.116850   0.119011  0.121213     41.17    42.71
Barclays Bank PLC        06746X4M2 05/03/18 05/03/23    100.000     0.000     3.7000    102.52   0.112643   0.114727   0.116850   0.119011  0.121213     41.17    42.71
Barclays Bank PLC        06746X4W0 04/27/18 04/25/23    100.000     0.000     3.7000    103.20   0.112619   0.114702   0.116824   0.118986  0.121187     41.20    42.73
Barclays Bank PLC        06746X4X8 04/27/18 07/25/24    100.000     0.000     3.8193    106.69   0.115498   0.117703   0.119951   0.122242  0.124576     42.67    44.32
Barclays Bank PLC        06746X5F6 04/30/18 04/30/21    100.000     0.000     3.4900     96.80   0.105703                                                12.58         
Barclays Bank PLC        06746X5W9 04/11/18 04/09/21    100.000     0.000     3.3399     94.40   0.100767                                                 9.88         
Barclays Bank PLC        06746X6A6 04/25/18 04/25/28    100.000    VARIES     3.6446     14.80   0.013583   0.012934   0.013170   0.013410  0.013654      4.75     4.82
Barclays Bank PLC        06746X6Q1 04/30/18 04/28/23    100.000     0.000     3.7000    102.86   0.112619   0.114702   0.116824   0.118985  0.121187     41.18    42.72
Barclays Bank PLC        06746X6R9 04/30/18 04/30/21    100.000    VARIES     3.4902     93.78   0.097631                                                11.62         
Barclays Bank PLC        06746X6S7 04/30/18 04/30/21    100.000    VARIES     3.4905     93.99   0.097969                                                11.66         
Barclays Bank PLC        06746X6T5 05/03/18 04/29/21    100.000     0.000     3.4899     96.48   0.105659                                                12.47         
Barclays Bank PLC        06746X6Z1 05/02/18 04/29/21    100.000     0.000     3.4999     96.87   0.105999                                                12.51         
Barclays Bank PLC        06746X7C1 05/30/18 05/27/21    100.000     0.000     3.3699     90.29   0.101738                                                14.85         
Barclays Bank PLC        06746X7E7 05/30/18 05/30/23    100.000     1.000     3.6100     96.17   0.107582   0.108521   0.110479   0.111471  0.113483     38.99    40.04
Barclays Bank PLC        06746XA45 05/30/18 05/28/21    100.000     0.000     3.3700     90.29   0.101748                                                14.96         
Barclays Bank PLC        06746XAE3 05/25/18 05/23/24    100.000     0.000     3.8000    102.86   0.115947   0.118150   0.120394   0.122682  0.125013     42.31    43.93
Barclays Bank PLC        06746XAF0 05/25/18 05/23/23    100.000     0.000     3.6900     99.76   0.112287   0.114359   0.116469   0.118617  0.120806     40.96    42.48
Barclays Bank PLC        06746XAM5 05/02/18 05/02/23    100.000     1.000     3.7100    102.04   0.110837   0.111862   0.113937   0.115020  0.117154     40.27    41.40
Barclays Bank PLC        06746XAV5 06/05/18 06/04/21    100.000     0.000     3.4600     92.27   0.104707                                                16.02         
Barclays Bank PLC        06746XBF9 06/05/18 06/05/23    100.000     0.000     3.6901     98.64   0.112313   0.114385   0.116496   0.118645  0.120834     40.91    42.44
Barclays Bank PLC        06746XBJ1 05/09/18 05/06/21    100.000     0.000     3.5199     96.70   0.106657                                                13.33         
Barclays Bank PLC        06746XBL6 05/30/18 05/31/23    100.000     1.750     3.6101     95.57   0.106024   0.106183   0.108100   0.108296  0.110251     38.26    39.02
Barclays Bank PLC        06746XBU6 05/16/18 05/13/21    100.000     0.000     3.5899     97.94   0.108965                                                14.38         
Barclays Bank PLC        06746XBZ5 05/14/18 05/14/21    100.000    VARIES     3.5104     93.04   0.098356                                                13.08         
Barclays Bank PLC        06746XCC5 05/25/18 05/21/26    100.000     0.000     3.9200    106.24   0.119934   0.122284   0.124681   0.127125  0.129616     43.79    45.52
Barclays Bank PLC        06746XCW1 05/30/18 05/30/23    100.000    VARIES     2.9247      7.32   0.008204   0.008092   0.007979   0.007864  0.007748      2.93     2.84
Barclays Bank PLC        06746XD34 06/29/18 06/27/24    100.000     0.000     3.8100     99.18   0.116280   0.118495   0.120752   0.123053  0.125397     42.28    43.90
Barclays Bank PLC        06746XD42 06/29/18 06/27/23    100.000     0.000     3.7300     97.02   0.113616   0.115735   0.117893   0.120092  0.122331     41.30    42.86
Barclays Bank PLC        06746XD75 05/31/18 05/31/23    100.000    VARIES     3.1075      8.99   0.010097   0.009952   0.009804   0.009654  0.009502      3.60     3.49
Barclays Bank PLC        06746XDT7 06/29/18 06/30/21    100.000     0.000     3.5300     91.63   0.107029                                                19.16         
Barclays Bank PLC        06746XE41 06/29/18 06/29/23    100.000     1.750     3.7100     95.16   0.109234   0.109457   0.111487   0.111752  0.113825     39.37    40.19
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06746XE58 06/29/18 06/29/23    100.000     1.000     3.7100     95.72   0.110837   0.111862   0.113937   0.115020  0.117154     40.09    41.22
Barclays Bank PLC        06746XEK5 07/05/18 07/02/21    100.000     0.000     3.5099     90.46   0.104494   0.106328                                     19.24         
Barclays Bank PLC        06746XFD0 06/18/18 06/17/22    100.000     0.000     3.6600     96.36   0.111304   0.113341   0.115415                          40.49    19.16
Barclays Bank PLC        06746XFE8 06/29/18 06/29/23    100.000    VARIES     3.3273      9.73   0.010418   0.010591   0.010768   0.010947  0.011129      3.78     3.91
Barclays Bank PLC        06746XG31 07/23/18 01/23/26    100.000    VARIES     3.8703     93.33   0.105008   0.106346   0.107355   0.108076  0.108531     38.41    38.96
Barclays Bank PLC        06746XGT4 07/31/18 07/30/21    100.000     0.000     3.5100     87.85   0.104527   0.106361                                     22.18         
Barclays Bank PLC        06746XGV9 07/18/18 07/16/21    100.000     0.000     3.5499     90.16   0.105779   0.107656                                     20.96         
Barclays Bank PLC        06746XH71 07/27/18 07/25/24    100.000     0.000     3.8699     97.55   0.116039   0.118284   0.120573   0.122906  0.125284     42.89    44.56
Barclays Bank PLC        06746XH89 07/27/18 04/25/23    100.000     0.000     3.7791     95.24   0.114181   0.116338   0.118537   0.120776  0.123059     41.78    43.37
Barclays Bank PLC        06746XHH9 07/31/18 07/31/23    100.000     1.750     3.7399     92.58   0.108126   0.110148   0.110389   0.112453  0.112738     39.64    40.48
Barclays Bank PLC        06746XHJ5 07/31/18 07/31/23    100.000     1.000     3.7400     93.12   0.109764   0.111816   0.112868   0.114979  0.116090     40.35    41.50
Barclays Bank PLC        06746XHK2 07/31/18 01/29/21    100.000     0.000     3.4500     86.30   0.102608                                                 2.87         
Barclays Bank PLC        06746XHP1 08/03/18 08/04/21    100.000     0.000     3.5100     87.54   0.104536   0.106370                                     22.60         
Barclays Bank PLC        06746XJK0 07/31/18 07/31/23    100.000    VARIES     3.8007     91.35   0.106407   0.107295   0.107675   0.107634  0.107206     38.66    38.68
Barclays Bank PLC        06746XK28 08/01/18 07/29/21    100.000     0.000     3.6199     90.59   0.108012   0.109967                                     22.82         
Barclays Bank PLC        06746XKF9 08/31/18 02/26/21    100.000     0.000     3.4999     84.47   0.104165                                                 5.73         
Barclays Bank PLC        06746XKX0 09/06/18 06/05/23    100.000     0.000     3.7091     89.05   0.111905   0.113981   0.116094   0.118247  0.120440     40.77    42.29
Barclays Bank PLC        06746XKZ5 09/06/18 09/03/21    100.000     0.000     3.5399     84.83   0.105449   0.107315                                     25.85         
Barclays Bank PLC        06746XL50 08/31/18 08/31/21    100.000     0.000     3.5400     85.47   0.105482   0.107329                                     25.55         
Barclays Bank PLC        06746XLB7 08/31/18 06/01/23    100.000     0.000     3.6892     89.22   0.111277   0.113330   0.115420   0.117549  0.119718     40.55    42.06
Barclays Bank PLC        06746XLE1 08/31/18 06/01/23    100.000     1.000     3.6891     88.41   0.109150   0.110139   0.112170   0.113214  0.115303     39.56    40.66
Barclays Bank PLC        06746XLJ0 08/31/18 03/03/21    100.000     0.000     3.5199     84.97   0.104873                                                 6.50         
Barclays Bank PLC        06746XM34 08/31/18 08/31/23    100.000    VARIES     3.7102     85.89   0.103227   0.103923   0.104256   0.104268  0.104053     37.41    37.51
Barclays Bank PLC        06746XM42 09/04/18 08/31/21    100.000     0.000     3.5733     85.87   0.106501   0.108383                                     25.80         
Barclays Bank PLC        06746XME0 08/31/18 08/31/23    100.000     0.000     3.7100     89.71   0.110918   0.112952   0.115071   0.117182  0.119380     40.80    42.33
Barclays Bank PLC        06746XNG4 08/31/18 08/31/23    100.000     0.000     3.7100     89.71   0.110918   0.112952   0.115071   0.117182  0.119380     40.80    42.33
Barclays Bank PLC        06746XPP2 10/03/18 09/29/21    100.000     0.000     3.7899     87.97   0.113436   0.115586                                     30.79         
Barclays Bank PLC        06746XPX5 09/28/18 09/29/21    100.000     0.000     3.7200     86.85   0.111249   0.113319                                     30.19         
Barclays Bank PLC        06746XQ63 10/03/18 06/30/23    100.000     0.000     3.9789     92.51   0.120738   0.123140   0.125590   0.128088  0.130637     43.90    45.67
Barclays Bank PLC        06746XR62 09/26/18 09/26/24    100.000     0.000     3.9700     93.13   0.119298   0.121666   0.124081   0.126544  0.129056     43.83    45.59
Barclays Bank PLC        06746XRK1 11/05/18 10/29/21    100.000     0.000     3.8098     84.80   0.114054   0.116226                                     34.38         
Barclays Bank PLC        06746XRP0 10/31/18 10/31/23    100.000     0.000     3.9400     88.38   0.118327   0.120658   0.123035   0.125459  0.127930     43.30    45.03
Barclays Bank PLC        06746XRQ8 10/31/18 10/29/21    100.000     0.000     3.7700     84.44   0.112832   0.114959                                     34.01         
Barclays Bank PLC        06746XS20 10/22/18 10/21/21    100.000     0.000     3.7800     85.58   0.113154   0.115292                                     33.20         
Barclays Bank PLC        06746XTF0 11/05/18 08/03/23    100.000     0.000     3.9789     88.72   0.118395   0.120750   0.123153   0.125603  0.128102     43.75    45.51
Barclays Bank PLC        06746XVF7 11/30/18 11/30/21    100.000     0.000     3.6100     77.52   0.107716   0.109661                                     35.79         
Barclays Bank PLC        06746XW41 11/30/18 08/31/22    100.000     0.000     3.6834     79.20   0.109069   0.111056   0.113124   0.115184               40.12    27.41
Barclays Bank PLC        06746XW58 12/05/18 08/31/22    100.000     0.000     3.7217     79.49   0.110220   0.112248   0.114360   0.116464               40.55    27.71
Barclays Bank PLC        06746XX40 11/30/18 11/30/23    100.000     0.000     3.7600     80.84   0.112523   0.114638   0.116793   0.118989  0.121226     41.02    42.58
Barclays Bank PLC        06746XX73 12/05/18 11/30/21    100.000     0.000     3.6498     77.86   0.108936   0.110924                                     36.20         
Barclays Bank PLC        06746XXL2 11/09/18 05/06/22    100.000     0.000     3.8599     85.48   0.115703   0.117936   0.120212                          42.30    15.03
Barclays Bank PLC        06746XXN8 12/05/18 09/05/23    100.000     0.000     3.7791     80.76   0.112086   0.114204   0.116362   0.118561  0.120801     41.23    42.80
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06746XYH0 11/15/18 11/15/21    100.000     0.000     3.7300     81.84   0.111560   0.113640                                     35.40         
Barclays Bank PLC        06746XZK2 12/24/18 12/22/23    100.000     0.000     3.5300     73.23   0.105142   0.106998   0.108887   0.110808  0.112764     38.22    39.58
Barclays Bank PLC        06746XZL0 12/24/18 12/23/21    100.000     0.000     3.3700     69.82   0.100072   0.101758                                     35.53         
Barclays Bank PLC        06746XZY2 12/26/18 12/23/21    100.000     0.000     2.7400     56.34   0.080349   0.081450                                     28.48         
Barclays Bank PLC        06746Y325 04/04/19 03/28/25    100.000     0.000     3.5099     62.52   0.102662   0.104464   0.106297   0.108163  0.110061     37.62    38.95
Barclays Bank PLC        06747A631 04/18/19 04/21/22    100.000     0.000     2.8999     50.27   0.084129   0.085349   0.086587                          30.68     9.52
Barclays Bank PLC        06747A862 05/03/19 05/05/26    100.000     0.000     3.2600     55.22   0.095073   0.096623   0.098198   0.099798  0.101425     34.68    35.82
Barclays Bank PLC        06747B449 07/03/19 07/06/26    100.000     0.000     3.2200     48.90   0.092372   0.093859   0.095370   0.096905  0.098466     34.05    35.15
Barclays Bank PLC        06747B506 06/05/19 06/04/25    100.000     0.000     3.2000     51.20   0.093216   0.094707   0.096222   0.097762  0.099326     33.91    35.00
Barclays Bank PLC        06747B704 06/06/19 05/26/23    100.000     0.000     2.8899     46.08   0.083738   0.084948   0.086175   0.087420  0.088684     30.45    31.34
Barclays Bank PLC        06747C546 09/06/19 08/29/24    100.000     0.000     2.3000     30.65   0.065336   0.066084   0.066848   0.067612  0.068394     23.84    24.39
Barclays Bank PLC        06747C686 09/05/19 09/03/26    100.000     0.000     2.5000     33.41   0.071181   0.072071   0.072972   0.073884  0.074808     26.00    26.65
Barclays Bank PLC        06747D882 11/05/19 11/04/26    100.000     0.000     2.7100     31.61   0.077326   0.078373   0.079435   0.080512  0.081603     28.15    28.91
Barclays Bank PLC        06747G331 04/22/20 05/05/27    100.000     0.000     2.3999     16.66   0.067523   0.068333   0.069153   0.069983  0.070823     24.55    25.14
Barclays Bank PLC        06747H636 06/03/20 06/03/27    100.000     0.000     2.1700     12.56   0.060932   0.061593   0.062261   0.062937  0.063620     22.09    22.57
Barclays Bank PLC        06747J400 07/06/20 07/06/27    100.000     0.000     1.8800      9.14   0.052222   0.052713   0.053209   0.053709  0.054214     19.06    19.42
Barclays Bank PLC        06747M3U8 12/26/18 09/25/23    100.000     0.000     2.8095     57.85   0.081941   0.083093   0.084260   0.085443  0.086644     29.93    30.78
Barclays Bank PLC        06747M6P6 01/31/19 01/29/21    100.000     0.000     3.4500     67.88   0.100868                                                 2.82         
Barclays Bank PLC        06747M6S0 01/31/19 01/31/24    100.000     0.000     3.6200     71.31   0.106115   0.108036   0.109991   0.111982  0.114009     39.13    40.56
Barclays Bank PLC        06747MA22 01/31/19 01/31/22    100.000     0.000     3.4400     67.68   0.100572   0.102302   0.104061                          37.04     3.02
Barclays Bank PLC        06747MA63 01/25/19 01/25/21    100.000     0.000     3.4499     68.38   0.100876                                                 2.42         
Barclays Bank PLC        06747MA89 01/25/19 01/25/21    100.000     0.000     3.4499     68.38   0.100877                                                 2.42         
Barclays Bank PLC        06747MBN5 03/05/19 11/30/22    100.000     0.000     3.2591     60.73   0.095761   0.097321   0.098907   0.100519               34.85    32.83
Barclays Bank PLC        06747MC38 02/28/19 02/29/24    100.000     0.000     3.6879     69.66   0.108226   0.110211   0.112254   0.114313  0.116432     39.81    41.29
Barclays Bank PLC        06747MC87 03/05/19 02/28/22    100.000     0.000     3.1998     59.59   0.093162   0.094653   0.096167                          34.18     5.48
Barclays Bank PLC        06747MCR5 02/28/19 02/26/21    100.000     0.000     3.3704     63.52   0.098418                                                 5.41         
Barclays Bank PLC        06747MCT1 02/28/19 02/28/22    100.000     0.000     3.4800     65.64   0.101801   0.103572   0.105375                          37.41     6.01
Barclays Bank PLC        06747MF92 03/29/19 06/25/21    100.000     0.000     3.1486     56.41   0.092347                                                16.07         
Barclays Bank PLC        06747MFA9 03/29/19 06/25/21    100.000     0.000     3.1486     56.41   0.092347                                                16.07         
Barclays Bank PLC        06747MFG6 03/29/19 03/31/22    100.000     0.000     3.1900     57.17   0.092927   0.094409   0.095915                          33.99     8.54
Barclays Bank PLC        06747MG59 03/29/19 03/29/24    100.000     0.000     3.3800     60.64   0.098730   0.100398   0.102095   0.103821  0.105575     36.15    37.38
Barclays Bank PLC        06747MG67 04/03/19 03/31/22    100.000     0.000     3.1899     56.80   0.092893   0.094375   0.095880                          33.98     8.53
Barclays Bank PLC        06747MGE0 03/29/19 03/31/23    100.000     0.000     3.2800     58.81   0.095675   0.097244   0.098839   0.100460  0.102107     35.01    36.17
Barclays Bank PLC        06747MGL4 03/06/19 03/03/21    100.000     0.000     3.1399     58.35   0.091369                                                 5.66         
Barclays Bank PLC        06747MGT7 03/12/19 03/10/22    100.000     0.000     3.2000     58.93   0.093206   0.094698   0.096213                          34.16     6.64
Barclays Bank PLC        06747MHG4 03/29/19 03/29/29*   100.000     4.600     3.7092     64.77   0.101677                                                 0.41*        
Barclays Bank PLC        06747MHX7 03/29/19 06/30/21    100.000     0.000     3.1486     56.41   0.092387                                                16.54         
Barclays Bank PLC        06747MHY5 03/29/19 12/29/23    100.000     0.000     3.3592     60.26   0.098915   0.100577   0.102266   0.103984  0.105730     35.92    37.13
Barclays Bank PLC        06747MHZ2 04/03/19 12/30/22    100.000     0.000     3.2491     57.87   0.095467   0.097018   0.098594   0.100196               34.65    35.68
Barclays Bank PLC        06747MJ72 03/11/19 03/11/26    100.000    VARIES     3.1873      7.65   0.010978   0.011153   0.011331   0.011511  0.011695      4.02     4.15
Barclays Bank PLC        06747MJP2 03/14/19 03/14/29    100.000    VARIES     3.5244     10.14   0.013950   0.012884   0.013111   0.013342  0.013577      4.74     4.81
Barclays Bank PLC        06747MKF2 03/27/19 03/25/21    100.000     0.000     3.1399     56.43   0.091378                                                 7.68         
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747MKK1 04/30/19 04/28/22    100.000     0.000     3.1900     54.29   0.092902   0.094383   0.095889                          33.90    11.22
Barclays Bank PLC        06747MKS4 04/30/19 04/30/24    100.000     0.000     3.3800     57.58   0.098729   0.100398   0.102095   0.103820  0.105575     36.05    37.28
Barclays Bank PLC        06747MKT2 04/30/19 04/28/23    100.000     0.000     3.2800     55.85   0.095650   0.097218   0.098813   0.100433  0.102080     34.92    36.07
Barclays Bank PLC        06747MKU9 05/03/19 01/31/23    100.000     0.000     2.9015     49.06   0.083533   0.084745   0.085975   0.087222  0.088487     30.66    31.55
Barclays Bank PLC        06747MLB0 05/03/19 04/29/22    100.000     0.000     2.8499     48.15   0.082571   0.083748   0.084941                          30.08    10.02
Barclays Bank PLC        06747MLW4 04/26/19 07/22/21    100.000     0.000     3.1487     53.95   0.090918   0.092350                                     18.53         
Barclays Bank PLC        06747MLX2 04/26/19 07/22/21    100.000     0.000     3.1487     53.95   0.090917   0.092348                                     18.53         
Barclays Bank PLC        06747MMQ6 04/30/19 10/28/21    100.000     0.000     3.1599     53.77   0.091986   0.093439                                     27.58         
Barclays Bank PLC        06747MMR4 05/03/19 10/29/21    100.000     0.000     2.8200     47.64   0.081668   0.082820                                     24.54         
Barclays Bank PLC        06747MNJ1 04/11/19 04/11/22    100.000    VARIES     2.8762      4.93   0.007848   0.007961   0.008075                           2.86     0.81
Barclays Bank PLC        06747MPF7 05/14/19 05/12/22    100.000     0.000     2.8500     47.25   0.082585   0.083762   0.084956                          30.06    11.13
Barclays Bank PLC        06747MPG5 05/14/19 05/12/22    100.000     0.000     2.8500     47.25   0.082586   0.083762   0.084956                          30.06    11.13
Barclays Bank PLC        06747MPH3 05/03/19 11/03/21    100.000    VARIES     3.2253      8.20   0.013447   0.013664                                      4.10         
Barclays Bank PLC        06747MPU4 05/01/19 04/29/21    100.000     0.000     3.0800     52.29   0.089554                                                10.57         
Barclays Bank PLC        06747MQ66 05/13/19 11/12/26    100.000     0.000     2.3000     38.07   0.066114   0.066875   0.067644   0.068421  0.069208     24.01    24.57
Barclays Bank PLC        06747MQR0 05/31/19 05/30/24    100.000     0.000     3.0400     49.03   0.088353   0.089696   0.091059   0.092443  0.093848     32.13    33.12
Barclays Bank PLC        06747MQS8 05/31/19 05/31/24    100.000     0.000     3.0400     49.04   0.088354   0.089697   0.091060   0.092444  0.093849     32.13    33.12
Barclays Bank PLC        06747MQT6 05/31/19 05/30/24    100.000     0.000     3.0400     49.04   0.088354   0.089697   0.091060   0.092444  0.093849     32.13    33.12
Barclays Bank PLC        06747MQZ2 06/05/19 02/28/23    100.000     0.000     2.8993     46.35   0.083442   0.084652   0.085879   0.087124  0.088387     30.56    31.45
Barclays Bank PLC        06747MR57 05/31/19 05/31/23    100.000     0.000     2.9400     47.40   0.085321   0.086576   0.087848   0.089140  0.090450     31.02    31.94
Barclays Bank PLC        06747MR81 06/05/19 05/31/22    100.000     0.000     2.8499     45.51   0.082565   0.083741   0.084934                          30.01    12.66
Barclays Bank PLC        06747MRB4 05/31/19 05/31/22    100.000     0.000     2.8500     45.92   0.082599   0.083776   0.084970                          30.02    12.66
Barclays Bank PLC        06747MRC2 06/05/19 05/28/21    100.000     0.000     2.7898     44.54   0.080740                                                11.87         
Barclays Bank PLC        06747MRQ1 05/31/19 05/31/29*   100.000     4.500     3.3743     53.22   0.092168                                                 0.37*        
Barclays Bank PLC        06747MSK3 06/03/19 12/03/21    100.000    VARIES     3.2739      9.41   0.016233   0.016499                                      5.44         
Barclays Bank PLC        06747MSN7 05/30/19 05/25/22    100.000     0.000     2.9399     47.40   0.085284   0.086538   0.087810                          31.02    12.64
Barclays Bank PLC        06747MSQ0 05/31/19 11/30/21    100.000     0.000     2.8300     45.59   0.081994   0.083155                                     27.19         
Barclays Bank PLC        06747MSR8 06/05/19 11/30/21    100.000     0.000     2.8199     45.03   0.081658   0.082810                                     27.07         
Barclays Bank PLC        06747MSS6 05/08/19 05/12/21    100.000     0.000     2.7899     46.72   0.080811                                                10.59         
Barclays Bank PLC        06747MU46 06/03/19 06/02/22    100.000     0.000     2.8500     45.68   0.082593   0.083770   0.084963                          30.01    12.83
Barclays Bank PLC        06747MUJ3 05/22/19 05/19/22    100.000     0.000     2.8499     46.58   0.082578   0.083755   0.084948                          30.04    11.72
Barclays Bank PLC        06747MV78 05/29/19 05/27/21    100.000     0.000     2.7999     45.19   0.081076                                                11.84         
Barclays Bank PLC        06747MVE3 05/22/19 05/20/22    100.000     0.000     2.8500     46.58   0.082585   0.083762   0.084956                          30.04    11.81
Barclays Bank PLC        06747MVL7 05/29/19 05/29/29    100.000    VARIES     3.3999     54.07   0.093894   0.093301   0.092751   0.092272  0.091890     33.66    33.28
Barclays Bank PLC        06747MVV5 06/19/19 12/19/22    100.000    VARIES     3.3078     12.27   0.021956   0.021809   0.021660   0.022018                7.87     7.60
Barclays Bank PLC        06747MW85 06/28/19 06/28/24    100.000     0.000     3.0400     46.56   0.088354   0.089697   0.091061   0.092445  0.093850     32.06    33.04
Barclays Bank PLC        06747MWA0 06/28/19 06/30/23    100.000     0.000     2.9300     44.85   0.085034   0.086279   0.087543   0.088826  0.090127     30.84    31.75
Barclays Bank PLC        06747MWE2 07/03/19 06/30/22    100.000     0.000     2.8099     42.58   0.081371   0.082514   0.083674                          29.50    14.98
Barclays Bank PLC        06747MWH5 07/03/19 03/31/23    100.000     0.000     2.8815     43.74   0.082937   0.084132   0.085344   0.086574  0.087821     30.29    31.17
Barclays Bank PLC        06747MXC5 06/28/19 06/30/22    100.000     0.000     2.8500     43.61   0.082611   0.083788   0.084982                          29.95    15.21
Barclays Bank PLC        06747MXD3 07/03/19 06/30/21    100.000     0.000     2.7999     42.43   0.081070                                                14.51         
Barclays Bank PLC        06747MXV3 06/28/19 06/29/22    100.000     0.000     2.8500     43.61   0.082605   0.083783   0.084976                          29.95    15.13
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747MYJ9 06/28/19 12/27/24    100.000     0.000     3.1200     47.81   0.090778   0.092194   0.093633   0.095093  0.096577     32.95    33.98
Barclays Bank PLC        06747MYK6 06/28/19 12/27/24    100.000     0.000     3.1200     47.81   0.090778   0.092194   0.093633   0.095093  0.096577     32.95    33.98
Barclays Bank PLC        06747MYU4 07/03/19 07/03/24    100.000     0.000     2.9900     45.35   0.085557   0.086836   0.088134   0.089452  0.090789     31.49    32.44
Barclays Bank PLC        06747MYV2 06/28/19 06/30/25    100.000     0.000     3.2000     49.05   0.093240   0.094732   0.096247   0.097787  0.099352     33.84    34.93
Barclays Bank PLC        06747MZ74 06/19/19 06/17/21    100.000     0.000     2.7999     43.57   0.081076                                                13.46         
Barclays Bank PLC        06747MZF6 07/02/19 07/01/21    100.000     0.000     2.7900     42.36   0.080782                                                14.54         
Barclays Bank PLC        06747MZK5 06/14/19 06/15/23    100.000     0.000     2.9300     46.04   0.085025   0.086271   0.087535   0.088817  0.090118     30.87    31.78
Barclays Bank PLC        06747MZM1 06/28/19 12/28/21    100.000    VARIES     2.7624      5.19   0.009489   0.009620                                      3.41         
Barclays Bank PLC        06747N2S2 07/26/19 07/31/24    100.000     0.000     2.9716     43.12   0.085044   0.086308   0.087590   0.088892  0.090213     31.23    32.16
Barclays Bank PLC        06747N2T0 07/26/19 07/31/24    100.000     0.000     2.9716     43.12   0.085044   0.086307   0.087590   0.088891  0.090212     31.23    32.16
Barclays Bank PLC        06747N2Y9 07/31/19 07/31/23    100.000     0.000     2.6600     38.23   0.075868   0.076877   0.077899   0.078936  0.079985     27.80    28.55
Barclays Bank PLC        06747N3E2 08/05/19 01/31/22    100.000     0.000     2.2325     31.71   0.063385   0.064093   0.064808                          23.16     1.88
Barclays Bank PLC        06747N3J1 07/31/19 07/31/24    100.000     0.000     2.5801     37.07   0.073530   0.074478   0.075439   0.076412  0.077398     26.93    27.63
Barclays Bank PLC        06747N3K8 08/05/19 07/29/22    100.000     0.000     2.4099     34.26   0.068538   0.069364   0.070200   0.071046               25.07    14.75
Barclays Bank PLC        06747N3U6 08/05/19 04/28/23    100.000     0.000     2.4695     35.14   0.070702   0.071575   0.072459   0.073353  0.074259     25.72    26.36
Barclays Bank PLC        06747N5J9 07/31/19 07/31/25    100.000     0.000     2.4500     35.18   0.069734   0.070589   0.071453   0.072329  0.073215     25.52    26.15
Barclays Bank PLC        06747N5K6 08/05/19 07/31/24    100.000     0.000     2.5814     36.72   0.073543   0.074492   0.075453   0.076427  0.077414     26.93    27.63
Barclays Bank PLC        06747N5W0 07/10/19 07/09/21    100.000     0.000     2.8000     41.87   0.079964   0.081084                                     15.23         
Barclays Bank PLC        06747N6Z2 08/02/19 02/02/23    100.000    VARIES     2.7752      6.06   0.011682   0.011463   0.011622   0.011783  0.011947      4.16     4.26
Barclays Bank PLC        06747NAC8 08/30/19 08/28/24    100.000     0.000     2.2800     30.77   0.064777   0.065516   0.066262   0.067018  0.067782     23.64    24.18
Barclays Bank PLC        06747NAD6 08/30/19 08/28/24    100.000     0.000     2.2800     30.77   0.064777   0.065516   0.066263   0.067018  0.067782     23.64    24.18
Barclays Bank PLC        06747NAQ7 08/30/19 08/30/24    100.000     0.000     2.2798     30.77   0.064781   0.065511   0.066266   0.067013  0.067785     23.63    24.18
Barclays Bank PLC        06747NB37 08/30/19 08/31/23    100.000     0.000     2.2000     29.68   0.062462   0.063142   0.063844   0.064538  0.065256     22.78    23.28
Barclays Bank PLC        06747NB45 08/30/19 08/30/24    100.000     0.000     2.2800     30.77   0.064787   0.065517   0.066273   0.067020  0.067792     23.64    24.18
Barclays Bank PLC        06747NB60 09/05/19 08/31/22    100.000     0.000     2.1619     28.85   0.061341   0.061997   0.062674   0.063344               22.36    15.10
Barclays Bank PLC        06747NBA1 09/05/19 02/28/22    100.000     0.000     2.1599     28.83   0.061274   0.061936   0.062605                          22.34     3.57
Barclays Bank PLC        06747NCC6 09/05/19 09/05/24    100.000     0.000     2.3100     30.85   0.065658   0.066416   0.067183   0.067959  0.068744     23.95    24.51
Barclays Bank PLC        06747NDT8 08/21/19 03/08/22    100.000     0.000     2.1497     29.55   0.061065   0.061721   0.062385                          22.25     4.18
Barclays Bank PLC        06747NEG5 09/05/19 03/03/22    100.000     0.000     2.1599     28.83   0.061294   0.061956   0.062625                          22.34     3.88
Barclays Bank PLC        06747NEN0 09/27/19 03/25/25    100.000     0.000     2.5300     32.23   0.072057   0.072968   0.073891   0.074826  0.075772     26.28    26.95
Barclays Bank PLC        06747NEP5 09/27/19 09/25/24    100.000     0.000     2.4600     31.33   0.070015   0.070876   0.071747   0.072630  0.073523     25.53    26.16
Barclays Bank PLC        06747NG32 10/03/19 06/30/23    100.000     0.000     2.1595     27.10   0.061607   0.062272   0.062945   0.063624  0.064311     22.30    22.78
Barclays Bank PLC        06747NG99 10/03/19 09/30/22    100.000     0.000     2.1000     26.35   0.059554   0.060179   0.060811   0.061450               21.67    16.47
Barclays Bank PLC        06747NGC2 10/03/19 03/31/23    100.000     0.000     2.1416     26.88   0.060760   0.061411   0.062069   0.062733  0.063405     22.11    22.59
Barclays Bank PLC        06747NGJ7 10/03/19 10/03/24    100.000     0.000     2.2800     28.63   0.064785   0.065524   0.066271   0.067026  0.067790     23.59    24.13
Barclays Bank PLC        06747NGL2 09/18/19 09/18/24    100.000     0.000     2.5500     33.15   0.072651   0.073577   0.074515   0.075465  0.076428     26.51    27.19
Barclays Bank PLC        06747NHF4 10/03/19 10/05/26    100.000     0.000     2.4700     31.04   0.070326   0.071194   0.072073   0.072963  0.073865     25.62    26.26
Barclays Bank PLC        06747NHP2 10/23/19 10/21/22    100.000     0.000     2.3300     27.94   0.066230   0.067001   0.067782   0.068572               24.09    19.80
Barclays Bank PLC        06747NHT4 10/02/19 10/02/24    100.000     0.000     2.3500     29.59   0.066821   0.067606   0.068400   0.069204  0.070017     24.34    24.91
Barclays Bank PLC        06747NHX5 10/02/19 10/02/24    100.000     0.000     2.3500     29.59   0.066821   0.067606   0.068400   0.069204  0.070017     24.34    24.91
Barclays Bank PLC        06747NJG0 10/25/19 04/24/25    100.000     0.000     2.6100     31.18   0.074399   0.075370   0.076354   0.077350  0.078359     27.09    27.80
Barclays Bank PLC        06747NJH8 10/25/19 10/23/24    100.000     0.000     2.5400     30.34   0.072348   0.073267   0.074198   0.075140  0.076094     26.34    27.01
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747NK86 11/05/19 10/31/22    100.000     0.000     2.3021     26.82   0.065407   0.066160   0.066921   0.067692               23.77    20.15
Barclays Bank PLC        06747NKC7 11/05/19 10/31/22    100.000     0.000     2.3021     26.82   0.065408   0.066161   0.066923   0.067693               23.77    20.15
Barclays Bank PLC        06747NKX1 10/31/19 04/28/23    100.000    VARIES     2.4511      5.91   0.013491   0.013656   0.013823   0.013993  0.014164      4.91     5.03
Barclays Bank PLC        06747NKZ6 10/31/19 10/30/26    100.000     0.000     2.6300     31.05   0.074990   0.075976   0.076975   0.077987  0.079013     27.29    28.02
Barclays Bank PLC        06747NL28 10/31/19 10/31/23    100.000     0.000     2.3400     27.60   0.066530   0.067309   0.068096   0.068893  0.069699     24.19    24.76
Barclays Bank PLC        06747NL36 11/05/19 11/05/24    100.000     0.000     2.4900     29.03   0.070900   0.071783   0.072676   0.073581  0.074497     25.78    26.43
Barclays Bank PLC        06747NMK7 11/29/19 05/27/25    100.000     0.000     2.3900     26.22   0.067976   0.068788   0.069610   0.070442  0.071284     24.67    25.27
Barclays Bank PLC        06747NML5 11/29/19 11/27/24    100.000     0.000     2.4500     26.88   0.069723   0.070577   0.071442   0.072317  0.073203     25.31    25.94
Barclays Bank PLC        06747NMS0 11/01/19 10/04/21    100.000     0.000     2.1896     25.75   0.062060   0.062740                                     17.06         
Barclays Bank PLC        06747NPD0 11/27/19 11/23/22    100.000     0.000     2.2100     24.36   0.062736   0.063430   0.064131   0.064839               22.76    20.78
Barclays Bank PLC        06747NPF5 11/29/19 11/30/26    100.000     0.000     2.6500     29.09   0.075580   0.076581   0.077596   0.078624  0.079666     27.45    28.18
Barclays Bank PLC        06747NPH1 11/29/19 11/30/23    100.000     0.000     2.3400     25.67   0.066533   0.067312   0.068099   0.068896  0.069702     24.14    24.71
Barclays Bank PLC        06747NPJ7 12/03/19 12/01/22    100.000     0.000     2.1600     23.43   0.061295   0.061957   0.062626   0.063302               22.23    20.79
Barclays Bank PLC        06747NPN8 12/03/19 12/01/22    100.000     0.000     2.1600     23.43   0.061295   0.061957   0.062626   0.063303               22.23    20.79
Barclays Bank PLC        06747NQV9 12/02/19 06/02/23    100.000    VARIES     2.3648      4.85   0.011965   0.012107   0.012250   0.012395  0.012541      4.34     4.44
Barclays Bank PLC        06747NRD8 12/04/19 12/05/22    100.000     0.000     2.2200     24.03   0.063047   0.063747   0.064454   0.065170               22.86    21.66
Barclays Bank PLC        06747NS88 12/02/19 12/01/22    100.000     0.000     2.2600     24.59   0.064200   0.064926   0.065659   0.066401               23.29    21.80
Barclays Bank PLC        06747NTB0 01/03/20 12/30/22    100.000     0.000     2.2000     22.00   0.062452   0.063139   0.063834   0.064536               22.61    23.04
Barclays Bank PLC        06747NTU8 12/30/19 06/25/25    100.000     0.000     2.5700     25.94   0.073208   0.074149   0.075102   0.076067  0.077044     26.54    27.22
Barclays Bank PLC        06747NTV6 12/30/19 12/26/24    100.000     0.000     2.4100     24.32   0.068548   0.069374   0.070210   0.071056  0.071913     24.83    25.44
Barclays Bank PLC        06747NU51 12/24/19 12/24/26    100.000     0.000     2.7900     28.65   0.079677   0.080789   0.081916   0.083058  0.084217     28.90    29.71
Barclays Bank PLC        06747NU69 12/24/19 12/22/23    100.000     0.000     2.4600     25.24   0.070015   0.070876   0.071748   0.072630  0.073523     25.38    26.00
Barclays Bank PLC        06747NU77 01/03/20 01/04/27    100.000     0.000     2.5300     25.32   0.071172   0.072072   0.072984   0.073907  0.074842     26.10    26.77
Barclays Bank PLC        06747NUS1 01/03/20 01/03/25    100.000     0.000     2.3200     23.20   0.065192   0.065948   0.066713   0.067487  0.068270     23.88    24.43
Barclays Bank PLC        06747NVN1 12/11/19 12/11/29    100.000    VARIES     2.4256      4.38   0.010799   0.010277   0.009749   0.009867  0.009987      3.77     3.54
Barclays Bank PLC        06747NWE0 01/02/20 01/02/25    100.000     0.000     2.4000     24.08   0.067466   0.068276   0.069095   0.069925  0.070764     24.73    25.32
Barclays Bank PLC        06747NXQ2 01/31/20 01/29/27    100.000     0.000     2.1400     19.77   0.060077   0.060720   0.061370   0.062026  0.062690     21.94    22.41
Barclays Bank PLC        06747NXS8 01/31/20 01/31/24    100.000     0.000     1.8800     17.36   0.052713   0.053209   0.053709   0.054214  0.054724     19.22    19.58
Barclays Bank PLC        06747NXT6 02/05/20 02/05/25    100.000     0.000     1.9400     17.64   0.054412   0.054940   0.055473   0.056011  0.056554     19.84    20.22
Barclays Bank PLC        06747NYF5 02/05/20 01/26/23    100.000     0.000     1.8499     16.82   0.051838   0.052318   0.052802   0.053290  0.053783     18.90    19.25
Barclays Bank PLC        06747NYG3 02/05/20 07/31/23    100.000     0.000     1.8715     17.02   0.052459   0.052950   0.053445   0.053945  0.054450     19.12    19.48
Barclays Bank PLC        06747NZE7 01/31/20 07/29/25    100.000     0.000     2.0100     18.57   0.056391   0.056958   0.057530   0.058108  0.058692     20.58    20.99
Barclays Bank PLC        06747NZF4 01/31/20 01/29/25    100.000     0.000     1.9400     17.92   0.054408   0.054936   0.055469   0.056007  0.056550     19.84    20.23
Barclays Bank PLC        06747P2Z1 01/23/20 01/20/23    100.000     0.000     2.1600     20.38   0.060637   0.061291   0.061953   0.062622  0.063299     22.16    22.64
Barclays Bank PLC        06747P4P1 02/11/20 02/11/25    100.000     0.000     1.9400     17.32   0.054412   0.054940   0.055473   0.056011  0.056554     19.83    20.22
Barclays Bank PLC        06747P7E3 02/28/20 08/26/25    100.000     0.000     1.6900     14.27   0.047337   0.047737   0.048140   0.048547  0.048957     17.21    17.51
Barclays Bank PLC        06747P7G8 02/28/20 02/26/25    100.000     0.000     1.6100     13.60   0.045078   0.045441   0.045807   0.046175  0.046547     16.38    16.65
Barclays Bank PLC        06747PAM1 03/04/20 03/03/23    100.000     0.000     1.4900     12.33   0.041695   0.042006   0.042319   0.042634  0.042952     15.14    15.37
Barclays Bank PLC        06747PAX7 03/04/20 08/31/23    100.000     0.000     1.5212     12.59   0.042570   0.042890   0.043220   0.043545  0.043880     15.46    15.70
Barclays Bank PLC        06747PB57 02/07/20 08/08/23    100.000     0.000     1.8700     16.90   0.052433   0.052923   0.053418   0.053917  0.054421     19.10    19.46
Barclays Bank PLC        06747PBH1 02/28/20 02/26/27    100.000     0.000     1.8200     15.38   0.051010   0.051475   0.051943   0.052416  0.052893     18.56    18.90
Barclays Bank PLC        06747PBJ7 02/28/20 02/28/25    100.000     0.000     1.6100     13.60   0.045083   0.045445   0.045811   0.046180  0.046552     16.38    16.65
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747PBK4 03/04/20 03/04/24    100.000     0.000     1.5201     12.58   0.042545   0.042868   0.043194   0.043522  0.043853     15.45    15.69
Barclays Bank PLC        06747PD89 02/27/20 02/26/24    100.000     0.000     1.6500     13.98   0.046209   0.046590   0.046975   0.047362  0.047753     16.80    17.08
Barclays Bank PLC        06747PET2 03/27/20 03/25/26    100.000     0.000     2.8100     21.49   0.079139   0.080251   0.081379   0.082522  0.083682     28.91    29.72
Barclays Bank PLC        06747PEU9 03/27/20 03/25/25    100.000     0.000     2.6800     20.49   0.075431   0.076442   0.077466   0.078504  0.079556     27.53    28.28
Barclays Bank PLC        06747PH36 04/03/20 03/31/23    100.000     0.000     3.4131     25.55   0.096400   0.098046   0.099719   0.101421  0.103151     35.30    36.52
Barclays Bank PLC        06747PHD4 03/31/20 03/31/26    100.000     0.000     3.8100     28.86   0.107849   0.109903   0.111997   0.114131  0.116305     39.57    41.10
Barclays Bank PLC        06747PHE2 03/31/20 03/31/27    100.000     0.000     3.7900     28.71   0.107273   0.109306   0.111377   0.113488  0.115639     39.36    40.86
Barclays Bank PLC        06747PHJ1 04/03/20 03/29/24    100.000     0.000     3.5299     26.43   0.099744   0.101505   0.103296   0.105119  0.106975     36.55    37.85
Barclays Bank PLC        06747PLM9 04/20/20 04/21/25    100.000     0.000     2.2700     15.88   0.063775   0.064499   0.065231   0.065971  0.066720     23.19    23.72
Barclays Bank PLC        06747PLN7 04/17/20 04/18/24    100.000     0.000     2.1600     15.29   0.060653   0.061308   0.061970   0.062639  0.063316     22.05    22.53
Barclays Bank PLC        06747PM97 04/08/20 04/08/27    100.000     0.000     3.7900     27.85   0.107273   0.109306   0.111377   0.113488  0.115638     39.32    40.83
Barclays Bank PLC        06747PN39 04/22/20 04/22/27    100.000     0.000     2.4000     16.66   0.067467   0.068276   0.069096   0.069925  0.070764     24.55    25.14
Barclays Bank PLC        06747PNC9 04/24/20 04/26/27    100.000     0.000     2.3700     16.31   0.066622   0.067411   0.068210   0.069018  0.069836     24.23    24.81
Barclays Bank PLC        06747PNU9 04/30/20 04/30/25    100.000     0.000     2.2800     15.31   0.064056   0.064786   0.065524   0.066271  0.067027     23.28    23.81
Barclays Bank PLC        06747PNV7 05/05/20 04/30/24    100.000     0.000     2.1000     13.80   0.058928   0.059547   0.060172   0.060804  0.061442     21.40    21.85
Barclays Bank PLC        06747PP52 04/22/20 04/22/27    100.000     0.000     2.4000     16.66   0.067467   0.068276   0.069095   0.069925  0.070764     24.55    25.14
Barclays Bank PLC        06747PPH6 04/28/20 04/28/25    100.000     0.000     2.2600     15.30   0.063487   0.064205   0.064930   0.065664  0.066406     23.08    23.60
Barclays Bank PLC        06747PPJ2 04/30/20 04/30/25    100.000    VARIES     2.4441      4.56   0.018676   0.018344   0.018008   0.017668  0.017884      6.62     6.41
Barclays Bank PLC        06747PQL6 05/19/20 05/19/23    100.000    VARIES     1.6262      4.58   0.020373   0.020041   0.020204   0.020369  0.020534      7.27     7.32
Barclays Bank PLC        06747PRH4 05/20/20 05/20/27    100.000     0.000     2.3700     14.58   0.066614   0.067403   0.068202   0.069010  0.069828     24.19    24.76
Barclays Bank PLC        06747PRK7 05/20/20 05/20/27*   100.000     0.000     2.3700     14.58   0.066615   0.067404   0.068203                          21.53*        
Barclays Bank PLC        06747PSV2 06/03/20 06/01/23    100.000     0.000     1.5201      8.79   0.042542   0.042865   0.043191   0.043519  0.043850     15.39    15.63
Barclays Bank PLC        06747PUF4 05/22/20 05/23/22    100.000     0.000     1.8100     11.03   0.050735   0.051194   0.051657                          18.38     7.34
Barclays Bank PLC        06747PUY3 05/28/20 05/28/25    100.000     0.000     2.2200     13.16   0.062351   0.063043   0.063743   0.064451  0.065166     22.62    23.12
Barclays Bank PLC        06747PWE5 06/30/20 06/30/27    100.000     0.000     2.0600     10.36   0.057812   0.058407   0.059009   0.059617  0.060231     20.92    21.35
Barclays Bank PLC        06747PWV7 06/30/20 06/30/25    100.000     0.000     1.7400      8.75   0.048755   0.049179   0.049607   0.050038  0.050474     17.63    17.94
Barclays Bank PLC        06747PWW5 07/06/20 06/28/24    100.000     0.000     1.3600      6.61   0.038023   0.038281   0.038542   0.038804  0.039068     13.74    13.92
Barclays Bank PLC        06747PXF1 06/30/20 06/30/27    100.000     0.000     2.0600     10.36   0.057812   0.058407   0.059009                          20.92     0.12
Barclays Bank PLC        06747PYD5 07/06/20 07/06/23    100.000     0.000     1.2599      6.12   0.034996   0.035217   0.035439   0.035662  0.035887     12.72    12.88
Barclays Bank PLC        06747Q3Z8 07/31/20 07/30/27    100.000     0.000     1.8100      7.59   0.050278   0.050733   0.051192   0.051655  0.052123     18.32    18.65
Barclays Bank PLC        06747QA49 07/29/20 07/29/25    100.000     0.000     1.4600      6.16   0.040555   0.040852   0.041150   0.041450  0.041753     14.74    14.96
Barclays Bank PLC        06747QA56 07/29/20 07/29/27    100.000     0.000     1.8100      7.64   0.050278   0.050733   0.051192   0.051655  0.052123     18.32    18.65
Barclays Bank PLC        06747QDH7 08/26/20 08/26/27    100.000     0.000     1.5300      5.31   0.042500   0.042825   0.043153   0.043483  0.043815     15.44    15.68
Barclays Bank PLC        06747QDJ3 08/26/20 08/26/26    100.000     0.000     1.4200      4.93   0.039444   0.039724   0.040006   0.040290  0.040577     14.32    14.52
Barclays Bank PLC        06747QFK8 09/30/20 09/30/27    100.000     0.000     1.3300      3.36   0.036944   0.037190   0.037437   0.037686  0.037937     13.39    13.57
Barclays Bank PLC        06747QGU5 09/03/20 09/03/27    100.000     0.000     1.3000      4.26   0.036111   0.036346   0.036582   0.036820  0.037059     13.10    13.27
Barclays Bank PLC        06747QLW5 10/30/20 10/29/27    100.000     0.000     1.4500      2.46   0.040278   0.040568   0.040863   0.041159  0.041457     14.59    14.80
Barclays Bank PLC        06747QM87 11/04/20 10/31/23    100.000     0.000     0.6907      1.09   0.019186   0.019251   0.019317   0.019384  0.019451      6.93     6.97
Barclays Bank PLC        06747QQA8 11/30/20 11/30/27    100.000     0.000     1.4300      1.23   0.039722   0.040006   0.040292   0.040580  0.040871     14.37    14.58
Barclays Bank PLC        06747QSH1 12/29/20 12/29/27    100.000     0.000     1.4500      0.08   0.040278   0.040570   0.040864   0.041160  0.041459     14.55    14.77
Barclays Bank PLC        06747QVA2 01/29/21 01/31/28    100.000     0.000     1.4406             0.040016   0.040017   0.040306   0.040596  0.040888     13.33    14.65
Barclays Bank PLC        06747QVE4 01/27/21 01/27/28    100.000     0.000     1.4100                        0.039167   0.039443   0.039721  0.040001     13.12    14.34
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Barclays Bank PLC        06747QVF1 01/27/21 06/26/26    100.000     0.000     1.2699             0.035276   0.035462   0.035687   0.035914  0.036142     11.82    12.89
Barclays Bank PLC        06747QYE1 01/29/21 01/31/41    100.000    VARIES     2.0890             0.058028   0.058031   0.054575   0.051083  0.047608     18.74    17.97
Barclays Bank PLC        06747RAA3 04/16/21 04/14/28    100.000     0.000     1.8600                        0.051666   0.052142   0.052627  0.053116     13.21    18.93
Barclays Bank PLC        06747T259 07/06/21 07/06/28    100.000     0.000     1.7400                                   0.048333   0.048754  0.049178      8.46    17.62
Barclays Bank PLC        06747W518 08/04/21 08/03/28    100.000     0.000     1.6100                                   0.044722   0.045080  0.045443      6.57    16.27
Barclays Bank PLC        06748E2V4 02/24/21 02/25/28    100.000     0.000     1.6800                        0.046669   0.047061   0.047456  0.047855     14.38    17.11
Barclays Bank PLC        06748E2W2 02/24/21 07/23/26    100.000     0.000     1.2999                        0.036110   0.036304   0.036540  0.036777     11.12    13.19
Barclays Bank PLC        06748E4K6 02/26/21 02/28/28    100.000     0.000     1.7600             0.048889   0.048893   0.049324   0.049758  0.050196     14.97    17.94
Barclays Bank PLC        06748ECE1 03/24/21 03/23/28    100.000     0.000     1.8500                        0.051389   0.051861   0.052341  0.052825     14.28    18.85
Barclays Bank PLC        06748ECG6 03/24/21 09/24/26    100.000     0.000     1.4700                        0.040833   0.041133   0.041436  0.041740     11.34    14.92
Barclays Bank PLC        06748ED42 03/31/21 03/30/28    100.000     0.000     2.0000                        0.055556   0.056111   0.056672  0.057239     15.11    20.40
Barclays Bank PLC        06748EGJ6 04/30/21 04/28/28    100.000     0.000     1.9100                        0.053055   0.053556   0.054068  0.054584     12.82    19.44
Barclays Bank PLC        06748EGK3 05/05/21 05/05/26    100.000     0.000     1.3500                        0.037500   0.037753   0.038008  0.038264      8.86    13.67
Barclays Bank PLC        06748EJ53 04/28/21 04/27/28    100.000     0.000     1.9000                        0.052778   0.053276   0.053782  0.054293     12.86    19.34
Barclays Bank PLC        06748EJ61 04/28/21 10/28/26    100.000     0.000     1.5300                        0.042500   0.042825   0.043153  0.043483     10.35    15.52
Barclays Bank PLC        06748ENX7 05/26/21 11/27/26    100.000     0.000     1.5200                        0.042224   0.042545   0.042868  0.043194      9.09    15.40
Barclays Bank PLC        06748ENY5 05/26/21 05/25/28    100.000     0.000     1.9000                        0.052778   0.053276   0.053782  0.054293     11.37    19.31
Barclays Bank PLC        06748EPG2 05/28/21 05/31/28    100.000     0.000     1.9300             0.053611   0.053617   0.054134   0.054656  0.055184     11.44    19.61
Barclays Bank PLC        06748EPH0 06/03/21 06/02/26    100.000     0.000     1.4100                        0.039166   0.039441   0.039719  0.039999      8.15    14.27
Barclays Bank PLC        06748ESX2 06/03/21 06/03/36    100.000    VARIES     2.5612                        0.071145   0.069833   0.068504  0.067158     14.76    24.83
Barclays Bank PLC        06748EU84 06/23/21 12/23/26    100.000     0.000     1.5600                        0.043333   0.043671   0.044011  0.044355      8.15    15.79
Barclays Bank PLC        06748EU92 06/23/21 06/22/28    100.000     0.000     1.8700                        0.051944   0.052427   0.052917  0.053412      9.77    18.97
Barclays Bank PLC        06748EUZ4 06/30/21 06/30/28    100.000     0.000     1.8500                        0.051389   0.051864   0.052344  0.052828      9.30    18.76
Barclays Bank PLC        06748EVE0 07/06/21 06/30/26    100.000     0.000     1.3100                        0.036388   0.036619   0.036859  0.037100      6.37    13.23
Barclays Bank PLC        06748W3B7 07/28/21 07/27/28    100.000     0.000     1.6500                                   0.045833   0.046209  0.046591      7.01    16.68
Barclays Bank PLC        06748W3C5 07/28/21 01/28/27    100.000     0.000     1.3700                                   0.038056   0.038316  0.038579      5.82    13.83
Barclays Bank PLC        06748W3D3 07/30/21 07/31/28    100.000     0.000     1.6500                                   0.045834   0.046212  0.046593      6.92    16.68
Barclays Bank PLC        06748W3L5 08/04/21 07/31/26    100.000     0.000     1.2107                                   0.033629   0.033828  0.034033      4.94    12.20
BellSouth                079867AS6 12/13/95 12/15/95     25.235    VARIES     6.8500             0.184758   0.184759   0.184760   0.184762  0.184763     66.51    66.51
BEMIS COMPANY INC        081437AQ8 06/13/19 09/15/26     95.210     3.100     3.8632      9.16   0.016852   0.017177   0.017509   0.017847  0.018192      6.19     6.44
BETHEL OHIO LOC SCH DIST 086851DA7 07/28/20 11/01/21     98.859     0.000     0.9138      3.84   0.025154   0.025269                                      7.57         
BETHEL OHIO LOC SCH DIST 086851DB5 07/28/20 11/01/22     97.741     0.000     1.0142      4.22   0.027608   0.027748   0.027888   0.028030                9.98     8.39
BETHEL OHIO LOC SCH DIST 086851DC3 07/28/20 11/01/23     96.513     0.000     1.0921      4.48   0.029362   0.029522   0.029684   0.029846  0.030009     10.62    10.73
BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24     94.579     0.000     1.3130      5.28   0.034612   0.034839   0.035068   0.035298  0.035530     12.53    12.69
BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25     92.621     0.000     1.4630      5.77   0.037782   0.038058   0.038336   0.038617  0.038899     13.68    13.89
BIOMARIN PHARMACEUTICAL  09061GAH4 08/11/17 08/01/24     98.000     0.599     0.8955      9.57   0.007948   0.007984   0.008019   0.008055  0.008091      2.88     2.90
BLACKSTONE MORTGAGE TRUS 09257WAC4 03/27/18 03/15/23     98.500     4.750     5.0956      7.88   0.008466   0.008682   0.008903   0.009130  0.009362      3.13     3.29
BOFA Finance LLC         097097166 11/29/17 11/25/22    100.000     0.000     2.7075     86.64   0.081505   0.082608   0.083727   0.084860               29.62    27.33
BOFA Finance LLC         097098297 02/28/19 02/28/25    100.000     0.000     3.3423     62.98   0.097576   0.099207   0.100865   0.102550  0.104264     35.83    37.03
BOFA Finance LLC         097098479 03/12/19 03/12/21    100.000     0.000     2.7766     50.99   0.080386                                                 5.71         
BOFA Finance LLC         09709T5V9 07/29/21 07/29/36    100.000    VARIES     2.5499                                   0.070829   0.069785  0.068727     10.77    24.99
BOFA Finance LLC         09709T5W7 07/30/21 07/30/31    100.000    VARIES     2.1299                                   0.059165   0.058908  0.058648      8.93    21.18
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
BOFA Finance LLC         09709T5X5 08/03/21 08/03/31    100.000    VARIES     2.1400                                   0.059443   0.059039  0.058630      8.80    21.21
BOFA Finance LLC         09709TED9 04/10/18 05/01/23    100.000     0.250     3.1425     88.45   0.093962   0.095329   0.096718   0.098129  0.099562     34.24    35.24
BOFA Finance LLC         09709TGH8 09/28/18 03/28/23    100.000     0.000     3.6451     85.04   0.108840   0.110824   0.112844   0.114900  0.116994     39.91    41.38
BOFA Finance LLC         09709TGZ8 06/20/19 06/18/24    100.000     0.000     2.5962     40.28   0.074951   0.075924   0.076910   0.077908  0.078919     27.18    27.89
BOFA Finance LLC         09709THH7 01/27/20 09/01/22    103.250     0.125     1.7700     17.02   0.051262   0.051685   0.052112   0.052542               18.63    12.58
BOFA Finance LLC         09709THJ3 01/30/20 01/30/35*   100.000    VARIES     3.1839     29.15   0.087638   0.086822                                      2.63*        
BOFA Finance LLC         09709TJL6 12/27/18 12/27/23    100.000     0.000     3.6325     75.09   0.108436   0.110405   0.112411   0.114452  0.116531     39.41    40.85
BOFA Finance LLC         09709TJM4 01/31/19 01/26/24    100.000     0.000     3.3706     66.28   0.098405   0.100064   0.101750   0.103465  0.105209     36.24    37.47
BOFA Finance LLC         09709TJS1 09/28/18 09/28/23    100.000     0.000     3.7178     86.79   0.111167   0.113233   0.115338   0.117482  0.119666     40.78    42.31
BOFA Finance LLC         09709TKK6 11/30/18 11/30/23    100.000     0.000     3.7226     80.01   0.111322   0.113394   0.115505   0.117654  0.119844     40.58    42.10
BOFA Finance LLC         09709TKV2 02/04/19 02/04/21    100.000     0.000     2.8401     55.31   0.082300                                                 2.72         
BOFA Finance LLC         09709TKW0 10/31/18 10/31/23    100.000     0.000     3.7689     84.42   0.112809   0.114935   0.117101   0.119308  0.121556     41.26    42.83
BOFA Finance LLC         09709TMV0 09/28/18 09/28/23    100.000     0.000     3.6449     85.04   0.108833   0.110816   0.112836   0.114892  0.116986     39.91    41.38
Bank of America Corp.    09709TNJ6 02/28/19 02/25/22    100.000     0.000     3.0213     56.81   0.087765   0.089090   0.090436                          32.17     4.88
BOFA Finance LLC         09709TPF2 03/22/19 03/24/26    100.000     0.000     3.1229     56.58   0.090890   0.092309   0.093751   0.095215  0.096701     33.25    34.30
Bank of America Corp.    09709TPQ8 04/02/19 03/31/22    100.000     0.000     2.8493     50.70   0.082566   0.083742   0.084935                          30.15     7.56
BOFA Finance LLC         09709TQE4 04/30/19 04/29/21    100.000     0.000     2.7200     46.16   0.078674                                                 9.28         
BOFA Finance LLC         09709TSJ1 05/28/19 05/26/22    100.000     0.000     2.7700     44.78   0.080173   0.081284   0.082409                          29.14    11.95
BOFA Finance LLC         09709TSN2 05/28/19 05/26/22    100.000     0.000     2.7700     44.78   0.080174   0.081284   0.082410                          29.14    11.95
BOFA Finance LLC         09709TSS1 05/28/19 05/26/22    100.000     0.000     2.7600     44.61   0.079872   0.080975   0.082092                          29.03    11.90
BOFA Finance LLC         09709TSW2 05/28/19 05/26/22    100.000     0.000     2.7700     44.78   0.080174   0.081284   0.082410                          29.14    11.95
BOFA Finance LLC         09709TTC5 08/30/19 03/02/23    100.000     0.000     2.0808     28.06   0.059015   0.059629   0.060249   0.060876  0.061509     21.50    21.95
BOFA Finance LLC         09709TTF8 08/30/19 03/04/21    100.000     0.000     1.9095     25.73   0.054071                                                 3.41         
BOFA Finance LLC         09709TTW1 07/31/19 01/31/23    100.000     0.000     2.2849     32.78   0.064928   0.065670   0.066420   0.067179  0.067946     23.73    24.28
BOFA Finance LLC         09709TUA7 07/31/19 01/31/24    100.000     0.000     2.3707     34.03   0.067423   0.068222   0.069031   0.069849  0.070677     24.66    25.25
BOFA Finance LLC         09709TUH2 09/30/19 06/30/21    100.000     0.000     1.7242     21.75   0.048933                                                 8.76         
BOFA Finance LLC         09709TVC2 09/18/19 09/16/22    100.000     0.000     2.2021     28.58   0.062516   0.063205   0.063901   0.064604               22.78    16.42
BOFA Finance LLC         09709TVP3 10/31/19 11/02/21    100.000     0.000     1.7400     20.48   0.049182   0.049609                                     14.88         
BOFA Finance LLC         09709TWV9 11/27/19 11/25/22    100.000     0.000     1.9000     20.92   0.053780   0.054291   0.054806   0.055327               19.49    17.85
BOFA Finance LLC         09709TXD8 11/27/19 11/28/24    100.000     0.000     2.3000     25.35   0.065371   0.066122   0.066883   0.067652  0.068430     23.72    24.27
BOFA Finance LLC         09709TYU9 01/31/20 01/31/23    100.000     0.000     1.7000     15.69   0.047624   0.048028   0.048437   0.048848  0.049264     17.34    17.64
BOFA Finance LLC         09709TZV6 02/28/20 03/02/23    100.000     0.000     1.7400     14.70   0.048763   0.049187   0.049615   0.050047  0.050482     17.73    18.04
City of Boston, MA       100853GH7 11/04/09 09/15/24     89.556     6.050     7.2063     67.43   0.024198   0.025070   0.025973   0.026909  0.027878      9.06     9.72
BP CAPITAL MARKETS AMERI 10373QAL4 12/14/18 05/10/23     96.839     2.750     3.5309     14.09   0.019875   0.020226   0.020583   0.020947  0.021317      7.25     7.51
BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26     95.741     3.119     3.7851     10.65   0.015055   0.015340   0.015630   0.015926  0.016227      5.50     5.71
BP CAPITAL MARKETS AMERI 10373QAU4 12/14/18 09/16/21     96.502     2.112     3.4532     25.69   0.036002   0.036624                                      9.29         
BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27     94.278     3.017     3.8468     12.87   0.017994   0.018340   0.018692   0.019052  0.019418      6.66     6.91
BP CAPITAL MARKETS AMERI 10373QAW0 12/14/18 11/28/23*    98.310     3.216     3.5913      6.63   0.009369   0.009537   0.009709                           3.34*        
BP CAPITAL MARKETS AMERI 10373QAY6 12/14/18 04/14/24*    98.067     3.224     3.6258      6.99   0.009842   0.010021   0.010202                           3.52*        
BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27     97.935     3.588     3.8804      4.48   0.006326   0.006449   0.006574   0.006701  0.006831      2.32     2.41
BP CAPITAL MARKETS AMERI 10373QBA7 12/14/18 09/19/22*    96.498     2.520     3.5213     18.49   0.025939   0.026396                                      5.03*        
BRAZOS TEX INDPT SCH DIS 106239FA9 03/23/21 02/15/23     99.058     0.000     0.5002                        0.013763   0.013791   0.013825  0.013860      3.83     4.98
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
BRENHAM TEX INDPT SCH DI 107133PG9 11/06/20 02/15/22     99.327     0.000     0.5303      0.80   0.014630   0.014652   0.014691                           5.28     0.65
BRENHAM TEX INDPT SCH DI 107133PH7 11/06/20 02/15/23     98.422     0.000     0.7003      1.05   0.019146   0.019183   0.019250   0.019318  0.019385      6.91     6.96
BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24     96.943     0.000     0.9502      1.41   0.025587   0.025653   0.025775   0.025898  0.026021      9.25     9.33
BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25     95.621     0.000     1.0501      1.53   0.027892   0.027973   0.028120   0.028267  0.028416     10.09    10.19
BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26     93.491     0.000     1.2799      1.83   0.033239   0.033356   0.033569   0.033784  0.034000     12.03    12.18
BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27     91.617     0.000     1.4001      1.96   0.035630   0.035767   0.036018   0.036270  0.036524     12.90    13.08
BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28     88.094     0.000     1.7500      2.36   0.042823   0.043029   0.043405   0.043785  0.044168     15.53    15.80
BROOKHAVEN N Y LOC DEV C 113168BH0 10/29/20 10/01/25     98.910     4.500     4.7509      0.34   0.005531   0.005642   0.005776   0.005914  0.006054      2.03     2.13
BROOKS CNTY TEX INDPT SC 114385FR3 11/26/19 08/15/22     94.401     0.000     2.1295     22.22   0.056699   0.057303   0.057913   0.058530               20.69    13.08
BROOKS CNTY TEX INDPT SC 114385FS1 11/26/19 08/15/23     91.893     0.000     2.2856     23.23   0.059304   0.059982   0.060668   0.061361  0.062062     21.66    22.15
BRYAN OHIO CITY SCH DIST 117529EP8 02/27/20 01/01/22     96.506     0.000     1.9370     15.85   0.052778   0.053290                                     19.09         
BRYAN OHIO CITY SCH DIST 117529EQ6 02/27/20 01/01/23     94.597     0.000     1.9619     15.74   0.052411   0.052925   0.053445   0.053969               18.96    19.33
BRYAN OHIO CITY SCH DIST 117529ER4 02/27/20 01/01/24     92.363     0.000     2.0769     16.27   0.054223   0.054786   0.055355   0.055930               19.62    20.03
Burea County SD #84, IL  121012AS7 06/04/10 12/01/21    104.162    VARIES     5.9681             0.166623   0.166208                                     54.91         
Burea County SD #84, IL  121012AT5 06/04/10 12/01/22    104.788    VARIES     6.1676             0.173173   0.172731   0.172276   0.171806               62.24    56.77
Bureau County SD #502, I 121133CK6 10/10/13 12/01/23    100.125    VARIES     4.9874             0.138586   0.138579   0.138571   0.138563  0.138555     49.89    49.88
Bureau County, SD #205,  121133CL4 10/10/13 12/01/29    100.148    VARIES     5.8866             0.163669   0.163662   0.163656   0.163649  0.163642     58.92    58.91
BUREAU LEE & WHITESIDE C 121158BT5 06/13/18 12/01/21    101.945     4.000     3.3723     88.17   0.094249   0.093965                                     31.05         
BUREAU LEE & WHITESIDE C 121158BU2 06/13/18 12/01/22    101.635     4.000     3.5768     93.42   0.100160   0.099964   0.099765   0.099562               36.01    32.89
BURLESON TEX INDPT SCH D 1214033Y3 07/01/20 08/01/22     97.135     0.000     1.4000      6.81   0.037819   0.038083   0.038350   0.038619               13.74     8.10
BURLESON TEX INDPT SCH D 1214033Z0 07/01/20 08/01/23     95.342     0.000     1.5529      7.41   0.041180   0.041499   0.041822   0.042146  0.042473     14.98    15.21
BURLESON TEX INDPT SCH D 1214034A4 07/01/20 08/01/24     92.838     0.000     1.8281      8.50   0.047216   0.047647   0.048083   0.048522  0.048966     17.21    17.52
BURLESON TEX INDPT SCH D 1214034B2 07/01/20 08/01/25     90.706     0.000     1.9281      8.76   0.048658   0.049127   0.049600   0.050078  0.050561     17.74    18.09
BURLESON TEX INDPT SCH D 1214034C0 07/01/20 08/01/26     87.833     0.000     2.1439      9.43   0.052400   0.052962   0.053529   0.054103  0.054683     19.13    19.55
BURLESON TEX INDPT SCH D 1214034D8 07/01/20 08/01/27     85.379     0.000     2.2439      9.59   0.053318   0.053916   0.054521   0.055133  0.055751     19.48    19.92
BURLESON TEX INDPT SCH D 1214034E6 07/01/20 08/01/28     82.817     0.000     2.3459      9.73   0.054073   0.054708   0.055349   0.055999  0.056655     19.77    20.24
BURLESON TEX INDPT SCH D 1214034F3 07/01/20 08/01/29     80.401     0.000     2.4159      9.73   0.054065   0.054719   0.055380   0.056048  0.056726     19.78    20.26
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES     8.9994             0.655000   0.679676   0.705269   0.732015  0.759964    241.75   260.35
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES     8.9994             0.655000   0.679676   0.705269   0.732015  0.759964    241.75   260.35
Canadian Imperial Bank   13605WUR0 12/27/19 02/03/22    100.000     0.000     2.2144     22.54   0.062329   0.063020   0.063717                          22.77     2.04
Canadian Imperial Bank   13605WVN8 02/10/20 02/03/22    100.000     0.000     1.8706     16.75   0.052429   0.052919   0.053414                          19.11     1.71
Canadian Imperial Bank   13607G302 05/02/19 04/28/23    100.000     0.000     2.9112     49.29   0.084424   0.085653   0.086899   0.088164  0.089448     30.77    31.67
CANUTILLO TEX INDPT SCH  138735YK5 07/29/20 02/15/27     89.327     0.000     1.7320      6.54   0.043010   0.043382   0.043758   0.044137  0.044519     15.65    15.92
CANUTILLO TEX INDPT SCH  138735YL3 07/29/20 02/15/28     86.749     0.000     1.8930      6.94   0.045655   0.046087   0.046523   0.046964  0.047408     16.63    16.95
CANUTILLO TEX INDPT SCH  138735YM1 07/29/20 02/15/29     84.413     0.000     1.9930      7.11   0.046773   0.047239   0.047709   0.048185  0.048665     17.05    17.39
CANUTILLO TEX INDPT SCH  138735YN9 07/29/20 02/15/30     81.977     0.000     2.0930      7.25   0.047705   0.048204   0.048709   0.049218  0.049733     17.40    17.77
CAREY OHIO EXMP VLG SCH  141771BR5 03/04/20 11/01/31     69.862     0.000     3.0999     17.99   0.061389   0.062340   0.063307   0.064288  0.065284     22.39    23.09
CAREY OHIO EXMP VLG SCH  141771BS3 03/04/20 11/01/32     67.325     0.000     3.1499     17.62   0.060133   0.061080   0.062042   0.063019  0.064011     21.93    22.63
CAREY OHIO EXMP VLG SCH  141771BT1 03/04/20 11/01/33     64.382     0.000     3.2499     17.39   0.059368   0.060333   0.061313   0.062310  0.063322     21.66    22.37
CAREY OHIO EXMP VLG SCH  141771BU8 03/04/20 11/01/34     61.892     0.000     3.2998     16.98   0.057968   0.058925   0.059897   0.060885  0.061890     21.16    21.86
CAREY OHIO EXMP VLG SCH  141771BV6 03/04/20 11/01/35     59.439     0.000     3.3499     16.55   0.056534   0.057481   0.058444   0.059422  0.060418     20.64    21.33
CAREY OHIO EXMP VLG SCH  141771BW4 03/04/20 11/01/36     57.028     0.000     3.3998     16.12   0.055068   0.056004   0.056956   0.057924  0.058909     20.11    20.80
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Carol Stream, IL         143735TV0 12/30/11 11/01/21     59.208     0.000     5.3993    364.57   0.142198   0.146037                                     43.35         
Carol Stream, IL         143735TW8 12/30/11 11/01/22     54.964     0.000     5.5993    354.15   0.139272   0.143171   0.147180   0.151300               51.31    44.90
Carol Stream, IL         143735TX6 12/30/11 11/01/23     50.827     0.000     5.7993    342.27   0.135704   0.139639   0.143688   0.147854  0.152142     50.04    52.98
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000     6.0492    330.55   0.132395   0.136399   0.140524   0.144775  0.149154     48.87    51.87
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000     6.1994    314.91   0.126903   0.130837   0.134892   0.139074  0.143384     46.87    49.82
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000     6.3493    298.98   0.121212   0.125061   0.129031   0.133127  0.137353     44.80    47.69
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000     6.4493    282.22   0.114880   0.118584   0.122408   0.126355  0.130430     42.48    45.26
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000     6.5994    266.28   0.109048   0.112646   0.116363   0.120203  0.124169     40.34    43.05
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000     6.6994    250.12   0.102841   0.106286   0.109846   0.113526  0.117328     38.06    40.66
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000     6.7995    234.44   0.096780   0.100070   0.103472   0.106990  0.110627     35.83    38.31
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000     6.8495    219.28   0.090702   0.093809   0.097021   0.100344  0.103781     33.59    35.93
Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29    100.000    VARIES     9.9395             1.686829   1.767473   1.852125   1.940983  2.034258    639.30   702.07
Champaign County, IL     158199BA6 11/04/15 12/01/23    124.115    VARIES        N/A             0.116760   0.114779   0.112760   0.110702  0.218056     41.56    43.38
Champaign County, IL     158199BB4 11/04/15 12/01/26     98.267    VARIES     4.1631             0.112367   0.112220   0.112070   0.111916  0.111759     40.42    40.31
Cheniere Energy, Inc.    16411RAF6 11/28/14 05/28/21    100.000     0.000        N/A             0.181600                                                26.51         
Cheniere Energy, Inc.    16411RAG4 03/09/15 03/15/45     80.000     4.250     5.6397     17.73   0.009827   0.009940   0.010389                           3.67     3.88
Cheniere Energy, Inc.    16411RAH2 11/28/14 05/28/21    100.000     0.000        N/A             0.181600                                                26.51         
CHESAPEAKE ENERGY CORP   165167DD6 12/19/19 01/01/25^    94.912    11.500    12.9059      8.00   0.023680   0.025209   0.026835   0.028567                8.80^    9.97
CHINA SPRING TEX INDPT S 169412RP0 07/22/20 08/15/33     71.045     0.000     2.6339      8.28   0.052067   0.052753   0.053448   0.054152  0.054865     19.06    19.56
CHINA SPRING TEX INDPT S 169412RQ8 07/22/20 08/15/34     68.731     0.000     2.6840      8.16   0.051330   0.052019   0.052717   0.053424  0.054141     18.79    19.30
Christian & Sangamon CNT 170592BH1 03/28/13 12/01/21    107.041    VARIES     3.3309             0.093354   0.092943                                     30.73         
Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22     99.442    VARIES     3.5341             0.098013   0.098051   0.098090   0.098130               35.29    32.38
Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23     99.390    VARIES     3.6841             0.102093   0.102131   0.102171   0.102211  0.102251     36.76    36.79
CHRISTIAN SHELBY & MONTG 170790DK2 06/06/17 12/01/21    101.259     3.000     2.6866     97.31   0.074857   0.074743                                     24.68         
Citigroup Inc.           17298C2B3 09/30/15 09/29/22    100.000     0.000     3.0163             0.097309   0.098776   0.100266   0.101778               35.57    27.14
Citigroup Inc.           17298C2C1 09/30/15 09/29/22    100.000     0.000     3.0163             0.097309   0.098776   0.100266   0.101778               35.57    27.14
Citigroup Inc.           17298C2U1 11/03/15 05/04/21    100.000     0.250     2.7771             0.087528                                                10.77         
Citigroup Inc.           17298C2Z0 10/30/15 11/01/22    100.000     0.000     2.9688             0.095568   0.096987   0.098427   0.099888               34.83    29.79
Citigroup Inc.           17298C3A4 10/30/15 11/01/22    100.000     0.000     2.9688             0.095568   0.096987   0.098427   0.099888               34.83    29.79
Citigroup Inc.           17298C3F3 10/28/15 10/28/25    100.000    VARIES     2.3916             0.008746   0.008851   0.008957   0.009064  0.009172      3.18     3.26
Citigroup Inc.           17298C3Z9 11/30/15 05/27/21    100.000     0.250     2.8050             0.088504                                                12.92         
Citigroup Inc.           17298C4A3 11/30/15 11/30/22    100.000     0.000     3.0605             0.098957   0.100471   0.102009   0.103570               35.99    33.84
Citigroup Inc.           17298C4B1 11/30/15 11/30/22    100.000     0.000     3.0605             0.098957   0.100471   0.102009   0.103570               35.99    33.84
Citigroup Inc.           17298C4W5 12/31/15 01/05/23    100.000     0.000     3.1984             0.102527   0.104167   0.105833   0.107525  0.109245     37.79    39.00
Citigroup Inc.           17298C4Z8 12/28/15 06/25/21    100.000     0.250     2.8488             0.090081                                                15.67         
Citigroup Inc.           17298C5L8 02/01/16 07/30/21    100.000     0.250     2.9080    151.71   0.091014   0.092237                                     19.24         
Citigroup Inc.           17298C5U8 01/29/16 01/31/23    100.000     0.000     3.1492    166.38   0.100703   0.102288   0.103899   0.105535  0.107197     37.02    38.20
Citigroup Inc.           17298C6K9 01/29/16 01/29/26    100.000    VARIES     2.4179     24.00   0.013092   0.013250   0.013410   0.013572  0.013737      4.79     4.91
Citigroup Inc.           17298C6X1 02/29/16 03/01/23    100.000     0.000     2.8956    149.18   0.091548   0.092873   0.094218   0.095582  0.096965     33.52    34.49
Citigroup Inc.           17298C6Y9 02/29/16 08/27/21    100.000     0.250     2.7865    142.46   0.086727   0.087838                                     20.67         
Citigroup Inc.           17298C6Z6 02/29/16 03/01/23    100.000     0.000     2.8956    149.18   0.091548   0.092873   0.094218   0.095582  0.096965     33.52    34.49
Citigroup Inc.           17298CAF5 05/15/15 05/15/30    100.000    VARIES     2.6421             0.009138   0.009259   0.009381   0.009505  0.009630      3.32     3.41
    -----------------------------                                                                                                                                      
    ^  Issuer filed for bankruptcy on 6/28/2020.                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       


SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           17298CAP3 05/28/15 05/26/22    100.000     0.000     3.0095             0.098506   0.099989   0.101493                          35.83    14.72
Citigroup Inc.           17298CAQ1 05/28/15 05/26/22    100.000     0.000     3.0095             0.098506   0.099989   0.101493                          35.83    14.72
Citigroup Inc.           17298CAR9 05/28/15 05/28/35    100.000    VARIES     4.3835             0.106452   0.108141   0.110396   0.112700  0.115055     38.76    40.31
Citigroup Inc.           17298CAT5 05/27/15 05/27/25    100.000    VARIES     2.5639             0.007131   0.007223   0.007315   0.007409  0.007504      2.59     2.66
Citigroup Inc.           17298CB56 04/04/16 10/05/21    100.000     0.250     2.6050    129.91   0.080446   0.081403                                     22.21         
Citigroup Inc.           17298CB64 04/04/16 04/05/21    100.000     0.000     2.4511    122.48   0.075982                                                 7.14         
Citigroup Inc.           17298CBT4 06/30/15 06/30/22    100.000     0.000     3.2000             0.105847   0.107541   0.109261                          38.41    19.56
Citigroup Inc.           17298CBV9 06/30/15 06/30/22    100.000     0.000     3.2000             0.105847   0.107541   0.109261                          38.41    19.56
Citigroup Inc.           17298CDH8 09/02/15 03/04/21    100.000     0.300     1.6120             0.047827                                                 3.01         
Citigroup Inc.           17298CDJ4 08/31/15 08/31/22    100.000     0.000     3.1499             0.101731   0.101648   0.104961   0.104875               37.51    25.38
Citigroup Inc.           17298CDK1 08/31/15 08/31/22    100.000     0.000     3.1499             0.101731   0.101648   0.104961   0.104875               37.51    25.38
Citigroup Inc.           17298CDV7 10/02/15 04/01/21    100.000     0.250     2.6650             0.083516                                                 7.52         
Citigroup Inc.           17298CFQ6 12/01/17 12/01/27    100.000    VARIES     2.8600     13.64   0.010907   0.011063   0.011221   0.011381  0.011544      3.96     4.08
Citigroup Inc.           17298CFV5 01/22/18 01/22/28    100.000    VARIES     3.0673     11.68   0.009999   0.010152   0.010308   0.010466  0.010626      3.68     3.79
Citigroup Inc.           17298CGC6 08/16/18 08/16/28    100.000    VARIES     3.4666      6.66   0.006544   0.006660   0.006776   0.006896  0.007016      2.44     2.53
Citigroup Inc.           17298CGD4 09/26/18 09/26/28    100.000    VARIES     3.8142      6.39   0.006554   0.006679   0.006806   0.006936  0.007068      2.41     2.50
Citigroup Inc.           17298CGK8 11/20/18 11/20/23    100.000    VARIES     3.5118      7.26   0.008954   0.009112   0.009272   0.009434  0.009600      3.26     3.38
Citigroup Inc.           17298CGL6 11/28/18 11/28/28    100.000    VARIES     3.8162     13.39   0.016045   0.015291   0.014522   0.014799  0.015082      5.59     5.30
Citigroup Inc.           17298CGS1 03/29/19 03/29/29    100.000    VARIES     3.1121      9.72   0.013839   0.012913   0.013114   0.013318  0.013525      4.75     4.80
Citigroup Inc.           17298CGZ5 06/19/19 06/19/26    100.000    VARIES     2.5629      8.68   0.014775   0.014281   0.014464   0.014649  0.014837      5.23     5.24
Citigroup Inc.           17298CJ74 03/04/20 03/04/30    100.000    VARIES     1.9573      2.74   0.009020   0.008684   0.008345   0.008003  0.008081      3.11     2.91
Citigroup Inc.           17298CJ82 03/20/20 03/20/30    100.000    VARIES     2.2121      2.99   0.010350   0.009918   0.009480   0.009038  0.009138      3.56     3.30
Citigroup Inc.           1730T02B4 10/30/14 10/30/34    100.000    VARIES     4.5064             0.115030   0.116028   0.117049   0.118093  0.119161     41.71    42.45
Citigroup Inc.           1730T02D0 10/31/14 10/31/29    100.000    VARIES     4.0094             0.096144   0.096876   0.097623   0.098385  0.099163     34.83    35.38
Citigroup Inc.           1730T02P3 10/31/14 10/31/34    100.000    VARIES     4.7455             0.115802   0.115572   0.115336   0.115095  0.114848     41.62    41.45
Citigroup Inc.           1730T02V0 11/26/14 11/26/34    100.000    VARIES     4.2546             0.102624   0.104753   0.106927   0.109148  0.111416     37.48    39.05
Citigroup Funding, Inc.  1730T03J6 12/29/14 12/29/34    100.000    VARIES     4.3208             0.113954   0.114666   0.115394   0.116053  0.116726     41.15    41.66
Citigroup Inc.           1730T03V9 01/30/15 02/01/22    100.000     0.000     2.8404             0.092147   0.093455   0.094783                          33.80     2.84
Citigroup Inc.           1730T03W7 01/30/15 01/30/35    100.000    VARIES     3.9694             0.108817   0.110943   0.113112   0.115324  0.117258     40.21    41.74
Citigroup Inc.           1730T03Z0 01/30/15 02/01/22    100.000     0.000     2.8404             0.092147   0.093455   0.094783                          33.80     2.84
Citigroup Inc.           1730T04J5 02/26/15 02/28/22    100.000     0.000     2.2326             0.069693   0.069322   0.071258                          25.56     4.13
Citigroup Inc.           1730T04L0 02/26/15 02/28/22    100.000     0.000     2.2326             0.069693   0.069322   0.071258                          25.56     4.13
Citigroup Inc.           1730T05X3 03/30/15 03/30/22    100.000     0.000     2.9238             0.095273   0.096666   0.098079                          34.80     8.73
Citigroup Inc.           1730T05Y1 03/30/15 03/30/22    100.000     0.000     2.9238             0.095273   0.096666   0.098079                          34.80     8.73
Citigroup Inc.           1730T06D6 03/27/15 03/27/25    100.000    VARIES     3.1775             0.091141   0.090979   0.090769   0.090555  0.090252     32.75    32.59
Citigroup Inc.           1730T06L8 03/23/15 03/23/22    100.000     0.000     2.8171             0.091269   0.092554   0.093858                          33.34     7.70
Citigroup Inc.           1730T06V6 04/29/15 04/28/22    100.000     0.000     2.7395             0.088375   0.089585   0.090812                          32.19    10.63
Citigroup Inc.           1730T06X2 04/29/15 04/28/22    100.000     0.000     2.7395             0.088375   0.089585   0.090812                          32.19    10.63
Citigroup Inc.           1730T07D5 04/27/15 04/27/25    100.000    VARIES     2.3818             0.065155   0.065262   0.065369   0.065478  0.065589     23.49    23.57
Citigroup Inc.           1730T07K9 04/30/15 04/30/35    100.000    VARIES     4.1098             0.101875   0.101654   0.101428   0.101198  0.101176     36.61    36.46
Citigroup Inc.           1730T0A58 10/22/13 10/22/33    100.000    VARIES     4.6765             0.104521   0.105429   0.106359   0.107848  0.109372     37.92    38.77
Citigroup Inc.           1730T0A82 11/15/13 11/15/28    100.000    VARIES     4.5367             0.108786   0.109731   0.110697   0.111880  0.113089     39.42    40.17
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0A90 10/30/13 10/30/33    100.000    VARIES     4.6216             0.108290   0.109292   0.110316   0.111675  0.113065     39.29    40.13
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000     7.3200    215.51   0.066721   0.069163   0.071694   0.074318  0.077038     24.69    26.53
Citigroup Inc.           1730T0B99 11/14/13 11/14/23*   100.000    VARIES     4.0136             0.101571                                                 4.77*        
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES     5.8404             0.157471   0.157558   0.157649   0.157742  0.157837     56.73    56.80
Citigroup Inc.           1730T0C23 11/12/13 11/12/33    100.000    VARIES     4.7621             0.109376   0.110182   0.111006   0.112373  0.113773     39.60    40.34
Citigroup Inc.           1730T0C56 11/26/13 11/26/33    100.000    VARIES     4.7711             0.112779   0.113838   0.114922   0.116263  0.117635     40.87    41.71
Citigroup Inc.           1730T0E88 01/29/14 01/29/29*   100.000    VARIES     4.3351             0.099813                                                 2.79*        
Citigroup Inc.           1730T0E96 01/29/14 01/29/34    100.000    VARIES     4.6111             0.098941   0.099856   0.100792   0.101750  0.103267     36.06    36.83
Citigroup Inc.           1730T0G78 02/19/14 02/19/34    100.000    VARIES     4.7124             0.111777   0.113403   0.115067   0.116770  0.118724     40.97    42.21
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES     8.1832             0.214423   0.216054   0.217752   0.219520  0.221359     77.70    78.94
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES     5.9942             0.144128   0.145014   0.146133   0.147286  0.148474     52.17    52.96
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES     5.1246             0.132768   0.133141   0.133523   0.133915  0.134317     47.90    48.17
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES     5.5699             0.132048   0.133300   0.134588   0.135911  0.137271     47.89    48.83
Citigroup Inc.           1730T0L31 03/28/14 03/28/34    100.000    VARIES     4.6422             0.109767   0.110783   0.111822   0.112886  0.114189     39.89    40.67
Citigroup Inc.           1730T0L64 03/12/14 03/12/34    100.000    VARIES     4.7152             0.103535   0.104426   0.105338   0.106271  0.107711     37.63    38.35
Citigroup Inc.           1730T0L72 03/28/14 03/28/21    100.000    VARIES     3.3141             0.092015                                                 8.01         
Citigroup Funding, Inc.  1730T0MA4 04/01/11 04/01/21    100.000    VARIES     5.0032             0.138961                                                12.51         
Citigroup Funding, Inc.  1730T0ME6 04/26/11 04/26/21    100.000    VARIES     1.9785             0.019213                                                 2.21         
Citigroup Funding, Inc.  1730T0MR7 06/20/11 06/20/21    100.000    VARIES     4.6546             0.129263                                                21.85         
Citigroup Inc.           1730T0N39 04/29/14 04/29/29*   100.000    VARIES     4.2731             0.102561                                                 2.97*        
Citigroup Inc.           1730T0N62 04/29/14 04/29/34    100.000    VARIES     4.5423             0.104519   0.105450   0.106402   0.107376  0.108610     37.91    38.62
Citigroup Funding, Inc.  1730T0NM7 08/31/11 08/31/21    100.000    VARIES     2.3032             0.018661   0.018568                                      4.50         
Citigroup Inc.           1730T0P78 05/30/14 05/30/29*   100.000    VARIES     4.1425             0.097453                                                 5.55*        
Citigroup Inc.           1730T0P86 05/30/14 05/30/34    100.000    VARIES     4.4254             0.098350   0.099297   0.100265   0.101254  0.102704     35.64    36.35
Citigroup Inc.           1730T0R50 06/18/14 06/18/34    100.000    VARIES     4.4513             0.104849   0.106702   0.108596   0.110532  0.112941     38.13    39.50
Citigroup Inc.           1730T0R76 06/27/14 06/27/34    100.000    VARIES     4.4526             0.104716   0.105419   0.106137   0.106871  0.107912     37.83    38.35
Citigroup Inc.           1730T0RN1 02/27/13 02/27/28    100.000    VARIES     3.2574             0.076437   0.077151   0.077876   0.078614  0.079586     27.82    28.38
Citigroup Inc.           1730T0SM2 04/29/13 04/29/33    100.000    VARIES     3.4970             0.086239   0.087223   0.088225   0.089244  0.090307     31.35    32.07
Citigroup Inc.           1730T0SX8 04/22/13 04/22/23    100.000    VARIES     1.4141             0.007723   0.007778   0.007833   0.007888  0.007944      2.80     2.84
Citigroup Inc.           1730T0T58 06/27/14 06/27/34    100.000    VARIES     4.3618             0.104200   0.104163   0.104125   0.104087  0.104266     37.51    37.48
Citigroup Funding, Inc.  1730T0TK5 05/30/13 05/30/33    100.000    VARIES     4.1925             0.101515   0.103065   0.104646   0.106261  0.107943     36.92    38.07
Citigroup Inc.           1730T0TQ2 06/11/13 06/11/33    100.000    VARIES     4.2945             0.107476   0.108649   0.109847   0.111071  0.112387     38.95    39.82
Citigroup Inc.           1730T0TT6 06/28/13 06/28/33    100.000    VARIES     4.5398             0.112779   0.114511   0.116631   0.118799  0.121016     40.92    42.39
Citigroup Inc.           1730T0TZ2 06/27/13 06/27/33    100.000    VARIES     4.6405             0.117751   0.119077   0.120698   0.122356  0.124052     42.64    43.76
Citigroup Inc.           1730T0U49 07/31/14 07/31/34    100.000    VARIES     4.3417             0.106588   0.107328   0.108083   0.108855  0.109644     38.73    39.28
Citigroup Inc.           1730T0UB3 07/09/13 07/09/33    100.000    VARIES     4.7565             0.121926   0.123332   0.124771   0.126244  0.127752     44.64    45.70
Citigroup Inc.           1730T0UG2 07/09/13 07/09/28    100.000    VARIES     4.4999             0.112700   0.113680   0.114682   0.115867  0.117078     41.09    41.91
Citigroup Inc.           1730T0UK3 07/30/13 07/30/33    100.000    VARIES     4.8333             0.115376   0.116633   0.117921   0.119709  0.121540     42.15    43.32
Citigroup Inc.           1730T0VD8 09/18/13 09/18/33    100.000    VARIES     5.1093             0.122207   0.123750   0.125332   0.127278  0.129274     44.59    45.88
Citigroup Inc.           1730T0VK2 10/08/13 10/08/23*   100.000    VARIES     3.9667             0.101450                                                 0.81*        
Citigroup Inc.           1730T0W21 08/28/14 08/28/34    100.000    VARIES     4.2433             0.109225   0.109871   0.110531   0.111205  0.111894     39.60    40.08
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES     3.8303             0.106900   0.106740   0.106570                          38.43     9.48
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Inc.           1730T0Z28 10/07/14 10/07/21    100.000     1.000     3.1430             0.099554   0.100682                                     27.68         
Citigroup Inc.           1730T0Z85 10/08/14 10/07/21    100.000     1.000     3.0942    205.02   0.097708   0.098790                                     27.16         
Citigroup Funding, Inc.  1730T0ZJ1 11/27/12 11/27/22    100.000    VARIES     1.5729             0.017037   0.017171   0.017306   0.017442                6.17     5.67
Citigroup Inc.           1730T3AV5 08/31/15 08/31/35    100.000    VARIES     4.4143             0.103231   0.103417   0.107073   0.107280  0.111088     38.19    39.61
Citigroup Inc.           1730T3AW3 08/31/15 08/31/35    100.000    VARIES     4.4100             0.105023   0.104108   0.106662   0.105755  0.108374     38.37    38.98
Citigroup Inc.           1730T3AX1 09/30/15 09/30/35    100.000    VARIES     4.3723             0.101540   0.102366   0.103211   0.105122  0.107076     36.86    37.85
Citigroup Inc.           1730T3AY9 10/30/15 10/30/35    100.000    VARIES     4.3036             0.102207   0.103522   0.104865   0.107057  0.109297     37.19    38.42
Citigroup Inc.           1730T3AZ6 11/30/15 11/30/35    100.000    VARIES     4.3523             0.106161   0.107381   0.108628   0.110843  0.113107     38.51    39.64
Citigroup Inc.           17321F755 11/05/13 11/03/22    100.000     0.000     3.6500             0.130577   0.132960   0.135386   0.137857               47.72    41.33
Citigroup Inc.           17323P140 03/03/16 09/01/23    100.000     0.000     3.0322    156.40   0.096426   0.097888   0.099372   0.100878  0.102408     35.33    36.41
Citigroup Inc.           17323P249 02/03/16 08/03/23    100.000     0.000     2.9606    155.29   0.093868   0.095258   0.096668   0.098099  0.099551     34.46    35.48
Citigroup Inc.           17323P314 11/24/15 11/26/21    100.000     0.000     2.8522             0.091293   0.092595                                     29.90         
Citigroup Inc.           17323P363 02/03/16 08/03/23    100.000     0.000     2.9606    155.29   0.093868   0.095258   0.096668   0.098099  0.099551     34.46    35.48
Citigroup Inc.           17323P496 01/05/16 07/06/23    100.000     0.000     3.1941    171.28   0.102334   0.103968   0.105629   0.107316  0.109030     37.71    38.93
Citigroup Inc.           17323Q643 10/05/15 04/04/23    100.000     0.000     3.1923             0.103879   0.105537   0.107222   0.108933  0.110672     37.99    39.21
Citigroup Inc.           17323Q692 09/18/15 03/20/23    100.000     0.000     3.1459             0.102164   0.103771   0.105404   0.107062  0.108746     37.40    38.58
Citigroup Global Markets 17324C2F2 04/29/16 10/29/21    100.000     0.250        N/A    129.00   0.081174   0.082148                                     24.37         
Citigroup Global Markets 17324C2G0 04/29/16 10/29/21    100.000     0.250     2.6262    129.00   0.081173   0.082148                                     24.37         
Citigroup Global Markets 17324C2J4 05/24/16 05/24/21    100.000    VARIES     2.5076    114.14   0.069408                                                 9.93         
Citigroup Global Markets 17324C2Z8 04/29/16 04/30/21    100.000     0.000     2.4478    120.40   0.075866                                                 9.03         
Citigroup Global Markets 17324C3D6 05/31/16 12/01/21    100.000     0.400     2.6323    126.41   0.080868   0.081786                                     26.85         
Citigroup Global Markets 17324C3E4 05/27/16 05/27/21    100.000     0.000     2.5425    123.10   0.079128                                                11.55         
Citigroup Global Markets 17324C3Y0 07/05/16 01/03/22    100.000     0.400     2.3787    111.11   0.071520   0.072238   0.072965                          26.13     0.15
Citigroup Global Markets 17324C3Z7 07/05/16 07/02/21    100.000     0.000     2.2351    104.92   0.067845   0.068603                                     12.42         
Citigroup Global Markets 17324C6L5 08/30/16 08/30/21    100.000     0.000     2.1695     98.20   0.064975   0.065321                                     15.72         
Citigroup Global Markets 17324C6M3 08/02/16 02/02/22    100.000     0.300     2.3124    106.20   0.069618   0.070327   0.071044                          25.40     2.20
Citigroup Global Markets 17324CA55 09/02/16 03/03/22    100.000     0.300     2.2650    101.89   0.068066   0.068743   0.069427                          24.79     4.30
Citigroup Global Markets 17324CAQ9 09/30/16 03/31/22    100.000     0.250     2.2317     98.54   0.067102   0.067773   0.068452                          24.40     6.09
Citigroup Global Markets 17324CBD7 11/02/16 05/03/22    100.000     0.250     2.4155    104.69   0.073165   0.073965   0.074774                          26.58     9.12
Citigroup Global Markets 17324CBN5 11/02/16 11/02/21    100.000     0.000     2.3120    100.46   0.070406   0.071220                                     21.34         
Citigroup Global Markets 17324CC53 11/28/16 05/26/22    100.000     0.250     2.7754    118.88   0.085259   0.086346   0.087448                          30.97    12.68
Citigroup Global Markets 17324CCV6 12/13/16 12/13/46    100.000    VARIES     0.8469     19.07   0.013328   0.013385   0.013442   0.013432  0.013421      4.81     4.84
Citigroup Global Markets 17324CD29 12/28/16 06/27/22    100.000     0.500     3.0613    128.40   0.094223   0.095452   0.096701                          34.15    17.02
Citigroup Global Markets 17324CDA1 12/30/16 01/02/24    100.000     0.000     3.3300    141.33   0.103854   0.105583   0.107341   0.109128  0.110945     38.32    39.61
Citigroup Global Markets 17324CDP8 01/30/17 07/28/22    100.000     0.500     3.0985    127.02   0.094257   0.095502   0.096767   0.098051               34.54    20.26
Citigroup Global Markets 17324CDY9 01/31/17 01/31/24    100.000     0.000     3.3783    140.33   0.105514   0.107297   0.109109   0.110952  0.112826     38.85    40.17
Citigroup Global Markets 17324CED4 02/16/17 02/16/27    100.000    VARIES     2.9107     18.82   0.012401   0.012581   0.012764   0.012950  0.013139      4.55     4.68
Citigroup Global Markets 17324CEW2 02/28/17 08/26/22    100.000     0.750     2.9987    119.50   0.090134   0.091173   0.092227   0.093298               32.90    21.87
Citigroup Global Markets 17324CFE1 03/10/17 03/10/27    100.000    VARIES     2.9100     15.34   0.010268   0.010418   0.010569   0.010723  0.010879      3.76     3.87
Citigroup Global Markets 17324CGS9 04/28/17 10/28/22    100.000     0.750     2.9296    111.51   0.087865   0.088847   0.089843   0.090854               31.93    26.87
Citigroup Global Markets 17324CHQ2 05/03/17 05/03/27    100.000    VARIES     2.7384     14.35   0.010204   0.010343   0.010485   0.010628  0.010774      3.71     3.82
Citigroup Global Markets 17324CHX7 05/31/17 05/31/22    100.000     0.000     2.7124    101.45   0.082795   0.083918   0.085056                          30.08    12.67
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17324CHZ2 04/28/17 04/28/27    100.000    VARIES     2.7213     10.76   0.007766   0.007872   0.007979   0.008087  0.008197      2.83     2.91
Citigroup Global Markets 17324CJ64 04/28/17 04/28/27    100.000    VARIES     2.8252     17.93   0.012434   0.012610   0.012788   0.012969  0.013152      4.53     4.66
Citigroup Global Markets 17324CJF4 06/01/17 12/01/22    100.000     0.750     2.8210    104.40   0.084287   0.085182   0.086090   0.087010               30.56    28.58
Citigroup Global Markets 17324CJR8 06/30/17 12/30/22    100.000     0.600     2.7880    100.94   0.083629   0.084562   0.085509   0.086468               30.28    30.87
Citigroup Global Markets 17324CKB1 07/06/17 07/06/27    100.000    VARIES     2.8475     18.57   0.013320   0.013509   0.013702   0.013897  0.014095      4.90     5.04
Citigroup Global Markets 17324CKF2 07/03/17 07/01/22    100.000     0.000     2.7294     99.37   0.083350   0.084488   0.085641                          30.21    15.42
Citigroup Global Markets 17324CKS4 07/28/17 01/30/23    100.000     0.500     2.8926    102.63   0.086344   0.087392   0.088455   0.089533  0.090627     31.59    32.37
Citigroup Global Markets 17324CKX3 08/01/17 08/01/22    100.000     0.000     2.7885     99.25   0.084168   0.085341   0.086531   0.087737               30.87    18.39
Citigroup Global Markets 17324CLA2 08/02/17 08/02/27    100.000    VARIES     2.7689     15.75   0.011547   0.011707   0.011869   0.012033  0.012200      4.23     4.35
Citigroup Global Markets 17324CLB0 09/01/17 03/03/23    100.000     0.500     2.7655     95.22   0.082233   0.083178   0.084136   0.085108  0.086092     30.00    30.69
Citigroup Global Markets 17324CLG9 09/01/17 09/01/22    100.000     0.000     2.6788     92.77   0.080594   0.081673   0.082767   0.083876               29.47    20.06
Citigroup Global Markets 17324CLR5 08/17/17 08/17/27    100.000    VARIES     2.6967     16.29   0.012107   0.012270   0.012436   0.012603  0.012773      4.43     4.55
Citigroup Global Markets 17324CLU8 08/25/17 08/25/29    100.000    VARIES     2.5876      8.45   0.006450   0.006533   0.006618   0.006703  0.006790      2.36     2.42
Citigroup Global Markets 17324CM86 09/29/17 09/29/22    100.000     0.000     2.7794     94.05   0.083871   0.085037   0.086218   0.087417               30.62    23.32
Citigroup Global Markets 17324CMJ2 09/21/17 09/21/27    100.000    VARIES     2.7273     15.88   0.012094   0.012259   0.012426   0.012595  0.012767      4.42     4.54
Citigroup Global Markets 17324CMP8 10/30/17 10/28/22    100.000     0.000     2.7828     91.57   0.083971   0.085139   0.086324   0.087525               30.59    25.85
Citigroup Global Markets 17324CMQ6 10/31/17 05/01/23    100.000     0.750     2.8328     92.35   0.083787   0.084679   0.085583   0.086501  0.087431     30.43    31.09
Citigroup Global Markets 17324CN28 10/12/17 10/12/22    100.000     0.000     2.8215     94.42   0.085247   0.086450   0.087669   0.088906               31.10    24.86
Citigroup Global Markets 17324CNA0 10/31/17 10/31/22    100.000     0.000     2.7777     91.39   0.083817   0.084981   0.086161   0.087358               30.53    25.98
Citigroup Global Markets 17324CNH5 12/04/17 12/02/22    100.000     0.000     2.8697     91.59   0.086815   0.088061   0.089324   0.090606               31.55    29.80
Citigroup Global Markets 17324CNJ1 12/04/17 06/02/23    100.000     0.750     2.9364     92.90   0.087105   0.088078   0.089065   0.090067  0.091084     31.59    32.30
Citigroup Global Markets 17324CPJ9 12/26/17 12/23/22    100.000     0.000     2.9644     92.75   0.089923   0.091256   0.092608   0.093981               32.63    32.85
Citigroup Global Markets 17324CQ74 12/20/17 06/21/23    100.000     0.000     2.9374     92.40   0.089061   0.090369   0.091696   0.093043  0.094409     32.32    33.28
Citigroup Global Markets 17324CQ90 01/30/18 01/30/23    100.000     0.000     3.1864     96.70   0.095790   0.097316   0.098867   0.100442  0.102042     35.22    36.36
Citigroup Global Markets 17324CYD2 08/31/18 09/02/21    100.000     0.000     3.4364     82.89   0.102207   0.103963                                     24.95         
Citigroup Global Markets 17324CYX8 08/31/18 08/31/21    100.000    VARIES     3.0075     15.50   0.018652   0.018789                                      4.50         
Citigroup Global Markets 17324CZZ2 08/31/17 02/28/23    100.000     0.000     2.7931     96.98   0.084304   0.085482   0.086676   0.087886  0.089113     30.85    31.72
Citigroup Global Markets 17324P156 05/05/16 11/03/23    100.000     0.000     2.9324    145.17   0.092841   0.094202   0.095583   0.096985  0.098407     33.83    34.83
Citigroup Global Markets 17324P248 06/03/16 12/05/23    100.000     0.000     2.8709    139.40   0.090678   0.091979   0.093300   0.094639  0.095997     32.95    33.90
Citigroup Global Markets 17324P396 08/03/16 02/05/24    100.000     0.000     2.5904    120.24   0.079771   0.080804   0.081851   0.082911  0.083985     29.21    29.97
Citigroup Global Markets 17324P784 10/05/16 04/03/24    100.000     0.000     2.6555    118.34   0.081959   0.083048   0.084150   0.085268  0.086400     29.89    30.69
Citigroup Global Markets 17325E242 01/05/17 07/03/24    100.000     0.000     3.3441    141.44   0.104307   0.106051   0.107825   0.109627  0.111460     38.49    39.79
Citigroup Global Market  17325E275 03/03/17 03/03/22    100.000     0.000     3.0465    122.72   0.094070   0.095503   0.096958                          34.46     6.01
Citigroup Global Markets 17325E408 03/01/17 03/01/22    100.000     0.000     2.8923    116.39   0.088837   0.090122   0.091425                          32.52     5.49
Citigroup Global Markets 17325E804 04/12/17 12/12/24    100.000     0.000     3.3138    130.08   0.103841   0.105561   0.107310   0.109088  0.110896     37.76    39.02
Citigroup Global Markets 17325K156 05/24/17 05/24/22    100.000     0.000     2.7177    102.15   0.082970   0.084098   0.085241                          30.16    12.19
Citigroup Global Markets 17325K263 07/06/17 01/03/24    100.000     0.000     3.1136    113.73   0.094865   0.096342   0.097842   0.099365  0.100912     34.95    36.04
Citigroup Global Markets 17325K511 09/14/17 09/15/22    100.000     0.000     2.7285     93.50   0.082218   0.083339   0.084476   0.085629               30.04    21.66
Citigroup Global Markets 17325K776 08/03/17 02/05/24    100.000     0.000     3.0276    107.96   0.092048   0.093441   0.094855   0.096291  0.097749     33.80    34.83
Citigroup Global Markets 17325K792 09/14/17 09/14/23    100.000     0.000     2.8890     99.22   0.087463   0.088726   0.090008   0.091308  0.092627     31.99    32.92
Citigroup Global Markets 17326E365 12/06/17 12/06/22    100.000     0.000     2.9046     92.56   0.087975   0.089253   0.090549   0.091864               31.97    30.57
Citigroup Global Markets 17326E530 01/03/18 01/04/23    100.000     0.000     2.9118     90.42   0.086951   0.088217   0.089501   0.090805  0.092127     31.98    32.92
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17326W134 02/05/19 02/03/21    100.000     0.000     3.4498     67.37   0.100854                                                 3.23         
Citigroup Global Markets 17326W274 02/05/19 09/06/22    100.000     0.000     3.6717     71.86   0.108054   0.110038   0.112058   0.114115               39.72    27.82
Citigroup Global Markets 17326W282 03/05/19 03/04/26    100.000     0.000     3.7445     69.98   0.109956   0.112014   0.114112   0.116248  0.118425     40.44    41.97
Citigroup Global Markets 17326W423 02/21/19 08/18/22    100.000     0.000     3.2955     62.75   0.096115   0.097699   0.099309   0.100945               35.31    22.84
Citigroup Global Markets 17326W696 06/05/19 06/03/22    100.000     0.000     2.6587     42.41   0.076825   0.077846   0.078881                          27.90    11.99
Citigroup Global Markets 17326W779 03/05/19 11/02/22    100.000     0.000     3.4589     64.55   0.101705   0.103464   0.105253   0.107073               37.14    32.01
Citigroup Global Markets 17326W795 03/05/19 03/03/21    100.000     0.000     3.0964     57.62   0.090052                                                 5.58         
Citigroup Global Markets 17326X595 11/15/18 11/14/23    100.000     0.000     4.0525     89.16   0.121961   0.124432   0.126953   0.129526  0.132150     44.59    46.41
Citigroup Global Markets 17326X819 01/04/19 01/05/26    100.000     0.000     4.1130     84.47   0.121458   0.123956   0.126505   0.129107  0.131762     45.06    46.94
Citigroup Global Markets 17326Y2M7 03/05/19 03/03/22    100.000     0.000     3.2140     59.85   0.093634   0.095138   0.096667                          34.34     5.99
Citigroup Global Markets 17326Y2P0 11/02/18 11/04/21    100.000     0.000     3.6919     82.42   0.110359   0.112396                                     33.81         
Citigroup Global Markets 17326Y2U9 02/25/19 02/25/21    100.000     0.000     3.0879     58.35   0.089810                                                 4.85         
Citigroup Global Markets 17326Y3D6 01/30/19 01/27/21    100.000     0.000     3.3884     66.64   0.098959                                                 2.57         
Citigroup Global Markets 17326Y3H7 06/04/19 06/03/22    100.000     0.000     2.7045     43.23   0.078208   0.079265   0.080337                          28.40    12.21
Citigroup Global Markets 17326Y4G8 04/26/19 04/27/29    100.000     2.000     3.7071     63.22   0.106765   0.106685   0.108662   0.108617  0.110630     38.53    39.23
Citigroup Global Markets 17326Y4M5 07/03/19 07/01/22    100.000     0.000     2.4527     37.10   0.070657   0.071524   0.072401                          25.59    13.03
Citigroup Global Markets 17326Y5J1 03/20/19 03/18/21    100.000     0.000     2.5319     45.84   0.073026                                                 5.62         
Citigroup Global Markets 17326Y5K8 06/14/19 12/15/22    100.000     0.000     2.5783     40.44   0.074430   0.075389   0.076361   0.077346               27.00    26.45
Citigroup Global Markets 17326Y5W2 05/31/19 06/02/22    100.000     0.000     2.8420     45.79   0.082371   0.083542   0.084729                          29.93    12.79
Citigroup Global Markets 17326Y5Z5 09/28/18 09/30/21    100.000     0.000     3.5957     83.85   0.107280   0.109209                                     29.21         
Citigroup Global Markets 17326Y6Q4 06/28/19 06/28/24*   100.000     0.000     2.5844     39.49   0.074609   0.075573                                     13.36*        
Citigroup Global Markets 17326YAH9 07/03/19 07/03/24    100.000     0.000     2.5848     39.13   0.073668   0.074620   0.075584   0.076561  0.077550     27.03    27.74
Citigroup Global Markets 17326YAR7 06/05/19 06/03/22    100.000     0.000     2.6588     42.41   0.076830   0.077851   0.078886                          27.90    11.99
Citigroup Global Markets 17326YB62 02/20/19 02/17/22    100.000     0.000     3.2683     62.32   0.095284   0.096841   0.098423                          35.00     4.53
Citigroup Global Markets 17326YCA2 04/26/19 04/26/29    100.000    VARIES     3.0551      8.66   0.012854   0.012011   0.012195   0.012381  0.012570      4.43     4.45
Citigroup Global Markets 17326YDF0 05/10/19 05/12/22    100.000     0.000     2.9343     49.01   0.085164   0.086414   0.087681                          31.01    11.49
Citigroup Global Markets 17326YDZ6 03/13/19 03/11/21    100.000     0.000     3.0633     56.28   0.089046                                                 6.23         
Citigroup Global Markets 17326YF68 03/29/19 03/28/24    100.000     0.000     3.1838     57.05   0.092723   0.094199   0.095698   0.097222  0.098770     33.92    35.01
Citigroup Global Markets 17326YFF8 05/03/19 05/05/22    100.000     0.000     2.9032     49.07   0.084222   0.085444   0.086685                          30.68    10.75
Citigroup Global Markets 17326YFG6 02/28/19 03/01/22    100.000    VARIES     2.5400     47.10   0.071635   0.072030   0.072944                          26.02     4.38
Citigroup Global Markets 17326YFJ0 06/28/19 12/31/24    100.000     0.000     2.6784     40.95   0.077442   0.078479   0.079530   0.080595  0.081674     28.07    28.82
Citigroup Global Markets 17326YFK7 04/03/19 04/01/22    100.000     0.000     2.9546     52.53   0.085750   0.087016   0.088302                          31.33     7.95
Citigroup Global Markets 17326YFQ4 04/30/19 10/30/24    100.000     0.000     3.2236     54.87   0.093943   0.095458   0.096996   0.098560  0.100148     34.28    35.39
Citigroup Global Markets 17326YG34 06/28/19 06/30/22    100.000     0.000     2.3796     36.33   0.068496   0.069311   0.070136                          24.81    12.55
Citigroup Global Markets 17326YGW0 03/29/19 03/30/22    100.000     0.000     2.9164     52.17   0.084615   0.085849   0.087101                          30.91     7.75
Citigroup Global Markets 17326YJF4 02/28/19 03/02/22    100.000     0.000     3.3909     63.92   0.099102   0.100782   0.102491                          36.38     6.25
Citigroup Global Markets 17326YJM9 03/05/19 03/04/21    100.000     0.000     3.0869     57.44   0.089773                                                 5.66         
Citigroup Global Markets 17326YK96 03/29/19 03/31/22    100.000     0.000     2.9227     52.29   0.084805   0.086045   0.087302                          30.98     7.77
Citigroup Global Markets 17326YL20 10/31/18 10/29/21    100.000     0.000     3.1711     70.67   0.093797   0.095285                                     28.22         
Citigroup Global Markets 17326YLG9 11/16/18 11/18/21    100.000     0.000     3.6795     80.59   0.109963   0.111986                                     35.22         
Citigroup Global Markets 17326YLJ3 09/12/18 09/10/21    100.000     0.000     3.4831     82.80   0.103650   0.105455                                     26.13         
Citigroup Global Markets 17326YLW4 12/11/18 12/11/25    100.000    VARIES     3.4423     10.49   0.012725   0.012944   0.013167   0.013394  0.013624      4.63     4.79
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17326YMA1 09/28/18 09/30/21    100.000     0.000     3.5948     83.83   0.107252   0.109180                                     29.20         
Citigroup Global Markets 17326YML7 02/05/19 02/04/21    100.000     0.000     3.1450     61.29   0.091539                                                 3.02         
Citigroup Global Markets 17326YNA0 03/04/19 03/03/22    100.000     0.000     3.2230     60.12   0.093917   0.095430   0.096968                          34.44     6.01
Citigroup Global Markets 17326YNG7 03/29/19 03/31/21    100.000     0.000     2.5320     45.18   0.073043                                                 6.50         
Citigroup Global Markets 17326YNS1 03/29/19 04/01/24    100.000     0.500     3.2003     57.24   0.092799   0.093840   0.095341   0.096422  0.097965     33.82    34.75
Citigroup Global Markets 17326YNT9 03/29/19 04/01/24    100.000     0.000     3.2016     57.38   0.093288   0.094782   0.096299   0.097840  0.099407     34.12    35.22
Citigroup Global Markets 17326YP83 02/28/19 03/02/22    100.000     0.000     3.3909     63.92   0.099102   0.100782   0.102491                          36.38     6.25
Citigroup Global Markets 17326YQE9 03/01/19 03/02/21    100.000     0.000     3.0810     57.68   0.089607                                                 5.47         
Citigroup Global Markets 17326YQL3 04/15/19 04/14/22    100.000     0.000     3.0130     52.53   0.087528   0.088846   0.090185                          31.95     9.29
Citigroup Global Markets 17326YRY4 12/26/18 12/23/21    100.000     0.000     3.5858     74.21   0.106911   0.108828                                     37.98         
Citigroup Global Markets 17326YS49 11/15/18 11/12/21    100.000     0.000     3.7806     82.99   0.113151   0.115290                                     35.58         
Citigroup Global Markets 17326YS72 04/23/19 04/21/22    100.000     0.000     3.0064     51.72   0.087320   0.088632   0.089964                          31.86     9.90
Citigroup Global Markets 17326YS98 03/29/19 03/31/22    100.000     0.000     2.9227     52.29   0.084805   0.086045   0.087302                          30.98     7.77
Citigroup Global Markets 17326YSN7 02/28/19 03/04/24    100.000     0.000     3.5717     67.41   0.104688   0.106558   0.108461   0.110398  0.112370     38.47    39.85
Citigroup Global Markets 17326YTV8 09/25/18 09/25/23    100.000     1.000     3.1087     71.97   0.090094   0.091495   0.092053   0.093484  0.094074     32.87    33.59
Citigroup Global Markets 17326YU95 03/13/19 03/13/26    100.000     0.000     3.6227     66.80   0.106200   0.108123   0.110082   0.112076  0.114106     39.00    40.42
Citigroup Global Markets 17326YVM5 01/31/19 02/02/22    100.000     0.000     3.5319     69.53   0.103417   0.105244   0.107102                          38.11     3.32
Citigroup Global Markets 17326YW51 05/31/19 06/03/22    100.000     0.000     2.6953     43.39   0.077954   0.079004   0.080069                          28.31    12.17
Citigroup Global Markets 17326YWM4 07/02/19 01/03/23    100.000     0.000     2.5315     38.38   0.072115   0.073027   0.073952   0.074888  0.075836     26.45    27.13
Citigroup Global Markets 17326YX43 05/22/19 05/20/22    100.000     0.000     2.8898     47.25   0.083790   0.085001   0.086229                          30.48    11.99
Citigroup Global Markets 17326YX84 04/23/19 04/22/21    100.000     0.000     2.9226     50.25   0.084789                                                 9.41         
Citigroup Global Markets 17326YXC5 01/31/19 02/02/22    100.000     0.000     3.5319     69.53   0.103417   0.105244   0.107102                          38.11     3.32
Citigroup Global Markets 17326YXR2 04/30/19 04/28/22    100.000     0.000     2.9308     49.80   0.085030   0.086276   0.087540                          30.99    10.24
Citigroup Global Markets 17326YY59 03/01/19 03/03/25    100.000     1.000     3.5616     66.60   0.103328   0.104179   0.106034   0.106933  0.108837     37.67    38.66
Citigroup Global Markets 17326YY67 05/23/19 05/25/22    100.000     0.000     2.8574     46.62   0.082836   0.084019   0.085219                          30.12    12.27
Citigroup Global Markets 17326YYH3 05/31/19 12/04/24    100.000     0.000     3.1681     51.14   0.092283   0.093745   0.095230   0.096738  0.098271     33.56    34.64
Citigroup Global Markets 17326YYM2 11/15/18 11/15/21    100.000     0.000     3.7481     82.25   0.112140   0.114242                                     35.59         
Citigroup Global Markets 17326YYQ3 10/18/18 10/18/22    100.000    VARIES     3.0322     66.30   0.082555   0.083232   0.083701   0.084010               29.93    24.08
Citigroup Global Markets 17326YYU4 11/30/18 12/02/21    100.000     0.000     3.7678     81.01   0.112796   0.114921                                     37.72         
Citigroup Global Markets 17326YYZ3 05/03/19 05/05/21    100.000     0.000     2.8327     47.86   0.082089                                                10.18         
Citigroup Global Markets 17326YZF6 04/30/19 04/28/22    100.000     0.000     2.9308     49.80   0.085030   0.086276   0.087540                          30.99    10.24
Citigroup Global Markets 17326YZM1 02/15/19 02/16/21    100.000     0.000     2.6213     50.14   0.075721                                                 3.41         
Citigroup Global Markets 17327P526 08/05/19 08/03/22    100.000     0.000     2.9111     41.48   0.083222   0.084434   0.085663   0.086909               30.54    18.38
Citigroup Global Markets 17327T2G0 12/24/19 12/22/22    100.000     0.000     2.1806     22.36   0.061892   0.062566   0.063249   0.063938               22.41    22.32
Citigroup Global Markets 17327T3H7 12/17/19 12/15/22    100.000     0.000     2.2284     23.30   0.063278   0.063983   0.064696   0.065417               22.93    22.39
Citigroup Global Markets 17327T3N4 02/28/20 05/31/23    100.000     0.000     1.8421     15.57   0.051885   0.052363   0.052845   0.053332  0.053823     18.79    19.14
Citigroup Global Markets 17327T3P9 02/05/20 02/03/23    100.000     0.000     2.1859     19.89   0.061377   0.062048   0.062726   0.063411  0.064104     22.42    22.91
Citigroup Global Markets 17327T3Q7 02/28/20 05/31/23    100.000     0.000     1.8421     15.57   0.051885   0.052363   0.052845   0.053332  0.053823     18.79    19.14
Citigroup Global Markets 17327T4W3 12/24/19 12/24/24    100.000     0.000     2.4008     24.63   0.068299   0.069119   0.069949   0.070789  0.071638     24.75    25.34
Citigroup Global Markets 17327T6F8 03/02/20 08/31/23    100.000     0.000     2.1027     17.54   0.059015   0.059629   0.060263   0.060889  0.061537     21.51    21.96
Citigroup Global Markets 17327T6P6 03/04/20 08/31/23    100.000     0.000     1.7725     14.67   0.049662   0.050097   0.050546   0.050989  0.051446     18.06    18.39
Citigroup Global Markets 17327TA55 03/02/20 08/29/25    100.000     0.000     2.1805     18.19   0.061218   0.061882   0.062560   0.063238  0.063931     22.32    22.81
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17327TCN4 08/29/19 11/03/21    100.000     0.000     2.1349     28.87   0.060805   0.061454                                     18.48         
Citigroup Global Markets 17327TCX2 08/05/19 08/04/22    100.000     0.000     2.9115     41.48   0.083239   0.084451   0.085680   0.086927               30.54    18.47
Citigroup Global Markets 17327TDB9 08/07/19 08/05/22    100.000     0.000     2.1339     30.17   0.060540   0.061186   0.061839   0.062499               22.10    13.35
Citigroup Global Markets 17327TET9 12/02/19 12/02/24    100.000     0.000     2.4449     26.62   0.069583   0.070434   0.071295   0.072166  0.073048     25.25    25.87
Citigroup Global Markets 17327TF92 01/31/20 02/02/23    100.000     0.000     2.2035     20.36   0.061892   0.062574   0.063263   0.063960  0.064665     22.61    23.11
Citigroup Global Markets 17327TFC5 12/04/19 12/02/22    100.000     0.000     2.3164     25.08   0.065834   0.066597   0.067368   0.068148               23.88    22.44
Citigroup Global Markets 17327TFV3 07/02/19 12/30/21    100.000     0.000     2.3854     36.14   0.068652   0.069471                                     24.79         
Citigroup Global Markets 17327TFW1 09/30/19 09/30/25    100.000     0.000     2.5748     32.59   0.073374   0.074319   0.075276   0.076245  0.077226     26.76    27.45
Citigroup Global Markets 17327TFX9 11/13/19 11/10/22    100.000     0.000     2.2910     26.17   0.065092   0.065837   0.066591   0.067354               23.64    20.71
Citigroup Global Markets 17327TGP5 09/03/19 03/04/21    100.000     0.000     1.8413     24.64   0.052096                                                 3.28         
Citigroup Global Markets 17327TGV2 09/09/19 03/08/21    100.000     0.000     1.8413     24.33   0.052092                                                 3.49         
Citigroup Global Markets 17327TH41 02/03/20 02/02/23    100.000     0.000     2.1983     20.13   0.061730   0.062409   0.063094   0.063788  0.064489     22.55    23.05
Citigroup Global Markets 17327THY5 11/01/19 11/01/24    100.000     0.000     2.5315     29.80   0.072111   0.073023   0.073948   0.074884  0.075832     26.23    26.90
Citigroup Global Markets 17327TJ80 02/28/20 03/02/27*   100.000     0.000     2.4605     20.81   0.069206                                                 4.22*        
Citigroup Global Markets 17327TJJ6 11/04/19 11/04/21    100.000     0.000     2.0636     24.08   0.058512   0.059116                                     17.84         
Citigroup Global Markets 17327TJN7 12/24/19 12/22/22    100.000     0.000     2.1805     22.36   0.061891   0.062565   0.063248   0.063937               22.41    22.32
Citigroup Global Markets 17327TJQ0 10/03/19 10/05/22    100.000     0.000     2.2658     28.45   0.064382   0.065111   0.065849   0.066595               23.43    18.18
Citigroup Global Markets 17327TKD7 12/26/19 12/23/22    100.000     0.000     2.2329     22.77   0.063406   0.064114   0.064830   0.065553               22.96    22.95
Citigroup Global Markets 17327TMF0 12/24/19 12/22/22    100.000     0.000     2.1805     22.36   0.061891   0.062565   0.063248   0.063937               22.41    22.32
Citigroup Global Markets 17327TMZ6 08/30/19 03/04/25    100.000     0.000     2.1981     29.66   0.062424   0.063110   0.063804   0.064505  0.065214     22.76    23.26
Citigroup Global Markets 17327TN28 02/04/20 12/05/22    100.000     0.000     2.0124     18.37   0.056846   0.057418   0.057995   0.058579               20.60    19.48
Citigroup Global Markets 17327TNB8 09/19/19 09/21/22    100.000     0.000     2.4325     31.53   0.069231   0.070073   0.070925   0.071788               25.24    18.60
Citigroup Global Markets 17327TND4 11/05/19 11/03/22    100.000     0.000     1.6705     19.42   0.047176   0.047570   0.047968   0.048368               17.10    14.56
Citigroup Global Markets 17327TNH5 07/31/19 02/01/23    100.000     0.000     2.4950     35.83   0.071052   0.071938   0.072835   0.073744  0.074664     26.01    26.66
Citigroup Global Markets 17327TNM4 07/10/19 08/04/21    100.000     0.000     2.3844     35.60   0.067931   0.068741                                     14.62         
Citigroup Global Markets 17327TNS1 09/03/19 09/03/24    100.000     0.000     1.8671     24.99   0.052838   0.053331   0.053829   0.054331  0.054839     19.23    19.59
Citigroup Global Markets 17327TPG5 11/13/19 11/10/22    100.000     0.000     2.2691     25.92   0.064458   0.065189   0.065928   0.066676               23.41    20.51
Citigroup Global Markets 17327TPJ9 11/29/19 11/30/22    100.000     0.000     2.0339     22.29   0.057656   0.058242   0.058835   0.059433               20.90    19.46
Citigroup Global Markets 17327TPT7 09/30/19 03/30/23    100.000     0.000     2.3505     29.72   0.066835   0.067620   0.068415   0.069219  0.070033     24.35    24.92
Citigroup Global Markets 17327TQA7 09/04/19 03/03/23    100.000     0.000     2.1796     29.15   0.061868   0.062542   0.063224   0.063913  0.064610     22.55    23.05
Citigroup Global Markets 17327TRQ1 07/31/19 01/30/25    100.000     0.000     2.8012     40.29   0.080006   0.081127   0.082263   0.083415  0.084584     29.34    30.17
Citigroup Global Markets 17327TSD9 07/24/19 07/22/22    100.000     0.000     2.4497     35.59   0.069715   0.070569   0.071433   0.072308               25.52    14.52
Citigroup Global Markets 17327TSJ6 10/31/19 10/31/25    100.000     0.000     2.6129     30.84   0.074489   0.075462   0.076448   0.077447  0.078459     27.11    27.82
Citigroup Global Markets 17327TSM9 11/27/19 11/28/22    100.000     0.000     2.2265     24.54   0.063237   0.063941   0.064653   0.065372               22.94    21.27
Citigroup Global Markets 17327TSV9 08/14/19 08/13/26    100.000     0.000     2.5545     35.68   0.072778   0.073708   0.074649   0.075602  0.076568     26.63    27.31
Citigroup Global Markets 17327TT63 01/31/20 02/02/23    100.000     0.000     2.2035     20.36   0.061892   0.062574   0.063263   0.063960  0.064665     22.61    23.11
Citigroup Global Markets 17327TT97 02/11/20 02/10/22    100.000     0.000     1.8965     16.93   0.053176   0.053681   0.054190                          19.38     2.11
Citigroup Global Markets 17327TTR7 10/22/19 10/20/22    100.000     0.000     2.2321     26.82   0.063386   0.064094   0.064809   0.065532               23.05    18.86
Citigroup Global Markets 17327TTT3 11/29/19 11/30/22    100.000     0.000     2.0339     22.29   0.057656   0.058242   0.058835   0.059433               20.90    19.46
Citigroup Global Markets 17327TUT1 11/29/19 05/30/25    100.000     0.000     2.5704     28.21   0.073253   0.074194   0.075148   0.076113  0.077092     26.60    27.29
Citigroup Global Markets 17327TUX2 08/12/19 08/12/21    100.000     0.000     2.1207     29.68   0.060164   0.060802                                     13.41         
Citigroup Global Markets 17327TV86 12/20/19 12/23/26    100.000     0.170     2.6310     27.29   0.074910   0.075833   0.076768   0.077716  0.078676     27.15    27.82
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17327TW36 01/24/20 01/26/22    100.000     0.000     2.0546     19.33   0.057664   0.058257   0.058855                          21.05     1.47
Citigroup Global Markets 17327TWP7 10/02/19 10/02/23    100.000     0.000     2.3580     29.69   0.067053   0.067844   0.068644   0.069453  0.070272     24.42    25.00
Citigroup Global Markets 17327TX84 02/04/20 02/04/25    100.000     0.000     2.4251     22.15   0.068181   0.069008   0.069845   0.070692  0.071549     24.94    25.55
Citigroup Global Markets 17327TXH4 10/02/19 10/02/24    100.000     0.000     2.4893     31.36   0.070879   0.071762   0.072655   0.073559  0.074475     25.83    26.48
Citigroup Global Markets 17327TXK7 12/02/19 12/01/22    100.000     0.000     2.2585     24.57   0.064156   0.064880   0.065613   0.066354               23.27    21.79
Citigroup Global Markets 17327TXT8 09/10/19 09/10/24    100.000     0.250     2.3208     30.63   0.065810   0.066493   0.067184   0.067883  0.068591     23.97    24.47
Citigroup Global Markets 17327TYG5 10/08/19 11/03/21    100.000     0.000     2.0870     25.90   0.059275   0.059893                                     18.01         
Citigroup Global Markets 17327TZ33 03/03/20 03/04/30*   100.000     0.000     2.4353     20.26   0.068476                                                 4.31*        
Citigroup Global Markets 17327TZ82 01/31/20 02/02/27    100.000     0.000     2.6047     24.09   0.073304   0.074259   0.075226   0.076206  0.077198     26.85    27.55
Citigroup Global Markets 17327TZF6 10/31/19 05/03/23    100.000     0.000     2.3404     27.60   0.066555   0.067334   0.068122   0.068919  0.069726     24.19    24.76
Citigroup Global Markets 17328V3K4 04/14/20 04/11/25    100.000     1.000     2.6920     19.30   0.075791   0.076064   0.077087   0.077377  0.078419     27.43    27.90
Citigroup Global Markets 17328V3S7 03/31/20 10/01/25    100.000     0.000     3.3432     25.31   0.094429   0.096008   0.097613   0.099244  0.100903     34.57    35.73
Citigroup Global Markets 17328V4B3 04/13/20 10/12/23    100.000     0.000     2.6242     18.88   0.073845   0.074814   0.075796   0.076790  0.077798     26.91    27.62
Citigroup Global Markets 17328V5E6 04/15/20 03/31/25    100.000     0.000     2.4947     17.81   0.070088   0.070963   0.071848   0.072744  0.073651     25.55    26.19
Citigroup Global Markets 17328VA59 03/24/20 09/22/23    100.000     0.000     4.1210     31.94   0.116803   0.119210   0.121666   0.124173  0.126732     42.96    44.75
Citigroup Global Markets 17328VB58 03/31/20 07/01/24    100.000     0.000     3.2340     24.48   0.092033   0.093521   0.095033   0.096570               33.40    34.49
Citigroup Global Markets 17328VCM0 03/31/20 04/01/27    100.000     0.000     3.4611     26.21   0.097814   0.099506   0.101228   0.102980  0.104762     35.82    37.08
Citigroup Global Markets 17328VD64 04/15/20 03/31/25    100.000     0.000     2.4947     17.81   0.070088   0.070963   0.071848   0.072744  0.073651     25.55    26.19
Citigroup Global Markets 17328VE55 04/01/20 10/02/23    100.000     0.000     2.8014     21.11   0.078912   0.080018   0.081139   0.082275  0.083428     28.81    29.62
Citigroup Global Markets 17328VEE6 03/31/20 03/29/23    100.000     0.000     2.7726     20.97   0.078078   0.079161   0.080258   0.081371  0.082499     28.50    29.30
Citigroup Global Markets 17328VEP1 03/31/20 03/31/25    100.000     0.750     3.2898     24.91   0.092929   0.093772   0.095315   0.096197  0.097779     33.81    34.68
Citigroup Global Markets 17328VF62 04/03/20 04/05/23    100.000     0.000     2.2190     16.58   0.062331   0.063022   0.063721   0.064428  0.065143     22.68    23.19
Citigroup Global Markets 17328VHK9 04/03/20 04/05/23    100.000     0.000     2.2190     16.58   0.062331   0.063022   0.063721   0.064428  0.065143     22.68    23.19
Citigroup Global Markets 17328VHM5 03/31/20 07/01/24    100.000     0.000     3.2340     24.48   0.092033   0.093521   0.095033   0.096570               33.40    34.49
Citigroup Global Markets 17328VJW1 06/30/20 06/30/27    100.000     0.000     1.8120      9.11   0.050789   0.051249   0.051714   0.052182  0.052655     18.37    18.70
Citigroup Global Markets 17328VK58 05/19/20 11/18/27    100.000     0.000     2.4153     14.93   0.067898   0.068718   0.069548   0.070388  0.071238     24.66    25.26
Citigroup Global Markets 17328VKX7 05/05/20 05/04/23    100.000     0.000     1.6435     10.80   0.046025   0.046404   0.046785   0.047169  0.047557     16.68    16.96
Citigroup Global Markets 17328VL40 06/22/20 06/20/25    100.000     0.500     1.4840      7.79   0.041531   0.041633   0.041942   0.042047  0.042359     14.97    15.12
Citigroup Global Markets 17328VL65 06/03/20 06/03/25    100.000     0.000     1.8512     10.71   0.051899   0.052379   0.052864   0.053353  0.053847     18.80    19.15
Citigroup Global Markets 17328VL81 05/20/20 05/20/25    100.000     0.000     1.9603     12.06   0.054987   0.055526   0.056071   0.056620  0.057175     19.94    20.33
Citigroup Global Markets 17328VLH1 05/20/20 05/20/25    100.000     0.000     1.9603     12.06   0.054987   0.055526   0.056071   0.056620  0.057175     19.94    20.33
Citigroup Global Markets 17328VME7 05/20/20 05/22/28    100.000     0.000     2.3713     14.59   0.066659   0.067449   0.068249   0.069058  0.069877     24.20    24.78
Citigroup Global Markets 17328VNJ5 06/22/20 03/21/24    100.000     0.000     1.2560      6.60   0.034998   0.035218   0.035439   0.035661  0.035885     12.68    12.84
Citigroup Global Markets 17328VP61 05/20/20 05/20/25    100.000     0.000     1.9603     12.06   0.054987   0.055526   0.056071   0.056620  0.057175     19.94    20.33
Citigroup Global Markets 17328VPK0 07/01/20 04/01/24    100.000     0.000     1.2260      6.14   0.034160   0.034369   0.034580   0.034792  0.035005     12.37    12.53
Citigroup Global Markets 17328VPL8 05/20/20 05/20/25*   100.000     0.000     1.0871      6.68   0.030361                                                 4.22*        
Citigroup Global Markets 17328VPV6 05/20/20 05/18/28    100.000     0.000     2.3763     14.62   0.066784   0.067577   0.068380   0.069193  0.070015     24.25    24.83
Citigroup Global Markets 17328VPY0 06/03/20 12/04/23    100.000     0.000     1.5242      8.82   0.042663   0.042989   0.043316   0.043646  0.043979     15.43    15.67
Citigroup Global Markets 17328VQB9 05/20/20 05/20/25    100.000     0.000     1.9603     12.06   0.054987   0.055526   0.056071   0.056620  0.057175     19.94    20.33
Citigroup Global Markets 17328VQM5 05/19/20 11/17/23    100.000     0.000     1.6533     10.21   0.046301   0.046684   0.047070   0.047459  0.047851     16.77    17.05
Citigroup Global Markets 17328VQN3 04/29/20 04/29/25    100.000     0.000     2.2376     15.08   0.062850   0.063553   0.064264   0.064983  0.065710     22.84    23.35
Citigroup Global Markets 17328VQS2 04/30/20 05/01/25    100.000     0.000     2.2285     14.96   0.062598   0.063295   0.064001   0.064714  0.065435     22.74    23.25
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17328VR44 05/29/20 05/30/25    100.000     0.000     1.9013     11.21   0.053317   0.053824   0.054336   0.054852  0.055374     19.32    19.69
Citigroup Global Markets 17328VRU6 06/30/20 06/30/25    100.000     0.000     1.5040      7.56   0.042092   0.042408   0.042727   0.043048  0.043372     15.21    15.44
Citigroup Global Markets 17328VSB7 06/03/20 06/05/28    100.000     0.000     2.2772     13.18   0.063984   0.064712   0.065449   0.066194  0.066948     23.20    23.73
Citigroup Global Markets 17328VSU5 04/29/20 10/27/23    100.000     0.000     1.9316     13.02   0.054168   0.054691   0.055219   0.055753  0.056291     19.66    20.04
Citigroup Global Markets 17328VSX9 06/22/20 06/22/28    100.000     0.000     2.4751     13.00   0.069603   0.070464   0.071337   0.072219  0.073113     25.23    25.86
Citigroup Global Markets 17328VTY6 05/20/20 05/20/27    100.000     0.000     2.2283     13.71   0.062587   0.063284   0.063989   0.064702  0.065423     22.71    23.22
Citigroup Global Markets 17328VUJ7 05/19/20 05/19/25    100.000     0.000     1.9503     12.05   0.054704   0.055238   0.055776   0.056320  0.056869     19.83    20.22
Citigroup Global Markets 17328VUY4 04/30/20 05/01/25    100.000     0.000     2.2185     14.89   0.062314   0.063005   0.063704   0.064410  0.065125     22.64    23.15
Citigroup Global Markets 17328VW22 07/06/20 07/03/25    100.000     0.000     1.4650      7.12   0.040695   0.040988   0.041288   0.041591  0.041895     14.81    15.03
Citigroup Global Markets 17328VWV8 05/05/20 05/05/25    100.000     0.000     1.9904     13.08   0.055840   0.056395   0.056956   0.057523  0.058096     20.26    20.67
Citigroup Global Markets 17328VXE5 07/01/20 07/01/25    100.000     0.000     1.4940      7.47   0.041810   0.042122   0.042437   0.042754               15.11    15.33
Citigroup Global Markets 17328VXW5 07/06/20 07/06/28    100.000     0.000     1.8910      9.19   0.052529   0.053025   0.053527   0.054033  0.054544     19.17    19.54
Citigroup Global Markets 17328VY79 08/05/20 08/05/25    100.000     0.000     1.2061      4.89   0.033503   0.033705   0.033909   0.034113  0.034319     12.16    12.30
Citigroup Global Markets 17328VYC8 06/30/20 06/30/27    100.000     0.000     1.7917      9.01   0.050215   0.050665   0.051119   0.051576  0.052038     18.16    18.49
Citigroup Global Markets 17328VYQ7 07/31/20 08/02/27    100.000     0.000     1.5241      6.39   0.042340   0.042663   0.042988   0.043315  0.043645     15.40    15.63
Citigroup Global Markets 17328VYS3 07/06/20 07/05/24    100.000     0.000     1.2060      5.86   0.033501   0.033702   0.033905   0.034110  0.034315     12.17    12.31
Citigroup Global Markets 17328VYX2 06/30/20 06/30/27    100.000     0.000     1.7917      9.01   0.050215   0.050665   0.051119   0.051576  0.052038     18.16    18.49
Citigroup Global Markets 17328VZR4 07/31/20 08/02/27    100.000     0.000     1.5241      6.39   0.042340   0.042663   0.042988   0.043315  0.043645     15.40    15.63
Citigroup Global Markets 17328VZX1 07/06/20 07/05/24    100.000     0.000     1.2060      5.86   0.033501   0.033702   0.033905   0.034110  0.034315     12.17    12.31
Citigroup Global Markets 17328VZZ6 08/05/20 08/05/25    100.000     0.000     1.2061      4.89   0.033503   0.033705   0.033909   0.034113  0.034319     12.16    12.30
Citigroup Global Markets 17328W2G2 07/31/20 02/02/26    100.000     0.000     1.3551      5.68   0.037645   0.037900   0.038157   0.038415  0.038675     13.67    13.86
Citigroup Global Markets 17328W2Y3 08/05/20 08/04/28    100.000     0.000     1.5941      6.47   0.044281   0.044632   0.044988   0.045347  0.045708     16.11    16.37
Citigroup Global Markets 17328W3C0 07/20/20 07/18/25    100.000     0.000     1.3751      6.15   0.038197   0.038457   0.038721   0.038987  0.039255     13.88    14.07
Citigroup Global Markets 17328W3W6 07/31/20 07/31/25    100.000     0.000     1.2561      5.27   0.034892   0.035111   0.035332   0.035554  0.035777     12.67    12.83
Citigroup Global Markets 17328W4Q8 07/31/20 08/02/27    100.000     0.000     1.5441      6.48   0.042896   0.043227   0.043561   0.043897  0.044236     15.60    15.84
Citigroup Global Markets 17328W4W5 08/03/20 05/02/24    100.000     0.000     1.0070      4.14   0.028043   0.028184   0.028326   0.028469  0.028612     10.14    10.24
Citigroup Global Markets 17328W6M5 07/22/20 07/22/24    100.000     0.000     1.1071      4.89   0.030752   0.030923   0.031094   0.031266  0.031439     11.16    11.28
Citigroup Global Markets 17328W6Y9 08/21/20 02/23/24    100.000     0.000     0.8681      3.13   0.024115   0.024220   0.024325   0.024431  0.024537      8.73     8.80
Citigroup Global Markets 17328W7B8 09/03/20 09/05/25    100.000     0.000     1.1571      3.79   0.032145   0.032331   0.032518   0.032706  0.032895     11.65    11.78
Citigroup Global Markets 17328WA73 08/31/20 08/31/27    100.000     0.000     1.4842      4.99   0.041227   0.041529   0.041841   0.042148  0.042464     14.97    15.19
Citigroup Global Markets 17328WAA6 09/30/20 09/30/27    100.000     0.000     1.5842      4.00   0.044006   0.044355   0.044706   0.045060  0.045417     15.97    16.22
Citigroup Global Markets 17328WB80 08/21/20 11/21/25    100.000     0.000     1.2860      4.65   0.035838   0.036069   0.036301   0.036534  0.036769     12.96    13.13
Citigroup Global Markets 17328WBA5 09/30/20 09/30/30    100.000     0.000     2.0203      5.11   0.056118   0.056685   0.057258   0.057836  0.058420     20.41    20.82
Citigroup Global Markets 17328WBY3 08/31/20 03/02/28    100.000     0.000     1.4842      4.99   0.041230   0.041536   0.041844   0.042155  0.042467     14.97    15.19
Citigroup Global Markets 17328WC71 09/18/20 12/18/25    100.000     0.000     1.2660      3.62   0.035278   0.035502   0.035727   0.035953  0.036180     12.75    12.91
Citigroup Global Markets 17328WCK2 10/05/20 10/03/25    100.000     0.000     1.2962      3.10   0.036006   0.036236   0.036471   0.036708  0.036946     13.04    13.21
Citigroup Global Markets 17328WEQ7 09/30/20 09/30/25    100.000     0.000     1.2862      3.25   0.035728   0.035958   0.036189   0.036422  0.036656     12.95    13.11
Citigroup Global Markets 17328WF60 09/03/20 09/05/25    100.000     0.000     1.1571      3.79   0.032145   0.032331   0.032518   0.032706  0.032895     11.65    11.78
Citigroup Global Markets 17328WFH6 09/11/20 03/13/24    100.000     0.000     0.8181      2.50   0.022726   0.022819   0.022912   0.023006  0.023100      8.22     8.29
Citigroup Global Markets 17328WFL7 08/31/20 08/31/27    100.000     0.000     1.4942      5.02   0.041505   0.041811   0.042127   0.042438  0.042759     15.07    15.30
Citigroup Global Markets 17328WFW3 09/30/20 06/30/26    100.000     0.000     1.4250      3.60   0.039725   0.040008   0.040293   0.040580  0.040869     14.35    14.56
Citigroup Global Markets 17328WHM3 08/31/20 05/29/26    100.000     0.000     1.3060      4.39   0.036396   0.036634   0.036873   0.037114  0.037356     13.16    13.33
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17328WHP6 09/30/20 03/31/28    100.000     0.000     1.7012      4.30   0.047257   0.047659   0.048064   0.048473  0.048885     17.16    17.45
Citigroup Global Markets 17328WJ58 09/30/20 12/31/26    100.000     0.000     1.5240      3.85   0.042495   0.042819   0.043145   0.043474  0.043805     15.36    15.59
Citigroup Global Markets 17328WJG4 09/21/20 09/21/27    100.000     0.000     1.4782      4.11   0.041061   0.041365   0.041670   0.041978  0.042289     14.90    15.12
Citigroup Global Markets 17328WJT6 08/12/20 08/12/25    100.000     0.000     1.0971      4.24   0.030475   0.030642   0.030810   0.030979  0.031149     11.05    11.17
Citigroup Global Markets 17328WKC1 09/21/20 09/21/27    100.000     0.000     1.4782      4.11   0.041061   0.041365   0.041670   0.041978  0.042289     14.90    15.12
Citigroup Global Markets 17328WLC0 09/30/20 09/30/27    100.000     0.000     1.5842      4.00   0.044006   0.044355   0.044706   0.045060  0.045417     15.97    16.22
Citigroup Global Markets 17328WLU0 10/05/20 10/03/25    100.000     0.000     1.2962      3.10   0.036006   0.036236   0.036471   0.036708  0.036946     13.04    13.21
Citigroup Global Markets 17328WML9 11/30/20 11/30/27    100.000     0.000     1.4941      1.29   0.041503   0.041813   0.042125   0.042440  0.042757     15.02    15.24
Citigroup Global Markets 17328WMR6 11/30/20 11/30/27    100.000     0.000     1.4941      1.29   0.041503   0.041813   0.042125   0.042440  0.042757     15.02    15.24
Citigroup Global Markets 17328WND6 11/04/20 11/04/25    100.000     0.000     1.2962      2.05   0.036005   0.036238   0.036473   0.036710  0.036947     13.03    13.20
Citigroup Global Markets 17328WNR5 12/03/20 12/04/25    100.000     0.000     1.1771      0.92   0.032698   0.032890   0.033084   0.033278  0.033474     11.82    11.96
Citigroup Global Markets 17328WPG7 10/19/20 10/19/27    100.000     0.000     1.5142      3.03   0.042061   0.042379   0.042700   0.043024  0.043349     15.25    15.48
Citigroup Global Markets 17328WPR3 11/04/20 11/04/25    100.000     0.000     1.2962      2.05   0.036005   0.036238   0.036473   0.036710  0.036947     13.03    13.20
Citigroup Global Markets 17328WPW2 10/30/20 11/01/27    100.000     0.000     1.5642      2.65   0.043452   0.043791   0.044134   0.044479  0.044827     15.74    15.99
Citigroup Global Markets 17328WPY8 11/27/20 11/29/21    100.000     0.000     0.3300      0.31   0.009167   0.009182                                      3.01         
Citigroup Global Markets 17328WRX8 11/30/20 05/30/24    100.000     0.000     0.8281      0.71   0.023002   0.023097   0.023193   0.023289  0.023385      8.30     8.37
Citigroup Global Markets 17328WSY5 10/30/20 11/01/27    100.000     0.000     1.5642      2.65   0.043452   0.043791   0.044134   0.044479  0.044827     15.74    15.99
Citigroup Global Markets 17328WTW8 12/03/20 12/04/25    100.000     0.000     1.1771      0.92   0.032698   0.032890   0.033084   0.033278  0.033474     11.82    11.96
Citigroup Global Markets 17328WU48 10/23/20 10/25/27    100.000     0.000     1.5475      2.92   0.042989   0.043322   0.043657   0.043995  0.044335     15.58    15.82
Citigroup Global Markets 17328WUD8 10/30/20 02/01/27    100.000     0.000     1.4941      2.53   0.041501   0.041658   0.041969   0.042283  0.042599     15.04    15.26
Citigroup Global Markets 17328WUG1 10/01/20 01/02/26    100.000     0.000     1.3750      3.44   0.038195   0.038327   0.038591   0.038856  0.039123     13.84    14.04
Citigroup Global Markets 17328WV96 12/01/20 03/02/26    100.000     0.000     1.2860      1.07   0.035723   0.035840   0.036070   0.036302  0.036535     12.92    13.08
Citigroup Global Markets 17328WVK1 11/04/20 11/04/25    100.000     0.000     1.2962      2.05   0.036005   0.036238   0.036473   0.036710  0.036947     13.03    13.20
Citigroup Global Markets 17328WVS4 10/30/20 07/30/26    100.000     0.000     1.3950      2.36   0.038751   0.038886   0.039158   0.039431  0.039706     14.04    14.23
Citigroup Global Markets 17328WX60 10/30/20 11/01/27    100.000     0.000     1.5642      2.65   0.043452   0.043791   0.044134   0.044479  0.044827     15.74    15.99
Citigroup Global Markets 17328WXE3 10/23/20 10/25/27    100.000     0.000     1.5742      2.97   0.043732   0.044076   0.044423   0.044773  0.045125     15.85    16.10
Citigroup Global Markets 17328WXK9 11/02/20 02/02/26    100.000     0.000     1.3450      2.20   0.037362   0.037488   0.037740   0.037994  0.038249     13.53    13.71
Citigroup Global Markets 17328WXL7 12/03/20 12/04/25    100.000     0.000     1.1771      0.92   0.032698   0.032890   0.033084   0.033278  0.033474     11.82    11.96
Citigroup Global Markets 17328WYB8 10/26/20 04/25/24    100.000     0.000     0.8781      1.59   0.024392   0.024499   0.024606   0.024714  0.024823      8.81     8.89
Citigroup Global Markets 17328WYN2 11/30/20 11/30/27    100.000     0.000     1.4941      1.29   0.041503   0.041813   0.042125   0.042440  0.042757     15.02    15.24
Citigroup Global Markets 17328WZH4 11/30/20 11/29/30*   100.000     0.000     1.9011      1.64   0.052809   0.053308   0.053815                          17.47*        
Citigroup Global Markets 17328WZR2 10/30/20 11/01/27    100.000     0.000     1.5642      2.65   0.043452   0.043791   0.044134   0.044479  0.044827     15.74    15.99
Citigroup Global Markets 17328WZS0 10/30/20 11/01/27*   100.000     0.000     1.5642      2.65   0.043452   0.043791                                     13.10*        
Citigroup Global Markets 17328WZT8 10/30/20 10/31/30*   100.000     0.000     2.0002      3.39   0.055562   0.056117   0.056679                          16.77*        
Citigroup Global Markets 17328Y2D5 11/24/20 11/24/27    100.000     0.000     1.5489      1.59   0.043026   0.043359   0.043695   0.044034  0.044375     15.57    15.82
Citigroup Global Markets 17328Y2F0 12/28/20 12/26/25    100.000     0.000     1.1170      0.09   0.031028   0.031199   0.031374   0.031549  0.031725     11.20    11.33
Citigroup Global Markets 17328Y2S2 12/24/20 12/27/27    100.000     0.000     1.4840      0.29   0.041228   0.041534   0.041842   0.042152  0.042465     14.90    15.12
Citigroup Global Markets 17328Y2T0 12/24/20 12/27/27    100.000     0.000     1.4840      0.29   0.041228   0.041534   0.041842   0.042152  0.042465     14.90    15.12
Citigroup Global Markets 17328Y2W3 12/28/20 12/26/25    100.000     0.000     1.1170      0.09   0.031028   0.031199   0.031374   0.031549  0.031725     11.20    11.33
Citigroup Global Markets 17328Y2Y9 12/24/20 03/26/26    100.000     0.000     1.2260      0.24   0.034056   0.034163   0.034372   0.034583  0.034795     12.31    12.45
Citigroup Global Markets 17328Y3M4 12/24/20 12/27/27    100.000     0.000     1.4840      0.29   0.041228   0.041534   0.041842   0.042152  0.042465     14.90    15.12
Citigroup Global Markets 17328Y3T9 12/24/20 12/27/30*   100.000     0.000     1.9800      0.39   0.055010   0.055554                                     19.68*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17328Y5D2 02/02/21 02/02/28    100.000     0.000     1.4841                        0.041225   0.041531   0.041840  0.042150     13.61    15.10
Citigroup Global Markets 17328Y5K6 12/24/20 09/24/26    100.000     0.000     1.2860      0.25   0.035723   0.035837   0.036068   0.036300  0.036533     12.91    13.07
Citigroup Global Markets 17328Y6B5 02/03/21 02/03/26    100.000     0.000     1.0671                        0.029641   0.029800   0.029959  0.030118      9.75    10.80
Citigroup Global Markets 17328Y6K5 01/12/21 01/10/25    100.000     0.000     0.8580                        0.023834   0.023935   0.024038  0.024141      8.34     8.67
Citigroup Global Markets 17328Y7D0 12/21/20 06/20/24    100.000     0.000     0.7780      0.22   0.021611   0.021695   0.021779   0.021864  0.021949      7.80     7.86
Citigroup Global Markets 17328Y7E8 01/29/21 01/29/27    100.000     0.000     1.2761                        0.035447   0.035673   0.035901  0.036130     11.80    12.95
Citigroup Global Markets 17328YAT1 01/12/21 01/10/25    100.000     0.000     0.8580                        0.023834   0.023935   0.024038  0.024141      8.34     8.67
Citigroup Global Markets 17328YB37 01/06/21 01/08/29    100.000     0.000     1.5840             0.044001   0.044005   0.044353   0.044704  0.045059     15.68    16.15
Citigroup Global Markets 17328YBB9 02/03/21 02/03/26    100.000     0.000     1.0671                        0.029641   0.029800   0.029959  0.030118      9.75    10.80
Citigroup Global Markets 17328YBM5 12/21/20 12/21/40    100.000    VARIES     2.5695      0.71   0.071374   0.069864   0.068335   0.067920  0.067530     25.39    24.52
Citigroup Global Markets 17328YCM4 01/29/21 01/30/31    100.000     0.000     2.0301                        0.056396   0.056968   0.057547  0.058131     18.81    20.79
Citigroup Global Markets 17328YCP7 01/29/21 01/30/31    100.000     0.000     2.0301                        0.056396   0.056968   0.057547  0.058131     18.81    20.79
Citigroup Global Markets 17328YDA9 01/29/21 01/31/28    100.000     0.000     1.4841             0.041225   0.041227   0.041533   0.041841  0.042152     13.73    15.10
Citigroup Global Markets 17328YDL5 01/25/21 01/25/31    100.000    VARIES     1.4542                        0.040394   0.040082   0.039768  0.039119     13.52    14.22
Citigroup Global Markets 17328YEA8 01/29/21 04/30/26    100.000     0.000     1.1770             0.032695   0.032793   0.032986   0.033180  0.033375     10.89    11.93
Citigroup Global Markets 17328YEG5 01/25/21 07/25/24    100.000     0.000     0.7090                        0.019696   0.019765   0.019836  0.019906      6.63     7.15
Citigroup Global Markets 17328YEM2 02/03/21 02/05/29    100.000     0.000     1.7231             0.047865   0.047870   0.048282   0.048698  0.049118     15.76    17.58
Citigroup Global Markets 17328YET7 12/30/20 12/30/27    100.000     0.000     1.4932      0.04   0.041478   0.041787   0.042099   0.042414  0.042730     14.99    15.21
Citigroup Global Markets 17328YFN9 01/29/21 01/31/28    100.000     0.000     1.4841             0.041225   0.041227   0.041533   0.041841  0.042152     13.73    15.10
Citigroup Global Markets 17328YHA5 01/29/21 01/31/28    100.000     0.000     1.4841             0.041225   0.041227   0.041533   0.041841  0.042152     13.73    15.10
Citigroup Global Markets 17328YHB3 12/30/20 12/30/27    100.000     0.000     1.4932      0.04   0.041478   0.041787   0.042099   0.042414  0.042730     14.99    15.21
Citigroup Global Markets 17328YHR8 02/18/21 05/15/26    100.000     0.000     1.1860             0.032946   0.033040   0.033236   0.033433  0.033631     10.34    12.02
Citigroup Global Markets 17328YHU1 02/26/21 02/27/31    100.000     0.000     2.3173                        0.064373   0.065119   0.065874  0.066637     19.73    23.77
Citigroup Global Markets 17328YHW7 02/26/21 02/26/27    100.000     0.000     1.4752                        0.040978   0.041280   0.041584  0.041891     12.54    14.99
Citigroup Global Markets 17328YHY3 01/29/21 01/29/41    100.000    VARIES     2.6993                        0.074981   0.074448   0.073934  0.073435     24.81    26.55
Citigroup Global Markets 17328YJG0 01/29/21 01/31/29    100.000     0.000     1.6831             0.046753   0.046756   0.047149   0.047546  0.047946     15.58    17.17
Citigroup Global Markets 17328YJV7 03/03/21 03/03/26    100.000     0.000     1.3652                        0.037923   0.038181   0.038442  0.038704     11.33    13.85
Citigroup Global Markets 17328YJX3 02/26/21 02/28/28    100.000     0.000     1.7232             0.047867   0.047872   0.048284   0.048701  0.049120     14.65    17.56
Citigroup Global Markets 17328YK94 02/26/21 02/28/28    100.000     0.000     1.7232             0.047867   0.047872   0.048284   0.048701  0.049120     14.65    17.56
Citigroup Global Markets 17328YLL6 02/26/21 02/28/28    100.000     0.000     1.7232             0.047867   0.047872   0.048284   0.048701  0.049120     14.65    17.56
Citigroup Global Markets 17328YME1 03/03/21 03/03/26    100.000     0.000     1.3652                        0.037923   0.038181   0.038442  0.038704     11.33    13.85
Citigroup Global Markets 17328YN26 02/24/21 08/22/24    100.000     0.000     0.6991                        0.019419   0.019486   0.019554  0.019622      5.97     7.04
Citigroup Global Markets 17328YND2 03/02/21 05/29/26    100.000     0.000     1.3451             0.037363   0.037484   0.037736   0.037990  0.038246     11.21    13.65
Citigroup Global Markets 17328YQH0 02/26/21 02/28/28    100.000     0.000     1.7232             0.047867   0.047872   0.048284   0.048701  0.049120     14.65    17.56
Citigroup Global Markets 17328YQN7 01/29/21 01/31/28    100.000     0.000     1.4841             0.041225   0.041227   0.041533   0.041841  0.042152     13.73    15.10
Citigroup Global Markets 17328YQP2 03/03/21 03/05/29    100.000     0.000     2.0693             0.057480   0.057487   0.058082   0.058683  0.059290     17.20    21.16
Citigroup Global Markets 17328YQV9 02/19/21 02/19/41    100.000    VARIES     2.8472                        0.079089   0.078408   0.077750  0.077114     24.59    27.94
Citigroup Global Markets 17328YRC0 04/06/21 04/06/26    100.000     0.000     1.6533                        0.045926   0.046306   0.046689  0.047075     12.20    16.80
Citigroup Global Markets 17328YRG1 03/31/21 03/30/28    100.000     0.000     2.0694                        0.057483   0.058078   0.058679  0.059286     15.63    21.13
Citigroup Global Markets 17328YRL0 04/06/21 04/06/26    100.000     0.000     1.6533                        0.045926   0.046306   0.046689  0.047075     12.20    16.80
Citigroup Global Markets 17328YSU9 02/26/21 02/26/41    100.000    VARIES     2.9720                        0.082555   0.080892   0.079205  0.077224     24.97    28.36
Citigroup Global Markets 17328YSW5 02/22/21 02/22/41    100.000    VARIES     2.8536                        0.079265   0.078018   0.076754  0.075982     24.33    27.60
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17328YT38 02/26/21 02/26/31    100.000    VARIES     1.6111                        0.044752   0.044441   0.044128  0.043038     13.61    15.77
Citigroup Global Markets 17328YTF1 03/01/21 02/27/26    100.000     0.000     1.1861                        0.032948   0.033139   0.033336  0.033534      9.91    12.01
Citigroup Global Markets 17328YTQ7 03/23/21 09/23/24    100.000     0.000     1.0472                        0.029089   0.029241   0.029394  0.029548      8.10    10.58
Citigroup Global Markets 17328YUN2 03/01/21 02/27/26    100.000     0.000     1.1861                        0.032948   0.033139   0.033336  0.033534      9.91    12.01
Citigroup Global Markets 17328YUP7 03/31/21 03/30/28    100.000     0.000     2.0694                        0.057483   0.058078   0.058679  0.059286     15.63    21.13
Citigroup Global Markets 17328YVZ4 04/06/21 04/06/29    100.000     0.000     2.3564                        0.065456   0.066228   0.067008  0.067797     17.41    24.12
Citigroup Global Markets 17328YWJ9 03/31/21 03/31/31    100.000     0.000     2.6134                        0.072595   0.073544   0.074505  0.075478     19.76    26.82
Citigroup Global Markets 17328YWY6 03/31/21 04/01/27    100.000     0.000     1.8423                        0.051179   0.051650   0.052126  0.052606     13.91    18.77
Citigroup Global Markets 17328YXX7 03/31/21 03/30/28    100.000     0.000     2.0694                        0.057483   0.058078   0.058679  0.059286     15.63    21.13
Citigroup Global Markets 17328YY24 04/06/21 10/05/26    100.000     0.000     1.8324                        0.050899   0.051363   0.051834  0.052309     13.53    18.66
Citigroup Global Markets 17328YYU2 03/31/21 03/31/31    100.000    VARIES     1.6136                        0.044822   0.044063   0.043298  0.041899     12.08    15.53
Citigroup Global Markets 17328YZV9 03/17/21 03/17/31    100.000    VARIES     1.6101                        0.044724   0.044190   0.043651  0.043405     12.65    15.73
Citigroup Global Markets 17329B848 04/21/21 05/07/26    100.000     0.000     1.5037             0.041769   0.041797   0.042111   0.042428  0.042747     10.47    15.25
Citigroup Global Markets 17329F3G7 05/05/21 05/05/26    100.000     0.000     1.5643                        0.043452   0.043792   0.044134  0.044479     10.27    15.87
Citigroup Global Markets 17329F3J1 04/28/21 10/28/26    100.000     0.000     1.7233                        0.047870   0.048282   0.048698  0.049118     11.66    17.51
Citigroup Global Markets 17329F3P7 04/30/21 05/02/28    100.000     0.000     2.0793             0.057759   0.057766   0.058366   0.058973  0.059586     13.96    21.19
Citigroup Global Markets 17329F4C5 04/15/21 04/17/31    100.000     0.000     2.6134             0.072594   0.072605   0.073554   0.074515  0.075489     18.66    26.80
Citigroup Global Markets 17329F4Q4 05/05/21 05/05/26    100.000     0.000     1.5643                        0.043452   0.043792   0.044134  0.044479     10.27    15.87
Citigroup Global Markets 17329F4R2 04/28/21 04/27/28    100.000     0.000     2.0693                        0.057482   0.058073   0.058674  0.059281     14.01    21.09
Citigroup Global Markets 17329F4Z4 04/28/21 10/28/26    100.000     0.000     1.7233                        0.047870   0.048282   0.048698  0.049118     11.66    17.51
Citigroup Global Markets 17329F5L4 04/30/21 04/30/27    100.000     0.000     1.8423                        0.051176   0.051647   0.052123  0.052603     12.36    18.74
Citigroup Global Markets 17329F5V2 04/30/21 05/02/28    100.000     0.000     2.0793             0.057759   0.057766   0.058366   0.058973  0.059586     13.96    21.19
Citigroup Global Markets 17329F6U3 04/30/21 05/02/28    100.000     0.000     2.0793             0.057759   0.057766   0.058366   0.058973  0.059586     13.96    21.19
Citigroup Global Markets 17329F6W9 04/28/21 04/26/24    100.000     0.000     0.9482                        0.026338   0.026461   0.026587  0.026713      6.41     9.56
Citigroup Global Markets 17329F7G3 04/30/21 05/02/28    100.000     0.000     2.0793             0.057759   0.057766   0.058366   0.058973  0.059586     13.96    21.19
Citigroup Global Markets 17329FAD6 04/30/21 05/01/31    100.000     0.000     2.5734                        0.071487   0.072407   0.073339  0.074283     17.28    26.35
Citigroup Global Markets 17329FAK0 04/21/21 04/21/31    100.000     0.000     2.5734                        0.071483   0.072403   0.073334  0.074278     17.94    26.36
Citigroup Global Markets 17329FCF9 04/30/21 10/30/26    100.000     0.000     1.7623                        0.048953   0.049385   0.049820  0.050259     11.82    17.91
Citigroup Global Markets 17329FCV4 06/30/21 06/29/28    100.000     0.000     1.9800                        0.055000   0.055541   0.056091  0.056646      9.96    20.10
Citigroup Global Markets 17329FCW2 05/26/21 05/27/26    100.000     0.000     1.4552                        0.040423   0.040717   0.041013  0.041311      8.70    14.73
Citigroup Global Markets 17329FD43 06/30/21 06/29/28    100.000     0.000     1.9800                        0.055000   0.055541   0.056091  0.056646      9.96    20.10
Citigroup Global Markets 17329FD68 05/28/21 12/01/26    100.000     0.000     1.6332             0.045365   0.045372   0.045742   0.046116  0.046492      9.68    16.56
Citigroup Global Markets 17329FE26 06/30/21 06/30/27    100.000     0.000     1.7920                        0.049778   0.050224   0.050674  0.051128      9.01    18.16
Citigroup Global Markets 17329FE42 06/30/21 06/29/28    100.000     0.000     1.9800                        0.055000   0.055541   0.056091  0.056646      9.96    20.10
Citigroup Global Markets 17329FED2 06/02/21 06/01/26    100.000     0.000     1.4151                        0.039309   0.039586   0.039866  0.040148      8.22    14.32
Citigroup Global Markets 17329FEG5 06/09/21 06/09/33    100.000    VARIES     2.0633                        0.057313   0.056041   0.054757  0.053459     11.55    19.89
Citigroup Global Markets 17329FF74 05/26/21 05/26/27    100.000     0.000     1.7422                        0.048394   0.048816   0.049241  0.049670     10.42    17.68
Citigroup Global Markets 17329FFH2 04/19/21 04/20/28    100.000     0.000     2.1036                        0.058436   0.059050   0.059671  0.060299     14.77    21.46
Citigroup Global Markets 17329FFZ2 05/28/21 05/31/28    100.000     0.000     1.9802             0.055005   0.055011   0.055556   0.056106  0.056661     11.73    20.13
Citigroup Global Markets 17329FGA6 05/24/21 11/24/26    100.000     0.000     1.7032                        0.047311   0.047714   0.048121  0.048530     10.28    17.28
Citigroup Global Markets 17329FH23 05/28/21 05/30/31    100.000     0.000     2.5342             0.070395   0.070405   0.071297   0.072200  0.073115     15.02    25.89
Citigroup Global Markets 17329FHB3 07/06/21 07/06/26    100.000     0.000     1.5640                                   0.043445   0.043785  0.044128      7.60    15.82
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Citigroup Global Markets 17329FJC9 05/28/21 05/31/28    100.000     0.000     1.9802             0.055005   0.055011   0.055556   0.056106  0.056661     11.73    20.13
Citigroup Global Markets 17329FJR6 06/30/21 06/29/28    100.000     0.000     1.9800                        0.055000   0.055541   0.056091  0.056646      9.96    20.10
Citigroup Global Markets 17329FKC7 05/28/21 05/31/28    100.000     0.000     1.9802             0.055005   0.055011   0.055556   0.056106  0.056661     11.73    20.13
Citigroup Global Markets 17329FKL7 05/28/21 05/31/28    100.000     0.000     1.9802             0.055005   0.055011   0.055556   0.056106  0.056661     11.73    20.13
Citigroup Global Markets 17329FL93 05/21/21 05/21/31    100.000    VARIES     2.1464                        0.059623   0.059070   0.058512  0.057947     13.09    21.12
Citigroup Global Markets 17329FML5 06/30/21 06/30/31    100.000     0.000     2.3860                        0.066278   0.067068   0.067869  0.068678     12.00    24.29
Citigroup Global Markets 17329FPB4 06/02/21 06/01/26    100.000     0.000     1.4151                        0.039309   0.039586   0.039866  0.040148      8.22    14.32
Citigroup Global Markets 17329FPC2 05/28/21 12/01/26    100.000     0.000     1.6332             0.045365   0.045372   0.045742   0.046116  0.046492      9.68    16.56
Citigroup Global Markets 17329FQ56 06/09/21 06/09/31    100.000     0.000     2.5442                        0.070671   0.071570   0.072481  0.073403     14.30    25.97
Citigroup Global Markets 17329FQL1 05/28/21 05/28/27    100.000     0.000     1.7232                        0.047866   0.048279   0.048695  0.049114     10.21    17.48
Citigroup Global Markets 17329FRK2 07/06/21 07/06/26    100.000     0.000     1.5640                                   0.043445   0.043785  0.044128      7.60    15.82
Citigroup Global Markets 17329FRM8 06/30/21 12/31/26    100.000     0.000     1.7230                        0.047861   0.048273   0.048689  0.049109      8.66    17.45
Citigroup Global Markets 17329FS96 06/30/21 06/30/33    100.000    VARIES     2.0721                        0.057558   0.056427   0.055285  0.054131     10.42    20.11
Citigroup Global Markets 17329FSP0 07/30/21 02/01/27    100.000     0.000     1.6132                        0.044810   0.044812   0.045174  0.045538      6.77    16.31
Citigroup Global Markets 17329FTW4 08/04/21 08/04/26    100.000     0.000     1.4752                                   0.040977   0.041279  0.041583      6.02    14.90
Citigroup Global Markets 17329FTY0 08/04/21 08/04/26    100.000     0.000     1.4752                                   0.040977   0.041279  0.041583      6.02    14.90
Citigroup Global Markets 17329FUE2 07/01/21 12/31/26    100.000     0.000     1.7520                        0.048667   0.049090   0.049520  0.049954      8.76    17.75
Citigroup Global Markets 17329FVK7 06/16/21 06/16/31    100.000    VARIES     2.0752                        0.057645   0.057090   0.056529  0.055963     11.23    20.43
Citigroup Global Markets 17329FVL5 07/30/21 07/31/31    100.000     0.000     2.2282                                   0.061894   0.062583  0.063281      9.35    22.62
Citigroup Global Markets 17329FY81 06/22/21 06/22/26    100.000    VARIES     2.0841                        0.057891   0.057337   0.056924  0.056667     10.94    20.56
Citigroup Global Markets 17329FZ72 06/25/21 06/27/29    100.000     0.000     2.1190             0.058862   0.058869   0.059493   0.060123  0.060760     10.95    21.54
Citigroup Global Markets 17329FZJ6 07/30/21 08/01/28    100.000     0.000     1.8422                        0.051171   0.051174   0.051645  0.052121      7.73    18.65
Citigroup Global Markets 17329FZT4 07/30/21 08/01/28    100.000     0.000     1.8422                        0.051171   0.051174   0.051645  0.052121      7.73    18.65
Citigroup Global Markets 17329FZY3 07/30/21 08/01/28    100.000     0.000     1.8422                        0.051171   0.051174   0.051645  0.052121      7.73    18.65
Citigroup Global Markets 17329Q2K5 07/20/21 07/19/29    100.000     0.000     2.0691                                   0.057476   0.058067  0.058668      9.25    20.99
Citigroup Global Markets 17329Q6K1 08/02/21 02/02/27    100.000     0.000     1.5942                                   0.044283   0.044636  0.044991      6.60    16.11
Citigroup Global Markets 17329Q7D6 09/03/21 09/03/26    100.000     0.000     1.4843                                   0.041229   0.041535  0.041844      4.87    14.97
Citigroup Global Markets 17329QCW8 08/31/21 08/31/28    100.000     0.000     1.9013                                   0.052814   0.053310  0.053822      6.39    19.23
Citigroup Global Markets 17329QCY4 08/04/21 08/03/28    100.000     0.000     1.8322                                   0.050894   0.051357  0.051828      7.48    18.54
Citigroup Global Markets 17329QD72 08/31/21 08/31/28    100.000     0.000     1.9013                                   0.052814   0.053310  0.053822      6.39    19.23
Citigroup Global Markets 17329QE89 09/02/21 03/04/27    100.000     0.000     1.6633                        0.046202   0.046206   0.046591  0.046978      5.50    16.79
Citigroup Global Markets 17329QGU8 08/31/21 03/03/27    100.000     0.000     1.6733                        0.046480   0.046486   0.046875  0.047267      5.62    16.90
Citigroup Global Markets 17329QGW4 08/04/21 08/03/28    100.000     0.000     1.8322                                   0.050894   0.051357  0.051828      7.48    18.54
Citigroup Global Markets 17329QH29 08/31/21 08/31/28    100.000     0.000     1.9013                                   0.052814   0.053310  0.053822      6.39    19.23
Citigroup Global Markets 17329QHM5 08/31/21 08/31/28    100.000     0.000     1.9013                                   0.052814   0.053310  0.053822      6.39    19.23
Citigroup Global Markets 17329QKY5 09/03/21 09/03/33    100.000    VARIES     1.7822                                   0.049505   0.048461  0.047408      5.84    17.39
Citigroup Global Markets 17329QM56 09/03/21 09/03/26    100.000     0.000     1.4843                                   0.041229   0.041535  0.041844      4.87    14.97
Citigroup Global Markets 17329QMJ6 08/06/21 08/06/26    100.000     0.000     1.4152                                   0.039310   0.039588  0.039868      5.70    14.28
Citigroup Global Markets 17329QVX5 09/15/21 09/15/33    100.000    VARIES     1.7790                                   0.049416   0.048620  0.047817      5.24    17.48
Citigroup Global Markets 17329QXG0 07/30/21 08/01/28    100.000     0.000     1.8422                        0.051171   0.051174   0.051645  0.052121      7.73    18.65
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510     6.4445     56.56   0.020790   0.021460   0.022152   0.022865  0.023602      7.63     8.13
CLEVELAND-CLIFFS INC     185899AD3 03/16/20 10/15/25*    81.514     6.375    10.8800     20.19   0.073678                                                 5.23*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
CLEVELAND-CLIFFS INC     185899AE1 03/16/20 03/15/27     81.330     7.000    10.8801     14.93   0.054134   0.057079   0.060184   0.063458  0.066910     20.66    22.97
CLEVELAND-CLIFFS INC     185899AJ0 04/17/20 10/17/25     94.500     9.875    11.2428      5.37   0.021989   0.023226   0.024531   0.025910  0.027367      8.33     9.29
CLINT TEX INDPT SCH DIST 187270F99 09/29/20 02/15/22     99.269     0.000     0.5332      1.35   0.014702   0.014732   0.014771                           5.31     0.65
CLINT TEX INDPT SCH DIST 187270G23 09/29/20 02/15/23     98.431     0.000     0.6662      1.68   0.018214   0.018260   0.018321   0.018382  0.018443      6.58     6.62
CLINT TEX INDPT SCH DIST 187270G31 09/29/20 02/15/24     97.067     0.000     0.8832      2.19   0.023814   0.023893   0.023999   0.024105  0.024211      8.61     8.69
CLINT TEX INDPT SCH DIST 187270G49 09/29/20 02/15/25     95.506     0.000     1.0530      2.57   0.027936   0.028048   0.028195   0.028344  0.028493     10.11    10.22
CLINT TEX INDPT SCH DIST 187270G56 09/29/20 02/15/26     93.518     0.000     1.2500      2.99   0.032471   0.032625   0.032829   0.033034  0.033240     11.77    11.91
CLINT TEX INDPT SCH DIST 187270G64 09/29/20 02/15/27     91.776     0.000     1.3501      3.17   0.034418   0.034593   0.034827   0.035062  0.035299     12.48    12.64
CLINT TEX INDPT SCH DIST 187270G72 09/29/20 02/15/28     88.641     0.000     1.6409      3.72   0.040404   0.040654   0.040988   0.041324  0.041663     14.67    14.91
CLINT TEX INDPT SCH DIST 187270G80 09/29/20 02/15/29     86.482     0.000     1.7410      3.85   0.041824   0.042099   0.042466   0.042835  0.043208     15.19    15.46
CLINT TEX INDPT SCH DIST 187270G98 09/29/20 02/15/30     84.210     0.000     1.8409      3.96   0.043062   0.043362   0.043761   0.044164  0.044570     15.65    15.94
CLINT TEX INDPT SCH DIST 187270H22 09/29/20 02/15/31     81.919     0.000     1.9309      4.04   0.043938   0.044259   0.044686   0.045117  0.045553     15.98    16.28
CLINT TEX INDPT SCH DIST 187270H30 09/29/20 02/15/32     79.370     0.000     2.0409      4.14   0.044995   0.045342   0.045805   0.046272  0.046745     16.37    16.70
CLINT TEX INDPT SCH DIST 187270H48 09/29/20 02/15/33     76.828     0.000     2.1408      4.20   0.045688   0.046057   0.046550   0.047049  0.047552     16.63    16.98
CLINT TEX INDPT SCH DIST 187270H55 09/29/20 02/15/34     74.122     0.000     2.2509      4.26   0.046344   0.046738   0.047264   0.047796  0.048334     16.88    17.26
Clinton & Wash CNTYS, IL 187327AY7 09/30/16 12/01/21    110.588     4.750     2.5511    115.92   0.072392   0.071632                                     23.75         
Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22    112.683     5.000     2.7510    127.51   0.079739   0.078926   0.078101   0.077265               28.51    25.62
CLINTON CNTY ILL SCH DIS 18739CAM5 08/24/21 12/01/22    100.631     1.000     0.4988                        0.013942   0.013961   0.013995                1.77     4.61
CLINTON CNTY ILL SCH DIS 18739CAN3 08/24/21 12/01/23    100.674     1.000     0.6986                        0.019535   0.019572   0.019640  0.019463      2.48     7.05
CLINTON CNTY ILL SCH DIS 18739CAP8 08/24/21 12/01/24    100.000     1.000     0.9984                        0.027733   0.027808   0.027947  0.027734      3.52    10.03
CLINTON CNTY ILL SCH DIS 18739CAQ6 08/24/21 12/01/25    100.000     1.150     1.1484                        0.031899   0.031998   0.032182  0.031901      4.05    11.55
CLINTON CNTY ILL SCH DIS 18739CAR4 08/24/21 12/01/26    100.000     1.300     1.2983                        0.036064   0.036190   0.036425  0.036066      4.58    13.07
CLINTON CNTY ILL SCH DIS 18739CAS2 08/24/21 12/01/27    100.000     1.500     1.4981                        0.041613   0.041781   0.042094  0.041617      5.29    15.09
Coles Counties, IL       193792EU8 11/26/13 12/01/21    105.395    VARIES     4.2404             0.118655   0.118226                                     39.08         
Coles Counties, IL       193792EV6 11/26/13 12/01/22    104.771    VARIES     4.3909             0.123377   0.123036   0.122688   0.122332               44.33    40.42
Coles Counties, IL       193792EW4 11/26/13 12/01/23     99.115    VARIES     4.5919             0.127050   0.127129   0.127210   0.127292  0.127377     45.76    45.82
Coles Counties, IL       193792EX2 11/26/13 12/01/23     99.043    VARIES     4.7528             0.131465   0.131553   0.131642   0.131734  0.131828     47.35    47.41
Coles Counties, IL       193792EY0 11/26/13 12/01/23     98.985    VARIES     4.9628             0.137236   0.137333   0.137432   0.137534  0.137638     49.43    49.50
Coles Counties, IL       193792EZ7 11/26/13 12/01/23     98.936    VARIES     5.1717             0.142981   0.143086   0.143195   0.143306  0.143420     51.50    51.58
Coles Counties, IL       193792FA1 11/26/13 12/01/23     98.886    VARIES     5.3302             0.147330   0.147444   0.147561   0.147681  0.147804     53.07    53.15
Coles Counties, IL       193792FB9 11/26/13 12/01/23     99.347    VARIES     5.4215             0.150098   0.150176   0.150256   0.150338  0.150422     54.05    54.11
Coles Counties, IL       193792FC7 11/26/13 12/01/23     99.318    VARIES     5.5264             0.152982   0.153064   0.153149   0.153236  0.153325     55.09    55.15
Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23     99.293    VARIES     5.6308             0.155853   0.155940   0.156029   0.156120  0.156214     56.13    56.19
Coles Counties, IL       193792FE3 11/26/13 12/01/23     99.301    VARIES     5.9329             0.164210   0.164302   0.164396   0.164494  0.164594     59.14    59.21
Coles Counties, IL       193792FF0 11/26/13 12/01/23     99.314    VARIES     6.2344             0.172549   0.172645   0.172745   0.172848  0.172954     62.14    62.21
Coles Counties, IL       193792FG8 11/26/13 12/01/23     99.331    VARIES     6.5352             0.180873   0.180974   0.181079   0.181187  0.181298     65.14    65.21
Coles Counties, IL       193792FH6 11/26/13 12/01/23    118.448    VARIES     6.4777             0.191892   0.190055   0.188158   0.186200  0.184179     68.64    67.27
COLUMBUS-FRANKLIN CNTY O 19909PAG1 03/11/21 06/15/27     93.000     8.750    10.2938             0.022867   0.023481   0.024690   0.025961  0.027297      6.77     9.16
COLUMBUS-FRANKLIN CNTY O 19909PAK2 03/18/21 06/15/25     93.000     8.750    10.8515             0.037274   0.038251   0.040327   0.042515  0.044821     10.77    14.98
Comcast Corporation      200300507 10/15/99 10/15/29    100.000     2.000    10.5154             2.090581   2.197577   2.310198   2.428741  2.553516    788.56   871.50
Comcast Corporation      200300606 11/15/99 11/15/29    100.000     2.000    10.3811             2.005487   2.106699   2.213165   2.325157  2.442961    749.75   827.47
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Compucredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES     9.1299             0.693344   0.707870   0.747027   0.763022  0.805582    257.46   277.48
Compucredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES     9.1299             0.693344   0.707870   0.747027   0.763022  0.805582    257.46   277.48
CompuCredit Corporation  20478NAC4 11/23/05 11/15/35*   100.000     5.786        N/A             0.462860   0.483453                                     95.59*        
CompuCredit Corporation  20478NAD2 11/23/05 11/15/35*   100.000     5.786        N/A             0.462860   0.483453                                     95.59*        
COOK CNTY ILL SCH DIST N 214183KP9 06/15/10 06/01/30     25.818     0.000     6.8998    269.80   0.100615   0.104086   0.107677   0.111392  0.115234     37.06    39.66
COOK CNTY ILL SCH DIST N 214183KR5 06/15/10 12/01/26     33.796     0.000     6.6998    339.21   0.125325   0.129523   0.133862   0.138346  0.142980     46.13    49.27
COOK CNTY ILL SCH DIST N 214183KS3 06/15/10 12/01/27     31.375     0.000     6.7498    318.12   0.117808   0.121784   0.125894   0.130143  0.134535     43.37    46.35
COOK CNTY ILL SCH DIST N 214183KT1 06/15/10 12/01/28     29.098     0.000     6.7998    298.04   0.110630   0.114391   0.118280   0.122301  0.126459     40.73    43.55
COOK CNTY ILL SCH DIST N 214183KU8 06/15/10 12/01/29     26.961     0.000     6.8498    278.94   0.103782   0.107337   0.111013   0.114815  0.118747     38.22    40.88
Cook County, IL SD #89   214201GJ8 12/13/07 12/01/21     41.765     0.000     6.3499    526.72   0.165697   0.170958                                     55.63         
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000     6.3998    496.81   0.156729   0.161744   0.166920   0.172261               57.63    56.04
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000     6.4499    468.13   0.148095   0.152871   0.157801   0.162890  0.168143     54.46    58.03
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000     6.4699    439.86   0.139309   0.143816   0.148468   0.153271  0.158229     51.24    54.61
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000     7.7796    397.12   0.159248   0.165442   0.171877   0.178563  0.185509     58.65    63.30
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000     7.9997    370.74   0.150122   0.156126   0.162371   0.168866  0.175620     55.32    59.83
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES     7.6950             0.224427   0.223710   0.222966   0.222193  0.221390     80.64    80.10
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000     8.2497    344.61   0.141086   0.146905   0.152965   0.159274  0.165844     52.03    56.41
Cook County, Illinois    214471HQ0 12/30/02 12/01/22     21.989     0.000     7.7497    644.59   0.184901   0.192065   0.199507   0.207238               68.29    67.23
Cook County, IL SD #123  214651KD2 10/15/07 12/01/21     41.802     0.000     6.2695    527.03   0.163726   0.168858                                     54.95         
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000     6.2794    495.89   0.154140   0.158979   0.163971   0.169119               56.66    55.04
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000     6.2895    466.50   0.145088   0.149651   0.154357   0.159211  0.164218     53.33    56.74
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000     6.2995    438.76   0.136540   0.140840   0.145277   0.149852  0.154572     50.19    53.40
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000     6.3096    412.60   0.128471   0.132524   0.136705   0.141017  0.145466     47.23    50.25
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000     6.3195    387.91   0.120853   0.124672   0.128611   0.132675  0.136867     44.43    47.28
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000     6.3296    376.17   0.117263   0.120974   0.124803   0.128753  0.132827     43.11    45.88
Cook County, Illinois    214723CX4 09/07/05 12/01/21     41.315     0.000     5.5195    538.21   0.145194   0.149201                                     48.64         
Cook County, Illinois    214723CY2 09/07/05 12/01/22     38.734     0.000     5.5795    512.60   0.138832   0.142705   0.146686   0.150779               50.91    49.14
Cook County, Illinois    214723CZ9 09/07/05 12/01/23     36.271     0.000     5.6396    487.60   0.132582   0.136321   0.140165   0.144117  0.148181     48.63    51.41
Cook County, Illinois    214723DA3 09/07/05 12/01/24     33.990     0.000     5.6895    462.88   0.126274   0.129866   0.133561   0.137360  0.141268     46.32    49.00
Cook County, IL SD #148  215075FA5 07/09/08 12/01/27*    94.524     6.000     6.5008             0.016211   0.016748                                      5.45*        
Cook County, Illinois    215219FR2 06/30/03 12/01/21     36.482     0.000     5.5497    586.29   0.145947   0.149997                                     48.89         
Cook County, Illinois    215219FS0 06/30/03 12/01/22     33.892     0.000     5.6497    559.85   0.140389   0.144355   0.148433   0.152626               51.50    49.74
Cook County, Illinois    215219GG5 06/02/05 12/01/21     41.054     0.000     5.4700    541.24   0.143962   0.147900                                     48.22         
Cook County, Illinois    215219GH3 06/02/05 12/01/22     38.699     0.000     5.5000    514.29   0.137067   0.140837   0.144710   0.148689               50.25    48.47
Cook County, Illinois    215219GQ3 06/02/05 12/01/23     36.261     0.000     5.5601    489.62   0.131017   0.134659   0.138402   0.142250  0.146205     48.04    50.75
Cook County, Illinois    215219GR1 06/02/05 12/01/24     34.002     0.000     5.6101    465.19   0.124897   0.128400   0.132002   0.135704  0.139511     45.81    48.41
Cook County, IL          215219HG4 06/29/06 12/01/21     39.173     0.000     6.1697    554.15   0.161277   0.166252                                     54.12         
Cook County, IL          215219HH2 06/29/06 12/01/22     36.688     0.000     6.1997    522.74   0.152417   0.157142   0.162013   0.167035               56.01    54.37
Cook County, IL          215219HJ8 06/29/06 12/01/23     34.398     0.000     6.2198    492.48   0.143770   0.148241   0.152851   0.157605  0.162506     52.83    56.17
Cook County, IL          215219HK5 06/29/06 12/01/24     32.181     0.000     6.2498    464.05   0.135724   0.139965   0.144339   0.148849  0.153501     49.88    53.05
Cook County, IL          215219HL3 06/29/06 12/01/25     30.147     0.000     6.2697    436.79   0.127906   0.131916   0.136051   0.140316  0.144715     47.01    50.01
Cook County, IL          215219HM1 06/29/06 06/01/26     29.062     0.000     6.2997    424.07   0.124412   0.128331   0.132373   0.136542  0.140843     45.73    48.66
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000     6.7493    433.11   0.153629   0.158814   0.164173   0.169714  0.175441     56.56    60.44
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000     6.7994    406.50   0.144548   0.149462   0.154543   0.159797  0.165230     53.22    56.90
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000     6.8494    381.14   0.135864   0.140517   0.145330   0.150307  0.155454     50.03    53.52
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000     6.8993    357.00   0.127572   0.131973   0.136525   0.141235  0.146107     46.99    50.28
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000     6.9993    334.50   0.120118   0.124322   0.128673   0.133176  0.137837     44.26    47.41
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000     7.0995    312.76   0.112860   0.116866   0.121014   0.125310  0.129758     41.60    44.60
Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000     7.1494    302.18   0.109309   0.113216   0.117264   0.121455  0.125797     40.29    43.23
COPPELL TEX INDPT SCH DI 217490CL3 10/22/20 08/15/22     99.128     0.000     0.4834      0.92   0.013310   0.013331   0.013363   0.013395                4.80     3.00
COPPELL TEX INDPT SCH DI 217490CM1 10/22/20 08/15/23     98.331     0.000     0.5990      1.13   0.016361   0.016392   0.016441   0.016490  0.016539      5.91     5.94
COPPELL TEX INDPT SCH DI 217490CN9 10/22/20 08/15/24     97.081     0.000     0.7782      1.45   0.020986   0.021037   0.021119   0.021201  0.021284      7.58     7.64
COPPELL TEX INDPT SCH DI 217490CP4 10/22/20 08/15/25     95.732     0.000     0.9081      1.67   0.024148   0.024217   0.024327   0.024437  0.024548      8.73     8.81
COPPELL TEX INDPT SCH DI 217490EE7 04/22/21 08/15/24     97.594     0.000     0.7362                        0.019958   0.020005   0.020078  0.020152      4.98     7.23
COPPELL TEX INDPT SCH DI 217490EF4 04/22/21 08/15/25     95.194     0.000     1.1449                        0.030275   0.030383   0.030557  0.030732      7.55    11.02
COPPELL TEX INDPT SCH DI 217490EG2 04/22/21 08/15/26     93.222     0.000     1.3251                        0.034313   0.034456   0.034684  0.034914      8.56    12.51
CORONADO FINANCE PTY LTD 21979LAA4 05/12/21 05/15/26     98.122    10.750    11.2507                        0.008039   0.008499   0.008977  0.009482      1.86     3.19
CORSICANA TEX INDPT SCH  220435RX1 07/21/20 02/15/22     98.603     0.000     0.8999      3.95   0.024664   0.024775   0.024886                           8.93     1.09
CORSICANA TEX INDPT SCH  220435RY9 07/21/20 02/15/23     97.171     0.000     1.1212      4.85   0.030285   0.030455   0.030625   0.030797  0.030970     10.98    11.10
CORSICANA TEX INDPT SCH  220435RZ6 07/21/20 02/15/24     95.338     0.000     1.3430      5.69   0.035597   0.035836   0.036077   0.036319  0.036563     12.92    13.10
CORSICANA TEX INDPT SCH  220435SA0 07/21/20 02/15/25     93.644     0.000     1.4431      6.01   0.037575   0.037847   0.038120   0.038395  0.038672     13.65    13.85
CORSICANA TEX INDPT SCH  220435SB8 07/21/20 02/15/26     91.047     0.000     1.6920      6.85   0.042840   0.043202   0.043568   0.043936  0.044308     15.59    15.85
Corvallie, Benton County 2208855S2 03/12/02 01/01/22     25.504     0.000     7.0194    678.30   0.181984   0.188371                                     66.66         
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000     7.0594    634.31   0.170689   0.176714   0.182951   0.189409               62.53    67.02
Crawford CNTY, IL        224759EZ9 10/30/14 12/01/21     99.043    VARIES     2.9004             0.080447   0.080506                                     26.56         
Crawford CNTY, IL        224759FB1 10/30/14 12/01/23**   98.821    VARIES     3.1502             0.087133   0.087192   0.087253   0.087315  0.087378     31.38**  31.43
CREDIT AGRICOLE CORPORAT 22533ADU8 05/26/21 05/26/36    100.000    VARIES     2.1485                        0.059679   0.059679   0.059679  0.059679     12.83    21.48
CREDIT AGRICOLE CORPORAT 22533AE29 06/11/21 06/11/36    100.000    VARIES     2.0640                        0.057332   0.057332   0.057332  0.057332     11.47    20.64
Credit Suisse USA, Inc.  22539T431 03/05/15 02/25/22    100.000     0.000     1.9373             0.059802   0.060382   0.060966                          21.78     3.29
Credit Suisse USA, Inc.  22542DFF2 02/28/17 02/28/24    103.000     0.125     2.1990     90.11   0.067645   0.068350   0.069064   0.069785  0.070514     24.65    25.17
Credit Suisse USA, Inc.  22545F136 01/02/15 12/28/21    100.000     0.000     2.1699             0.068593   0.069338                                     24.62         
Credit Suisse USA, Inc.  22546VMW3 10/30/15 10/31/25    100.000     1.500     2.5533             0.074469   0.073670   0.075318   0.074516  0.076189     27.09    27.40
Credit Suisse USA, Inc.  22546VP42 10/29/15 10/29/21    100.000     0.000     1.6599             0.050082   0.050498                                     15.00         
Credit Suisse USA, Inc.  22546VPQ3 11/30/15 11/28/25    100.000     1.500     2.5442             0.074575   0.074994   0.075418   0.075847  0.076282     26.95    27.26
Credit Suisse USA, Inc.  22546VPR1 11/30/15 11/28/23    100.000     0.000     1.9529             0.059778   0.060362   0.060951   0.061546  0.062147     21.66    22.09
Credit Suisse USA, Inc.  22546VPW0 11/30/15 05/30/23    100.000     0.000     1.9020             0.058079   0.058631   0.059189   0.059752  0.060320     21.04    21.44
Credit Suisse USA, Inc.  22546VRL2 12/23/15 12/23/25    100.000    VARIES     2.4835             0.008435   0.008540   0.008646   0.008753  0.008862      3.06     3.13
Credit Suisse USA, Inc.  22546VRM0 12/28/15 12/27/22    100.000     0.500     1.9028             0.056723   0.057130   0.057542   0.057957               20.50    20.56
Credit Suisse USA, Inc.  22546VTS5 01/29/16 01/29/21    100.000     0.000     1.7999     92.21   0.054197                                                 1.52         
Credit Suisse USA, Inc.  22546VU79 01/22/16 04/22/21    100.000     0.000     1.7997     92.60   0.054434                                                 6.04         
Credit Suisse USA, Inc.  22546VUX2 02/10/16 02/10/26    100.000    VARIES     2.2723     28.62   0.015740   0.015919   0.016100   0.016283  0.016468      5.75     5.88
Credit Suisse USA, Inc.  22546VW77 02/26/16 02/26/21    100.000     0.000     1.8101     91.28   0.054527                                                 3.00         
Credit Suisse USA, Inc.  22546VY91 03/28/16 03/25/21    100.000     0.000     1.4700     72.19   0.043611                                                 3.66         
    -----------------------------                                                                                                                                      
    ** These calculations may be revised.                                                                                                                              
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse USA, Inc.  22546VYY6 03/18/16 03/18/21    100.000    VARIES     1.9748     15.39   0.009208                                                 0.71         
Credit Suisse USA, Inc.  22547QER3 12/27/13 12/28/21    100.000     0.000     2.6361             0.087963   0.089122                                     31.61         
Credit Suisse USA, Inc.  22547QXM3 01/30/15 01/29/21    100.000     0.000     1.5402             0.046547                                                 1.30         
Credit Suisse USA, Inc.  22547QY83 12/29/14 06/28/22    100.000     0.000     2.2049             0.069856   0.070626   0.071405                          25.29    12.64
Credit Suisse USA, Inc.  22547QZ82 12/12/14 12/14/22    100.000     0.000     2.1598             0.068255   0.068993   0.069738   0.070491               24.73    24.06
Credit Suisse USA, Inc.  22547W5D1 02/07/14 02/05/21    100.000     0.000     2.0912             0.066493                                                 2.26         
Credit Suisse USA, Inc.  22547WKH5 06/12/15 06/14/22    100.000     0.000     2.2646             0.071208   0.072014   0.072830                          25.81    11.87
Credit Suisse USA, Inc.  22547WPN7 12/29/15 12/29/22    100.000     0.000     1.9233             0.058791   0.059356   0.059927   0.060503               21.27    21.56
Credit Suisse            22547WQ22 02/11/16 02/10/23    100.000     0.000     1.8032     91.74   0.054301   0.054791   0.055285   0.055783  0.056286     19.78    20.13
Credit Suisse USA, Inc.  22547WQ89 04/27/16 05/01/23    100.000     0.000     1.5175     73.28   0.045126   0.045469   0.045814   0.046161  0.046512     16.35    16.60
Credit Suisse USA, Inc.  22547WQA4 06/20/16 06/16/21    100.000     0.000     1.8619     87.60   0.056207                                                 9.27         
Credit Suisse USA, Inc.  22547WQB2 06/23/16 06/21/21    100.000     0.000     2.0800     98.16   0.062712                                                10.72         
Credit Suisse USA, Inc.  22547WQE6 08/12/16 08/14/23    100.000    VARIES        N/A     16.96   0.010741   0.010694   0.010647   0.010599  0.010551      3.85     3.81
Credit Suisse USA, Inc.  22548Q2Q7 04/28/16 04/28/26    100.000    VARIES     2.7488     41.29   0.023542   0.023865   0.024193   0.024526  0.024863      8.57     8.81
Credit Suisse USA, Inc.  22548Q3E3 04/14/16 04/14/26    100.000    VARIES     2.5023     25.85   0.015077   0.015266   0.015457   0.015650  0.015846      5.49     5.63
Credit Suisse USA, Inc.  22548Q5R2 05/27/16 05/27/21    100.000     0.000     2.5650    124.24   0.079908                                                11.67         
Credit Suisse USA, Inc.  22548Q6L4 05/20/16 05/20/31    100.000    VARIES     3.7259    171.91   0.103498   0.103499   0.103500   0.103501  0.103500     37.26    37.26
Credit Suisse USA, Inc.  22548QHX6 09/28/16 09/26/24    100.000     0.000     1.3289     58.03   0.038921   0.039179   0.039440   0.039702  0.039966     14.11    14.30
Credit Suisse USA, Inc.  22548QKG9 10/28/16 10/30/23    100.000     0.000     1.6003     68.82   0.047385   0.047764   0.048146   0.048531  0.048920     17.17    17.45
Credit Suisse USA, Inc.  22548QL37 10/20/16 10/20/26    100.000    VARIES     2.2705     26.20   0.016508   0.016695   0.016885   0.017076  0.017270      6.00     6.14
Credit Suisse USA, Inc.  22548QN35 11/28/16 11/28/23    100.000     0.000     1.9557     82.90   0.058723   0.059297   0.059877   0.060463  0.061054     21.28    21.70
Credit Suisse USA, Inc.  22548X2E9 12/05/16 12/05/23    100.000     0.125     2.0339     85.71   0.060967   0.061551   0.062142   0.062738  0.063341     22.08    22.51
Credit Suisse AG London  22548Y124 07/05/19 06/27/25    100.000     0.000     2.3699     35.71   0.068164   0.068972   0.069789   0.070616  0.071453     24.69    25.28
Credit Suisse AG Nassau  22549E606 04/05/18 04/05/23    100.000     0.000     3.4300     97.66   0.103733   0.105512   0.107322   0.109162  0.111035     37.97    39.29
Credit Suisse AG London  22549JY95 08/14/19 03/25/24    100.000     0.125     2.2368     31.19   0.063604   0.064277   0.064957   0.065645  0.066340     23.15    23.64
Credit Suisse AG Nassau  22549K2A4 06/23/17 06/24/24    100.000     0.500     1.9627     70.69   0.057404   0.057831   0.058262   0.058698  0.059138     20.75    21.06
Credit Suisse AG Nassau  22549M137 05/03/18 05/06/25    100.000     0.000     3.7900    105.12   0.115675   0.117867   0.120100   0.122376  0.124695     42.28    43.90
Credit Suisse AG London  22549M780 08/03/18 08/03/22    100.000     0.000     2.9664     73.59   0.087397   0.088693   0.090009   0.091344               32.08    19.32
Credit Suisse USA, Inc.  2254M0CR5 02/18/11 02/18/21    100.000    VARIES     2.0492             0.012035                                                 0.57         
Credit Suisse AG Nassau  22550BMY6 10/31/17 04/28/23    100.000     0.000     2.2940     74.99   0.068228   0.069010   0.069802   0.070603  0.071412     24.80    25.37
Credit Suisse AG London  22550V521 03/31/20 03/31/25    100.000     0.000     3.1499     23.84   0.088876   0.090275   0.091697   0.093141  0.094608     32.50    33.54
Credit Suisse AG Nassau  22550WHJ9 03/07/18 03/07/23    100.000     0.000     3.2901     96.31   0.099159   0.100790   0.102448   0.104133  0.105846     36.37    37.57
Credit Suisse AG Nassau  22550WHK6 03/08/18 03/05/21    100.000     0.000     3.0200     88.03   0.090396                                                 5.79         
Credit Suisse AG London  22550WNS2 04/18/18 04/18/23    100.000     0.000     3.4700     97.48   0.105045   0.106867   0.108721   0.110608  0.112527     38.41    39.76
Credit Suisse AG London  22550WP43 04/30/18 04/28/23    100.000     0.000     3.5000     97.09   0.106013   0.107869   0.109756   0.111677  0.113632     38.73    40.10
Credit Suisse AG London  22550WR82 05/30/18 11/29/22    100.000     0.000     2.8700     76.50   0.085604   0.086832   0.088078   0.089342               31.12    29.12
Credit Suisse AG London  22550WRD1 06/05/18 06/03/21    100.000     0.000     2.8999     76.88   0.086552                                                13.16         
Credit Suisse AG London  22550WVQ7 07/05/18 07/02/21    100.000     0.000     2.8699     73.50   0.084376   0.085587                                     15.49         
Credit Suisse AG London  22550WYM3 08/03/18 08/04/21    100.000     0.000     2.9399     72.92   0.086578   0.087851                                     18.67         
Credit Suisse AG London  22550WZX8 07/27/18 01/28/21    100.000     0.000     2.9400     73.44   0.086582                                                 2.34         
Credit Suisse AG London  22551L2C3 09/06/18 09/03/21    100.000     0.000     2.8600     68.11   0.084067   0.085269                                     20.56         
Credit Suisse AG London  22551L2R0 08/31/18 03/04/21    100.000     0.000     2.8797     69.10   0.084727                                                 5.34         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22551L3R9 08/10/18 08/12/25    100.000     0.000     2.9800     73.33   0.087837   0.089145   0.090474   0.091822  0.093190     32.22    33.19
Credit Suisse AG London  22551L6G0 10/03/18 10/01/21    100.000     0.000     3.0600     70.57   0.090307   0.091689                                     24.63         
Credit Suisse AG London  22551L6Z8 09/28/18 03/30/21    100.000     0.000     3.0401     70.55   0.089715                                                 7.98         
Credit Suisse AG London  22551L7B0 10/03/18 04/01/21    100.000     0.000     3.0299     69.86   0.089368                                                 8.04         
Credit Suisse AG London  22551LDC1 11/05/18 11/03/21    100.000     0.000     3.0900     68.36   0.091247   0.092657                                     27.81         
Credit Suisse AG London  22551LDT4 10/30/18 04/29/21    100.000     0.000     3.0499     67.90   0.090001                                                10.62         
Credit Suisse AG London  22551LF96 10/17/18 10/15/21    100.000     0.000     3.1055     70.36   0.091731   0.093156                                     26.31         
Credit Suisse AG London  22551LFL9 10/30/18 10/30/24    100.000     0.000     3.0899     68.81   0.091260   0.092670   0.094102   0.095555  0.097032     33.28    34.32
Credit Suisse AG London  22551LJM3 12/05/18 12/03/21    100.000     0.000     3.0200     64.10   0.089058   0.090403                                     29.81         
Credit Suisse AG London  22551LJP6 11/30/18 11/30/23    100.000     0.000     3.0301     64.76   0.089386   0.090740   0.092115   0.093510  0.094927     32.51    33.50
Credit Suisse AG London  22551LJQ4 11/30/18 06/02/21    100.000     0.000     3.0198     64.54   0.089080                                                13.45         
Credit Suisse AG London  22551LK58 11/30/18 06/02/21    100.000     0.000     3.0198     64.54   0.089080                                                13.45         
Credit Suisse AG London  22551LMG2 01/03/19 12/31/21    100.000     0.000     2.6999     54.95   0.079112   0.080180                                     28.59         
Credit Suisse AG London  22551LMT4 12/31/18 06/28/21    100.000     0.000     2.7900     57.06   0.081904                                                14.50         
Credit Suisse AG London  22551LN30 12/31/18 12/29/23    100.000     0.000     2.7300     55.81   0.080053   0.081145   0.082253   0.083376  0.084514     29.02    29.82
Credit Suisse AG London  22551LN48 01/03/19 01/03/24    100.000     0.000     2.8700     58.48   0.083204   0.084398   0.085609   0.086837  0.088083     30.60    31.48
Credit Suisse AG London  22551LN55 12/31/18 06/28/21    100.000     0.000     2.7900     57.06   0.081904                                                14.50         
Credit Suisse AG London  22551LN63 12/31/18 12/29/23    100.000     0.000     2.7268     55.74   0.079954   0.081044   0.082149   0.083269  0.084404     28.98    29.78
Credit Suisse AG London  22551LP95 12/27/18 12/24/21    100.000     0.000     2.7299     56.05   0.080039   0.081131                                     28.45         
Credit Suisse AG London  22551LPX2 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LPZ7 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQ29 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQ37 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQ86 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQ94 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQA1 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQB9 12/19/18 12/17/21    100.000     0.000     2.8499     59.23   0.083759   0.084953                                     29.20         
Credit Suisse AG London  22551LQP8 01/03/19 01/03/24    100.000     0.000     2.8700     58.48   0.083204   0.084398   0.085609   0.086837  0.088083     30.60    31.48
Credit Suisse AG London  22551LRA0 01/31/19 02/02/22    100.000     0.000     2.8699     56.24   0.083215   0.084409   0.085620                          30.53     2.65
Credit Suisse AG London  22551LRH5 01/31/19 02/01/24    100.000     0.000     2.8700     56.23   0.083209   0.084403   0.085614   0.086843  0.088089     30.53    31.41
Credit Suisse AG London  22551LRS1 02/05/19 02/03/22    100.000     0.000     2.5500     49.48   0.073568   0.074506   0.075456                          26.93     2.41
Credit Suisse AG London  22551LRW2 02/05/19 02/05/24    100.000     0.000     2.6101     50.67   0.075377   0.076361   0.077358   0.078367  0.079390     27.60    28.33
Credit Suisse AG London  22551LSG6 01/31/19 02/02/22    100.000     0.000     2.8699     56.24   0.083215   0.084409   0.085620                          30.53     2.65
Credit Suisse AG London  22551LSS0 01/25/19 01/24/24    100.000     0.000     2.8700     56.65   0.083197   0.084391   0.085602   0.086831  0.088077     30.54    31.43
Credit Suisse AG London  22551LST8 01/25/19 01/24/24    100.000     0.000     2.8700     56.65   0.083197   0.084391   0.085602   0.086831  0.088077     30.54    31.43
Credit Suisse AG         22551LUZ1 03/05/19 03/03/22    100.000     0.000     2.5701     47.65   0.074168   0.075121   0.076087                          27.10     4.72
Credit Suisse AG London  22551LVC1 02/22/19 02/22/24    100.000     0.000     2.6101     49.39   0.075377   0.076361   0.077358   0.078367  0.079390     27.57    28.29
Credit Suisse AG London  22551LVE7 02/22/19 02/22/24    100.000     0.000     2.6101     49.39   0.075377   0.076361   0.077358   0.078367  0.079390     27.57    28.29
Credit Suisse AG         22551LVQ0 03/05/19 03/04/24    100.000     0.000     2.5700     47.65   0.074171   0.075124   0.076089   0.077067  0.078057     27.10    27.80
Credit Suisse AG London  22551LW22 02/06/19 02/03/21    100.000     0.000     2.6499     51.38   0.076555                                                 2.45         
Credit Suisse AG         22551LW89 02/28/19 03/02/22    100.000     0.000     2.6052     48.85   0.075255   0.076235   0.077228                          27.50     4.71
Credit Suisse AG London  22551LW97 02/28/19 03/02/22    100.000     0.000     2.6052     48.85   0.075255   0.076235   0.077228                          27.50     4.71
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22551LWA4 02/28/19 03/02/22    100.000     0.000     3.0343     57.06   0.088209   0.089548   0.090906                          32.32     5.55
Credit Suisse AG London  22551LXW5 03/29/19 03/29/24    100.000     0.000     2.5700     45.87   0.074176   0.075129   0.076094   0.077072  0.078063     27.05    27.75
Credit Suisse AG         22551LXX3 03/29/19 03/29/24    100.000     0.000     2.5700     45.87   0.074176   0.075129   0.076094   0.077072  0.078063     27.05    27.75
Credit Suisse AG London  22551LYG9 04/03/19 04/01/22    100.000     0.000     2.4998     44.31   0.072066   0.072967   0.073879                          26.27     6.65
Credit Suisse AG London  22551LZD5 03/29/19 03/31/22    100.000     0.000     2.5701     45.87   0.074185   0.075138   0.076104                          27.05     6.77
Credit Suisse AG London  22551LZU7 03/29/19 03/29/24    100.000     0.000     2.5700     45.87   0.074176   0.075129   0.076094   0.077072  0.078063     27.05    27.75
Credit Suisse AG London  22551LZV5 04/03/19 04/02/24    100.000     0.000     2.5300     44.85   0.072973   0.073896   0.074831   0.075778  0.076736     26.60    27.28
Credit Suisse AG London  22551N4H6 11/29/19 05/29/25    100.000     0.000     2.2500     24.67   0.063914   0.064633   0.065360   0.066095  0.066839     23.18    23.71
Credit Suisse AG London  22551N4J2 11/29/19 11/29/23    100.000     0.000     2.1299     23.35   0.060431   0.061074   0.061725   0.062382  0.063046     21.91    22.38
Credit Suisse AG London  22551N4R4 11/07/19 11/07/29    100.000     0.000     2.4600     28.53   0.070024   0.070886   0.071757   0.072640  0.073533     25.46    26.09
Credit Suisse AG London  22551N6J0 11/29/19 08/30/23    100.000     0.000     2.0196     22.15   0.056955   0.057524   0.058111   0.058692  0.059291     20.75    21.17
Credit Suisse AG         22551N6K7 11/29/19 02/29/24    100.000     0.000     2.0697     22.70   0.058388   0.058989   0.059603   0.060217  0.060843     21.28    21.72
Credit Suisse AG London  22551NAX4 12/02/19 12/01/26    100.000     0.000     2.2800     24.81   0.064782   0.065520   0.066267   0.067023  0.067787     23.50    24.04
Credit Suisse AG London  22551NCE4 12/30/19 06/27/25    100.000     0.000     2.3800     24.01   0.067681   0.068486   0.069301   0.070126  0.070960     24.52    25.10
Credit Suisse AG London  22551NCF1 12/30/19 12/28/23    100.000     0.000     2.0500     20.66   0.058111   0.058707   0.059308   0.059916  0.060530     21.03    21.46
Credit Suisse AG         22551ND78 12/31/19 09/29/23    100.000     0.000     2.0695     20.89   0.058379   0.058983   0.059593   0.060210  0.060833     21.24    21.68
Credit Suisse AG London  22551NH33 01/31/20 01/29/27*   100.000     0.000     2.0500     18.94   0.057525                                                 1.61*        
Credit Suisse AG London  22551NH41 01/31/20 11/02/23    100.000     0.000     1.7996     16.63   0.050672   0.051128   0.051588   0.052052  0.052520     18.38    18.71
Credit Suisse AG London  22551NH58 01/31/20 05/02/24    100.000     0.000     1.8197     16.81   0.051245   0.051712   0.052182   0.052657  0.053136     18.59    18.93
Credit Suisse AG London  22551NHA7 01/31/20 07/31/25    100.000     0.000     2.0500     18.94   0.057528   0.058118   0.058714   0.059315  0.059923     21.00    21.43
Credit Suisse AG London  22551NHB5 01/31/20 01/31/24    100.000     0.000     1.7401     16.06   0.048756   0.049180   0.049608   0.050040  0.050475     17.76    18.07
Credit Suisse AG London  22551NMV5 02/28/20 03/02/26    100.000     0.000     1.7500     14.78   0.049046   0.049475   0.049908   0.050345  0.050786     17.84    18.15
Credit Suisse AG London  22551NMX1 02/28/20 02/28/24    100.000     0.000     1.5699     13.26   0.043952   0.044297   0.044644   0.044995  0.045348     15.97    16.22
Credit Suisse AG London  22551NNC6 02/28/20 08/29/24    100.000     0.000     1.7501     14.78   0.049041   0.049468   0.049903   0.050338  0.050780     17.84    18.15
Credit Suisse AG         22551NWL6 04/01/20 10/02/25    100.000     0.000     3.0199     22.76   0.085160   0.086446   0.087752   0.089077  0.090422     31.12    32.07
Credit Suisse AG London  22551NWN2 04/07/20 04/07/25    100.000     0.000     2.4500     18.04   0.068890   0.069734   0.070588   0.071453  0.072328     25.10    25.71
Credit Suisse AG London  22551NXV3 04/24/20 10/22/25    100.000     0.000     1.8700     12.86   0.052424   0.052914   0.053409   0.053908  0.054412     19.03    19.39
Credit Suisse AG London  22551NY67 04/21/20 04/21/25    100.000     0.000     2.6886     18.74   0.075687   0.076704   0.077736   0.078781  0.079840     27.57    28.32
Credit Suisse AG London  22552F4S8 05/03/19 05/04/22    100.000     0.000     2.3599     39.76   0.067906   0.068707   0.069518                          24.68     8.55
Credit Suisse AG London  22552F5M0 04/26/19 04/25/22    100.000     0.000     2.5000     42.66   0.072077   0.072978   0.073890                          26.23     8.42
Credit Suisse AG London  22552F5N8 04/26/19 04/25/22    100.000     0.000     2.5000     42.66   0.072077   0.072978   0.073890                          26.23     8.42
Credit Suisse AG London  22552F5R9 04/30/19 04/28/22    100.000     0.000     2.4998     42.37   0.072066   0.072967   0.073879                          26.22     8.64
Credit Suisse AG London  22552F5S7 04/30/19 04/28/22    100.000     0.000     2.7841     47.27   0.080600   0.081722   0.082860                          29.36     9.69
Credit Suisse AG London  22552FA36 04/30/19 04/30/24    100.000     0.000     2.5300     42.88   0.072979   0.073902   0.074837   0.075784  0.076742     26.55    27.23
Credit Suisse AG London  22552FA44 05/03/19 05/03/24    100.000     0.000     2.3601     39.76   0.067905   0.068707   0.069517   0.070338  0.071168     24.68    25.27
Credit Suisse AG London  22552FBV3 05/31/19 06/03/24    100.000     0.000     2.3600     37.93   0.067918   0.068719   0.069530   0.070351  0.071181     24.64    25.22
Credit Suisse AG London  22552FBX9 05/31/19 06/03/24    100.000     0.000     2.3600     37.93   0.067918   0.068719   0.069530   0.070351  0.071181     24.64    25.22
Credit Suisse AG London  22552FCP5 06/05/19 06/03/22    100.000     0.000     2.3599     37.58   0.067892   0.068693   0.069504                          24.63    10.56
Credit Suisse AG London  22552FDM1 05/31/19 05/31/24    100.000     0.000     2.3601     37.93   0.067905   0.068707   0.069517   0.070338  0.071168     24.64    25.23
Credit Suisse AG London  22552FDN9 06/05/19 06/03/21    100.000     0.000     2.3602     37.59   0.067900                                                10.32         
Credit Suisse AG London  22552FDP4 05/31/19 05/31/24    100.000     0.000     2.7591     44.44   0.079856   0.080958   0.082075   0.083207  0.084355     29.02    29.82
Credit Suisse AG London  22552FDQ2 06/05/19 06/03/21    100.000     0.000     1.8831     29.91   0.053795                                                 8.18         
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Credit Suisse AG London  22552FDV1 05/31/19 05/31/24    100.000     0.000     2.3601     37.93   0.067905   0.068707   0.069517   0.070338  0.071168     24.64    25.23
Credit Suisse AG         22552FDW9 06/05/19 06/05/24    100.000     0.000     2.3699     37.75   0.068200   0.069008   0.069826   0.070653  0.071491     24.74    25.33
Credit Suisse AG London  22552FGF3 07/03/19 07/01/22    100.000     0.000     2.1198     32.02   0.060769   0.061414   0.062065                          21.99    11.17
Credit Suisse AG London  22552FHJ4 06/28/19 06/30/22    100.000     0.000     2.3700     36.18   0.068209   0.069018   0.069836                          24.70    12.50
Credit Suisse AG London  22552FHK1 06/28/19 06/30/22    100.000     0.000     2.3700     36.18   0.068209   0.069018   0.069836                          24.70    12.50
Credit Suisse AG London  22552FHW5 06/28/19 09/30/24    100.000     0.000     2.3697     36.21   0.067803   0.068606   0.069419   0.070241  0.071074     24.70    25.29
Credit Suisse AG London  22552FJ45 06/28/19 06/28/24    100.000     0.000     2.3699     36.18   0.068200   0.069008   0.069826   0.070653  0.071491     24.70    25.29
Credit Suisse AG         22552FJ52 06/28/19 06/28/24    100.000     0.000     2.3699     36.18   0.068200   0.069008   0.069826   0.070653  0.071491     24.70    25.29
Credit Suisse AG London  22552FL26 07/29/19 07/29/24    100.000     0.000     2.4409     35.12   0.069468   0.070315   0.071174   0.072042  0.072921     25.42    26.04
Credit Suisse AG London  22552FLG5 07/26/19 07/26/24    100.000     0.000     2.4299     35.17   0.069149   0.069989   0.070839   0.071700  0.072571     25.31    25.93
Credit Suisse AG London  22552FLJ9 07/26/19 07/26/24    100.000     0.000     2.4299     35.17   0.069149   0.069989   0.070839   0.071700  0.072571     25.31    25.93
Credit Suisse AG London  22552FLZ3 07/29/19 04/27/23    100.000     0.000     2.3133     33.29   0.066126   0.066891   0.067665   0.068448  0.069239     24.04    24.60
Credit Suisse AG London  22552FM25 07/29/19 01/27/23    100.000     0.000     2.3138     33.27   0.065759   0.066520   0.067289   0.068068  0.068855     24.05    24.61
Credit Suisse AG London  22552FMC3 08/01/19 08/03/23    100.000     0.000     2.3500     33.66   0.066829   0.067614   0.068408   0.069212  0.070025     24.43    25.01
Credit Suisse AG London  22552FP22 07/23/19 07/21/22    100.000     0.000     2.2599     32.87   0.064195   0.064920   0.065654   0.066396               23.47    13.26
Credit Suisse AG London  22552FVG4 09/27/19 03/27/25    100.000     0.000     2.1800     27.74   0.061881   0.062556   0.063238   0.063927  0.064624     22.53    23.02
Credit Suisse AG London  22552FVH2 09/27/19 09/27/23    100.000     0.000     2.0499     26.07   0.058116   0.058712   0.059313   0.059921  0.060535     21.14    21.58
Credit Suisse AG London  22552FWD0 09/30/19 12/29/23    100.000     0.000     2.0796     26.27   0.059277   0.059894   0.060517   0.061146  0.061782     21.45    21.90
Credit Suisse AG London  22552FWE8 09/30/19 06/28/24    100.000     0.000     2.1798     27.55   0.062205   0.062883   0.063569   0.064262  0.064962     22.52    23.01
Credit Suisse AG London  22552FWF5 10/03/19 10/04/23    100.000     0.000     2.0504     25.72   0.058131   0.058727   0.059329   0.059938  0.060552     21.14    21.57
Credit Suisse AG London  22552FY97 10/25/19 04/28/25    100.000     0.000     2.1699     25.88   0.061602   0.062271   0.062946   0.063629  0.064320     22.38    22.87
Credit Suisse AG London  22552FYA4 10/25/19 10/25/23    100.000     0.000     2.0101     23.96   0.056964   0.057537   0.058115   0.058699  0.059289     20.69    21.10
Credit Suisse AG London  22552FZM7 10/31/19 08/02/23    100.000     0.000     2.1196     24.99   0.059825   0.060459   0.061100   0.061748  0.062402     21.84    22.31
Credit Suisse AG London  22552W3S2 05/27/20 11/26/25    100.000     0.000     1.5600      9.29   0.043670   0.044011   0.044354   0.044700  0.045049     15.81    16.05
Credit Suisse AG Nassau  22552W4L6 05/28/20 05/28/27    100.000     0.000     1.9169     11.36   0.053757   0.054272   0.054792   0.055318  0.055848     19.48    19.85
Credit Suisse AG London  22552WLX1 09/24/20 09/24/27    100.000     0.000     1.2420      3.35   0.034501   0.034715   0.034931   0.035147  0.035366     12.50    12.66
Credit Suisse AG Nassau  22552WLY9 09/24/20 09/24/27    100.000     0.000     1.2420      3.35   0.034501   0.034715   0.034931   0.035147  0.035366     12.50    12.66
Credit Suisse AG London  22552WQP3 11/09/20 05/04/22    100.000     0.000     0.3299      0.48   0.009163   0.009177   0.009192                           3.30     1.13
Credit Suisse AG London  22552XDE0 03/02/21 03/02/28    100.000     0.000     1.6030                        0.044529   0.044886   0.045245  0.045608     13.36    16.31
Credit Suisse AG London  22552XNX7 07/01/21 07/03/28    100.000     0.000     1.8775                        0.052152   0.052157   0.052647  0.053141      9.39    19.04
CROSBY TEX INDPT SCH DIS 227381UV0 12/17/20 02/15/24     96.792     0.000     1.0340      0.39   0.027802   0.027848   0.027992   0.028137  0.028282     10.04    10.14
CROSBY TEX INDPT SCH DIS 227381UW8 12/17/20 02/15/25     95.206     0.000     1.1840      0.44   0.031313   0.031373   0.031558   0.031745  0.031933     11.32    11.45
CROSBY TEX INDPT SCH DIS 227381UX6 12/17/20 02/15/26     92.947     0.000     1.4221      0.51   0.036716   0.036800   0.037062   0.037325  0.037591     13.28    13.46
CROSBY TEX INDPT SCH DIS 227381UY4 12/17/20 02/15/27     90.747     0.000     1.5820      0.56   0.039879   0.039981   0.040297   0.040616  0.040937     14.43    14.65
CROSBY TEX INDPT SCH DIS 227381UZ1 12/17/20 02/15/28     87.931     0.000     1.8040      0.62   0.044064   0.044192   0.044590   0.044993  0.045399     15.96    16.23
CROSBY TEX INDPT SCH DIS 227381VA5 12/17/20 02/15/29     85.602     0.000     1.9139      0.64   0.045509   0.045649   0.046086   0.046527  0.046972     16.49    16.79
CROSBY TEX INDPT SCH DIS 227381VB3 12/17/20 02/15/30     83.152     0.000     2.0240      0.65   0.046750   0.046902   0.047377   0.047856  0.048341     16.94    17.27
CROWLEY TEX INDPT SCH DI 228130GT1 12/19/19 08/01/21     97.097     0.000     1.8301     18.46   0.049919   0.050375                                     10.57         
CROWLEY TEX INDPT SCH DI 228130GU8 12/19/19 08/01/22     95.105     0.000     1.9269     19.05   0.051512   0.052008   0.052510   0.053015               18.78    11.12
CROWLEY TEX INDPT SCH DI 228130HL7 10/22/20 08/01/22     99.129     0.000     0.4934      0.94   0.013587   0.013605   0.013639   0.013672                4.90     2.87
CROWLEY TEX INDPT SCH DI 228130HM5 10/22/20 08/01/23     98.408     0.000     0.5791      1.09   0.015830   0.015855   0.015901   0.015947  0.015994      5.71     5.75
CROWLEY TEX INDPT SCH DI 228130HN3 10/22/20 08/01/24     97.246     0.000     0.7411      1.38   0.020019   0.020060   0.020134   0.020209  0.020284      7.23     7.28
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
CROWLEY TEX INDPT SCH DI 228130HP8 10/22/20 08/01/25     95.934     0.000     0.8712      1.60   0.023215   0.023270   0.023372   0.023474  0.023576      8.39     8.46
CROWLEY TEX INDPT SCH DI 228130HQ6 10/22/20 08/01/26     93.899     0.000     1.0930      1.97   0.028508   0.028593   0.028750   0.028907  0.029065     10.31    10.43
DAYTON-MONTGOMERY CNTY O 23981CAC2 03/04/21 06/15/26     93.000     8.750    10.5102             0.028459   0.029298   0.030837   0.032458  0.034164      8.64    11.45
DENISON TEX INDPT SCH DI 248415XP1 02/27/20 08/01/23     94.288     0.000     1.7231     13.77   0.045463   0.045855   0.046250   0.046648  0.047050     16.56    16.84
DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24     92.210     0.000     1.8399     14.38   0.047499   0.047936   0.048377   0.048822  0.049271     17.31    17.63
DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25     90.051     0.000     1.9399     14.81   0.048929   0.049403   0.049882   0.050366  0.050855     17.84    18.19
DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26     87.123     0.000     2.1560     15.93   0.052659   0.053226   0.053800   0.054380  0.054966     19.23    19.65
DENTON TEX INDPT SCH DIS 249002JF4 12/17/20 08/15/22     99.236     0.000     0.4622      0.18   0.012741   0.012750   0.012780   0.012809                4.59     2.87
DENTON TEX INDPT SCH DIS 249002JG2 12/17/20 08/15/23     98.254     0.000     0.6630      0.25   0.018094   0.018113   0.018173   0.018234  0.018294      6.53     6.57
DENTON TEX INDPT SCH DIS 249002JH0 12/17/20 08/15/24     96.610     0.000     0.9442      0.35   0.025338   0.025376   0.025496   0.025616  0.025737      9.15     9.23
DENTON TEX INDPT SCH DIS 249002JJ6 12/17/20 08/15/25     95.041     0.000     1.0941      0.40   0.028885   0.028936   0.029094   0.029253  0.029413     10.44    10.55
DENTON TEX INDPT SCH DIS 249002JK3 12/17/20 08/15/26     92.712     0.000     1.3411      0.48   0.034538   0.034612   0.034844   0.035078  0.035313     12.49    12.65
DENTON TEX INDPT SCH DIS 249002JL1 12/17/20 08/15/27     91.179     0.000     1.3911      0.49   0.035232   0.035311   0.035557   0.035804  0.036053     12.74    12.91
Deutsche Bank AG         251526BV0 06/01/18 01/13/21     97.629     3.125     4.0894     23.39   0.026251                                                 0.32         
Deutsche Bank AG NewYork 251526BW8 06/01/18 05/12/21     97.843     3.375     4.1601     18.77   0.021364                                                 2.80         
Deutsche Bank AG London  251526BY4 06/01/18 05/30/24     95.400     3.700     4.5860     18.30   0.021000   0.021482   0.021974   0.022478  0.022994      7.68     8.03
Deutsche Bank AG         251526BZ1 06/01/18 01/13/26     95.724     4.100     4.7762     12.82   0.014489   0.014835   0.015189   0.015552  0.015924      5.40     5.66
Deutsche Bank AG         25152R2S1 07/31/15 07/31/25    100.000    VARIES     3.0783    166.68   0.085611   0.085617   0.085624   0.085618  0.085612     30.82    30.82
Deutsche Bank AG         25152R5G4 05/26/16 05/26/26    100.000    VARIES     3.0802    137.64   0.082476   0.082806   0.083108   0.083414  0.083698     29.77    29.99
Deutsche Bank AG         25152R6M0 09/07/16 09/08/26    100.000    VARIES     3.0640    128.55   0.081603   0.081927   0.082256   0.082559  0.082867     29.51    29.74
Deutsche Bank AG         25152RAT0 12/20/12 12/20/22    100.000     0.000     1.6453             0.052105   0.052534   0.052966   0.053402               18.84    18.56
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES     2.3745             0.060438   0.060902   0.061371   0.061846  0.062326     21.98    22.32
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES     2.5035             0.063348   0.063844   0.064347   0.064856  0.065368     23.00    23.36
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES     2.0551             0.052857   0.053261   0.053670   0.054082  0.054467     19.10    19.40
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES     1.1016             0.026382   0.026527   0.026673   0.026820  0.026968      9.55     9.66
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES     1.0463             0.025245   0.025377   0.025510   0.025643  0.025778      9.11     9.21
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES     0.8844             0.021711   0.021807   0.021903   0.022000  0.022098      7.86     7.93
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES     1.1689             0.029236   0.029407   0.029579   0.029751  0.029925     10.59    10.71
Deutsche Bank AG London  25155MBP5 06/15/17 12/15/22     98.650     3.000     3.2702      8.42   0.007034   0.007149   0.007266   0.007384                2.56     2.52
Deutsche Bank AG London  25155MDP3 09/08/17 09/08/22     98.750     2.500     2.7694      8.09   0.007084   0.007182   0.007281   0.007382                2.59     1.82
Deutsche Bank AG London  25155MHY0 02/08/18 08/08/21     99.050     3.000     3.2896      7.79   0.007786   0.007914                                      1.71         
Deutsche Bank AG London  25155MJV4 02/23/18 02/23/21     99.175     3.000     3.2911      7.84   0.007954                                                 0.41         
Deutsche Bank AG London  25155MKM2 03/13/18 05/01/23    100.000     1.000     3.7501    108.46   0.112023   0.113603   0.115212   0.116851  0.118521     40.80    41.97
Deutsche Bank AG London  25155MKU4 04/23/18 05/01/23    103.000     1.000     3.9232    112.27   0.120944   0.122772   0.124635   0.126535  0.128472     44.09    45.44
Deutsche Bank AG London  25155MKZ3 05/10/18 05/10/21     99.175     3.500     3.7935      7.22   0.008002                                                 1.03         
Deutsche Bank AG London  25160MAA2 10/04/18 10/04/21     99.175     4.050     4.3463      6.07   0.007884   0.008055                                      2.18         
Deutsche Bank AG London  25160MAC8 10/18/18 10/18/21     99.175     4.100     4.3965      5.96   0.007887   0.008060                                      2.29         
Deutsche Bank AG London  25160MAF1 11/23/18 11/23/21     99.175     4.250     4.5473      5.68   0.007895   0.008075                                      2.57         
Deutsche Bank AG London  25160NAA0 09/20/18 09/20/21     99.175     4.000     4.2960      6.18   0.007881   0.008050                                      2.07         
DRIPPING SPRINGS TEX IND 262061SV7 09/22/20 02/15/27     91.910     0.000     1.3230      3.34   0.033777   0.033955   0.034179   0.034405  0.034633     12.25    12.41
DRISCOLL TEX INDPT SCH D 262068DB2 01/06/21 08/15/26     94.348     0.000     1.0400             0.027257   0.027288   0.027430   0.027572  0.027716      9.71     9.94
DRISCOLL TEX INDPT SCH D 262068DC0 01/06/21 08/15/27     92.458     0.000     1.1901             0.030565   0.030604   0.030787   0.030970  0.031154     10.89    11.17
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
DRISCOLL TEX INDPT SCH D 262068DD8 01/06/21 08/15/28     90.269     0.000     1.3501             0.033852   0.033902   0.034131   0.034361  0.034593     12.06    12.39
DRISCOLL TEX INDPT SCH D 262068DE6 01/06/21 08/15/29     88.305     0.000     1.4500             0.035567   0.035623   0.035881   0.036141  0.036403     12.68    13.03
DRISCOLL TEX INDPT SCH D 262068DF3 01/06/21 08/15/30     84.988     0.000     1.7000             0.040134   0.040208   0.040550   0.040894  0.041242     14.32    14.75
DuPage County SD #12, IL 262777CZ6 06/28/12 01/01/22    100.000    VARIES     3.7456             0.104049   0.104047                                     37.46         
EAGLE MTN & SAGINAW TEX  269696MQ0 07/02/20 08/15/21     99.011     0.000     0.8897      4.38   0.024495   0.024604                                      5.51         
EAGLE MTN & SAGINAW TEX  269696MR8 07/02/20 08/15/22     97.930     0.000     0.9893      4.82   0.026942   0.027076   0.027209   0.027344                9.76     6.12
EAGLE MTN & SAGINAW TEX  269696MS6 07/02/20 08/15/23     96.405     0.000     1.1770      5.65   0.031564   0.031750   0.031937   0.032125  0.032314     11.45    11.58
EAGLE MTN & SAGINAW TEX  269696MT4 07/02/20 08/15/24     94.364     0.000     1.4131      6.64   0.037102   0.037364   0.037628   0.037894  0.038162     13.48    13.67
EAGLE MTN & SAGINAW TEX  269696MU1 07/02/20 08/15/25     92.667     0.000     1.4931      6.89   0.038501   0.038789   0.039078   0.039370  0.039664     13.99    14.20
EAGLE MTN & SAGINAW TEX  269696MV9 07/02/20 08/15/26     89.494     0.000     1.8220      8.12   0.045392   0.045806   0.046223   0.046644  0.047069     16.53    16.83
EAGLE MTN & SAGINAW TEX  269696PJ3 12/17/20 08/15/23     98.246     0.000     0.6660      0.25   0.018176   0.018196   0.018257   0.018317  0.018378      6.56     6.60
EAGLE MTN & SAGINAW TEX  269696PK0 12/17/20 08/15/24     96.646     0.000     0.9339      0.35   0.025073   0.025110   0.025228   0.025345  0.025464      9.05     9.14
EAGLE MTN & SAGINAW TEX  269696PL8 12/17/20 08/15/25     95.306     0.000     1.0341      0.38   0.027376   0.027421   0.027563   0.027705  0.027849      9.89     9.99
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000     6.4699    624.68   0.163348   0.168632   0.174087                          60.72    15.67
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000     6.5000    587.20   0.153872   0.158873   0.164037   0.169368  0.174872     57.21    60.99
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000     6.5100    551.09   0.144511   0.149215   0.154072   0.159087  0.164265     53.73    57.29
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000     6.5300    517.31   0.135842   0.140277   0.144857   0.149587  0.154471     50.51    53.87
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000     6.5499    485.40   0.127640   0.131820   0.136137   0.140595  0.145200     47.47    50.63
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000     6.5600    455.20   0.119782   0.123711   0.127768   0.131959  0.136288     44.55    47.52
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000     6.5700    426.79   0.112384   0.116076   0.119889   0.123827  0.127895     41.80    44.59
ECTOR CNTY TEX INDPT SCH 279263QV2 12/17/20 08/15/26     92.338     0.000     1.4130      0.51   0.036242   0.036325   0.036581   0.036840  0.037100     13.11    13.29
ECTOR CNTY TEX INDPT SCH 279263RD1 12/17/20 08/15/27     90.148     0.000     1.5630      0.55   0.039140   0.039239   0.039545   0.039854  0.040166     14.16    14.38
EDGEWOOD OHIO CITY SCH D 280455FG6 12/19/19 12/01/24     86.505     0.000     2.9500     26.60   0.072886   0.073961   0.075052   0.076159  0.077283     26.50    27.29
EDGEWOOD OHIO CITY SCH D 280455FH4 12/19/19 12/01/27     77.391     0.000     3.2499     26.24   0.072038   0.073208   0.074398   0.075607  0.076835     26.22    27.07
EDGEWOOD OHIO CITY SCH D 280455FJ0 12/19/19 12/01/28     74.279     0.000     3.3499     25.97   0.071335   0.072530   0.073745   0.074980  0.076236     25.97    26.85
EL PASO TEX INDPT SCH DI 283770NP6 07/22/20 08/15/21     99.227     0.000     0.7307      3.20   0.020149   0.020222                                      4.53         
EL PASO TEX INDPT SCH DI 283770NQ4 07/22/20 08/15/22     98.204     0.000     0.8800      3.82   0.024019   0.024124   0.024230   0.024337                8.69     5.45
EL PASO TEX INDPT SCH DI 283770NR2 07/22/20 08/15/23     96.975     0.000     1.0050      4.31   0.027090   0.027226   0.027363   0.027501  0.027639      9.81     9.91
EL PASO TEX INDPT SCH DI 283770NS0 07/22/20 08/15/24     95.211     0.000     1.2112      5.10   0.032058   0.032252   0.032447   0.032643  0.032841     11.63    11.77
EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34     61.883     0.000     3.2498     26.57   0.057483   0.058417   0.059366   0.060331  0.061311     21.14    21.84
EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39     49.670     0.000     3.5499     23.32   0.050531   0.051428   0.052341   0.053270  0.054215     18.62    19.29
EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45     39.206     0.000     3.6499     18.94   0.041046   0.041795   0.042558   0.043334  0.044125     15.14    15.70
EURONET WORLDWIDE INC    298736AJ8 03/18/19 03/15/49    100.000     0.750     5.4000     99.46   0.160685   0.164461   0.168339   0.172322  0.176412     59.34    62.17
EURONET WORLDWIDE INC    298736AL3 03/18/19 03/15/49    100.000     0.750     5.4000     99.46   0.160685   0.164461   0.168339   0.172322  0.176412     59.34    62.17
EUROPEAN INVT BK         298785DW3 03/10/16 03/10/21     44.672     0.000     5.4450    543.13   0.147240                                                10.16         
EVERMAN TEX INDPT SCH DI 300371T43 11/19/20 02/15/24     97.048     0.000     0.9272      1.05   0.024995   0.025051   0.025167   0.025284  0.025401      9.03     9.11
Exelon Corporation       30161NAE1 06/17/14 06/01/24    100.000    VARIES     4.8846             0.141188   0.140458   0.139709   0.138942  0.138156     50.65    50.11
EXPEDIA GROUP INC        30212PAS4 05/05/20 05/01/25    100.000     6.250     6.7500     44.25   0.187500   0.187500   0.187500   0.187500  0.187500     67.50    67.50
EXPEDIA GROUP INC        30212PAU9 05/05/20 05/01/25*   100.000     7.000     7.5001     49.17   0.208335                                                12.92*        
EXPEDIA GROUP INC        30212PAZ8 07/14/20 12/15/23     99.922     3.600     3.8746     17.96   0.107554   0.107566   0.107578   0.107590  0.107602     38.72    38.73
EXPEDIA GROUP INC        30212PBB0 07/14/20 08/01/27     99.997     4.625     4.8755     22.62   0.135427   0.135427   0.135427   0.135427  0.135428     48.75    48.75
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
EXPEDIA GROUP INC        30212PBF1 03/03/21 03/15/31     99.081     2.950     3.3084                        0.091056   0.091094   0.091131  0.091168     27.14    32.81
FAIRFIELD OHIO CITY SCH  304657NV7 11/06/19 11/01/29     73.964     0.000     3.0430     26.23   0.064410   0.065390   0.066385   0.067395  0.068421     23.48    24.20
FAIRFIELD OHIO CITY SCH  304657NW5 11/06/19 11/01/30     71.376     0.000     3.0931     25.73   0.063210   0.064187   0.065180   0.066188  0.067212     23.05    23.77
FAIRFIELD OHIO CITY SCH  304657NX3 11/06/19 11/01/31     68.568     0.000     3.1731     25.36   0.062342   0.063331   0.064336   0.065357  0.066393     22.74    23.47
FAIRFIELD OHIO CITY SCH  304657NY1 11/06/19 11/01/32     66.020     0.000     3.2230     24.81   0.061000   0.061983   0.062982   0.063997  0.065028     22.26    22.98
Federal Home Loan        3128X0AZ2 10/03/02 01/02/34     19.160     0.000     5.3582    311.21   0.072896   0.074849   0.076854   0.078913  0.081027     27.30    28.78
Federal Home Loan        3128X52H0 04/03/07 04/02/37     21.177     0.000     5.2422    219.53   0.062001   0.063626   0.065294   0.067006  0.068762     22.91    24.12
Federal Home Loan        3128X5LK2 10/02/06 10/02/34     24.784     0.000     5.0446    256.20   0.069761   0.071520   0.073324   0.075174  0.077070     25.75    27.06
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000     4.9803    205.32   0.059946   0.061439   0.062969   0.064537  0.066144     21.88    22.98
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000     4.4860    188.69   0.056072   0.057330   0.058616   0.059931  0.061275     20.53    21.46
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000     4.3499    188.16   0.055690   0.056901   0.058139   0.059403  0.060695     20.38    21.28
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000     5.1394    193.32   0.058741   0.060251   0.061799   0.063387  0.065016     21.42    22.54
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000     2.9999    175.24   0.048037   0.048757   0.049488   0.050231  0.050984     17.62    18.15
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000     4.5439    194.51   0.061506   0.062903   0.064332   0.065794  0.067289     22.69    23.74
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000     4.5434    192.32   0.061504   0.062901   0.064330   0.065791  0.067286     22.44    23.47
Federal Home Loan        312902LX5 12/17/99 12/17/29     14.255     0.000     6.6001    416.31   0.102197   0.105570   0.109054   0.112652  0.116370     37.49    40.01
Federal Home Loan        312902VG1 04/25/00 01/04/21     25.643     0.000     6.6857    743.03   0.179708                                                 0.54         
Federal Home Loan        312902VH9 04/25/00 01/04/22     24.042     0.000     6.6796    695.48   0.168129   0.173744   0.179547                          63.56     0.54
Federal Home Loan        312902VJ5 04/25/00 01/04/23     22.536     0.000     6.6749    651.11   0.157346   0.162597   0.168024   0.173632  0.179427     59.48    63.52
Federal Home Loan        312902VK2 04/25/00 01/04/24     21.145     0.000     6.6664    609.52   0.147201   0.152108   0.157178   0.162417  0.167831     55.64    59.41
Federal Home Loan        312902VL0 04/25/00 01/04/25     20.007     0.000     6.6235    570.07   0.137227   0.141771   0.146467   0.151317  0.156328     51.86    55.35
Federal Home Loan        312902VM8 04/25/00 01/04/26     18.780     0.000     6.6160    534.02   0.128475   0.132725   0.137116   0.141652  0.146337     48.55    51.81
Federal Home Loan        312902VN6 04/25/00 01/04/27     17.654     0.000     6.6034    500.29   0.120245   0.124215   0.128317   0.132553  0.136930     45.43    48.48
Federal Home Loan Banks  3130A0MR8 01/22/14 01/22/21    100.000    VARIES     2.3229             0.065076                                                 1.37         
Federal Home Loan Banks  3130A1DD7 03/26/14 03/26/21    100.000    VARIES     2.2862             0.064051                                                 5.44         
Federal Home Loan Banks  3130A1DV7 03/26/14 03/26/21    100.000    VARIES     2.3282             0.065225                                                 5.54         
Federal Home Loan        3134A1H60 10/22/97 06/03/24     16.813     0.000     6.8127    627.05   0.149687   0.154786   0.160059   0.165511  0.171149     55.10    58.91
Federal Home Loan        3134A2G77 12/28/98 11/15/28     20.230     0.000     5.4199    454.14   0.098150   0.100809   0.103541   0.106347  0.109229     36.06    38.04
Federal Home Loan        3134A2HG6 06/30/98 12/11/25     19.896     0.000     5.9700    548.69   0.123575   0.127264   0.131062   0.134975  0.139004     45.30    48.05
Federal Home Loan        3134A3D29 09/09/99 08/15/27     14.928     0.000     6.9258    487.86   0.119449   0.123585   0.127865   0.132293  0.136874     44.89    48.05
Federal Home Loan        3134A3ZU3 08/02/99 12/14/29     15.469     0.000     6.2411    422.16   0.099711   0.102823   0.106031   0.109340  0.112752     36.56    38.88
Federal National         3136F1EQ9 12/27/01 03/17/31     16.751     0.000     6.2082    368.19   0.090755   0.093572   0.096476   0.099471  0.102559     33.77    35.90
Federal National         3136F3LA2 04/04/03 10/03/33     20.285     0.000     5.2999    310.32   0.074583   0.076559   0.078588   0.080671  0.082808     27.56    29.04
Federal National         3136F3ZC3 06/09/03 12/15/33     23.674     0.000        N/A             0.072611   0.074356   0.076143   0.077972  0.079846     26.51    27.80
Federal National         3136F4R55 01/07/04 12/15/34     18.268     0.000     5.5708    281.83   0.071703   0.073700   0.075753   0.077863  0.080032     26.24    27.72
Federal National         3136F7NM5 11/15/05 11/15/30     26.938     0.000     5.3159    326.40   0.087383   0.089705   0.092089   0.094537  0.097050     32.09    33.82
FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31     93.000     8.250     9.3165             0.011510   0.011918   0.012473   0.013054  0.013662      3.92     4.61
FLOUR BLUFF TEX INDPT SC 343400EQ6 08/19/20 08/15/23     97.548     0.000     0.8323      2.98   0.022553   0.022645   0.022739   0.022834  0.022929      8.16     8.23
FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24     96.122     0.000     0.9940      3.50   0.026541   0.026670   0.026802   0.026935  0.027069      9.61     9.71
Forney Independent SD, T 3464242U7 02/18/14 08/15/39     16.888     0.000     7.1001    103.88   0.052390   0.054250   0.056176   0.058170  0.060235     19.71    21.13
Forney Independent SD, T 3464242V5 02/18/14 08/15/40     15.550     0.000     7.1501     96.48   0.048731   0.050473   0.052277   0.054146  0.056082     18.34    19.67
Forney Independent SD, T 3464242W3 02/18/14 08/15/41     14.304     0.000     7.2001     89.52   0.045281   0.046911   0.048600   0.050350  0.052162     17.05    18.30
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Forney Independent SD, T 3464242X1 02/18/14 08/15/42     13.145     0.000     7.2501     82.98   0.042033   0.043557   0.045136   0.046772  0.048468     15.83    17.00
Forney Independent SD, T 3464242Y9 02/18/14 08/15/43     12.068     0.000     7.3002     76.84   0.038978   0.040401   0.041876   0.043404  0.044989     14.68    15.77
Forney Independent SD, T 3464242Z6 02/18/14 08/15/44     11.069     0.000     7.3502     71.08   0.036109   0.037436   0.038812   0.040239  0.041718     13.61    14.62
Forney Independent SD, T 3464243A0 02/18/14 08/15/45     10.143     0.000     7.4002     65.68   0.033418   0.034655   0.035937   0.037266  0.038645     12.60    13.54
Forney Independent SD, T 3464243B8 02/18/14 08/15/46      9.141     0.000     7.5003     60.20   0.030716   0.031868   0.033063   0.034303  0.035589     11.58    12.47
Forney Independent SD, T 3464243C6 02/18/14 08/15/47      8.223     0.000     7.6001     55.06   0.028174   0.029245   0.030356   0.031510  0.032707     10.63    11.46
Forney Independent SD, T 3464243D4 02/18/14 08/15/48      7.382     0.000     7.7003     50.25   0.025787   0.026780   0.027811   0.028882  0.029994      9.74    10.50
Forney Independent SD, T 3464243E2 02/18/14 08/15/49      6.615     0.000     7.8003     45.76   0.023554   0.024473   0.025428   0.026419  0.027450      8.90     9.61
Forney Independent SD, T 3464243F9 02/18/14 08/15/50      6.021     0.000     7.8503     41.99   0.021644   0.022494   0.023377   0.024294  0.025248      8.18     8.84
Forney Independent SD, T 3464243G7 02/18/14 08/15/51      5.475     0.000     7.9003     38.49   0.019869   0.020654   0.021470   0.022318  0.023200      7.51     8.12
Forney Independent SD, T 3464243H5 02/18/14 08/15/52      4.974     0.000     7.9503     35.25   0.018222   0.018946   0.019699   0.020482  0.021297      6.89     7.45
Forney Independent SD, T 3464243J1 02/18/14 08/15/53      4.514     0.000     8.0005     32.25   0.016693   0.017361   0.018056   0.018778  0.019529      6.32     6.83
Forney Independent SD, T 346424X90 08/27/13 08/15/38     17.946     0.000     7.0000    118.04   0.056356   0.058329   0.060370   0.062483  0.064670     21.19    22.70
Forney Independent SD, T 346424Y24 08/27/13 08/15/39     16.544     0.000     7.0499    109.79   0.052501   0.054352   0.056268   0.058251  0.060304     19.75    21.16
Forney Independent SD, T 346424Y32 08/27/13 08/15/40     15.436     0.000     7.0501    102.44   0.048986   0.050713   0.052501   0.054351  0.056267     18.42    19.75
Forney Independent SD, T 346424Y40 08/27/13 08/15/41     14.210     0.000     7.0999     95.14   0.045567   0.047185   0.048860   0.050594  0.052391     17.14    18.38
Forney Independent SD, T 346424Y57 08/27/13 08/15/42     13.252     0.000     7.1001     88.73   0.042496   0.044005   0.045567   0.047185  0.048860     15.99    17.14
Forney Independent SD, T 346424Y65 08/27/13 08/15/43     12.359     0.000     7.1000     82.75   0.039632   0.041039   0.042496   0.044005  0.045567     14.91    15.99
Franklin CNTYS, IL       352415EL3 09/30/16 12/01/21    106.144     4.500     3.2012    141.57   0.090049   0.089490                                     29.62         
FRENSHIP TEX INDPT SCH D 357866YY2 12/17/19 02/15/21     97.847     0.000     1.8825     19.25   0.051804                                                 2.28         
FRENSHIP TEX INDPT SCH D 357866ZH8 10/29/20 02/15/22     99.262     0.000     0.5730      0.98   0.015799   0.015825   0.015871                           5.70     0.70
FRENSHIP TEX INDPT SCH D 357866ZJ4 10/29/20 02/15/23     98.355     0.000     0.7241      1.23   0.019784   0.019827   0.019898   0.019970  0.020043      7.15     7.20
FRISCO TEX INDPT SCH DIS 35880CD27 07/15/20 02/15/22     98.549     0.000     0.9252      4.21   0.025346   0.025463   0.025581                           9.18     1.13
FRISCO TEX INDPT SCH DIS 35880CD35 07/15/20 02/15/23     97.133     0.000     1.1291      5.06   0.030494   0.030666   0.030839   0.031013  0.031188     11.06    11.18
FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24     95.313     0.000     1.3441      5.91   0.035625   0.035864   0.036105   0.036348  0.036592     12.93    13.11
FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25     93.831     0.000     1.3940      6.04   0.036377   0.036630   0.036885   0.037142  0.037401     13.21    13.40
FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29     87.101     0.000     1.8140                        0.043889   0.044006   0.044405  0.044808      8.31    16.02
GCI LIBERTY INC          36164VAA5 06/18/18 09/30/46    100.000     1.750     6.9511    186.22   0.217505   0.223375   0.229449   0.235734  0.242238     80.45    84.90
GS Finance Corp.         362273AG9 12/17/15 06/19/23    100.000     0.000     2.9199             0.093772   0.095141   0.096530   0.097940  0.099369     34.04    35.04
GS Finance Corp.         362273BK9 07/06/17 07/08/24    100.000     0.250     2.8998    105.06   0.087094   0.088256   0.089435   0.090631  0.091845     31.97    32.83
GS Finance Corp.         36253M679 09/14/17 09/16/21    100.000     0.000     2.2324     75.96   0.066291   0.067031                                     17.04         
GS Finance Corp.         36253M687 09/14/17 09/15/22    100.000     0.000     2.3683     80.74   0.070604   0.071440   0.072286   0.073142               25.75    18.51
GS Finance Corp.         36253M695 09/14/17 09/14/23    100.000     0.000     2.6628     91.16   0.080074   0.081141   0.082221   0.083316  0.084425     29.25    30.03
GS Finance Corp.         36253M703 09/14/17 09/15/22    100.000     0.000     2.3683     80.74   0.070604   0.071440   0.072286   0.073142               25.75    18.51
GS Finance Corp.         36253M711 09/14/17 09/14/23    100.000     0.000     2.6628     91.16   0.080074   0.081141   0.082221   0.083316  0.084425     29.25    30.03
GS Finance Corp.         36254F582 02/05/18 02/05/25    100.000     0.000     3.4781    105.41   0.105313   0.107144   0.109008   0.110904  0.112832     38.78    40.14
GS Fin Corp Medium Term  36255H2A5 06/22/18 06/23/25    100.000     0.500     4.0576    106.23   0.123164   0.125381   0.127643   0.129951  0.132306     44.77    46.40
GS Finance Corp.         36255U232 08/03/18 08/05/25    100.000     0.000     4.0135    100.59   0.120736   0.123159   0.125631   0.128152  0.130724     44.62    46.42
GS Finance Corp.         36256M502 11/15/18 07/28/22    100.000     0.000     3.7853     83.13   0.112083   0.114205   0.116366   0.118569               41.39    24.48
GS Finance Corp.         36256M569 11/15/18 11/14/23    100.000     0.000     3.9688     87.26   0.119246   0.121613   0.124026   0.126487  0.128997     43.58    45.33
GS Finance Corp.         36256M858 02/05/19 02/05/24    100.000     0.000     3.5778     69.94   0.104813   0.106688   0.108597   0.110539  0.112517     38.62    40.02
GS Finance Corp.         36257D436 05/01/19 09/20/23    100.000     0.000     3.1913     54.24   0.092627   0.094105   0.095607   0.097132  0.098682     33.91    35.00
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         36257D808 07/03/19 01/03/24    100.000     0.000     2.6546     40.20   0.075710   0.076714   0.077733   0.078764  0.079810     27.80    28.54
GS Finance Corp.         36257W178 08/05/19 08/05/24    100.000     0.000     2.7442     39.07   0.078334   0.079409   0.080499   0.081603  0.082723     28.71    29.50
GS Finance Corp.         36257W517 08/14/19 08/12/22    100.000     0.000     2.2407     31.25   0.063636   0.064349   0.065070   0.065799               23.24    14.51
GS Finance Corp.         36258L742 12/04/19 06/04/25    100.000     0.000     2.4932     27.00   0.070993   0.071878   0.072774   0.073681  0.074599     25.76    26.41
GS Finance Corp.         36259E770 02/05/20 08/05/25    100.000     0.000     2.1693     19.74   0.060913   0.061574   0.062242   0.062917  0.063599     22.24    22.73
GS Finance Corp.         36259Y735 04/07/21 04/05/28    100.000     0.000     2.1083                        0.058565   0.059175   0.059799  0.060429     15.51    21.52
GS Finance Corp.         36260W405 04/20/21 04/20/26    100.000     0.000     0.8823                        0.024508   0.024616   0.024724  0.024833      6.16     8.90
GS Finance Corp.         36260W421 05/06/21 05/04/28    100.000     0.000     1.9831                        0.055085   0.055625   0.056177  0.056734     12.98    20.19
GS Finance Corp.         36260W587 05/19/21 06/03/26    100.000     0.000     1.4218             0.039494   0.039516   0.039796   0.040079  0.040364      8.78    14.39
GDB DEBT RECOVERY AUTH O 36829QAA3 11/29/18 08/20/40     70.440     7.500     3.1900     62.89   0.053257   0.052659   0.049337   0.048757  0.045413     18.81    17.38
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES    12.5014             0.960283   1.012848   1.068699   1.127185  1.189327    360.15   400.81
Genworth Holdings Inc    372491AF7 10/03/18 08/15/23*    86.900     4.900     8.2191     54.16   0.072405   0.075381   0.078478                          26.17*        
Genworth Holdings Inc    372491AG5 10/03/18 02/15/24     85.790     4.800     8.1180     52.23   0.069761   0.072592   0.075539   0.078605  0.081796     26.41    28.60
GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24     97.131     0.000     0.8046      0.02   0.021709   0.021731   0.021818   0.021906  0.021994      7.83     7.89
GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25     95.691     0.000     0.9546      0.03   0.025373   0.025404   0.025525   0.025647  0.025769      9.16     9.24
GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26     93.714     0.000     1.1575      0.03   0.030131   0.030174   0.030349   0.030524  0.030701     10.88    11.01
Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27    100.000    VARIES     4.6427             0.118845   0.119440   0.120049   0.120770  0.121507     42.96    43.44
Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27    100.000    VARIES     4.0948             0.105286   0.105764   0.106251   0.106833  0.107427     38.03    38.40
Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28    100.000    VARIES     4.3421             0.108406   0.109016   0.109640   0.110278  0.111060     39.33    39.81
Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28    100.000    VARIES     4.2924             0.107620   0.108211   0.108815   0.109432  0.110171     39.02    39.47
Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28    100.000    VARIES     4.2915             0.104383   0.103265   0.105584   0.104472  0.107076     38.04    38.52
Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28    100.000    VARIES     4.1925             0.103449   0.104030   0.104623   0.105229  0.106045     37.48    37.94
Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28    100.000    VARIES     4.6902             0.117928   0.118388   0.119056   0.119740  0.120440     42.65    43.12
Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28    100.000    VARIES     4.6888             0.117837   0.118312   0.118994   0.119692  0.120406     42.62    43.10
Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28    100.000    VARIES     4.3925             0.111480   0.111986   0.112502   0.113030  0.113678     40.29    40.67
Goldman Sachs Group, Inc 38141GST2 05/31/13 06/03/21    100.000     0.000     3.4201             0.122553                                                18.63         
Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28    100.000    VARIES     4.3920             0.110839   0.111395   0.111964   0.112545  0.113255     40.04    40.45
Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28    100.000    VARIES     4.4916             0.112668   0.113276   0.113898   0.114535  0.115298     40.72    41.17
Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28    100.000    VARIES     4.4921             0.113702   0.114274   0.114860   0.115459  0.116165     41.06    41.49
Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27    100.000    VARIES     3.6188     14.95   0.010778   0.010973   0.011137   0.011304  0.011447      3.93     4.05
Goldman Sachs Group, Inc 38143USM4 03/18/11 03/18/21    100.000    VARIES     5.2914             0.147677                                                11.37         
Goldman Sachs Group, Inc 38143UTN1 04/13/11 04/13/21    100.000    VARIES     5.2208             0.145462                                                14.84         
Goldman Sachs Group, Inc 38143UUA7 04/29/11 04/29/21    100.000    VARIES     2.1672             0.017676                                                 2.09         
Goldman Sachs Group, Inc 38143UUY5 07/20/11 07/20/21    100.000     0.000     5.1298             0.224792   0.230558                                     45.77         
Goldman Sachs Group, Inc 38143UVG3 06/07/11 06/07/21    100.000    VARIES     2.2754             0.018441                                                 2.88         
Goldman Sachs Group, Inc 38147Q2D7 04/30/14 05/03/21    100.000     0.000     3.0002             0.101162                                                12.34         
Goldman Sachs Group, Inc 38147Q2G0 04/30/14 11/02/21    100.000     0.000     3.1299             0.106410   0.108075                                     32.33         
Goldman Sachs Group, Inc 38147Q2H8 04/14/14 04/14/29*   100.000    VARIES     4.5255             0.111562                                                 1.56*        
Goldman Sachs Group, Inc 38147Q4M5 05/30/14 12/02/21    100.000     0.000     3.0000             0.101146   0.102663                                     33.75         
Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28    100.000    VARIES     4.9491             0.118299   0.118964   0.119646   0.120609  0.121594     42.73    43.28
Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29    100.000    VARIES     4.4103             0.112034   0.112487   0.112951   0.113424  0.113940     40.45    40.79
Goldman Sachs Group, Inc 38147Q7D2 06/30/14 12/30/21    100.000     0.000     3.0001             0.101133   0.102650                                     36.58         
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29    100.000    VARIES     4.3665             0.112677   0.113025   0.113381   0.113745  0.114200     40.63    40.89
Goldman Sachs Group, Inc 38147QAK2 01/10/14 01/10/29*   100.000    VARIES     4.9699             0.118877   0.119451                                      1.19*        
Goldman Sachs Group, Inc 38147QB39 06/18/14 06/17/21    100.000     0.000     3.2500             0.111313                                                18.48         
Goldman Sachs Group, Inc 38147QBB1 01/31/14 02/03/21    100.000     0.000     3.2502             0.111362                                                 3.56         
Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28    100.000    VARIES     4.8590             0.121209   0.121760   0.122324   0.123067  0.123828     43.81    44.27
Goldman Sachs Group, Inc 38147QC46 07/31/14 08/03/21    100.000     0.000     3.1497             0.105564   0.107226                                     22.68         
Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28    100.000    VARIES     4.6926             0.119993   0.120510   0.121039   0.121581  0.122221     43.30    43.69
Goldman Sachs Group, Inc 38147QDF0 01/23/14 01/23/29*   100.000    VARIES     4.9794             0.125244   0.126083                                      3.01*        
Goldman Sachs Group, Inc 38147QDL7 08/18/14 08/18/29*   100.000    VARIES     4.3047             0.108979                                                 5.23*        
Goldman Sachs Group, Inc 38147QDV5 08/29/14 09/01/21    100.000     0.000     3.0001             0.099656   0.101150                                     24.19         
Goldman Sachs Group, Inc 38147QEX0 01/24/14 01/24/29*   100.000    VARIES     4.8384             0.116175   0.116754                                      2.79*        
Goldman Sachs Group, Inc 38147QFL5 09/30/14 09/30/21    100.000     0.000     3.0002             0.099641   0.101136                                     27.07         
Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28    100.000    VARIES     4.9007             0.124420   0.125034   0.125663   0.126307  0.126968     45.10    45.56
Goldman Sachs Group, Inc 38147QGP5 02/05/14 02/05/29*   100.000    VARIES     4.7103             0.118083                                                 4.13*        
Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22    100.000     0.000     3.4944             0.118808   0.120884   0.122996                          43.74     4.80
Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22    100.000     0.000     3.4944             0.118808   0.120884   0.122996                          43.74     4.80
Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28    100.000    VARIES     4.8903             0.124169   0.124792   0.125429   0.126082  0.126751     45.00    45.47
Goldman Sachs Group, Inc 38147QHT6 02/28/14 03/03/21    100.000     0.000     3.0001             0.101158                                                 6.27         
Goldman Sachs Group, Inc 38147QHU3 10/30/14 11/01/21    100.000     2.000     3.0152    191.68   0.089312   0.089821                                     26.89         
Goldman Sachs Group, Inc 38147QHX7 02/28/14 08/31/21    100.000     0.000     3.1500             0.106618   0.106531                                     25.79         
Goldman Sachs Group, Inc 38147QHY5 10/30/14 11/01/21    100.000     0.000     3.0012             0.099690   0.101186                                     30.18         
Goldman Sachs Group, Inc 38147QJU1 10/16/14 10/16/29*   100.000    VARIES     3.7998             0.097485                                                 1.85*        
Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28    100.000    VARIES     4.9004             0.121995   0.122624   0.123268   0.124052  0.124854     44.09    44.59
Goldman Sachs Group, Inc 38147QLJ3 08/15/13 08/15/28*   100.000    VARIES     4.8879             0.119535   0.120130                                      5.50*        
Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22    100.000     0.000     3.1503             0.105551   0.107213   0.108902                          38.41    15.90
Goldman Sachs Group, Inc 38147QM78 11/21/14 11/21/29*   100.000    VARIES     3.9468             0.101958                                                 5.40*        
Goldman Sachs Group, Inc 38147QMB9 02/24/14 02/24/29*   100.000    VARIES     4.6770             0.114173                                                 6.17*        
Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22    100.000     0.000     3.1499             0.105543   0.107205   0.108894                          38.41    15.79
Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22    100.000     0.000     2.9500             0.097677   0.099118   0.100580                          35.43    17.90
Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22    100.000     0.000     2.9499             0.097673   0.099113   0.100575                          35.43    17.80
Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23    100.000    VARIES     4.5507             0.126480   0.125579   0.126052   0.125129  0.125577     45.95    45.78
Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28    100.000    VARIES     5.0554             0.122955   0.123648   0.124358   0.125086  0.125832     44.55    45.07
Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22    100.000     0.000     2.4699             0.078532   0.079502   0.080484   0.081477               28.74    17.08
Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22    100.000     0.000     2.5001             0.079621   0.080617   0.081624   0.082645               29.14    17.32
Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22    100.000     0.000     2.4698             0.078523   0.079493   0.080475   0.081469               28.74    16.92
Goldman Sachs Group, Inc 38147QS31 01/30/15 01/30/30*   100.000    VARIES     3.6879             0.099069   0.099264                                      2.97*        
Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29    100.000    VARIES     4.6202             0.116266   0.116814   0.117375   0.117949  0.118580     42.07    42.48
Goldman Sachs Group, Inc 38147QT89 02/27/15 02/28/23    100.000     0.000     2.9999             0.097624   0.097473   0.100575   0.100419  0.103614     35.97    37.05
Goldman Sachs Group, Inc 38147QT97 02/26/15 02/28/23    100.000     0.000     3.0001             0.097642   0.097490   0.100593   0.100437  0.103634     35.97    37.06
Goldman Sachs Group, Inc 38147QTP1 03/31/14 09/30/21    100.000     0.000     3.1501             0.107214   0.108903                                     29.14         
Goldman Sachs Group, Inc 38147QTT3 03/31/14 04/01/21    100.000     0.000     2.9998             0.101129                                                 9.10         
Goldman Sachs Group, Inc 38147QTV8 02/27/15 08/29/22    100.000     0.000     3.0000             0.096559   0.098546   0.099478   0.101525               35.97    24.25
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29    100.000    VARIES     4.6241             0.113897   0.114573   0.115264   0.115972  0.116727     41.26    41.77
Goldman Sachs Group, Inc 38147QUR5 02/27/15 02/27/30*   100.000    VARIES     3.6524             0.097487   0.097680                                      5.95*        
Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23    100.000     0.000     2.8001             0.090634   0.091903   0.093190   0.094495  0.095818     33.09    34.02
Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25    100.000     0.000     2.9501             0.095745   0.095574   0.098591   0.098414  0.101521     35.27    36.31
Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23    100.000     0.000     3.1002             0.101991   0.103572   0.105178   0.106808  0.108464     37.30    38.47
Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22    100.000     0.000     2.8501             0.092496   0.093814   0.095151   0.096507               33.78    25.74
Goldman Sachs Group, Inc 38147QVU7 03/12/15 03/12/21    100.000     0.000     2.7499             0.088766                                                 6.30         
Goldman Sachs Group, Inc 38147QW77 03/31/15 04/01/21    100.000     0.000     2.1498             0.067173                                                 6.05         
Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23    100.000     0.000     3.0000             0.098164   0.099637   0.101131   0.102648  0.104188     35.80    36.89
Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22    100.000     0.000     2.9999             0.098157   0.099630   0.101124   0.102641               35.88    27.17
Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25    100.000    VARIES     3.3914             0.094422   0.094471   0.094483   0.094495  0.094474     34.01    34.02
Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23    100.000     0.000     2.5999             0.083256   0.084338   0.085434   0.086545  0.087670     30.30    31.09
Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22    100.000     0.000     3.0000             0.098179   0.099651   0.101146   0.102663               35.78    30.72
Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23    100.000    VARIES     3.9815             0.112005   0.111810   0.111612   0.111399  0.111182     40.26    40.11
Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23    100.000     0.000     2.9999             0.098160   0.099633   0.101127   0.102644  0.104184     35.76    36.84
Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23    100.000     0.000     3.1502             0.103910   0.105546   0.107209   0.108897  0.110613     37.80    39.00
Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30    100.000    VARIES     3.7833             0.009815   0.009837   0.010144   0.010123  0.010401      3.61     3.71
Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23    100.000     0.000     3.2499             0.107809   0.109561   0.111341   0.113151  0.114989     39.23    40.52
Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25    100.000    VARIES     3.7599             0.015822   0.015736   0.015603   0.015467  0.015291      5.67     5.58
Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22    100.000     0.000     3.1002             0.102012   0.103593   0.105199   0.106829               37.10    35.01
Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25    100.000     0.000     3.5000             0.117674   0.119733   0.121829   0.123960  0.126130     42.86    44.38
Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25    100.000    VARIES     3.9250             0.013242   0.013196   0.013061   0.012924  0.012785      4.75     4.67
Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23    100.000     0.000     3.3498             0.111694   0.113565   0.115467   0.117401  0.119367     40.55    41.92
Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22    100.000     0.000     3.2498             0.107785   0.109536   0.111316   0.113125               39.12    40.29
Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23    100.000     0.000     3.2500             0.107791   0.109543   0.111323   0.113132  0.114970     39.14    40.42
Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23    100.000     0.000     3.3501             0.109876   0.111716   0.113587   0.115490  0.117425     40.53    41.90
Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25    100.000     0.000     3.6499             0.121499   0.123716   0.125974   0.128273  0.130614     44.91    46.57
Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23    100.000     0.000     3.2500             0.106069   0.107793   0.109545   0.111325  0.113134     39.02    40.30
Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23    100.000     0.000     3.2489             0.106044   0.107767   0.109518   0.111297  0.113105     39.00    40.28
Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23    100.000     0.000     3.3498             0.109874   0.111714   0.113586   0.115488  0.117422     40.44    41.81
Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23    100.000     0.000     3.2489             0.106044   0.107767   0.109518   0.111297  0.113105     39.00    40.28
Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25    100.000     0.000     3.7000             0.123456   0.125740   0.128066   0.130435  0.132848     45.55    47.25
Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22    100.000     0.000     3.1500             0.102290   0.103901   0.105538   0.107200               37.63    21.41
Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27    100.000    VARIES     3.9238             0.010573   0.010642   0.010713   0.010740  0.010767      3.84     3.87
Goldman Sachs Group, Inc 38148TAY5 08/04/15 08/04/21    100.000     0.000     2.8500             0.091200   0.092499                                     19.66         
Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23    100.000     0.000     3.1988             0.104154   0.105819   0.107512   0.109231  0.110978     38.19    39.43
Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25    100.000     0.000     3.5990             0.119480   0.121630   0.123819   0.126047  0.128315     43.93    45.52
Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23    100.000     0.000     3.1988             0.104154   0.105819   0.107512   0.109231  0.110978     38.19    39.43
Goldman Sachs Group, Inc 38148TB81 08/28/15 08/30/23    100.000     0.000     3.3014             0.106850   0.108020   0.110406   0.111616  0.114081     39.66    40.98
Goldman Sachs Group, Inc 38148TBA6 08/28/15 02/28/23    100.000     0.000     3.1965             0.103501   0.103440   0.106835   0.106773  0.110278     38.18    39.41
Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25    100.000    VARIES     3.9131             0.009268   0.009227   0.009185   0.009094  0.009002      3.32     3.27
Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25    100.000     2.000     3.6202             0.109387   0.110361   0.111353   0.112363  0.113392     39.79    40.51
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23    100.000     0.000     3.2499             0.106064   0.107787   0.109539   0.111319  0.113128     38.83    40.10
Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23    100.000     0.000     3.2490             0.105211   0.106920   0.108657   0.110422  0.112216     38.80    40.07
Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23    100.000     0.000     3.2992             0.107916   0.109696   0.111505   0.113345  0.115215     39.50    40.82
Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25    100.000     0.000     3.6001             0.119534   0.121685   0.123876   0.126106  0.128375     43.81    45.41
Goldman Sachs Group, Inc 38148TDB2 09/29/15 09/28/23    100.000     0.000     3.3000             0.107956   0.109738   0.111548   0.113389  0.115260     39.52    40.83
Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22    100.000     0.000     3.1000             0.100419   0.101976   0.103556   0.105161               36.79    25.76
Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25    100.000    VARIES     3.7872             0.010851   0.010814   0.010777   0.010676  0.010573      3.89     3.84
Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22    100.000    VARIES     3.2799             0.104749   0.106239   0.107753   0.109292               38.27    28.62
Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23    100.000     0.000     3.1502             0.102307   0.103918   0.105555   0.107218  0.108907     37.32    38.50
Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23    100.000     0.000     3.1491             0.102274   0.103885   0.105520   0.107182  0.108869     37.30    38.49
Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25    100.000     0.000     3.4498             0.113702   0.115664   0.117659   0.119688  0.121753     41.53    42.97
Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23    100.000     0.000     3.1500             0.102319   0.103931   0.105568   0.107231  0.108919     37.32    38.51
Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25    100.000    VARIES     3.6654             0.008806   0.008816   0.008825   0.008783  0.008740      3.17     3.16
Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27    100.000    VARIES     3.9047             0.013481   0.013588   0.013697   0.013808  0.013921      4.89     4.97
Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25    100.000     0.000     3.4490             0.113649   0.115609   0.117603   0.119631  0.121694     41.40    42.84
Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26    100.000    VARIES     3.8760             0.011139   0.011199   0.011260   0.011268  0.011277      4.03     4.06
Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23    100.000     0.000     3.1499             0.102316   0.103927   0.105564   0.107227  0.108915     37.23    38.41
Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23    100.000     0.000     3.1488             0.102238   0.103847   0.105482   0.107143  0.108830     37.20    38.38
Goldman Sachs Group, Inc 38148THG7 11/10/15 11/10/21    100.000     1.750     2.8620    151.12   0.084216   0.084726                                     26.11         
Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25    100.000    VARIES     3.7095             0.008224   0.008216   0.008209   0.008144  0.008078      2.96     2.94
Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23    100.000     0.000     3.1489             0.102250   0.103860   0.105495   0.107156  0.108843     37.20    38.38
Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24    100.000     0.000     3.2988             0.106200   0.107951   0.109732   0.111542  0.113381     39.18    40.48
Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26    100.000     0.000     3.4990             0.113638   0.115626   0.117649   0.119707  0.121801     41.99    43.47
Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23    100.000     0.000     3.0000             0.096713   0.098164   0.099637   0.101131  0.102648     35.08    36.14
Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23    100.000     0.000     3.2000             0.104161   0.105828   0.107521   0.109241  0.110989     37.81    39.03
Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26    100.000    VARIES     3.7570     31.49   0.018362   0.018586   0.018707   0.018831  0.018865      6.70     6.78
Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26    100.000    VARIES     2.3290      6.52   0.004278   0.004328   0.004378   0.004429  0.004481      1.56     1.59
Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26    100.000    VARIES     2.2302     11.56   0.007835   0.007923   0.008011   0.008100  0.008191      2.84     2.91
Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27    100.000    VARIES     3.8872    149.98   0.108122   0.108258   0.108321   0.108384  0.108449     38.97    39.02
Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27    100.000    VARIES     3.6989     13.68   0.010041   0.010227   0.010360   0.010495  0.010586      3.67     3.77
Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27    100.000    VARIES     3.6688     13.19   0.009464   0.009637   0.009779   0.009924  0.010046      3.45     3.56
Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27    100.000    VARIES     3.6160    124.68   0.099896   0.100071   0.100222   0.100349  0.100454     36.05    36.14
Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27    100.000    VARIES     3.5643    120.92   0.097892   0.098106   0.098293   0.098455  0.098594     35.34    35.46
Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24    100.000    VARIES     3.1510    106.62   0.088025   0.088080   0.088101   0.088087  0.088040     31.71    31.71
Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27    100.000    VARIES     3.5451    115.34   0.097070   0.097290   0.097485   0.097658  0.097809     35.03    35.16
Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27    100.000    VARIES     3.5757    114.83   0.098918   0.099098   0.099254   0.099384  0.099487     35.67    35.77
Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27    100.000    VARIES     3.6040    116.67   0.098866   0.099083   0.099275   0.099442  0.099586     35.67    35.80
Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27    100.000    VARIES     3.6048    115.91   0.098530   0.098767   0.098980   0.099170  0.099337     35.55    35.70
Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27    100.000    VARIES     3.5339    108.72   0.097652   0.097756   0.097845   0.097921  0.097985     35.18    35.24
Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27    100.000    VARIES     2.7977     10.48   0.008866   0.008990   0.009116   0.009244  0.009373      3.22     3.31
Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28    100.000    VARIES     3.1064      9.64   0.008297   0.008426   0.008557   0.008690  0.008825      3.05     3.14
Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28    100.000    VARIES     3.3846     14.87   0.013429   0.012838   0.013055   0.013276  0.013501      4.69     4.78
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28    100.000    VARIES     3.7824     16.90   0.015990   0.016292   0.016601   0.016914  0.017234      5.82     6.04
Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30    100.000    VARIES     3.7644      8.86   0.008076   0.008228   0.008383   0.008541  0.008702      2.94     3.05
Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28    100.000    VARIES     3.7555      7.13   0.007332   0.007470   0.007610   0.007753  0.007898      2.69     2.79
Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28    100.000    VARIES     3.7010     12.23   0.014695   0.014026   0.013345   0.013592  0.013843      5.13     4.87
Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28    100.000    VARIES     3.6601      7.20   0.008066   0.008214   0.008364   0.008517  0.008673      2.94     3.04
Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26    100.000    VARIES     3.5868     11.16   0.015060   0.014344   0.014601   0.014863  0.015130      5.22     5.38
GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26     93.148     0.000     1.3579      1.55   0.035136   0.035252   0.035491   0.035732  0.035975     12.72    12.89
GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27     91.656     0.000     1.4001      1.57   0.035646   0.035768   0.036018   0.036270  0.036524     12.91    13.08
GRANBURY TEX INDPT SCH D 385064SA9 06/25/20 08/01/23     96.350     0.000     1.2030      5.99   0.032234   0.032428   0.032623   0.032820  0.033017     11.70    11.84
GRANBURY TEX INDPT SCH D 385064SB7 06/25/20 08/01/24     94.332     0.000     1.4281      6.97   0.037475   0.037743   0.038013   0.038284  0.038557     13.62    13.82
GRANBURY TEX INDPT SCH D 385064SC5 06/25/20 08/01/25     92.530     0.000     1.5280      7.31   0.039334   0.039635   0.039938   0.040243  0.040550     14.30    14.52
GRANBURY TEX INDPT SCH D 385064SD3 06/25/20 08/01/26     89.407     0.000     1.8439      8.53   0.045879   0.046302   0.046729   0.047160  0.047594     16.72    17.03
GRANBURY TEX INDPT SCH D 385064SE1 06/25/20 08/01/27     87.165     0.000     1.9440      8.77   0.047161   0.047620   0.048083   0.048550  0.049022     17.20    17.53
GRANBURY TEX INDPT SCH D 385064SF8 06/25/20 08/01/28     83.987     0.000     2.1660      9.42   0.050640   0.051189   0.051743   0.052304  0.052870     18.49    18.90
Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22    103.480    VARIES     4.8564             0.134250   0.133247   0.133703                          48.81    22.06
GREENVILLE OHIO CITY SCH 396352HA7 11/26/19 01/01/22     95.481     0.000     2.2167     23.39   0.060232   0.060900                                     21.80         
GREENVILLE OHIO CITY SCH 396352HB5 11/26/19 01/01/23     93.085     0.000     2.3267     23.94   0.061708   0.062426   0.063152   0.063887               22.34    22.87
GREENVILLE OHIO CITY SCH 396352HC3 11/26/19 01/01/24     90.772     0.000     2.3768     23.85   0.061504   0.062235   0.062975   0.063723               22.27    22.81
GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25     87.834     0.000     2.5610     24.88   0.064253   0.065076   0.065909   0.066753               23.28    23.88
GREENVILLE OHIO CITY SCH 396352HE9 11/26/19 01/01/26     85.114     0.000     2.6608     25.06   0.064761   0.065622   0.066495   0.067380               23.47    24.10
GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27     82.085     0.000     2.8008     25.45   0.065842   0.066764   0.067699   0.068647               23.87    24.54
GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28     79.515     0.000     2.8508     25.10   0.064955   0.065881   0.066820   0.067773               23.55    24.23
GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29     76.605     0.000     2.9509     25.04   0.064845   0.065802   0.066773   0.067758               23.52    24.22
GREENVILLE TEX INDPT SCH 396730MQ3 09/24/20 02/15/22     99.155     0.000     0.6106      1.63   0.016819   0.016859   0.016911                           6.07     0.74
GREENVILLE TEX INDPT SCH 396730MR1 09/24/20 02/15/23     98.265     0.000     0.7331      1.94   0.020010   0.020068   0.020141   0.020215  0.020289      7.23     7.28
GREENWOOD TEX INDPT SCH  397370HV2 12/05/19 02/15/21     97.721     0.000     1.9385     20.44   0.053330                                                 2.35         
GREENWOOD TEX INDPT SCH  397370HW0 12/05/19 02/15/22     95.398     0.000     2.1578     22.23   0.058041   0.058667   0.059300                          21.18     2.61
GREENWOOD TEX INDPT SCH  397370HX8 12/05/19 02/15/23     92.896     0.000     2.3197     23.29   0.060825   0.061530   0.062244   0.062966  0.063696     22.22    22.74
GREENWOOD TEX INDPT SCH  397370HY6 12/05/19 02/15/24     90.290     0.000     2.4497     23.91   0.062488   0.063253   0.064028   0.064812  0.065606     22.84    23.41
GREENWOOD TEX INDPT SCH  397370HZ3 12/05/19 02/15/25     87.541     0.000     2.5777     24.41   0.063809   0.064631   0.065464   0.066308  0.067163     23.34    23.95
GREENWOOD TEX INDPT SCH  397370JA6 12/05/19 02/15/26     84.807     0.000     2.6777     24.57   0.064258   0.065119   0.065991   0.066874  0.067770     23.52    24.16
GS Finance Corp.         40054CAB0 12/31/15 01/03/23    100.000     0.000     2.7988             0.088124   0.089357   0.090608   0.091876  0.093162     32.39    33.30
GS Finance Corp.         40054CAD6 01/29/16 07/31/24    100.000     0.000     3.3498    177.78   0.108073   0.109883   0.111724   0.113595  0.115497     39.78    41.13
GS Finance Corp.         40054CAE4 01/29/16 01/29/26    100.000     0.000     3.6001    192.02   0.117420   0.119534   0.121685   0.123876  0.126106     43.30    44.87
GS Finance Corp.         40054CAF1 01/29/16 01/29/24    100.000     0.000     3.0501    160.69   0.097091   0.098571   0.100075   0.101601  0.103150     35.67    36.77
GS Finance Corp.         40054CAM6 01/28/16 07/28/23    100.000     0.000     2.9500    155.16   0.093487   0.094866   0.096265   0.097685  0.099126     34.33    35.35
GS Finance Corp.         40054CBT0 02/18/16 02/17/22    100.000     0.000     2.8500    147.77   0.089913   0.091194   0.092493                          32.95     4.25
GS Finance Corp.         40054CBU7 02/26/16 02/28/23    100.000     0.000     2.7500    141.60   0.085920   0.085682   0.088299   0.088054  0.090744     31.61    32.48
GS Finance Corp.         40054CCB8 02/29/16 02/29/24    100.000     0.000     3.3000    171.68   0.105628   0.105620   0.109142   0.109134  0.112774     38.98    40.28
GS Finance Corp.         40054K2A3 02/29/16 02/27/26    100.000     0.000     3.6002    188.39   0.117388   0.119502   0.121653   0.123842  0.126072     43.17    44.74
GS Finance Corp.         40054K2B1 02/29/16 03/01/22    100.000     0.000     2.8998    149.54   0.091192   0.091006   0.093856                          33.58     5.54
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054K2H8 02/26/16 08/28/23    100.000     0.000     3.2000    166.39   0.102557   0.104198   0.105865   0.107559  0.109280     37.62    38.84
GS Finance Corp.         40054K7D2 04/29/16 05/01/23    100.000     0.000     2.8501    141.39   0.089938   0.091219   0.092519   0.093838  0.095175     32.76    33.70
GS Finance Corp.         40054K7H3 04/29/16 04/29/22    100.000     0.000     2.6000    128.30   0.081124   0.082179   0.083247                          29.53     9.82
GS Finance Corp.         40054K7J9 04/29/16 05/01/24    100.000     0.000     3.0000    149.30   0.095299   0.096729   0.098180   0.099653  0.101147     34.74    35.79
GS Finance Corp.         40054K7K6 04/29/16 04/30/26    100.000     0.000     3.2999    165.27   0.106219   0.107971   0.109753   0.111564  0.113404     38.77    40.06
GS Finance Corp.         40054K7L4 04/28/16 04/30/24    100.000     0.000     3.0000    149.40   0.095299   0.096729   0.098180   0.099653  0.101147     34.74    35.79
GS Finance Corp.         40054KAB2 04/29/16 04/27/23    100.000     1.250     2.8316    136.83   0.084574   0.085280   0.085996   0.086722  0.087458     30.66    31.18
GS Finance Corp.         40054KAE6 04/28/16 01/28/22    100.000     0.000     2.5498    125.79   0.078884   0.079889   0.080908                          28.89     2.18
GS Finance Corp.         40054KB62 05/31/16 05/31/23    100.000     0.000     2.8999    141.17   0.091695   0.093025   0.094374   0.095742  0.097130     33.33    34.31
GS Finance Corp.         40054KB70 05/31/16 05/28/21    100.000     0.000     2.4003    115.65   0.074223                                                10.91         
GS Finance Corp.         40054KBA3 05/27/16 05/30/24    100.000     0.000     2.8998    141.44   0.091712   0.093042   0.094391   0.095759  0.097148     33.34    34.31
GS Finance Corp.         40054KBP0 05/27/16 05/30/23    100.000     0.000     2.8998    141.51   0.091205   0.091019   0.093869   0.093678  0.096611     33.34    34.31
GS Finance Corp.         40054KBR6 05/31/16 08/30/22    100.000     0.000        N/A    131.06   0.082291   0.084786   0.084530   0.086140               30.77    20.67
GS Finance Corp.         40054KBS4 05/31/16 05/31/24    100.000     0.000     3.0499    148.93   0.097083   0.098564   0.100067   0.101593  0.103142     35.31    36.39
GS Finance Corp.         40054KBT2 05/31/16 05/29/26    100.000     0.000     3.2989    161.92   0.106162   0.107913   0.109693   0.111503  0.113342     38.65    39.93
GS Finance Corp.         40054KBW5 05/31/16 05/29/23    100.000     1.250     2.9093    138.11   0.087204   0.087967   0.088742   0.089527  0.090325     31.58    32.14
GS Finance Corp.         40054KD29 06/29/16 06/27/24    100.000     0.000     2.7999    133.47   0.088129   0.089362   0.090614   0.091882  0.093168     31.96    32.86
GS Finance Corp.         40054KD86 06/24/16 06/26/23    100.000     0.000     2.6499    126.34   0.082876   0.083975   0.085087   0.086214  0.087357     30.04    30.85
GS Finance Corp.         40054KD94 06/30/16 09/30/22    100.000     0.000     2.4488    115.87   0.075436   0.076359   0.077294   0.078241               27.49    20.96
GS Finance Corp.         40054KDA1 06/03/16 06/05/23    100.000     0.000     3.0002    146.07   0.095306   0.096736   0.098187   0.099660  0.101155     34.64    35.69
GS Finance Corp.         40054KDE3 06/30/16 07/02/24    100.000     0.000     2.7499    130.86   0.085217   0.086388   0.087576   0.088780  0.090001     31.31    32.18
GS Finance Corp.         40054KDF0 06/30/16 07/02/26    100.000     0.000     3.0000    143.49   0.093890   0.095299   0.096728   0.098179  0.099652     34.56    35.61
GS Finance Corp.         40054KDJ2 06/30/16 06/28/23    100.000     1.250     2.6041    120.53   0.076968   0.077519   0.078076   0.078640  0.079212     27.81    28.21
GS Finance Corp.         40054KDK9 06/30/16 07/01/21    100.000     0.000     2.1388    100.53   0.065022                                                11.77         
GS Finance Corp.         40054KDL7 06/30/16 09/30/22    100.000     0.000     2.4488    115.87   0.075436   0.076359   0.077294   0.078241               27.49    20.96
GS Finance Corp.         40054KDM5 06/30/16 07/12/23    100.000     0.000     2.6003    123.38   0.080163   0.081205   0.082261   0.083331  0.084414     29.40    30.17
GS Finance Corp.         40054KDT0 06/09/16 06/09/23    100.000     0.000     2.9998    145.48   0.095276   0.096705   0.098155   0.099628  0.101122     34.62    35.67
GS Finance Corp.         40054KDV5 06/17/16 06/15/23    100.000     2.000     2.6630    122.53   0.076287   0.076563   0.076843   0.077126  0.077413     27.52    27.72
GS Finance Corp.         40054KEY8 07/29/16 05/01/23    100.000     0.000     2.4799    115.20   0.076506   0.077455   0.078416   0.079388  0.080372     27.83    28.52
GS Finance Corp.         40054KEZ5 07/29/16 04/29/21    100.000     0.000     2.0500     94.41   0.062100                                                 7.33         
GS Finance Corp.         40054KF27 07/29/16 05/01/25    100.000     0.000     2.7700    129.42   0.086503   0.087701   0.088916   0.090147  0.091396     31.50    32.38
GS Finance Corp.         40054KF35 07/29/16 07/30/26    100.000     0.000     2.9298    137.28   0.091432   0.092771   0.094130   0.095509  0.096908     33.56    34.55
GS Finance Corp.         40054KF43 07/29/16 07/29/21    100.000     0.000     2.1200     97.79   0.062678   0.064392                                     13.41         
GS Finance Corp.         40054KF50 07/29/16 08/09/23    100.000     0.000     2.5301    117.62   0.077770   0.078754   0.079750   0.080759  0.081781     28.46    29.18
GS Finance Corp.         40054KF84 07/29/16 07/31/23    100.000     0.000     2.6502    123.57   0.081805   0.082889   0.083987   0.085100  0.086228     29.97    30.77
GS Finance Corp.         40054KFB7 07/28/16 07/30/24    100.000     0.000     2.6502    123.57   0.081805   0.082889   0.083987   0.085100  0.086228     29.97    30.77
GS Finance Corp.         40054KGJ9 08/31/16 06/01/21    100.000     0.000     1.9502     87.81   0.058833                                                 8.83         
GS Finance Corp.         40054KGK6 08/31/16 06/01/22    100.000     0.000     2.1998     99.54   0.067065   0.067803   0.068549                          24.32    10.28
GS Finance Corp.         40054KGL4 08/31/16 06/01/23    100.000     0.000     2.3999    109.01   0.073785   0.074670   0.075566   0.076473  0.077390     26.78    27.42
GS Finance Corp.         40054KGM2 08/31/16 05/30/25    100.000     0.000     2.6499    120.96   0.082324   0.083415   0.084520   0.085640  0.086774     29.90    30.70
GS Finance Corp.         40054KGN0 08/31/16 09/12/23    100.000     0.000     2.4502    111.40   0.075085   0.076005   0.076936   0.077878  0.078832     27.40    28.07
GS Finance Corp.         40054KGP5 08/31/16 08/31/26    100.000     0.000     2.8001    128.28   0.086452   0.086233   0.088890   0.088665  0.091396     31.81    32.71
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KGQ3 08/31/16 08/31/21    100.000     0.000     2.0001     90.22   0.059831   0.059444                                     14.41         
GS Finance Corp.         40054KGR1 08/04/16 08/06/26    100.000     0.000     2.8502    132.90   0.088677   0.089941   0.091222   0.092522  0.093841     32.52    33.45
GS Finance Corp.         40054KGT7 08/26/16 08/28/23    100.000     0.000     2.5001    114.08   0.076715   0.077674   0.078645   0.079628  0.080624     28.03    28.73
GS Finance Corp.         40054KH41 08/30/16 08/29/24    100.000     0.000     2.5993    118.59   0.078742   0.080204   0.080802   0.082302  0.082916     29.26    30.03
GS Finance Corp.         40054KHR0 08/24/16 08/24/26    100.000     0.000     2.8998    133.53   0.090381   0.091691   0.093021   0.094370  0.095738     33.11    34.08
GS Finance Corp.         40054KJ72 09/30/16 10/02/23    100.000     0.000     2.6002    116.16   0.080103   0.081145   0.082200   0.083269  0.084351     29.21    29.98
GS Finance Corp.         40054KJA5 09/30/16 09/30/21    100.000     0.000     2.0998     92.91   0.063410   0.064075                                     17.18         
GS Finance Corp.         40054KJB3 09/30/16 06/30/22    100.000     0.000     2.1888     97.02   0.066694   0.067424   0.068162                          24.14    12.20
GS Finance Corp.         40054KJC1 09/30/16 10/02/23    100.000     0.000     2.5002    111.48   0.076719   0.077678   0.078649   0.079633  0.080628     27.96    28.67
GS Finance Corp.         40054KJD9 09/30/16 10/02/25    100.000     0.000     2.8001    125.56   0.086945   0.088162   0.089396   0.090648  0.091917     31.74    32.63
GS Finance Corp.         40054KJE7 09/30/16 10/01/26    100.000     0.000     3.0000    135.04   0.093883   0.095291   0.096721   0.098171  0.099644     34.31    35.34
GS Finance Corp.         40054KJF4 09/30/16 09/30/21    100.000     0.000     2.0998     92.91   0.063410   0.064075                                     17.18         
GS Finance Corp.         40054KJG2 09/30/16 10/12/23    100.000     0.000     2.5000    111.47   0.076766   0.077725   0.078697   0.079681  0.080677     27.96    28.66
GS Finance Corp.         40054KJJ6 09/29/16 10/01/24    100.000     0.000     2.7000    120.93   0.083507   0.084634   0.085777   0.086935  0.088109     30.47    31.30
GS Finance Corp.         40054KL87 10/28/16 10/30/24    100.000     0.000     2.7498    120.80   0.085213   0.086385   0.087572   0.088776  0.089997     31.03    31.89
GS Finance Corp.         40054KLC8 10/31/16 11/09/23    100.000     0.000     2.6003    113.76   0.080146   0.081188   0.082243   0.083312  0.084396     29.15    29.91
GS Finance Corp.         40054KLF1 10/31/16 07/29/21    100.000     0.000     2.1986     95.48   0.066289   0.067018                                     13.92         
GS Finance Corp.         40054KLG9 10/31/16 10/31/22    100.000     0.000     2.4001    104.61   0.073345   0.074225   0.075116   0.076017               26.67    22.62
GS Finance Corp.         40054KLJ3 10/28/16 10/30/23    100.000     0.000     2.5999    113.90   0.080091   0.081132   0.082187   0.083255  0.084338     29.15    29.91
GS Finance Corp.         40054KLQ7 10/31/16 10/31/23    100.000     0.000     2.6000    113.74   0.080085   0.081126   0.082181   0.083249  0.084331     29.15    29.91
GS Finance Corp.         40054KLR5 10/31/16 10/29/26    100.000     0.000     2.9991    132.18   0.093836   0.095244   0.096672   0.098122  0.099593     34.21    35.24
GS Finance Corp.         40054KLS3 10/31/16 07/29/21    100.000     0.000     2.1986     95.48   0.066289   0.067018                                     13.92         
GS Finance Corp.         40054KNC6 11/28/16 11/28/23    100.000     0.000     3.0998    134.14   0.097379   0.098888   0.100421   0.101977  0.103558     35.43    36.54
GS Finance Corp.         40054KNF9 11/28/16 11/28/23    100.000     0.000     3.0601    132.33   0.095982   0.097450   0.098941   0.100455  0.101992     34.92    35.99
GS Finance Corp.         40054KNH5 11/28/16 11/27/26    100.000     0.000     3.4699    151.18   0.110596   0.112515   0.114467   0.116453  0.118473     40.29    41.70
GS Finance Corp.         40054KNL6 11/28/16 08/26/21    100.000     0.000     2.5402    108.85   0.077558   0.078544                                     18.40         
GS Finance Corp.         40054KNU6 11/28/16 11/27/24    100.000     0.000     3.2301    140.11   0.101985   0.103632   0.105306   0.107006  0.108735     37.12    38.33
GS Finance Corp.         40054KNV4 11/28/16 11/28/22    100.000     0.000     2.8500    122.78   0.088655   0.089918   0.091200   0.092499               32.23    30.06
GS Finance Corp.         40054KP67 11/28/16 11/26/21    100.000     0.000     2.6201    112.40   0.080755   0.081813                                     26.44         
GS Finance Corp.         40054KPR1 11/25/16 11/26/24    100.000     0.000     3.2499    141.33   0.102710   0.104379   0.106075   0.107798  0.109550     37.39    38.62
GS Finance Corp.         40054KQH2 12/30/16 01/03/25    100.000     0.000     3.3999    144.48   0.106300   0.108107   0.109944   0.111813  0.113714     39.24    40.59
GS Finance Corp.         40054KQQ2 12/30/16 07/01/24    100.000     0.000     3.4000    144.48   0.108090   0.109927   0.111796   0.113697               39.24    40.59
GS Finance Corp.         40054KQU3 12/30/16 12/31/26    100.000     0.000     3.6499    155.90   0.117180   0.119318   0.121496   0.123713  0.125971     42.57    44.14
GS Finance Corp.         40054KQV1 12/30/16 07/02/24    100.000     0.000     3.3199    140.88   0.103503   0.105221   0.106968   0.108743  0.110548     38.19    39.47
GS Finance Corp.         40054KQW9 12/30/16 12/30/22    100.000     0.000     3.0500    128.81   0.095629   0.097087   0.098568   0.100071               34.69    35.66
GS Finance Corp.         40054KR65 12/21/16 12/21/23    100.000     0.000     3.2002    136.42   0.100931   0.102546   0.104187   0.105854  0.107548     36.66    37.84
GS Finance Corp.         40054KS23 12/21/16 12/21/23    100.000     0.000     3.2002    136.42   0.100931   0.102546   0.104187   0.105854  0.107548     36.66    37.84
GS Finance Corp.         40054KSN7 01/30/17 01/30/25    100.000     0.000     3.3999    141.29   0.106270   0.108076   0.109914   0.111782  0.113682     39.13    40.47
GS Finance Corp.         40054KT48 01/31/17 01/29/27    100.000     0.000     3.6999    154.55   0.116834   0.118996   0.121197   0.123439  0.125723     43.11    44.72
GS Finance Corp.         40054KT55 01/31/17 01/31/24    100.000     0.000     3.2500    134.71   0.101060   0.102702   0.104371   0.106067  0.107790     37.18    38.40
GS Finance Corp.         40054KT63 01/31/17 07/29/22    100.000     0.000     2.9200    120.34   0.089766   0.091077   0.092406   0.093756               32.95    19.46
GS Finance Corp.         40054KTB2 01/27/17 01/29/24    100.000     0.000     3.1998    132.81   0.099346   0.100936   0.102551   0.104191  0.105858     36.54    37.72
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054KTD8 01/30/17 01/30/24    100.000     0.000     3.2500    134.71   0.101060   0.102702   0.104371   0.106067  0.107790     37.18    38.40
GS Finance Corp.         40054KTP1 01/31/17 01/26/23    100.000     1.250     3.0595    123.75   0.090604   0.091458   0.092326   0.093207  0.094102     33.04    33.67
GS Finance Corp.         40054KUL8 01/30/17 07/30/24    100.000     0.000     3.3302    138.23   0.103843   0.105572   0.107330   0.109117  0.110934     38.22    39.50
GS Finance Corp.         40054KUQ7 02/01/17 06/02/22    100.000     0.000     2.8998    119.40   0.089957   0.091262   0.092585                          32.70    13.98
GS Finance Corp.         40054KV29 02/27/17 08/26/24    100.000     0.000     3.2501    131.98   0.101054   0.102696   0.104365   0.106061  0.107785     37.09    38.30
GS Finance Corp.         40054KVB9 02/27/17 02/27/25    100.000     0.000     3.3001    134.13   0.102798   0.104494   0.106218   0.107971  0.109752     37.74    38.99
GS Finance Corp.         40054KVC7 02/27/17 02/27/24    100.000     0.000     3.1501    127.71   0.097619   0.099157   0.100718   0.102305  0.103916     35.80    36.94
GS Finance Corp.         40054KVS2 02/28/17 02/28/24    100.000     0.000     3.0999    125.47   0.095897   0.097383   0.098893   0.100425  0.101982     35.16    36.26
GS Finance Corp.         40054KVT0 02/28/17 08/26/22    100.000     0.000     2.6997    108.37   0.082347   0.083459   0.084585   0.085727               30.12    20.08
GS Finance Corp.         40054KW77 02/28/17 02/26/23    100.000     1.250     2.9063    114.86   0.083750   0.085873   0.085207   0.087376  0.086707     31.14    31.69
GS Finance Corp.         40054KWL6 02/17/17 08/19/24    100.000     0.000     3.2499    132.99   0.101077   0.102719   0.104388   0.106085  0.107808     37.12    38.34
GS Finance Corp.         40054KXL5 02/28/17 08/29/22    100.000     0.000     2.0900     83.16   0.061415   0.062398   0.062705   0.063709               22.76    15.23
GS Finance Corp.         40054KXX9 03/30/17 04/01/25    100.000     0.000     3.3001    130.74   0.102807   0.104504   0.106228   0.107981  0.109763     37.62    38.88
GS Finance Corp.         40054KXY7 03/30/17 04/01/24    100.000     0.000     3.1002    122.41   0.095914   0.097401   0.098911   0.100444  0.102001     35.07    36.16
GS Finance Corp.         40054KYE0 03/31/17 10/03/22    100.000     0.000     2.7999    110.01   0.085744   0.086944   0.088161   0.089395               31.30    24.20
GS Finance Corp.         40054KYF7 03/31/17 04/02/24    100.000     0.000     3.1000    122.41   0.095916   0.097403   0.098912   0.100446  0.102002     35.06    36.16
GS Finance Corp.         40054KYH3 03/31/17 03/31/23    100.000     1.250     2.9099    112.24   0.085735   0.086477   0.087230   0.087994  0.088769     31.13    31.68
GS Finance Corp.         40054KYJ9 03/31/17 03/31/25    100.000     0.000     3.2999    130.73   0.102791   0.104487   0.106211   0.107963  0.109745     37.62    38.87
GS Finance Corp.         40054L2S2 03/27/17 03/28/22    100.000     1.000     2.7411    106.11   0.080981   0.081710   0.082449                          29.42     7.17
GS Finance Corp.         40054L2W3 03/30/17 09/30/22    100.000     0.000     2.8001    110.02   0.085730   0.086930   0.088147   0.089381               31.30    23.93
GS Finance Corp.         40054L3Q5 04/28/17 01/28/21    100.000     0.000     2.3002     87.71   0.068827                                                 1.86         
GS Finance Corp.         40054L3R3 04/28/17 10/28/22    100.000     0.000     2.7000    103.60   0.082381   0.083493   0.084620   0.085762               30.00    25.34
GS Finance Corp.         40054L3S1 04/28/17 04/30/24    100.000     0.000     3.0498    117.69   0.094199   0.095635   0.097094   0.098574  0.100077     34.35    35.40
GS Finance Corp.         40054L3U6 04/27/17 04/29/25    100.000     0.000     3.3000    127.96   0.102810   0.104507   0.106231   0.107984  0.109766     37.53    38.78
GS Finance Corp.         40054L3Y8 04/28/17 04/28/25    100.000     0.000     3.3000    127.85   0.102794   0.104490   0.106214   0.107967  0.109749     37.53    38.78
GS Finance Corp.         40054L4B7 04/28/17 04/24/23    100.000     1.250     2.8079    105.82   0.082419   0.083089   0.083768   0.084457  0.085155     29.88    30.37
GS Finance Corp.         40054L4C5 04/25/17 04/25/24    100.000     0.000     3.0999    120.00   0.095897   0.097383   0.098893   0.100425  0.101982     34.99    36.08
GS Finance Corp.         40054L4L5 04/28/17 01/30/24    100.000     0.000     3.0000    115.69   0.091820   0.093198   0.094596   0.096015  0.097455     33.72    34.74
GS Finance Corp.         40054L6W9 05/09/17 05/07/21    100.000     0.000     2.1501     81.07   0.064358                                                 8.11         
GS Finance Corp.         40054LA53 04/28/17 10/31/24    100.000     0.000     3.1210    120.57   0.096638   0.098146   0.099678   0.101233  0.102813     35.25    36.36
GS Finance Corp.         40054LA95 05/08/17 05/10/21    100.000     0.000     2.3697     89.74   0.071493                                                 9.22         
GS Finance Corp.         40054LAE4 03/20/17 09/20/22    100.000     0.000     2.9898    118.76   0.092141   0.093519   0.094917   0.096336               33.70    24.84
GS Finance Corp.         40054LAM6 05/31/17 11/30/22    100.000     0.000     2.6502     99.03   0.080721   0.081791   0.082875   0.083973               29.32    27.46
GS Finance Corp.         40054LAP9 05/31/17 05/31/24    100.000     0.000     2.9498    110.74   0.090783   0.092122   0.093481   0.094859  0.096258     33.01    33.99
GS Finance Corp.         40054LAQ7 05/30/17 05/30/25    100.000     0.000     3.1002    116.66   0.095905   0.097392   0.098902   0.100435  0.101991     34.89    35.98
GS Finance Corp.         40054LAR5 05/30/17 11/29/22    100.000     0.000     2.6501     99.02   0.080712   0.081782   0.082865   0.083963               29.32    27.38
GS Finance Corp.         40054LBG8 05/31/17 03/02/21    100.000     0.000     2.2248     82.61   0.066418                                                 4.05         
GS Finance Corp.         40054LBJ2 05/31/17 06/11/24    100.000     0.000     2.9497    110.74   0.090862   0.092202   0.093562   0.094942  0.096342     33.01    33.99
GS Finance Corp.         40054LBL7 05/31/17 05/26/23    100.000     1.250     2.7568    101.22   0.080772   0.081407   0.082050   0.082703  0.083364     29.24    29.70
GS Finance Corp.         40054LBV5 05/31/17 05/31/24    100.000     0.000     2.9498    110.74   0.090783   0.092122   0.093481   0.094859  0.096258     33.01    33.99
GS Finance Corp.         40054LCA0 05/18/17 05/19/22    100.000     0.000     2.5602     96.46   0.077743   0.078739   0.079747                          28.25    11.01
GS Finance Corp.         40054LCJ1 05/18/17 05/20/24    100.000     0.000     3.0299    115.01   0.093523   0.094939   0.096378   0.097838  0.099320     34.04    35.08
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054LEE0 06/30/17 07/02/24    100.000     0.000     2.8998    106.11   0.087831   0.089105   0.090397   0.091707  0.093037     32.31    33.25
GS Finance Corp.         40054LEF7 06/30/17 03/30/23    100.000     0.000     2.6506     96.67   0.080209   0.081273   0.082350   0.083441  0.084547     29.26    30.04
GS Finance Corp.         40054LEM2 06/29/17 07/01/25    100.000     0.000     3.0998    113.86   0.095908   0.097395   0.098904   0.100437               34.79    35.88
GS Finance Corp.         40054LEN0 06/29/17 06/29/23    100.000     0.000     2.6999     98.58   0.082378   0.083490   0.084617   0.085759  0.086917     29.86    30.67
GS Finance Corp.         40054LER1 06/30/17 04/01/21    100.000     0.000     2.2248     80.61   0.066411                                                 5.98         
GS Finance Corp.         40054LFC3 06/30/17 07/02/24    100.000     0.000     2.8998    106.11   0.087831   0.089105   0.090397   0.091707  0.093037     32.31    33.25
GS Finance Corp.         40054LFP4 06/30/17 06/26/23    100.000     1.250     2.7083     96.98   0.079206   0.079808   0.080419   0.081038  0.081665     28.63    29.07
GS Finance Corp.         40054LGG3 06/30/17 06/30/25    100.000     0.000     3.0999    113.77   0.095895   0.097381   0.098891   0.100423  0.101980     34.79    35.88
GS Finance Corp.         40054LH23 07/31/17 07/31/24    100.000     0.000     2.9499    105.34   0.089467   0.090787   0.092126   0.093485  0.094864     32.85    33.82
GS Finance Corp.         40054LH31 07/31/17 05/01/23    100.000     0.000     2.6501     94.25   0.080198   0.081261   0.082337   0.083428  0.084534     29.19    29.97
GS Finance Corp.         40054LHH0 07/28/17 07/28/23    100.000     0.000     2.7502     98.08   0.082917   0.084057   0.085213   0.086385  0.087573     30.41    31.25
GS Finance Corp.         40054LHJ6 07/28/17 07/30/25    100.000     0.000     3.0997    111.12   0.094441   0.095905   0.097391   0.098900  0.100433     34.71    35.79
GS Finance Corp.         40054LJ39 07/31/17 08/09/24    100.000     0.000     2.9498    105.34   0.089527   0.090848   0.092188   0.093547  0.094927     32.85    33.82
GS Finance Corp.         40054LJ47 07/31/17 08/09/24    100.000     0.000     2.9498    105.34   0.089527   0.090848   0.092188   0.093547  0.094927     32.85    33.82
GS Finance Corp.         40054LJ54 07/31/17 08/09/27    100.000     0.000     3.3497    120.33   0.102886   0.104609   0.106361   0.108142  0.109954     37.84    39.12
GS Finance Corp.         40054LJA3 07/31/17 08/09/24    100.000     0.000     2.9498    105.34   0.089527   0.090848   0.092188   0.093547  0.094927     32.85    33.82
GS Finance Corp.         40054LJJ4 07/31/17 07/31/24    100.000     0.000     2.9499    105.34   0.089467   0.090787   0.092126   0.093485  0.094864     32.85    33.82
GS Finance Corp.         40054LJP0 07/31/17 07/31/24    100.000     0.000     2.9499    105.34   0.089467   0.090787   0.092126   0.093485  0.094864     32.85    33.82
GS Finance Corp.         40054LKQ6 07/31/17 07/26/23    100.000     1.250     2.7589     96.46   0.080201   0.080828   0.081464   0.082109  0.082763     29.18    29.64
GS Finance Corp.         40054LKV5 07/28/17 07/28/25    100.000     0.000     3.1002    111.13   0.094441   0.095905   0.097392   0.098902  0.100435     34.71    35.80
GS Finance Corp.         40054LL85 07/27/17 04/29/21    100.000     0.000     2.2251     78.83   0.066426                                                 7.84         
GS Finance Corp.         40054LLF9 07/28/17 07/30/24    100.000     0.000     2.9497    105.51   0.089474   0.090793   0.092132   0.093491  0.094870     32.85    33.83
GS Finance Corp.         40054LLJ1 07/31/17 08/09/24    100.000     0.000     2.9498    105.34   0.089527   0.090848   0.092188   0.093547  0.094927     32.85    33.82
GS Finance Corp.         40054LLU6 08/16/17 08/26/24    100.000     0.000     2.9499    103.91   0.089538   0.090859   0.092199   0.093559  0.094939     32.80    33.78
GS Finance Corp.         40054LME1 08/30/17 08/28/25    100.000     0.000     3.0491    106.25   0.092730   0.094143   0.095579   0.097036  0.098515     33.99    35.03
GS Finance Corp.         40054LMF8 08/30/17 08/30/23    100.000     0.000     2.7001     93.62   0.081285   0.082371   0.083495   0.084610  0.085765     29.73    30.54
GS Finance Corp.         40054LMZ4 08/31/17 09/03/24    100.000     0.000     2.9002    100.85   0.087850   0.089124   0.090417   0.091728  0.093058     32.16    33.10
GS Finance Corp.         40054LN26 08/31/17 06/02/23    100.000     0.000     2.6505     91.85   0.080216   0.081279   0.082356   0.083448  0.084554     29.13    29.91
GS Finance Corp.         40054LN34 08/31/17 09/12/24    100.000     0.000     2.8996    100.84   0.087896   0.089170   0.090463   0.091775  0.093105     32.15    33.09
GS Finance Corp.         40054LN59 08/31/17 09/12/24    100.000     0.000     2.8996    100.84   0.087896   0.089170   0.090463   0.091775  0.093105     32.15    33.09
GS Finance Corp.         40054LN67 08/31/17 09/14/27    100.000     0.000     2.9002    100.86   0.087929   0.089204   0.090498   0.091810  0.093141     32.16    33.10
GS Finance Corp.         40054LN75 08/31/17 08/28/23    100.000     1.250     2.7089     92.28   0.078624   0.079218   0.079821   0.080432  0.081051     28.56    29.00
GS Finance Corp.         40054LNK6 08/31/17 09/03/24    100.000     0.000     2.9002    100.85   0.087850   0.089124   0.090417   0.091728  0.093058     32.16    33.10
GS Finance Corp.         40054LNL4 08/31/17 09/03/24    100.000     0.000     2.9002    100.85   0.087850   0.089124   0.090417   0.091728  0.093058     32.16    33.10
GS Finance Corp.         40054LQJ6 09/05/17 09/02/21    100.000     0.000     2.2497     77.17   0.066818   0.067570                                     16.24         
GS Finance Corp.         40054LQQ0 09/15/17 09/26/24    100.000     0.000     2.8003     95.98   0.084627   0.085812   0.087013   0.088231  0.089467     30.91    31.78
GS Finance Corp.         40054LQS6 09/15/17 06/15/23    100.000     0.000     2.5996     88.84   0.078534   0.079555   0.080589   0.081637  0.082698     28.49    29.23
GS Finance Corp.         40054LQU1 09/28/17 09/30/25    100.000     0.000     3.1000    105.46   0.094451   0.095915   0.097402   0.098911  0.100444     34.53    35.61
GS Finance Corp.         40054LQZ0 09/28/17 09/28/23    100.000     0.000     2.7500     93.10   0.082912   0.084053   0.085208   0.086380  0.087568     30.27    31.11
GS Finance Corp.         40054LR89 09/29/17 10/10/24    100.000     0.000     2.9500    100.07   0.089549   0.090870   0.092210   0.093571  0.094951     32.69    33.66
GS Finance Corp.         40054LR97 09/29/17 10/10/24    100.000     0.000     2.9500    100.07   0.089549   0.090870   0.092210   0.093571  0.094951     32.69    33.66
GS Finance Corp.         40054LRA4 09/29/17 10/10/24    100.000     0.000     2.9500    100.07   0.089549   0.090870   0.092210   0.093571  0.094951     32.69    33.66
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40054LRB2 09/29/17 10/12/27    100.000     0.000     3.3500    114.27   0.102934   0.104658   0.106411   0.108194  0.110006     37.64    38.91
GS Finance Corp.         40054LRL0 09/28/17 10/11/22    100.000     0.000     2.5499     86.09   0.076495   0.077471   0.078458   0.079459               27.87    22.15
GS Finance Corp.         40054LS21 09/29/17 10/01/24    100.000     0.000     2.9500    100.06   0.089485   0.090805   0.092145   0.093504  0.094883     32.69    33.66
GS Finance Corp.         40054LS39 09/29/17 06/29/23    100.000     0.000     2.6502     89.52   0.080195   0.081257   0.082334   0.083425  0.084530     29.07    29.84
GS Finance Corp.         40054LS47 09/29/17 10/01/24    100.000     0.000     2.9500    100.06   0.089485   0.090805   0.092145   0.093504  0.094883     32.69    33.66
GS Finance Corp.         40054LSS4 09/29/17 09/26/24    100.000     1.500     2.9596     98.34   0.085926   0.086581   0.087246   0.087920  0.088605     31.18    31.66
GS Finance Corp.         40054LST2 09/29/17 09/29/22    100.000     0.000     2.5498     86.01   0.076422   0.077397   0.078383   0.079383               27.87    21.19
GS Finance Corp.         40054LSU9 09/29/17 10/01/24    100.000     0.000     2.9500    100.06   0.089485   0.090805   0.092145   0.093504  0.094883     32.69    33.66
GS Finance Corp.         40054LSV7 09/13/17 09/12/24    100.000     0.000     2.8499     97.91   0.086171   0.087399   0.088644   0.089907  0.091188     31.51    32.42
GS Finance Corp.         40054LSZ8 09/20/17 09/22/25    100.000     0.000     3.0502    104.44   0.092798   0.094213   0.095650   0.097109  0.098590     33.94    34.99
GS Finance Corp.         40054LTA2 09/29/17 09/30/24    100.000     0.000     2.9501    100.06   0.089478   0.090798   0.092137   0.093496  0.094876     32.69    33.66
GS Finance Corp.         40054LTJ3 09/29/17 12/29/21    100.000     0.000     2.3500     79.05   0.070430   0.071257                                     25.36         
GS Finance Corp.         40054LTR5 09/25/17 09/25/23    100.000     0.000     2.7000     91.59   0.081285   0.082383   0.083495   0.084622  0.085765     29.67    30.48
GS Finance Corp.         40054LUA0 10/13/17 10/25/24    100.000     0.000     2.9399     98.46   0.089223   0.090534   0.091865   0.093215  0.094586     32.53    33.49
GS Finance Corp.         40054LUF9 10/30/17 10/30/25    100.000     0.000     3.1001    102.44   0.094438   0.095902   0.097388   0.098898  0.100431     34.44    35.52
GS Finance Corp.         40054LUG7 10/30/17 10/30/24    100.000     0.000     3.0002     99.01   0.091126   0.092493   0.093880   0.095289  0.096718     33.22    34.22
GS Finance Corp.         40054LUM4 09/29/17 03/31/23    100.000     0.000     2.6512     89.55   0.079705   0.080762   0.081832   0.082917  0.084016     29.08    29.85
GS Finance Corp.         40054LUT9 10/31/17 07/31/23    100.000     0.000     2.7496     90.45   0.082335   0.083467   0.084615   0.085778  0.086957     30.19    31.02
GS Finance Corp.         40054LUU6 10/31/17 10/31/24    100.000     0.000     2.9999     99.00   0.091118   0.092485   0.093872   0.095280  0.096709     33.22    34.22
GS Finance Corp.         40054LV76 10/31/17 11/12/24    100.000     0.000     3.0000     99.01   0.091212   0.092581   0.093969   0.095379  0.096810     33.22    34.22
GS Finance Corp.         40054LV84 10/31/17 11/12/24    100.000     0.000     3.0000     99.01   0.091212   0.092581   0.093969   0.095379  0.096810     33.22    34.22
GS Finance Corp.         40054LV92 10/31/17 11/12/24    100.000     0.000     3.0000     99.01   0.091212   0.092581   0.093969   0.095379  0.096810     33.22    34.22
GS Finance Corp.         40054LVA9 10/31/17 11/09/27    100.000     0.000     3.3500    111.08   0.102893   0.104617   0.106369   0.108151  0.109962     37.53    38.80
GS Finance Corp.         40054LVS0 10/31/17 10/31/24    100.000     0.000     2.9999     99.00   0.091118   0.092485   0.093872   0.095280  0.096709     33.22    34.22
GS Finance Corp.         40054LVX9 10/31/17 10/31/22    100.000     0.000     2.6001     85.34   0.078045   0.079059   0.080087   0.081128               28.40    24.13
GS Finance Corp.         40054LW67 10/30/17 11/08/22    100.000     0.000     2.6000     85.34   0.078086   0.079101   0.080129   0.081171               28.40    24.79
GS Finance Corp.         40054LWV2 10/25/17 04/25/23    100.000     0.000     2.6502     87.44   0.079666   0.080721   0.081791   0.082875  0.083973     29.01    29.78
GS Finance Corp.         40054LXN9 10/31/17 10/31/24    100.000     0.000     2.9999     99.00   0.091118   0.092485   0.093872   0.095280  0.096709     33.22    34.22
GS Finance Corp.         40054LXR0 10/31/17 11/10/27    100.000     0.000     3.3499    111.08   0.102900   0.104624   0.106376   0.108158  0.109970     37.53    38.80
GS Finance Corp.         40054LXT6 10/31/17 11/12/24    100.000     0.000     3.0000     99.01   0.091212   0.092581   0.093969   0.095379  0.096810     33.22    34.22
GS Finance Corp.         40054LY57 11/09/17 05/11/23    100.000     0.000     2.5499     82.95   0.076436   0.077411   0.078398   0.079397  0.080410     27.79    28.50
GS Finance Corp.         40054LYD0 11/15/17 11/25/24    100.000     0.000     2.9499     95.94   0.089538   0.090859   0.092199   0.093559  0.094939     32.57    33.54
GS Finance Corp.         40054LZ72 11/30/17 12/03/24    100.000     0.000     2.9998     96.26   0.091138   0.092505   0.093892   0.095301  0.096730     33.13    34.13
GS Finance Corp.         40054LZ80 11/30/17 12/03/24    100.000     0.000     2.9998     96.26   0.091138   0.092505   0.093892   0.095301  0.096730     33.13    34.13
GS Finance Corp.         40054LZ98 11/30/17 12/03/24    100.000     0.000     2.9998     96.26   0.091138   0.092505   0.093892   0.095301  0.096730     33.13    34.13
GS Finance Corp.         40054LZB3 11/30/17 08/31/23    100.000     0.000     2.7995     89.63   0.083945   0.085107   0.086312   0.087507  0.088745     30.72    31.58
GS Finance Corp.         40054LZC1 11/30/17 12/03/24    100.000     0.000     2.9998     96.26   0.091138   0.092505   0.093892   0.095301  0.096730     33.13    34.13
GS Finance Corp.         40054LZE7 11/30/17 12/03/25    100.000     0.000     3.1001     99.61   0.094462   0.095927   0.097413   0.098923  0.100457     34.35    35.43
GS Finance Corp.         40054LZS6 11/30/17 12/12/24    100.000     0.000     2.9999     96.27   0.091208   0.092577   0.093965   0.095375  0.096805     33.13    34.14
GS Finance Corp.         40054LZT4 11/30/17 12/12/24    100.000     0.000     2.9999     96.27   0.091208   0.092577   0.093965   0.095375  0.096805     33.13    34.14
GS Finance Corp.         40054LZU1 11/30/17 12/12/24    100.000     0.000     2.9999     96.27   0.091208   0.092577   0.093965   0.095375  0.096805     33.13    34.14
GS Finance Corp.         40054LZV9 11/30/17 12/13/27    100.000     0.000     3.3000    106.31   0.101245   0.102915   0.104613   0.106339  0.108094     36.81    38.03
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055A2P1 11/10/17 11/10/21    100.000     0.000     2.4000     77.85   0.071613   0.072472                                     22.28         
GS Finance Corp.         40055A2Z9 11/30/17 12/12/22    100.000     0.000     2.6499     84.65   0.079729   0.080785   0.081856   0.082940               28.93    28.11
GS Finance Corp.         40055A3B1 11/30/17 05/31/23    100.000     0.000     2.7000     86.30   0.081283   0.082381   0.083493   0.084620  0.085762     29.53    30.33
GS Finance Corp.         40055A3G0 12/05/17 12/05/22    100.000     0.000     2.6501     84.25   0.079663   0.080718   0.081788   0.082872               28.92    27.51
GS Finance Corp.         40055A3P0 11/30/17 05/31/23    100.000     0.000     2.7499     87.95   0.082907   0.084047   0.085202   0.086374  0.087561     30.12    30.96
GS Finance Corp.         40055A3U9 11/22/17 05/31/23    100.000     0.000     2.7513     88.67   0.083004   0.084146   0.085303   0.086477  0.087666     30.16    30.99
GS Finance Corp.         40055A4B0 11/27/17 05/27/25    100.000     0.000     3.1501    101.57   0.096104   0.097618   0.099156   0.100717  0.102304     34.97    36.08
GS Finance Corp.         40055A4C8 11/30/17 12/12/24    100.000     0.000     2.9999     96.27   0.091208   0.092577   0.093965   0.095375  0.096805     33.13    34.14
GS Finance Corp.         40055A4D6 11/30/17 12/13/27    100.000     0.000     3.3000    106.31   0.101245   0.102915   0.104613   0.106339  0.108094     36.81    38.03
GS Finance Corp.         40055A4K0 11/27/17 11/24/25    100.000     0.000     3.2000    103.25   0.097745   0.099309   0.100898   0.102513  0.104153     35.59    36.73
GS Finance Corp.         40055A4N4 11/24/17 11/26/21    100.000     0.000     2.5000     80.15   0.074829   0.075764                                     24.49         
GS Finance Corp.         40055A5G8 12/26/17 12/26/24    100.000     0.000     3.0002     93.90   0.091126   0.092493   0.093880   0.095289  0.096718     33.07    34.06
GS Finance Corp.         40055A5H6 12/26/17 12/26/24    100.000     0.000     3.0002     93.90   0.091126   0.092493   0.093880   0.095289  0.096718     33.07    34.06
GS Finance Corp.         40055A5L7 12/26/17 01/07/25    100.000     0.000     2.9999     93.90   0.089854   0.091202   0.092570   0.093958  0.095368     33.06    34.06
GS Finance Corp.         40055A5T0 12/13/17 12/23/24    100.000     0.000     3.0499     96.73   0.092852   0.094268   0.095705   0.097165  0.098646     33.70    34.74
GS Finance Corp.         40055A5W3 12/26/17 12/26/24    100.000     0.000     3.0002     93.90   0.091126   0.092493   0.093880   0.095289  0.096718     33.07    34.06
GS Finance Corp.         40055A6F9 12/27/17 01/08/25    100.000     0.000     2.9998     93.81   0.089850   0.091198   0.092566   0.093954  0.095364     33.06    34.06
GS Finance Corp.         40055A6H5 12/27/17 01/08/25    100.000     0.000     2.9998     93.81   0.089850   0.091198   0.092566   0.093954  0.095364     33.06    34.06
GS Finance Corp.         40055A6J1 12/27/17 01/04/28    100.000     0.000     3.2999    103.58   0.099545   0.101187   0.102857   0.104554  0.106279     36.72    37.94
GS Finance Corp.         40055A6K8 12/27/17 01/08/25    100.000     0.000     2.9998     93.81   0.089850   0.091198   0.092566   0.093954  0.095364     33.06    34.06
GS Finance Corp.         40055A7J0 12/26/17 01/05/23    100.000     0.000     2.6999     84.19   0.080252   0.081335   0.082433   0.083546  0.084674     29.47    30.27
GS Finance Corp.         40055AAD9 01/03/18 01/03/23    100.000     0.000     2.6999     83.62   0.080199   0.081282   0.082379   0.083491  0.084618     29.45    30.26
GS Finance Corp.         40055ABF3 12/19/17 06/19/25    100.000     0.000     3.1000     97.81   0.094435   0.095899   0.097386   0.098895  0.100428     34.30    35.37
GS Finance Corp.         40055AC54 01/31/18 01/30/25    100.000     0.000     3.4101    103.77   0.103079   0.104837   0.106624   0.108442  0.110291     37.96    39.27
GS Finance Corp.         40055AC62 01/31/18 02/11/25    100.000     0.000     3.4199    104.10   0.103508   0.105278   0.107078   0.108909  0.110772     38.08    39.39
GS Finance Corp.         40055AC70 01/31/18 02/11/25    100.000     0.000     3.4199    104.10   0.103508   0.105278   0.107078   0.108909  0.110772     38.08    39.39
GS Finance Corp.         40055AC88 01/31/18 01/30/25    100.000     0.000     3.4101    103.77   0.103079   0.104837   0.106624   0.108442  0.110291     37.96    39.27
GS Finance Corp.         40055ACE5 01/18/18 01/29/25    100.000     0.000     3.3498    103.09   0.101212   0.102908   0.104631   0.106384  0.108166     37.26    38.52
GS Finance Corp.         40055ACF2 01/18/18 01/29/25    100.000     0.000     3.3498    103.09   0.101212   0.102908   0.104631   0.106384  0.108166     37.26    38.52
GS Finance Corp.         40055ACK1 01/31/18 10/31/23    100.000     0.000     3.2433     98.55   0.098429   0.100025   0.101647   0.103296  0.104971     35.92    37.09
GS Finance Corp.         40055ACL9 01/31/18 01/30/25    100.000     0.000     3.3896    103.13   0.102410   0.104146   0.105911   0.107706  0.109531     37.71    39.00
GS Finance Corp.         40055ACW5 01/30/18 01/29/26    100.000     0.000     3.4733    105.78   0.105145   0.106972   0.108829   0.110719  0.112642     38.74    40.10
GS Finance Corp.         40055AD20 01/30/18 02/08/23    100.000     0.000     3.1499     95.56   0.094676   0.096167   0.097681   0.099220  0.100782     34.78    35.89
GS Finance Corp.         40055ADC8 01/31/18 02/11/25    100.000     0.000     3.4199    104.10   0.103508   0.105278   0.107078   0.108909  0.110772     38.08    39.39
GS Finance Corp.         40055ADD6 01/31/18 02/11/25    100.000     0.000     3.4199    104.10   0.103508   0.105278   0.107078   0.108909  0.110772     38.08    39.39
GS Finance Corp.         40055ADF1 01/31/18 02/11/25    100.000     0.000     3.4199    104.10   0.103508   0.105278   0.107078   0.108909  0.110772     38.08    39.39
GS Finance Corp.         40055ADG9 01/31/18 02/11/28    100.000     0.000     3.6599    111.73   0.111438   0.113477   0.115554   0.117669  0.119822     41.06    42.58
GS Finance Corp.         40055ADK0 01/31/18 02/11/25    100.000     0.000     3.4199    104.10   0.103508   0.105278   0.107078   0.108909  0.110772     38.08    39.39
GS Finance Corp.         40055ADU8 02/05/18 02/03/23    100.000     0.000     3.2054     96.82   0.096389   0.097933   0.099503   0.101098  0.102718     35.44    36.58
GS Finance Corp.         40055AE78 02/05/18 02/03/23    100.000     0.000     3.2054     96.82   0.096389   0.097933   0.099503   0.101098  0.102718     35.44    36.58
GS Finance Corp.         40055AES2 01/29/18 02/07/25    100.000     0.000     3.4299    104.52   0.103809   0.105589   0.107400   0.109242  0.111115     38.21    39.53
GS Finance Corp.         40055AF51 01/31/18 02/11/28    100.000     0.000     3.6599    111.73   0.111438   0.113477   0.115554   0.117669  0.119822     41.06    42.58
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055AGK7 02/16/18 02/28/25    100.000     0.000     3.6799    110.58   0.112113   0.114176   0.116277   0.118416  0.120595     41.24    42.78
GS Finance Corp.         40055AGL5 02/16/18 02/28/25    100.000     0.000     3.6799    110.58   0.112113   0.114176   0.116277   0.118416  0.120595     41.24    42.78
GS Finance Corp.         40055AGZ4 01/31/18 02/12/25    100.000     0.000     3.4499    105.05   0.104506   0.106308   0.108142   0.110007  0.111905     38.45    39.79
GS Finance Corp.         40055AHD2 02/28/18 03/11/25    100.000     0.000     3.6869    109.45   0.112359   0.114430   0.116539   0.118688  0.120876     41.28    42.82
GS Finance Corp.         40055AHE0 02/28/18 02/27/25    100.000     0.000     3.6753    109.08   0.111812   0.113867   0.115960   0.118090  0.120261     41.14    42.66
GS Finance Corp.         40055AHF7 02/28/18 02/27/25    100.000     0.000     3.6753    109.08   0.111812   0.113867   0.115960   0.118090  0.120261     41.14    42.66
GS Finance Corp.         40055AHG5 02/28/18 02/27/25    100.000     0.000     3.7053    110.01   0.112807   0.114897   0.117026   0.119194  0.121402     41.51    43.06
GS Finance Corp.         40055AHH3 02/28/18 03/11/25    100.000     0.000     3.6869    109.45   0.112359   0.114430   0.116539   0.118688  0.120876     41.28    42.82
GS Finance Corp.         40055AHJ9 02/28/18 03/11/25    100.000     0.000     3.6869    109.45   0.112359   0.114430   0.116539   0.118688  0.120876     41.28    42.82
GS Finance Corp.         40055AHK6 02/28/18 03/10/28    100.000     0.000     3.9678    118.18   0.121752   0.124168   0.126631   0.129143  0.131705     44.81    46.60
GS Finance Corp.         40055AHL4 02/28/18 03/11/25    100.000     0.000     3.6869    109.45   0.112359   0.114430   0.116539   0.118688  0.120876     41.28    42.82
GS Finance Corp.         40055AHM2 02/28/18 03/11/25    100.000     0.000     3.6869    109.45   0.112359   0.114430   0.116539   0.118688  0.120876     41.28    42.82
GS Finance Corp.         40055AHN0 02/28/18 11/29/23    100.000     0.000     3.5414    104.97   0.108357   0.110276   0.112229   0.114216  0.116238     39.48    40.89
Goldman Sachs Group, Inc 40055AHP5 03/05/18 03/03/23    100.000     0.000     3.4453    101.25   0.104216   0.106012   0.107838   0.109696  0.111585     38.27    39.60
GS Finance Corp.         40055AHU4 02/28/18 03/11/25    100.000     0.000     3.6869    109.45   0.112359   0.114430   0.116539   0.118688  0.120876     41.28    42.82
Goldman Sachs Group, Inc 40055AJF5 03/05/18 03/03/23    100.000     0.000     3.4453    101.25   0.104216   0.106012   0.107838   0.109696  0.111585     38.27    39.60
GS Finance Corp.         40055AJG3 02/22/18 06/22/26    100.000     0.000     3.8739    115.96   0.119970   0.122294   0.124662   0.127077  0.129538     43.65    45.36
GS Finance Corp.         40055AJN8 02/27/18 03/08/23    100.000     0.000     3.4252    101.47   0.103684   0.105460   0.107266   0.109103  0.110971     38.05    39.37
GS Finance Corp.         40055AJS7 02/28/18 08/31/23    100.000     0.000     3.4583    102.37   0.104680   0.106470   0.108332   0.110184  0.112110     38.45    39.79
GS Finance Corp.         40055AJY4 02/27/18 02/26/26    100.000     0.000     3.8056    113.23   0.116145   0.118355   0.120607   0.122902  0.125241     42.77    44.41
GS Finance Corp.         40055AK89 02/27/18 02/27/25    100.000     0.000     3.7200    110.58   0.113308   0.115415   0.117562   0.119749  0.121976     41.70    43.26
GS Finance Corp.         40055AKQ9 02/28/18 03/10/28    100.000     0.000     3.9678    118.18   0.121752   0.124168   0.126631   0.129143  0.131705     44.81    46.60
GS Finance Corp.         40055AL21 02/14/18 02/14/23    100.000     0.000     3.3099     99.21   0.099806   0.101457   0.103137   0.104843  0.106578     36.68    37.91
GS Finance Corp.         40055ALA3 02/20/18 02/20/25    100.000     0.000     3.7500    112.31   0.114305   0.116449   0.118632   0.120856  0.123122     42.10    43.70
GS Finance Corp.         40055ALY1 02/28/18 08/28/25    100.000     0.000     3.7368    110.98   0.113868   0.115995   0.118162   0.120370  0.122619     41.90    43.48
GS Finance Corp.         40055AMP9 02/26/18 03/05/25    100.000     0.000     3.7000    110.08   0.112748   0.114834   0.116959   0.119123  0.121326     41.45    43.00
GS Finance Corp.         40055AMU8 02/28/18 03/10/28    100.000     0.000     3.9678    118.18   0.121752   0.124168   0.126631   0.129143  0.131705     44.81    46.60
GS Finance Corp.         40055AMV6 02/28/18 03/10/28    100.000     0.000     3.9678    118.18   0.121752   0.124168   0.126631   0.129143  0.131705     44.81    46.60
GS Finance Corp.         40055AMX2 02/28/18 03/10/28    100.000     0.000     3.9678    118.18   0.121752   0.124168   0.126631   0.129143  0.131705     44.81    46.60
GS Finance Corp.         40055ANA1 02/28/18 03/12/25    100.000     0.000     3.6670    108.84   0.111706   0.113755   0.115840   0.117964  0.120127     41.03    42.55
GS Finance Corp.         40055ANE3 03/16/18 03/27/25    100.000     0.000     3.8098    111.17   0.116436   0.118654   0.120914   0.123217  0.125564     42.74    44.38
GS Finance Corp.         40055ANF0 03/16/18 03/27/25    100.000     0.000     3.8098    111.17   0.116436   0.118654   0.120914   0.123217  0.125564     42.74    44.38
GS Finance Corp.         40055ANM5 03/16/18 03/27/25    100.000     0.000     3.8098    111.17   0.116436   0.118654   0.120914   0.123217  0.125564     42.74    44.38
GS Finance Corp.         40055APD3 03/29/18 03/30/23    100.000     0.000     3.6000    103.36   0.109340   0.111308   0.113311   0.115351  0.117427     40.08    41.53
GS Finance Corp.         40055APE1 03/29/18 10/01/25    100.000     0.000     3.9000    112.36   0.119343   0.121670   0.124043   0.126462  0.128928     43.81    45.53
GS Finance Corp.         40055APF8 03/29/18 12/31/24    100.000     0.000     3.8275    110.18   0.118022   0.120280   0.122582   0.124928  0.127319     42.90    44.56
GS Finance Corp.         40055APG6 04/05/18 04/17/23    100.000     0.000     3.4899     99.45   0.105824   0.107671   0.109550   0.111461  0.113406     38.70    40.07
GS Finance Corp.         40055APL5 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055APM3 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055APN1 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055APP6 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055APR2 03/29/18 04/10/28    100.000     0.000     4.0900    118.10   0.125871   0.128445   0.131071   0.133752  0.136487     46.20    48.11
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055APU5 03/29/18 10/10/25    100.000     0.000     3.9000    112.37   0.119459   0.121788   0.124163   0.126584  0.129053     43.81    45.53
GS Finance Corp.         40055APV3 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055AQA8 03/28/18 03/27/25    100.000     0.000     3.8492    110.94   0.117602   0.119865   0.122172   0.124524  0.126920     43.17    44.85
GS Finance Corp.         40055AQB6 03/28/18 03/26/26    100.000     0.000     3.9333    113.48   0.120407   0.122775   0.125190   0.127652  0.130163     44.23    45.98
GS Finance Corp.         40055AQE0 03/29/18 03/31/25    100.000     0.000     3.8700    111.45   0.118325   0.120615   0.122949   0.125328  0.127753     43.43    45.13
GS Finance Corp.         40055AQK6 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055AQM2 03/29/18 04/09/25    100.000     0.000     3.8700    111.46   0.118438   0.120729   0.123066   0.125447  0.127874     43.43    45.13
GS Finance Corp.         40055AQP5 03/29/18 04/10/28    100.000     0.000     4.0900    118.10   0.125871   0.128445   0.131071   0.133752  0.136487     46.20    48.11
GS Finance Corp.         40055AQZ3 03/14/18 03/25/25    100.000     0.000     3.7899    110.79   0.115770   0.117964   0.120199   0.122477  0.124798     42.50    44.12
GS Finance Corp.         40055AR25 03/14/18 03/25/25    100.000     0.000     3.7899    110.79   0.115770   0.117964   0.120199   0.122477  0.124798     42.50    44.12
GS Finance Corp.         40055ARE9 04/02/18 03/31/23    100.000     0.000     3.5367    101.15   0.107219   0.109115   0.111045   0.113008  0.115007     39.29    40.69
GS Finance Corp.         40055ARR0 03/21/18 03/20/25    100.000     0.000     3.7991    110.25   0.115930   0.118133   0.120377   0.122663  0.124993     42.58    44.21
GS Finance Corp.         40055ART6 03/21/18 03/21/24    100.000     0.000     3.6850    106.80   0.112145   0.114211   0.116315   0.118459  0.120641     41.16    42.69
GS Finance Corp.         40055ARV1 03/21/18 03/20/25    100.000     0.000     3.7991    110.25   0.115930   0.118133   0.120377   0.122663  0.124993     42.58    44.21
GS Finance Corp.         40055ARW9 03/29/18 04/10/28    100.000     0.000     4.0900    118.10   0.125871   0.128445   0.131071   0.133752  0.136487     46.20    48.11
GS Finance Corp.         40055ATH0 04/17/18 04/28/25    100.000     0.000     3.7800    106.68   0.115439   0.117621   0.119844   0.122109  0.124417     42.23    43.84
GS Finance Corp.         40055ATJ6 04/17/18 04/28/25    100.000     0.000     3.7800    106.68   0.115439   0.117621   0.119844   0.122109  0.124417     42.23    43.84
GS Finance Corp.         40055ATK3 04/17/18 04/28/25    100.000     0.000     3.7800    106.68   0.115439   0.117621   0.119844   0.122109  0.124417     42.23    43.84
GS Finance Corp.         40055ATU1 04/02/18 10/03/24    100.000     0.000     3.7376    107.13   0.113903   0.116032   0.118200   0.120409  0.122659     41.77    43.34
GS Finance Corp.         40055ATX5 04/30/18 04/30/25    100.000     0.000     4.0400    112.73   0.124026   0.126531   0.129087   0.131694  0.134355     45.41    47.26
GS Finance Corp.         40055AU21 03/29/18 03/31/21    100.000     0.000     3.2700     93.53   0.098516                                                 8.77         
GS Finance Corp.         40055AU39 04/30/18 05/09/25    100.000     0.000     4.0400    112.74   0.124149   0.126656   0.129215   0.131825  0.134488     45.41    47.26
GS Finance Corp.         40055AU47 04/30/18 05/09/25    100.000     0.000     4.0400    112.74   0.124149   0.126656   0.129215   0.131825  0.134488     45.41    47.26
GS Finance Corp.         40055AU54 04/30/18 05/09/28    100.000     0.000     4.3200    120.92   0.133676   0.136563   0.139513   0.142526  0.145605     48.95    51.08
GS Finance Corp.         40055AU88 04/30/18 05/09/25    100.000     0.000     4.0400    112.74   0.124149   0.126656   0.129215   0.131825  0.134488     45.41    47.26
GS Finance Corp.         40055AUA3 04/30/18 05/09/25    100.000     0.000     4.0400    112.74   0.124149   0.126656   0.129215   0.131825  0.134488     45.41    47.26
GS Finance Corp.         40055AUB1 04/30/18 05/09/25    100.000     0.000     4.0400    112.74   0.124149   0.126656   0.129215   0.131825  0.134488     45.41    47.26
GS Finance Corp.         40055AUC9 04/30/18 05/09/28    100.000     0.000     4.3200    120.92   0.133676   0.136563   0.139513   0.142526  0.145605     48.95    51.08
GS Finance Corp.         40055AUD7 04/30/18 05/09/25*   100.000     0.000     4.0400    112.74   0.124149   0.126656                                     16.02*        
GS Finance Corp.         40055AUP0 04/30/18 11/10/25    100.000     0.000     4.0867    114.10   0.125743   0.128313   0.130935   0.133610  0.136340     45.99    47.89
GS Finance Corp.         40055AUQ8 04/30/18 11/10/25    100.000     0.000     4.0867    114.10   0.125743   0.128313   0.130935   0.133610  0.136340     45.99    47.89
GS Finance Corp.         40055AV79 04/03/18 04/01/21    100.000     0.000     3.1404     89.31   0.094284                                                 8.49         
GS Finance Corp.         40055AVN4 04/30/18 01/30/23    100.000     0.000     3.6788    102.27   0.110928   0.112969   0.115047   0.117163  0.119318     40.92    42.44
GS Finance Corp.         40055AVQ7 04/30/18 01/30/25    100.000     0.000     4.0014    111.64   0.121518   0.123949   0.126429   0.128958  0.131538     44.93    46.74
GS Finance Corp.         40055AVR5 04/30/18 10/30/25    100.000     0.000     4.0867    114.09   0.125600   0.128166   0.130785   0.133458  0.136185     45.99    47.89
GS Finance Corp.         40055AW37 04/27/18 04/29/26    100.000     0.000     4.0867    114.47   0.125628   0.128195   0.130815   0.133488  0.136215     46.01    47.91
GS Finance Corp.         40055AW45 04/27/18 04/29/24    100.000     0.000     3.8501    107.56   0.117669   0.119934   0.122243   0.124596  0.126995     43.05    44.73
GS Finance Corp.         40055AW52 04/30/18 10/31/23    100.000     0.000     3.7750    105.03   0.115137   0.117310   0.119524   0.121780  0.124079     42.11    43.71
GS Finance Corp.         40055AWC7 05/07/18 05/16/23    100.000     0.000     3.7100    102.36   0.113080   0.115177   0.117314   0.119490  0.121706     41.28    42.82
GS Finance Corp.         40055AWD5 04/30/18 05/09/28    100.000     0.000     4.3200    120.92   0.133676   0.136563   0.139513   0.142526  0.145605     48.95    51.08
GS Finance Corp.         40055AWP8 05/03/18 05/04/23    100.000     0.000     3.6800    101.94   0.111991   0.114051   0.116150   0.118287  0.120463     40.92    42.44
GS Finance Corp.         40055AWU7 05/03/18 05/04/23    100.000     0.000     3.6800    101.94   0.111991   0.114051   0.116150   0.118287  0.120463     40.92    42.44
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055AXA0 04/11/18 04/09/21    100.000     0.000     3.1014     87.42   0.093026                                                 9.12         
GS Finance Corp.         40055AXU6 04/18/18 04/15/21    100.000     0.000     3.1207     87.33   0.093641                                                 9.74         
GS Finance Corp.         40055AYK7 04/26/18 05/07/25    100.000     0.000     3.9700    111.18   0.121813   0.124231   0.126697   0.129212  0.131777     44.55    46.34
GS Finance Corp.         40055AYL5 04/26/18 05/07/25*   100.000     0.000     3.9700    111.18   0.121813                                                15.35*        
GS Finance Corp.         40055AYR2 04/26/18 10/28/25    100.000     0.000     4.0117    112.40   0.123098   0.125567   0.128086   0.130655  0.133276     45.07    46.90
GS Finance Corp.         40055AYT8 05/17/18 05/29/25    100.000     0.000     3.9900    109.20   0.122503   0.124947   0.127439   0.129982  0.132575     44.70    46.50
GS Finance Corp.         40055AYU5 05/17/18 05/29/25    100.000     0.000     3.9900    109.20   0.122503   0.124947   0.127439   0.129982  0.132575     44.70    46.50
GS Finance Corp.         40055AYW1 05/17/18 05/29/25    100.000     0.000     3.9900    109.20   0.122503   0.124947   0.127439   0.129982  0.132575     44.70    46.50
GS Finance Corp.         40055AZ67 05/09/18 05/08/25    100.000     0.000     3.9777    109.82   0.121913   0.124337   0.126810   0.129332  0.131904     44.58    46.38
GS Finance Corp.         40055AZG5 05/02/18 05/15/28    100.000     0.000     4.2400    118.32   0.131002   0.133780   0.136616   0.139512  0.142470     47.92    49.97
GS Finance Corp.         40055AZL4 05/30/18 05/30/25    100.000     0.000     4.0099    108.16   0.123011   0.125477   0.127993   0.130559  0.133177     44.88    46.70
GS Finance Corp.         40055AZM2 05/30/18 05/30/25    100.000     0.000     4.0099    108.16   0.123011   0.125477   0.127993   0.130559  0.133177     44.88    46.70
GS Finance Corp.         40055AZP5 05/17/18 05/30/28*   100.000     0.000     4.2500    116.64   0.131344                                                19.31*        
GS Finance Corp.         40055AZX8 05/29/18 05/29/24    100.000     0.000     3.9300    106.04   0.120322   0.122687   0.125098   0.127556  0.130062     43.89    45.64
GS Finance Corp.         40055AZY6 05/29/18 05/29/26    100.000     0.000     4.1267    111.58   0.126955   0.129574   0.132248   0.134976  0.137761     46.34    48.28
GS Finance Corp.         40055Q2P6 05/25/18 05/30/23    100.000     0.000     3.7700    102.01   0.115031   0.117199   0.119408   0.121659  0.123952     41.94    43.53
GS Finance Corp.         40055Q2R2 05/04/18 05/02/24    100.000     1.450     3.8675    105.91   0.114965   0.115631   0.117867   0.118588  0.120882     41.68    42.74
GS Finance Corp.         40055Q2V3 05/25/18 05/28/25    100.000     0.000     4.0600    110.20   0.124741   0.127273   0.129857   0.132493  0.135183     45.53    47.40
GS Finance Corp.         40055Q2W1 05/17/18 05/29/25*   100.000     0.000     3.9900    109.20   0.122503                                                18.01*        
GS Finance Corp.         40055Q2X9 05/17/18 05/29/25    100.000     0.000     3.9900    109.20   0.122503   0.124947   0.127439   0.129982  0.132575     44.70    46.50
GS Finance Corp.         40055Q3C4 05/30/18 02/27/25    100.000     0.000     3.9600    106.83   0.120112   0.122490   0.124916   0.127389  0.129911     44.26    46.03
GS Finance Corp.         40055Q3E0 05/30/18 03/01/23    100.000     0.000     3.6601     98.42   0.110329   0.112348   0.114404   0.116497  0.118629     40.57    42.07
GS Finance Corp.         40055Q3F7 05/30/18 05/30/28    100.000     0.000     4.3000    116.34   0.132849   0.135706   0.138623   0.141604  0.144648     48.52    50.63
GS Finance Corp.         40055Q3G5 05/30/18 06/10/25    100.000     0.000     4.0101    108.17   0.123151   0.125620   0.128139   0.130708  0.133329     44.88    46.70
GS Finance Corp.         40055Q3H3 05/30/18 06/10/25    100.000     0.000     4.0101    108.17   0.123151   0.125620   0.128139   0.130708  0.133329     44.88    46.70
GS Finance Corp.         40055Q3J9 05/30/18 06/08/28    100.000     0.000     4.3000    116.34   0.132976   0.135835   0.138755   0.141738  0.144786     48.52    50.63
GS Finance Corp.         40055Q3K6 05/30/18 06/10/25    100.000     0.000     4.0101    108.17   0.123151   0.125620   0.128139   0.130708  0.133329     44.88    46.70
GS Finance Corp.         40055Q3L4 05/30/18 06/10/25*   100.000     0.000     4.0101    108.17   0.123151                                                19.33*        
GS Finance Corp.         40055Q3M2 05/30/18 06/10/25    100.000     0.000     4.0101    108.17   0.123151   0.125620   0.128139   0.130708  0.133329     44.88    46.70
GS Finance Corp.         40055Q3N0 05/30/18 06/08/28*   100.000     0.000     4.3000    116.34   0.132976                                                20.88*        
GS Finance Corp.         40055Q3P5 05/30/18 06/10/25    100.000     0.000     4.0101    108.17   0.123151   0.125620   0.128139   0.130708  0.133329     44.88    46.70
GS Finance Corp.         40055Q3R1 05/30/18 11/28/25    100.000     0.000     4.0503    109.30   0.124345   0.126863   0.129433   0.132054  0.134728     45.39    47.24
GS Finance Corp.         40055Q3S9 05/30/18 06/08/28    100.000     0.000     4.3000    116.34   0.132976   0.135835   0.138755   0.141738  0.144786     48.52    50.63
GS Finance Corp.         40055Q3U4 05/30/18 12/11/25    100.000     0.000     4.0583    109.53   0.124798   0.127330   0.129914   0.132550  0.135240     45.49    47.35
GS Finance Corp.         40055Q3V2 05/30/18 06/12/28    100.000     0.000     4.3000    116.34   0.133039   0.135899   0.138821   0.141806  0.144855     48.52    50.63
GS Finance Corp.         40055Q4M1 05/30/18 06/10/25*   100.000     0.000     4.0101    108.17   0.123151                                                19.33*        
GS Finance Corp.         40055Q4W9 06/06/18 06/19/23*   100.000     0.000     3.7000     98.80   0.112793                                                18.72*        
GS Finance Corp.         40055Q5H1 06/05/18 06/05/23    100.000     0.000     3.6299     96.97   0.110320   0.112322   0.114360   0.116436  0.118549     40.18    41.65
GS Finance Corp.         40055Q5L2 06/05/18 06/05/23    100.000     0.000     3.6299     96.97   0.110320   0.112322   0.114360   0.116436  0.118549     40.18    41.65
GS Finance Corp.         40055Q6F4 05/29/18 06/07/23    100.000     0.000     3.7299    100.43   0.113732   0.115853   0.118014   0.120215  0.122457     41.43    42.99
GS Finance Corp.         40055Q6X5 05/25/18 11/25/26    100.000     0.000     4.2450    115.44   0.130974   0.133754   0.136593   0.139492  0.142453     47.85    49.91
GS Finance Corp.         40055QA28 05/31/18 06/12/25*   100.000     0.000     3.8600    103.96   0.118128   0.120408                                     19.38*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055QA51 05/24/18 06/05/25*   100.000     0.000     4.0800    110.89   0.125533   0.128094                                     19.59*        
GS Finance Corp.         40055QA69 05/24/18 08/26/25    100.000     0.000     4.1042    111.64   0.124951   0.127515   0.130132   0.132802  0.135527     46.09    48.00
GS Finance Corp.         40055QAB8 06/04/18 06/13/25    100.000     0.000     3.9400    105.72   0.120777   0.123156   0.125582   0.128056  0.130579     43.99    45.74
GS Finance Corp.         40055QAH5 05/31/18 05/27/21    100.000     0.000     3.2181     86.09   0.096793                                                14.13         
GS Finance Corp.         40055QAJ1 05/31/18 05/28/21    100.000     0.000     3.2182     86.09   0.096804                                                14.23         
GS Finance Corp.         40055QAK8 05/31/18 06/12/25*   100.000     0.000     3.8600    103.96   0.118128   0.120408                                     19.38*        
GS Finance Corp.         40055QAR3 06/15/18 06/26/25    100.000     0.000     4.0700    107.98   0.125192   0.127740   0.130339   0.132992  0.135698     45.55    47.43
GS Finance Corp.         40055QAS1 06/15/18 06/26/25*   100.000     0.000     4.0700    107.98   0.125192   0.127740                                     22.16*        
GS Finance Corp.         40055QAU6 06/15/18 06/26/25*   100.000     0.000     4.0700    107.98   0.125192   0.127740                                     22.16*        
GS Finance Corp.         40055QAV4 06/15/18 06/26/25    100.000     0.000     4.0700    107.98   0.125192   0.127740   0.130339   0.132992  0.135698     45.55    47.43
GS Finance Corp.         40055QAZ5 06/01/18 06/12/25*   100.000     0.000     3.8600    103.84   0.118116   0.120395                                     19.38*        
GS Finance Corp.         40055QB84 06/29/18 07/11/25    100.000     0.000     4.0800    106.52   0.123037   0.125547   0.128108   0.130721  0.133388     45.61    47.49
GS Finance Corp.         40055QB92 06/29/18 07/11/25*   100.000     0.000     4.0800    106.52   0.123037   0.125547   0.128108                          24.08*        
GS Finance Corp.         40055QBA9 06/29/18 07/11/25*   100.000     0.000     4.0800    106.52   0.123037   0.125547   0.128108                          24.08*        
GS Finance Corp.         40055QBB7 06/29/18 07/11/25    100.000     0.000     4.0800    106.52   0.123037   0.125547   0.128108   0.130721  0.133388     45.61    47.49
GS Finance Corp.         40055QBF8 06/29/18 07/01/25*   100.000     0.000     4.1000    107.04   0.126081                                                22.69*        
GS Finance Corp.         40055QBG6 06/29/18 07/03/23*   100.000     0.000     3.7800     98.38   0.113214   0.115354                                     20.76*        
GS Finance Corp.         40055QBK7 06/08/18 10/08/26    100.000     0.000     4.1144    110.17   0.125688   0.128273   0.130912   0.133605  0.136354     46.15    48.06
GS Finance Corp.         40055QBU5 06/29/18 07/01/24    100.000     0.000     3.9250    102.29   0.120179   0.122538   0.124942   0.127394               43.69    45.42
GS Finance Corp.         40055QC42 06/29/18 07/01/26    100.000     0.000     4.1733    109.04   0.128566   0.131249   0.133987   0.136783               46.77    48.74
GS Finance Corp.         40055QC59 06/05/18 06/13/28*   100.000     0.000     4.2300    113.71   0.130584   0.133346                                     21.42*        
GS Finance Corp.         40055QCH3 06/29/18 07/11/28*   100.000     0.000     4.3600    114.15   0.132215   0.135097   0.138042                          25.92*        
GS Finance Corp.         40055QCJ9 06/29/18 07/11/28    100.000     0.000     4.3600    114.15   0.132215   0.135097   0.138042   0.141051  0.144126     49.11    51.27
GS Finance Corp.         40055QCM2 06/29/18 03/30/23    100.000     0.000     3.7238     96.94   0.112408   0.114501   0.116632   0.118804  0.121016     41.23    42.78
GS Finance Corp.         40055QCN0 06/29/18 12/31/25    100.000     0.000     4.1267    107.77   0.126970   0.129590   0.132264   0.134993  0.137779     46.19    48.11
GS Finance Corp.         40055QCQ3 06/29/18 03/31/21    100.000     0.000     3.1168     80.64   0.092829                                                 8.26         
GS Finance Corp.         40055QCS9 06/29/18 03/31/25    100.000     0.000     4.0414    105.56   0.122855   0.125337   0.127870   0.130454  0.133090     45.13    46.97
GS Finance Corp.         40055QCU4 06/29/18 07/11/25    100.000     0.000     4.0800    106.52   0.123037   0.125547   0.128108   0.130721  0.133388     45.61    47.49
GS Finance Corp.         40055QCV2 06/29/18 06/29/23    100.000     0.000     3.7700     98.10   0.114971   0.117138   0.119347   0.121596  0.123888     41.79    43.38
GS Finance Corp.         40055QCW0 06/29/18 06/29/23    100.000     0.000     3.7700     98.10   0.114971   0.117138   0.119347   0.121596  0.123888     41.79    43.38
GS Finance Corp.         40055QDU3 06/29/18 07/11/28    100.000     0.000     4.3600    114.15   0.132215   0.135097   0.138042   0.141051  0.144126     49.11    51.27
GS Finance Corp.         40055QE40 06/29/18 12/29/23    100.000     0.000     3.7950     98.78   0.115805   0.118003   0.120242   0.122524  0.124848     42.09    43.71
GS Finance Corp.         40055QE81 06/20/18 03/22/21    100.000     1.000     3.1243     80.80   0.091517                                                 7.41         
GS Finance Corp.         40055QED0 07/05/18 07/05/23    100.000     0.000     3.7500     96.88   0.112203   0.114307   0.116450   0.118633  0.120858     41.52    43.09
GS Finance Corp.         40055QEJ7 07/05/18 10/04/21    100.000     0.000     3.4201     88.14   0.102528   0.104281                                     28.31         
GS Finance Corp.         40055QEK4 07/05/18 07/18/23*   100.000     0.000     3.7500     96.91   0.112354   0.114461                                     22.28*        
GS Finance Corp.         40055QEU2 07/06/18 07/18/23*   100.000     0.000     3.7600     97.06   0.112665   0.114783   0.116941                          22.69*        
GS Finance Corp.         40055QFR8 06/20/18 06/18/21    100.000     0.000     3.3057     86.52   0.099650                                                16.64         
GS Finance Corp.         40055QFZ0 06/27/18 07/11/28*   100.000     0.000     4.3800    114.97   0.132905   0.135816                                     25.50*        
GS Finance Corp.         40055QGB2 06/29/18 12/31/25    100.000     0.000     4.1267    107.77   0.126970   0.129590   0.132264   0.134993  0.137779     46.19    48.11
GS Finance Corp.         40055QGE6 06/27/18 06/27/23    100.000     5.000     3.5005     87.34   0.097430   0.097637   0.097698   0.097636  0.097472     35.11    35.16
GS Finance Corp.         40055QGV8 07/17/18 07/28/25    100.000     0.000     4.0100    102.44   0.120741   0.123162   0.125632   0.128151  0.130720     44.65    46.46
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055QGW6 07/17/18 07/28/25*   100.000     0.000     4.0100    102.44   0.120741   0.123162                                     25.18*        
GS Finance Corp.         40055QGX4 07/17/18 07/28/25    100.000     0.000     4.0100    102.44   0.120741   0.123162   0.125632   0.128151  0.130720     44.65    46.46
GS Finance Corp.         40055QGY2 07/17/18 07/28/25*   100.000     0.000     4.0100    102.44   0.120741   0.123162                                     25.18*        
GS Finance Corp.         40055QHK1 06/28/18 07/10/25*   100.000     0.000     4.0800    106.65   0.123037   0.125547   0.128108                          23.96*        
GS Finance Corp.         40055QJ52 07/31/18 07/30/26    100.000     0.000     4.1364    104.16   0.124706   0.127285   0.129917   0.132604  0.135347     46.15    48.07
GS Finance Corp.         40055QJ60 07/31/18 07/31/24    100.000     0.000     3.9250     98.64   0.117843   0.120155   0.122513   0.124918  0.127369     43.54    45.27
GS Finance Corp.         40055QK68 08/06/18 08/04/23    100.000     0.000     3.7554     93.55   0.112352   0.114462   0.116611   0.118800  0.121031     41.45    43.02
GS Finance Corp.         40055QKC5 07/27/18 08/23/23*   100.000     0.000     3.7600     94.71   0.112828   0.114949                                     26.56*        
GS Finance Corp.         40055QKF8 07/17/18 07/26/28*   100.000     0.000     4.2500    108.83   0.128551   0.131282                                     26.84*        
GS Finance Corp.         40055QKK7 07/27/18 08/25/25*   100.000     0.000     4.0300    101.79   0.121623   0.124073                                     28.65*        
GS Finance Corp.         40055QKV3 07/31/18 04/29/21    100.000     0.000     3.0668     76.48   0.091223                                                10.76         
GS Finance Corp.         40055QKW1 07/31/18 05/01/25    100.000     0.000     4.0263    101.35   0.122355   0.124818   0.127330   0.129894  0.132509     44.79    46.61
GS Finance Corp.         40055QKX9 07/31/18 05/01/23    100.000     0.000     3.7275     93.56   0.112531   0.114628   0.116765   0.118941  0.121158     41.14    42.69
GS Finance Corp.         40055QKY7 07/31/18 08/11/25    100.000     0.000     4.0600    102.18   0.122371   0.124855   0.127390   0.129976  0.132614     45.20    47.06
GS Finance Corp.         40055QKZ4 07/31/18 08/11/25*   100.000     0.000     4.0600    102.18   0.122371   0.124855                                     27.12*        
GS Finance Corp.         40055QL26 07/31/18 08/11/25    100.000     0.000     4.0600    102.18   0.122371   0.124855   0.127390   0.129976  0.132614     45.20    47.06
GS Finance Corp.         40055QL75 07/31/18 08/11/25    100.000     0.000     4.0600    102.18   0.122371   0.124855   0.127390   0.129976  0.132614     45.20    47.06
GS Finance Corp.         40055QLC4 07/31/18 01/29/26    100.000     0.000     4.0947    103.07   0.123333   0.125858   0.128435   0.131064  0.133748     45.63    47.52
GS Finance Corp.         40055QLD2 07/31/18 08/11/25*   100.000     0.000     4.0600    102.18   0.122371   0.124855                                     27.12*        
GS Finance Corp.         40055QLG5 07/31/18 08/09/28*   100.000     0.000     4.3100    108.73   0.130522   0.133335                                     28.96*        
GS Finance Corp.         40055QLH3 07/31/18 08/09/28*   100.000     0.000     4.3100    108.73   0.130522   0.133335                                     28.96*        
GS Finance Corp.         40055QLJ9 07/31/18 08/11/25    100.000     0.000     4.0600    102.18   0.122371   0.124855   0.127390   0.129976  0.132614     45.20    47.06
GS Finance Corp.         40055QLK6 07/31/18 08/11/25*   100.000     0.000     4.0600    102.18   0.122371   0.124855                                     27.12*        
GS Finance Corp.         40055QLN0 08/06/18 08/15/23*   100.000     0.000     3.8000     94.71   0.113916   0.116080   0.118286                          26.03*        
GS Finance Corp.         40055QLQ3 08/03/18 08/03/23    100.000     0.000     3.7700     94.26   0.112844   0.114971   0.117138   0.119347  0.121596     41.64    43.23
GS Finance Corp.         40055QLS9 08/03/18 11/03/21    100.000     0.000     3.4639     86.40   0.103952   0.105752                                     31.72         
GS Finance Corp.         40055QM66 07/31/18 08/02/21    100.000     0.000     3.4500     86.30   0.102639   0.104409                                     21.98         
GS Finance Corp.         40055QMJ8 07/31/18 08/11/25*   100.000     0.000     4.0600    102.18   0.122371   0.124855                                     27.12*        
GS Finance Corp.         40055QMS8 07/17/18 01/12/21    100.000     1.200     2.7520     68.61   0.078838                                                 0.87         
GS Finance Corp.         40055QMW9 07/27/18 07/29/25*   100.000     0.000     4.0300    101.74   0.121269   0.123713                                     25.66*        
GS Finance Corp.         40055QNJ7 07/31/18 08/12/25*   100.000     0.000     4.0601    102.19   0.122385   0.124869                                     27.49*        
GS Finance Corp.         40055QNS7 08/16/18 08/27/25    100.000     0.000     3.9600     97.66   0.119117   0.121475   0.123881   0.126333  0.128835     43.90    45.65
GS Finance Corp.         40055QPA4 08/31/18 09/07/21    100.000     0.000     3.3700     81.24   0.100147   0.101835                                     24.94         
GS Finance Corp.         40055QPB2 08/31/18 09/02/26    100.000     0.000     4.0567     98.41   0.122137   0.124614   0.127142   0.129721  0.132352     45.01    46.86
GS Finance Corp.         40055QPC0 08/31/18 09/03/24    100.000     0.000     3.8250     92.60   0.114652   0.116844   0.119079   0.121357  0.123678     42.19    43.82
GS Finance Corp.         40055QQ96 08/31/18 09/20/23*   100.000     0.000     3.6399     87.98   0.108893   0.110874                                     28.56*        
GS Finance Corp.         40055QQB1 08/31/18 09/22/25*   100.000     0.000     3.9200     95.00   0.117963   0.120275                                     30.96*        
GS Finance Corp.         40055QR20 08/14/18 08/14/21    100.000    VARIES     3.0409     72.20   0.084521   0.084574                                     18.86         
GS Finance Corp.         40055QR61 08/31/18 06/03/21    100.000     0.000     3.0618     73.61   0.091095                                                13.85         
GS Finance Corp.         40055QR79 08/31/18 06/02/23    100.000     0.000     3.6500     88.24   0.110011   0.112019   0.114063   0.116145  0.118264     40.08    41.56
GS Finance Corp.         40055QR87 08/31/18 06/02/25    100.000     0.000     3.8963     94.41   0.118078   0.120379   0.122724   0.125115  0.127552     43.06    44.75
GS Finance Corp.         40055QR95 08/31/18 03/04/26    100.000     0.000     4.0083     97.20   0.120593   0.123010   0.125475   0.127990  0.130555     44.42    46.22
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40055QRL8 08/08/18 08/05/21    100.000     0.000     3.2862     81.30   0.097408   0.099008                                     21.13         
GS Finance Corp.         40055QRR5 08/31/18 09/12/25    100.000     0.000     3.9600     96.00   0.119132   0.121491   0.123896   0.126349  0.128851     43.83    45.58
GS Finance Corp.         40055QRY0 08/31/18 09/12/25*   100.000     0.000     3.9600     96.00   0.119132   0.121491   0.123896                          30.57*        
GS Finance Corp.         40055QRZ7 08/31/18 09/12/25    100.000     0.000     3.9600     96.00   0.119132   0.121491   0.123896   0.126349  0.128851     43.83    45.58
GS Finance Corp.         40055QS29 08/31/18 09/12/25*   100.000     0.000     3.9600     96.00   0.119132   0.121491   0.123896                          30.57*        
GS Finance Corp.         40055QS78 08/31/18 09/12/28*   100.000     0.000     4.2500    103.31   0.128596   0.131329   0.134120                          33.04*        
GS Finance Corp.         40055QS94 09/07/18 09/08/23    100.000     0.000     3.7000     88.69   0.110609   0.112655   0.114739   0.116862  0.119024     40.65    42.17
GS Finance Corp.         40055QSB9 08/08/18 02/06/26    100.000     0.000     4.0319    100.46   0.121278   0.123723   0.126217   0.128761  0.131357     44.82    46.64
GS Finance Corp.         40055QSC7 08/08/18 02/06/26    100.000     0.000     4.0319    100.46   0.121278   0.123723   0.126217   0.128761  0.131357     44.82    46.64
GS Finance Corp.         40055QSF0 09/06/18 09/03/21    100.000     0.000     3.2375     77.37   0.095872   0.097424                                     23.48         
GS Finance Corp.         40055QSN3 09/06/18 09/06/23    100.000     0.000     3.6500     87.56   0.108995   0.110984   0.113009   0.115072  0.117172     40.06    41.53
GS Finance Corp.         40055QSU7 08/09/18 08/13/25    100.000     0.000     3.9699     98.74   0.119349   0.121718   0.124134   0.126598  0.129111     44.05    45.82
GS Finance Corp.         40055QTG7 09/04/18 09/08/25    100.000     0.000     3.9400     95.01   0.118378   0.120710   0.123088   0.125513  0.127986     43.57    45.30
GS Finance Corp.         40055QU83 08/30/18 03/03/22    100.000     0.000     3.4200     82.48   0.101696   0.103435   0.105204                          37.34     6.52
GS Finance Corp.         40055QUP5 09/19/18 09/30/25    100.000     0.000     4.0500     95.94   0.122043   0.124515   0.127036   0.129608  0.132233     44.83    46.67
GS Finance Corp.         40055QUQ3 09/19/18 09/30/25    100.000     0.000     4.0500     95.94   0.122043   0.124515   0.127036   0.129608  0.132233     44.83    46.67
GS Finance Corp.         40055QUR1 09/19/18 09/30/25*   100.000     0.000     4.0500     95.94   0.122043   0.124515                                     33.27*        
GS Finance Corp.         40055QUU4 09/28/18 10/09/25    100.000     0.000     4.1100     96.30   0.123998   0.126547   0.129147   0.131801  0.134510     45.52    47.41
GS Finance Corp.         40055QUW0 09/28/18 10/09/25    100.000     0.000     4.1100     96.30   0.123998   0.126547   0.129147   0.131801  0.134510     45.52    47.41
GS Finance Corp.         40055QUY6 09/28/18 10/09/25*   100.000     0.000     4.1100     96.30   0.123998   0.126547   0.129147                          35.32*        
GS Finance Corp.         40055QUZ3 09/28/18 10/09/25    100.000     0.000     4.1100     96.30   0.123998   0.126547   0.129147   0.131801  0.134510     45.52    47.41
GS Finance Corp.         40055QV58 09/04/18 09/04/25    100.000     0.000     3.9600     95.50   0.118974   0.121329   0.123732   0.126182  0.128680     43.81    45.56
GS Finance Corp.         40055QV90 09/28/18 10/09/25    100.000     0.000     4.1100     96.30   0.123998   0.126547   0.129147   0.131801  0.134510     45.52    47.41
GS Finance Corp.         40055QVB5 09/04/18 09/06/23    100.000     0.000     3.6999     89.02   0.110618   0.112664   0.114749   0.116872  0.119034     40.67    42.18
GS Finance Corp.         40055QVC3 09/28/18 10/10/28    100.000     0.000     4.3700    102.63   0.132543   0.135439   0.138399   0.141423  0.144513     48.71    50.86
GS Finance Corp.         40055QVY5 09/28/18 10/04/21    100.000     0.000     3.5401     82.52   0.105547   0.107416                                     29.15         
GS Finance Corp.         40055QWN8 09/28/18 09/30/24    100.000     0.000     3.9849     93.25   0.119809   0.122196   0.124631   0.127114  0.129647     44.00    45.77
GS Finance Corp.         40055QWR9 09/28/18 09/30/26    100.000     0.000     4.1967     98.40   0.126700   0.129359   0.132073   0.134845  0.137674     46.58    48.55
GS Finance Corp.         40055QX64 10/04/18 04/06/21    100.000     0.000     2.9167     67.09   0.085864                                                 8.16         
GS Finance Corp.         40055QXN7 09/10/18 09/19/25*   100.000     0.000     3.9900     95.55   0.120066   0.122461   0.124905                          31.66*        
GS Finance Corp.         40055QXT4 10/03/18 10/01/21    100.000     0.000     3.4028     78.71   0.101102   0.102822                                     27.61         
GS Finance Corp.         40055QXX5 09/28/18 06/30/25    100.000     0.000     4.0788     95.53   0.124110   0.126641   0.129223   0.131859  0.134548     45.14    47.00
GS Finance Corp.         40055QXZ0 09/28/18 06/30/21    100.000     0.000     3.2451     75.44   0.096932                                                17.35         
GS Finance Corp.         40055QY48 09/28/18 06/29/23    100.000     0.000     3.8199     89.26   0.115556   0.117763   0.120012   0.122304  0.124640     42.01    43.63
GS Finance Corp.         40055QY63 10/03/18 10/03/23    100.000     0.000     3.8100     88.45   0.114132   0.116306   0.118522   0.120780  0.123081     41.87    43.48
GS Finance Corp.         40055QYA4 10/03/18 10/17/23    100.000     0.000     3.8100     88.46   0.114301   0.116479   0.118698   0.120959  0.123263     41.87    43.48
GS Finance Corp.         40055QYQ9 09/14/18 03/16/21    100.000     0.000     2.8918     68.21   0.085091                                                 6.38         
GS Finance Corp.         40056E3E6 10/31/18 10/29/21    100.000     0.000     3.4612     77.33   0.102966   0.104748                                     31.00         
GS Finance Corp.         40056E3F3 10/31/18 10/29/26    100.000     0.000     4.2586     95.78   0.128680   0.131420   0.134219   0.137077  0.139995     47.16    49.19
GS Finance Corp.         40056E3G1 10/31/18 10/31/24    100.000     0.000     4.0300     90.46   0.121243   0.123686   0.126178   0.128721  0.131314     44.39    46.20
GS Finance Corp.         40056E4U9 10/31/18 07/29/21    100.000     0.000     3.1646     70.54   0.092865   0.094334                                     19.58         
GS Finance Corp.         40056E4V7 10/31/18 07/31/23    100.000     0.000     3.8487     86.29   0.114288   0.116487   0.118729   0.121014  0.123343     42.21    43.85
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056E4W5 10/31/18 04/30/26    100.000     0.000     4.2103     94.66   0.127116   0.129792   0.132524   0.135314  0.138163     46.57    48.55
GS Finance Corp.         40056E4X3 10/31/18 07/31/25    100.000     0.000     4.1350     92.94   0.123397   0.125948   0.128552   0.131210  0.133923     45.66    47.57
GS Finance Corp.         40056E5Q7 11/06/18 05/06/21    100.000     0.000     3.0168     66.61   0.088972                                                11.12         
GS Finance Corp.         40056E6K9 11/05/18 11/04/21    100.000     0.000     3.5292     78.36   0.105127   0.106982                                     32.19         
GS Finance Corp.         40056E6S2 10/31/18 11/12/25*   100.000     0.000     4.1700     93.73   0.125974   0.128601                                     39.65*        
GS Finance Corp.         40056E6W3 11/05/18 11/03/23    100.000     0.000     3.9463     87.93   0.118506   0.120845   0.123229   0.125661  0.128140     43.36    45.08
GS Finance Corp.         40056EA32 10/12/18 10/24/25    100.000     0.000     4.2199     97.19   0.127611   0.130303   0.133053   0.135860  0.138727     46.79    48.78
GS Finance Corp.         40056EA81 10/29/18 04/28/22    100.000     0.000     3.6667     82.17   0.109520   0.111528   0.113572                          40.04    13.29
GS Finance Corp.         40056EAL2 09/28/18 09/28/23    100.000     0.000     3.8299     89.50   0.114773   0.116971   0.119211   0.121494  0.123820     42.13    43.76
GS Finance Corp.         40056EB49 10/24/18 10/22/21    100.000     0.000     3.5584     80.20   0.106050   0.107937                                     31.20         
GS Finance Corp.         40056EB72 10/22/18 10/21/21    100.000     0.000     3.5292     79.73   0.105127   0.106982                                     30.82         
GS Finance Corp.         40056EBM9 10/24/18 10/21/21    100.000     0.000     3.5584     80.20   0.106037   0.107924                                     31.09         
GS Finance Corp.         40056EBW7 11/07/18 05/06/21    100.000     0.000     2.9564     65.16   0.087079                                                10.88         
GS Finance Corp.         40056EEG9 11/30/18 12/02/26    100.000     0.000     4.4667     96.57   0.135570   0.138597   0.141693   0.144857  0.148092     49.53    51.76
GS Finance Corp.         40056EEH7 11/30/18 12/02/21    100.000     0.000     3.7900     81.50   0.113511   0.115662                                     37.96         
GS Finance Corp.         40056EEJ3 11/30/18 12/03/24    100.000     0.000     4.2600     91.95   0.128787   0.131530   0.134332   0.137193  0.140115     47.01    49.04
GS Finance Corp.         40056EEQ7 11/30/18 08/31/23    100.000     0.000     4.0588     87.54   0.120963   0.123390   0.125922   0.128449  0.131085     44.59    46.42
GS Finance Corp.         40056EER5 11/30/18 09/01/21    100.000     0.000     3.4558     74.17   0.101940   0.103702                                     24.78         
GS Finance Corp.         40056EES3 11/30/18 09/02/25    100.000     0.000     4.3363     93.74   0.129882   0.132698   0.135575   0.138514  0.141518     47.94    50.04
GS Finance Corp.         40056EET1 11/30/18 06/01/26    100.000     0.000     4.4283     95.71   0.134286   0.137259   0.140298   0.143404  0.146579     49.06    51.25
GS Finance Corp.         40056EFT0 12/05/18 12/03/21    100.000     0.000     3.7236     79.48   0.111330   0.113403                                     37.33         
GS Finance Corp.         40056EFX1 12/05/18 12/05/23    100.000     0.000     4.1700     89.32   0.125800   0.128423   0.131100   0.133834  0.136624     45.90    47.83
GS Finance Corp.         40056EGA0 11/30/18 11/30/28    100.000     0.000     4.6200    100.01   0.140610   0.143858   0.147181   0.150581  0.154059     51.41    53.81
GS Finance Corp.         40056EGG7 11/29/18 06/01/22    100.000     0.000     3.8525     83.00   0.115526   0.117751   0.120020                          42.12    18.00
GS Finance Corp.         40056EGW2 11/20/18 11/18/21    100.000     0.000     3.5875     78.09   0.106976   0.108895                                     34.26         
GS Finance Corp.         40056EJD1 01/03/19 12/31/21    100.000     0.000     3.7624     77.18   0.112564   0.114682                                     40.79         
GS Finance Corp.         40056EJQ2 12/28/18 12/27/24    100.000     0.000     4.4909     93.30   0.136317   0.139378   0.142507   0.145707  0.148979     49.65    51.90
GS Finance Corp.         40056EJS8 12/06/18 12/08/22    100.000     0.000     4.0067     85.59   0.120516   0.122930   0.125393   0.127905               43.93    42.71
GS Finance Corp.         40056EK23 12/28/18 12/24/21    100.000     0.000     3.9180     81.05   0.117566   0.119869                                     41.92         
GS Finance Corp.         40056EKC1 12/27/18 12/27/28    100.000     0.000     4.7400     98.80   0.144600   0.148027   0.151535   0.155126  0.158803     52.70    55.23
GS Finance Corp.         40056EKK3 12/27/18 09/24/21    100.000     0.000     3.5734     73.91   0.105581   0.107468                                     28.11         
GS Finance Corp.         40056EKL1 12/27/18 09/26/23    100.000     0.000     4.3301     90.10   0.129636   0.132442   0.135310   0.138239  0.141232     47.71    49.80
GS Finance Corp.         40056EKM9 12/27/18 09/25/25    100.000     0.000     4.5267     94.34   0.135964   0.139041   0.142188   0.145406  0.148697     50.10    52.39
GS Finance Corp.         40056EKN7 12/27/18 06/25/26    100.000     0.000     4.5781     95.32   0.139185   0.142372   0.145631   0.148964  0.152374     50.72    53.07
GS Finance Corp.         40056EM21 01/03/19 01/03/24    100.000     0.000     4.2400     87.28   0.125427   0.128087   0.130802   0.133575  0.136407     46.59    48.59
GS Finance Corp.         40056EMU9 01/02/19 01/02/24    100.000     0.000     4.3600     89.96   0.129207   0.132024   0.134902   0.137843  0.140848     48.04    50.16
GS Finance Corp.         40056EMX3 12/14/18 12/16/21    100.000     0.000     3.9701     83.83   0.119327   0.121696                                     41.59         
GS Finance Corp.         40056EN20 12/14/18 12/16/21    100.000     0.000     3.9701     83.83   0.119327   0.121696                                     41.59         
GS Finance Corp.         40056ENM6 12/28/18 12/24/21    100.000     1.250     3.8908     79.72   0.113904   0.115444                                     40.49         
GS Finance Corp.         40056EPF9 01/31/19 02/02/27    100.000     0.000     4.1367     81.80   0.122216   0.124744   0.127324   0.129957  0.132645     45.21    47.10
GS Finance Corp.         40056EPG7 01/31/19 01/31/25    100.000     0.000     3.9350     77.69   0.115885   0.118165   0.120490   0.122860  0.125277     42.82    44.53
GS Finance Corp.         40056EPQ5 01/31/19 02/02/22    100.000     0.000     3.5001     68.89   0.102438   0.104231   0.106055                          37.74     3.29
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056EQK7 01/31/19 11/02/21    100.000     0.000     3.2268     63.43   0.094819   0.096349                                     28.82         
GS Finance Corp.         40056EQL5 01/31/19 07/31/26    100.000     0.000     4.1350     81.76   0.122134   0.124659   0.127236   0.129867  0.132552     45.19    47.08
GS Finance Corp.         40056EQM3 01/31/19 11/02/23    100.000     0.000     3.8087     75.20   0.113048   0.115201   0.117395   0.119630  0.121908     41.34    42.93
GS Finance Corp.         40056EQN1 01/31/19 10/31/25    100.000     0.000     4.0688     80.49   0.121284   0.123752   0.126269   0.128838  0.131459     44.41    46.24
GS Finance Corp.         40056ESL3 02/05/19 02/05/24    100.000     0.000     3.5800     69.98   0.104881   0.106759   0.108670   0.110615  0.112595     38.65    40.04
GS Finance Corp.         40056ESM1 02/05/19 02/03/22    100.000     0.000     3.1595     61.58   0.091975   0.093428   0.094904                          33.81     3.04
GS Finance Corp.         40056ESV1 02/05/19 02/04/21    100.000     0.000     2.5500     49.48   0.073572                                                 2.43         
GS Finance Corp.         40056EU22 01/29/19 01/27/22    100.000     0.000     3.4126     67.23   0.099712   0.101413   0.103144                          36.73     2.68
GS Finance Corp.         40056EUU0 02/28/19 11/30/23    100.000     0.000     3.5488     66.99   0.104863   0.106724   0.108617   0.110545  0.112506     38.20    39.57
GS Finance Corp.         40056EUV8 02/28/19 12/01/25    100.000     0.000     3.8350     72.54   0.113890   0.116074   0.118300   0.120568  0.122880     41.53    43.13
GS Finance Corp.         40056EV47 02/28/19 03/02/27    100.000     0.000     3.9567     74.88   0.116612   0.118919   0.121271   0.123671  0.126117     42.95    44.67
GS Finance Corp.         40056EV54 02/28/19 02/28/25    100.000     0.000     3.7301     70.47   0.109519   0.111562   0.113642   0.115762  0.117921     40.30    41.82
GS Finance Corp.         40056EVD7 02/28/19 03/02/22    100.000     0.000     3.2599     61.40   0.095089   0.096639   0.098214                          34.88     5.99
GS Finance Corp.         40056EW61 03/05/19 03/04/24    100.000     0.000     3.5562     66.38   0.104138   0.105990   0.107874   0.109793  0.111745     38.26    39.63
GS Finance Corp.         40056EW79 03/05/19 03/04/21    100.000     0.000     2.5500     47.27   0.073572                                                 4.64         
GS Finance Corp.         40056EWA2 02/20/19 10/19/21    100.000     0.000     2.8502     54.22   0.082993   0.084176                                     24.11         
GS Finance Corp.         40056EWG9 02/28/19 12/01/21    100.000     0.000     2.9884     56.19   0.087457   0.088764                                     29.10         
GS Finance Corp.         40056EWJ3 03/05/19 09/06/22    100.000     0.000     3.3375     62.21   0.097437   0.099063   0.100716   0.102396               35.75    24.98
GS Finance Corp.         40056EWK0 03/05/19 09/06/22    100.000     0.000     3.3375     62.21   0.097437   0.099063   0.100716   0.102396               35.75    24.98
GS Finance Corp.         40056EWT1 03/05/19 03/13/24    100.000     0.000     3.6000     67.23   0.105583   0.107483   0.109418   0.111388  0.113393     38.77    40.17
GS Finance Corp.         40056EXC7 02/21/19 02/18/22    100.000     0.000     3.2181     61.24   0.093751   0.095260   0.096793                          34.43     4.55
GS Finance Corp.         40056EYE2 03/19/19 03/30/26*   100.000     0.000     3.8000     69.49   0.111815                                                 9.84*        
GS Finance Corp.         40056EYF9 03/19/19 03/30/26*   100.000     0.000     3.8000     69.49   0.111815                                                 9.84*        
GS Finance Corp.         40056EYS1 03/29/19 03/31/25    100.000     0.000     3.4250     61.47   0.100120   0.101835   0.103578   0.105352  0.107156     36.67    37.93
GS Finance Corp.         40056EYT9 03/29/19 03/31/22    100.000     0.000     2.9501     52.79   0.085633   0.086896   0.088178                          31.29     7.85
GS Finance Corp.         40056EYX0 03/29/19 12/29/23    100.000     0.000     3.2563     58.38   0.095715   0.097273   0.098857   0.100466  0.102102     34.74    35.88
GS Finance Corp.         40056EYY8 03/29/19 12/30/21    100.000     0.000     2.7043     48.31   0.078741   0.079806                                     28.46         
GS Finance Corp.         40056EZA9 03/29/19 04/01/27    100.000     0.000     3.6700     65.97   0.107683   0.109659   0.111672   0.113721  0.115808     39.48    40.94
GS Finance Corp.         40056EZB7 03/29/19 12/31/25    100.000     0.000     3.5625     64.00   0.105281   0.107156   0.109065   0.111008  0.112985     38.24    39.62
GS Finance Corp.         40056EZK7 03/29/19 04/09/26*   100.000     0.000     3.5700     64.14   0.104676                                                10.26*        
GS Finance Corp.         40056EZM3 03/29/19 04/09/26*   100.000     0.000     3.5700     64.14   0.104676                                                10.26*        
GS Finance Corp.         40056EZP6 03/29/19 04/09/26*   100.000     0.000     3.5700     64.14   0.104676                                                10.26*        
GS Finance Corp.         40056EZR2 03/29/19 04/09/26*   100.000     0.000     3.5700     64.14   0.104676                                                10.26*        
GS Finance Corp.         40056EZT8 04/03/19 04/01/21    100.000     0.000     2.4999     44.31   0.072070                                                 6.49         
GS Finance Corp.         40056EZU5 04/03/19 04/04/24    100.000     0.000     3.3401     59.52   0.097516   0.099144   0.100800   0.102483  0.104195     35.68    36.89
GS Finance Corp.         40056EZV3 03/29/19 09/30/21    100.000     0.000     2.5302     45.15   0.072989   0.073912                                     19.80         
Goldman Sachs Group, Inc 40056EZX9 03/22/19 04/02/26*   100.000     0.000     3.7800     68.78   0.111183                                                10.12*        
GS Finance Corp.         40056F2M6 04/03/19 04/15/24*   100.000     0.000     3.3400     59.53   0.097613                                                 9.96*        
GS Finance Corp.         40056F2N4 04/03/19 04/15/24*   100.000     0.000     3.3400     59.53   0.097613                                                 9.96*        
GS Finance Corp.         40056F2T1 04/03/19 10/04/22    100.000     0.000     3.0851     54.89   0.089731   0.091115   0.092521   0.093948               32.80    25.52
GS Finance Corp.         40056F2U8 04/03/19 10/04/22    100.000     0.000     3.0851     54.89   0.089731   0.091115   0.092521   0.093948               32.80    25.52
Goldman Sachs Group, Inc 40056F2W4 03/22/19 04/02/26    100.000     0.000     3.7800     68.78   0.111183   0.113284   0.115425   0.117607  0.119830     40.78    42.34
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056F3T0 03/28/19 03/30/26    100.000     2.000     3.6081     64.11   0.102688   0.103538   0.104404   0.105285  0.106182     37.28    37.91
GS Finance Corp.         40056F3Y9 03/28/19 03/28/24    100.000     0.000     3.3001     59.28   0.096281   0.097870   0.099485   0.101127  0.102795     35.25    36.42
GS Finance Corp.         40056F3Z6 03/28/19 03/30/23    100.000     0.000     3.1250     56.07   0.090954   0.092375   0.093819   0.095284  0.096773     33.26    34.31
GS Finance Corp.         40056F4E2 03/26/19 04/06/26    100.000     0.000     3.6900     66.67   0.108391   0.110391   0.112427   0.114502  0.116614     39.72    41.20
GS Finance Corp.         40056F4H5 04/03/19 02/02/23    100.000     0.000     3.1275     55.67   0.090541   0.091957   0.093395   0.094856  0.096339     33.27    34.32
GS Finance Corp.         40056F5D3 04/22/19 04/30/26*   100.000     0.000     3.6700     63.50   0.107748                                                12.82*        
GS Finance Corp.         40056F5G6 04/30/19 05/11/26*   100.000     0.000     3.5900     61.24   0.105304                                                13.69*        
GS Finance Corp.         40056F5L5 04/30/19 04/30/25    100.000     0.000     3.4500     58.80   0.100877   0.102617   0.104388   0.106188  0.108020     36.84    38.13
GS Finance Corp.         40056F6B6 04/30/19 04/28/22    100.000     0.000     2.9263     49.72   0.084894   0.086136   0.087397                          30.94    10.23
GS Finance Corp.         40056F6F7 04/30/19 01/28/22    100.000     0.000     2.6755     45.40   0.076820   0.077847   0.078889                          28.16     2.13
GS Finance Corp.         40056F6L4 04/30/19 10/28/21    100.000     0.000     2.5001     42.37   0.072076   0.072977                                     21.57         
GS Finance Corp.         40056F6N0 05/03/19 11/03/21    100.000     0.000     2.4752     41.73   0.071339   0.072222                                     21.70         
GS Finance Corp.         40056F6R1 04/30/19 01/30/24    100.000     0.000     3.2726     55.74   0.094672   0.096221   0.097796   0.099396  0.101023     34.83    35.98
GS Finance Corp.         40056F6S9 04/30/19 01/29/26    100.000     0.000     3.5433     60.45   0.102838   0.104660   0.106514   0.108401  0.110322     37.91    39.26
GS Finance Corp.         40056F6W0 05/03/19 05/05/21    100.000     0.000     2.3802     40.10   0.068516                                                 8.50         
GS Finance Corp.         40056F6X8 05/03/19 05/03/24    100.000     0.000     3.2700     55.39   0.095362   0.096921   0.098506   0.100117  0.101754     34.79    35.94
GS Finance Corp.         40056F6Y6 05/03/19 11/03/22    100.000     0.000     3.0450     51.51   0.088507   0.089855   0.091223   0.092612               32.26    27.80
GS Finance Corp.         40056F6Z3 05/03/19 11/03/22    100.000     0.000     3.0450     51.51   0.088507   0.089855   0.091223   0.092612               32.26    27.80
GS Finance Corp.         40056F7A7 04/30/19 01/28/22    100.000     0.000     2.6755     45.40   0.076820   0.077847   0.078889                          28.16     2.13
GS Finance Corp.         40056FA70 04/30/19 05/11/26*   100.000     0.000     3.5900     61.24   0.105304                                                13.69*        
GS Finance Corp.         40056FA88 04/30/19 05/11/26*   100.000     0.000     3.5900     61.24   0.105304                                                13.69*        
GS Finance Corp.         40056FAB1 05/03/19 05/14/24    100.000     0.000     3.2699     55.39   0.095455   0.097016   0.098602   0.100214  0.101852     34.79    35.94
GS Finance Corp.         40056FAX3 04/11/19 04/11/24    100.000     0.000     3.3601     59.10   0.098118   0.099767   0.101443   0.103147  0.104880     35.89    37.10
GS Finance Corp.         40056FB87 05/06/19 05/04/23    100.000     0.000     3.1376     52.83   0.091306   0.092738   0.094193   0.095670  0.097171     33.29    34.35
GS Finance Corp.         40056FBN4 04/25/19 05/06/26*   100.000     0.000     3.6400     62.65   0.106851                                                13.36*        
GS Finance Corp.         40056FBU8 05/02/19 05/02/24    100.000     0.000     3.3001     56.00   0.096281   0.097870   0.099485   0.101127  0.102795     35.14    36.31
GS Finance Corp.         40056FBV6 05/10/19 05/11/23    100.000     0.000     3.1001     51.83   0.090187   0.091585   0.093005   0.094447  0.095911     32.86    33.89
GS Finance Corp.         40056FBW4 05/02/19 11/03/21    100.000     0.000     2.4918     42.08   0.071841   0.072736                                     21.86         
GS Finance Corp.         40056FC52 05/02/19 11/03/21    100.000     0.000     2.4918     42.08   0.071841   0.072736                                     21.86         
GS Finance Corp.         40056FCP8 05/31/19 05/31/24    100.000     0.000     3.1099     50.18   0.090479   0.091886   0.093315   0.094766  0.096240     32.91    33.95
GS Finance Corp.         40056FDA0 05/17/19 05/29/26    100.000     0.000     3.4900     57.76   0.102227   0.104010   0.105825   0.107672  0.109551     37.24    38.55
GS Finance Corp.         40056FDH5 05/31/19 06/11/26    100.000     0.000     3.3900     54.79   0.099138   0.100818   0.102527   0.104265  0.106032     36.06    37.29
GS Finance Corp.         40056FDK8 05/31/19 06/11/26*   100.000     0.000     3.3900     54.79   0.099138   0.100818                                     16.16*        
GS Finance Corp.         40056FDQ5 06/05/19 06/14/24*   100.000     0.000     3.0200     48.27   0.087812   0.089138                                     14.40*        
GS Finance Corp.         40056FEG6 05/31/19 06/02/25    100.000     0.000     3.2500     52.49   0.094769   0.096309   0.097874   0.099465  0.101081     34.48    35.61
GS Finance Corp.         40056FEL5 05/31/19 06/02/22    100.000     0.000     2.8299     45.59   0.082007   0.083167   0.084344                          29.80    12.74
GS Finance Corp.         40056FF59 05/31/19 06/03/27    100.000     0.000     3.4933     56.49   0.102240   0.104026   0.105843   0.107692  0.109573     37.23    38.54
GS Finance Corp.         40056FF83 05/31/19 06/02/26    100.000     0.000     3.3900     54.79   0.099055   0.100734   0.102441   0.104178  0.105944     36.06    37.29
GS Finance Corp.         40056FF91 05/31/19 05/31/24    100.000     0.000     3.1099     50.18   0.090479   0.091886   0.093315   0.094766  0.096240     32.91    33.95
GS Finance Corp.         40056FFN0 05/31/19 03/03/22    100.000     0.000     2.5943     41.77   0.074441   0.075407   0.076385                          27.20     4.74
GS Finance Corp.         40056FFU4 06/05/19 06/04/21    100.000     0.000     2.3598     37.58   0.067893                                                10.39         
GS Finance Corp.         40056FFV2 06/05/19 06/05/24    100.000     0.000     3.0199     48.27   0.087744   0.089069   0.090414   0.091779  0.093165     31.90    32.87
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056FFW0 06/05/19 12/05/22    100.000     0.000     2.8025     44.74   0.081167   0.082304   0.083458   0.084627               29.48    28.09
GS Finance Corp.         40056FFX8 06/05/19 12/05/22    100.000     0.000     2.8025     44.74   0.081167   0.082304   0.083458   0.084627               29.48    28.09
GS Finance Corp.         40056FG74 06/05/19 06/03/22    100.000     0.000     2.6543     42.34   0.076693   0.077711   0.078743                          27.85    11.97
GS Finance Corp.         40056FGA7 05/22/19 01/21/21    100.000     0.000     2.3801     38.81   0.067961                                                 1.36         
GS Finance Corp.         40056FH65 05/17/19 05/19/22    100.000     0.000     2.9099     48.00   0.084423   0.085651   0.086898                          30.72    11.99
GS Finance Corp.         40056FHT5 05/20/19 04/01/21    100.000     0.000     2.3800     38.95   0.068280                                                 6.15         
GS Finance Corp.         40056FJ89 05/23/19 05/24/21    100.000     0.000     2.3802     38.73   0.068510                                                 9.80         
GS Finance Corp.         40056FJF3 05/31/19 03/03/21    100.000     0.000     2.3802     38.28   0.068115                                                 4.22         
GS Finance Corp.         40056FJX4 06/12/19 06/16/21    100.000     0.000     2.3602     37.11   0.067926                                                11.21         
GS Finance Corp.         40056FK46 06/17/19 06/26/26    100.000     0.000     3.2600     51.03   0.095134   0.096685   0.098261   0.099862  0.101490     34.54    35.68
GS Finance Corp.         40056FKB0 06/28/19 06/28/24    100.000     0.000     2.6900     41.13   0.077778   0.078824   0.079885   0.080959  0.082048     28.19    28.96
GS Finance Corp.         40056FKC8 06/28/19 06/30/26    100.000     0.000     2.9700     45.47   0.086244   0.087524   0.088824   0.090143  0.091482     31.28    32.22
GS Finance Corp.         40056FKD6 07/03/19 07/01/21    100.000     0.000     2.1201     32.02   0.060778                                                10.94         
GS Finance Corp.         40056FKE4 07/03/19 07/03/24    100.000     0.000     2.7200     41.20   0.077623   0.078679   0.079749   0.080834  0.081933     28.51    29.29
GS Finance Corp.         40056FKS3 06/28/19 07/10/29*   100.000     0.000     3.2900     50.47   0.094523   0.096078   0.097659                          18.34*        
GS Finance Corp.         40056FKT1 06/28/19 07/09/26*   100.000     0.000     2.9701     45.48   0.085047   0.086310   0.087592                          16.48*        
GS Finance Corp.         40056FKU8 06/28/19 07/09/26*   100.000     0.000     2.9701     45.48   0.085047   0.086310   0.087592                          16.48*        
GS Finance Corp.         40056FKY0 06/28/19 07/09/26    100.000     0.000     2.9701     45.48   0.085047   0.086310   0.087592   0.088893  0.090213     31.28    32.22
GS Finance Corp.         40056FKZ7 06/28/19 07/09/26*   100.000     0.000     2.9701     45.48   0.085047   0.086310   0.087592                          16.48*        
GS Finance Corp.         40056FL29 06/21/19 01/15/21    100.000     0.000     2.3601     36.51   0.067219                                                 0.94         
GS Finance Corp.         40056FL60 06/28/19 12/31/24    100.000     0.000     2.7600     42.21   0.079898   0.081000   0.082118   0.083251  0.084400     28.96    29.77
GS Finance Corp.         40056FL94 07/03/19 01/03/23    100.000     0.000     2.5175     38.10   0.071702   0.072604   0.073518   0.074444  0.075381     26.30    26.96
GS Finance Corp.         40056FLC7 07/03/19 01/03/23    100.000     0.000     2.5175     38.10   0.071702   0.072604   0.073518   0.074444  0.075381     26.30    26.96
GS Finance Corp.         40056FLD5 07/03/19 07/15/24    100.000     0.000     2.7200     41.21   0.077695   0.078752   0.079823   0.080908  0.082009     28.51    29.29
GS Finance Corp.         40056FLG8 06/28/19 07/09/26*   100.000     0.000     2.9701     45.48   0.085047   0.086310   0.087592                          16.48*        
GS Finance Corp.         40056FM44 06/28/19 03/30/22    100.000     0.000     2.3598     36.06   0.067512   0.068309   0.069115                          24.59     6.15
GS Finance Corp.         40056FM85 06/28/19 06/30/25    100.000     0.000     2.8299     43.30   0.082007   0.083167   0.084344   0.085537  0.086748     29.73    30.58
GS Finance Corp.         40056FMH5 06/28/19 06/30/22    100.000     0.000     2.4001     36.64   0.069107   0.069936   0.070775                          25.03    12.67
GS Finance Corp.         40056FMW2 07/03/19 07/01/22    100.000     0.000     2.3820     36.02   0.068549   0.069365   0.070191                          24.82    12.63
GS Finance Corp.         40056FN27 06/28/19 12/31/26    100.000     0.000     3.0233     46.30   0.087863   0.089191   0.090539   0.091908  0.093297     31.87    32.84
GS Finance Corp.         40056FP90 06/21/19 06/23/22    100.000     0.000     2.5898     40.10   0.074782   0.075750   0.076731                          27.11    13.20
GS Finance Corp.         40056FPL3 06/28/19 06/11/21    100.000     0.000     2.3601     36.04   0.067832                                                10.85         
GS Finance Corp.         40056FPU3 07/03/19 07/08/24    100.000     0.000     2.7199     41.21   0.077651   0.078708   0.079778   0.080863  0.081963     28.51    29.29
GS Finance Corp.         40056FRU1 07/31/19 04/29/22    100.000     0.000     2.2579     32.41   0.064501   0.065229   0.065965                          23.44     7.78
GS Finance Corp.         40056FRX5 07/31/19 07/31/25    100.000     0.000     2.8851     41.51   0.082469   0.083659   0.084866   0.086090  0.087332     30.26    31.14
GS Finance Corp.         40056FRY3 07/31/19 01/31/23    100.000     0.000     2.5974     37.32   0.074037   0.074999   0.075973   0.076960  0.077959     27.12    27.83
GS Finance Corp.         40056FSC0 07/31/19 08/10/26    100.000     0.000     3.0000     43.20   0.085923   0.087212   0.088520   0.089848  0.091195     31.53    32.48
GS Finance Corp.         40056FSD8 07/31/19 07/29/22    100.000     0.000     2.4693     35.46   0.070291   0.071158   0.072037   0.072926               25.73    15.14
GS Finance Corp.         40056FSG1 07/11/19 08/04/21    100.000     0.000     2.1199     31.55   0.060223   0.060861                                     12.94         
GS Finance Corp.         40056FSN6 07/31/19 07/31/25    100.000     0.000     2.8851     41.51   0.082469   0.083659   0.084866   0.086090  0.087332     30.26    31.14
GS Finance Corp.         40056FSQ9 08/05/19 08/14/24    100.000     0.000     2.7501     39.16   0.078560   0.079641   0.080736   0.081846  0.082971     28.77    29.57
GS Finance Corp.         40056FSS5 08/05/19 02/05/25    100.000     0.000     2.8100     40.02   0.080265   0.081393   0.082537   0.083696  0.084872     29.43    30.26
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056FST3 08/05/19 02/03/22    100.000     0.000     2.0460     29.03   0.057997   0.058590   0.059189                          21.16     1.89
GS Finance Corp.         40056FSU0 08/05/19 02/03/23    100.000     0.000     2.5838     36.76   0.073629   0.074580   0.075543   0.076519  0.077508     26.96    27.66
GS Finance Corp.         40056FT62 08/05/19 08/04/22    100.000     0.000     2.4693     35.11   0.070291   0.071158   0.072037   0.072926               25.72    15.50
GS Finance Corp.         40056FTA3 08/05/19 08/04/22    100.000     0.000     2.4693     35.11   0.070291   0.071158   0.072037   0.072926               25.72    15.50
GS Finance Corp.         40056FTJ4 07/10/19 07/09/21    100.000     0.000     2.1201     31.60   0.060143   0.060781                                     11.42         
GS Finance Corp.         40056FTN5 07/31/19 08/09/29*   100.000     0.000     3.2400     46.71   0.093015   0.094522                                     20.55*        
GS Finance Corp.         40056FU86 07/17/19 07/15/21    100.000     0.000     2.1201     31.18   0.060141   0.060778                                     11.78         
GS Finance Corp.         40056FUM5 07/22/19 07/21/22    100.000     0.000     2.4693     36.02   0.070291   0.071158   0.072037   0.072926               25.74    14.57
GS Finance Corp.         40056FUS2 07/24/19 07/22/21    100.000     0.000     2.1201     30.76   0.060141   0.060778                                     12.20         
GS Finance Corp.         40056FUX1 08/02/19 02/03/22    100.000     0.000     2.0917     29.87   0.059329   0.059950   0.060577                          21.65     1.94
GS Finance Corp.         40056FUY9 07/26/19 01/28/21    100.000     0.000     2.1200     30.64   0.060151                                                 1.62         
GS Finance Corp.         40056FV36 08/02/19 02/03/22    100.000     0.000     2.0917     29.87   0.059329   0.059950   0.060577                          21.65     1.94
GS Finance Corp.         40056FVM4 07/31/19 07/29/21    100.000     0.000     2.1201     30.40   0.060143   0.060781                                     12.62         
GS Finance Corp.         40056FVV4 08/09/19 08/04/21    100.000     0.000     1.8998     26.73   0.053766   0.054277                                     11.54         
GS Finance Corp.         40056FWD3 08/30/19 09/11/26*   100.000     0.000     2.5401     34.32   0.072417   0.073336   0.074268                          18.42*        
GS Finance Corp.         40056FWY7 08/30/19 09/11/26*   100.000     0.000     2.5401     34.32   0.072417   0.073336   0.074268                          18.42*        
GS Finance Corp.         40056FX34 08/30/19 09/11/26*   100.000     0.000     2.5401     34.32   0.072417   0.073336   0.074268                          18.42*        
GS Finance Corp.         40056FX42 08/30/19 09/11/26*   100.000     0.000     2.5401     34.32   0.072417   0.073336   0.074268                          18.42*        
GS Finance Corp.         40056FX67 08/30/19 09/11/29*   100.000     0.000     2.7400     37.06   0.078276   0.079349   0.080436                          19.92*        
GS Finance Corp.         40056FX75 08/30/19 09/02/25    100.000     0.000     2.4350     32.88   0.069306   0.070150   0.071004   0.071869  0.072744     25.30    25.92
GS Finance Corp.         40056FX83 09/05/19 03/03/22    100.000     0.000     1.8401     24.52   0.052053   0.052532   0.053015                          18.94     3.29
GS Finance Corp.         40056FX91 09/05/19 03/05/25    100.000     0.000     2.3900     31.93   0.067984   0.068796   0.069618   0.070450  0.071292     24.81    25.41
GS Finance Corp.         40056FXA8 09/05/19 03/03/23    100.000     0.000     2.2054     29.44   0.062613   0.063303   0.064001   0.064707  0.065421     22.83    23.33
GS Finance Corp.         40056FXB6 09/05/19 09/16/24*   100.000     0.000     2.3400     31.26   0.066578   0.067357                                     16.98*        
GS Finance Corp.         40056FXS9 08/30/19 03/04/25    100.000     0.000     2.3825     32.17   0.067785   0.068592   0.069409   0.070236  0.071073     24.74    25.33
GS Finance Corp.         40056FY66 09/05/19 09/02/22    100.000     0.000     2.1097     28.15   0.059837   0.060468   0.061106   0.061750               21.81    14.84
GS Finance Corp.         40056FYB5 09/05/19 09/02/22    100.000     0.000     2.1097     28.15   0.059837   0.060468   0.061106   0.061750               21.81    14.84
GS Finance Corp.         40056FYH2 08/30/19 06/02/22    100.000     0.000     1.9802     26.70   0.056383   0.056941   0.057505                          20.43     8.68
GS Finance Corp.         40056FYT6 08/22/19 08/31/22    100.000     0.000     2.2099     30.32   0.062781   0.063467   0.064176   0.064877               22.89    15.47
GS Finance Corp.         40056FYU3 08/30/19 09/01/22    100.000     0.000     2.1600     29.14   0.061308   0.061970   0.062639   0.063316               22.35    15.16
GS Finance Corp.         40056FYV1 08/30/19 03/04/27    100.000     0.000     2.5733     34.77   0.073351   0.074295   0.075251   0.076219  0.077200     26.80    27.49
GS Finance Corp.         40056FYW9 08/30/19 09/02/25    100.000     0.000     2.4350     32.88   0.069306   0.070150   0.071004   0.071869  0.072744     25.30    25.92
GS Finance Corp.         40056FZS7 08/30/19 09/04/24    100.000     0.000     2.3300     31.45   0.066255   0.067027   0.067808   0.068598  0.069397     24.17    24.74
GS Finance Corp.         40056FZX6 08/21/19 10/12/21    100.000     0.000     1.9000     26.09   0.053930   0.054442                                     15.25         
GS Finance Corp.         40056X2D7 08/20/19 11/23/21    100.000     0.000     1.8999     26.14   0.054046   0.054560                                     17.50         
GS Finance Corp.         40056X3M6 08/30/19 02/22/21    100.000     0.000     1.8999     25.60   0.053760                                                 2.74         
GS Finance Corp.         40056X3R5 08/14/19 08/12/21    100.000     0.000     1.9002     26.46   0.053785   0.054296                                     11.98         
GS Finance Corp.         40056X3Y0 08/30/19 02/25/21    100.000     0.000     1.8998     25.60   0.053766                                                 2.90         
GS Finance Corp.         40056X4R4 08/30/19 11/22/21    100.000     0.000     1.9000     25.61   0.054019   0.054532                                     17.43         
GS Finance Corp.         40056X5G7 08/29/19 08/31/21    100.000     0.000     1.9000     25.65   0.053789   0.054294                                     12.95         
GS Finance Corp.         40056X5V4 09/30/19 10/09/26    100.000     0.000     2.7800     35.22   0.079439   0.080543   0.081662   0.082797  0.083948     28.98    29.79
GS Finance Corp.         40056X5Z5 10/03/19 10/15/24    100.000     0.000     2.4599     30.92   0.070081   0.070943   0.071815   0.072698  0.073593     25.52    26.15
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056X6B7 10/03/19 07/06/23    100.000     0.000     2.3413     29.41   0.066194   0.066969   0.067753   0.068546  0.069348     24.24    24.81
GS Finance Corp.         40056X6E1 09/30/19 10/10/29*   100.000     0.000     3.0300     38.43   0.086810   0.088125   0.089460                          24.64*        
GS Finance Corp.         40056X6K7 09/30/19 09/29/22    100.000     0.000     2.2654     28.64   0.064358   0.065087   0.065824   0.066570               23.44    17.78
GS Finance Corp.         40056X6P6 09/30/19 10/09/26    100.000     0.000     2.7800     35.22   0.079439   0.080543   0.081662   0.082797  0.083948     28.98    29.79
GS Finance Corp.         40056X6X9 09/30/19 10/10/29*   100.000     0.000     3.0300     38.43   0.086810   0.088125   0.089460                          24.64*        
GS Finance Corp.         40056XAG1 09/30/19 09/29/22    100.000     0.000     2.2654     28.64   0.064358   0.065087   0.065824   0.066570               23.44    17.78
GS Finance Corp.         40056XAS5 09/30/19 03/28/25    100.000     0.000     2.5900     32.79   0.073810   0.074766   0.075735   0.076715  0.077709     26.92    27.62
GS Finance Corp.         40056XAT3 09/30/19 09/30/27    100.000     0.000     2.8633     36.28   0.081829   0.083001   0.084189   0.085394  0.086617     29.88    30.75
GS Finance Corp.         40056XB39 10/03/19 10/05/22    100.000     0.000     2.2701     28.51   0.064506   0.065238   0.065979   0.066728               23.48    18.21
GS Finance Corp.         40056XBV7 09/18/19 09/28/26*   100.000     0.000     2.8901     37.62   0.082682   0.083877                                     22.21*        
GS Finance Corp.         40056XCP9 09/30/19 05/28/21    100.000     0.000     1.8399     23.23   0.052207                                                 7.67         
GS Finance Corp.         40056XCQ7 09/11/19 03/10/22    100.000     0.000     1.8400     24.21   0.052052   0.052531   0.053014                          18.93     3.66
GS Finance Corp.         40056XCS3 09/23/19 09/18/29*   100.000     0.000     3.0928     39.85   0.088552   0.089921   0.091312                          23.83*        
GS Finance Corp.         40056XDT0 09/27/19 10/05/26    100.000     0.000     2.7000     34.43   0.077085   0.078126   0.079181   0.080250  0.081333     28.12    28.88
GS Finance Corp.         40056XDX1 10/08/19 10/09/29    100.000     0.000     2.9000     36.09   0.082914   0.084116   0.085336   0.086573  0.087829     30.26    31.15
GS Finance Corp.         40056XEZ5 10/02/19 10/04/24    100.000     0.000     2.4700     31.11   0.070326   0.071195   0.072074   0.072964  0.073865     25.63    26.26
GS Finance Corp.         40056XFE1 11/05/19 08/03/23    100.000     0.000     2.2501     26.22   0.063553   0.064268   0.064991   0.065723  0.066462     23.22    23.75
GS Finance Corp.         40056XFJ0 10/31/19 05/01/25    100.000     0.000     2.5800     30.45   0.073534   0.074482   0.075443   0.076416  0.077402     26.76    27.45
GS Finance Corp.         40056XFQ4 10/31/19 11/02/27    100.000     0.000     2.8600     33.79   0.081744   0.082913   0.084099   0.085302  0.086521     29.78    30.64
GS Finance Corp.         40056XG34 10/31/19 11/02/22    100.000     0.000     2.3000     27.12   0.065374   0.066126   0.066886   0.067655               23.76    20.27
GS Finance Corp.         40056XG91 11/05/19 11/03/22    100.000     0.000     2.1195     24.68   0.060123   0.060760   0.061404   0.062055               21.83    18.66
GS Finance Corp.         40056XGF7 11/05/19 11/03/22    100.000     0.000     2.1195     24.68   0.060123   0.060760   0.061404   0.062055               21.83    18.66
GS Finance Corp.         40056XGY6 10/31/19 11/12/26*   100.000     0.000     2.7600     32.60   0.078870   0.079959                                     24.72*        
GS Finance Corp.         40056XGZ3 10/31/19 11/13/29*   100.000     0.000     3.0600     36.18   0.087719   0.089061                                     27.52*        
GS Finance Corp.         40056XH33 10/31/19 11/12/26*   100.000     0.000     2.7600     32.60   0.078870   0.079959                                     24.72*        
GS Finance Corp.         40056XH41 10/31/19 11/12/26*   100.000     0.000     2.7600     32.60   0.078870   0.079959                                     24.72*        
GS Finance Corp.         40056XH58 10/31/19 11/13/29*   100.000     0.000     3.0600     36.18   0.087719   0.089061                                     27.52*        
GS Finance Corp.         40056XHB5 10/24/19 05/05/27*   100.000     0.000     2.7683     33.17   0.079109   0.080204                                     24.17*        
GS Finance Corp.         40056XHC3 10/07/19 10/06/22    100.000     0.000     2.1388     26.60   0.060684   0.061333   0.061989   0.062651               22.07    17.17
GS Finance Corp.         40056XHF6 10/31/19 10/31/22    100.000     0.000     2.2999     27.12   0.065363   0.066114   0.066875   0.067644               23.76    20.13
GS Finance Corp.         40056XKH8 10/28/19 10/22/27    100.000     1.000     2.8087     33.29   0.079410   0.080525   0.080876   0.082012  0.082383     28.89    29.42
GS Finance Corp.         40056XLC8 11/04/19 01/05/21    100.000     0.000     1.6703     19.46   0.046916                                                 0.19         
GS Finance Corp.         40056XLD6 11/07/19 11/20/29*   100.000     0.000     2.9500     34.28   0.084469   0.085715   0.086979                          27.34*        
GS Finance Corp.         40056XM37 12/02/19 12/01/22    100.000     0.000     2.1584     23.48   0.061252   0.061913   0.062581   0.063257               22.21    20.77
GS Finance Corp.         40056XM52 12/02/19 12/01/22    100.000     0.000     2.1584     23.48   0.061252   0.061913   0.062581   0.063257               22.21    20.77
GS Finance Corp.         40056XM78 12/02/19 11/30/23    100.000     0.000     2.3118     25.16   0.065700   0.066460   0.067228   0.068005  0.068791     23.84    24.39
GS Finance Corp.         40056XME3 11/29/19 05/30/25    100.000     0.000     2.4675     27.08   0.070248   0.071115   0.071992   0.072880  0.073779     25.50    26.13
GS Finance Corp.         40056XN77 11/29/19 12/01/27    100.000     0.000     2.7267     29.94   0.077832   0.078893   0.079969   0.081059  0.082164     28.27    29.05
GS Finance Corp.         40056XNB8 11/18/19 11/28/29*   100.000     0.000     3.0200     34.15   0.086513   0.087820   0.089146                          28.70*        
GS Finance Corp.         40056XND4 12/02/19 12/04/24*   100.000     0.000     2.4200     26.34   0.068870   0.069703   0.070546                          23.51*        
GS Finance Corp.         40056XNE2 12/02/19 12/04/24    100.000     0.000     2.4200     26.34   0.068870   0.069703   0.070546   0.071400  0.072264     24.99    25.60
GS Finance Corp.         40056XNH5 11/29/19 12/10/26    100.000     0.000     2.6400     28.98   0.075342   0.076336   0.077344   0.078365  0.079399     27.34    28.07
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056XNJ1 11/29/19 12/03/29*   100.000     0.000     2.9000     31.86   0.082936   0.084139   0.085359                          28.35*        
GS Finance Corp.         40056XNK8 11/29/19 12/03/29*   100.000     0.000     2.9000     31.86   0.082936   0.084139   0.085359                          28.35*        
GS Finance Corp.         40056XNL6 11/29/19 12/10/26    100.000     0.000     2.6400     28.98   0.075342   0.076336   0.077344   0.078365  0.079399     27.34    28.07
GS Finance Corp.         40056XNM4 11/29/19 12/10/26*   100.000     0.000     2.6400     28.98   0.075342   0.076336                                     25.72*        
GS Finance Corp.         40056XNS1 11/22/19 11/23/29    100.000     0.000     2.9800     33.35   0.085269   0.086539   0.087829   0.089137  0.090466     31.02    31.95
GS Finance Corp.         40056XNT9 11/13/19 11/10/22    100.000     0.000     2.2750     25.98   0.064628   0.065363   0.066107   0.066859               23.47    20.56
GS Finance Corp.         40056XPY6 11/19/19 12/01/26*   100.000     0.000     2.7100     30.53   0.077402   0.078451                                     25.65*        
GS Finance Corp.         40056XQ33 11/18/19 03/17/21    100.000     0.000     1.6802     18.92   0.047325                                                 3.60         
GS Finance Corp.         40056XQ66 11/21/19 11/15/29*   100.000     0.000     2.9200     32.76   0.083457                                                11.10*        
GS Finance Corp.         40056XQ74 12/03/19 12/02/21    100.000     0.000     1.6801     18.20   0.047455   0.047853                                     15.78         
GS Finance Corp.         40056XQR0 11/29/19 12/10/29*   100.000     0.000     2.9000     31.86   0.082982   0.084185                                     28.35*        
GS Finance Corp.         40056XQW9 12/04/19 02/03/22    100.000     0.000     1.5999     17.29   0.044913   0.045273   0.045635                          16.34     1.46
GS Finance Corp.         40056XRY4 01/03/20 10/03/24    100.000     0.000     2.4313     24.36   0.068773   0.069609   0.070456   0.071312  0.072179     25.06    25.67
GS Finance Corp.         40056XRZ1 01/03/20 01/05/24    100.000     0.000     2.3449     23.46   0.065909   0.066681   0.067463   0.068254  0.069054     24.14    24.71
GS Finance Corp.         40056XS23 01/03/20 01/14/25    100.000     0.000     2.4601     24.62   0.069228   0.070080   0.070942                          25.36     0.85
GS Finance Corp.         40056XSF4 12/27/19 06/26/25    100.000     0.000     2.5775     26.24   0.073450   0.074397   0.075355   0.076327  0.077310     26.62    27.31
GS Finance Corp.         40056XSK3 12/27/19 01/08/27    100.000     0.000     2.7200     27.70   0.076648   0.077690   0.078747   0.079818  0.080904     28.14    28.91
GS Finance Corp.         40056XSL1 12/27/19 01/09/30    100.000     0.000     2.8800     29.35   0.081230   0.082400   0.083587                          29.86     0.42
GS Finance Corp.         40056XSM9 12/27/19 01/08/27    100.000     0.000     2.7200     27.70   0.076648   0.077690   0.078747                          28.14     0.39
GS Finance Corp.         40056XSN7 12/27/19 01/08/27    100.000     0.000     2.7200     27.70   0.076648   0.077690   0.078747                          28.14     0.39
GS Finance Corp.         40056XSP2 12/27/19 01/08/27    100.000     0.000     2.7200     27.70   0.076648   0.077690   0.078747   0.079818  0.080904     28.14    28.91
GS Finance Corp.         40056XSQ0 12/27/19 01/09/30    100.000     0.000     2.8800     29.35   0.081230   0.082400   0.083587   0.084790  0.086011     29.86    30.72
GS Finance Corp.         40056XT30 01/03/20 01/05/23    100.000     0.000     2.2302     22.30   0.062647   0.063346   0.064052   0.064766  0.065489     22.93    23.44
GS Finance Corp.         40056XT48 01/03/20 01/05/23    100.000     0.000     2.2302     22.30   0.062647   0.063346   0.064052   0.064766  0.065489     22.93    23.44
GS Finance Corp.         40056XTK2 12/03/19 12/03/24    100.000     0.000     2.4500     26.60   0.069734   0.070588   0.071453   0.072328  0.073214     25.31    25.93
GS Finance Corp.         40056XTW6 12/27/19 12/28/27    100.000     0.000     2.7733     28.24   0.079195   0.080293   0.081406   0.082535  0.083679     28.71    29.52
GS Finance Corp.         40056XUH7 12/16/19 12/26/29*   100.000     0.000     2.8000     29.40   0.080033   0.081153   0.082290                          28.70*        
GS Finance Corp.         40056XVK9 12/27/19 01/09/30    100.000     0.000     2.8800     29.35   0.081230   0.082400   0.083587                          29.86     0.42
GS Finance Corp.         40056XW44 01/08/20 01/17/30    100.000     0.000     2.8100     27.75   0.079207   0.080320   0.081448   0.082593               29.08     1.39
GS Finance Corp.         40056XWE2 12/31/19 12/29/21    100.000     1.000     1.6015     16.12   0.044754   0.045112                                     16.09         
GS Finance Corp.         40056XWF9 12/31/19 12/29/22    100.000     1.500     2.2043     22.23   0.061667   0.062346   0.062115   0.062800               22.32    22.36
GS Finance Corp.         40056XWG7 12/31/19 12/29/23    100.000     1.600     2.3779     23.89   0.066565   0.066828   0.067094   0.067363  0.067636     24.01    24.20
GS Finance Corp.         40056XWH5 12/31/19 12/30/24    100.000     2.000     2.4808     25.03   0.069253   0.070113   0.069604   0.070467  0.069963     25.09    25.21
GS Finance Corp.         40056XXQ4 02/05/20 02/05/24    100.000     0.000     2.0150     18.33   0.056536   0.057106   0.057681   0.058262  0.058849     20.62    21.04
GS Finance Corp.         40056XXR2 02/05/20 02/05/24    100.000     0.000     2.0150     18.33   0.056536   0.057106   0.057681   0.058262  0.058849     20.62    21.04
GS Finance Corp.         40056XXS0 02/05/20 02/14/25*   100.000     0.000     2.1100     19.20   0.059262   0.059887                                      2.67*        
GS Finance Corp.         40056XXT8 02/05/20 02/14/25    100.000     0.000     2.1100     19.20   0.059262   0.059887   0.060519   0.061157  0.061802     21.62    22.08
GS Finance Corp.         40056XXZ4 01/31/20 07/31/25    100.000     0.000     2.2875     21.14   0.064268   0.065003   0.065747   0.066499  0.067260     23.49    24.03
GS Finance Corp.         40056XYT7 01/31/20 02/02/28    100.000     0.000     2.5000     23.12   0.070323   0.071202   0.072092   0.072993  0.073905     25.74    26.39
GS Finance Corp.         40056XYY6 01/31/20 02/11/27    100.000     0.000     2.4300     22.47   0.068371   0.069202   0.070043   0.070894  0.071755     25.00    25.61
GS Finance Corp.         40056XYZ3 01/31/20 02/11/27    100.000     0.000     2.4300     22.47   0.068371   0.069202   0.070043   0.070894  0.071755     25.00    25.61
GS Finance Corp.         40056XZ25 01/31/20 02/11/30    100.000     0.000     2.6400     24.43   0.074361   0.075343   0.076337   0.077345  0.078366     27.22    27.95
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056XZ33 01/31/20 02/11/27    100.000     0.000     2.4300     22.47   0.068371   0.069202   0.070043   0.070894  0.071755     25.00    25.61
GS Finance Corp.         40056XZ41 01/31/20 02/11/27    100.000     0.000     2.4300     22.47   0.068371   0.069202   0.070043   0.070894  0.071755     25.00    25.61
GS Finance Corp.         40056XZC3 01/31/20 02/11/30    100.000     0.000     2.6400     24.43   0.074361   0.075343   0.076337   0.077345  0.078366     27.22    27.95
GS Finance Corp.         40056XZS8 02/05/20 02/03/23    100.000     0.000     1.8668     16.98   0.052335   0.052824   0.053317   0.053815  0.054317     19.07    19.43
GS Finance Corp.         40056XZU3 02/05/20 02/03/23    100.000     0.000     1.8668     16.98   0.052335   0.052824   0.053317   0.053815  0.054317     19.07    19.43
GS Finance Corp.         40056Y6J8 01/31/20 01/31/23    100.000     0.000     2.0501     18.94   0.057530   0.058120   0.058716   0.059318  0.059926     21.00    21.43
GS Finance Corp.         40056Y6P4 01/31/20 01/31/24    100.000     0.000     2.1851     20.19   0.061360   0.062031   0.062708   0.063393  0.064086     22.41    22.91
GS Finance Corp.         40056Y6Q2 01/31/20 01/31/23    100.000     0.000     2.1001     19.40   0.058948   0.059567   0.060193   0.060825  0.061464     21.52    21.98
GS Finance Corp.         40056Y7A6 01/27/20 02/05/30    100.000     0.000     2.6900     25.12   0.075772   0.076791   0.077824   0.078871  0.079932     27.76    28.51
GS Finance Corp.         40056Y7G3 01/22/20 03/20/25    100.000     0.000     2.3879     22.64   0.067381   0.068185   0.068999   0.069823  0.070657     24.57    25.16
GS Finance Corp.         40056YCH5 01/24/20 01/25/30    100.000     0.000     2.7100     25.53   0.076304   0.077338   0.078385   0.079448  0.080524     27.98    28.74
GS Finance Corp.         40056YDZ4 03/04/20 03/14/25    100.000     0.000     1.8399     15.24   0.051606   0.052080   0.052560   0.053043  0.053531     18.77    19.11
GS Finance Corp.         40056YE26 03/04/20 03/14/25*   100.000     0.000     1.8399     15.24   0.051606   0.052080                                      3.82*        
GS Finance Corp.         40056YE34 02/06/20 02/19/30    100.000     0.000     2.5700     23.34   0.072374   0.073304   0.074246   0.075200  0.076166     26.47    27.15
GS Finance Corp.         40056YET7 03/04/20 09/03/24    100.000     0.000     1.7759     14.70   0.049766   0.050208   0.050654   0.051103  0.051557     18.10    18.42
GS Finance Corp.         40056YFG4 03/04/20 03/03/23    100.000     0.000     1.5749     13.03   0.044088   0.044436   0.044786   0.045138  0.045494     16.02    16.27
GS Finance Corp.         40056YFZ2 02/28/20 03/01/28    100.000     0.000     2.3000     19.45   0.064635   0.065378   0.066130   0.066890  0.067659     23.58    24.13
GS Finance Corp.         40056YGN8 02/28/20 08/28/25    100.000     0.000     2.0300     17.16   0.056960   0.057538   0.058122   0.058712  0.059308     20.75    21.18
GS Finance Corp.         40056YGS7 02/28/20 03/11/27    100.000     0.000     2.2100     18.69   0.062117   0.062804   0.063498   0.064199  0.064909     22.64    23.14
GS Finance Corp.         40056YGT5 02/28/20 03/11/27    100.000     0.000     2.2100     18.69   0.062117   0.062804   0.063498   0.064199  0.064909     22.64    23.14
GS Finance Corp.         40056YGU2 02/28/20 03/11/27    100.000     0.000     2.2100     18.69   0.062117   0.062804   0.063498   0.064199  0.064909     22.64    23.14
GS Finance Corp.         40056YGZ1 02/28/20 03/11/30    100.000     0.000     2.4800     20.99   0.069805   0.070670   0.071547   0.072434  0.073332     25.48    26.11
GS Finance Corp.         40056YH23 02/28/20 03/11/30    100.000     0.000     2.4800     20.99   0.069805   0.070670   0.071547   0.072434  0.073332     25.48    26.11
GS Finance Corp.         40056YH56 02/28/20 03/11/27    100.000     0.000     2.2100     18.69   0.062117   0.062804   0.063498   0.064199  0.064909     22.64    23.14
GS Finance Corp.         40056YH64 02/28/20 08/28/24    100.000     0.000     1.9925     16.84   0.055899   0.056456   0.057018   0.057586  0.058160     20.36    20.77
GS Finance Corp.         40056YH72 02/28/20 02/28/23    100.000     0.000     1.8799     15.88   0.052711   0.053207   0.053707   0.054212  0.054721     19.19    19.55
GS Finance Corp.         40056YHR8 02/12/20 02/23/27    100.000     0.000     2.3500     20.94   0.066092   0.066869   0.067655   0.068450  0.069254     24.13    24.70
GS Finance Corp.         40056YJF2 02/20/20 02/15/23    100.000     0.000     1.9251     16.70   0.053975   0.054495   0.055019   0.055549  0.056084     19.67    20.05
GS Finance Corp.         40056YJM7 02/21/20 02/21/30    100.000    VARIES     2.5596     21.97   0.070587   0.070069   0.069543   0.069011  0.068671     25.18    24.83
GS Finance Corp.         40056YJX3 02/26/20 03/07/30    100.000     0.000     2.4900     21.21   0.070082   0.070954   0.071838   0.072732  0.073638     25.59    26.23
GS Finance Corp.         40056YJY1 02/26/20 03/07/30    100.000     0.000     2.4900     21.21   0.070082   0.070954   0.071838   0.072732  0.073638     25.59    26.23
GS Finance Corp.         40056YL77 03/09/20 05/11/22    100.000     0.000     1.4901     12.13   0.041807   0.042118   0.042432                          15.14     5.52
GS Finance Corp.         40056YM76 04/03/20 04/05/23    100.000     0.000     2.5099     18.76   0.070605   0.071491   0.072388   0.073296  0.074216     25.73    26.38
GS Finance Corp.         40056YNK6 03/31/20 10/01/25    100.000     0.000     3.2325     24.47   0.091250   0.092725   0.094224   0.095747  0.097294     33.38    34.47
GS Finance Corp.         40056YNL4 04/03/20 04/04/24    100.000     0.000     2.6801     20.04   0.075449   0.076460   0.077485   0.078523  0.079575     27.52    28.26
GS Finance Corp.         40056YNR1 03/27/20 03/27/25    100.000     0.000     3.8599     29.57   0.109289   0.111399   0.113549   0.115740  0.117974     40.12    41.69
GS Finance Corp.         40056YNS9 03/27/20 03/27/23    100.000     0.000     3.5399     27.11   0.100072   0.101844   0.103646   0.105481  0.107348     36.68    37.99
GS Finance Corp.         40056YPD0 03/31/20 04/01/27    100.000     0.000     3.3000     24.98   0.093187   0.094725   0.096288   0.097876  0.099491     34.10    35.24
GS Finance Corp.         40056YQ56 03/31/20 03/30/28    100.000     0.000     3.3672     25.49   0.095107   0.096708   0.098336   0.099992  0.101675     34.82    36.00
GS Finance Corp.         40056YR30 03/31/20 04/09/30*   100.000     0.000     3.5200     26.66   0.099586                                                 9.76*        
GS Finance Corp.         40056YR55 03/31/20 04/09/30*   100.000     0.000     3.5200     26.66   0.099586                                                 9.76*        
GS Finance Corp.         40056YRP1 03/31/20 04/12/27*   100.000     0.000     3.3000     24.99   0.093282                                                 9.14*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40056YRQ9 03/31/20 04/12/27    100.000     0.000     3.3000     24.99   0.093282   0.094821   0.096385   0.097976  0.099592     34.10    35.24
GS Finance Corp.         40056YRR7 03/31/20 04/12/27    100.000     0.000     3.3000     24.99   0.093282   0.094821   0.096385   0.097976  0.099592     34.10    35.24
GS Finance Corp.         40056YS39 03/31/20 04/01/27    100.000     0.000     3.3000     24.98   0.093187   0.094725   0.096288   0.097876  0.099491     34.10    35.24
GS Finance Corp.         40056YVU5 03/24/20 03/23/23    100.000     0.000     3.9958     30.96   0.113199   0.115461   0.117767   0.120120  0.122520     41.61    43.29
GS Finance Corp.         40056YXF6 04/14/20 10/15/25    100.000     0.000     2.1451     15.36   0.060228   0.060874   0.061526   0.062186  0.062853     21.90    22.37
GS Finance Corp.         40056YXG4 04/14/20 04/14/27    100.000     0.000     2.3699     16.98   0.066612   0.067401   0.068200   0.069008  0.069826     24.24    24.82
GS Finance Corp.         40056YXV1 04/13/20 04/11/25    100.000     0.000     2.5468     18.32   0.071634   0.072547   0.073470   0.074406  0.075353     26.10    26.77
GS Finance Corp.         40056YXW9 04/13/20 04/11/24    100.000     0.000     2.3867     17.17   0.067081   0.067881   0.068692   0.069511  0.070341     24.42    25.01
GS Finance Corp.         40056YXX7 04/14/20 04/23/27*   100.000     0.000     2.3700     16.98   0.066652                                                 7.47*        
GS Finance Corp.         40056YYK4 04/22/20 05/01/30*   100.000     0.000     2.7300     18.96   0.076921   0.077971                                      9.39*        
GS Finance Corp.         40056YYL2 04/22/20 05/01/30*   100.000     0.000     2.7300     18.96   0.076921   0.077971                                      9.39*        
GS Finance Corp.         40056YZ49 04/13/20 04/13/27    100.000     0.000     2.8100     20.22   0.079151   0.080263   0.081391   0.082534  0.083694     28.87    29.69
GS Finance Corp.         40056YZD9 05/05/20 05/03/24    100.000     0.000     1.8596     12.22   0.052131   0.052615   0.053104   0.053598  0.054097     18.91    19.26
GS Finance Corp.         40056YZE7 04/30/20 10/30/25    100.000     0.000     2.2800     15.31   0.064056   0.064787   0.065525   0.066272  0.067028     23.28    23.82
GS Finance Corp.         40057C2Z3 05/29/20 06/23/21    100.000     0.000     0.4999      2.94   0.013925                                                 2.40         
GS Finance Corp.         40057C5A5 06/30/20 06/29/28    100.000     0.000     1.9400      9.76   0.054410   0.054938   0.055471   0.056009  0.056552     19.68    20.07
GS Finance Corp.         40057C5X5 07/06/20 01/03/25    100.000     0.000     1.2962      6.30   0.036005   0.036235   0.036470   0.036706  0.036944     13.09    13.26
GS Finance Corp.         40057C6F3 06/30/20 07/10/30*   100.000     0.000     2.1900     11.02   0.060871   0.061538   0.062211                          11.75*        
GS Finance Corp.         40057C6G1 06/30/20 07/10/30*   100.000     0.000     2.1900     11.02   0.060871   0.061538   0.062211                          11.75*        
GS Finance Corp.         40057C7A3 06/30/20 07/12/27*   100.000     0.000     1.8300      9.21   0.050865   0.051331                                      9.80*        
GS Finance Corp.         40057C7B1 06/30/20 07/12/27    100.000     0.000     1.8300      9.21   0.050865   0.051331   0.051800   0.052274  0.052753     18.55    18.89
GS Finance Corp.         40057C7E5 06/30/20 06/30/27    100.000     0.000     1.8299      9.20   0.051297   0.051766   0.052240   0.052718  0.053200     18.55    18.89
GS Finance Corp.         40057CDX6 07/31/20 08/02/28    100.000     0.000     1.6767      7.03   0.046581   0.046971   0.047365   0.047762  0.048163     16.96    17.24
GS Finance Corp.         40057CFR7 07/31/20 08/11/27    100.000     0.000     1.5700      6.59   0.043631   0.043974   0.044319   0.044667  0.045017     15.87    16.12
GS Finance Corp.         40057CFS5 07/31/20 08/11/27    100.000     0.000     1.5700      6.59   0.043631   0.043974   0.044319   0.044667  0.045017     15.87    16.12
GS Finance Corp.         40057CFT3 07/31/20 08/02/27    100.000     0.000     1.5699      6.59   0.043613   0.043956   0.044301   0.044648  0.044999     15.86    16.11
GS Finance Corp.         40057CFU0 07/31/20 08/02/27    100.000     0.000     1.5699      6.59   0.043613   0.043956   0.044301   0.044648  0.044999     15.86    16.11
GS Finance Corp.         40057CFX4 07/31/20 08/12/30*   100.000     0.000     1.8900      7.93   0.052533   0.053030                                     11.65*        
GS Finance Corp.         40057CG70 07/23/20 07/24/25    100.000     0.000     1.2699      5.57   0.035277   0.035501   0.035727   0.035954  0.036182     12.81    12.97
GS Finance Corp.         40057CKY6 09/03/20 09/06/24    100.000     0.000     0.9900      3.25   0.027503   0.027639   0.027776   0.027914  0.028052      9.96    10.06
GS Finance Corp.         40057CM73 08/31/20 08/31/26    100.000     0.000     1.3750      4.62   0.038194   0.038453   0.038720   0.038984  0.039255     13.86    14.05
GS Finance Corp.         40057CM81 08/31/20 08/31/26    100.000     0.000     1.3750      4.62   0.038194   0.038453   0.038720   0.038984  0.039255     13.86    14.05
GS Finance Corp.         40057CMG3 08/31/20 09/10/30    100.000     0.000     1.9400      6.52   0.053919   0.054442   0.054970   0.055503  0.056042     19.62    20.00
GS Finance Corp.         40057CQ53 09/03/20 09/06/23    100.000     0.000     0.8300      2.72   0.023057   0.023152   0.023248   0.023345  0.023442      8.34     8.41
GS Finance Corp.         40057CSE2 09/03/20 12/01/22    100.000     0.000     0.5992      1.96   0.016668   0.016718   0.016768   0.016819                6.01     5.54
GS Finance Corp.         40057CTV3 09/30/20 09/30/26    100.000     0.000     1.5050      3.80   0.041804   0.042119   0.042436   0.042755  0.043077     15.16    15.39
GS Finance Corp.         40057CTW1 09/30/20 09/30/26    100.000     0.000     1.5050      3.80   0.041804   0.042119   0.042436   0.042755  0.043077     15.16    15.39
GS Finance Corp.         40057E2G1 04/30/20 04/30/27    100.000     0.000     2.4600     16.52   0.069174   0.070025   0.070887   0.071759  0.072641     25.16    25.78
GS Finance Corp.         40057E2H9 04/30/20 01/30/26    100.000     0.000     2.3100     15.52   0.064537   0.065283   0.066037   0.066799  0.067571     23.59    24.14
GS Finance Corp.         40057E3L9 04/30/20 05/11/27*   100.000     0.000     2.4600     16.52   0.069226                                                 9.00*        
GS Finance Corp.         40057E3U9 05/05/20 05/14/30*   100.000     0.000     2.6400     17.36   0.074351                                                 9.89*        
GS Finance Corp.         40057E5Y9 06/03/20 12/04/24    100.000     0.000     1.7526     10.14   0.049112   0.049542   0.049976   0.050414  0.050856     17.78    18.09
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40057E6D4 06/03/20 06/03/24    100.000     0.000     1.6451      9.52   0.046073   0.046452   0.046834   0.047219  0.047608     16.68    16.95
GS Finance Corp.         40057E6E2 05/29/20 05/29/26    100.000     0.000     2.0800     12.27   0.058378   0.058985   0.059598   0.060218  0.060844     21.16    21.61
GS Finance Corp.         40057E6W2 05/29/20 06/01/28    100.000     0.000     2.3367     13.79   0.065675   0.066442   0.067219   0.068004  0.068798     23.83    24.39
GS Finance Corp.         40057E6Y8 05/29/20 06/01/28    100.000     0.000     2.3367     13.79   0.065675   0.066442   0.067219   0.068004  0.068798     23.83    24.39
GS Finance Corp.         40057EAD9 05/29/20 06/11/30*   100.000     0.000     2.5500     15.05   0.071798                                                11.42*        
GS Finance Corp.         40057EAE7 05/29/20 06/01/27    100.000     0.000     2.2400     13.21   0.062928   0.063632   0.064345   0.065066  0.065795     22.82    23.34
GS Finance Corp.         40057EAF4 05/29/20 06/10/27*   100.000     0.000     2.2300     13.16   0.062678                                                 9.97*        
GS Finance Corp.         40057EKU0 11/30/20 11/30/27    100.000     0.000     1.4899      1.28   0.041387   0.041696   0.042006   0.042319  0.042634     14.97    15.20
GS Finance Corp.         40057EKV8 11/30/20 11/30/27    100.000     0.000     1.4899      1.28   0.041387   0.041696   0.042006   0.042319  0.042634     14.97    15.20
GS Finance Corp.         40057EM38 11/30/20 05/30/28    100.000     0.000     1.5518      1.34   0.043104   0.043439   0.043776   0.044115  0.044458     15.60    15.84
GS Finance Corp.         40057EM46 11/30/20 05/30/28    100.000     0.000     1.5518      1.34   0.043104   0.043439   0.043776   0.044115  0.044458     15.60    15.84
GS Finance Corp.         40057EM53 11/30/20 12/10/30    100.000     0.000     1.8600      1.60   0.051694   0.052174   0.052660   0.053149  0.053644     18.72    19.07
GS Finance Corp.         40057EM61 11/30/20 12/10/30    100.000     0.000     1.8600      1.60   0.051694   0.052174   0.052660   0.053149  0.053644     18.72    19.07
GS Finance Corp.         40057EQ75 12/29/20 12/28/27    100.000     0.000     1.4339      0.08   0.039829   0.040113   0.040401   0.040690  0.040982     14.39    14.60
GS Finance Corp.         40057ER90 12/29/20 01/08/31    100.000     0.000     1.9000      0.11   0.052778   0.052803   0.053305   0.053811  0.054322     19.10    19.46
GS Finance Corp.         40057ERA7 12/29/20 06/28/28    100.000     0.000     1.5125      0.08   0.042015   0.042331   0.042651   0.042973  0.043298     15.18    15.41
GS Finance Corp.         40057ERB5 12/29/20 06/28/28    100.000     0.000     1.5125      0.08   0.042015   0.042331   0.042651   0.042973  0.043298     15.18    15.41
GS Finance Corp.         40057EZJ9 01/29/21 01/31/28    100.000     0.000     1.4700             0.040834   0.040835   0.041136   0.041438  0.041743     13.60    14.95
GS Finance Corp.         40057EZK6 01/29/21 07/31/28    100.000     0.000     1.5383             0.042729   0.042731   0.043060   0.043391  0.043725     14.24    15.66
GS Finance Corp.         40057EZL4 01/29/21 01/31/28    100.000     0.000     1.4700             0.040834   0.040835   0.041136   0.041438  0.041743     13.60    14.95
GS Finance Corp.         40057F2X1 01/29/21 02/10/31    100.000     0.000     1.8800             0.052223   0.052253   0.052744   0.053240  0.053740     17.42    19.22
GS Finance Corp.         40057F2Y9 01/29/21 02/10/31    100.000     0.000     1.8800             0.052223   0.052253   0.052744   0.053240  0.053740     17.42    19.22
GS Finance Corp.         40057F7J7 01/29/21 01/29/36    100.000    VARIES     2.3898                        0.066384   0.065518   0.064641  0.063146     21.91    23.07
GS Finance Corp.         40057FBU7 02/26/21 02/28/28    100.000     0.000     1.6601             0.046113   0.046117   0.046500   0.046886  0.047275     14.11    16.90
GS Finance Corp.         40057FD43 01/29/21 01/29/36    100.000    VARIES     2.3895                        0.066374   0.065508   0.064631  0.063057     21.90    23.05
GS Finance Corp.         40057FE42 02/03/21 02/03/28    100.000     0.000     1.4700                        0.040832   0.041132   0.041434  0.041739     13.44    14.95
GS Finance Corp.         40057FEZ3 02/26/21 02/28/28    100.000     0.000     1.6601             0.046113   0.046117   0.046500   0.046886  0.047275     14.11    16.90
GS Finance Corp.         40057FF41 02/26/21 03/10/31    100.000     0.000     2.1500             0.059723   0.059773   0.060416   0.061065  0.061722     18.30    22.01
GS Finance Corp.         40057FF58 02/26/21 08/28/28    100.000     0.000     1.7417             0.048381   0.048386   0.048807   0.049232  0.049661     14.81    17.75
GS Finance Corp.         40057FF66 02/26/21 02/28/28    100.000     0.000     1.6601             0.046113   0.046117   0.046500   0.046886  0.047275     14.11    16.90
GS Finance Corp.         40057FF74 02/12/21 02/12/31    100.000    VARIES     1.9200                        0.053334   0.052913   0.052487  0.052473     16.95    18.91
GS Finance Corp.         40057FFY5 02/22/21 02/23/28    100.000     0.000     1.5700                        0.043614   0.043957   0.044302  0.044650     13.52    15.98
GS Finance Corp.         40057FGF5 02/11/21 02/11/24    100.000     0.000     0.6198                        0.017218   0.017271   0.017325  0.017378      5.52     6.24
GS Finance Corp.         40057FJM7 02/24/21 02/24/28    100.000     0.000     1.5700                        0.043612   0.043954   0.044299  0.044647     13.43    15.97
GS Finance Corp.         40057FLW2 03/11/21 03/11/31    100.000    VARIES     2.5191                        0.069975   0.069107   0.068228  0.066388     20.20    24.42
GS Finance Corp.         40057FLX0 03/12/21 03/12/36    100.000    VARIES     2.8689                        0.079692   0.078046   0.076376  0.073545     22.85    27.31
GS Finance Corp.         40057FN42 03/31/21 03/30/28    100.000     0.000     2.0392                        0.056644   0.057222   0.057805  0.058394     15.40    20.81
GS Finance Corp.         40057FNX8 03/31/21 04/09/31    100.000     0.000     2.5000             0.069445   0.069488   0.070357   0.071236  0.072127     18.90    25.63
GS Finance Corp.         40057FNY6 03/31/21 04/09/31    100.000     0.000     2.5000             0.069445   0.069488   0.070357   0.071236  0.072127     18.90    25.63
GS Finance Corp.         40057FP24 03/31/21 04/01/27    100.000     0.000     1.8100                        0.050281   0.050736   0.051195  0.051659     13.67    18.43
GS Finance Corp.         40057FP32 03/31/21 04/01/27    100.000     0.000     1.7900                        0.049723   0.050168   0.050617  0.051070     13.52    18.22
GS Finance Corp.         40057FP40 03/31/21 09/29/28    100.000     0.000     2.1210                        0.058918   0.059539   0.060171  0.060809     16.02    21.66
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40057FP57 03/31/21 09/29/28    100.000     0.000     2.1210                        0.058918   0.059539   0.060171  0.060809     16.02    21.66
GS Finance Corp.         40057FQ72 03/10/21 03/10/31    100.000    VARIES     2.5198                        0.069995   0.069477   0.068952  0.068424     20.31    24.80
GS Finance Corp.         40057FS62 03/31/21 03/29/29    100.000     0.000     2.1944                        0.060955   0.061620   0.062296  0.062979     16.58    22.43
GS Finance Corp.         40057FSG0 03/24/21 03/24/31    100.000    VARIES     2.5493                        0.070813   0.069591   0.068354  0.066311     19.50    24.51
GS Finance Corp.         40057FSX3 03/24/21 03/24/31    100.000    VARIES     2.5501                        0.070837   0.069969   0.069090  0.068465     19.54    24.88
GS Finance Corp.         40057FU28 04/09/21 04/09/31    100.000    VARIES     2.4795                        0.068875   0.067318   0.065742  0.064240     17.92    23.70
GS Finance Corp.         40057FUA0 03/31/21 03/31/28    100.000    VARIES     2.1198                        0.058883   0.058624   0.058362  0.058184     15.93    21.02
GS Finance Corp.         40057FW42 04/30/21 05/12/31    100.000     0.000     2.4800             0.068888   0.068945   0.069800   0.070665  0.071541     16.66    25.37
GS Finance Corp.         40057FW59 04/30/21 10/30/26    100.000     0.000     1.6375                        0.045485   0.045858   0.046233  0.046612     10.98    16.62
GS Finance Corp.         40057FW67 04/30/21 10/30/26    100.000     0.000     1.6375                        0.045485   0.045858   0.046233  0.046612     10.98    16.62
GS Finance Corp.         40057FW75 04/30/21 05/02/28    100.000     0.000     2.0200             0.056112   0.056118   0.056685   0.057258  0.057836     13.56    20.58
GS Finance Corp.         40057FW83 04/30/21 05/02/28    100.000     0.000     2.0200             0.056112   0.056118   0.056685   0.057258  0.057836     13.56    20.58
GS Finance Corp.         40057FWL4 04/30/21 05/02/28    100.000     0.000     2.0200             0.056112   0.056118   0.056685   0.057258  0.057836     13.56    20.58
GS Finance Corp.         40057FWV2 04/30/21 05/12/31    100.000     0.000     2.4800             0.068888   0.068945   0.069800   0.070665  0.071541     16.66    25.37
GS Finance Corp.         40057FX41 04/05/21 04/02/26    100.000     0.000     1.5814                        0.043927   0.044268   0.044618  0.044971     11.71    16.06
GS Finance Corp.         40057FX58 04/05/21 10/03/24    100.000     0.000     1.0638                        0.029549   0.029704   0.029862  0.030021      7.87    10.75
GS Finance Corp.         40057FX82 04/30/21 05/02/29    100.000     0.000     2.1733             0.060369   0.060376   0.061032   0.061695  0.062366     14.59    22.17
GS Finance Corp.         40057FXR0 04/06/21 01/06/23    100.000     0.000     0.5194                        0.014428   0.014447   0.014484  0.014522      3.83     5.22
GS Finance Corp.         40057FXZ2 04/09/21 04/09/31    100.000    VARIES     2.4796                        0.068878   0.068010   0.067132  0.066730     17.97    24.22
GS Finance Corp.         40057FYJ7 04/21/21 07/21/28    100.000     0.000     2.0792                        0.057756   0.058057   0.058660  0.059270     14.49    21.20
GS Finance Corp.         40057FZC1 04/28/21 04/28/31    100.000    VARIES     2.4400                        0.067777   0.067248   0.066713  0.066171     16.44    24.05
GS Finance Corp.         40057H2H2 04/21/21 04/21/27    100.000     0.000     1.7850                        0.049585   0.050027   0.050474  0.050924     12.43    18.15
GS Finance Corp.         40057H3F5 05/05/21 05/05/28    100.000     0.000     2.0100                        0.055833   0.056394   0.056961  0.057533     13.21    20.47
GS Finance Corp.         40057H4D9 05/03/21 05/01/28    100.000     0.000     1.9900                        0.055277   0.055821   0.056376  0.056937     13.19    20.26
GS Finance Corp.         40057H4Z0 05/28/21 05/31/29    100.000     0.000     2.0800             0.057779   0.057785   0.058386   0.058993  0.059607     12.33    21.17
GS Finance Corp.         40057H5T3 05/19/21 05/19/31    100.000    VARIES     2.4694                        0.068595   0.067041   0.065468  0.064216     15.16    23.73
GS Finance Corp.         40057H6P0 05/28/21 12/01/26    100.000     0.000     1.5051             0.041807   0.041812   0.042127   0.042444  0.042763      8.92    15.24
GS Finance Corp.         40057H6Q8 05/28/21 05/31/28    100.000     0.000     1.9100             0.053057   0.053063   0.053569   0.054081  0.054597     11.32    19.41
GS Finance Corp.         40057H6R6 05/28/21 05/31/28    100.000     0.000     1.9100             0.053057   0.053063   0.053569   0.054081  0.054597     11.32    19.41
GS Finance Corp.         40057H6S4 05/28/21 06/10/31    100.000     0.000     2.4200             0.067222   0.067276   0.068090   0.068914  0.069748     14.35    24.70
GS Finance Corp.         40057H6T2 05/28/21 06/10/31    100.000     0.000     2.4200             0.067222   0.067276   0.068090   0.068914  0.069748     14.35    24.70
GS Finance Corp.         40057H7F1 05/28/21 05/31/28    100.000     0.000     1.9100             0.053057   0.053063   0.053569   0.054081  0.054597     11.32    19.41
GS Finance Corp.         40057HAC4 05/14/21 05/14/31    100.000    VARIES     2.5799                        0.071664   0.071155   0.070640  0.070118     16.24    25.47
GS Finance Corp.         40057HAL4 05/19/21 05/18/28    100.000     0.000     1.9374                        0.053818   0.054336   0.054863  0.055394     11.97    19.70
GS Finance Corp.         40057HB33 05/28/21 05/31/28    100.000     0.000     1.9100             0.053057   0.053063   0.053569   0.054081  0.054597     11.32    19.41
GS Finance Corp.         40057HCZ1 05/28/21 05/28/31    100.000    VARIES     2.4405                        0.067792   0.067178   0.066556  0.065927     14.42    24.03
GS Finance Corp.         40057HE48 05/28/21 05/28/31    100.000    VARIES     2.4396                        0.067766   0.066221   0.064657  0.063515     14.38    23.47
GS Finance Corp.         40057HG53 06/30/21 03/30/27    100.000     0.000     1.7249                        0.047915   0.048122   0.048537  0.048955      8.69    17.47
GS Finance Corp.         40057HG61 06/30/21 03/30/27    100.000     0.000     1.7249                        0.047915   0.048122   0.048537  0.048955      8.69    17.47
GS Finance Corp.         40057HG79 06/30/21 06/29/28    100.000     0.000     1.9816                        0.055046   0.055588   0.056139  0.056695      9.96    20.11
GS Finance Corp.         40057HG87 06/30/21 06/29/28    100.000     0.000     1.9816                        0.055046   0.055588   0.056139  0.056695      9.96    20.11
GS Finance Corp.         40057HGN4 06/30/21 07/10/31    100.000     0.000     2.3900                        0.066388   0.066432   0.067226  0.068030     12.02    24.33
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
GS Finance Corp.         40057HHL7 06/30/21 06/28/29    100.000     0.000     2.1192                        0.058866   0.059483   0.060114  0.060750     10.66    21.53
GS Finance Corp.         40057HJ43 06/30/21 06/29/28    100.000     0.000     1.9816                        0.055046   0.055588   0.056139  0.056695      9.96    20.11
GS Finance Corp.         40057HJ50 06/30/21 09/30/27    100.000     0.000     1.8350                        0.050973   0.051207   0.051677  0.052151      9.25    18.60
GS Finance Corp.         40057HJG6 06/23/21 06/26/28    100.000     0.000     1.9299             0.053610   0.053618   0.054136   0.054658  0.055186     10.08    19.59
GS Finance Corp.         40057HJH4 06/23/21 12/28/26    100.000     0.000     1.6224             0.045068   0.045078   0.045444   0.045813  0.046184      8.48    16.43
GS Finance Corp.         40057HJK7 06/16/21 06/16/31    100.000    VARIES     2.3104                        0.064177   0.063554   0.062923  0.062286     12.51    22.75
GS Finance Corp.         40057HKH2 07/06/21 07/06/28    100.000     0.000     1.9099                                   0.053054   0.053560  0.054072      9.28    19.37
GS Finance Corp.         40057HNH9 06/30/21 06/30/31    100.000    VARIES     2.3198                        0.064440   0.063817   0.063188  0.062551     11.66    22.86
GS Finance Corp.         40057HQJ2 07/30/21 04/30/27    100.000     0.000     1.5401                        0.042779   0.042944   0.043275  0.043608      6.47    15.56
GS Finance Corp.         40057HQK9 07/30/21 08/01/28    100.000     0.000     1.7900                        0.049721   0.049724   0.050169  0.050618      7.51    18.11
GS Finance Corp.         40057HQL7 07/30/21 08/01/28    100.000     0.000     1.7900                        0.049721   0.049724   0.050169  0.050618      7.51    18.11
GS Finance Corp.         40057HQM5 07/30/21 04/30/27    100.000     0.000     1.5401                        0.042779   0.042944   0.043275  0.043608      6.47    15.56
GS Finance Corp.         40057HQN3 07/30/21 08/11/31    100.000     0.000     2.1800                        0.060556   0.060596   0.061257  0.061924      9.15    22.12
GS Finance Corp.         40057HQP8 07/30/21 08/11/31    100.000     0.000     2.1800                        0.060556   0.060596   0.061257  0.061924      9.15    22.12
GS Finance Corp.         40057HR51 07/30/21 08/01/29    100.000     0.000     1.9200                        0.053333   0.053335   0.053847  0.054364      8.05    19.45
GS Finance Corp.         40057HS27 07/30/21 11/01/27    100.000     0.000     1.6399                        0.045554   0.045743   0.046118  0.046496      6.89    16.58
GS Finance Corp.         40057HST8 07/30/21 08/01/28    100.000     0.000     1.7900                        0.049721   0.049724   0.050169  0.050618      7.51    18.11
GS Finance Corp.         40057HTD2 07/28/21 07/31/28    100.000     0.000     1.8200                        0.050555   0.050560   0.051020  0.051484      7.74    18.42
GS Finance Corp.         40057HTE0 07/28/21 02/01/27    100.000     0.000     1.5051                        0.041807   0.041812   0.042127  0.042444      6.40    15.20
GS Finance Corp.         40057HU73 08/04/21 08/03/28    100.000     0.000     1.7533                                   0.048702   0.049127  0.049558      7.16    17.74
GS Finance Corp.         40057HUS7 08/04/21 08/04/31    100.000     0.000     2.1800                                   0.060555   0.061215  0.061883      8.90    22.11
GS Finance Corp.         40057HWP1 07/30/21 07/30/36    100.000    VARIES     2.5273                                   0.070203   0.068984  0.067750     10.60    24.68
GS Finance Corp.         40057HX39 07/30/21 07/31/28    100.000     0.000     1.7900                                   0.049723   0.050168  0.050617      7.51    18.12
GS Finance Corp.         40057HZB9 08/31/21 08/30/29    100.000     0.000     2.0160                                   0.056001   0.056560  0.057136      6.78    20.40
GS Finance Corp.         40057J2C9 08/31/21 08/31/26    100.000     0.000     1.5000                                   0.041665   0.041974  0.042293      5.04    15.13
GS Finance Corp.         40057J2D7 08/31/21 08/31/27    100.000     0.000     1.7001                                   0.047224   0.047621  0.048030      5.71    17.17
GS Finance Corp.         40057J2E5 08/31/21 08/31/27    100.000     0.000     1.7001                                   0.047224   0.047621  0.048030      5.71    17.17
GS Finance Corp.         40057J2F2 08/31/21 08/31/28    100.000     0.000     1.9000                                   0.052777   0.053272  0.053784      6.39    19.21
GS Finance Corp.         40057J2G0 08/31/21 08/31/28    100.000     0.000     1.9000                                   0.052777   0.053272  0.053784      6.39    19.21
GS Finance Corp.         40057J2H8 08/31/21 08/31/28    100.000     0.000     1.9000                                   0.052777   0.053272  0.053784      6.39    19.21
GS Finance Corp.         40057J3M6 08/31/21 09/12/28    100.000     0.000     1.9000                        0.052779   0.052813   0.053314  0.053821      6.39    19.21
GS Finance Corp.         40057J3N4 08/31/21 09/10/31    100.000     0.000     2.2800                        0.063333   0.063373   0.064096  0.064826      7.67    23.11
GS Finance Corp.         40057J3X2 08/31/21 08/31/28    100.000     0.000     1.9000                                   0.052777   0.053272  0.053784      6.39    19.21
GS Finance Corp.         40057J3Y0 08/31/21 03/02/28    100.000     0.000     1.7999                        0.049999   0.050004   0.050454  0.050908      6.05    18.19
GS Finance Corp.         40057J4L7 08/25/21 08/28/28    100.000     0.000     1.8700                        0.051945   0.051953   0.052439  0.052929      6.55    18.91
GS Finance Corp.         40057J4N3 08/25/21 03/01/27    100.000     0.000     1.5774                        0.043818   0.043830   0.044175  0.044524      5.52    15.92
GS Finance Corp.         40057J5G7 09/03/21 09/06/28    100.000     0.000     1.8400                        0.051112   0.051120   0.051590  0.052065      6.03    18.60
GS Finance Corp.         40057J6E1 08/31/21 08/31/36    100.000    VARIES     2.5599                                   0.071108   0.069875  0.068627      8.60    25.07
GS Finance Corp.         40057J7L4 08/17/21 08/16/29    100.000     0.000     2.0292                                   0.056367   0.056936  0.057514      7.55    20.55
GS Finance Corp.         40057JA89 09/03/21 09/05/31    100.000     0.000     2.2400                        0.062222   0.062230   0.062927  0.063632      7.34    22.69
GS Finance Corp.         40057JAE6 08/31/21 09/12/28    100.000     0.000     1.9000                        0.052779   0.052813   0.053314  0.053821      6.39    19.21
GS Finance Corp.         40057JGC4 09/15/21 09/15/31    100.000    VARIES     2.2298                                   0.061938   0.061390  0.060836      6.57    22.08
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           4042K1TC7 11/30/11 11/30/21    100.000    VARIES     4.1953             0.115952   0.116241                                     38.20         
HSBC USA, Inc.           4042K1TZ6 12/20/11 12/20/21    100.000    VARIES     4.3009             0.119004   0.119235                                     41.57         
HSBC USA, Inc.           40432X5F4 12/21/12 12/21/22    100.000    VARIES     1.3476             0.011291   0.011367   0.011444   0.011521                4.08     4.02
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000     4.5776             0.178550   0.182636   0.186816   0.191092  0.195466     66.39    69.46
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000     4.6460             0.182130   0.186361   0.190690   0.195119  0.199652     67.63    70.81
HSBC USA, Inc.           40432XHZ7 07/26/13 07/26/23    100.000    VARIES     1.5824             0.008278   0.008344   0.008410   0.008476  0.008543      3.01     3.06
HSBC USA, Inc.           40432XJY8 08/23/13 08/23/23     98.875    VARIES     1.6689             0.010807   0.010897   0.010988   0.011080  0.011172      3.93     4.00
HSBC USA, Inc.           40432XKQ3 09/26/13 09/26/23    100.000    VARIES     3.9579             0.109717   0.109753   0.109789   0.109826  0.109864     39.51    39.54
HSBC USA, Inc.           40432XKX8 09/12/13 09/12/23     98.875    VARIES     1.6700             0.010836   0.010926   0.011017   0.011109  0.011202      3.94     4.00
HSBC USA, Inc.           40432XLT6 09/30/13 10/02/23    100.000    VARIES     1.5394             0.007677   0.007736   0.007796   0.007856  0.007916      2.78     2.83
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES     3.4249             0.091171   0.091388   0.091610   0.091835  0.092064     32.87    33.03
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES     3.9810             0.107570   0.107721   0.107874   0.108031  0.108191     38.76    38.88
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES     4.0230             0.109492   0.109605   0.109720   0.109837  0.109957     39.44    39.52
HSBC USA, Inc.           40433BUB2 12/03/14 12/04/23    100.000     0.000     2.9962             0.099495   0.100985   0.102498   0.104034  0.105592     36.17    37.26
HSBC USA, Inc.           40433UFF8 12/31/15 01/02/24    100.000     0.000     1.6730             0.050095   0.050514   0.050937   0.051363  0.051792     18.26    18.57
HSBC USA, Inc.           40433UQV1 07/29/16 07/31/23    100.000     0.000     2.6252    122.34   0.080951   0.082014   0.083090   0.084181  0.085286     29.66    30.44
HSBC USA, Inc.           40433UQZ2 07/29/16 07/31/23    100.000     0.000     2.6252    122.35   0.080952   0.082015   0.083091   0.084182  0.085287     29.66    30.44
HSBC USA, Inc.           40433USA5 08/31/16 08/31/23    100.000     0.000     2.6052    118.90   0.079818   0.079539   0.081911   0.081625  0.084059     29.34    30.11
HSBC USA, Inc.           40433USB3 08/31/16 08/31/23    100.000     0.000     2.6052    118.90   0.079818   0.079539   0.081911   0.081625  0.084059     29.34    30.11
HSBC USA, Inc.           40433UTZ9 09/30/16 10/02/23    100.000     0.000     2.3972    106.67   0.073257   0.074135   0.075024   0.075923  0.076833     26.69    27.33
HSBC USA, Inc.           40433UUA2 09/30/16 10/02/23    100.000     0.000     2.3972    106.67   0.073257   0.074135   0.075024   0.075923  0.076833     26.69    27.33
HSBC USA, Inc.           40433UVZ6 10/31/16 10/31/23    100.000     0.000     2.6044    113.94   0.080234   0.081279   0.082337   0.083409  0.084495     29.20    29.97
HSBC USA, Inc.           40433UWA0 10/31/16 10/31/23    100.000     0.000     2.6044    113.94   0.080233   0.081277   0.082336   0.083408  0.084494     29.20    29.97
HSBC USA, Inc.           40433UZY5 11/10/16 11/10/22    100.000     0.000     2.5056    108.65   0.076888   0.077852   0.078827   0.079814               27.95    24.54
HSBC USA, Inc.           40433X316 08/12/13 08/14/23    100.000     0.000     3.8455             0.139491   0.142173   0.144906   0.147693  0.150532     51.44    53.44
HSBC USA, Inc.           40434B131 04/03/14 03/26/21    100.000     0.000     3.2029             0.109314                                                 9.29         
HSBC USA, Inc.           40434B545 02/06/14 01/29/21    100.000     0.000     3.0855             0.104522                                                 2.93         
HSBC USA, Inc.           40434B610 12/26/13 06/28/21    100.000     0.000     3.3585             0.117807                                                20.85         
HSBC USA, Inc.           40434B636 12/31/13 01/04/21    100.000     0.000     3.4305             0.118917                                                 0.36         
HSBC USA, Inc.           40434C188 07/31/14 07/30/21    100.000     0.000     2.8870             0.093167   0.096079                                     20.09         
HSBC USA, Inc.           40434C386 06/16/14 12/16/22    100.000     0.000     3.2386             0.110852   0.112647   0.114472   0.116325               40.28    39.83
HSBC USA, Inc.           40434C659 06/05/14 05/28/21    100.000     0.000     2.9290             0.098233                                                14.44         
HSBC USA, Inc.           40434E127 03/03/16 02/24/23    100.000     0.000     2.1215    107.27   0.064766   0.065453   0.066147   0.066849  0.067558     23.61    24.12
HSBC USA, Inc.           40434E267 02/04/16 01/27/23    100.000     0.000     1.8122     92.60   0.054578   0.055073   0.055572   0.056075  0.056583     19.89    20.25
HSBC USA, Inc.           40434G775 04/30/15 05/02/22    100.000     0.000     2.2886             0.072057   0.072882   0.073716                          26.19     8.92
HSBC USA, Inc.           40434K354 12/30/15 12/23/22    100.000     0.000     1.6731             0.050496   0.050918   0.051344   0.051774               18.26    18.15
HSBC USA, Inc.           40434N283 06/03/16 05/26/23    100.000     0.000     2.4858    119.75   0.077133   0.078091   0.079062   0.080045  0.081040     28.01    28.71
HSBC USA, Inc.           40434V293 09/02/16 08/25/23    100.000     0.000     2.5349    115.28   0.077841   0.078828   0.079827   0.080839  0.081863     28.45    29.18
HSBC USA, Inc.           40434V780 07/13/16 06/30/23    100.000     0.000     2.5156    118.22   0.078132   0.079115   0.080110   0.081118  0.082138     28.31    29.02
HSBC USA, Inc.           40435B247 12/30/16 12/22/23    100.000     0.000     3.3412    141.85   0.105889   0.107658   0.109456   0.111285  0.113144     38.47    39.77
HSBC USA, Inc.           40435B304 10/06/16 09/29/23    100.000     0.000     2.5061    111.29   0.076868   0.077831   0.078806   0.079793  0.080793     28.02    28.73
HSBC USA, Inc.           40435F3B1 09/19/18 09/19/25*   100.000     0.000     3.3749     79.45   0.100236   0.101927   0.103647                          26.27*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40435F5B9 10/03/18 09/30/21    100.000     0.000     3.5071     81.20   0.104404   0.106234                                     28.41         
HSBC USA, Inc.           40435F5Q6 10/23/18 10/25/21    100.000     0.000     3.5942     81.14   0.107232   0.109159                                     31.87         
HSBC USA, Inc.           40435F5R4 10/23/18 10/23/23    100.000     0.000     3.8181     86.36   0.114392   0.116576   0.118801   0.121069  0.123381     41.87    43.49
HSBC USA, Inc.           40435F5S2 10/23/18 10/23/23    100.000     0.000     3.8181     86.36   0.114392   0.116576   0.118801   0.121069  0.123381     41.87    43.49
HSBC USA, Inc.           40435F5V5 10/26/18 10/26/21    100.000     0.000     3.5942     80.81   0.107211   0.109137                                     31.97         
HSBC USA, Inc.           40435FA64 05/31/18 06/01/21    100.000     0.000     3.2917     88.12   0.099222                                                14.88         
HSBC USA, Inc.           40435FAQ0 07/03/17 07/01/22    100.000     0.000     2.5570     92.85   0.077621   0.078613   0.079618                          28.12    14.33
HSBC USA, Inc.           40435FB48 05/24/18 05/27/25    100.000     0.000     2.6745     71.61   0.079412   0.080474   0.081550   0.082641  0.083746     28.85    29.63
HSBC USA, Inc.           40435FBB2 07/27/17 07/27/22    100.000     0.000     2.6657     95.03   0.080170   0.081238   0.082321   0.083418               29.38    17.16
HSBC USA, Inc.           40435FCC9 07/28/17 07/29/24    100.000     0.000     3.0414    108.93   0.092498   0.093905   0.095333   0.096782  0.098254     33.98    35.02
HSBC USA, Inc.           40435FF69 05/30/18 06/01/21    100.000     0.000     3.2353     86.56   0.097386                                                14.61         
HSBC USA, Inc.           40435FG35 06/29/18 06/30/25    100.000     0.000     3.7007     96.23   0.112678   0.114763   0.116886   0.119049  0.121252     40.94    42.47
HSBC USA, Inc.           40435FG43 06/29/18 06/29/23    100.000     0.000     3.5351     91.77   0.107188   0.109082   0.111010   0.112972  0.114969     38.94    40.32
HSBC USA, Inc.           40435FH91 08/09/18 08/09/23    100.000    VARIES     3.6010     86.01   0.099722   0.099771   0.099820   0.099871  0.099923     35.92    35.96
HSBC USA, Inc.           40435FHY6 10/12/17 10/12/22    100.000     0.000     2.6944     90.01   0.081103   0.082196   0.083303   0.084425               29.57    23.61
HSBC USA, Inc.           40435FJ99 07/27/18 07/28/25    100.000     0.000     3.7400     94.15   0.111891   0.113983   0.116115   0.118286  0.120498     41.30    42.86
HSBC USA, Inc.           40435FJB4 10/31/17 04/28/23    100.000     0.000     2.7712     91.17   0.083591   0.084749   0.085923   0.087114  0.088321     30.45    31.30
HSBC USA, Inc.           40435FJL2 10/25/17 10/25/24    100.000     0.000     3.0894    102.54   0.094083   0.095536   0.097012   0.098511  0.100032     34.32    35.39
HSBC USA, Inc.           40435FJQ1 10/30/17 10/30/24    100.000     0.500     3.1256    102.76   0.093944   0.095412   0.096469   0.097976  0.099073     34.24    35.16
HSBC USA, Inc.           40435FK22 07/27/18 07/27/23    100.000     0.000     3.5941     90.35   0.107209   0.109136   0.111097   0.113094  0.115126     39.54    40.97
HSBC USA, Inc.           40435FN29 07/09/18 07/10/23    100.000     0.000     3.5252     90.45   0.105020   0.106871   0.108755   0.110672  0.112622     38.78    40.16
HSBC USA, Inc.           40435FPC5 12/18/17 06/18/25    100.000     0.000     2.0994     65.47   0.062088   0.062740   0.063399   0.064064  0.064737     22.49    22.96
HSBC USA, Inc.           40435FPK7 12/27/17 12/29/25    100.000     0.000     3.2733    102.71   0.100244   0.101885   0.103552   0.105247  0.106969     36.39    37.59
HSBC USA, Inc.           40435FPX9 02/05/18 02/05/21    100.000     0.000     2.7928     83.94   0.083149                                                 2.83         
HSBC USA, Inc.           40435FPY7 01/31/18 01/31/25    100.000     0.000     3.4220    104.15   0.103472   0.105243   0.107043   0.108875  0.110738     38.11    39.42
HSBC USA, Inc.           40435FQZ3 12/29/17 12/31/24    100.000     0.000     2.1006     64.82   0.062130   0.062782   0.063442   0.064108  0.064781     22.49    22.96
HSBC USA, Inc.           40435FR90 08/31/18 09/02/25    100.000     0.000     3.6706     88.73   0.109677   0.111689   0.113739   0.115827  0.117952     40.33    41.82
HSBC USA, Inc.           40435FRS8 02/02/18 02/02/23    100.000    VARIES     3.1727     92.26   0.087946   0.087982   0.088018   0.088055  0.088093     31.68    31.70
HSBC USA, Inc.           40435FS24 08/31/18 08/31/23    100.000     0.000     3.5246     85.08   0.104990   0.106820   0.108723   0.110618  0.112589     38.58    39.95
HSBC USA, Inc.           40435FTA5 02/28/18 02/28/25    100.000     0.000     3.5313    104.62   0.107062   0.108952   0.110876   0.112834  0.114826     39.35    40.75
HSBC USA, Inc.           40435FTN7 02/08/18 02/09/23    100.000     0.000     3.1077     93.48   0.093252   0.094701   0.096172   0.097667  0.099184     34.25    35.32
HSBC USA, Inc.           40435FTR8 02/13/18 02/13/23    100.000    VARIES     3.1734     91.31   0.087964   0.088000   0.088037   0.088074  0.088112     31.68    31.71
HSBC USA, Inc.           40435FV38 07/30/18 07/30/21    100.000     0.000     2.7870     69.27   0.081822   0.082962                                     17.31         
HSBC USA, Inc.           40435FV46 07/31/18 08/01/23    100.000     0.000     3.6433     91.31   0.108792   0.110774   0.112792   0.114847  0.116939     40.12    41.60
HSBC USA, Inc.           40435FVW4 03/06/18 03/06/26    100.000     0.000     3.5803    105.27   0.108680   0.110625   0.112606   0.114622  0.116673     39.93    41.37
HSBC USA, Inc.           40435FW29 08/07/18 08/09/21    100.000     0.000     2.7867     68.69   0.081827   0.082967                                     18.04         
HSBC USA, Inc.           40435FW60 08/30/18 08/30/23    100.000     0.000     3.5443     85.57   0.105619   0.107470   0.109396   0.111313  0.113307     38.82    40.20
HSBC USA, Inc.           40435FXS1 04/30/18 05/01/23    100.000     0.000     3.7905    105.48   0.115666   0.117858   0.120092   0.122368  0.124687     42.30    43.92
HSBC USA, Inc.           40435FY35 08/29/18 08/26/21    100.000     0.000     3.3308     80.36   0.098814   0.100459                                     23.52         
HSBC USA, Inc.           40435FZ26 09/28/18 09/29/25    100.000     0.000     3.8667     90.39   0.115972   0.118214   0.120499   0.122829  0.125204     42.57    44.23
HSBC USA, Inc.           40435FZ34 09/28/18 09/28/23    100.000     0.000     3.7109     86.63   0.110947   0.113006   0.115103   0.117238  0.119414     40.70    42.22
HSBC USA, Inc.           40435FZN0 05/02/18 05/02/23    100.000     0.000     3.6133    100.13   0.109768   0.111751   0.113770   0.115826  0.117918     40.11    41.57
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
HSBC USA, Inc.           40435G279 09/14/17 09/15/22    100.000     0.000     1.9322     65.47   0.056863   0.057412   0.057967   0.058527               20.69    14.82
HSBC USA, Inc.           40435G287 09/14/17 09/16/21    100.000     0.000     1.9325     65.48   0.056874   0.057424                                     14.60         
HSBC USA, Inc.           40435G295 09/14/17 09/14/23    100.000     0.000     1.9320     65.46   0.056853   0.057402   0.057956   0.058516  0.059081     20.68    21.09
HSBC USA, Inc.           40435G725 08/31/17 08/30/24    100.000     0.000     2.8720     99.83   0.086904   0.088138   0.089418   0.090688  0.092005     31.81    32.73
HSBC USA, Inc.           40435U3S1 02/04/20 02/06/23    100.000     0.000     1.7448     15.91   0.048895   0.049322   0.049752   0.050186  0.050624     17.80    18.12
HSBC USA, Inc.           40435U3T9 02/04/20 02/05/24    100.000     0.000     1.7442     15.91   0.048876   0.049302   0.049732   0.050166  0.050604     17.80    18.11
HSBC USA, Inc.           40435UAK0 11/20/18 11/20/23    100.000     0.000     3.7182     81.02   0.111182   0.113249   0.115354   0.117499  0.119683     40.57    42.09
HSBC USA, Inc.           40435UAL8 11/16/18 11/16/23    100.000     2.000     3.7066     79.89   0.106574   0.107519   0.108482   0.109463  0.110462     38.62    39.32
HSBC USA, Inc.           40435UAX2 11/30/18 11/30/21    100.000     0.000     3.4829     74.71   0.103663   0.105469                                     34.43         
HSBC USA, Inc.           40435UEV2 02/22/19 02/22/24    100.000     0.000     3.3153     63.04   0.096747   0.098351   0.099981   0.101639  0.103324     35.53    36.72
HSBC USA, Inc.           40435UEW0 02/22/19 02/22/24    100.000     0.000     3.3153     63.04   0.096747   0.098351   0.099981   0.101639  0.103324     35.53    36.72
HSBC USA, Inc.           40435UFW9 02/22/19 02/22/21    100.000     0.000     2.5577     48.38   0.073809                                                 3.76         
HSBC USA, Inc.           40435UGT5 02/27/19 02/25/21    100.000     0.000     3.0431     57.31   0.088433                                                 4.78         
HSBC USA, Inc.           40435UJM7 03/18/19 03/24/21    100.000     0.000     3.0343     55.30   0.088227                                                 7.32         
HSBC USA, Inc.           40435UJQ8 04/02/19 04/04/22    100.000     0.000     2.5379     45.07   0.073226   0.074155   0.075096                          26.69     6.98
HSBC USA, Inc.           40435UJV7 03/27/19 04/01/21    100.000     0.000     2.8607     51.32   0.082949                                                 7.47         
HSBC USA, Inc.           40435ULL6 04/03/19 04/09/21    100.000     0.000     2.8372     50.40   0.082252                                                 8.06         
HSBC USA, Inc.           40435UNY6 06/19/19 06/20/22    100.000     0.000     2.3706     36.80   0.068224   0.069033   0.069851                          24.72    11.80
HSBC USA, Inc.           40436A347 02/28/19 02/24/23    100.000     0.000     3.2374     60.96   0.094331   0.095858   0.097410   0.098987  0.100589     34.63    35.76
HAMILTON OHIO CITY SCH D 407774GJ1 09/10/20 12/01/25     93.492     0.000     1.2920      3.73   0.033650   0.033868   0.034087   0.034307  0.034528     12.17    12.32
HENDERSON TEX INDPT SCH  425308NW9 11/12/20 08/15/22     98.865     0.000     0.6502      0.87   0.017855   0.017885   0.017943   0.018002                6.45     4.03
HENDERSON TEX INDPT SCH  425308NX7 11/12/20 08/15/23     97.956     0.000     0.7500      1.00   0.020409   0.020448   0.020525   0.020602  0.020679      7.37     7.42
HENDERSON TEX INDPT SCH  425308NY5 11/12/20 08/15/24     96.681     0.000     0.9000      1.18   0.024171   0.024228   0.024337   0.024446  0.024556      8.73     8.81
HENDERSON TEX INDPT SCH  425308NZ2 11/12/20 08/15/25     95.364     0.000     1.0000      1.30   0.026491   0.026559   0.026692   0.026825  0.026959      9.58     9.67
HENDERSON TEX INDPT SCH  425308PA5 11/12/20 08/15/26     92.809     0.000     1.3001      1.64   0.033517   0.033629   0.033848   0.034068  0.034289     12.13    12.28
City of Hoboken          434110QH8 08/28/03 04/01/27     19.107     0.000     7.1398    454.06   0.125703   0.130191   0.134838   0.139652  0.144637     46.88    50.29
City of Hoboken          434110QJ4 08/28/03 04/01/28     17.813     0.000     7.1397    423.30   0.117186   0.121369   0.125702   0.130189  0.134837     43.71    46.88
City of Hoboken          434110QK1 08/28/03 04/01/29     16.606     0.000     7.1397    394.62   0.109247   0.113147   0.117186   0.121370  0.125703     40.75    43.71
City of Hoboken          434110QL9 08/28/03 04/01/30     15.481     0.000     7.1397    367.89   0.101846   0.105482   0.109247   0.113147  0.117186     37.99    40.75
City of Hoboken          434110QM7 08/28/03 04/01/31     14.432     0.000     7.1398    342.96   0.094946   0.098336   0.101846   0.105482  0.109248     35.41    37.99
City of Hoboken          434110QN5 08/28/03 04/01/32     13.454     0.000     7.1398    319.73   0.088514   0.091674   0.094947   0.098336  0.101847     33.01    35.41
City of Hoboken          434110QP0 08/28/03 04/01/33     12.543     0.000     7.1397    298.07   0.082517   0.085463   0.088514   0.091673  0.094946     30.78    33.01
Hovnanian Enterprises    442488BL5 11/01/11 11/01/21     53.000     5.000    13.8062    403.13   0.214046   0.228822                                     66.87         
Hovnanian Enterprises    442488BM3 11/01/11 11/01/21     42.000     2.000    12.1926             0.307082   0.322415                                     94.88         
K. HOVNANIAN ENTERPRISES 442488CH3 02/01/18 02/01/40     48.820     5.000    11.3861     18.72   0.020470   0.021636   0.022867   0.024169  0.025545      7.94     8.87
HUTTO TEX INDPT SCH DIST 4484922U1 09/23/21 08/01/23     99.096     0.000     0.4900                                   0.013487   0.013511  0.013544      1.32     4.87
HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24     97.885     0.000     0.7500                                   0.020392   0.020446  0.020523      2.00     7.37
HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25     96.116     0.000     1.0300                                   0.027501   0.027602  0.027744      2.70     9.95
HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26     94.447     0.000     1.1800                                   0.030958   0.031088  0.031271      3.03    11.22
HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27     92.155     0.000     1.4000                                   0.035839   0.036017  0.036269      3.51    13.00
ILLINOIS FIN AUTH EDL FA 452029AH4 11/01/18 11/01/23     94.876     6.010     7.2500     20.01   0.027819   0.028827   0.029872   0.030955  0.032077     10.32    11.08
Illinois Student Asst Co 452281JD1 10/27/10 04/25/23     95.305    VARIES        N/A             0.006409   0.005348   0.002711   0.002062  0.000676      1.52     0.53
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25     76.873     6.500    12.0451     29.06   0.257207   0.269427   0.285654   0.302857  0.321097     99.09   111.28
ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25     76.873     6.500    11.1575     83.24   0.252245   0.266318   0.281175   0.296861  0.313422     97.71   108.92
JP Morgan Chase & Co.    46625HME7 07/31/15 07/31/35    100.000    VARIES     4.4624             0.124348   0.125488   0.126653   0.127565  0.128496     45.32    46.04
JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24    103.000     0.250     3.1279    116.79   0.097548   0.098965   0.100404   0.101866  0.103350     35.86    36.91
JPMorgan Chase Financial 46647MNK5 09/27/17 09/27/23    100.000     0.000     2.9208     99.20   0.088506   0.089799   0.091110   0.092441  0.093790     32.34    33.29
JPMorgan Chase Financial 46647MRM7 04/25/18 04/25/23    100.000     0.000     3.6617    102.31   0.111372   0.113412   0.115488   0.117602  0.119756     40.73    42.24
JPMorgan Chase Financial 46647MSA2 06/20/18 06/20/23    100.000     0.000     3.7406     98.33   0.113991   0.116123   0.118295   0.120507  0.122761     41.47    43.03
JPMorgan Chase Financial 46647MSD6 08/03/18 07/30/21    100.000     0.000     3.3214     82.69   0.098516   0.100152                                     20.88         
Jackson CNTYS SD#165, IL 466484FF4 06/28/07 12/01/21     41.157     0.000     6.2497    533.64   0.163241   0.168342                                     54.79         
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000     6.2498    501.80   0.153500   0.158296   0.163243   0.168344               56.42    54.79
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000     6.2997    473.55   0.145280   0.149856   0.154576   0.159445  0.164467     53.40    56.82
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000     6.2996    445.07   0.136542   0.140843   0.145279   0.149855  0.154575     50.19    53.40
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000     6.2997    418.30   0.128331   0.132373   0.136543   0.140844  0.145280     47.17    50.19
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000     6.3498    393.97   0.121218   0.125066   0.129037   0.133134  0.137361     44.57    47.44
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000     6.3500    380.90   0.117490   0.121221   0.125070   0.129041  0.133138     43.09    45.87
JACKSON PERRY & RANDOLPH 468687BT4 09/12/17 12/01/21    105.525     4.250     2.8378     97.80   0.079916   0.079375                                     26.28         
JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22    104.761     4.250     3.2383    111.41   0.091702   0.091275   0.090842   0.090401               32.91    29.90
JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24     97.673     0.000     0.6602             0.017912   0.017920   0.017979   0.018039  0.018098      6.14     6.50
JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25     96.591     0.000     0.7600             0.020392   0.020403   0.020481   0.020558  0.020637      6.99     7.41
JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27     93.165     0.000     1.0801             0.027952   0.027974   0.028125   0.028277  0.028430      9.59    10.19
JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28     90.653     0.000     1.3001             0.032739   0.032769   0.032982   0.033197  0.033413     11.24    11.97
Jefferies Group LLC      47233JAK4 02/28/17 02/28/24    100.000    VARIES     2.8488     10.06   0.007164   0.007266   0.007370   0.007475  0.007581      2.62     2.70
Jefferies Group LLC      47233JAL2 04/28/17 04/28/33    100.000    VARIES     5.1690    177.20   0.128115   0.127747   0.127772   0.127797  0.127823     46.03    46.01
Jefferies Group LLC      47233JAP3 05/31/17 05/31/34    100.000    VARIES     5.0961    173.35   0.129412   0.128950   0.128477   0.127991  0.128050     46.48    46.15
Jefferies Group LLC      47233JAQ1 06/30/17 06/30/37    100.000    VARIES     5.1829    168.43   0.124467   0.124043   0.123743   0.123552  0.123470     44.73    44.51
Jefferies Group LLC      47233JAT5 07/31/17 07/31/37    100.000    VARIES     5.3560    175.84   0.138552   0.137429   0.136557   0.135890  0.135420     49.38    48.87
Jefferies Group LLC      47233JAV0 08/31/17 08/31/37    100.000    VARIES     5.1572    164.74   0.130199   0.127786   0.125385   0.122849  0.120319     45.85    44.06
Jefferies Group LLC      47233JAX6 08/31/17 08/31/37    100.000    VARIES     5.1565    162.96   0.129425   0.128405   0.127621   0.126929  0.126476     46.19    45.68
Jefferies Group LLC      47233JAY4 09/29/17 09/30/37    100.000    VARIES     5.0451    157.27   0.126912   0.126345   0.125875   0.125510  0.125265     45.49    45.19
Jefferies Group LLC      47233JBB3 10/31/17 10/31/37    100.000    VARIES     5.1557    155.84   0.132042   0.131198   0.130480   0.129901  0.129477     47.29    46.81
Jefferies Group LLC      47233JBC1 10/31/17 10/31/37    100.000    VARIES     5.1265    156.72   0.133284   0.132503   0.131876   0.131416  0.131111     47.76    47.35
Jefferies Group LLC      47233JBE7 12/28/17 12/28/37    100.000    VARIES     4.3011     20.53   0.015535   0.014498   0.013440   0.012359  0.011255      5.40     4.64
Jefferies Group LLC      47233JBG2 01/31/18 01/31/38    100.000    VARIES     5.0271    139.96   0.128469   0.128782   0.129069   0.129345  0.129647     46.40    46.60
Jefferies Group LLC      47233JBJ6 02/28/18 02/28/38    100.000    VARIES     4.1737     10.45   0.007380   0.006272   0.006404   0.006536  0.006674      2.34     2.36
Jefferies Group LLC      47233JBK3 03/29/18 03/29/38    100.000    VARIES     5.3355    144.14   0.141702   0.140295   0.140491   0.140711  0.140964     50.65    50.66
Jefferies Group LLC      47233JBT4 03/21/19 03/21/31    100.000    VARIES     4.2780     10.42   0.013618   0.011988   0.012245   0.012507  0.012774      4.47     4.51
Jefferies Group LLC      47233JBV9 04/30/19 04/30/34    100.000    VARIES     5.1653      9.15   0.013749   0.012892   0.012014   0.011112  0.010188      4.69     4.05
Jefferies Group LLC      47233JBW7 05/31/19 05/31/39    100.000    VARIES     5.4586      6.39   0.009637   0.008779   0.007896   0.006990  0.006059      3.26     2.62
Jefferies Group LLC      47233JBY3 06/26/19 06/26/39    100.000    VARIES     5.4862      9.16   0.015016   0.014074   0.013107   0.012113  0.011091      5.23     4.53
Jefferies Group LLC      47233JCE6 08/30/19 08/31/39    100.000    VARIES     4.1514     54.77   0.111997   0.110260   0.108538   0.106730  0.104934     39.58    38.31
Jefferies Group LLC      47233JCR7 11/29/19 11/29/34    100.000    VARIES     4.1288     44.84   0.113681   0.113160   0.112629   0.112087  0.111534     40.80    40.41
Jefferies Group LLC      47233JDF2 05/29/20 05/28/32    100.000    VARIES     3.1824      4.78   0.021275   0.019744   0.018189   0.016608  0.016873      7.28     6.22
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Jefferies Group LLC      47233JDQ8 08/21/20 08/28/35    100.000    VARIES     3.6012     13.01   0.100102   0.099307   0.098594   0.097869  0.097130     35.71    35.18
Jefferies Group LLC      47233JEB0 10/30/20 10/31/40    100.000    VARIES     3.6781      6.23   0.102168   0.100471   0.098743   0.096983  0.095191     36.27    35.01
Jefferies Group LLC      47233JFH6 06/28/21 06/28/41    100.000    VARIES     3.7162                        0.103228   0.102565   0.101890  0.100533     18.89    36.80
Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22    107.317    VARIES     2.8895             0.081596   0.081270   0.080939   0.080604               29.30    26.65
Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23    105.651    VARIES     3.0399             0.085908   0.085673   0.085434   0.085192  0.084946     30.87    30.70
Johnson CNTYS, IL        478167HJ1 07/03/14 10/01/21    105.766    VARIES     3.3404             0.093611   0.093203                                     25.20         
Johnson CNTYS, IL        478167HK8 07/03/14 10/01/22    104.620    VARIES     3.5910             0.101007   0.100701   0.100389   0.100072               36.25    27.05
Johnson CNTYS, IL        478167HL6 07/03/14 10/01/23    103.105    VARIES     3.8407             0.107913   0.107718   0.107520   0.107318  0.107111     38.78    38.63
JOHNSON & UN CNTYS ILL C 478169AA3 07/19/17 12/01/27    100.000     5.700     5.6760    198.01   0.157882   0.157869   0.157856   0.157843  0.157829     56.83    56.83
JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24     96.406     0.000     0.9380      2.61   0.025119   0.025216   0.025334   0.025453  0.025572      9.09     9.17
JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25     95.042     0.000     1.0381      2.85   0.027406   0.027523   0.027666   0.027809  0.027954      9.92    10.02
JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26     92.615     0.000     1.3020      3.48   0.033497   0.033676   0.033896   0.034116  0.034338     12.15    12.30
JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27     90.795     0.000     1.4021      3.68   0.035362   0.035566   0.035815   0.036066  0.036319     12.83    13.01
JOURDANTON TEX INDPT SCH 481124FE0 11/19/20 02/15/22     99.260     0.000     0.6003      0.70   0.016553   0.016576   0.016626                           5.97     0.73
JOURDANTON TEX INDPT SCH 481124FF7 11/19/20 02/15/23     98.447     0.000     0.7002      0.80   0.019149   0.019181   0.019248   0.019316  0.019383      6.91     6.96
JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24     96.976     0.000     0.9502      1.08   0.025597   0.025655   0.025777   0.025899  0.026022      9.25     9.34
JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25     95.255     0.000     1.1500      1.28   0.030429   0.030513   0.030688   0.030865  0.031042     11.00    11.13
JOURDANTON TEX INDPT SCH 481124FJ9 11/19/20 02/15/26     92.951     0.000     1.4001      1.52   0.036149   0.036270   0.036524   0.036779  0.037037     13.09    13.26
JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27     90.367     0.000     1.6300      1.72   0.040917   0.041076   0.041411   0.041748  0.042088     14.83    15.06
JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28     87.771     0.000     1.8099      1.85   0.044127   0.044318   0.044719   0.045124  0.045532     16.00    16.28
JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29     85.363     0.000     1.9300      1.92   0.045763   0.045974   0.046418   0.046866  0.047318     16.60    16.91
J2 Global, Inc.          48123VAC6 06/17/14 06/15/29*   100.000    VARIES     8.0003             0.309899   0.318685                                     66.11*        
JP Morgan Chase & Co.    48125UL59 08/17/15 02/18/21    100.000     1.000     2.8256             0.086131                                                 4.05         
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES     4.4810             0.110815   0.110980   0.111148   0.111320  0.111758     39.92    40.04
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES     4.2124             0.114824   0.115894   0.116986   0.118170  0.119379     41.79    42.62
JP Morgan Chase & Co.    48125UUT7 08/31/15 08/31/25    100.000    VARIES     2.5712             0.008028   0.007998   0.008235   0.008205  0.008448      2.95     3.03
JP Morgan Chase & Co.    48125UY71 09/18/15 09/18/30    100.000    VARIES     2.6025             0.011230   0.011136   0.011040   0.011183  0.011329      4.01     4.03
JP Morgan Chase & Co.    48125XKB1 03/30/11 03/30/21    100.000    VARIES     5.0718             0.141613                                                12.60         
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES     5.1602             0.144722   0.144259   0.143805                          51.94    13.95
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES     5.0712             0.142471   0.142137   0.141821   0.141496  0.141186     51.22    50.99
JP Morgan Chase & Co.    48126D3X5 05/31/13 05/31/23    100.000    VARIES     3.5785             0.108341   0.109148   0.110056   0.110981  0.111922     39.20    39.84
JP Morgan Chase & Co.    48126DJ91 04/30/13 04/28/23    100.000    VARIES     3.1390             0.094128   0.094759   0.095473   0.096197  0.096933     34.08    34.59
JP Morgan Chase & Co.    48126DQL6 01/31/13 01/31/23    100.000    VARIES     3.1823             0.094265   0.094860   0.095494   0.096138  0.097667     34.23    34.82
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES     3.8928             0.095641   0.095935   0.096525   0.097127  0.097741     34.54    34.93
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES     3.8747             0.095123   0.095592   0.096269   0.096959  0.097662     34.38    34.84
JP Morgan Chase & Co.    48126DVG1 02/28/13 02/28/23    100.000    VARIES     3.2856             0.096996   0.096038   0.098324   0.097415  0.099784     35.39    35.90
JP Morgan Chase & Co.    48126DZQ5 03/28/13 03/31/23    100.000    VARIES     3.3453             0.101192   0.101946   0.102750   0.103569  0.104439     36.71    37.29
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES     4.4199             0.115329   0.115432   0.115537   0.115645  0.115929     41.56    41.65
JP Morgan Chase & Co.    48126NCW5 06/28/13 06/30/23    100.000    VARIES     4.3049             0.130987   0.132132   0.133421   0.134738  0.136083     47.36    48.27
JP Morgan Chase & Co.    48126NHJ9 07/31/13 07/31/23    100.000    VARIES     3.9757             0.119929   0.120957   0.122005   0.123194  0.124406     43.67    44.50
JP Morgan Chase & Co.    48126NMH7 08/30/13 08/31/23    100.000    VARIES     4.2968             0.128498   0.127516   0.130786   0.129939  0.133428     47.00    47.91
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES     4.4385             0.114344   0.114866   0.115399   0.116072  0.116760     41.32    41.75
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES     4.6982             0.121176   0.121799   0.122436   0.123213  0.124009     43.79    44.28
JP Morgan Chase & Co.    48126NU96 01/24/14 01/26/21    100.000     0.000     3.3005             0.113440                                                 2.84         
JP Morgan Chase & Co.    48126NWV5 10/31/13 10/31/23    100.000    VARIES     3.8580             0.115267   0.116146   0.117041   0.118039  0.119055     41.76    42.44
JP Morgan Chase & Co.    48127A351 12/26/13 06/24/21    100.000     0.000     3.6699             0.131470                                                22.74         
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000     3.8108             0.135295   0.137873   0.140500   0.143177  0.145905     49.49    51.39
JP Morgan Chase & Co.    48128GF88 05/24/17 05/24/27    100.000    VARIES     2.5870     12.78   0.009426   0.009548   0.009671   0.009796  0.009923      3.42     3.51
JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27    100.000    VARIES     2.4049      8.89   0.006747   0.006827   0.006910   0.006992  0.007077      2.46     2.52
JP Morgan Chase & Co.    48128GYQ7 11/27/18 11/27/68     12.184     0.000     4.2547     11.24   0.015665   0.015998   0.016338   0.016686  0.017041      5.72     5.97
JP Morgan Chase & Co.    48128GYU8 12/19/18 11/10/36     47.489     0.000     4.2056     41.98   0.060023   0.061285   0.062574   0.063890  0.065233     21.97    22.90
JP Morgan Chase & Co.    48128GYV6 12/20/18 12/20/28    100.000    VARIES     3.6202     11.13   0.012617   0.012845   0.013078   0.013314  0.013555      4.59     4.76
JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25    100.000     0.000     3.9304    102.68   0.120323   0.122687   0.125098   0.127557  0.130064     43.77    45.50
JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25    100.000     0.000     3.8909     97.75   0.116738   0.119010   0.121325   0.123685  0.126091     43.13    44.82
JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25    100.000     0.000     2.5507     72.36   0.075498   0.076460   0.077436   0.078423  0.079423     27.53    28.23
JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25    100.000     0.000     3.8909     97.75   0.116738   0.119010   0.121325   0.123685  0.126091     43.13    44.82
JPMorgan Chase Financial 48129MEQ5 03/28/18 03/26/21    100.000     0.000     2.5513     72.45   0.075495                                                 6.42         
JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25    100.000     0.000     3.8909     97.75   0.116738   0.119010   0.121325   0.123685  0.126091     43.13    44.82
JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25    100.000     0.000     3.8909     97.75   0.116738   0.119010   0.121325   0.123685  0.126091     43.13    44.82
JPMorgan Chase Financial 48129MG42 08/03/18 07/31/23    100.000     0.000     3.6608     91.44   0.109310   0.111311   0.113348   0.115423  0.117535     40.32    41.81
JPMorgan Chase Financial 48129MG59 08/03/18 07/30/21    100.000     0.000     3.3214     82.69   0.098516   0.100152                                     20.88         
JPMorgan Chase Financial 48129MH25 08/03/18 07/31/23    100.000     0.000     3.6608     91.44   0.109310   0.111311   0.113348   0.115423  0.117535     40.32    41.81
JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25    100.000     0.000     3.9714    110.73   0.121713   0.124130   0.126594   0.129108  0.131672     44.55    46.34
JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25    100.000     0.000     3.9714    110.73   0.121713   0.124130   0.126594   0.129108  0.131672     44.55    46.34
JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25    100.000     0.000     3.9714    110.73   0.121713   0.124130   0.126594   0.129108  0.131672     44.55    46.34
JPMorgan Chase Financial 48129MKS4 05/03/18 04/30/21    100.000     0.000     3.3521     92.53   0.101157                                                12.04         
JPMorgan Chase Financial 48129MM60 07/25/18 07/25/23    100.000     0.000     3.6610     92.31   0.109348   0.111350   0.113388   0.115464  0.117577     40.36    41.85
JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25    100.000     0.000     3.9611    106.79   0.121367   0.123770   0.126222   0.128722  0.131271     44.28    46.05
JPMorgan Chase Financial 48129MQ74 07/30/18 07/28/23    100.000     0.000     3.6712     92.03   0.109653   0.111666   0.113715   0.115803  0.117928     40.46    41.96
JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25    100.000     0.000     3.9611    106.79   0.121367   0.123770   0.126222   0.128722  0.131271     44.28    46.05
JPMorgan Chase Financial 48129MSR8 06/04/18 06/02/23    100.000     0.000     3.7008     99.05   0.112646   0.114731   0.116854   0.119016  0.121218     41.05    42.58
JPMorgan Chase Financial 48129MX92 09/06/18 08/31/23    100.000     0.000     3.7714     90.58   0.112820   0.114924   0.117115   0.119299  0.121574     41.52    43.10
JPMorgan Chase Financial 48129MXY7 07/05/18 06/30/23    100.000     0.000     3.6903     95.29   0.112264   0.114336   0.116446   0.118594  0.120782     40.79    42.31
JPMorgan Chase Financial 48129MXZ4 07/05/18 06/30/21    100.000     0.000     3.3201     85.41   0.100094                                                17.92         
JPMorgan Chase Financial 48129MY34 09/06/18 08/31/23    100.000     0.000     3.7714     90.58   0.112820   0.114924   0.117115   0.119299  0.121574     41.52    43.10
JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25    100.000     0.000     3.9300    102.55   0.120348   0.122713   0.125124   0.127583  0.130090     43.76    45.49
JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38     60.454     0.000     2.9608      0.70   0.049720   0.049900   0.050639   0.051389  0.052149     18.07    18.59
JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39     57.665     0.000     3.0607      0.69   0.049026   0.049210   0.049963   0.050727  0.051504     17.82    18.36
JPMorgan Chase Financial 48130U2L8 11/05/18 10/29/21    100.000     0.000     3.5020     77.75   0.104211   0.106036                                     31.38         
JPMorgan Chase Financial 48130U2M6 10/31/18 10/29/21    100.000     0.000     3.5120     78.49   0.104582   0.106418                                     31.50         
JP Morgan Chase & Co.    48130U2N4 10/31/18 10/31/25    100.000     0.000     4.1115     92.36   0.123893   0.126440   0.129039   0.131692  0.134399     45.37    47.26
JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25    100.000     0.000     4.1115     92.36   0.123893   0.126440   0.129039   0.131692  0.134399     45.37    47.26
JPMorgan Chase Financial 48130U4B8 11/05/18 10/29/21    100.000     0.000     3.5020     77.75   0.104211   0.106036                                     31.38         
JPMorgan Chase Financial 48130U4D4 11/05/18 10/31/23    100.000     0.000     3.8416     85.53   0.115089   0.117300   0.119553   0.121850  0.124190     42.10    43.74
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130U4E2 11/05/18 10/31/23    100.000     0.000     3.8416     85.53   0.115089   0.117300   0.119553   0.121850  0.124190     42.10    43.74
JPMorgan Chase Financial 48130U4F9 11/05/18 10/31/23    100.000     0.000     3.8416     85.53   0.115089   0.117300   0.119553   0.121850  0.124190     42.10    43.74
JPMorgan Chase Financial 48130U4G7 11/05/18 10/31/23    100.000     0.000     3.8416     85.53   0.115089   0.117300   0.119553   0.121850  0.124190     42.10    43.74
JPMorgan Chase Financial 48130U4H5 11/05/18 10/31/23    100.000     0.000     3.8416     85.53   0.115089   0.117300   0.119553   0.121850  0.124190     42.10    43.74
JPMorgan Chase Financial 48130U4J1 11/05/18 10/31/23    100.000     0.000     3.8416     85.53   0.115089   0.117300   0.119553   0.121850  0.124190     42.10    43.74
JPMorgan Chase Financial 48130U4K8 10/10/18 10/10/23    100.000     0.000     3.8717     89.12   0.116120   0.118368   0.120660   0.122995  0.125376     42.58    44.24
JPMorgan Chase Financial 48130U5P6 10/11/18 10/12/23    100.000     0.000     3.8719     89.01   0.116138   0.118386   0.120678   0.123014  0.125396     42.57    44.24
JPMorgan Chase Financial 48130UAC9 09/06/18 08/31/23    100.000     0.000     3.7714     90.58   0.112820   0.114924   0.117115   0.119299  0.121574     41.52    43.10
JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25    100.000     0.000     4.0210     97.51   0.120939   0.123357   0.125851   0.128367  0.130963     44.58    46.39
JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25    100.000     0.000     4.0210     97.51   0.120939   0.123357   0.125851   0.128367  0.130963     44.58    46.39
JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25    100.000     0.000     4.0210     97.51   0.120939   0.123357   0.125851   0.128367  0.130963     44.58    46.39
JPMorgan Chase Financial 48130UAQ8 09/06/18 09/03/21    100.000     0.000     3.4020     81.42   0.101066   0.102785                                     24.77         
JPMorgan Chase Financial 48130UAT2 09/06/18 09/03/21    100.000     0.000     3.4020     81.42   0.101066   0.102785                                     24.77         
JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25    100.000     0.000     4.1114     93.72   0.123920   0.126467   0.129067   0.131720  0.134428     45.43    47.32
JPMorgan Chase Financial 48130UDH5 08/30/18 09/01/21    100.000     0.000     3.4016     82.02   0.101091   0.102811                                     24.57         
JPMorgan Chase Financial 48130UE92 10/31/18 10/31/22    100.000     0.000     3.6920     82.64   0.110339   0.112376   0.114450   0.116563               40.34    34.60
JPMorgan Chase Financial 48130UEW1 09/28/18 09/30/21    100.000     0.000     3.5126     81.85   0.104629   0.106466                                     28.48         
JPMorgan Chase Financial 48130UHC2 10/03/18 09/29/23    100.000     0.000     3.8721     89.94   0.116083   0.118330   0.120621   0.122956  0.125337     42.61    44.28
JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25    100.000     0.000     4.1116     96.33   0.123923   0.126471   0.129071   0.131724  0.134432     45.54    47.43
JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25    100.000     0.000     4.1116     96.33   0.123923   0.126471   0.129071   0.131724  0.134432     45.54    47.43
JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25    100.000     0.000     4.1116     96.33   0.123923   0.126471   0.129071   0.131724  0.134432     45.54    47.43
JPMorgan Chase Financial 48130UHK4 10/03/18 10/05/21    100.000     0.000     3.5126     81.33   0.104629   0.106466                                     29.00         
JPMorgan Chase Financial 48130UHX6 10/03/18 09/29/23    100.000     0.000     3.8721     89.94   0.116083   0.118330   0.120621   0.122956  0.125337     42.61    44.28
JPMorgan Chase Financial 48130UHY4 10/03/18 09/29/23    100.000     0.000     3.8721     89.94   0.116083   0.118330   0.120621   0.122956  0.125337     42.61    44.28
JPMorgan Chase Financial 48130UHZ1 10/03/18 09/30/21    100.000     0.000     3.5124     81.33   0.104574   0.106411                                     28.46         
JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25    100.000     0.000     4.1113     92.98   0.123916   0.126464   0.129063   0.131716  0.134424     45.40    47.28
JPMorgan Chase Financial 48130UK46 10/25/18 10/27/21    100.000     0.000     3.5123     79.02   0.104619   0.106456                                     31.30         
JPMorgan Chase Financial 48130UMA0 09/27/18 09/28/23    100.000     0.000     3.8719     90.63   0.116138   0.118386   0.120678   0.123014  0.125396     42.64    44.30
JPMorgan Chase Financial 48130UNK7 10/31/18 10/29/21    100.000     0.000     3.5120     78.49   0.104582   0.106418                                     31.50         
JPMorgan Chase Financial 48130UR80 11/30/18 11/30/21    100.000     0.000     3.5314     75.78   0.105208   0.107066                                     34.95         
JPMorgan Chase Financial 48130URX5 08/21/19 08/23/21    100.000     0.000     2.4317     33.46   0.069209   0.070051                                     16.21         
JPMorgan Chase Financial 48130US63 11/30/18 11/30/21    100.000     0.000     3.5314     75.78   0.105208   0.107066                                     34.95         
JPMorgan Chase Financial 48130USG1 10/09/19 04/09/21    100.000     0.000     2.2115     27.39   0.062795                                                 6.15         
JPMorgan Chase Financial 48130USL0 10/30/19 04/30/21    100.000     0.000     2.0215     23.81   0.057294                                                 6.82         
JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27    100.000     0.000     2.6405     22.34   0.074304   0.075285   0.076279   0.077286  0.078307     27.17    27.90
JP Morgan Chase & Co.    48130UU29 11/30/18 11/28/25    100.000     0.000     4.1207     88.85   0.124164   0.126722   0.129333   0.131998  0.134718     45.33    47.22
JPMorgan Chase Financial 48130UZ57 12/05/18 11/30/21    100.000     0.000     3.5313     75.26   0.105153   0.107010                                     34.93         
JPMorgan Chase Financial 48130UZ65 12/05/18 11/30/23    100.000     0.000     3.8710     82.72   0.116037   0.118283   0.120572   0.122906  0.125284     42.32    43.97
JPMorgan Chase Financial 48130UZ73 12/05/18 11/30/23    100.000     0.000     3.8710     82.72   0.116037   0.118283   0.120572   0.122906  0.125284     42.32    43.97
JPMorgan Chase Financial 48130UZ81 12/05/18 11/30/23    100.000     0.000     3.8710     82.72   0.116037   0.118283   0.120572   0.122906  0.125284     42.32    43.97
JPMorgan Chase Financial 48130UZ99 12/05/18 11/30/23    100.000     0.000     3.8710     82.72   0.116037   0.118283   0.120572   0.122906  0.125284     42.32    43.97
JPMorgan Chase Financial 48130W2J9 03/12/19 07/12/22    100.000     0.000     3.0703     56.50   0.088824   0.090187   0.091572   0.092977               32.69    17.74
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130W4H1 03/29/19 09/30/21    100.000     0.000     2.6618     47.54   0.076937   0.077961                                     20.88         
JPMorgan Chase Financial 48130W4J7 03/29/19 03/31/22    100.000     0.000     2.6812     47.89   0.077518   0.078557   0.079610                          28.28     7.09
JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26    100.000     0.000     3.2713     58.65   0.095411   0.096972   0.098558   0.100170  0.101808     34.92    36.07
JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26    100.000     0.000     3.2713     58.65   0.095411   0.096972   0.098558   0.100170  0.101808     34.92    36.07
JPMorgan Chase Financial 48130W4V0 04/03/19 03/31/21    100.000     0.000     2.6320     46.69   0.076019                                                 6.77         
JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26    100.000     0.000     3.5710     65.30   0.104604   0.106472   0.108373   0.110308  0.112277     38.38    39.76
JPMorgan Chase Financial 48130W5H0 04/03/19 03/31/22    100.000     0.000     2.6818     47.59   0.077514   0.078553   0.079606                          28.28     7.08
JPMorgan Chase Financial 48130W5K3 04/03/19 03/31/22    100.000     0.000     2.6818     47.59   0.077514   0.078553   0.079606                          28.28     7.08
JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24    100.000     0.000     3.0015     53.38   0.087150   0.088458   0.089785   0.091132  0.092500     31.85    32.82
JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24    100.000     0.000     3.0015     53.38   0.087150   0.088458   0.089785   0.091132  0.092500     31.85    32.82
JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24    100.000     0.000     3.0015     53.38   0.087150   0.088458   0.089785   0.091132  0.092500     31.85    32.82
JPMorgan Chase Financial 48130W5T4 03/29/19 03/31/22    100.000     0.000     2.6812     47.89   0.077518   0.078557   0.079610                          28.28     7.09
JP Morgan Chase & Co.    48130W5U1 03/29/19 03/31/26    100.000     0.000     3.2713     58.65   0.095411   0.096972   0.098558   0.100170  0.101808     34.92    36.07
JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24    100.000     0.000     3.0015     53.38   0.087150   0.088458   0.089785   0.091132  0.092500     31.85    32.82
JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24    100.000     0.000     3.0015     53.38   0.087150   0.088458   0.089785   0.091132  0.092500     31.85    32.82
JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24    100.000     0.000     3.0015     53.38   0.087150   0.088458   0.089785   0.091132  0.092500     31.85    32.82
JPMorgan Chase Financial 48130W7F2 04/03/19 03/31/21    100.000     0.000     2.6320     46.69   0.076019                                                 6.77         
JPMorgan Chase Financial 48130W7M7 04/03/19 12/31/21    100.000     0.000     2.6703     47.38   0.077684   0.078721                                     28.08         
JPMorgan Chase Financial 48130WAB7 12/05/18 11/30/23    100.000     0.000     3.8710     82.72   0.116037   0.118283   0.120572   0.122906  0.125284     42.32    43.97
JPMorgan Chase Financial 48130WAC5 12/05/18 11/30/23    100.000     0.000     3.8710     82.72   0.116037   0.118283   0.120572   0.122906  0.125284     42.32    43.97
JPMorgan Chase Financial 48130WAJ0 12/05/18 11/30/21    100.000     0.000     3.5313     75.26   0.105153   0.107010                                     34.93         
JPMorgan Chase Financial 48130WC58 02/05/19 01/29/21    100.000     0.000     2.9715     57.84   0.086234                                                 2.41         
JPMorgan Chase Financial 48130WEC1 11/26/18 11/26/21    100.000     0.000     3.0209     64.92   0.089101   0.090447                                     29.20         
JPMorgan Chase Financial 48130WEF4 11/27/18 11/26/21    100.000     0.000     2.6812     57.38   0.078546   0.079599                                     25.72         
JPMorgan Chase Financial 48130WFN6 12/31/18 12/31/21    100.000     0.000     3.4798     71.54   0.103564   0.105366                                     37.50         
JPMorgan Chase Financial 48130WGM7 01/02/19 12/31/21    100.000     0.000     3.4801     71.34   0.103555   0.105357                                     37.50         
JPMorgan Chase Financial 48130WGV7 12/31/18 06/30/21    100.000     0.000     3.4400     70.70   0.102302                                                18.31         
JPMorgan Chase Financial 48130WGX3 01/02/19 12/31/21    100.000     0.000     3.5300     72.39   0.105143   0.106999                                     38.08         
JPMorgan Chase Financial 48130WGY1 01/02/19 12/29/23    100.000     0.000     3.8699     79.56   0.116026   0.118271   0.120559   0.122892  0.125270     42.18    43.83
JPMorgan Chase Financial 48130WGZ8 01/02/19 12/29/23    100.000     0.000     3.8699     79.56   0.116026   0.118271   0.120559   0.122892  0.125270     42.18    43.83
JPMorgan Chase Financial 48130WHA2 01/02/19 12/29/23    100.000     0.000     3.8699     79.56   0.116026   0.118271   0.120559   0.122892  0.125270     42.18    43.83
JPMorgan Chase Financial 48130WHB0 01/02/19 12/29/23    100.000     0.000     3.8699     79.56   0.116026   0.118271   0.120559   0.122892  0.125270     42.18    43.83
JPMorgan Chase Financial 48130WHM6 01/02/19 12/29/23    100.000     0.000     3.8699     79.56   0.116026   0.118271   0.120559   0.122892  0.125270     42.18    43.83
JPMorgan Chase Financial 48130WHN4 01/02/19 12/29/23    100.000     0.000     3.8699     79.56   0.116026   0.118271   0.120559   0.122892  0.125270     42.18    43.83
JPMorgan Chase Financial 48130WJW2 12/19/18 12/19/23    100.000     0.000     3.8702     81.07   0.116071   0.118317   0.120607   0.122941  0.125320     42.24    43.90
JPMorgan Chase Financial 48130WLN9 12/24/18 12/22/23    100.000     0.000     3.8705     80.50   0.116055   0.118301   0.120591   0.122924  0.125303     42.22    43.88
JPMorgan Chase Financial 48130WMQ1 12/31/18 12/29/23    100.000     0.000     3.8703     79.80   0.116063   0.118309   0.120599   0.122933  0.125312     42.20    43.85
JP Morgan Chase & Co.    48130WND9 01/31/19 02/02/26    100.000     0.000     3.7407     73.76   0.109871   0.111926   0.114019   0.116152  0.118324     40.54    42.07
JPMorgan Chase Financial 48130WNE7 01/31/19 02/02/22    100.000     0.000     3.1416     61.68   0.091461   0.092897   0.094357                          33.62     2.93
JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26    100.000     0.000     3.7407     73.75   0.109848   0.111902   0.113995   0.116127  0.118299     40.54    42.07
JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26    100.000     0.000     3.7407     73.75   0.109848   0.111902   0.113995   0.116127  0.118299     40.54    42.07
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130WNV9 01/31/19 07/30/21    100.000     0.000     3.0917     60.68   0.089926   0.091316                                     19.04         
JPMorgan Chase Financial 48130WNW7 01/31/19 01/31/22    100.000     0.000     3.1417     61.68   0.091446   0.092883   0.094342                          33.62     2.74
JPMorgan Chase Financial 48130WPX3 02/05/19 01/29/21    100.000     0.000     3.0212     58.82   0.087739                                                 2.46         
JPMorgan Chase Financial 48130WPY1 02/05/19 01/31/22    100.000     0.000     3.1213     60.82   0.090786   0.092203   0.093642                          33.37     2.72
JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24    100.000     0.000     3.4409     67.20   0.100553   0.102283   0.104043   0.105833  0.107654     37.04    38.32
JPMorgan Chase Financial 48130WQZ7 02/05/19 01/31/22    100.000     0.000     3.1213     60.82   0.090786   0.092203   0.093642                          33.37     2.72
JPMorgan Chase Financial 48130WR29 04/30/19 10/29/21    100.000     0.000     2.6617     45.15   0.076923   0.077946                                     23.11         
JPMorgan Chase Financial 48130WR37 04/30/19 04/29/22    100.000     0.000     2.6815     45.49   0.077516   0.078556   0.079609                          28.22     9.39
JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26    100.000     0.000     3.2709     55.69   0.095390   0.096950   0.098535   0.100147  0.101785     34.81    35.96
JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26    100.000     0.000     3.2709     55.69   0.095390   0.096950   0.098535   0.100147  0.101785     34.81    35.96
JPMorgan Chase Financial 48130WR94 04/30/19 10/31/22    100.000     0.000     2.8813     48.94   0.083545   0.084749   0.085970   0.087208               30.44    25.93
JPMorgan Chase Financial 48130WRE3 01/10/19 07/12/21    100.000     0.000     3.0405     61.42   0.088383   0.089726                                     17.12         
JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24    100.000     0.000     3.1311     53.26   0.091125   0.092552   0.094001   0.095473  0.096967     33.24    34.29
JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26    100.000     0.000     3.4011     57.95   0.099377   0.101067   0.102786   0.104534  0.106312     36.29    37.53
JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24    100.000     0.000     3.1311     52.99   0.091102   0.092528   0.093977   0.095448  0.096943     33.23    34.28
JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24    100.000     0.000     3.8413     74.55   0.112945   0.115115   0.117326   0.119579  0.121876     41.67    43.29
JPMorgan Chase Financial 48130WTS0 02/04/19 02/04/21    100.000     0.000     3.0218     58.92   0.087802                                                 2.90         
JPMorgan Chase Financial 48130WU82 05/03/19 04/30/21    100.000     0.000     2.7121     45.79   0.078425                                                 9.33         
JPMorgan Chase Financial 48130WV24 05/03/19 01/31/22    100.000     0.000     2.7705     46.80   0.079635   0.080738   0.081856                          29.20     2.37
JPMorgan Chase Financial 48130WV32 05/03/19 04/29/22    100.000     0.000     2.8015     47.32   0.081111   0.082247   0.083399                          29.55     9.84
JPMorgan Chase Financial 48130WV40 05/03/19 04/29/22    100.000     0.000     2.8015     47.32   0.081111   0.082247   0.083399                          29.55     9.84
JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24    100.000     0.000     3.1311     52.99   0.091102   0.092528   0.093977   0.095448  0.096943     33.23    34.28
JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24    100.000     0.000     3.1311     52.99   0.091102   0.092528   0.093977   0.095448  0.096943     33.23    34.28
JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26    100.000     0.000     3.2710     56.84   0.095411   0.096972   0.098558   0.100170  0.101808     34.85    36.00
JPMorgan Chase Financial 48130WVJ7 02/28/19 08/31/21    100.000     0.000     2.9420     55.28   0.085397   0.086639                                     20.64         
JPMorgan Chase Financial 48130WVN8 02/28/19 02/28/22    100.000     0.000     2.9919     56.24   0.086893   0.088193   0.089512                          31.84     5.10
JPMorgan Chase Financial 48130WXE6 02/28/19 05/31/22    100.000     0.000     3.0304     57.00   0.088743   0.090088   0.091452                          32.27    13.63
JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26    100.000     0.000     3.5711     67.40   0.104595   0.106463   0.108364   0.110299  0.112268     38.46    39.84
JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24    100.000     0.000     3.2313     60.18   0.094130   0.095642   0.097196   0.098757  0.100362     34.53    35.66
JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24    100.000     0.000     3.2313     60.18   0.094130   0.095642   0.097196   0.098757  0.100362     34.53    35.66
JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24    100.000     0.000     3.2313     60.18   0.094130   0.095642   0.097196   0.098757  0.100362     34.53    35.66
JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24    100.000     0.000     3.2313     60.18   0.094130   0.095642   0.097196   0.098757  0.100362     34.53    35.66
JPMorgan Chase Financial 48130WXT3 03/05/19 02/28/22    100.000     0.000     2.9917     55.63   0.086840   0.088139   0.089457                          31.82     5.10
JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24    100.000     0.000     3.3109     61.70   0.096562   0.098151   0.099785   0.101428  0.103116     35.44    36.63
JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24    100.000     0.000     3.3109     61.70   0.096562   0.098151   0.099785   0.101428  0.103116     35.44    36.63
JPMorgan Chase Financial 48130WXX4 03/05/19 02/26/21    100.000     0.000     2.8919     53.74   0.083806                                                 4.61         
JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24    100.000     0.000     3.3109     61.70   0.096562   0.098151   0.099785   0.101428  0.103116     35.44    36.63
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26    100.000     0.000     3.7408     70.68   0.109841   0.111895   0.113988   0.116120  0.118292     40.43    41.95
JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26    100.000     0.000     3.7408     70.68   0.109841   0.111895   0.113988   0.116120  0.118292     40.43    41.95
JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26    100.000     0.000     3.6910     70.69   0.108309   0.110308   0.112344   0.114417  0.116528     39.88    41.37
JPMorgan Chase Financial 48130WYN5 03/05/19 03/04/21    100.000     0.000     2.8919     53.74   0.083858                                                 5.28         
JPMorgan Chase Financial 48130WYT2 03/05/19 02/28/22    100.000     0.000     2.9917     55.63   0.086840   0.088139   0.089457                          31.82     5.10
JPMorgan Chase Financial 48130WZ20 05/03/19 04/30/21    100.000     0.000     2.7121     45.79   0.078425                                                 9.33         
JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24    100.000     0.000     3.4413     65.59   0.100613   0.102344   0.104105   0.105896  0.107718     36.99    38.27
JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26    100.000     0.000     3.6909     70.04   0.108305   0.110304   0.112340   0.114413  0.116524     39.86    41.34
JPMorgan Chase Financial 48130X133 05/01/19 05/27/21    100.000     0.000     2.7106     45.92   0.078551                                                11.47         
JPMorgan Chase Financial 48132C3A9 08/05/19 07/30/21    100.000     0.000     2.4313     34.56   0.069165   0.070006                                     14.61         
JPMorgan Chase Financial 48132C3P6 08/05/19 04/29/22    100.000     0.000     2.4505     34.86   0.070147   0.071007   0.071877                          25.52     8.48
JPMorgan Chase Financial 48132C3Q4 08/05/19 07/29/22    100.000     0.000     2.4606     34.98   0.070014   0.070875   0.071747   0.072630               25.62    15.08
JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24    100.000     0.000     2.5905     36.85   0.073810   0.074766   0.075734   0.076715  0.077709     27.03    27.74
JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24    100.000     0.000     2.5905     36.85   0.073810   0.074766   0.075734   0.076715  0.077709     27.03    27.74
JPMorgan Chase Financial 48132C4Z3 07/17/19 01/18/22    100.000     0.000     2.1209     31.19   0.060172   0.060810   0.061455                          21.99     1.04
JPMorgan Chase Financial 48132CCJ0 04/25/19 04/27/21    100.000     0.000     2.6319     45.02   0.076043                                                 8.82         
JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24    100.000     0.000     3.1313     53.18   0.091131   0.092558   0.094007   0.095479  0.096973     33.24    34.29
JPMorgan Chase Financial 48132CDT7 04/29/19 04/28/21    100.000     0.000     2.6324     44.72   0.076041                                                 8.90         
JPMorgan Chase Financial 48132CFA6 05/31/19 11/30/21    100.000     0.000     2.7509     44.30   0.079610   0.080705                                     26.39         
JPMorgan Chase Financial 48132CFB4 05/31/19 05/31/22    100.000     0.000     2.8011     45.12   0.081123   0.082259   0.083411                          29.48    12.43
JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24    100.000     0.000     2.8505     45.52   0.082581   0.083758   0.084952   0.086162  0.087390     30.01    30.88
JPMorgan Chase Financial 48132CFD0 05/31/19 11/30/22    100.000     0.000     2.8805     46.42   0.083521   0.084724   0.085945   0.087182               30.36    28.50
JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24    100.000     0.000     3.1310     50.53   0.091120   0.092547   0.093995   0.095467  0.096961     33.15    34.20
JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26    100.000     0.000     3.4005     54.96   0.099350   0.101039   0.102757   0.104504  0.106281     36.18    37.42
JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26    100.000     0.000     3.4010     56.36   0.099393   0.101083   0.102802   0.104550  0.106328     36.23    37.47
JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26    100.000     0.000     3.4005     54.96   0.099350   0.101039   0.102757   0.104504  0.106281     36.18    37.42
JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26    100.000     0.000     3.4005     54.96   0.099350   0.101039   0.102757   0.104504  0.106281     36.18    37.42
JPMorgan Chase Financial 48132CHM8 06/05/19 05/28/21    100.000     0.000     2.4610     39.22   0.070883                                                10.42         
JPMorgan Chase Financial 48132CHN6 06/05/19 02/28/22    100.000     0.000     2.5202     40.20   0.072199   0.073109   0.074030                          26.38     4.22
JPMorgan Chase Financial 48132CHP1 06/05/19 05/31/22    100.000     0.000     2.5307     40.34   0.072975   0.073898   0.074833                          26.49    11.15
JPMorgan Chase Financial 48132CHQ9 06/05/19 05/31/22    100.000     0.000     2.5307     40.34   0.072975   0.073898   0.074833                          26.49    11.15
JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24    100.000     0.000     2.8505     45.52   0.082581   0.083758   0.084952   0.086162  0.087390     30.01    30.88
JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24    100.000     0.000     2.8505     45.52   0.082581   0.083758   0.084952   0.086162  0.087390     30.01    30.88
JPMorgan Chase Financial 48132CJ20 08/30/19 02/28/23    100.000     0.000     2.4808     33.51   0.070623   0.071499   0.072386   0.073284  0.074193     25.80    26.44
JPMorgan Chase Financial 48132CJ46 08/30/19 02/28/22    100.000     0.000     2.4410     32.97   0.069461   0.070309   0.071167                          25.37     4.06
JPMorgan Chase Financial 48132CK51 09/05/19 08/31/21    100.000     0.000     2.0714     27.64   0.058721   0.059323                                     14.14         
JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24    100.000     0.000     2.1403     28.56   0.060714   0.061356   0.062020   0.062676  0.063354     22.13    22.61
JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24    100.000     0.000     2.1403     28.56   0.060714   0.061356   0.062020   0.062676  0.063354     22.13    22.61
JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24    100.000     0.000     2.5405     34.32   0.072369   0.073284   0.074220   0.075157  0.076117     26.44    27.12
JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25    100.000     0.000     2.6709     36.11   0.076174   0.077191   0.078222   0.079267  0.080325     27.86    28.61
JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26    100.000     0.000     2.8904     39.11   0.082627   0.083808   0.085033   0.086248  0.087508     30.25    31.13
JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24    100.000     0.000     2.1403     28.56   0.060714   0.061356   0.062020   0.062676  0.063354     22.13    22.61
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132CPQ0 06/28/19 12/31/21    100.000     0.000     2.5004     38.19   0.072103   0.073004                                     26.05         
JPMorgan Chase Financial 48132CPR8 06/28/19 06/30/22    100.000     0.000     2.5296     38.64   0.072977   0.073900   0.074835                          26.44    13.40
JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26    100.000     0.000     2.8100     42.99   0.081404   0.082547   0.083707   0.084883  0.086076     29.51    30.35
JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26    100.000     0.000     2.8100     42.99   0.081404   0.082547   0.083707   0.084883  0.086076     29.51    30.35
JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24    100.000     0.000     2.5102     38.34   0.072386   0.073294   0.074214   0.075146  0.076089     26.23    26.89
JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26    100.000     0.000     2.8100     42.99   0.081404   0.082547   0.083707   0.084883  0.086076     29.51    30.35
JPMorgan Chase Financial 48132CPX5 06/28/19 03/31/23    100.000     0.000     2.2397     34.20   0.063979   0.064695   0.065420   0.066152  0.066893     23.29    23.82
JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26    100.000     0.000     3.1201     48.72   0.090790   0.092207   0.093645   0.095106  0.096590     32.98    34.01
JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26    100.000     0.000     2.8904     39.11   0.082627   0.083808   0.085033   0.086248  0.087508     30.25    31.13
JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26    100.000     0.000     2.8904     39.11   0.082627   0.083808   0.085033   0.086248  0.087508     30.25    31.13
JPMorgan Chase Financial 48132CRH8 07/03/19 06/30/21    100.000     0.000     2.3601     35.69   0.067893                                                12.15         
JPMorgan Chase Financial 48132CRL9 07/03/19 03/31/22    100.000     0.000     2.3601     35.72   0.067498   0.068294   0.069100                          24.59     6.15
JPMorgan Chase Financial 48132CRM7 07/03/19 06/30/22    100.000     0.000     2.3700     35.84   0.068188   0.068996   0.069813                          24.69    12.50
JPMorgan Chase Financial 48132CRN5 07/03/19 12/31/21    100.000     0.000     2.1196     32.01   0.060758   0.061402                                     21.93         
JPMorgan Chase Financial 48132CRR6 07/03/19 06/30/22    100.000     0.000     2.3700     35.84   0.068188   0.068996   0.069813                          24.69    12.50
JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24    100.000     0.000     2.3702     35.84   0.068186   0.068994   0.069812   0.070640  0.071477     24.70    25.29
JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24    100.000     0.000     2.3702     35.84   0.068186   0.068994   0.069812   0.070640  0.071477     24.70    25.29
JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26    100.000     0.000     2.8906     39.86   0.082626   0.083821   0.085032   0.086261  0.087508     30.28    31.16
JPMorgan Chase Financial 48132CU76 09/05/19 08/31/22    100.000     0.000     2.0306     27.09   0.057542   0.058120   0.058716   0.059306               20.96    14.14
JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24    100.000     0.000     2.5104     36.06   0.071494   0.072391   0.073300   0.074220  0.075151     26.17    26.83
JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24    100.000     0.000     2.4204     34.75   0.068869   0.069703   0.070546   0.071400  0.072264     25.20    25.81
JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26    100.000     0.000     2.8103     40.42   0.080274   0.081402   0.082545   0.083705  0.084882     29.44    30.28
JPMorgan Chase Financial 48132CYG2 07/31/19 01/31/22    100.000     0.000     2.1006     30.11   0.059582   0.060208   0.060841                          21.75     1.76
JPMorgan Chase Financial 48132CYH0 07/31/19 01/31/23    100.000     0.000     2.2402     32.13   0.063628   0.064341   0.065062   0.065791  0.066528     23.25    23.77
JPMorgan Chase Financial 48132CYS6 08/05/19 07/29/22    100.000     0.000     1.9004     26.95   0.053779   0.054290   0.054805   0.055326               19.61    11.49
JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26    100.000     0.000     2.8103     40.42   0.080274   0.081402   0.082545   0.083705  0.084882     29.44    30.28
JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26    100.000     0.000     2.8103     40.42   0.080274   0.081402   0.082545   0.083705  0.084882     29.44    30.28
JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26    100.000     0.000     2.9402     43.24   0.084106   0.085343   0.086597   0.087871  0.089162     30.90    31.81
JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26    100.000     0.000     2.6406     31.17   0.075311   0.076305   0.077312   0.078333  0.079367     27.41    28.14
JPMorgan Chase Financial 48132F5V4 12/03/19 05/31/22    100.000     0.000     2.0803     22.56   0.058984   0.059598   0.060218                          21.38     8.97
JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24    100.000     0.000     2.2505     24.68   0.063932   0.064651   0.065379   0.066114  0.066858     23.19    23.71
JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25    100.000     0.000     2.4004     26.33   0.068291   0.069111   0.069940   0.070780  0.071629     24.78    25.38
JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26    100.000     0.000     2.6400     28.98   0.075287   0.076281   0.077287   0.078308  0.079341     27.34    28.07
JPMorgan Chase Financial 48132F6H4 12/03/19 11/30/22    100.000     0.000     2.1009     22.79   0.059580   0.060205   0.060838   0.061477               21.60    20.13
JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24    100.000     0.000     2.3202     25.19   0.065936   0.066701   0.067475   0.068258  0.069050     23.92    24.48
JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26    100.000     0.000     2.6400     28.98   0.075287   0.076281   0.077287   0.078308  0.079341     27.34    28.07
JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24    100.000     0.000     2.3202     25.19   0.065936   0.066701   0.067475   0.068258  0.069050     23.92    24.48
JPMorgan Chase Financial 48132F7E0 11/29/19 05/31/22    100.000     0.000     2.0810     22.81   0.059018   0.059632   0.060253                          21.40     8.98
JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24    100.000     0.000     2.3202     25.45   0.065955   0.066721   0.067495   0.068278  0.069070     23.93    24.49
JPMorgan Chase Financial 48132F7L4 12/03/19 11/30/22    100.000     0.000     2.1009     22.79   0.059580   0.060205   0.060838   0.061477               21.60    20.13
JPMorgan Chase Financial 48132F7M2 12/03/19 11/30/22    100.000     0.000     2.1009     22.79   0.059580   0.060205   0.060838   0.061477               21.60    20.13
JPMorgan Chase Financial 48132FD37 11/29/19 11/30/22    100.000     0.000     2.1007     23.02   0.059587   0.060213   0.060846   0.061485               21.60    20.13
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132FDL7 08/28/19 08/26/22    100.000     0.000     2.4612     33.38   0.070050   0.070912   0.071785   0.072668               25.59    17.03
JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26    100.000     0.000     2.8905     36.63   0.082631   0.083825   0.085036   0.086265  0.087512     30.18    31.06
JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25    100.000     0.000     2.7505     34.84   0.078517   0.079597   0.080692   0.081802  0.082927     28.66    29.45
JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24    100.000     0.000     2.5908     32.80   0.073844   0.074801   0.075770   0.076751  0.077746     26.93    27.63
JPMorgan Chase Financial 48132FHY5 09/30/19 03/31/22    100.000     0.000     2.0511     25.91   0.058150   0.058746   0.059348                          21.15     5.28
JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24    100.000     0.000     2.1409     27.05   0.060749   0.061399   0.062056   0.062721  0.063392     22.11    22.58
JPMorgan Chase Financial 48132FJB3 10/03/19 03/31/22    100.000     0.000     2.2314     28.02   0.063363   0.064070   0.064785                          23.07     5.77
JPMorgan Chase Financial 48132FJC1 10/03/19 09/30/22    100.000     0.000     2.2406     28.13   0.063628   0.064341   0.065062   0.065791               23.16    17.63
JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24    100.000     0.000     2.4507     30.80   0.069740   0.070594   0.071459   0.072335  0.073221     25.42    26.04
JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24    100.000     0.000     2.4507     30.80   0.069740   0.070594   0.071459   0.072335  0.073221     25.42    26.04
JPMorgan Chase Financial 48132FJP2 09/09/19 09/09/22    100.000     0.000     2.0307     26.86   0.057561   0.058145   0.058736   0.059332               20.96    14.67
JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26    100.000     0.000     2.4202     30.62   0.068866   0.069699   0.070543   0.071396  0.072260     25.09    25.71
JPMorgan Chase Financial 48132FNJ1 09/30/19 09/30/21    100.000     0.000     2.0711     26.16   0.058728   0.059337                                     15.91         
JPMorgan Chase Financial 48132FPL4 10/07/19 10/04/21    100.000     0.000     2.2315     27.76   0.063365   0.064072                                     17.43         
JPMorgan Chase Financial 48132FPT7 10/04/19 07/07/22    100.000     0.000     1.8407     23.02   0.051846   0.052323   0.052805   0.053291               18.92     9.91
JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26    100.000     0.000     2.7505     32.48   0.078519   0.079599   0.080693   0.081803  0.082928     28.59    29.39
JPMorgan Chase Financial 48132FPZ3 10/31/19 04/29/22    100.000     0.000     2.2311     26.30   0.063360   0.064067   0.064782                          23.03     7.64
JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24    100.000     0.000     2.1904     24.01   0.062185   0.062866   0.063555   0.064251  0.064955     22.55    23.05
JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24    100.000     0.000     2.4504     28.91   0.069745   0.070599   0.071464   0.072340  0.073226     25.37    25.99
JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24    100.000     0.000     2.3206     27.04   0.065944   0.066709   0.067483   0.068266  0.069058     23.97    24.53
JPMorgan Chase Financial 48132FQN9 11/05/19 04/29/22    100.000     0.000     2.2312     25.99   0.063345   0.064052   0.064767                          23.02     7.64
JPMorgan Chase Financial 48132FQP4 11/05/19 10/31/22    100.000     0.000     2.2406     26.10   0.063622   0.064334   0.065055   0.065784               23.12    19.58
JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26    100.000     0.000     2.6402     29.59   0.075300   0.076294   0.077301   0.078322  0.079356     27.36    28.09
JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26    100.000     0.000     2.7505     32.48   0.078519   0.079599   0.080693   0.081803  0.082928     28.59    29.39
JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24    100.000     0.000     2.3812     28.08   0.067728   0.068534   0.069350   0.070176  0.071012     24.63    25.22
JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25    100.000     0.000     2.5307     29.86   0.072089   0.073001   0.073925   0.074860  0.075807     26.23    26.90
JPMorgan Chase Financial 48132FT22 11/27/19 11/30/21    100.000     0.000     2.0711     22.82   0.058739   0.059347                                     19.43         
JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24    100.000     0.000     2.4507     28.57   0.069731   0.070586   0.071451   0.072326  0.073213     25.36    25.99
JPMorgan Chase Financial 48132FU95 11/27/19 05/27/21    100.000     0.000     2.0208     22.26   0.057275                                                 8.36         
JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24    100.000     0.000     2.4507     28.57   0.069731   0.070586   0.071451   0.072326  0.073213     25.36    25.99
JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27    100.000     0.000     2.6405     31.17   0.075314   0.076309   0.077316   0.078337  0.079371     27.41    28.14
JPMorgan Chase Financial 48132FVJ2 10/08/19 10/07/21    100.000     0.000     2.2316     27.70   0.063375   0.064083                                     17.62         
JPMorgan Chase Financial 48132FZK5 10/31/19 11/02/21    100.000     0.000     2.2314     26.30   0.063382   0.064089                                     19.21         
JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25    100.000     0.000     2.3804     20.14   0.067317   0.068118   0.068929   0.069749  0.070580     24.43    25.01
JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26    100.000     0.000     2.5004     21.15   0.070318   0.071197   0.072087   0.072988  0.073901     25.69    26.34
JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27    100.000     0.000     2.6405     22.34   0.074304   0.075285   0.076279   0.077286  0.078307     27.17    27.90
JPMorgan Chase Financial 48132H2V3 03/04/20 03/05/21    100.000     0.000     1.4912     12.34   0.041734                                                 2.67         
JPMorgan Chase Financial 48132H2W1 03/04/20 11/30/22    100.000     0.000     1.7402     14.41   0.048962   0.049388   0.049818   0.050252               17.73    16.47
JPMorgan Chase Financial 48132H2X9 03/04/20 02/28/23    100.000     0.000     1.7536     14.52   0.049124   0.049555   0.049990   0.050428  0.050870     17.87    18.18
JPMorgan Chase Financial 48132H2Y7 03/04/20 02/28/23    100.000     0.000     1.7504     14.49   0.049034   0.049463   0.049896   0.050333  0.050773     17.84    18.15
JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25    100.000     0.000     1.9626     16.25   0.055033   0.055573   0.056118   0.056669  0.057225     20.04    20.44
JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25    100.000     0.000     1.9604     16.24   0.054971   0.055509   0.056053   0.056603  0.057158     20.02    20.41
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25    100.000     0.000     1.9604     16.24   0.054971   0.055509   0.056053   0.056603  0.057158     20.02    20.41
JPMorgan Chase Financial 48132H3G5 02/28/20 11/30/22    100.000     0.000     1.7401     14.70   0.048974   0.049400   0.049830   0.050263               17.73    16.47
JPMorgan Chase Financial 48132H3H3 02/28/20 02/28/23    100.000     0.000     1.7503     14.78   0.049044   0.049473   0.049906   0.050343  0.050783     17.84    18.15
JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25    100.000     0.000     1.9606     16.57   0.054995   0.055534   0.056079   0.056629  0.057184     20.03    20.42
JPMorgan Chase Financial 48132H4H2 02/28/20 11/30/22    100.000     0.000     2.1104     17.85   0.059561   0.060190   0.060825   0.061467               21.59    20.13
JPMorgan Chase Financial 48132H4J8 02/28/20 11/30/23    100.000     0.000     2.1703     18.36   0.061278   0.061943   0.062615   0.063295  0.063982     22.22    22.71
JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25    100.000     0.000     2.3804     20.14   0.067317   0.068118   0.068929   0.069749  0.070580     24.43    25.01
JPMorgan Chase Financial 48132H4M1 03/04/20 11/30/21    100.000     0.000     1.7297     14.32   0.048662   0.049083                                     16.09         
JPMorgan Chase Financial 48132H4N9 03/04/20 03/05/21    100.000     0.000     1.4912     12.34   0.041734                                                 2.67         
JPMorgan Chase Financial 48132HAV4 01/02/20 01/05/21    100.000     0.000     1.8203     18.24   0.051031                                                 0.20         
JPMorgan Chase Financial 48132HAW2 01/02/20 09/30/22    100.000     0.000     2.0804     20.88   0.058688   0.059299   0.059915   0.060539               21.35    16.23
JPMorgan Chase Financial 48132HAX0 01/02/20 12/30/22    100.000     0.000     2.0900     20.95   0.059270   0.059889   0.060515   0.061147               21.45    21.84
JPMorgan Chase Financial 48132HAY8 01/02/20 12/30/22    100.000     0.000     2.1100     21.15   0.059848   0.060479   0.061117   0.061762               21.66    22.06
JPMorgan Chase Financial 48132HAZ5 01/02/20 12/30/22    100.000     0.000     2.1100     21.15   0.059848   0.060479   0.061117   0.061762               21.66    22.06
JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24    100.000     0.000     2.3102     21.38   0.065289   0.066043   0.066806   0.067578  0.068359     23.73    24.28
JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24    100.000     0.000     2.3200     23.27   0.065928   0.066693   0.067466   0.068249  0.069041     23.88    24.44
JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24    100.000     0.000     2.3399     23.47   0.066506   0.067284   0.068071   0.068867  0.069673     24.09    24.66
JPMorgan Chase Financial 48132HBC5 12/26/19 09/30/22    100.000     0.000     2.0996     21.43   0.059258   0.059880   0.060508   0.061144               21.56    16.39
JPMorgan Chase Financial 48132HBE1 12/26/19 12/30/22    100.000     0.000     2.1096     21.51   0.059857   0.060488   0.061126   0.061771               21.66    22.06
JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24    100.000     0.000     2.3400     23.87   0.066535   0.067313   0.068101   0.068897  0.069704     24.10    24.67
JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26    100.000     0.000     2.5004     23.12   0.070323   0.071202   0.072092   0.072994  0.073906     25.74    26.39
JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27    100.000     0.000     2.6405     24.42   0.074311   0.075292   0.076286   0.077293  0.078313     27.23    27.95
JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26    100.000     0.000     2.6396     26.95   0.075291   0.076285   0.077292   0.078312  0.079345     27.29    28.01
JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26    100.000     0.000     2.6396     26.95   0.075291   0.076285   0.077292   0.078312  0.079345     27.29    28.01
JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25    100.000     0.000     2.4900     25.41   0.070920   0.071803   0.072697   0.073602  0.074519     25.69    26.34
JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24    100.000     0.000     2.2798     23.28   0.064432   0.065167   0.065910   0.066661  0.067421     23.46    24.00
JPMorgan Chase Financial 48132HEZ1 12/06/19 12/08/22    100.000     0.000     2.1104     22.71   0.059872   0.060504   0.061142   0.061788               21.70    20.72
JPMorgan Chase Financial 48132HF98 02/28/20 02/28/22    100.000     0.000     2.1016     17.76   0.058992   0.059612   0.060239                          21.50     3.43
JPMorgan Chase Financial 48132HFA5 12/06/19 12/08/22    100.000     0.000     2.1104     22.71   0.059872   0.060504   0.061142   0.061788               21.70    20.72
JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26    100.000     0.000     2.6398     26.65   0.075277   0.076271   0.077277   0.078297  0.079331     27.28    28.01
JPMorgan Chase Financial 48132HKD3 12/31/19 12/31/21    100.000     0.000     2.0701     20.87   0.058700   0.059308                                     21.18         
JPMorgan Chase Financial 48132HKM3 12/24/19 12/22/23    100.000     0.000     2.2002     22.56   0.062461   0.063148   0.063843   0.064545  0.065255     22.62    23.12
JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25    100.000     0.000     2.3402     22.62   0.065768   0.066537   0.067316   0.068103  0.068900     24.07    24.64
JPMorgan Chase Financial 48132HMF6 02/05/20 02/08/21    100.000     0.000     1.7908     16.28   0.050197                                                 1.86         
JPMorgan Chase Financial 48132HMG4 02/05/20 10/31/22    100.000     0.000     2.1004     19.13   0.059250   0.059872   0.060501   0.061136               21.52    18.20
JPMorgan Chase Financial 48132HMH2 02/05/20 01/31/23    100.000     0.000     2.1108     19.21   0.059235   0.059861   0.060492   0.061131  0.061776     21.63    22.09
JPMorgan Chase Financial 48132HMK5 02/05/20 01/31/23    100.000     0.000     2.1108     19.21   0.059235   0.059861   0.060492   0.061131  0.061776     21.63    22.09
JPMorgan Chase Financial 48132HML3 02/05/20 01/31/23    100.000     0.000     2.1108     19.21   0.059235   0.059861   0.060492   0.061131  0.061776     21.63    22.09
JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25    100.000     0.000     2.3404     21.31   0.065752   0.066521   0.067300   0.068087  0.068884     24.04    24.61
JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25    100.000     0.000     2.3404     21.31   0.065752   0.066521   0.067300   0.068087  0.068884     24.04    24.61
JPMorgan Chase Financial 48132HMV1 01/31/20 10/31/22    100.000     0.000     2.1002     19.42   0.059260   0.059882   0.060511   0.061146               21.52    18.21
JPMorgan Chase Financial 48132HMX7 01/31/20 01/31/23    100.000     0.000     2.1102     19.50   0.059236   0.059861   0.060492   0.061130  0.061775     21.63    22.09
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25    100.000     0.000     2.3404     21.63   0.065773   0.066542   0.067321   0.068109  0.068906     24.05    24.62
JPMorgan Chase Financial 48132HPB2 02/05/20 10/29/21    100.000     0.000     1.5895     14.46   0.044668   0.045023                                     13.37         
JPMorgan Chase Financial 48132HPD8 01/31/20 07/31/23    100.000     0.000     1.6802     15.51   0.047064   0.047460   0.047858   0.048260  0.048666     17.13    17.42
JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24    100.000     0.000     1.6800     15.52   0.047257   0.047654   0.048054   0.048458  0.048865     17.13    17.42
JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27    100.000     0.000     2.6405     24.42   0.074311   0.075292   0.076286   0.077293  0.078313     27.23    27.95
JPMorgan Chase Financial 48132HTV4 01/31/20 01/31/22    100.000     0.000     2.1007     19.41   0.058965   0.059584   0.060210                          21.53     1.75
JPMorgan Chase Financial 48132HWD0 02/03/20 02/03/22    100.000     0.000     2.1007     19.23   0.058965   0.059584   0.060210                          21.52     1.93
JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27    100.000     0.000     2.6405     22.34   0.074304   0.075285   0.076279   0.077286  0.078307     27.17    27.90
JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27    100.000     0.000     3.0405     17.95   0.085736   0.087039   0.088363   0.089706  0.091070     31.19    32.14
JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25    100.000     0.000     2.8498     16.85   0.079725   0.080855   0.082013   0.083176  0.084367     29.18    30.02
JPMorgan Chase Financial 48132K3E3 06/03/20 05/31/23    100.000     0.000     2.7309     15.81   0.076875   0.077925   0.078989   0.080068  0.081161     27.93    28.70
JPMorgan Chase Financial 48132K3G8 06/03/20 05/31/23    100.000     0.000     2.7309     15.81   0.076875   0.077925   0.078989   0.080068  0.081161     27.93    28.70
JPMorgan Chase Financial 48132K4G7 05/29/20 05/28/27*   100.000     0.000     3.0405     17.95   0.085736                                                12.60*        
JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24    100.000     0.000     1.8698     14.12   0.052664   0.053157   0.053654   0.054155  0.054662     19.05    19.41
JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26    100.000     0.000     2.0908     15.79   0.058686   0.059299   0.059919   0.060545  0.061178     21.35    21.80
JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27    100.000     0.000     2.2306     16.85   0.062651   0.063350   0.064057   0.064771  0.065493     22.81    23.32
JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24    100.000     0.000     1.9300     14.58   0.054390   0.054915   0.055445   0.055980  0.056520     19.68    20.06
JPMorgan Chase Financial 48132KAH8 03/31/20 03/31/27*   100.000     0.000     2.2306     16.85   0.062651                                                 5.58*        
JPMorgan Chase Financial 48132KAJ4 03/31/20 03/31/27*   100.000     0.000     2.2306     16.85   0.062651                                                 5.58*        
JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26    100.000     0.000     2.0908     15.79   0.058686   0.059299   0.059919   0.060545  0.061178     21.35    21.80
JPMorgan Chase Financial 48132KBQ7 04/03/20 09/30/21    100.000     0.000     1.7413     13.00   0.048784   0.049208                                     13.20         
JPMorgan Chase Financial 48132KBS3 04/03/20 12/30/22    100.000     0.000     1.7402     12.99   0.048964   0.049390   0.049820   0.050253               17.70    17.96
JPMorgan Chase Financial 48132KBU8 04/03/20 03/31/23    100.000     0.000     1.7507     13.07   0.049048   0.049477   0.049910   0.050347  0.050788     17.81    18.13
JPMorgan Chase Financial 48132KBV6 04/03/20 03/31/23    100.000     0.000     1.7507     13.07   0.049048   0.049477   0.049910   0.050347  0.050788     17.81    18.13
JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25    100.000     0.000     1.9606     14.64   0.054986   0.055525   0.056069   0.056618  0.057174     19.99    20.38
JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25    100.000     0.000     1.9606     14.64   0.054986   0.055525   0.056069   0.056618  0.057174     19.99    20.38
JPMorgan Chase Financial 48132KCA1 03/31/20 03/31/23    100.000     0.000     1.7509     13.22   0.049062   0.049491   0.049925   0.050362  0.050803     17.82    18.13
JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25    100.000     0.000     1.9604     14.81   0.054990   0.055529   0.056073   0.056623  0.057178     19.99    20.39
JPMorgan Chase Financial 48132KCD5 04/03/20 03/31/22    100.000     0.000     1.7210     12.85   0.048211   0.048625   0.049044                          17.51     4.36
JPMorgan Chase Financial 48132KCE3 04/03/20 04/08/21    100.000     0.000     1.4513     10.83   0.040614                                                 3.94         
JPMorgan Chase Financial 48132KCF0 04/03/20 06/30/22    100.000     0.000     1.7300     12.92   0.048675   0.049096   0.049521                          17.60     8.86
JPMorgan Chase Financial 48132KCG8 04/03/20 06/30/21    100.000     0.000     1.6006     11.95   0.044990                                                 8.05         
JPMorgan Chase Financial 48132KCH6 04/03/20 09/30/22    100.000     0.000     1.7309     12.92   0.048491   0.048911   0.049334   0.049761               17.61    13.35
JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24    100.000     0.000     2.7908     18.75   0.078605   0.079702   0.080814   0.081941  0.083085     28.63    29.43
JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27    100.000     0.000     3.0407     20.43   0.085749   0.087053   0.088376   0.089720  0.091084     31.26    32.22
JPMorgan Chase Financial 48132KPW9 05/05/20 07/29/22    100.000     0.000     2.7205     17.91   0.076048   0.077083   0.078131   0.079194               27.88    16.44
JPMorgan Chase Financial 48132KPX7 05/05/20 01/31/23    100.000     0.000     1.7300     11.37   0.048253   0.048670   0.049091   0.049516  0.049944     17.57    17.88
JPMorgan Chase Financial 48132KPY5 04/30/20 04/30/27*   100.000     0.000     3.0407     20.43   0.085749                                                10.20*        
JPMorgan Chase Financial 48132M2E0 09/03/20 12/05/24    100.000     0.000     2.7805      9.13   0.077785   0.078866   0.079962   0.081074  0.082201     28.25    29.04
JPMorgan Chase Financial 48132M2F7 09/03/20 03/05/25    100.000     0.000     2.7911      9.15   0.077543   0.078625   0.079722   0.080835  0.081963     28.36    29.16
JPMorgan Chase Financial 48132M2H3 08/31/20 08/31/27    100.000     0.000     3.0406     10.22   0.084461   0.085731   0.087049   0.088358  0.089716     30.95    31.90
JPMorgan Chase Financial 48132M3R0 08/27/20 08/29/22    100.000     0.000     2.7124      9.34   0.075355   0.076371   0.077413   0.078457               27.56    18.61
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
JPMorgan Chase Financial 48132MCL3 06/30/20 06/30/27    100.000     0.000     3.0400     15.29   0.085729   0.087032   0.088355   0.089698  0.091061     31.10    32.05
JPMorgan Chase Financial 48132MCQ2 06/30/20 06/30/27    100.000     0.000     3.0400     15.29   0.085729   0.087032   0.088355   0.089698  0.091061     31.10    32.05
JPMorgan Chase Financial 48132MCS8 06/30/20 06/30/25    100.000     0.000     2.8198     14.18   0.079432   0.080552   0.081688   0.082839  0.084007     28.80    29.62
JPMorgan Chase Financial 48132MCU3 06/30/20 06/30/25    100.000     0.000     2.8198     14.18   0.079432   0.080552   0.081688   0.082839  0.084007     28.80    29.62
JPMorgan Chase Financial 48132MCX7 07/06/20 06/30/23    100.000     0.000     2.7300     13.27   0.076835   0.077883   0.078946   0.080024  0.081116     27.85    28.62
JPMorgan Chase Financial 48132MCY5 07/06/20 06/30/23    100.000     0.000     2.7300     13.27   0.076835   0.077883   0.078946   0.080024  0.081116     27.85    28.62
JPMorgan Chase Financial 48132MSE2 07/31/20 08/02/27    100.000     0.000     3.0406     12.76   0.084476   0.085760   0.087064   0.088388  0.089732     31.03    31.98
JPMorgan Chase Financial 48132MSH5 08/05/20 11/05/24    100.000     0.000     2.7803     11.31   0.077768   0.078849   0.079945   0.081057  0.082184     28.31    29.11
JPMorgan Chase Financial 48132MSJ1 07/31/20 08/02/27    100.000     0.000     3.0406     12.76   0.084476   0.085760   0.087064   0.088388  0.089732     31.03    31.98
JPMorgan Chase Financial 48132MSW2 08/05/20 08/03/23    100.000     0.000     2.7311     11.08   0.075865   0.076889   0.077939   0.079003  0.080082     27.80    28.57
JPMorgan Chase Financial 48132PFE9 09/30/20 10/01/21    100.000     0.000     2.0526      5.19   0.057021   0.057606                                     15.50         
Justice Park Dist, IL    48214PAU9 06/07/11 12/01/21     92.300    VARIES     5.9725             0.164360   0.165121                                     54.38         
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300     4.9136      9.19   0.005718   0.005858   0.006002   0.006149  0.006301      2.10     2.20
Kansas City Southern     485170AP9 12/09/15 05/15/23     95.360     3.000     3.7202     30.20   0.018245   0.018584   0.018930   0.019282  0.019640      6.66     6.91
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300     4.9136      9.19   0.005718   0.005858   0.006002   0.006149  0.006301      2.10     2.20
Kansas City Southern     485170AV6 12/09/15 05/15/23     95.360     3.000     3.7202     30.20   0.018245   0.018584   0.018930   0.019282  0.019640      6.66     6.91
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300     4.9136      9.19   0.005718   0.005858   0.006002   0.006149  0.006301      2.10     2.20
KELLER TEX INDPT SCH DIS 487694TM3 10/14/20 02/15/25     95.895     0.000     0.9690      1.99   0.025811   0.025895   0.026020   0.026146  0.026273      9.34     9.42
KENEDY TEX INDPT SCH DIS 488836JD0 11/18/20 08/15/28     86.913     0.000     1.8199      1.89   0.043937   0.044130   0.044531   0.044937  0.045345     15.93    16.21
KENEDY TEX INDPT SCH DIS 488836JE8 11/18/20 08/15/29     84.616     0.000     1.9200      1.94   0.045127   0.045337   0.045772   0.046211  0.046655     16.37    16.68
KERMIT TEX INDPT SCH DIS 492224EX4 08/31/21 02/15/25     96.611     0.000     0.9994                                   0.026820   0.026943  0.027078      3.25     9.71
KINGS LOC SCH DIST OHIO  496026MA0 01/29/20 12/01/31     68.518     0.000     3.2189     20.51   0.062929   0.063942   0.064971   0.066017  0.067079     22.90    23.64
KINGSVILLE TEX INDPT SCH 496800QV8 08/18/21 02/15/33     76.454     0.000     2.3500                                   0.049907   0.050484  0.051077      6.64    18.23
KIRBYVILLE TEX CONS INDP 497332KB1 09/29/20 02/15/25     95.643     0.000     1.0201      2.49   0.027102   0.027207   0.027345   0.027485  0.027625      9.81     9.91
KIRBYVILLE TEX CONS INDP 497332KC9 09/29/20 02/15/26     93.418     0.000     1.2700      3.03   0.032956   0.033114   0.033324   0.033536  0.033749     11.94    12.09
KIRBYVILLE TEX CONS INDP 497332KD7 09/29/20 02/15/27     91.602     0.000     1.3800      3.23   0.035115   0.035298   0.035541   0.035787  0.036034     12.73    12.91
KFW                      500769BR4 04/19/06 04/18/36     19.779     0.000     5.4760    239.87   0.065841   0.067644   0.069496   0.071399  0.073354     24.29    25.64
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000     5.7800    209.71   0.062706   0.064518   0.066383   0.068302  0.070275     22.91    24.25
LA PORTE TEX INDPT SCH D 504102V43 03/09/21 02/15/23     99.201     0.000     0.4154                        0.011445   0.011466   0.011490  0.011514      3.34     4.14
LA PORTE TEX INDPT SCH D 504102V50 03/09/21 02/15/24     98.439     0.000     0.5371                        0.014686   0.014720   0.014759  0.014799      4.29     5.32
LA PORTE TEX INDPT SCH D 504102V68 03/09/21 02/15/25     97.014     0.000     0.7722                        0.020809   0.020879   0.020959  0.021040      6.09     7.55
LA PORTE TEX INDPT SCH D 504102V76 03/09/21 02/15/26     95.563     0.000     0.9221                        0.024476   0.024574   0.024687  0.024801      7.16     8.90
LA PORTE TEX INDPT SCH D 504102V84 03/09/21 02/15/27     93.152     0.000     1.1991                        0.031028   0.031189   0.031376  0.031564      9.08    11.31
LA PORTE TEX INDPT SCH D 504102V92 03/09/21 02/15/28     91.162     0.000     1.3390                        0.033908   0.034105   0.034333  0.034563      9.93    12.38
LA PORTE TEX INDPT SCH D 504102W26 03/09/21 02/15/29     87.964     0.000     1.6230                        0.039657   0.039936   0.040260  0.040587     11.62    14.52
LA SALLE BUREAU & LEE CN 504354DH1 06/30/17 12/01/22    104.232     3.750     2.8869    105.01   0.081526   0.081200   0.080868   0.080532               29.27    26.63
LA SALLE BUREAU & LEE CN 504354DJ7 06/30/17 12/01/23    103.755     3.750     3.0878    112.14   0.087389   0.087130   0.086867   0.086599  0.086328     31.40    31.21
LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24    104.424     3.875     3.1886    116.57   0.090839   0.090571   0.090299   0.090023  0.089742     32.64    32.44
LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25    104.194     3.875     3.2895    120.17   0.093822   0.093595   0.093364   0.093129  0.092891     33.72    33.55
LAGO VISTA TEX SPL ASSMT 507081AX5 08/19/20 09/01/21     95.844     0.000     4.1491     14.60   0.110615   0.112910                                     26.96         
LAGO VISTA TEX SPL ASSMT 507081AY3 08/19/20 09/01/22     91.895     0.000     4.1997     14.17   0.107354   0.109608   0.111910   0.114260               39.60    27.28
LAGO VISTA TEX SPL ASSMT 507081AZ0 08/19/20 09/01/23     88.023     0.000     4.2497     13.73   0.104057   0.106268   0.108526   0.110832  0.113187     38.39    40.04
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
LAKE TRAVIS TEX INDPT SC 511074VM5 10/28/20 02/15/24     97.139     0.000     0.8822      1.50   0.023805   0.023868   0.023973   0.024079  0.024185      8.60     8.68
LEANDER TEX INDPT SCH DI 521841D37 06/23/21 08/15/23     99.263     0.000     0.3452                        0.009519   0.009524   0.009540  0.009557      1.79     3.44
LEANDER TEX INDPT SCH DI 521841D45 06/23/21 08/15/24     98.238     0.000     0.5661                        0.015449   0.015461   0.015505  0.015549      2.91     5.59
LEANDER TEX INDPT SCH DI 521841D52 06/23/21 08/15/25     96.410     0.000     0.8841                        0.023675   0.023706   0.023810  0.023916      4.46     8.58
LEANDER TEX INDPT SCH DI 521841D60 06/23/21 08/15/26     94.300     0.000     1.1440                        0.029967   0.030016   0.030188  0.030361      5.64    10.88
LEANDER TEX INDPT SCH DI 521841D78 06/23/21 08/15/27     91.773     0.000     1.4020                        0.035742   0.035814   0.036065  0.036318      6.73    13.01
LEANDER TEX INDPT SCH DI 521841D86 06/23/21 08/15/28     89.415     0.000     1.5721                        0.039046   0.039135   0.039442  0.039752      7.35    14.23
LEANDER TEX INDPT SCH DI 521841D94 06/23/21 08/15/29     86.476     0.000     1.7920                        0.043045   0.043156   0.043543  0.043933      8.11    15.71
LEANDER TEX INDPT SCH DI 521841E28 06/23/21 08/15/30     84.104     0.000     1.9020                        0.044435   0.044557   0.044981  0.045409      8.37    16.23
LEANDER TEX INDPT SCH DI 521841E36 06/23/21 08/15/31     81.620     0.000     2.0120                        0.045616   0.045749   0.046209  0.046674      8.59    16.68
LEANDER TEX INDPT SCH DI 521841WU6 09/09/20 08/15/24     97.068     0.000     0.7580      2.29   0.020438   0.020505   0.020583   0.020661  0.020739      7.39     7.45
LEANDER TEX INDPT SCH DI 521841WV4 09/09/20 08/15/25     95.817     0.000     0.8680      2.59   0.023103   0.023190   0.023290   0.023391  0.023493      8.36     8.43
LEANDER TEX INDPT SCH DI 521841WW2 09/09/20 08/15/26     93.781     0.000     1.0851      3.17   0.028266   0.028399   0.028553   0.028708  0.028864     10.24    10.35
LEVELLAND TEX CONS INDPT 527318KY4 09/29/20 02/15/29     86.864     0.000     1.6880      3.75   0.040729   0.040988   0.041334   0.041683  0.042035     14.79    15.04
LEVELLAND TEX CONS INDPT 527318KZ1 09/29/20 02/15/30     84.625     0.000     1.7880      3.87   0.042031   0.042315   0.042694   0.043075  0.043460     15.27    15.54
Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750     5.2776    246.58   0.169955   0.173157   0.176443   0.179816  0.183279     62.35    64.75
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000     9.0690             1.017720   1.058830   1.101805   1.146728  1.193688    377.65   408.96
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000     9.0690             1.017720   1.058830   1.101805   1.146728  1.193688    377.65   408.96
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750     9.4298             1.148773   1.198025   1.249600   1.303606  1.360159    436.14   474.61
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750     9.4298             1.148773   1.198025   1.249600   1.303606  1.360159    436.14   474.61
Liberty Media Corp.      530715AM3 01/11/01 01/15/31*   100.000     3.500        N/A             1.116502   1.164918   1.215633                         404.07*        
Liberty Media Corp.      530715AN1 01/11/01 01/15/31*   100.000     3.500        N/A             1.116502   1.164918   1.215633                         404.07*        
Liberty Media Corp.      531229AC6 08/17/16 09/30/46*   100.000     2.250     4.1931    190.61   0.126539   0.127881   0.129252                          34.80*        
Liberty Media Corp.      531229AE2 08/17/16 09/30/46*   100.000     2.250     4.1931    190.61   0.126539   0.127881   0.129252                          34.80*        
Liberty Media Corp.      531229AG7 03/06/18 03/31/48    100.000     2.125     4.8953    142.66   0.146156   0.148289   0.150474   0.152713  0.155007     53.39    54.99
Liberty Media Corp.      531229AH5 12/03/18 12/01/48*    99.500     2.250     5.2748    111.73   0.154905   0.157342                                     51.56*        
Liberty Media Corp.      531229AJ1 11/26/19 12/01/49    100.000     2.750     4.4630     49.23   0.126150   0.127260   0.128395   0.129556  0.130742     45.68    46.50
Liberty Media Corp.      531229AK8 11/12/20 12/01/50    100.000     0.500     3.8921      5.30   0.108337   0.110147   0.112020   0.113929  0.115876     39.44    40.79
LIBERTY TRIPADVISOR HOLD 531465AA0 03/25/21 06/30/51    100.000     0.500     6.0428             0.167855   0.170310   0.175036   0.179905  0.184921     46.78    63.90
LITTLE ELM TEX INDPT SCH 5370962U2 12/19/19 08/15/21     96.994     0.000     1.8515     18.67   0.050492   0.050959                                     11.39         
LITTLE ELM TEX INDPT SCH 5370962V0 12/19/19 08/15/22     95.004     0.000     1.9389     19.15   0.051820   0.052322   0.052830   0.053342               18.88    11.93
LITTLE ELM TEX INDPT SCH 5370962W8 12/19/19 08/15/23     92.463     0.000     2.1548     20.73   0.056129   0.056733   0.057345   0.057962  0.058587     20.48    20.92
LITTLE ELM TEX INDPT SCH 5370962X6 12/19/19 08/15/24     89.879     0.000     2.3049     21.56   0.058417   0.059090   0.059771   0.060460  0.061156     21.34    21.83
LITTLE ELM TEX INDPT SCH 5370962Y4 12/19/19 08/15/25     86.818     0.000     2.5148     22.74   0.061650   0.062425   0.063210   0.064005  0.064810     22.55    23.12
LITTLE ELM TEX INDPT SCH 5370962Z1 12/19/19 08/15/26     83.845     0.000     2.6647     23.28   0.063150   0.063991   0.064844   0.065708  0.066583     23.12    23.74
LITTLE ELM TEX INDPT SCH 5370963A5 12/19/19 08/15/27     80.942     0.000     2.7808     23.46   0.063666   0.064551   0.065449   0.066359  0.067281     23.32    23.97
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES     4.6791             0.117966   0.118805   0.119878   0.120977  0.122101     42.74    43.50
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES     2.8121             0.008199   0.008314   0.008431   0.008550                3.01     1.72
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000    VARIES     4.6384     25.76   0.010137   0.010373   0.010613   0.010859  0.011111      3.77     3.94
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES     3.6033             0.084955   0.085045   0.085138   0.085232  0.085589     30.63    30.73
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES     3.6892             0.084345   0.084118   0.084284   0.084453  0.084626     30.32    30.42
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES     3.6255             0.074209   0.075502   0.076819   0.078159  0.079576     27.12    28.08
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES     4.1638             0.092047   0.093610   0.095205   0.096833  0.098495     33.97    35.15
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES     4.0718             0.087868   0.088578   0.089302   0.090533  0.091790     31.98    32.76
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES     4.1865             0.072601   0.074028   0.075484   0.076972  0.078490     26.83    27.90
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES     5.0339             0.113841   0.113996   0.114156   0.114741  0.115342     41.03    41.28
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28     97.000    VARIES     4.8307             0.120225   0.120425   0.120628   0.120836  0.121049     43.33    43.48
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES     4.4797             0.101609   0.101939   0.102277   0.102895  0.103528     36.66    36.97
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES     3.7159             0.079692   0.080212   0.080743   0.081283  0.082134     28.85    29.26
LOCKHART TEX INDPT SCH D 539770LC9 10/15/20 08/01/24     97.118     0.000     0.7721      1.58   0.020830   0.020877   0.020958   0.021039  0.021120      7.53     7.58
LOCKHART TEX INDPT SCH D 539770LD7 10/15/20 08/01/25     95.914     0.000     0.8720      1.77   0.023232   0.023292   0.023393   0.023495  0.023598      8.40     8.47
LOCKHART TEX INDPT SCH D 539770LE5 10/15/20 08/01/26     93.754     0.000     1.1161      2.21   0.029066   0.029162   0.029325   0.029488  0.029653     10.52    10.64
LONDON TEX INDPT SCH DIS 542119HV7 11/18/20 08/15/28     86.846     0.000     1.8299      1.90   0.044145   0.044340   0.044746   0.045156  0.045569     16.01    16.29
LONDON TEX INDPT SCH DIS 542119HW5 11/18/20 08/15/29     84.543     0.000     1.9299      1.95   0.045323   0.045534   0.045973   0.046417  0.046865     16.44    16.75
LONDON TEX INDPT SCH DIS 542119HX3 11/18/20 08/15/30     82.138     0.000     2.0300      1.99   0.046316   0.046543   0.047016   0.047493  0.047975     16.81    17.14
LORENA TEX INDPT SCH DIS 544061PB4 11/18/20 08/15/25     94.574     0.000     1.1799      1.33   0.030997   0.031085   0.031269   0.031453  0.031639     11.21    11.34
LORENA TEX INDPT SCH DIS 544061PC2 11/18/20 08/15/26     92.039     0.000     1.4500      1.59   0.037070   0.037200   0.037470   0.037741  0.038015     13.42    13.61
LORENA TEX INDPT SCH DIS 544061PD0 11/18/20 08/15/27     89.513     0.000     1.6500      1.76   0.041026   0.041189   0.041529   0.041872  0.042217     14.87    15.11
LORENA TEX INDPT SCH DIS 544061PE8 11/18/20 08/15/28     86.846     0.000     1.8299      1.90   0.044145   0.044340   0.044746   0.045156  0.045569     16.01    16.29
LORENA TEX INDPT SCH DIS 544061PF5 11/18/20 08/15/29     84.178     0.000     1.9799      1.99   0.046295   0.046517   0.046977   0.047442  0.047912     16.80    17.12
LORENA TEX INDPT SCH DIS 544061PG3 11/18/20 08/15/30     81.743     0.000     2.0800      2.03   0.047228   0.047466   0.047959   0.048458  0.048962     17.14    17.49
LUBBOCK COOPER TEX INDPT 549108VL9 07/28/20 02/15/22     98.717     0.000     0.8363      3.51   0.022941   0.023037   0.023134                           8.30     1.02
LUBBOCK COOPER TEX INDPT 549108VM7 07/28/20 02/15/23     97.417     0.000     1.0300      4.27   0.027885   0.028028   0.028173   0.028318  0.028464     10.10    10.21
LUBBOCK COOPER TEX INDPT 549108VN5 07/28/20 02/15/24     95.669     0.000     1.2520      5.09   0.033292   0.033501   0.033710   0.033921  0.034134     12.08    12.23
LUBBOCK COOPER TEX INDPT 549108VP0 07/28/20 02/15/25     94.014     0.000     1.3620      5.45   0.035592   0.035835   0.036079   0.036324  0.036572     12.92    13.10
LUBBOCK COOPER TEX INDPT 549108VQ8 07/28/20 02/15/26     91.448     0.000     1.6181      6.29   0.041134   0.041467   0.041802   0.042140  0.042481     14.96    15.20
LUBBOCK COOPER TEX INDPT 549108VR6 07/28/20 02/15/27     89.114     0.000     1.7681      6.70   0.043803   0.044190   0.044581   0.044975  0.045373     15.94    16.23
LUBBOCK COOPER TEX INDPT 549108VS4 07/28/20 02/15/28     86.466     0.000     1.9360      7.12   0.046543   0.046994   0.047449   0.047908  0.048372     16.96    17.29
LUBBOCK COOPER TEX INDPT 549108VT2 07/28/20 02/15/29     84.101     0.000     2.0361      7.28   0.047611   0.048096   0.048585   0.049080  0.049580     17.36    17.72
LUBBOCK COOPER TEX INDPT 549108VU9 07/28/20 02/15/30     82.026     0.000     2.0861      7.28   0.047578   0.048074   0.048575   0.049082  0.049594     17.35    17.72
LUBBOCK COOPER TEX INDPT 549108VV7 07/28/20 02/15/31     78.683     0.000     2.2859      7.65   0.050015   0.050587   0.051165   0.051750  0.052341     18.26    18.68
LUBBOCK COOPER TEX INDPT 549108WF1 07/28/20 02/15/32     75.265     0.000     2.4759      7.93   0.051824   0.052465   0.053115   0.053772  0.054438     18.95    19.42
LUBBOCK TEX INDPT SCH DI 5492203D1 12/03/19 02/15/21     97.765     0.000     1.8916     20.06   0.052053                                                 2.29         
LUBBOCK TEX INDPT SCH DI 5492203E9 12/03/19 02/15/22     95.718     0.000     1.9986     20.76   0.053886   0.054425   0.054969                          19.64     2.42
LUBBOCK TEX INDPT SCH DI 5492203F6 12/03/19 02/15/23     93.211     0.000     2.2087     22.35   0.058074   0.058715   0.059363   0.060019  0.060682     21.20    21.67
MC BRAZIL DOWNSTREAM TRA 55292WAA8 07/21/21 06/30/31    100.000     7.250     7.4281                        0.206336   0.206498   0.198946  0.191431     32.81    72.98
MADISON OHIO LOC SCH DIS 558090KE5 12/30/19 12/01/30     70.024     0.000     3.2899     23.32   0.065942   0.067027   0.068129   0.069250  0.070389     24.00    24.80
MADISON OHIO LOC SCH DIS 558090KF2 12/30/19 12/01/31     66.986     0.000     3.3899     22.99   0.065057   0.066160   0.067281   0.068422  0.069581     23.69    24.50
MANSFIELD TEX INDPT SCH  564386RT9 10/29/20 02/15/24     97.062     0.000     0.9071      1.52   0.024458   0.024523   0.024635   0.024746  0.024859      8.84     8.92
Marion County, IL        56884PAQ0 06/02/16 12/01/21    106.954     3.550     2.2000    105.25   0.061923   0.061520                                     20.36         
Marion CNTY SD #133, IL  568870BL2 05/05/15 12/01/21    116.656    VARIES     3.3738             0.096345   0.095041                                     31.56         
Marion CNTY SD #133, IL  568870BM0 05/05/15 12/01/22    117.424    VARIES     3.5754             0.104401   0.103164   0.101905   0.100623               37.29    33.40
Marion CNTY SD #133, IL  568870BN8 05/05/15 12/01/23    119.592    VARIES     3.7759             0.112920   0.111643   0.110342   0.109016  0.107666     40.34    39.40
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
MARSHALL TEX INDPT SCH D 572682RS3 02/11/21 02/15/22     99.684     0.000     0.3133             0.008674   0.008675   0.008688                           2.78     0.38
MARSHALL TEX INDPT SCH D 572682RT1 02/11/21 02/15/23     99.173     0.000     0.4133             0.011387   0.011387   0.011411   0.011435  0.011458      3.65     4.12
MARSHALL TEX INDPT SCH D 572682RU8 02/11/21 02/15/24     98.059     0.000     0.6520             0.017760   0.017761   0.017819   0.017877  0.017935      5.69     6.44
MARSHALL TEX INDPT SCH D 572682RV6 02/11/21 02/15/25     96.566     0.000     0.8731             0.023419   0.023421   0.023523   0.023626  0.023729      7.51     8.51
MARSHALL TEX INDPT SCH D 572682RW4 02/11/21 02/15/26     95.015     0.000     1.0230             0.027001   0.027004   0.027142   0.027281  0.027421      8.66     9.83
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     6.350        N/A             0.318316   0.326172   0.334636   0.343755  0.353578    117.49   123.83
Mashantucket Western     574754AM9 07/01/13 07/01/36     14.695     1.000        N/A             0.298884   0.328288   0.331636   0.335314  0.339354    115.87   120.75
MC GREGOR TEX INDPT SCH  580730LQ0 08/18/20 02/15/32     73.911     0.000     2.6480      7.23   0.054365   0.055072   0.055802   0.056540  0.057289     19.89    20.42
MC GREGOR TEX INDPT SCH  580730LR8 08/18/20 02/15/33     70.673     0.000     2.7980      7.31   0.054929   0.055685   0.056464   0.057254  0.058055     20.12    20.69
Mclean County, IL        582001FE8 06/30/14 12/01/21    112.369    VARIES     3.6290             0.102641   0.101732                                     33.71         
Mclean County, IL        582001FF5 06/30/14 12/01/22    111.828    VARIES     3.8797             0.111098   0.110290   0.109465   0.108625               39.80    35.97
Mclean County, IL        582001FG3 06/30/14 12/01/23    110.876    VARIES     4.1300             0.119114   0.118418   0.117709   0.116985  0.116246     42.71    42.20
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES     4.3801             0.126620   0.126047   0.125462   0.124864  0.124252     45.45    45.02
MC LENNAN CNTY TEX JR CO 582188LF3 05/26/21 08/15/24     97.606     0.000     0.7540                        0.020443   0.020477   0.020554  0.020632      4.40     7.41
MELISSA TEX INDPT SCH DI 585488VG1 11/24/20 02/01/24     96.927     0.000     0.9819      0.98   0.026438   0.026486   0.026616   0.026747  0.026878      9.55     9.64
MELISSA TEX INDPT SCH DI 585488VH9 11/24/20 02/01/25     95.384     0.000     1.1321      1.11   0.029995   0.030058   0.030228   0.030399  0.030571     10.84    10.96
MELISSA TEX INDPT SCH DI 585488VJ5 11/24/20 02/01/26     93.269     0.000     1.3481      1.29   0.034926   0.035013   0.035249   0.035487  0.035726     12.64    12.80
MELISSA TEX INDPT SCH DI 585488VK2 11/24/20 02/01/27     91.181     0.000     1.4979      1.40   0.037939   0.038045   0.038330   0.038617  0.038906     13.74    13.94
MESQUITE TEX INDPT SCH D 590760TF1 09/30/21 08/15/23     99.273     0.000     0.3895                                   0.010741   0.010757  0.010778      0.98     3.87
MESQUITE TEX INDPT SCH D 590760TG9 09/30/21 08/15/30     85.371     0.000     1.7900                                   0.042448   0.042733  0.043116      3.86    15.42
MESQUITE TEX INDPT SCH D 590760TH7 09/30/21 08/15/31     82.561     0.000     1.9499                                   0.044719   0.045046  0.045485      4.07    16.26
MESQUITE TEX INDPT SCH D 590760TV6 09/30/21 08/15/23     99.273     0.000     0.3895                                   0.010741   0.010757  0.010778      0.98     3.87
MESQUITE TEX INDPT SCH D 590760TW4 09/30/21 08/15/24     98.160     0.000     0.6470                                   0.017641   0.017684  0.017741      1.61     6.37
MESQUITE TEX INDPT SCH D 590760TX2 09/30/21 08/15/25     96.330     0.000     0.9672                                   0.025880   0.025974  0.026100      2.36     9.36
MESQUITE TEX INDPT SCH D 590760TY0 09/30/21 08/15/26     94.668     0.000     1.1271                                   0.029639   0.029764  0.029932      2.70    10.73
MESQUITE TEX INDPT SCH D 590760TZ7 09/30/21 08/15/27     92.195     0.000     1.3879                                   0.035545   0.035730  0.035978      3.23    12.89
MESQUITE TEX INDPT SCH D 590760UA0 09/30/21 08/15/28     90.002     0.000     1.5380                                   0.038451   0.038673  0.038970      3.50    13.95
MESQUITE TEX INDPT SCH D 590760UB8 09/30/21 08/15/33     76.847     0.000     2.2299                                   0.047600   0.047998  0.048533      4.33    17.33
Miami-Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760     8.7676    126.03   0.049925   0.052114   0.054398   0.056783  0.059272     18.44    20.09
MIAMI TEX INDPT SCH DIST 593745BQ4 10/21/20 02/15/30     80.069     0.000     2.4000      3.74   0.053378   0.053784   0.054429   0.055083  0.055744     19.43    19.89
MIAMI TEX INDPT SCH DIST 593745BR2 10/21/20 02/15/31     77.389     0.000     2.4998      3.76   0.053739   0.054165   0.054842   0.055527  0.056221     19.57    20.05
MICHIGAN FIN AUTH REV    59447TJ20 10/15/20 06/01/45     20.693     0.000     6.4997      2.85   0.037671   0.038895   0.040159   0.041464  0.042812     13.86    14.77
MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32     65.193     0.000     3.3310     22.66   0.062245   0.063281   0.064335   0.065407  0.066496     22.66    23.42
MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33     62.215     0.000     3.4310     22.28   0.061242   0.062293   0.063361   0.064448  0.065554     22.30    23.07
MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34     59.694     0.000     3.4810     21.69   0.059644   0.060683   0.061739   0.062813  0.063907     21.72    22.48
MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35     57.219     0.000     3.5309     21.09   0.058020   0.059044   0.060086   0.061147  0.062227     21.13    21.89
MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36     55.067     0.000     3.5510     20.42   0.056164   0.057162   0.058177   0.059209  0.060261     20.46    21.19
MIDLOTHIAN TEX INDPT SCH 5978517L2 11/19/20 02/15/22     99.335     0.000     0.5392      0.62   0.014879   0.014898   0.014938                           5.37     0.66
MIDLOTHIAN TEX INDPT SCH 5978517M0 11/19/20 02/15/23     98.612     0.000     0.6252      0.72   0.017126   0.017152   0.017205   0.017259  0.017313      6.18     6.22
MINERAL WELLS TEX INDPT  603109RL5 03/31/21 02/15/23     99.152     0.000     0.4547                        0.012523   0.012544   0.012573  0.012602      3.40     4.53
MINERAL WELLS TEX INDPT  603109RM3 03/31/21 02/15/24     98.203     0.000     0.6317                        0.017232   0.017272   0.017327  0.017382      4.68     6.24
MINERAL WELLS TEX INDPT  603109RN1 03/31/21 02/15/25     96.018     0.000     1.0513                        0.028040   0.028151   0.028299  0.028448      7.61    10.20
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
MINERAL WELLS TEX INDPT  603109RP6 03/31/21 02/15/26     94.328     0.000     1.2013                        0.031477   0.031619   0.031809  0.032000      8.55    11.47
MINERAL WELLS TEX INDPT  603109RQ4 03/31/21 02/15/27     91.300     0.000     1.5552                        0.039441   0.039671   0.039980  0.040291     10.72    14.42
MINERAL WELLS TEX INDPT  603109RR2 03/31/21 02/15/28     88.981     0.000     1.7053                        0.042149   0.042419   0.042780  0.043145     11.46    15.43
MINERAL WELLS TEX INDPT  603109RS0 03/31/21 02/15/29     85.552     0.000     1.9913                        0.047321   0.047675   0.048149  0.048629     12.87    17.38
MISSION CONS INDPT SCH D 605041HZ8 12/30/20 02/15/25     95.901     0.000     1.0172      0.03   0.027096   0.027131   0.027269   0.027407  0.027547      9.78     9.88
MOOD MEDIA BORROWER LLC  614875AB8 06/28/17 07/01/24*    65.470    VARIES    24.9700    415.94   0.470222                                                13.64*        
MOOD MEDIA BORROWER LLC  614875AC6 06/28/19 12/31/23     84.250    VARIES    20.4523    288.18   0.641998   0.707649   0.780014   0.859779  0.947702    243.07   295.33
MOOD MEDIA BORROWER LLC  614875AD4 06/28/19 12/31/23     84.250    VARIES    20.4523    288.18   0.641998   0.707649   0.780014   0.859779  0.947702    243.07   295.33
Morgan Stanley           6174464P1 03/20/08 03/20/23     81.700     2.935     4.6422             0.123810   0.124792   0.125796   0.126823  0.127875     44.95    45.68
Morgan Stanley           6174464Q9 03/20/08 03/20/23     78.350    VARIES     4.6440             0.122915   0.124077   0.125266   0.126482  0.127726     44.70    45.56
Morgan Stanley           61745E2E0 07/11/11 07/11/23    100.000    VARIES     5.5160             0.154783   0.154561   0.154332   0.154071  0.153803     55.61    55.42
Morgan Stanley           61745E2F7 11/28/11 11/28/26    100.000    VARIES     6.0157             0.149354   0.150569   0.151820   0.153109  0.154437     54.07    54.97
Morgan Stanley           61745E2K6 01/21/11 01/21/26    100.000    VARIES     5.7295             0.134366   0.135837   0.137769   0.139757  0.141802     49.18    50.60
Morgan Stanley           61745E2M2 11/30/11 11/30/31    100.000    VARIES     6.5857             0.160682   0.161001   0.161331   0.162045  0.162783     57.92    58.25
Morgan Stanley           61745E2S9 07/13/11 07/13/31    100.000    VARIES     5.5541             0.135315   0.135600   0.135894   0.136195  0.136505     48.86    49.08
Morgan Stanley           61745E2Z3 11/30/11 11/30/31    100.000    VARIES     6.7334             0.157450   0.158305   0.159188   0.160101  0.161045     56.89    57.53
Morgan Stanley           61745E3D1 02/14/11 02/14/31    100.000    VARIES     6.0719             0.140092   0.141132   0.142421   0.143750  0.145118     50.94    51.88
Morgan Stanley           61745E3S8 07/29/11 07/29/31    100.000    VARIES     5.6231             0.136613   0.137143   0.137688   0.138248  0.138824     49.44    49.84
Morgan Stanley           61745E3T6 12/27/11 12/27/26    100.000    VARIES     6.9292             0.169211   0.170832   0.172510   0.174245  0.176040     61.22    62.43
Morgan Stanley           61745E3Y5 07/29/11 07/29/26    100.000    VARIES     5.4529             0.128481   0.129966   0.131491   0.133057  0.134667     46.98    48.10
Morgan Stanley           61745E4E8 07/29/11 07/29/26    100.000    VARIES     5.4933             0.139316   0.140387   0.141487   0.142618  0.143780     50.68    51.49
Morgan Stanley           61745E4L2 07/29/11 07/29/26    100.000    VARIES     5.5117             0.131527   0.132925   0.134361   0.135837  0.137353     48.03    49.09
Morgan Stanley           61745E4T5 01/13/12 01/13/32    100.000    VARIES     6.1787             0.138097   0.138903   0.139824   0.140774  0.141754     50.15    50.83
Morgan Stanley           61745E5R8 03/15/11 03/15/21    100.000    VARIES     5.2217             0.145377                                                10.76         
Morgan Stanley           61745E5S6 08/22/11 08/22/31    100.000    VARIES     5.6565             0.141085   0.141717   0.142368   0.143036  0.143724     51.07    51.55
Morgan Stanley           61745E5X5 03/22/11 03/22/31    100.000    VARIES     5.8739             0.160399   0.160608   0.160995   0.161394  0.161804     57.84    58.11
Morgan Stanley           61745E5Z0 01/31/12 01/31/32    100.000    VARIES     5.6272             0.136541   0.137024   0.137561   0.138113  0.138681     49.40    49.79
Morgan Stanley           61745E6D8 03/23/11 03/23/26    100.000    VARIES     5.5647             0.154110   0.154274   0.154442   0.154614  0.154701     55.54    55.66
Morgan Stanley           61745E6E6 08/24/11 08/24/23    100.000    VARIES     4.5799             0.128307   0.128162   0.128014   0.127822  0.127626     46.13    46.00
Morgan Stanley           61745E6R7 03/25/11 03/25/31    100.000    VARIES     5.9463             0.147512   0.148498   0.149531   0.150596  0.151692     53.48    54.23
Morgan Stanley           61745E6V8 04/15/10 04/15/25    100.000    VARIES     5.5533             0.152531   0.152676   0.152855   0.153039  0.153229     54.96    55.09
Morgan Stanley           61745E6Y2 08/12/11 08/12/23    100.000    VARIES     5.0167             0.140149   0.140040   0.139929   0.139791  0.139648     50.40    50.31
Morgan Stanley           61745E7E5 08/31/11 08/31/26    100.000    VARIES     5.5216             0.129048   0.128431   0.132113   0.131529  0.135350     47.37    48.51
Morgan Stanley           61745E7K1 03/31/11 04/01/21    100.000    VARIES     5.3224             0.148294                                                13.35         
Morgan Stanley           61745ED65 04/08/11 04/08/26    100.000    VARIES     5.9065             0.164156   0.164477   0.164806   0.165146  0.165172     59.21    59.42
Morgan Stanley           61745EE49 04/15/11 04/15/26    100.000    VARIES     5.7613             0.154647   0.155208   0.155784   0.156377  0.156933     55.86    56.28
Morgan Stanley           61745EF22 04/15/11 04/15/26    100.000    VARIES     5.8397             0.170089   0.169732   0.169365   0.168987  0.168192     61.11    60.81
Morgan Stanley           61745EF63 05/18/10 05/18/25    100.000    VARIES     6.0399             0.163994   0.164156   0.164504   0.164862  0.165231     59.09    59.32
Morgan Stanley           61745EF89 04/15/11 04/15/21    100.000    VARIES     2.2565             0.007738                                                 0.80         
Morgan Stanley           61745EF97 08/31/11 08/31/31    100.000    VARIES     5.6735             0.140160   0.138522   0.141495   0.139873  0.142907     51.02    51.52
Morgan Stanley           61745EG62 04/25/11 04/25/23    100.000    VARIES     5.6779             0.156323   0.155387   0.156149   0.155202  0.156021     56.87    56.81
Morgan Stanley           61745EH46 04/26/11 04/26/26    100.000    VARIES     5.7525             0.137457   0.138117   0.140336   0.141063  0.143661     50.49    51.58
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61745EJ28 04/29/11 04/29/26    100.000    VARIES     5.7372             0.143242   0.144026   0.145219   0.146447  0.147710     51.83    52.65
Morgan Stanley           61745EJ93 09/09/11 09/09/26    100.000    VARIES     5.8527             0.146039   0.147091   0.148174   0.149393  0.150649     53.00    53.84
Morgan Stanley           61745EL58 09/16/11 09/16/31    100.000    VARIES     5.8547             0.140415   0.141458   0.142532   0.143324  0.144139     50.96    51.62
Morgan Stanley           61745EM32 09/22/11 09/22/26    100.000    VARIES     5.5348             0.138057   0.139033   0.140035   0.141066  0.142125     50.07    50.81
Morgan Stanley           61745EM81 05/17/11 05/17/23    100.000    VARIES     5.1511             0.143793   0.143663   0.143522   0.143376  0.143234     51.73    51.63
Morgan Stanley           61745EN64 05/19/11 05/19/26    100.000    VARIES     5.5224             0.141048   0.139408   0.142408   0.140782  0.144098     51.24    51.75
Morgan Stanley           61745EN72 09/30/11 09/30/31    100.000    VARIES     6.1252             0.141283   0.142408   0.143568   0.144762  0.145994     51.27    52.12
Morgan Stanley           61745EP47 05/12/11 05/12/21    100.000    VARIES     1.9923             0.014618                                                 1.91         
Morgan Stanley           61745ER60 05/31/11 05/31/31    100.000    VARIES     5.6682             0.137696   0.137938   0.138465   0.139007  0.139564     49.64    49.98
Morgan Stanley           61745ET27 05/31/11 05/31/26    100.000    VARIES     5.5394             0.149929   0.150095   0.150265   0.150440  0.150765     54.01    54.14
Morgan Stanley           61745EU66 06/10/11 06/10/26    100.000    VARIES     5.3579             0.147015   0.146971   0.146927   0.146882  0.147034     52.92    52.89
Morgan Stanley           61745EV40 06/14/11 06/14/21    100.000    VARIES     2.3142             0.015621                                                 2.55         
Morgan Stanley           61745EV65 01/20/09 01/20/24    100.000    VARIES     5.9022             0.158363   0.159155   0.159870   0.160607  0.161365     57.40    57.93
Morgan Stanley           61745EW23 06/23/11 06/23/26    100.000    VARIES     5.4880             0.132183   0.133622   0.135101   0.136621  0.138345     47.87    48.94
Morgan Stanley           61745EW31 10/27/11 10/27/31    100.000    VARIES     6.4618             0.176057   0.176539   0.177037   0.177551  0.178082     63.53    63.89
Morgan Stanley           61745EW49 01/30/09 01/30/24    100.000    VARIES     6.4553             0.174161   0.174810   0.175452   0.176115  0.176800     63.01    63.49
Morgan Stanley           61745EX63 06/30/11 06/30/31    100.000    VARIES     5.7759             0.138476   0.138804   0.139383   0.139979  0.140591     49.91    50.29
Morgan Stanley           61745EY47 06/30/11 06/30/26    100.000    VARIES     5.5720             0.143880   0.144879   0.145905   0.146960  0.147955     51.98    52.72
Morgan Stanley           61745EZ87 07/07/11 07/07/26    100.000    VARIES     5.7789             0.149626   0.150649   0.151701   0.152310  0.152937     54.41    54.94
Morgan Stanley           6174824H4 04/30/13 04/28/23    100.000    VARIES     3.0093             0.082187   0.082435   0.082709   0.082987  0.083287     29.66    29.86
Morgan Stanley           6174824W1 05/30/13 05/30/28    100.000    VARIES     3.5684             0.095734   0.095929   0.096134   0.096343  0.096556     34.51    34.66
Morgan Stanley           617482H23 03/16/12 03/16/27    100.000    VARIES     6.4024             0.167137   0.167363   0.167597   0.168095  0.168610     60.26    60.53
Morgan Stanley           617482PU2 12/22/10 12/22/25    100.000    VARIES     6.2468             0.163279   0.163964   0.164672   0.165401  0.166153     58.92    59.43
Morgan Stanley           617482RH9 02/28/11 02/27/26    100.000    VARIES     5.9551             0.157277   0.157677   0.158088   0.158511  0.159140     56.79    57.12
Morgan Stanley           617482UH5 05/31/11 05/29/26    100.000    VARIES     5.3835             0.144768   0.144886   0.145009   0.145134  0.145502     52.15    52.24
Morgan Stanley           617482UY8 06/15/11 06/13/31    100.000    VARIES     5.5345             0.137723   0.137732   0.137997   0.138269  0.138549     49.59    49.74
Morgan Stanley           617482VB7 06/30/11 06/30/31    100.000    VARIES     5.5330             0.139039   0.139110   0.139182   0.139257  0.139570     50.07    50.12
Morgan Stanley           617482XG4 08/30/11 08/29/31    100.000    VARIES     6.1189             0.151122   0.151971   0.151159   0.152009  0.151198     55.32    55.33
Morgan Stanley           61758S260 09/04/14 02/28/22    100.000     0.000     3.2754             0.109914   0.109893   0.113544                          40.56     6.59
Morgan Stanley           61758S559 09/02/14 07/03/23    100.000     0.000     3.4567             0.117285   0.119312   0.121374   0.123472  0.125606     43.32    44.83
Morgan Stanley           61758S625 10/03/14 03/31/22    100.000     0.000     3.6906             0.127644   0.130000   0.132399                          46.81    11.78
Morgan Stanley           61760E341 06/29/11 06/24/26    100.000     1.000     5.3273             0.225713   0.230986   0.236398   0.241955  0.247660     82.28    86.18
Morgan Stanley           61760QAB0 02/29/12 02/29/32    100.000    VARIES     5.1014             0.121218   0.119835   0.122444   0.121076  0.123738     44.14    44.60
Morgan Stanley           61760QAC8 02/29/12 02/29/32    100.000    VARIES     5.1025             0.131465   0.129648   0.132137   0.130325  0.132795     47.73    47.98
Morgan Stanley           61760QAG9 03/15/12 03/15/32    100.000    VARIES     5.5710             0.132134   0.132650   0.133260   0.133886  0.134530     47.78    48.22
Morgan Stanley           61760QAK0 03/30/12 03/30/32    100.000    VARIES     5.8741             0.136136   0.136821   0.137526   0.138251  0.139209     49.26    49.79
Morgan Stanley           61760QAN4 03/30/12 03/30/32    100.000    VARIES     6.0912             0.147796   0.148060   0.148332   0.148612  0.149269     53.30    53.54
Morgan Stanley           61760QAP9 03/30/12 03/30/27    100.000    VARIES     5.8451             0.142899   0.143948   0.145028   0.146139  0.147472     51.83    52.63
Morgan Stanley           61760QAW4 04/30/12 04/30/32    100.000    VARIES     5.9580             0.139655   0.140479   0.141328   0.142201  0.143089     50.53    51.14
Morgan Stanley           61760QBE3 05/21/12 05/21/21    100.000    VARIES     3.6559             0.017892                                                 2.50         
Morgan Stanley           61760QBG8 05/16/12 05/16/22    100.000    VARIES     3.9371             0.025369   0.025869   0.026378                           9.27     3.56
Morgan Stanley           61760QBH6 05/31/12 05/31/27    100.000    VARIES     6.1478             0.144102   0.144817   0.146354   0.147938  0.149571     52.08    53.07
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QBJ2 05/31/12 05/31/27    100.000    VARIES     6.1478             0.144102   0.144817   0.146354   0.147938  0.149571     52.08    53.07
Morgan Stanley           61760QBY9 10/15/12 10/15/24    100.000    VARIES     4.4801             0.124509   0.124477   0.124456   0.124434  0.124412     44.81    44.80
Morgan Stanley           61760QBZ6 10/10/12 10/10/24    100.000    VARIES     4.6395             0.128863   0.128869   0.128874   0.128876  0.128877     46.39    46.40
Morgan Stanley           61760QCB8 11/28/12 11/28/27    100.000    VARIES     4.4679             0.140036   0.139751   0.139460   0.139162  0.138858     50.34    50.13
Morgan Stanley           61760QCD4 12/28/12 12/28/22    100.000    VARIES     2.1577             0.009305   0.009406   0.009507   0.009610                3.37     3.41
Morgan Stanley           61760QCG7 01/31/13 01/31/23    100.000    VARIES     2.1326             0.010078   0.010186   0.010295   0.010404  0.010515      3.68     3.76
Morgan Stanley           61760QCK8 02/28/13 03/01/23    100.000    VARIES     1.9099             0.009875   0.009969   0.010064   0.010161  0.010258      3.59     3.66
Morgan Stanley           61760QCQ5 06/28/13 06/28/28    100.000    VARIES     3.9696             0.099092   0.099703   0.100381   0.101071  0.101776     35.79    36.27
Morgan Stanley           61760QCS1 06/07/13 06/07/28    100.000    VARIES     4.0272             0.097809   0.098215   0.098949   0.099697  0.100460     35.31    35.79
Morgan Stanley           61760QCT9 06/28/13 06/28/28    100.000    VARIES     4.5851             0.111996   0.112800   0.113701   0.114622  0.115565     40.47    41.10
Morgan Stanley           61760QCV4 06/28/13 06/28/28    100.000    VARIES     4.3010             0.111822   0.112496   0.113185   0.113888  0.114446     40.38    40.88
Morgan Stanley           61760QCW2 06/28/13 06/28/28    100.000    VARIES     4.2811             0.111391   0.112064   0.112752   0.113454  0.114007     40.23    40.72
Morgan Stanley           61760QCY8 07/31/13 07/31/28    100.000    VARIES     4.5084             0.115375   0.116056   0.116752   0.117464  0.118192     41.87    42.38
Morgan Stanley           61760QCZ5 07/31/13 07/31/33    100.000    VARIES     4.4981             0.108538   0.109111   0.109697   0.110297  0.110910     39.35    39.78
Morgan Stanley           61760QDB7 08/19/13 08/19/33    100.000    VARIES     4.7352             0.120504   0.121102   0.121715   0.122311  0.122922     43.65    44.08
Morgan Stanley           61760QDD3 08/19/13 08/19/33    100.000    VARIES     4.5466             0.106924   0.107336   0.107757   0.108352  0.108960     38.68    39.06
Morgan Stanley           61760QDE1 08/28/13 08/28/33    100.000    VARIES     4.4982             0.103639   0.103910   0.104188   0.104710  0.105244     37.43    37.73
Morgan Stanley           61760QDH4 09/06/13 09/06/21    100.000    VARIES     2.3953             0.010723   0.010851                                      2.65         
Morgan Stanley           61760QDL5 09/26/13 09/26/33    100.000    VARIES     4.6879             0.111561   0.111910   0.112267   0.112754  0.113253     40.29    40.60
Morgan Stanley           61760QDR2 11/27/13 11/27/33    100.000    VARIES     4.4302             0.101890   0.102361   0.102842   0.103568  0.104309     36.80    37.20
Morgan Stanley           61760QEC4 03/31/14 03/31/34    100.000    VARIES     4.3149             0.105330   0.105552   0.105779   0.106011  0.106314     38.00    38.17
Morgan Stanley           61760QEZ3 09/17/14 09/17/34    100.000    VARIES     2.6675             0.010188   0.010323   0.010461   0.010601  0.010742      3.72     3.82
Morgan Stanley           61760QFH2 10/30/14 10/30/24    100.000    VARIES     2.1052             0.056752   0.056960   0.057170   0.057382  0.057596     20.49    20.65
Morgan Stanley           61760QGA6 05/27/15 05/27/30    100.000    VARIES     2.7018             0.008893   0.009014   0.009135   0.009259  0.009384      3.23     3.32
Morgan Stanley           61760QGB4 05/20/15 05/20/25    100.000    VARIES     2.6352             0.008178   0.008286   0.008395   0.008505  0.008618      2.97     3.05
Morgan Stanley           61760QGP3 06/30/15 06/30/22    100.000    VARIES     1.5573             0.010846   0.010798   0.010750                           3.90     1.92
Morgan Stanley           61760QGV0 07/31/15 07/31/27    100.000    VARIES     2.7160             0.009245   0.009371   0.009498   0.009627  0.009758      3.39     3.48
Morgan Stanley           61760QGW8 07/31/15 07/31/27    100.000    VARIES     2.7281             0.010313   0.010453   0.010596   0.010741  0.010887      3.78     3.88
Morgan Stanley           61760QHA5 08/28/15 08/28/25    100.000    VARIES     2.5293             0.007846   0.007945   0.008045   0.008147  0.008250      2.87     2.94
Morgan Stanley           61760QHQ0 09/30/15 09/30/22    100.000    VARIES     1.6929             0.009881   0.009964   0.010049   0.010134                3.59     2.72
Morgan Stanley           61760QHT4 10/07/15 10/07/25    100.000    VARIES     2.4403             0.009701   0.009820   0.009940   0.010061  0.010184      3.53     3.62
Morgan Stanley           61760QHZ0 11/10/15 11/10/25    100.000    VARIES     2.5656             0.008721   0.008833   0.008946   0.009061  0.009177      3.17     3.25
Morgan Stanley           61760QJA3 11/25/15 11/25/25    100.000    VARIES     2.4581             0.008657   0.008763   0.008871   0.008980  0.009090      3.14     3.22
Morgan Stanley           61760QJJ4 01/28/16 01/28/23    100.000    VARIES     2.2365     16.13   0.009340   0.009445   0.009550   0.009657  0.009765      3.41     3.49
Morgan Stanley           61760QJK1 02/17/16 02/17/26    100.000    VARIES     2.3885     30.72   0.016930   0.017133   0.017337   0.017544  0.017754      6.19     6.33
Morgan Stanley           61760QJS4 02/24/17 02/24/27    100.000    VARIES     2.8869     20.24   0.013416   0.013610   0.013806   0.014006  0.014208      4.91     5.06
Morgan Stanley           61760QJT2 03/20/17 03/20/27    100.000    VARIES     2.5542      9.96   0.007020   0.007109   0.007200   0.007292  0.007385      2.56     2.63
Morgan Stanley           61760QJV7 03/31/17 03/31/27    100.000    VARIES     2.8769     16.17   0.010981   0.011138   0.011299   0.011461  0.011626      4.01     4.13
Morgan Stanley           61760QKA1 09/30/16 09/30/26    100.000    VARIES     2.5378     28.02   0.017326   0.017546   0.017769   0.017994  0.018223      6.32     6.48
Morgan Stanley           61760QKE3 12/28/16 12/28/26    100.000    VARIES     2.2900     10.75   0.007070   0.007150   0.007232   0.007315  0.007399      2.56     2.62
Morgan Stanley           61760QKF0 12/30/16 12/30/26    100.000    VARIES     2.8667     18.70   0.012147   0.012321   0.012498   0.012677  0.012859      4.40     4.53
Morgan Stanley           61760QKH6 02/21/17 02/21/27    100.000    VARIES     2.7058     10.15   0.006992   0.007087   0.007183   0.007280  0.007379      2.56     2.63
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61760QKK9 06/30/17 06/30/27    100.000    VARIES     2.7385     15.23   0.011067   0.011219   0.011372   0.011528  0.011686      4.01     4.12
Morgan Stanley           61760QKQ6 08/02/17 08/02/27    100.000    VARIES     2.7106     15.80   0.011609   0.011767   0.011926   0.012088  0.012252      4.25     4.37
Morgan Stanley           61760QKR4 09/15/17 09/15/27    100.000    VARIES     2.6232     13.56   0.010327   0.010463   0.010600   0.010739  0.010880      3.77     3.87
Morgan Stanley           61760QKU7 09/29/17 09/29/27    100.000    VARIES     2.7477     13.69   0.010480   0.010624   0.010770   0.010917  0.011067      3.83     3.93
Morgan Stanley           61760QKZ6 03/22/18 03/22/28    100.000    VARIES     3.8651    107.40   0.106937   0.105272   0.107052   0.105368  0.107132     38.74    38.77
Morgan Stanley           61760QLA0 04/03/18 04/03/28    100.000    VARIES     3.1280      7.09   0.006448   0.006549   0.006652   0.006756  0.006861      2.36     2.43
Morgan Stanley           61760QLB8 04/03/18 04/03/28    100.000    VARIES     3.4407     15.60   0.014017   0.014258   0.014503   0.014752  0.015006      5.13     5.31
Morgan Stanley           61760QLC6 05/03/18 05/03/28    100.000    VARIES     3.4370     10.13   0.009358   0.009519   0.009683   0.009849  0.010018      3.42     3.54
Morgan Stanley           61760QLJ1 06/29/18 06/29/23    100.000    VARIES     3.3558     10.24   0.010961   0.011145   0.011332   0.011522  0.011716      3.98     4.11
Morgan Stanley           61760QLM4 06/29/18 06/29/23    100.000    VARIES     3.2564      7.63   0.008440   0.008578   0.008717   0.008859  0.009004      3.06     3.16
Morgan Stanley           61760QLN2 07/31/18 07/31/23    100.000    VARIES     3.2828      7.22   0.008133   0.008267   0.008402   0.008540  0.008680      2.99     3.09
Morgan Stanley           61760QLT9 09/05/18 03/05/21    100.000    VARIES     3.0209      6.39   0.007572                                                 0.48         
Morgan Stanley           61760QLX0 09/26/18 09/26/28    100.000    VARIES     3.8192      6.41   0.006571   0.006696   0.006824   0.006955  0.007087      2.41     2.51
Morgan Stanley           61760QMC5 08/23/19 08/23/21    100.000    VARIES     2.3620      3.51   0.007109   0.007193                                      1.66         
Morgan Stanley           61760QMF8 11/28/18 11/28/28    100.000    VARIES     3.9167     12.40   0.014819   0.014104   0.013374   0.013636  0.013903      5.16     4.88
Morgan Stanley           61760QMM3 02/25/19 02/25/29    100.000    VARIES     3.3395     10.81   0.014574   0.013523   0.013749   0.013979  0.014212      4.95     5.05
Morgan Stanley           61760QMZ4 06/19/20 06/19/30    100.000    VARIES     1.9060     10.16   0.052390   0.051833   0.051960   0.052139  0.052306     18.75    18.74
Morgan Stanley           61760S134 02/05/14 01/29/21    100.000     0.000     3.2801             0.112511                                                 3.15         
Morgan Stanley           61760S282 03/04/14 02/26/21    100.000     0.000     3.1844             0.108542                                                 5.97         
Morgan Stanley           61760S522 04/03/14 03/31/21    100.000     0.000     3.3225             0.114303                                                10.17         
Morgan Stanley           61760S613 03/18/14 09/20/21    100.000     0.000     3.4354             0.119100   0.121146                                     31.22         
Morgan Stanley           61760S621 03/18/14 07/18/22    100.000     0.000     3.7451             0.131596   0.134060   0.136570   0.139128               48.63    27.36
Morgan Stanley           61760S738 05/05/14 10/29/21    100.000     0.000     3.5626             0.124423   0.126639                                     37.48         
Morgan Stanley           61761JB24 07/06/15 07/06/22    100.000     0.000     3.3973             0.111684   0.113581   0.115510   0.117472               41.22    21.72
Morgan Stanley           61761JDB2 02/20/13 02/18/33    100.000    VARIES     4.5201             0.113124   0.113068   0.113178   0.113292  0.113407     40.72    40.80
Morgan Stanley           61761JGF0 05/08/13 05/06/33    100.000    VARIES     3.9967             0.102382   0.102303   0.102371   0.102440  0.102510     36.84    36.87
Morgan Stanley           61761JGH6 05/30/13 05/31/33    100.000    VARIES     4.3438             0.109843   0.109206   0.109913   0.109421  0.110134     39.98    40.04
Morgan Stanley           61761JGS2 05/24/13 05/24/33    100.000    VARIES     4.1821             0.105693   0.105676   0.105809   0.105944  0.106083     38.05    38.13
Morgan Stanley           61761JHD4 06/28/13 06/28/33    100.000    VARIES     5.2916             0.133310   0.133249   0.133387   0.133528  0.133672     47.98    48.05
Morgan Stanley           61761JHJ1 06/28/13 06/28/21    100.000     0.000     4.0232             0.150663                                                26.67         
Morgan Stanley           61761JJB6 06/18/13 06/18/32    100.000    VARIES     4.7373             0.122587   0.122555   0.122673   0.122794  0.122918     44.13    44.19
Morgan Stanley           61761JJF7 06/25/13 06/25/21    100.000     0.000     3.9339             0.146358                                                25.47         
Morgan Stanley           61761JJP5 07/31/13 07/29/33    100.000    VARIES     4.8133             0.122687   0.122617   0.122545   0.122634  0.122725     44.13    44.16
Morgan Stanley           61761JJW0 07/31/13 01/29/21    100.000     0.000     3.5968             0.128216                                                 3.59         
Morgan Stanley           61761JJY6 07/15/13 07/15/33     99.000    VARIES     4.8838             0.126549   0.126569   0.126590   0.126725  0.126863     45.57    45.64
Morgan Stanley           61761JKJ7 08/30/13 02/26/21    100.000     0.000     3.7094             0.133215                                                 7.33         
Morgan Stanley           61761JKL2 08/30/13 08/30/33    100.000    VARIES     5.0532             0.127731   0.127019   0.127703   0.127139  0.127976     46.49    46.54
Morgan Stanley           61761JKY4 09/30/13 09/30/33    100.000    VARIES     4.8148             0.123676   0.123700   0.123725   0.123869  0.124017     44.53    44.59
Morgan Stanley           61761JLU1 09/30/13 09/30/33    100.000    VARIES     4.8742             0.127800   0.127814   0.127829   0.127939  0.128052     46.01    46.06
Morgan Stanley           61761JLY3 10/31/13 10/31/33    100.000    VARIES     4.7082             0.118994   0.118912   0.118829   0.118945  0.119065     42.81    42.81
Morgan Stanley           61761JMC0 10/31/13 10/29/21    100.000     0.000     3.4604             0.122204   0.124318                                     36.80         
Morgan Stanley           61761JMW6 11/29/13 03/29/22    100.000     0.000     3.7206             0.132960   0.135434   0.137953                          48.77    12.14
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61761JMZ9 12/26/13 06/27/22    100.000     0.000     3.9457             0.144095   0.146938   0.149837                          52.41    26.37
Morgan Stanley           61761JNF2 12/26/13 12/27/33    100.000    VARIES     4.7412             0.121198   0.120531   0.121189   0.120645  0.121430     44.12    44.14
Morgan Stanley           61761JRH4 06/30/14 06/30/21    100.000     0.000     3.0261             0.102180                                                18.29         
Morgan Stanley           61761JVY2 01/30/15 01/29/21    100.000     0.000     2.7901             0.090256                                                 2.53         
Morgan Stanley           61761JWZ8 02/24/15 02/24/23    100.000     0.000     3.1504             0.103925   0.105562   0.107225   0.108914  0.110630     38.13    39.34
Morgan Stanley           61761JXP9 03/03/15 03/03/25    100.000     0.000     3.5983             0.121615   0.123803   0.126030   0.128297  0.130606     44.70    46.32
Morgan Stanley           61761JZB8 06/03/15 06/03/22    100.000     0.000     3.2133             0.106362   0.108071   0.109807                          38.69    16.69
Morgan Stanley           61761S331 07/03/14 12/31/21    100.000     0.000     3.3219             0.114290   0.116189                                     41.37         
Morgan Stanley           61761S679 08/05/14 01/31/22    100.000     0.000     3.4470             0.114932   0.118851   0.118928                          43.27     3.57
Morgan Stanley           61762GAM6 11/27/13 05/27/21    100.000     0.000     3.3898             0.119139                                                17.39         
Morgan Stanley           61762GBE3 03/11/14 03/04/24    100.000    VARIES     3.8517             0.109494   0.109200   0.108852   0.108497  0.108137     39.29    39.04
Morgan Stanley           61762GBF0 03/31/14 03/29/29    100.000    VARIES     4.2966             0.128225   0.128162   0.128099   0.128034  0.127687     46.14    46.07
Morgan Stanley           61762GFA7 10/30/15 10/30/23    100.000     0.000     3.5009             0.115674   0.117698   0.119759   0.121855  0.123988     42.26    43.75
Morgan Stanley           61762P476 08/09/13 08/09/23    100.000     0.000     4.3446             0.163049   0.166591   0.170210   0.173907  0.177685     60.35    63.00
Morgan Stanley           61764C275 11/05/14 04/29/22    100.000     0.000     3.5062             0.119912   0.122014   0.124154                          43.81    14.65
Morgan Stanley           61764C622 12/03/14 05/31/22    100.000     0.000     3.3216             0.111166   0.112395   0.114889                          40.92    17.23
Morgan Stanley           61764V364 04/06/15 04/05/22    100.000     0.000     2.9611             0.096680   0.098111   0.099564                          35.31     9.36
Morgan Stanley           61764V570 04/01/15 11/07/25    100.000     0.000     3.4095             0.114450   0.116401   0.118385   0.120403  0.122456     41.77    43.20
Morgan Stanley           61764V646 05/05/15 11/03/22    100.000     0.000     3.1620             0.104356   0.106006   0.107682   0.109384               38.06    32.83
Morgan Stanley           61764V828 06/03/15 12/05/22    100.000     0.000     3.2131             0.106374   0.108083   0.109820   0.111584               38.69    37.00
Morgan Stanley           61765G309 07/06/15 01/05/23    100.000     0.000     3.3974             0.111675   0.113572   0.115501   0.117463  0.119458     41.22    42.63
Morgan Stanley           61765G564 08/05/15 02/03/23    100.000     0.000     3.4449             0.113492   0.115447   0.117436   0.119459  0.121516     41.79    43.24
Morgan Stanley           61765G804 09/03/15 03/03/23    100.000     0.000     3.4969             0.115520   0.117540   0.119595   0.121686  0.123813     42.43    43.93
Morgan Stanley           61765R271 09/18/15 03/20/23    100.000     0.000     3.6136             0.120088   0.122258   0.124467   0.126716  0.129005     44.06    45.67
Morgan Stanley           61765R438 10/05/15 04/04/23    100.000     0.000     3.3207             0.108743   0.110548   0.112384   0.114249  0.116146     39.79    41.12
Morgan Stanley           61765R669 11/04/15 05/05/23    100.000     0.000     3.3210             0.108173   0.108176   0.111795   0.111798  0.115538     39.69    41.02
Morgan Stanley           61765U175 12/03/15 06/02/23    100.000     0.000     3.3916             0.111452   0.113342   0.115264   0.117219  0.119207     40.57    41.96
Morgan Stanley           61765U381 01/05/16 07/06/23    100.000     0.000     3.3685    181.35   0.108757   0.110589   0.112451   0.114345  0.116271     40.13    41.49
Morgan Stanley           61765U407 01/05/16 07/06/21    100.000     0.000     2.9924    159.73   0.095016   0.096438                                     17.83         
Morgan Stanley           61765U597 02/03/16 08/03/21    100.000     0.000     3.0506    160.33   0.097106   0.098587                                     20.85         
Morgan Stanley           61765U787 03/03/16 09/02/21    100.000     0.000     3.1367    162.16   0.100220   0.101792                                     24.44         
Morgan Stanley           61765U803 03/03/16 09/01/23    100.000     0.000     3.5888    187.39   0.116971   0.119070   0.121206   0.123381  0.125595     43.00    44.55
Morgan Stanley           61766B135 04/05/16 10/04/23    100.000     0.000     3.0621    154.93   0.097516   0.099009   0.100525   0.102064  0.103627     35.64    36.74
Morgan Stanley           61766B168 04/05/16 10/04/23    100.000     0.000     3.0621    154.93   0.097516   0.099009   0.100525   0.102064  0.103627     35.64    36.74
Morgan Stanley           61766B176 04/05/16 10/05/21    100.000     0.000     2.6206    131.34   0.081845   0.082917                                     22.62         
Morgan Stanley           61766B259 05/04/16 11/03/23    100.000     0.000     3.0362    150.73   0.096581   0.098047   0.099535   0.101046  0.102580     35.20    36.28
Morgan Stanley           61766B309 05/04/16 11/03/21    100.000     0.000     2.5128    123.38   0.078094   0.079076                                     23.76         
Morgan Stanley           61766B366 06/03/16 12/05/23    100.000     0.000     3.0194    147.06   0.095999   0.097448   0.098920   0.100413  0.101929     34.90    35.96
Morgan Stanley           61766B408 06/03/16 12/03/21    100.000     0.000     2.6240    126.77   0.081961   0.083037                                     27.40         
Morgan Stanley           61766B564 07/06/16 01/03/24    100.000     0.000     2.7558    130.64   0.085386   0.086563   0.087755   0.088964  0.090190     31.37    32.24
Morgan Stanley           61766B598 07/06/16 01/04/22    100.000     0.000     2.5838    122.07   0.079523   0.080550   0.081591                          29.18     0.24
Morgan Stanley           61766F250 11/03/16 05/03/24    100.000     0.000     2.9896    131.45   0.093510   0.094908   0.096326   0.097766  0.099228     34.08    35.10
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley           61766F466 12/05/16 06/05/24    100.000     0.000     3.5039    151.97   0.111838   0.113797   0.115791   0.117820  0.119884     40.72    42.16
Morgan Stanley           61766F839 02/03/17 02/03/22    100.000     0.000     3.0758    126.82   0.095071   0.096533   0.098018                          34.92     3.14
Morgan Stanley           61766V578 04/05/17 10/04/23    100.000     0.000     3.3161    130.89   0.103344   0.105057   0.106799   0.108570  0.110370     37.81    39.08
Morgan Stanley Finance   61766V867 05/03/17 11/03/23    100.000     0.000     3.2047    123.47   0.099498   0.101093   0.102713   0.104358  0.106031     36.29    37.47
Morgan Stanley Finance   61766W352 06/05/17 12/05/23    100.000     0.000     3.0702    115.00   0.094881   0.096337   0.097816   0.099318  0.100843     34.50    35.56
Morgan Stanley Finance   61766X459 09/06/17 03/05/24    100.000     0.000     3.0212    104.69   0.091814   0.093201   0.094609   0.096038  0.097489     33.63    34.65
Morgan Stanley Finance   61766X483 09/06/17 09/06/23    100.000     0.000     2.9385    101.70   0.089091   0.090400   0.091728   0.093076  0.094443     32.61    33.58
Morgan Stanley Finance   61766X822 10/04/17 10/04/23    100.000     0.000     2.9409     99.29   0.089170   0.090482   0.091812   0.093162  0.094532     32.57    33.53
Morgan Stanley Finance   61766X848 10/04/17 10/04/23    100.000     0.000     2.9409     99.29   0.089170   0.090482   0.091812   0.093162  0.094532     32.57    33.53
Morgan Stanley           61766YAB7 05/25/16 05/25/26    100.000    VARIES     2.2927     15.41   0.009217   0.009323   0.009430   0.009538  0.009647      3.34     3.42
Morgan Stanley           61766YAD3 05/25/16 05/25/23    100.000    VARIES     1.9635     12.88   0.007855   0.007932   0.008010   0.008088  0.008168      2.85     2.90
Morgan Stanley           61766YAN1 09/30/16 09/30/26    100.000    VARIES     2.2435     13.52   0.008645   0.008742   0.008840   0.008939  0.009039      3.15     3.22
Morgan Stanley Finance   61766YDX6 06/18/19 07/19/21    100.000     0.000     2.7205     42.40   0.077820   0.078879                                     15.60         
Morgan Stanley Finance   61766YEC1 07/03/19 07/01/21    100.000     0.000     2.3707     35.85   0.068215                                                12.28         
Morgan Stanley           61767BAA8 02/22/16 02/23/26    100.000    VARIES     3.7844    185.06   0.106576   0.106753   0.106802   0.106852  0.106903     38.43    38.47
Morgan Stanley Finance   61768C2K2 05/30/18 05/29/26    100.000     0.000     4.0544    109.42   0.124496   0.127020   0.129595   0.132222  0.134903     45.44    47.30
Morgan Stanley Finance   61768C2X4 05/23/18 05/20/21    100.000     0.000     3.6531     98.95   0.111053                                                15.44         
Morgan Stanley Finance   61768C3D7 06/04/18 06/04/21    100.000     0.000     3.3961     90.61   0.102622                                                15.70         
Morgan Stanley Finance   61768C3H8 06/29/18 07/01/25    100.000     0.000     4.0272    105.06   0.123620   0.126109   0.128648   0.131239               44.95    46.78
Morgan Stanley Finance   61768C4D6 06/05/18 06/04/21    100.000     0.000     3.3960     90.50   0.102611                                                15.70         
Morgan Stanley Finance   61768C4E4 06/20/18 06/18/21    100.000     0.000     3.4825     91.31   0.105437                                                17.61         
Morgan Stanley Finance   61768C4F1 06/20/18 06/18/21    100.000     0.000     3.4825     91.31   0.105437                                                17.61         
Morgan Stanley Finance   61768C4Q7 06/29/18 06/30/23    100.000     0.000     3.7636     97.93   0.114770   0.116930   0.119130   0.121372  0.123656     41.71    43.29
Morgan Stanley Finance   61768C5E3 06/20/18 06/18/21    100.000     0.000     3.4825     91.31   0.105437                                                17.61         
Morgan Stanley Finance   61768C5F0 06/28/18 06/30/21    100.000     0.000     3.4856     90.55   0.105579                                                18.90         
Morgan Stanley Finance L 61768C5S2 07/31/18 07/31/25    100.000     0.000     4.0045    100.71   0.120416   0.122827   0.125286   0.127795  0.130354     44.52    46.32
Morgan Stanley Finance   61768C6X0 07/26/18 07/28/21    100.000     0.000     3.4862     87.66   0.103791   0.105600                                     21.81         
Morgan Stanley Finance   61768C6Y8 07/26/18 07/28/21    100.000     0.000     3.4862     87.66   0.103791   0.105600                                     21.81         
Morgan Stanley Finance   61768C6Z5 07/26/18 07/28/21    100.000     0.000     3.4862     87.66   0.103791   0.105600                                     21.81         
Morgan Stanley Finance   61768C7D3 07/17/18 07/17/23    100.000     2.500     3.7523     93.78   0.106967   0.108974   0.108398   0.110432  0.109905     39.10    39.64
Morgan Stanley Finance   61768C7J0 07/18/18 07/16/21    100.000     0.000     3.4782     88.27   0.103496   0.105296                                     20.51         
Morgan Stanley Finance   61768CA56 02/07/18 02/04/21    100.000     0.000     2.9301     88.03   0.087509                                                 2.89         
Morgan Stanley           61768CAV9 10/31/16 10/31/23    100.000     0.000     2.9263    128.79   0.091302   0.092638   0.093993   0.095368  0.096764     33.27    34.25
Morgan Stanley Finance   61768CB63 03/05/18 03/04/21    100.000     0.000     3.1415     91.99   0.094327                                                 5.94         
Morgan Stanley Finance   61768CB89 02/28/18 03/03/26    100.000     0.000     3.7712    112.06   0.115072   0.117241   0.119452   0.121704  0.123999     42.33    43.94
Morgan Stanley Finance   61768CE78 03/02/18 03/04/21    100.000     0.000     3.1690     93.11   0.095242                                                 6.00         
Morgan Stanley Finance   61768CG27 02/28/18 02/24/21    100.000     0.000     3.0750     90.62   0.092156                                                 4.88         
Morgan Stanley Finance   61768CH42 03/29/18 03/31/25    100.000     0.000     3.8850    111.91   0.118827   0.121135   0.123488   0.125887  0.128333     43.62    45.33
Morgan Stanley Finance   61768CH75 03/14/18 03/12/21    100.000     0.000     3.2612     94.74   0.098201                                                 6.97         
Morgan Stanley Finance   61768CH91 03/29/18 10/01/25*   100.000     0.000     3.9182    112.91   0.119954                                                10.68*        
Morgan Stanley Finance   61768CL47 03/29/18 03/30/23    100.000     0.000     3.6383    104.50   0.110609   0.112622   0.114670   0.116756  0.118880     40.55    42.04
Morgan Stanley Finance   61768CM38 03/28/18 03/26/21    100.000     0.000     3.4041     97.62   0.102864                                                 8.74         
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61768CMZ7 07/31/17 07/29/22    100.000     0.000     2.8125    100.23   0.084948   0.086142   0.087354   0.088582               31.16    18.39
Morgan Stanley Finance   61768CN45 03/29/18 07/01/21    100.000     0.000     3.4534     98.98   0.105424                                                18.98         
Morgan Stanley Finance   61768CN52 03/28/18 03/26/21    100.000     0.000     3.4041     97.62   0.102864                                                 8.74         
Morgan Stanley Finance   61768CNA1 07/31/17 07/29/22    100.000     0.000     2.8126    100.23   0.084951   0.086145   0.087357   0.088585               31.16    18.39
Morgan Stanley Finance   61768CNB9 08/01/17 02/01/22    100.000     0.000     2.7076     96.26   0.081530   0.082634   0.083753                          29.88     2.51
Morgan Stanley Finance   61768CPJ0 08/28/17 08/28/24*   100.000     0.000     3.1530    110.23   0.096200   0.097717                                     22.88*        
Morgan Stanley Finance   61768CQ75 04/05/18 04/01/21    100.000     0.000     3.3668     95.80   0.101625                                                 9.15         
Morgan Stanley Finance   61768CQT7 09/29/17 03/31/23    100.000     0.000     2.8669     97.13   0.086743   0.087987   0.089248   0.090527  0.091825     31.68    32.59
Morgan Stanley Finance   61768CR58 04/18/18 04/16/21    100.000     0.000     3.3291     93.38   0.100413                                                10.54         
Morgan Stanley Finance   61768CR66 04/18/18 04/16/21    100.000     0.000     3.3291     93.38   0.100413                                                10.54         
Morgan Stanley Finance   61768CR74 04/18/18 04/16/21    100.000     0.000     3.3291     93.38   0.100413                                                10.54         
Morgan Stanley Finance   61768CR82 04/04/18 07/08/21    100.000     0.000     3.3930     96.68   0.101703   0.103429                                     19.33         
Morgan Stanley Finance   61768CRZ2 10/31/17 10/31/23    100.000     0.000     2.9977     98.92   0.091045   0.092410   0.093795   0.095201  0.096628     33.19    34.19
Morgan Stanley Finance   61768CSH1 10/30/17 10/28/32    100.000     0.000     3.7753    120.49   0.104615   0.106590   0.104903   0.106884  0.105378     38.03    38.15
Morgan Stanley Finance   61768CSS7 10/31/17 10/31/22    100.000     0.000     2.8463     93.73   0.086060   0.087285   0.088527   0.089787               31.35    26.70
Morgan Stanley           61768CST5 12/08/17 06/10/24    100.000     0.000     3.1083     99.13   0.094727   0.096200   0.097695   0.099213  0.100755     34.43    35.51
Morgan Stanley Finance   61768CSU2 11/30/17 11/29/24    100.000     0.000     3.1215    100.33   0.095143   0.096628   0.098136   0.099668  0.101223     34.61    35.70
Morgan Stanley Finance   61768CTF4 11/30/17 05/30/25*   100.000     0.000     3.2698    105.30   0.100109   0.101746   0.103410                          33.44*        
Morgan Stanley Finance   61768CTQ0 11/30/17 12/03/25    100.000     0.000     3.2697    105.29   0.100134   0.101771   0.103435   0.105126  0.106845     36.44    37.64
Morgan Stanley Finance   61768CUZ8 12/27/17 12/27/24    100.000     0.000     3.2580    102.21   0.099712   0.101337   0.102987   0.104665  0.106370     36.20    37.39
Morgan Stanley Finance   61768CV46 04/25/18 04/26/21    100.000     0.000     3.4324     95.66   0.103822                                                11.94         
Morgan Stanley Finance   61768CV53 04/30/18 04/29/21    100.000     0.000     3.4816     96.56   0.105418                                                12.44         
Morgan Stanley Finance   61768CVP9 12/29/17 06/30/23    100.000     0.000     3.0395     94.91   0.092436   0.093840   0.095267   0.096714  0.098184     33.53    34.56
Morgan Stanley Finance   61768CVQ7 12/29/17 06/30/23    100.000     0.000     3.0395     94.91   0.092436   0.093840   0.095267   0.096714  0.098184     33.53    34.56
Morgan Stanley Finance   61768CVR5 12/08/17 06/10/24    100.000     0.000     3.1083     99.13   0.094727   0.096200   0.097695   0.099213  0.100755     34.43    35.51
Morgan Stanley Finance   61768CWE3 12/29/17 12/31/25    100.000     0.000     3.3131    103.80   0.101574   0.103257   0.104968   0.106706  0.108474     36.87    38.10
Morgan Stanley Finance   61768CWL7 12/18/17 06/18/25    100.000     0.000     3.2094    101.50   0.098086   0.099660   0.101259   0.102884  0.104535     35.64    36.79
Morgan Stanley Finance   61768CX28 05/30/18 05/30/25    100.000     0.000     3.9488    106.44   0.120953   0.123341   0.125776   0.128259  0.130792     44.12    45.88
Morgan Stanley Finance   61768CXC6 01/31/18 01/30/25    100.000     0.000     3.4110    103.80   0.103109   0.104868   0.106656   0.108475  0.110325     37.97    39.28
Morgan Stanley Finance   61768CXJ1 01/31/18 07/31/23    100.000     0.000     3.3080    100.54   0.099743   0.101393   0.103070   0.104775  0.106508     36.71    37.93
Morgan Stanley Finance   61768CXP7 01/31/18 07/31/25*   100.000     0.000     3.4534    105.15   0.104499                                                 2.93*        
Morgan Stanley Finance   61768CXW2 01/31/18 07/31/25    100.000     0.000     3.4534    105.15   0.104499   0.106303   0.108139   0.110006  0.111906     38.49    39.83
Morgan Stanley Finance   61768CXY8 01/31/18 02/01/24    100.000     0.000     3.3672    102.42   0.101684   0.103396   0.105137   0.106907  0.108707     37.43    38.70
Morgan Stanley Finance   61768CY35 05/23/18 05/21/21    100.000     0.000     3.6531     98.95   0.111065                                                15.55         
Morgan Stanley Finance   61768CY43 05/23/18 05/21/21    100.000     0.000     3.6531     98.95   0.111065                                                15.55         
Morgan Stanley Finance   61768CY92 05/30/18 05/27/21    100.000     0.000     3.4134     91.50   0.103161                                                15.06         
Morgan Stanley Finance   61768CYW1 01/31/18 01/31/23    100.000     0.000     3.2187     97.72   0.096839   0.098397   0.099981   0.101590  0.103225     35.62    36.77
Morgan Stanley Finance   61768CZ59 05/31/18 11/30/23    100.000     0.000     3.6409     97.83   0.110684   0.112699   0.114751   0.116840  0.118967     40.34    41.82
Morgan Stanley Finance   61768CZ91 05/30/18 11/28/25*   100.000     0.000     4.0016    107.93   0.122704                                                18.04*        
Morgan Stanley Finance   61768CZF7 02/28/18 02/27/25    100.000     0.000     3.6613    108.64   0.111348   0.113386   0.115462   0.117576  0.119728     40.96    42.48
Morgan Stanley Finance   61768CZL4 02/07/18 02/05/21    100.000     0.000     2.9301     88.04   0.087517                                                 2.98         
Morgan Stanley Finance   61768D8A6 05/31/19 03/03/23    100.000     0.000     2.9097     46.94   0.083820   0.085040   0.086277   0.087532  0.088805     30.68    31.58
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61768D8H1 06/05/19 12/06/21    100.000     0.000     2.6443     42.18   0.076411   0.077421                                     25.78         
Morgan Stanley Finance   61768D8J7 06/05/19 06/03/22    100.000     0.000     2.6953     43.01   0.077926   0.078977   0.080041                          28.30    12.17
Morgan Stanley Finance   61768DAR6 08/31/18 09/03/25    100.000     0.000     3.9373     95.41   0.118278   0.120607   0.122981   0.125402  0.127871     43.55    45.29
Morgan Stanley Finance   61768DAV7 08/29/18 08/27/21    100.000     0.000     3.3880     81.78   0.100635   0.102339                                     24.06         
Morgan Stanley Finance   61768DAW5 08/29/18 08/27/21    100.000     0.000     3.3880     81.78   0.100635   0.102339                                     24.06         
Morgan Stanley Finance   61768DAX3 08/29/18 08/27/21    100.000     0.000     3.3880     81.78   0.100635   0.102339                                     24.06         
Morgan Stanley Finance   61768DBS3 08/07/18 08/07/23    100.000     0.000     3.7613     93.58   0.112563   0.114680   0.116837   0.119034  0.121273     41.52    43.10
Morgan Stanley Finance   61768DBW4 08/09/18 08/11/25    100.000     0.000     3.9321     97.76   0.118098   0.120420   0.122787   0.125201  0.127663     43.59    45.32
Morgan Stanley Finance   61768DBX2 08/29/18 08/29/23    100.000     0.000     3.6325     87.88   0.108437   0.110396   0.112412   0.114442  0.116532     39.88    41.34
Morgan Stanley Finance   61768DDL6 09/28/18 09/30/25    100.000     0.000     4.1262     96.68   0.124400   0.126967   0.129586   0.132259  0.134988     45.72    47.62
Morgan Stanley Finance   61768DEW1 09/27/18 09/29/21    100.000     0.000     3.5590     83.08   0.106108   0.107996                                     28.78         
Morgan Stanley Finance   61768DFB6 09/26/18 09/24/21    100.000     0.000     3.5813     83.72   0.106779   0.108691                                     28.43         
Morgan Stanley Finance   61768DFQ3 10/31/18 10/30/25    100.000     0.000     4.1832     94.03   0.126231   0.128871   0.131566   0.134318  0.137128     46.24    48.20
Morgan Stanley Finance   61768DFW0 11/05/18 11/04/21    100.000     0.000     3.6429     80.97   0.108758   0.110739                                     33.31         
Morgan Stanley Finance   61768DFZ3 10/26/18 10/26/21    100.000     0.000     3.6548     82.22   0.109147   0.111142                                     32.56         
Morgan Stanley Finance   61768DGC3 10/26/18 10/26/21    100.000     0.000     3.6548     82.22   0.109147   0.111142                                     32.56         
Morgan Stanley Finance   61768DH40 03/05/19 03/04/24    100.000     0.000     3.5292     65.86   0.103306   0.105129   0.106984   0.108872  0.110793     37.95    39.30
Morgan Stanley Finance   61768DH57 02/28/19 03/02/22    100.000     0.000     3.1591     59.46   0.092009   0.093462   0.094939                          33.73     5.79
Morgan Stanley Finance   61768DHD0 10/16/18 01/14/21    100.000     0.000     3.4749     79.10   0.102509                                                 1.33         
Morgan Stanley Finance   61768DHE8 10/31/18 05/01/23    100.000    VARIES     3.8571     85.93   0.113457   0.115645   0.116807   0.119060  0.120288     41.44    42.67
Morgan Stanley Finance   61768DHG3 10/16/18 10/15/21    100.000     0.000     3.5937     81.87   0.107184   0.109110                                     30.79         
Morgan Stanley Finance   61768DHK4 10/22/18 10/20/23    100.000     0.000     3.9969     90.66   0.120145   0.122546   0.124995   0.127493  0.130041     44.03    45.81
Morgan Stanley Finance   61768DHP3 10/16/18 10/14/22    100.000     0.000     3.7996     86.72   0.113774   0.115936   0.118138   0.120383               41.68    33.84
Morgan Stanley Finance   61768DJG1 10/24/18 10/21/21    100.000     0.000     3.6547     82.44   0.109114   0.111108                                     32.00         
Morgan Stanley Finance   61768DJJ5 10/25/18 10/27/21    100.000     0.000     3.6694     82.67   0.109639   0.111650                                     32.82         
Morgan Stanley Finance   61768DKG9 11/30/18 12/03/25    100.000     0.000     4.2632     92.02   0.128893   0.131640   0.134446   0.137312  0.140239     47.05    49.08
Morgan Stanley Finance   61768DQA6 12/05/18 12/03/21    100.000     0.000     3.7382     79.80   0.111799   0.113889                                     37.49         
Morgan Stanley Finance   61768DQE8 12/05/18 12/05/23    100.000     0.000     4.0845     87.43   0.123014   0.125527   0.128090   0.130706  0.133376     44.87    46.72
Morgan Stanley Finance   61768DQT5 11/21/18 11/19/21    100.000     0.000     3.6635     79.69   0.109405   0.111409                                     35.15         
Morgan Stanley Finance   61768DRL1 11/21/18 11/18/21    100.000     0.000     3.6635     79.69   0.109393   0.111397                                     35.04         
Morgan Stanley Finance   61768DRQ0 11/26/18 11/26/21    100.000     0.000     3.6347     78.50   0.108505   0.110477                                     35.62         
Morgan Stanley Finance   61768DZW8 02/28/19 02/29/24    100.000     0.000     3.4964     65.95   0.102314   0.104093   0.105922   0.107764  0.109658     37.60    38.92
Morgan Stanley Finance   61768J441 11/03/17 11/03/23    100.000     0.000     2.9727     97.79   0.090218   0.091559   0.092920   0.094301  0.095703     32.88    33.86
Morgan Stanley Finance   61768J458 11/03/17 11/05/24    100.000     0.000     3.0987    102.11   0.094409   0.095872   0.097357   0.098866  0.100397     34.42    35.49
Morgan Stanley Finance   61768J854 12/05/17 09/03/21    100.000     0.000     2.7004     85.94   0.080743   0.081833                                     19.74         
Morgan Stanley Finance   61768J870 12/05/17 12/04/24    100.000     0.000     3.1714    101.51   0.096808   0.098343   0.099902   0.101486  0.103096     35.21    36.34
Morgan Stanley Finance   61768K562 01/03/18 01/04/22    100.000     0.000     2.8170     87.37   0.083924   0.085106   0.086304                          30.85     0.26
Morgan Stanley Finance   61768M576 03/05/18 03/05/25    100.000     0.000     3.7266    109.87   0.113528   0.115644   0.117799   0.119994  0.122229     41.75    43.32
Morgan Stanley Finance   61768M584 03/05/18 03/03/23    100.000     0.000     3.4611    101.73   0.104735   0.106547   0.108391   0.110267  0.112175     38.46    39.80
Morgan Stanley Finance   61768M592 03/05/18 03/03/22    100.000     0.000     3.3336     97.83   0.100561   0.102237   0.103941                          36.90     6.44
Morgan Stanley Finance   61768P124 04/04/18 04/05/22    100.000     0.000     3.4793     99.23   0.105363   0.107196   0.109061                          38.58    10.25
Morgan Stanley Finance   61768P157 04/05/18 04/03/25    100.000     0.000     3.8093    108.93   0.116256   0.118470   0.120727   0.123026  0.125369     42.64    44.28
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61768P173 04/05/18 04/07/21    100.000     0.000     3.3669     95.80   0.101684                                                 9.76         
Morgan Stanley Finance   61768P496 04/04/18 04/01/21    100.000     0.000     3.3669     95.90   0.101639                                                 9.15         
Morgan Stanley Finance   61768P702 05/03/18 05/05/21    100.000     0.000     3.4039     94.01   0.102896                                                12.76         
Morgan Stanley Finance   61768Q601 07/05/18 07/05/22    100.000     0.000     3.6810     95.03   0.109987   0.112011   0.114072   0.116172               40.68    21.37
Morgan Stanley Finance   61768Q619 07/05/18 07/05/22    100.000     0.000     3.6810     95.03   0.109987   0.112011   0.114072   0.116172               40.68    21.37
Morgan Stanley Finance   61768R187 08/03/18 08/04/21    100.000     0.000     3.5287     88.02   0.105132   0.106987                                     22.73         
Morgan Stanley Finance   61768R435 09/06/18 09/03/21    100.000     0.000     3.3743     80.74   0.100190   0.101880                                     24.55         
Morgan Stanley Finance   61768R583 08/15/18 08/14/25    100.000     0.000     3.9076     96.42   0.117268   0.119559   0.121895   0.124277  0.126705     43.26    44.97
Morgan Stanley Finance   61768R591 08/15/18 08/15/24    100.000     0.000     3.7617     92.69   0.112579   0.114696   0.116853   0.119051  0.121290     41.49    43.07
Morgan Stanley Finance   61768R781 10/03/18 10/04/23    100.000     0.000     3.8198     88.69   0.114460   0.116646   0.118874   0.121145  0.123458     41.98    43.60
Morgan Stanley Finance   61768R799 10/03/18 10/05/21    100.000     0.000     3.5187     81.48   0.104823   0.106667                                     29.05         
Morgan Stanley Finance   61768T357 11/05/18 11/03/21    100.000     0.000     3.6428     80.96   0.108742   0.110723                                     33.20         
Morgan Stanley Finance   61768T381 11/05/18 11/05/25    100.000     0.000     4.2534     95.02   0.128526   0.131259   0.134050   0.136901  0.139813     47.07    49.09
Morgan Stanley Finance   61768T613 12/05/18 12/03/21    100.000     0.000     3.7382     79.80   0.111799   0.113889                                     37.49         
Morgan Stanley Finance   61768X101 03/05/19 03/03/23    100.000     0.000     3.3204     61.88   0.096887   0.098496   0.100131   0.101794  0.103484     35.55    36.74
Morgan Stanley Finance   61768Y299 06/05/19 06/05/24    100.000     0.000     2.9744     47.53   0.086365   0.087649   0.088953   0.090275  0.091618     31.39    32.33
Morgan Stanley Finance   61768Y307 06/05/19 03/05/24    100.000     0.000     2.9394     47.00   0.084685   0.085929   0.087192   0.088474  0.089774     31.00    31.92
Morgan Stanley Finance   61768Y356 06/05/19 06/03/22    100.000     0.000     2.6952     43.00   0.077923   0.078974   0.080038                          28.30    12.17
Morgan Stanley Finance   61768Y679 07/03/19 07/06/22    100.000     0.000     2.4288     36.74   0.069129   0.069969   0.070819   0.071679               25.33    13.26
Morgan Stanley Finance   61768Y687 07/03/19 07/06/23    100.000     0.000     2.5444     38.51   0.072503   0.073426   0.074360   0.075306  0.076264     26.59    27.27
Morgan Stanley Finance   61769H2F1 12/27/19 12/27/24    100.000     0.000     2.5252     25.70   0.071926   0.072834   0.073753   0.074684  0.075627     26.06    26.73
Morgan Stanley Finance   61769H2G9 12/26/19 12/24/26*   100.000     0.000     2.7295     27.87   0.077890   0.078953                                     27.61*        
Morgan Stanley Finance   61769H2L8 01/02/20 01/02/24    100.000     0.000     2.2779     22.85   0.063997   0.064726   0.065463   0.066208  0.066962     23.43    23.97
Morgan Stanley Finance   61769H2N4 01/02/20 01/02/25    100.000     0.000     2.3600     23.67   0.066330   0.067113   0.067905   0.068706  0.069517     24.30    24.88
Morgan Stanley Finance   61769H2P9 01/02/20 01/02/25    100.000     0.000     2.3600     23.67   0.066330   0.067113   0.067905   0.068706  0.069517     24.30    24.88
Morgan Stanley Finance   61769H2Q7 01/02/20 01/02/25*   100.000     0.000     2.3600     23.67   0.066330   0.067113                                      0.27*        
Morgan Stanley Finance   61769H2T1 12/18/19 12/17/26    100.000     0.000     2.5573     26.69   0.072860   0.073792   0.074736   0.075691  0.076659     26.42    27.10
Morgan Stanley Finance   61769H2Y0 12/26/19 12/24/26    100.000     0.000     2.7295     27.87   0.077890   0.078953   0.080031   0.081123  0.082230     28.25    29.02
Morgan Stanley Finance   61769H2Z7 12/26/19 12/24/26*   100.000     0.000     2.7295     27.87   0.077890   0.078953                                     27.61*        
Morgan Stanley Finance   61769H3A1 12/26/19 12/24/26*   100.000     0.000     2.7295     27.87   0.077890   0.078953                                     27.61*        
Morgan Stanley Finance   61769H3B9 12/26/19 06/25/24    100.000     0.000     2.4842     25.35   0.070725   0.071603   0.072493   0.073393  0.074305     25.63    26.27
Morgan Stanley Finance   61769H3D5 12/27/19 06/26/24    100.000     0.000     2.4842     25.28   0.070724   0.071603   0.072492   0.073393  0.074304     25.63    26.27
Morgan Stanley Finance   61769H4T9 12/27/19 01/02/24    100.000     0.000     2.4620     25.05   0.069254   0.070107   0.070970   0.071844  0.072728     25.39    26.02
Morgan Stanley Finance   61769H4W2 12/27/19 01/02/24    100.000     0.000     2.4620     25.05   0.069254   0.070107   0.070970   0.071844  0.072728     25.39    26.02
Morgan Stanley Finance   61769H5G6 12/18/19 06/17/21    100.000     0.000     2.0224     21.07   0.057317                                                 9.51         
Morgan Stanley Finance   61769H6P5 02/05/20 02/05/25*   100.000     0.000     1.9970     18.16   0.056026   0.056586                                      2.07*        
Morgan Stanley Finance   61769H6T7 01/23/20 01/22/27    100.000     0.000     2.5533     24.12   0.071827   0.072744   0.073673   0.074613  0.075566     26.32    26.99
Morgan Stanley Finance   61769H6W0 01/31/20 01/31/25    100.000     0.000     2.1858     20.20   0.061381   0.062052   0.062730   0.063416  0.064109     22.42    22.91
Morgan Stanley Finance   61769H6X8 01/31/20 01/31/25    100.000     0.000     2.1858     20.20   0.061381   0.062052   0.062730   0.063416  0.064109     22.42    22.91
Morgan Stanley Finance   61769H7K5 01/31/20 02/02/27    100.000     0.000     2.4454     22.61   0.068767   0.069608   0.070459   0.071321  0.072193     25.16    25.78
Morgan Stanley Finance   61769H7L3 01/31/20 02/02/27    100.000     0.000     2.4454     22.61   0.068767   0.069608   0.070459   0.071321  0.072193     25.16    25.78
Morgan Stanley Finance   61769H7M1 01/31/20 02/02/27    100.000     0.000     2.4454     22.61   0.068767   0.069608   0.070459   0.071321  0.072193     25.16    25.78
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61769H7N9 01/31/20 02/02/27    100.000     0.000     2.4454     22.61   0.068767   0.069608   0.070459   0.071321  0.072193     25.16    25.78
Morgan Stanley Finance   61769H7Q2 02/05/20 02/05/25    100.000     0.000     1.9970     18.16   0.056026   0.056586   0.057151   0.057722  0.058298     20.43    20.84
Morgan Stanley Finance   61769HA47 10/31/19 11/02/26*   100.000     0.000     2.7148     32.06   0.077483   0.078535                                     23.51*        
Morgan Stanley Finance   61769HA54 10/31/19 11/02/26*   100.000     0.000     2.7148     32.06   0.077483   0.078535                                     23.51*        
Morgan Stanley Finance   61769HAG0 06/05/19 12/03/21    100.000     0.000     2.6443     42.18   0.076395   0.077405                                     25.54         
Morgan Stanley Finance   61769HAH8 06/05/19 06/05/24    100.000     0.000     2.9744     47.53   0.086364   0.087649   0.088952   0.090275  0.091618     31.39    32.33
Morgan Stanley Finance   61769HAP0 05/31/19 05/31/24    100.000     0.000     3.0990     50.00   0.090146   0.091543   0.092961   0.094402  0.095865     32.79    33.82
Morgan Stanley Finance   61769HAQ8 06/05/19 12/06/22    100.000     0.000     2.7658     44.15   0.080066   0.081174   0.082296   0.083434               29.08    27.77
Morgan Stanley Finance   61769HAR6 06/05/19 06/05/24    100.000     0.000     2.9744     47.53   0.086364   0.087649   0.088952   0.090275  0.091618     31.39    32.33
Morgan Stanley Finance   61769HB87 10/30/19 05/02/24    100.000     0.000     2.3725     27.98   0.067484   0.068284   0.069094   0.069914  0.070743     24.53    25.12
Morgan Stanley Finance   61769HCK9 05/24/19 05/26/22    100.000     0.000     2.9183     47.55   0.084677   0.085913   0.087166                          30.79    12.64
Morgan Stanley Finance   61769HDG7 06/03/19 06/03/24    100.000     0.000     3.3497     53.83   0.097802   0.099440   0.101105   0.102799  0.104520     35.60    36.80
Morgan Stanley Finance   61769HDQ5 06/28/19 06/30/26*   100.000     0.000     2.8412     43.47   0.082347                                                14.74*        
Morgan Stanley Finance   61769HDR3 07/03/19 07/03/24*   100.000     0.000     2.6772     40.54   0.076370   0.077392                                     13.93*        
Morgan Stanley Finance   61769HE43 10/25/19 10/25/24    100.000     0.250     2.3773     28.35   0.067449   0.068168   0.068896   0.069633  0.070378     24.51    25.03
Morgan Stanley Finance   61769HE68 10/31/19 11/02/26*   100.000     0.000     2.7148     32.06   0.077483   0.078535                                     23.51*        
Morgan Stanley Finance   61769HEN1 06/28/19 12/30/22    100.000     0.000     2.4358     37.19   0.070173   0.071028   0.071893   0.072768               25.42    25.97
Morgan Stanley Finance   61769HEQ4 07/03/19 12/31/21    100.000     0.000     2.4181     36.58   0.069622   0.070463                                     25.15         
Morgan Stanley Finance   61769HER2 07/03/19 07/01/22    100.000     0.000     2.4284     36.73   0.069934   0.070783   0.071643                          25.33    12.90
Morgan Stanley Finance   61769HET8 06/28/19 06/28/24    100.000     0.000     2.6301     40.20   0.075980   0.076979   0.077991   0.079017  0.080056     27.54    28.27
Morgan Stanley Finance   61769HFS9 07/03/19 07/03/24    100.000     0.000     2.6772     40.54   0.076370   0.077392   0.078428   0.079478  0.080542     28.04    28.80
Morgan Stanley Finance   61769HFT7 07/03/19 01/03/23    100.000     0.000     2.4864     37.62   0.070794   0.071674   0.072565   0.073467  0.074380     25.96    26.61
Morgan Stanley Finance   61769HH32 11/27/19 08/27/24    100.000     0.000     2.3730     26.19   0.067094   0.067890   0.068695   0.069510  0.070335     24.50    25.08
Morgan Stanley Finance   61769HH40 11/27/19 02/26/26    100.000     0.000     2.5493     28.15   0.072170   0.073090   0.074022   0.074965  0.075921     26.38    27.05
Morgan Stanley Finance   61769HHQ1 07/01/19 07/01/25    100.000     0.000     2.7490     41.80   0.079554   0.080647   0.081756   0.082879               28.84    29.63
Morgan Stanley Finance   61769HJU0 07/02/19 07/03/24    100.000     0.000     2.6771     40.62   0.076375   0.077397   0.078433   0.079483  0.080547     28.05    28.80
Morgan Stanley Finance   61769HJV8 08/05/19 08/05/24    100.000     0.000     2.7548     39.22   0.078645   0.079728   0.080826   0.081939  0.083068     28.83    29.63
Morgan Stanley Finance   61769HJY2 07/31/19 05/02/23    100.000     0.000     2.6026     37.43   0.074683   0.075655   0.076639   0.077636  0.078647     27.18    27.89
Morgan Stanley Finance   61769HK38 12/02/19 12/02/24    100.000     0.000     2.3657     25.75   0.067277   0.068073   0.068878   0.069692  0.070517     24.41    24.99
Morgan Stanley Finance   61769HKB0 08/05/19 08/04/22    100.000     0.000     2.5169     35.79   0.071680   0.072582   0.073495   0.074420               26.23    15.82
Morgan Stanley Finance   61769HKR5 08/05/19 08/04/22    100.000     0.000     2.5169     35.79   0.071680   0.072582   0.073495   0.074420               26.23    15.82
Morgan Stanley Finance   61769HKS3 08/05/19 08/05/24    100.000     0.000     2.7548     39.22   0.078645   0.079728   0.080826   0.081939  0.083068     28.83    29.63
Morgan Stanley Finance   61769HL78 11/06/19 05/05/22    100.000     0.000     2.1373     24.82   0.060640   0.061288   0.061943                          22.02     7.68
Morgan Stanley Finance   61769HM44 11/27/19 11/27/26*   100.000     0.000     2.6238     28.95   0.074807   0.075789                                     24.49*        
Morgan Stanley Finance   61769HM51 12/02/19 12/02/24    100.000     0.000     2.3657     25.75   0.067277   0.068073   0.068878   0.069692  0.070517     24.41    24.99
Morgan Stanley Finance   61769HM77 12/02/19 12/02/24    100.000     0.000     2.3657     25.75   0.067277   0.068073   0.068878   0.069692  0.070517     24.41    24.99
Morgan Stanley Finance   61769HNG6 08/30/19 09/01/26*   100.000     0.000     2.4648     33.29   0.070169   0.071033                                     17.00*        
Morgan Stanley Finance   61769HNU5 09/05/19 09/05/24    100.000     0.000     2.3651     31.59   0.067262   0.068057   0.068862   0.069676  0.070500     24.54    25.13
Morgan Stanley Finance   61769HNV3 09/05/19 09/05/24    100.000     0.000     2.3651     31.59   0.067262   0.068057   0.068862   0.069676  0.070500     24.54    25.13
Morgan Stanley Finance   61769HNY7 08/30/19 06/02/23    100.000     0.000     2.2160     29.91   0.063283   0.063984   0.064693   0.065409  0.066134     22.95    23.46
Morgan Stanley Finance   61769HP82 11/29/19 05/30/24    100.000     0.000     2.3629     25.92   0.067201   0.067995   0.068799   0.069612  0.070434     24.38    24.96
Morgan Stanley Finance   61769HPA7 09/05/19 09/02/22    100.000     0.000     2.1339     28.48   0.060537   0.061183   0.061836   0.062496               22.06    15.02
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61769HPC3 09/05/19 09/02/22    100.000     0.000     2.1339     28.48   0.060537   0.061183   0.061836   0.062496               22.06    15.02
Morgan Stanley Finance   61769HQ99 11/26/19 11/26/21    100.000     0.000     2.0848     23.03   0.059126   0.059742                                     19.33         
Morgan Stanley Finance   61769HRA5 08/30/19 09/01/26    100.000     0.000     2.4648     33.29   0.070169   0.071033   0.071909   0.072795  0.073692     25.63    26.26
Morgan Stanley Finance   61769HRK3 08/29/19 08/31/26*   100.000     0.000     2.4648     33.36   0.070169   0.071024                                     16.93*        
Morgan Stanley Finance   61769HTA3 09/30/19 06/29/23    100.000     0.000     2.4287     30.72   0.069528   0.070372   0.071227   0.072092  0.072967     25.19    25.80
Morgan Stanley Finance   61769HTJ4 09/30/19 09/30/26*   100.000     0.000     2.7926     35.38   0.079754   0.080867                                     21.65*        
Morgan Stanley Finance   61769HTM7 10/03/19 10/05/22    100.000     0.000     2.1500     26.99   0.061022   0.061678   0.062341   0.063011               22.20    17.20
Morgan Stanley Finance   61769HTU9 10/03/19 10/03/24    100.000     0.000     2.1901     27.49   0.062176   0.062857   0.063545   0.064241  0.064944     22.63    23.12
Morgan Stanley Finance   61769HUJ2 09/13/19 03/15/23    100.000     0.000     2.3832     31.30   0.067795   0.068603   0.069420   0.070247  0.071084     24.72    25.32
Morgan Stanley Finance   61769HXH3 11/05/19 11/05/24    100.000     0.000     2.3221     27.05   0.066008   0.066775   0.067550   0.068334  0.069128     23.99    24.55
Morgan Stanley Finance   61769HXR1 10/31/19 10/31/25    100.000     0.000     2.5933     30.61   0.073917   0.074875   0.075846   0.076830  0.077826     26.90    27.60
Morgan Stanley Finance   61769HXW0 11/05/19 08/04/22    100.000     0.000     2.1452     24.99   0.060549   0.061198   0.061854   0.062518               22.11    13.29
Morgan Stanley Finance   61769HXY6 10/31/19 05/04/23    100.000     0.000     2.3061     27.19   0.065561   0.066317   0.067081   0.067855  0.068637     23.82    24.38
Morgan Stanley Finance   61769HYC3 11/05/19 11/03/22    100.000     0.000     2.1789     25.37   0.061844   0.062518   0.063199   0.063888               22.46    19.21
Morgan Stanley Finance   61769HZ57 01/02/20 06/30/22    100.000     0.000     2.1271     21.33   0.060343   0.060984   0.061633                          21.84    11.03
Morgan Stanley Finance   61769HZU2 10/23/19 10/21/22    100.000     0.000     2.2217     26.63   0.063086   0.063787   0.064496   0.065212               22.94    18.83
Morgan Stanley Finance   61769P495 05/05/20 05/05/26    100.000     0.000     1.9401     12.75   0.054414   0.054941   0.055474   0.056013  0.056556     19.74    20.13
Morgan Stanley Finance   61769P529 05/05/20 05/05/27    100.000     0.000     2.0902     13.74   0.058668   0.059281   0.059900   0.060526  0.061159     21.30    21.75
Morgan Stanley Finance   61769Q212 08/05/19 02/05/25    100.000     0.000     2.8032     39.92   0.080066   0.081188   0.082326   0.083480  0.084650     29.36    30.18
Morgan Stanley Finance   61769Q220 08/05/19 08/03/23    100.000     0.000     2.6268     37.38   0.074884   0.075868   0.076864   0.077874  0.078897     27.43    28.15
Morgan Stanley Finance   61769Q535 09/05/19 09/06/23    100.000     0.000     2.2400     29.91   0.063628   0.064340   0.065061   0.065790  0.066526     23.20    23.72
Morgan Stanley Finance   61769Q543 09/05/19 09/06/22    100.000     0.000     2.1338     28.48   0.060548   0.061194   0.061847   0.062507               22.06    15.27
Morgan Stanley Finance   61769Q881 10/03/19 04/03/25    100.000     0.000     2.2103     27.75   0.062761   0.063455   0.064156   0.064865  0.065582     22.84    23.35
Morgan Stanley Finance   61770C111 10/03/19 04/03/24    100.000     0.000     2.1674     27.21   0.061518   0.062184   0.062858   0.063540  0.064228     22.38    22.87
Morgan Stanley Finance   61770C343 11/05/19 05/03/24    100.000     0.000     2.2919     26.70   0.065122   0.065868   0.066623   0.067386  0.068159     23.67    24.21
Morgan Stanley Finance   61770C640 12/04/19 12/04/24    100.000     0.000     2.3719     25.68   0.067459   0.068259   0.069068   0.069888  0.070716     24.47    25.06
Morgan Stanley Finance   61770E232 01/03/20 01/05/27    100.000     0.000     2.6098     26.12   0.073450   0.074408   0.075379   0.076363  0.077359     26.95    27.66
Morgan Stanley Finance   61770E307 01/03/20 01/03/25    100.000     0.000     2.3534     23.54   0.066141   0.066920   0.067707   0.068504  0.069310     24.23    24.80
Morgan Stanley Finance   61770E588 02/05/20 02/05/25    100.000     0.000     1.9970     18.17   0.056027   0.056587   0.057152   0.057722  0.058299     20.43    20.84
Morgan Stanley Finance   61770FAB2 02/05/20 02/05/25    100.000     0.000     1.9970     18.16   0.056026   0.056586   0.057151   0.057722  0.058298     20.43    20.84
Morgan Stanley Finance   61770FAJ5 02/05/20 02/05/24    100.000     0.000     1.9189     17.45   0.053813   0.054329   0.054851   0.055377  0.055908     19.62    20.00
Morgan Stanley Finance   61770FAP1 01/23/20 01/22/27    100.000     0.000     2.5533     24.12   0.071827   0.072744   0.073673   0.074613  0.075566     26.32    26.99
Morgan Stanley Finance   61770FB96 04/30/20 02/01/27    100.000     0.000     2.2244     14.94   0.062136   0.062828   0.063526   0.064233  0.064947     22.70    23.21
Morgan Stanley Finance   61770FBU9 01/31/20 08/01/24    100.000     0.000     2.1409     19.78   0.060108   0.060752   0.061402   0.062059  0.062724     21.95    22.42
Morgan Stanley Finance   61770FC38 04/30/20 04/30/27    100.000     0.000     2.2634     15.20   0.063584   0.064304   0.065031   0.065767  0.066511     23.11    23.63
Morgan Stanley Finance   61770FC46 04/30/20 04/30/27    100.000     0.000     2.2634     15.20   0.063584   0.064304   0.065031   0.065767  0.066511     23.11    23.63
Morgan Stanley Finance   61770FC53 04/30/20 04/30/27*   100.000     0.000     2.2634     15.20   0.063584   0.064304                                      7.82*        
Morgan Stanley Finance   61770FC61 04/30/20 04/30/27*   100.000     0.000     2.2634     15.20   0.063584   0.064304                                      7.82*        
Morgan Stanley Finance   61770FC79 04/30/20 04/30/27*   100.000     0.000     2.2634     15.20   0.063584   0.064304                                      7.82*        
Morgan Stanley Finance   61770FCR5 01/29/20 01/28/27    100.000     0.000     2.4281     22.52   0.068261   0.069090   0.069928   0.070777  0.071636     24.98    25.59
Morgan Stanley Finance   61770FCS3 01/30/20 02/01/24    100.000     0.000     2.0269     18.72   0.056875   0.057452   0.058034   0.058622  0.059216     20.75    21.18
Morgan Stanley Finance   61770FD37 04/22/20 04/22/27*   100.000     0.000     2.1853     15.16   0.061366   0.062037                                      6.87*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61770FD45 04/22/20 04/22/27*   100.000     0.000     2.1853     15.16   0.061366   0.062037                                      6.87*        
Morgan Stanley Finance   61770FD52 04/22/20 04/22/27*   100.000     0.000     2.1853     15.16   0.061366   0.062037                                      6.87*        
Morgan Stanley Finance   61770FDU7 01/28/20 01/29/30    100.000     0.000     2.6694     24.84   0.075146   0.076149   0.077166   0.078196  0.079239     27.54    28.28
Morgan Stanley Finance   61770FE36 04/30/20 04/30/27    100.000     0.000     2.2634     15.20   0.063584   0.064304   0.065031   0.065767  0.066511     23.11    23.63
Morgan Stanley Finance   61770FE69 05/05/20 11/03/22    100.000     0.000     1.4528      9.54   0.040647   0.040942   0.041239   0.041539               14.72    12.51
Morgan Stanley Finance   61770FED4 01/29/20 01/27/23    100.000     0.000     2.0128     18.65   0.056468   0.057037   0.057611   0.058190  0.058776     20.61    21.02
Morgan Stanley Finance   61770FFB7 02/28/20 02/28/25    100.000     0.000     1.9133     16.17   0.053656   0.054169   0.054687   0.055210  0.055738     19.54    19.91
Morgan Stanley Finance   61770FFJ0 02/04/20 02/04/25    100.000     0.000     2.0787     18.97   0.058343   0.058949   0.059562   0.060181  0.060806     21.29    21.74
Morgan Stanley Finance   61770FGC4 03/04/20 03/03/23    100.000     0.000     1.6561     13.71   0.046382   0.046766   0.047153   0.047544  0.047938     16.86    17.14
Morgan Stanley Finance   61770FGP5 02/28/20 03/02/27    100.000     0.000     2.1748     18.39   0.061082   0.061746   0.062417   0.063096  0.063782     22.27    22.75
Morgan Stanley Finance   61770FGS9 03/04/20 03/04/24    100.000     0.000     1.7557     14.53   0.049199   0.049631   0.050066   0.050506  0.050949     17.89    18.21
Morgan Stanley Finance   61770FHN9 03/04/20 03/05/25    100.000     0.000     1.7527     14.51   0.049117   0.049547   0.049981   0.050419  0.050861     17.86    18.17
Morgan Stanley Finance   61770FHP4 03/04/20 03/05/25    100.000     0.000     1.7527     14.51   0.049117   0.049547   0.049981   0.050419  0.050861     17.86    18.17
Morgan Stanley Finance   61770FJD9 02/07/20 08/09/23    100.000     0.000     1.9816     17.91   0.055595   0.056145   0.056702   0.057263  0.057831     20.27    20.67
Morgan Stanley Finance   61770FJQ0 03/04/20 03/05/25*   100.000     0.000     1.7527     14.51   0.049117                                                 3.14*        
Morgan Stanley Finance   61770FJW7 03/04/20 09/01/22    100.000     0.000     1.5946     13.20   0.044640   0.044996   0.045355   0.045717               16.22    10.95
Morgan Stanley Finance   61770FKC9 02/28/20 08/29/24    100.000     0.000     1.8417     15.56   0.051632   0.052105   0.052588   0.053069  0.053560     18.79    19.14
Morgan Stanley Finance   61770FL46 04/29/20 04/27/23    100.000     0.000     1.6712     11.26   0.046806   0.047197   0.047592   0.047989  0.048390     16.97    17.26
Morgan Stanley Finance   61770FLC8 02/19/20 02/19/25    100.000     0.000     2.1606     18.81   0.060664   0.061319   0.061982   0.062651  0.063328     22.13    22.61
Morgan Stanley Finance   61770FPB6 03/31/20 04/01/27*   100.000     0.000     3.4107     25.82   0.096367                                                 8.67*        
Morgan Stanley Finance   61770FPC4 03/31/20 04/01/27*   100.000     0.000     3.4107     25.82   0.096367                                                 8.67*        
Morgan Stanley Finance   61770FPD2 03/31/20 04/01/27    100.000     0.000     3.4107     25.82   0.096367   0.098011   0.099682   0.101382  0.103111     35.29    36.50
Morgan Stanley Finance   61770FPV2 04/03/20 04/03/25*   100.000     0.000     2.4892     18.61   0.070004   0.070876                                      6.72*        
Morgan Stanley Finance   61770FST4 04/03/20 10/05/22    100.000     0.000     2.4324     18.18   0.068399   0.069231   0.070073   0.070925               24.92    19.35
Morgan Stanley Finance   61770FV86 05/29/20 06/01/27    100.000     0.000     1.9425     11.46   0.054488   0.055017   0.055551   0.056091  0.056636     19.74    20.13
Morgan Stanley Finance   61770FV94 05/29/20 06/01/27    100.000     0.000     1.9425     11.46   0.054488   0.055017   0.055551   0.056091  0.056636     19.74    20.13
Morgan Stanley Finance   61770FW28 05/29/20 05/29/26    100.000     0.000     1.7764     10.47   0.049782   0.050225   0.050671   0.051121  0.051575     18.03    18.35
Morgan Stanley Finance   61770FW36 05/29/20 06/01/27    100.000     0.000     1.9425     11.46   0.054488   0.055017   0.055551   0.056091  0.056636     19.74    20.13
Morgan Stanley Finance   61770FW77 05/21/20 05/21/27    100.000     0.000     2.1231     13.00   0.059600   0.060233   0.060872   0.061518  0.062172     21.62    22.08
Morgan Stanley Finance   61770FW85 05/20/20 05/20/25    100.000     0.000     1.7889     11.00   0.050135   0.050584   0.051036   0.051493  0.051953     18.17    18.49
Morgan Stanley Finance   61770FW93 05/21/20 05/21/27    100.000     0.000     2.1231     13.00   0.059600   0.060233   0.060872   0.061518  0.062172     21.62    22.08
Morgan Stanley Finance   61770FX27 05/21/20 05/21/26    100.000     0.000     1.9379     11.86   0.054351   0.054878   0.055410   0.055946  0.056489     19.70    20.09
Morgan Stanley Finance   61770FX35 05/21/20 05/21/27    100.000     0.000     2.1231     13.00   0.059600   0.060233   0.060872   0.061518  0.062172     21.62    22.08
Morgan Stanley Finance   61770FX50 06/03/20 06/03/25*   100.000     0.000     1.5338      8.87   0.042931   0.043260                                      6.70*        
Morgan Stanley Finance   61770FX68 06/03/20 06/03/25    100.000     0.000     1.5338      8.87   0.042931   0.043260   0.043592   0.043926  0.044263     15.53    15.77
Morgan Stanley Finance   61770FX84 06/03/20 06/02/23    100.000     0.000     1.1097      6.42   0.030996   0.031168   0.031341   0.031515  0.031690     11.20    11.32
Morgan Stanley Finance   61770FXY7 04/01/20 05/28/27    100.000     0.000     2.8687     21.63   0.081195   0.082360   0.083541   0.084739  0.085955     29.52    30.37
Morgan Stanley Finance   61770FYH3 04/22/20 10/22/25    100.000     0.000     1.9271     13.36   0.054046   0.054567   0.055093   0.055624  0.056160     19.62    20.00
Morgan Stanley Finance   61770FYL4 05/05/20 05/05/25    100.000     0.000     1.8350     12.06   0.051439   0.051911   0.052387   0.052867  0.053353     18.66    19.00
Morgan Stanley Finance   61770FYU4 04/30/20 10/30/25    100.000     0.000     1.9442     13.05   0.054530   0.055060   0.055595   0.056136  0.056682     19.79    20.18
Morgan Stanley Finance   61770FYX8 04/30/20 04/30/27    100.000     0.000     2.2634     15.20   0.063584   0.064304   0.065031   0.065767  0.066511     23.11    23.63
Morgan Stanley Finance   61770FZG4 05/05/20 05/05/25*   100.000     0.000     1.8350     12.06   0.051439   0.051911                                      6.43*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61770FZV1 04/30/20 04/30/27    100.000     0.000     2.2634     15.20   0.063584   0.064304   0.065031   0.065767  0.066511     23.11    23.63
Morgan Stanley Finance   61770FZW9 05/05/20 11/03/22    100.000     0.000     1.4528      9.54   0.040647   0.040942   0.041239   0.041539               14.72    12.51
Morgan Stanley Finance   61770FZZ2 05/05/20 05/05/25    100.000     0.000     1.8350     12.06   0.051439   0.051911   0.052387   0.052867  0.053353     18.66    19.00
Morgan Stanley Finance   61770G203 03/04/20 09/03/25    100.000     0.000     1.8551     15.36   0.052006   0.052488   0.052975   0.053466  0.053962     18.92    19.28
Morgan Stanley Finance   61770G211 03/04/20 03/04/27    100.000     0.000     2.0962     17.36   0.058837   0.059454   0.060077   0.060707  0.061343     21.44    21.89
Morgan Stanley Finance   61770G641 04/03/20 04/06/26    100.000     0.000     2.6405     19.74   0.074331   0.075312   0.076306   0.077314  0.078334     27.10    27.82
Morgan Stanley Finance   61770G708 04/03/20 04/07/26    100.000     0.000     2.6405     19.74   0.074338   0.075319   0.076314   0.077321  0.078342     27.10    27.82
Morgan Stanley Finance   61771BCJ1 05/29/20 06/01/27*   100.000     0.000     1.9425     11.46   0.054488   0.055017                                      8.23*        
Morgan Stanley Finance   61771BHX5 06/17/20 06/17/25    100.000     0.000     1.3734      7.40   0.038411   0.038675   0.038940   0.039208  0.039477     13.88    14.07
Morgan Stanley Finance   61771BJP0 06/30/20 06/30/27    100.000     0.000     1.6297      8.19   0.045638   0.046010   0.046385   0.046763  0.047144     16.50    16.77
Morgan Stanley Finance   61771BJQ8 06/30/20 06/30/27    100.000     0.000     1.6297      8.19   0.045638   0.046010   0.046385   0.046763  0.047144     16.50    16.77
Morgan Stanley Finance   61771BJV7 07/06/20 07/03/25    100.000     0.000     1.2523      6.09   0.034786   0.035001   0.035220   0.035440  0.035662     12.64    12.80
Morgan Stanley Finance   61771BKP8 06/16/20 06/16/27    100.000     0.000     1.6181      8.77   0.045310   0.045677   0.046046   0.046419  0.046794     16.39    16.65
Morgan Stanley Finance   61771BKX1 06/30/20 06/30/27*   100.000     0.000     1.6297      8.19   0.045638   0.046010                                      8.22*        
Morgan Stanley Finance   61771BKY9 06/30/20 06/30/27    100.000     0.000     1.6297      8.19   0.045638   0.046010   0.046385   0.046763  0.047144     16.50    16.77
Morgan Stanley Finance   61771BKZ6 06/30/20 12/30/27    100.000     0.000     1.6965      8.53   0.047525   0.047928   0.048334   0.048744  0.049158     17.18    17.48
Morgan Stanley Finance   61771BLH5 07/06/20 07/03/25    100.000     0.000     1.2523      6.09   0.034786   0.035001   0.035220   0.035440  0.035662     12.64    12.80
Morgan Stanley Finance   61771BMA9 06/26/20 06/28/27    100.000     0.000     1.6168      8.31   0.045278   0.045645   0.046014   0.046385  0.046760     16.37    16.63
Morgan Stanley Finance   61771BMB7 06/26/20 12/29/25    100.000     0.000     1.3458      6.92   0.037639   0.037892   0.038147   0.038404  0.038663     13.60    13.78
Morgan Stanley Finance   61771BRE6 07/31/20 08/04/27    100.000     0.000     1.3386      5.62   0.037188   0.037437   0.037688   0.037940  0.038194     13.51    13.69
Morgan Stanley Finance   61771BRF3 07/31/20 08/02/27    100.000     0.000     1.3386      5.62   0.037186   0.037435   0.037685   0.037937  0.038191     13.51    13.69
Morgan Stanley Finance   61771C136 06/03/20 06/03/26    100.000     0.000     1.6786      9.71   0.047020   0.047415   0.047813   0.048214  0.048619     17.02    17.31
Morgan Stanley Finance   61771C409 07/06/20 07/06/27    100.000     0.000     1.6108      7.83   0.044743   0.045104   0.045467   0.045833  0.046202     16.30    16.56
Morgan Stanley Finance   61771EJJ8 11/12/20 11/10/22    100.000     0.000     0.4618      0.63   0.012829   0.012858   0.012888   0.012918                4.63     3.99
Morgan Stanley Finance   61771V3Q1 07/06/21 07/06/26    100.000     0.000     1.4969                                   0.041582   0.041893  0.042206      7.28    15.13
Morgan Stanley Finance   61771V3W8 06/30/21 06/29/28    100.000     0.000     1.9839                        0.055108   0.055652   0.056204  0.056762      9.98    20.14
Morgan Stanley Finance   61771V4J6 06/23/21 06/22/28    100.000     0.000     1.8975                        0.052710   0.053207   0.053712  0.054221      9.91    19.25
Morgan Stanley Finance   61771V4K3 06/23/21 12/23/26    100.000     0.000     1.5784                        0.043846   0.044192   0.044540  0.044892      8.25    15.98
Morgan Stanley Finance   61771VD49 05/26/21 05/25/28    100.000     0.000     1.9994                        0.055539   0.056091   0.056652  0.057219     11.96    20.33
Morgan Stanley Finance   61771VFW5 03/31/21 03/30/28    100.000     0.000     2.1048                        0.058467   0.059082   0.059704  0.060332     15.90    21.50
Morgan Stanley Finance   61771VQW3 04/30/21 05/02/28    100.000     0.000     2.0160             0.056000   0.056007   0.056571   0.057141  0.057717     13.53    20.54
Morgan Stanley Finance   61771VSJ0 04/28/21 04/27/28    100.000     0.000     1.9961                        0.055448   0.055998   0.056557  0.057121     13.51    20.33
Morgan Stanley Finance   61771VSK7 04/28/21 10/28/26    100.000     0.000     1.6286                        0.045238   0.045606   0.045978  0.046352     11.02    16.53
Morgan Stanley Finance   61771VVY3 04/30/21 04/28/28    100.000     0.000     2.0160                        0.056000   0.056559   0.057129  0.057705     13.53    20.54
Morgan Stanley Finance   61771VX54 05/28/21 05/31/28    100.000     0.000     1.9431             0.053975   0.053980   0.054505   0.055034  0.055569     11.51    19.75
Morgan Stanley Finance   61771VXF2 06/02/21 06/01/26    100.000     0.000     1.4602                        0.040562   0.040857   0.041155  0.041455      8.49    14.78
Morgan Stanley Finance   61771VXK1 05/28/21 05/31/28    100.000     0.000     1.9431             0.053975   0.053980   0.054505   0.055034  0.055569     11.51    19.75
Morgan Stanley Finance   61772X220 05/05/21 05/03/28    100.000     0.000     2.0240                        0.056222   0.056785   0.057360  0.057940     13.30    20.61
Morgan Stanley Finance   61772X659 06/03/21 06/05/28    100.000     0.000     1.9849             0.055137   0.055143   0.055690   0.056243  0.056801     11.48    20.18
Morgan Stanley Finance   61772X691 06/03/21 06/05/28    100.000     0.000     1.9849             0.055137   0.055143   0.055690   0.056243  0.056801     11.48    20.18
Morgan Stanley Finance   61772Y145 07/06/21 07/06/28    100.000     0.000     1.9323                                   0.053674   0.054193  0.054716      9.39    19.60
Morgan Stanley Finance   61772Y475 08/04/21 08/03/28    100.000     0.000     1.7696                                   0.049156   0.049588  0.050027      7.23    17.90
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Morgan Stanley Finance   61773FAG8 06/30/21 06/30/28    100.000     0.000     1.9839                        0.055108   0.055655   0.056207  0.056765      9.98    20.14
Morgan Stanley Finance   61773FCU5 07/30/21 08/01/28    100.000     0.000     1.7934                        0.049816   0.049818   0.050265  0.050715      7.52    18.15
Morgan Stanley Finance   61773FDC4 08/04/21 08/04/26    100.000     0.000     1.7696                                   0.049157   0.049592  0.050030      7.23    17.90
Morgan Stanley Finance   61773FDU4 07/28/21 07/27/28    100.000     0.000     1.8084                                   0.050235   0.050686  0.051145      7.69    18.31
Morgan Stanley Finance   61773FDV2 07/28/21 01/28/27    100.000     0.000     1.4801                                   0.041115   0.041419  0.041725      6.29    14.95
Multnomah County, OR     625506HP8 12/08/99 06/01/21     19.568     0.000     7.7401    773.27   0.206992                                                31.05         
Multnomah County, OR     625506HQ6 12/08/99 06/01/22     18.137     0.000     7.7401    716.72   0.191855   0.199280   0.206992                          70.86    31.05
Multnomah County, OR     625506HR4 12/08/99 06/01/23     16.811     0.000     7.7400    664.31   0.177823   0.184705   0.191853   0.199277  0.206990     65.68    70.86
Multnomah County, OR     625506HS2 12/08/99 06/01/24     15.582     0.000     7.7399    615.73   0.164818   0.171196   0.177821   0.184703  0.191851     60.87    65.68
Multnomah County, OR     625506HT0 12/08/99 06/01/25     14.442     0.000     7.7401    570.70   0.152767   0.158679   0.164820   0.171199  0.177824     56.42    60.87
Multnomah County, OR     625506HU7 12/08/99 06/01/26     13.386     0.000     7.7400    528.97   0.141595   0.147075   0.152766   0.158679  0.164819     52.30    56.42
Multnomah County, OR     625506HV5 12/08/99 06/01/27     12.407     0.000     7.7400    490.28   0.131241   0.136320   0.141595   0.147075  0.152767     48.47    52.30
Multnomah County, OR     625506HW3 12/08/99 06/01/28     11.500     0.000     7.7400    454.43   0.121642   0.126350   0.131240   0.136319  0.141594     44.93    48.47
Multnomah County, OR     625506HX1 12/08/99 06/01/29     10.659     0.000     7.7400    421.20   0.112747   0.117110   0.121643   0.126350  0.131240     41.64    44.93
Multnomah County, OR     625506HY9 12/08/99 06/01/30      9.879     0.000     7.7401    390.40   0.104503   0.108547   0.112748   0.117112  0.121644     38.60    41.64
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000     0.8138     97.13   0.022062   0.022152   0.022242   0.022333  0.022424      7.96     8.03
National Rural Utilities 637432LK9 02/06/08 12/15/21     89.231     0.000     0.8239     99.87   0.022698   0.022791                                      7.82         
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000     0.8539    102.40   0.023319   0.023418   0.023518   0.023619                8.42     8.11
Natixis US MTN LLC       63873HJP0 12/27/13 12/27/21    100.000     0.000     3.3519             0.117502   0.119472                                     42.19         
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES     4.8026             0.117860   0.118549   0.119256   0.119979  0.120720     42.56    43.07
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES     4.2419             0.102314   0.102457   0.102719   0.102986  0.103258     36.88    37.06
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES     4.2606             0.106287   0.107008   0.107744   0.108497  0.109266     38.61    39.15
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES     4.2409             0.102731   0.102908   0.103190   0.103477  0.103771     37.04    37.24
Natixis US MTN LLC       63873HKX1 01/30/14 01/31/22    100.000     0.000     3.4392             0.116658   0.120631   0.120705                          43.92     3.62
Natixis US Medium Term   63873HLN2 08/29/13 08/29/33    100.000    VARIES     4.5781             0.114981   0.116296   0.116356   0.117711  0.117795     42.38    42.90
Natixis US Medium        63873HLU6 07/31/14 07/31/34    100.000    VARIES     3.9932             0.104287   0.104541   0.104799   0.105028  0.105262     37.67    37.84
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES     4.5708             0.106405   0.106913   0.107433   0.107964  0.108508     38.46    38.84
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES     4.5649             0.112205   0.112831   0.113470   0.114125  0.114794     40.55    41.01
NEW CANEY TEX INDPT SCH  643154GP6 09/24/20 02/15/23     98.305     0.000     0.7160      1.90   0.019552   0.019607   0.019677   0.019748  0.019818      7.07     7.12
NEW CANEY TEX INDPT SCH  643154GQ4 09/24/20 02/15/24     96.820     0.000     0.9550      2.49   0.025685   0.025781   0.025904   0.026028  0.026152      9.29     9.38
NEW CANEY TEX INDPT SCH  643154GR2 09/24/20 02/15/25     95.484     0.000     1.0550      2.71   0.027981   0.028097   0.028245   0.028394  0.028544     10.13    10.24
NEW CANEY TEX INDPT SCH  643154GS0 09/24/20 02/15/26     93.251     0.000     1.3001      3.27   0.033677   0.033849   0.034069   0.034290  0.034513     12.21    12.37
NEW CANEY TEX INDPT SCH  643154GT8 09/24/20 02/15/27     91.352     0.000     1.4201      3.50   0.036035   0.036236   0.036493   0.036752  0.037013     13.07    13.25
NEW HOPE CULTURAL ED FAC 64542UFK5 03/04/20 01/01/22     99.559     3.750     4.0028      1.96   0.006750   0.006885                                      2.45         
NJ Econ Dev Auth         64578JAM8 09/07/07 07/01/21     41.265     0.000     6.5093    555.83   0.175113                                                31.52         
NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000     6.4993    520.92   0.164020   0.169351   0.174854                          60.01    31.47
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000     6.5093    488.99   0.154057   0.159071   0.164248   0.169594               56.36    60.09
New Jersey Economic      645913AZ7 06/30/97 02/15/21     17.088     0.000     7.6195    820.15   0.203885                                                 8.97         
New Jersey Economic      645913BA1 06/30/97 02/15/22     15.838     0.000     7.6245    761.19   0.189305   0.196522   0.204014                          71.45     8.98
New Jersey Economic      645913BB9 06/30/97 02/15/23     14.678     0.000     7.6295    706.41   0.175751   0.182455   0.189416   0.196641  0.204143     66.34    71.49
New Jersey Economic      645913BC7 06/30/97 02/15/24     13.601     0.000     7.6347    655.51   0.163154   0.169383   0.175849   0.182561  0.189530     61.58    66.37
New Jersey Economic      645913BD5 06/30/97 02/15/25     12.602     0.000     7.6398    608.21   0.151445   0.157230   0.163236   0.169471  0.175945     57.16    61.62
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
New Jersey Economic      645913BE3 06/30/97 02/15/26     11.676     0.000     7.6447    564.27   0.140559   0.145931   0.151509   0.157300  0.163313     53.06    57.19
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800     7.2575     78.99   0.028347   0.029376   0.030442   0.031546  0.032691     10.61    11.40
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000     6.4399    623.57   0.162663   0.167900   0.173307                          60.46    15.60
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000     6.4699    586.34   0.153272   0.158231   0.163349   0.168634  0.174089     56.98    60.72
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000     6.4900    550.73   0.144164   0.148843   0.153672   0.158659  0.163808     53.60    57.13
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000     6.5100    517.07   0.135543   0.139955   0.144511   0.149215  0.154071     50.40    53.73
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000     6.5299    485.28   0.127386   0.131546   0.135841   0.140276  0.144856     47.37    50.51
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000     6.5499    455.26   0.119673   0.123593   0.127640   0.131820  0.136137     44.50    47.47
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000     6.5600    426.89   0.112294   0.115978   0.119782   0.123711  0.127768     41.76    44.55
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000     6.5700    400.20   0.105349   0.108810   0.112384   0.116076  0.119889     39.18    41.80
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000     6.5800    375.11   0.098813   0.102064   0.105422   0.108891  0.112473     36.75    39.21
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000     6.5901    351.53   0.092666   0.095719   0.098873   0.102131  0.105496     34.47    36.78
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000     6.5900    329.46   0.086848   0.089709   0.092665   0.095719  0.098873     32.30    34.47
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000     6.5899    308.78   0.081395   0.084077   0.086848   0.089709  0.092665     30.28    32.30
City of Newark, NJ       650367KM6 01/29/13 04/01/21     97.005     3.305     3.7336     28.90   0.011687                                                 1.05         
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES     4.5379             0.098118   0.098940   0.099780   0.101092  0.102435     35.47    36.16
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES     5.5492             0.127925   0.129853   0.131835   0.133872  0.135965     46.54    47.98
Nomura America Finance   65539AAL4 12/22/10 12/22/25*   100.000    VARIES     5.9587             0.135886                                                11.01*        
Nomura America Finance   65539AAX8 06/29/11 06/29/21    100.000    VARIES     2.3555             0.016725                                                 2.98         
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES     4.5092             0.096214   0.095303   0.097567   0.096664  0.099465     35.12    35.68
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES     3.7543             0.090546   0.090664   0.090785   0.090907  0.091173     32.63    32.72
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES     4.2954             0.080217   0.080939   0.081677   0.082430  0.083200     29.23    29.77
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES     2.8015             0.072805   0.073191   0.073582   0.073978  0.074380     26.28    26.57
Nomura America Finance   65539ACG3 01/22/16 01/22/23    103.000     0.125     3.0300    164.61   0.098751   0.100195   0.101660   0.103148  0.104658     36.27    37.34
NORTHMONT OHIO CITY SCH  666586LX8 07/22/20 11/01/27     86.846     0.000     1.9479      7.49   0.047242   0.047702   0.048167   0.048636  0.049109     17.15    17.48
NORTHMONT OHIO CITY SCH  666586LY6 07/22/20 11/01/28     83.705     0.000     2.1609      8.01   0.050543   0.051089   0.051641   0.052199  0.052763     18.36    18.76
NORTHMONT OHIO CITY SCH  666586LZ3 07/22/20 11/01/29     81.177     0.000     2.2609      8.13   0.051299   0.051878   0.052465   0.053058  0.053658     18.64    19.07
NORTHMONT OHIO CITY SCH  666586MA7 07/22/20 11/01/30     78.570     0.000     2.3609      8.21   0.051861   0.052474   0.053093   0.053720  0.054354     18.85    19.30
NORTHMONT OHIO CITY SCH  666586MB5 07/22/20 11/01/31     75.897     0.000     2.4609      8.27   0.052233   0.052876   0.053527   0.054185  0.054852     19.00    19.47
NORTHRIDGE OHIO LOC SCH  666705GM4 02/10/21 12/01/35     64.917     0.000     2.9389             0.052996   0.053476   0.054262   0.055059  0.055868     17.14    19.73
NORTHRIDGE OHIO LOC SCH  666705GN2 02/10/21 12/01/36     62.076     0.000     3.0389             0.052401   0.052891   0.053695   0.054511  0.055339     16.95    19.53
NORTHRIDGE OHIO LOC SCH  666705GP7 02/10/21 12/01/37     59.656     0.000     3.0969             0.051319   0.051809   0.052611   0.053426  0.054253     16.60    19.14
NORTHRIDGE OHIO LOC SCH  666705GQ5 02/10/21 12/01/38     57.346     0.000     3.1468             0.050128   0.050614   0.051410   0.052219  0.053041     16.22    18.70
NORTHWEST OHIO LOC SCH D 667712CN1 11/15/19 12/01/38     49.534     0.000     3.7230     21.06   0.053239   0.054230   0.055239   0.056267  0.057315     19.40    20.13
NORTHWEST OHIO LOC SCH D 667712CP6 11/15/19 12/01/39     47.272     0.000     3.7730     20.37   0.051517   0.052489   0.053479   0.054488  0.055516     18.78    19.50
NORTHWEST OHIO LOC SCH D 667712CQ4 11/15/19 12/01/40     45.070     0.000     3.8230     19.68   0.049794   0.050746   0.051716   0.052704  0.053711     18.15    18.86
Novellus Systems, Inc.   670008AC5 05/10/11 05/15/41*   100.000    VARIES     8.1005             0.396680   0.409793                                     55.61*        
Novellus Systems, Inc.   670008AD3 05/10/11 05/15/41*   100.000    VARIES     8.1005             0.396680   0.409793                                     55.61*        
NUTRIEN LTD              67077MAD0 04/10/18 04/01/25     94.730     3.000     3.8693     18.94   0.020322   0.020716   0.021116   0.021525  0.021941      7.46     7.75
NUTRIEN LTD              67077MAE8 04/10/18 12/15/26     97.410     4.000     4.3616      7.12   0.007753   0.007922   0.008095   0.008271  0.008451      2.83     2.95
NUTRIEN LTD              67077MAJ7 04/10/18 10/01/22     98.300     3.150     3.5643     10.03   0.010724   0.010915   0.011110   0.011308                3.93     3.04
NUTRIEN LTD              67077MAK4 04/10/18 06/01/23*    98.160     3.500     3.8983      9.30   0.010046   0.010242   0.010442                           3.51*        
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
NUTRIEN LTD              67077MAL2 04/10/18 03/15/25*    96.240     3.375     4.0016     13.57   0.014562   0.014854   0.015151                           5.13*        
Nuverra Environmental    67091KAA2 04/15/16 04/15/21     36.385    VARIES        N/A   1097.86   1.033132                                               107.45         
OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36     49.134     0.000     4.2087     27.08   0.060038   0.061302   0.062592   0.063909  0.065254     22.05    22.99
Orange County, CA        68428LCD4 01/17/97 09/01/21     15.306     0.000     7.7695    797.55   0.199979   0.207748                                     49.39         
Oregon Community College 68583RAT9 04/23/03 06/30/21     32.815     0.000     6.2213    641.85   0.167601                                                30.00         
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000     6.2613    605.47   0.158562   0.163526   0.168646                          57.99    30.19
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000     6.2713    569.62   0.149283   0.153964   0.158792   0.163771  0.168907     54.59    58.07
Oregon School Boards     686053CL1 04/21/03 06/30/21     32.815     0.000     6.2194    641.86   0.167550                                                29.99         
Oregon School Boards     686053CM9 04/21/03 06/30/22     30.636     0.000     6.2595    605.49   0.158520   0.163481   0.168598                          57.97    30.18
Oregon School Boards     686053CN7 04/21/03 06/30/23     28.748     0.000     6.2695    569.66   0.149248   0.153926   0.158752   0.163728  0.168861     54.58    58.06
PIC AU HOLDINGS LLC      69291BAA6 01/29/21 12/31/24     91.510    10.000    12.8220             0.048150   0.050740   0.053993   0.057454  0.061137     16.46    20.07
PDL BIOPHARMA INC        69329YAJ3 09/17/19 12/01/24     98.000     2.750     5.4000     33.56   0.075428   0.077467   0.079560   0.081710  0.083917     27.64    29.16
PALMER TEX INDPT SCH DIS 696888HJ8 11/19/20 08/01/24     96.974     0.000     0.8321      0.94   0.022415   0.022453   0.022546   0.022640  0.022734      8.10     8.16
PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25     95.500     0.000     0.9820      1.09   0.026050   0.026101   0.026230   0.026358  0.026488      9.41     9.50
PALMER TEX INDPT SCH DIS 696888HL3 11/19/20 08/01/26     93.646     0.000     1.1550      1.26   0.030044   0.030114   0.030288   0.030462  0.030638     10.86    10.99
PALMER TEX INDPT SCH DIS 696888HM1 11/19/20 08/01/27     91.653     0.000     1.3051      1.40   0.033226   0.033313   0.033530   0.033749  0.033969     12.02    12.18
PAMPA TEX INDPT SCH DIST 697685FC4 02/16/21 08/15/29     87.041     0.000     1.6401                        0.039653   0.039977   0.040304  0.040635     12.53    14.54
PAMPA TEX INDPT SCH DIST 697685FD2 02/16/21 08/15/30     84.430     0.000     1.7900                        0.041981   0.042355   0.042734  0.043116     13.27    15.42
PAMPA TEX INDPT SCH DIST 697685FE0 02/16/21 08/15/31     81.485     0.000     1.9600                        0.044364   0.044797   0.045236  0.045679     14.03    16.33
PARAMOUNT CALIF UNI SCH  699211PU6 12/10/20 08/01/41     46.709     0.000     3.7216      1.01   0.048287   0.048542   0.049445   0.050365  0.051302     17.60    18.24
PARAMOUNT CALIF UNI SCH  699211PV4 12/10/20 08/01/47     36.281     0.000     3.8417      0.81   0.038716   0.038927   0.039675   0.040437  0.041214     14.12    14.65
PARKER CNTY TEX          701060KL8 12/01/20 02/15/23     98.200     0.000     0.8252      0.68   0.022509   0.022547   0.022640   0.022733  0.022827      8.13     8.19
PARKER CNTY TEX          701060KM6 12/01/20 02/15/24     96.649     0.000     1.0660      0.86   0.028619   0.028682   0.028835   0.028988  0.029143     10.34    10.45
PEABODY ENERGY CORP      704551AB6 01/29/21 12/31/24     78.890     8.500    15.6223             0.175678   0.185442   0.197822   0.211142  0.225477     60.10    73.64
Peoria County SD #325, I 713165FL7 09/04/13 12/01/21    107.288    VARIES     4.1865             0.117490   0.116897                                     38.67         
Philadelphia Authority   71781LAP4 02/03/99 04/15/24     19.046     0.000     6.6895    615.05   0.147596   0.152532   0.157634   0.162907  0.168356     54.79    58.51
Philadelphia Authority   71781LAZ2 02/03/99 04/15/21     23.403     0.000     6.6495    747.38   0.178765                                                18.59         
Philadelphia Authority   71781LBA6 02/03/99 04/15/22     21.872     0.000     6.6595    700.43   0.167672   0.173256   0.179024                          62.23    18.62
Philadelphia Authority   71781LBB4 02/03/99 04/15/23     20.437     0.000     6.6695    656.31   0.157239   0.162482   0.167901   0.173500  0.179285     58.36    62.32
Philadelphia Authority   71781LBC2 02/03/99 04/15/25     17.878     0.000     6.6796    575.74   0.138051   0.142662   0.147426   0.152350  0.157438     51.24    54.72
Philadelphia Authority   71781LBD0 02/03/99 04/15/26     16.697     0.000     6.6896    539.21   0.129397   0.133725   0.138198   0.142820  0.147597     48.03    51.30
Piatt and Champaign Coun 719457BX0 02/25/16 12/01/21    102.646     3.250     2.7507    135.65   0.076783   0.076597                                     25.30         
Pike & Calhoun CNTYS, IL 721068BF0 08/08/13 12/01/23    111.543    VARIES     4.3459             0.120998   0.120178   0.119341   0.118486               43.36    39.23
Pike & Calhoun CNTYS, IL 721068BG8 08/08/13 12/01/24    110.329    VARIES     4.5669             0.124919   0.124156   0.123377   0.122580               44.79    40.57
Pike & Calhoun CNTYS, IL 721068BH6 08/08/13 12/01/25    109.132    VARIES     4.7572             0.128809   0.128108   0.127392   0.126659               46.20    41.91
Pike & Calhoun CNTYS, IL 721068BJ2 08/08/13 12/01/26    108.343    VARIES     4.8857             0.131389   0.130733   0.130061   0.129374               47.14    42.80
Pike & Calhoun CNTYS, IL 721068BK9 08/08/13 12/01/27    106.399    VARIES     5.1092             0.137800   0.137265   0.136717   0.136155               49.48    45.02
Pike & Calhoun CNTYS, IL 721068BL7 08/08/13 12/01/28    106.016    VARIES     5.1714             0.139072   0.138563   0.138041   0.137507               49.94    45.46
Pike & Calhoun CNTYS, IL 721068BM5 08/08/13 12/01/29    104.498    VARIES     5.3285             0.144146   0.143746   0.143336   0.142916               51.80    47.23
PIQUA OHIO CITY SCH DIST 724190EW9 02/13/20 12/01/23     92.646     0.000     2.0199     16.61   0.052826   0.053360   0.053899   0.054443  0.054993     19.15    19.53
PIQUA OHIO CITY SCH DIST 724190EX7 02/13/20 12/01/25     87.728     0.000     2.2699     17.69   0.056324   0.056963   0.057610   0.058264  0.058925     20.43    20.90
Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25    100.000    VARIES     7.7501             0.501868   0.517478   0.533670   0.550468  0.567894    186.85   198.77
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25    100.000    VARIES     7.7501             0.501868   0.517478   0.533670   0.550468  0.567894    186.85   198.77
PORT ARTHUR TEX INDPT SC 733505TV3 10/29/20 02/15/25     95.741     0.000     1.0160      1.68   0.027020   0.027101   0.027238   0.027377  0.027516      9.77     9.87
PORT ARTHUR TEX INDPT SC 733505TW1 10/29/20 02/15/26     93.487     0.000     1.2760      2.05   0.033136   0.033261   0.033473   0.033686  0.033901     12.00    12.15
PORT ARTHUR TEX INDPT SC 733505TX9 10/29/20 02/15/27     91.730     0.000     1.3760      2.17   0.035061   0.035203   0.035446   0.035689  0.035935     12.70    12.87
PORT ARTHUR TEX INDPT SC 733505TY7 10/29/20 02/15/28     88.383     0.000     1.7000      2.59   0.041737   0.041945   0.042302   0.042662  0.043024     15.14    15.39
PORT ARTHUR TEX INDPT SC 733505TZ4 10/29/20 02/15/29     86.188     0.000     1.8000      2.67   0.043093   0.043322   0.043712   0.044105  0.044502     15.64    15.91
PORT ARTHUR TEX INDPT SC 733505UA7 10/29/20 02/15/30     83.881     0.000     1.9000      2.74   0.044270   0.044518   0.044941   0.045368  0.045799     16.07    16.37
PORT ARTHUR TEX INDPT SC 733505UM1 10/29/20 02/15/31     81.475     0.000     2.0000      2.81   0.045263   0.045529   0.045985   0.046445  0.046909     16.44    16.76
Presidio Independent     741020EF4 05/14/98 02/15/21     19.782     0.000     7.2494    793.63   0.194327                                                 8.55         
Presidio Independent     741020EG2 05/14/98 02/15/22     18.422     0.000     7.2494    739.08   0.180972   0.187532   0.194329                          68.15     8.55
Pride International      741932AE7 01/16/01 01/16/21     60.841     0.000     2.5000    390.56   0.068588                                                 1.03         
PRINCETON OHIO CITY SCH  742327FJ3 12/18/19 12/01/35     57.808     0.000     3.4650     20.97   0.057492   0.058488   0.059502   0.060532  0.061581     20.94    21.67
PRINCETON OHIO CITY SCH  742327FK0 12/18/19 12/01/36     55.393     0.000     3.5149     20.38   0.055911   0.056893   0.057893   0.058910  0.059946     20.36    21.09
PRINCETON TEX INDPT SCH  742395VN3 05/06/21 02/15/23     99.024     0.000     0.5533                        0.015219   0.015242   0.015284  0.015326      3.58     5.51
PRINCETON TEX INDPT SCH  742395VP8 05/06/21 02/15/24     97.733     0.000     0.8280                        0.022478   0.022529   0.022622  0.022716      5.29     8.15
PRINCETON TEX INDPT SCH  742395VQ6 05/06/21 02/15/25     95.336     0.000     1.2691                        0.033609   0.033726   0.033940  0.034156      7.91    12.24
PRINCETON TEX INDPT SCH  742395VR4 05/06/21 02/15/26     93.692     0.000     1.3691                        0.035632   0.035766   0.036010  0.036257      8.39    12.99
PRINCETON TEX INDPT SCH  742395VS2 05/06/21 02/15/27     90.505     0.000     1.7349                        0.043615   0.043823   0.044203  0.044586     10.28    15.95
PRINCETON TEX INDPT SCH  742395VT0 05/06/21 02/15/28     87.768     0.000     1.9349                        0.047174   0.047425   0.047884  0.048347     11.12    17.28
PRINCETON TEX INDPT SCH  742395VU7 05/06/21 02/15/29     84.864     0.000     2.1219                        0.050020   0.050311   0.050845  0.051385     11.79    18.35
PRINCETON TEX INDPT SCH  742395VV5 05/06/21 02/15/30     82.373     0.000     2.2219                        0.050840   0.051151   0.051719  0.052294     11.99    18.67
PRINCETON TEX INDPT SCH  742395VW3 05/06/21 02/15/31     79.798     0.000     2.3219                        0.051467   0.051795   0.052397  0.053005     12.14    18.92
PUBLIC FIN AUTH WIS HEAL 74444KAM6 12/23/19 11/01/24     98.973     6.750     7.0031      1.89   0.005338   0.005525   0.005718   0.005919  0.006126      1.98     2.12
Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40     82.961     4.550     5.9712      7.94   0.012534   0.012908   0.013293   0.013690                4.58     4.86
Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53     81.968     4.750     5.9941      3.21   0.005069   0.005221   0.005378   0.005539                1.85     1.96
Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58     83.618     5.000     6.1032      2.03   0.003215   0.003314   0.003415   0.003519                1.18     1.25
Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40     82.961     4.550     5.9712      7.94   0.012534   0.012908   0.013293   0.013690                4.58     4.86
Quicksilver Resources In 74837RAA2 11/01/04 11/01/24     98.500    VARIES     6.7503             0.427964   0.440144   0.452717   0.465696  0.479093    157.74   166.90
Quicksilver Resources In 74837RAB0 11/01/04 11/01/24     98.500    VARIES     6.7503             0.427964   0.440144   0.452717   0.465696  0.479093    157.74   166.90
Randolph & Perry CNTYS   752368BB5 05/16/13 12/01/21    108.667    VARIES     3.3340             0.093665   0.093142                                     30.82         
Randolph & Perry CNTYS   752368BC3 05/16/13 12/01/22    107.818    VARIES     3.5344             0.099992   0.099550   0.099101   0.098643               35.89    32.62
Randolph County, IL      752535DP6 01/30/13 12/01/21     72.328     0.000     3.6997    243.70   0.099070   0.100903                                     33.02         
Randolph County, IL      752535DQ4 01/30/13 12/01/22     68.391     0.000     3.8997    244.76   0.100273   0.102228   0.104221   0.106253               36.57    34.76
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES     8.7500             0.738296   0.766342   0.795580   0.826058  0.857828    276.91   298.49
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES     8.7500             0.738296   0.766342   0.795580   0.826058  0.857828    276.91   298.49
Reliant Energy, Inc.     75952J207 09/21/99 09/15/29    100.000     2.000     9.8184             1.678493   1.758166   1.841750   1.929438  2.021430    635.90   697.86
City of Reno, NV         759830AR3 09/22/16 06/01/21     98.102     2.000     2.4304     17.21   0.011813                                                 1.77         
City of Reno, NV         759830AS1 09/22/16 06/01/22     98.689     2.500     2.7504      9.66   0.006676   0.006768   0.006861                           2.43     1.03
City of Reno, NV         759830AT9 09/22/16 06/01/25     97.746     3.000     3.3004     10.29   0.007201   0.007320   0.007441   0.007564  0.007689      2.62     2.71
RIVERSIDE OHIO LOC SCH D 769229CY9 12/30/19 10/01/39     46.260     0.000     3.9408     18.51   0.052151   0.053179   0.054227   0.055295  0.056385     19.15    19.91
RIVERSIDE OHIO LOC SCH D 769229CZ6 12/30/19 10/01/40     44.039     0.000     3.9908     17.85   0.050296   0.051300   0.052323   0.053367  0.054432     18.47    19.21
RIVERSIDE OHIO LOC SCH D 769229DA0 12/30/19 10/01/41     41.883     0.000     4.0409     17.19   0.048452   0.049431   0.050430   0.051449  0.052488     17.80    18.52
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
RIVERSIDE OHIO LOC SCH D 769229DB8 12/30/19 10/01/42     39.795     0.000     4.0908     16.53   0.046622   0.047576   0.048549   0.049542  0.050555     17.13    17.84
ROBINSON TEX INDPT SCH D 770842QF2 10/01/20 08/15/25     95.473     0.000     0.9531      2.27   0.025275   0.025365   0.025486   0.025607  0.025729      9.14     9.23
ROBINSON TEX INDPT SCH D 770842QG0 10/01/20 08/15/26     93.215     0.000     1.2000      2.80   0.031073   0.031211   0.031399   0.031587  0.031777     11.26    11.39
ROBSTOWN TEX INDPT SCH D 771146YV3 05/12/21 02/15/26     93.224     0.000     1.4799                        0.038322   0.038469   0.038753  0.039040      8.80    13.98
ROBSTOWN TEX INDPT SCH D 771146YW1 05/12/21 02/15/27     90.041     0.000     1.8299                        0.045769   0.045986   0.046406  0.046831     10.51    16.75
ROCKFORD ILL PK DIST     773182XJ4 06/09/20 12/15/21    100.000     2.000     1.9930     11.20   0.055931   0.055363                                     19.14         
ROCKWALL TEX INDPT SCH D 774286AP3 09/17/20 02/15/22     99.237     0.000     0.5435      1.56   0.014982   0.015015   0.015056                           5.41     0.66
ROCKWALL TEX INDPT SCH D 774286AQ1 09/17/20 02/15/23     98.414     0.000     0.6641      1.89   0.018155   0.018205   0.018265   0.018326  0.018387      6.56     6.60
ROCKWALL TEX INDPT SCH D 774286AR9 09/17/20 02/15/24     97.085     0.000     0.8691      2.44   0.023438   0.023522   0.023624   0.023727  0.023830      8.48     8.55
ROCKWALL TEX INDPT SCH D 774286AS7 09/17/20 02/15/25     95.825     0.000     0.9691      2.68   0.025796   0.025898   0.026024   0.026150  0.026277      9.34     9.43
ROCKWALL TEX INDPT SCH D 774286AT5 09/17/20 02/15/26     93.705     0.000     1.2051      3.26   0.031369   0.031524   0.031714   0.031905  0.032098     11.37    11.50
ROCKWALL TEX INDPT SCH D 774286AU2 09/17/20 02/15/27     91.998     0.000     1.3051      3.47   0.033352   0.033531   0.033750   0.033970  0.034192     12.09    12.25
ROCKWALL TEX INDPT SCH D 774286AV0 09/17/20 02/15/31     81.236     0.000     2.0059      4.71   0.045264   0.045637   0.046095   0.046557  0.047024     16.48    16.80
ROCKWALL TEX INDPT SCH D 774286AW8 09/17/20 02/15/32     78.736     0.000     2.1059      4.79   0.046059   0.046458   0.046947   0.047441  0.047941     16.77    17.12
Royal Bank of Canada     78008KN33 03/31/11 03/31/21    100.000    VARIES     4.1703             0.115931                                                10.32         
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES     4.0300             0.108943   0.109053   0.109165   0.109279  0.109396     39.27    39.35
Royal Bank of Scotland   78009KNQ1 11/16/10 11/16/30    100.000    VARIES     5.5209             0.148821   0.148994   0.149172   0.149355  0.149543     53.62    53.75
Royal Bank of Scotland   78009KPH9 12/13/10 12/13/28    100.000    VARIES     5.3208             0.140971   0.141319   0.141676   0.142043  0.142419     50.82    51.08
Royal Bank of Scotland   78009KPR7 12/30/10 12/30/30    100.000    VARIES     5.7104             0.153044   0.153255   0.153471   0.153694  0.153924     55.13    55.29
Royal Bank of Scotland   78009KQW5 02/25/11 02/25/31    100.000    VARIES     5.4494             0.144597   0.144841   0.145091   0.145347  0.145611     52.16    52.34
Royal Bank of Scotland   78009KRJ3 03/15/11 03/15/21    100.000    VARIES     5.5247             0.153412                                                11.35         
Royal Bank of Scotland   78009PAM3 05/25/11 05/25/21    100.000    VARIES     4.4729             0.124496                                                17.93         
Royal Bank of Scotland   78009PAP6 06/14/11 06/14/21    100.000    VARIES     2.5505             0.016470                                                 2.68         
Royal Bank of Scotland   78009PBD2 07/21/11 07/21/21    100.000    VARIES     2.8322             0.022475   0.022794                                      4.55         
Royal Bank of Scotland   78009PBK6 08/26/11 08/26/31    100.000    VARIES     4.7435             0.132433   0.133852   0.135304   0.136791  0.138313     48.29    49.35
Royal Bank of Canada     78009Q489 09/26/13 09/26/22    100.000     0.000     3.5770             0.127350   0.129628   0.131947   0.134306               46.69    35.39
Royal Bank of Canada     78010UDU8 02/28/14 02/28/34    100.000    VARIES     4.0700             0.101249   0.099908   0.101885   0.100547  0.102548     36.79    37.02
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES     3.5597             0.096598   0.096714   0.096832   0.096953  0.097075     34.80    34.88
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES     3.6300             0.096468   0.096589   0.096713   0.096838  0.096966     34.77    34.86
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES     3.3500             0.088842   0.088961   0.089082   0.089205  0.089331     32.01    32.10
Royal Bank of Canada     78010UWU7 12/23/14 12/23/24    100.000    VARIES     2.8500             0.078730   0.078782   0.078835   0.078888  0.078942     28.35    28.39
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES     3.4100             0.087964   0.088146   0.088332   0.088520  0.088712     31.70    31.83
Royal Bank of Canada     78012KP84 05/18/17 02/21/23    100.000     0.000     2.4412     91.83   0.073391   0.074286   0.075193   0.076111  0.077040     26.82    27.47
Royal Bank of Canada     78012KT64 05/31/17 06/01/23    100.000     0.000     2.5535     95.27   0.077522   0.078512   0.079514   0.080529  0.081558     28.15    28.87
Royal Bank of Canada     78013GJR7 10/18/17 10/18/23    100.000     0.000     2.1352     70.41   0.063214   0.063889   0.064571   0.065260  0.065957     22.98    23.47
Royal Bank of Canada     78013Q152 02/05/18 02/03/21    100.000     0.000     2.7735     83.34   0.082523                                                 2.64         
Royal Bank of Canada     78013X3E6 03/29/19 03/31/22    100.000     0.000     2.7531     49.20   0.079682   0.080779   0.081891                          29.08     7.29
Royal Bank of Canada     78013X3H9 03/29/19 03/30/23    100.000     0.000     2.8294     50.59   0.081984   0.083144   0.084321   0.085513  0.086723     29.94    30.79
Royal Bank of Canada     78013X4T2 04/30/19 04/28/23    100.000     0.000     2.9042     49.34   0.084226   0.085449   0.086690   0.087948  0.089225     30.70    31.59
Royal Bank of Canada     78013X5E4 04/30/19 05/01/23    100.000     0.000     2.8548     48.48   0.082750   0.083931   0.085129   0.086344  0.087577     30.15    31.01
Royal Bank of Canada     78013X6W3 05/31/19 06/01/23    100.000     0.000     2.5276     40.66   0.072913   0.073834   0.074768   0.075712  0.076669     26.47    27.14
Royal Bank of Canada     78013XBL1 12/29/17 12/30/22    100.000     0.000     2.7655     86.05   0.083422   0.084576   0.085745   0.086931               30.24    31.00
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Royal Bank of Canada     78013XCS5 01/31/18 01/31/23    100.000     0.000     3.0653     92.89   0.091876   0.093284   0.094714   0.096165  0.097639     33.76    34.80
Royal Bank of Canada     78013XF45 09/28/18 09/29/22    100.000     0.000     3.5421     82.56   0.105561   0.107431   0.109333   0.111270               38.69    29.65
Royal Bank of Canada     78013XF52 09/28/18 09/29/22    100.000     0.000     3.5746     83.35   0.106597   0.108502   0.110441   0.112415               39.07    29.95
Royal Bank of Canada     78013XFK9 02/28/18 02/28/23    100.000     0.000     3.2254     95.22   0.097055   0.098620   0.100211   0.101827  0.103469     35.61    36.77
Royal Bank of Canada     78013XGY8 03/29/18 03/30/23    100.000     0.000     3.2987     94.38   0.099450   0.101091   0.102758   0.104453  0.106176     36.40    37.61
Royal Bank of Canada     78013XJD1 04/30/18 07/28/22    100.000     0.000     3.5027     97.19   0.105186   0.107028   0.108903   0.110810               38.77    22.89
Royal Bank of Canada     78013XJZ2 05/31/18 06/03/22    100.000     0.000     3.1800     85.03   0.095609   0.097129   0.098673                          34.78    15.00
Royal Bank of Canada     78013XKR8 05/31/18 06/03/22    100.000     0.000     3.1798     85.03   0.095602   0.097122   0.098666                          34.78    15.00
Royal Bank of Canada     78013XL97 10/31/18 10/31/22    100.000     0.000     3.5349     79.02   0.105321   0.107182   0.109076   0.111004               38.48    32.96
Royal Bank of Canada     78013XLY2 06/29/18 06/30/22    100.000     0.000     3.4324     89.01   0.103820   0.105602   0.107415                          37.70    19.23
Royal Bank of Canada     78013XM62 10/31/18 11/02/22    100.000     0.000     3.5454     79.26   0.105675   0.107548   0.109455   0.111395               38.60    33.30
Royal Bank of Canada     78013XMP0 06/29/18 06/30/22    100.000     0.000     3.3884     87.83   0.102381   0.104115   0.105879                          37.17    18.95
Royal Bank of Canada     78013XNY0 07/31/18 07/29/22    100.000     0.000     3.5199     88.11   0.104832   0.106677   0.108554   0.110465               38.64    22.92
Royal Bank of Canada     78013XPT9 07/31/18 07/31/22    100.000     0.000     3.5174     88.05   0.104764   0.106606   0.108481   0.110389               38.61    23.02
Royal Bank of Canada     78013XRF7 08/31/18 08/31/22    100.000     0.000     3.4339     82.82   0.102108   0.103842   0.105644   0.107438               37.50    25.58
Royal Bank of Canada     78013XRM2 11/30/18 11/30/22    100.000     0.000     3.4756     74.55   0.103432   0.105230   0.107058   0.108919               37.67    35.56
Royal Bank of Canada     78013XS33 11/29/18 12/01/22    100.000     0.000     3.4997     75.19   0.104218   0.106042   0.107897   0.109785               37.96    35.95
Royal Bank of Canada     78013XS74 11/29/18 06/01/21    100.000     0.000     3.3356     71.57   0.099012                                                14.85         
Royal Bank of Canada     78013XSJ8 08/31/18 09/01/22    100.000     0.000     3.4206     82.49   0.101696   0.103435   0.105204   0.107003               37.34    25.57
Royal Bank of Canada     78013XSK5 12/03/18 12/02/21    100.000     0.000     3.4932     74.63   0.103983   0.105799                                     34.75         
Royal Bank of Canada     78013XTJ7 12/31/18 07/01/21    100.000     0.000     3.0965     63.47   0.091474                                                16.47         
Royal Bank of Canada     78013XTK4 12/31/18 06/30/22    100.000     0.000     3.2158     65.98   0.095213   0.096744   0.098299                          34.56    17.60
Royal Bank of Canada     78013XUC0 12/24/18 12/23/21    100.000     0.000     3.3631     69.68   0.099855   0.101534                                     35.45         
Royal Bank of Canada     78013XWE4 01/31/19 02/01/24    100.000     0.000     3.6269     71.45   0.106338   0.108266   0.110230   0.112228  0.114264     39.21    40.65
Royal Bank of Canada     78013XWF1 01/31/19 08/02/22    100.000     0.000     3.5183     69.26   0.103000   0.104812   0.106655   0.108532               37.95    22.84
Royal Bank of Canada     78013XWW4 01/31/19 08/02/21    100.000     0.000     3.4352     67.59   0.100444   0.102170                                     21.50         
Royal Bank of Canada     78013XXM5 01/24/19 01/22/21    100.000     0.000     3.4789     69.07   0.101746                                                 2.14         
Royal Bank of Canada     78013XYA0 02/28/19 02/28/25    100.000     0.000     3.2010     60.26   0.093254   0.094746   0.096263   0.097803  0.099369     34.21    35.31
Royal Bank of Canada     78013XYV4 02/28/19 03/02/23    100.000     0.000     3.1550     59.38   0.091885   0.093334   0.094807   0.096302  0.097821     33.69    34.76
Royal Bank of Canada     78014G872 01/04/19 01/05/21    100.000     0.000     3.3158     67.69   0.096772                                                 0.39         
Royal Bank of Canada     78014H235 02/19/19 03/03/21    100.000     0.000     3.0491     58.15   0.088735                                                 5.50         
Royal Bank of Canada     78014RAE0 04/13/18 04/13/28*   100.000    VARIES     3.5146     92.89   0.092917                                                 9.48*        
Royal Bank of Canada     78014RBT6 11/27/19 11/27/34    100.000    VARIES     2.3582     25.70   0.064589   0.064122   0.063650   0.063711  0.063774     23.14    22.93
Royal Bank of Canada     78014RBV1 12/27/19 12/27/34    100.000    VARIES     2.5623     25.81   0.070144   0.069619   0.069088   0.069156  0.069225     25.15    24.88
Royal Bank of Canada     78014RCU2 05/06/20 05/06/22    100.000    VARIES     1.1322      1.87   0.007705   0.007749   0.007794                           2.83     0.97
Royal Bank of Canada     78014RDG2 03/15/21 03/15/41    100.000    VARIES     2.5737                        0.071493   0.069553   0.067589  0.067669     20.24    24.49
Royal Bank of Canada     78014RDL1 04/30/21 04/30/41    100.000    VARIES     2.5777                        0.071601   0.070734   0.069856  0.068966     17.20    25.20
Royal Bank of Canada     78015KDC5 11/29/19 12/01/25    100.000     0.000     2.1621     23.70   0.061371   0.062034   0.062705   0.063383  0.064068     22.25    22.74
ROYSE CITY TEX INDPT SCH 780869VS9 10/08/20 02/15/23     98.369     0.000     0.7001      1.59   0.019130   0.019177   0.019245   0.019312  0.019380      6.91     6.96
SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31    100.000    VARIES     3.8136             0.074117   0.074429   0.074747   0.075070  0.075400     26.83    27.07
SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31    100.000    VARIES     3.8227             0.074849   0.073792   0.072714   0.074104  0.075521     26.43    26.85
SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31    100.000    VARIES     3.8133             0.074557   0.074761   0.074969   0.075181  0.075397     26.94    27.09
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31    100.000    VARIES     3.8090             0.073569   0.074104   0.073832   0.074374  0.074105     26.98    27.08
SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31    100.000    VARIES     4.1899             0.084268   0.083220   0.082151   0.081060  0.082758     29.83    29.47
SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26    100.000    VARIES     4.0468             0.098138   0.099069   0.100019   0.100989  0.102269     35.73    36.46
SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31    100.000    VARIES     4.1578             0.087291   0.084866   0.086247   0.084815  0.086194     31.29    31.21
SG Structured Prods, Inc 78423AG63 03/18/11 03/18/21    100.000    VARIES     4.1694             0.115859                                                 8.92         
SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26    100.000    VARIES     3.9820             0.095402   0.096224   0.097417   0.098633  0.099874     34.68    35.51
SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31    100.000    VARIES     4.2878             0.093544   0.092556   0.091547   0.090515  0.090028     33.32    32.63
SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31    100.000    VARIES     4.1591             0.088549   0.087497   0.086424   0.085328  0.085638     31.56    30.87
SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26    100.000    VARIES     4.1342             0.102257   0.103106   0.103972   0.104856  0.105971     37.07    37.71
SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31    100.000    VARIES     4.0970             0.087927   0.085418   0.085717   0.083199  0.084730     31.56    30.79
SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23    100.000    VARIES     4.1100             0.112268   0.110661   0.112727   0.111122  0.113246     40.70    40.87
SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26    100.000    VARIES     4.1202             0.101224   0.100467   0.103060   0.102311  0.104973     36.87    37.54
SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31    100.000    VARIES     4.0040             0.080776   0.079961   0.079129   0.078280  0.079819     28.93    28.33
SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31    100.000    VARIES     4.0073             0.081823   0.079331   0.079445   0.076945  0.079736     29.40    28.54
SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23    100.000    VARIES     3.9769             0.110573   0.110588   0.110603   0.110619  0.110546     39.81    39.82
SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26    100.000    VARIES     3.9854             0.097277   0.096545   0.099032   0.098306  0.101064     35.37    36.02
SG Structured Products,  78423AYJ5 08/31/10 08/29/25    100.000     0.000     3.6972             0.084108   0.086133   0.087246   0.089347  0.090502     31.46    32.63
SG Structured Prods, Inc 78423EBR4 07/31/12 07/30/32*   100.000    VARIES     2.2858             0.052889                                                 1.53*        
SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32    100.000    VARIES     2.2189             0.052165   0.051446   0.052432   0.051669  0.052618     18.94    19.02
SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27    100.000    VARIES     2.2060             0.055204   0.054458   0.055519   0.054771  0.055840     20.05    20.17
SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32    100.000    VARIES     2.1721             0.051645   0.051855   0.052067   0.052111  0.052156     18.67    18.76
SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27    100.000    VARIES     2.3465             0.059774   0.060164   0.060560   0.060986  0.061417     21.64    21.93
SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32    100.000    VARIES     2.3864             0.057006   0.057083   0.057160   0.057257  0.057356     20.54    20.60
SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32    100.000    VARIES     2.3463             0.058726   0.058997   0.059271   0.059450  0.059630     21.22    21.39
SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32    100.000    VARIES     2.3877             0.058903   0.058998   0.059094   0.059089  0.059084     21.23    21.27
SM Energy Company        78454LAM2 08/09/16 07/01/21     86.000     1.500     4.7379    124.19   0.087860                                                15.81         
SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28     89.146     0.000     1.5800      2.50   0.039125   0.039311   0.039621   0.039934  0.040250     14.19    14.41
SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29     87.035     0.000     1.6799      2.60   0.040615   0.040819   0.041162   0.041508  0.041856     14.73    14.98
SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30     84.805     0.000     1.7800      2.68   0.041931   0.042155   0.042530   0.042909  0.043290     15.22    15.48
St. Clair County, IL     788550JV4 06/25/15 01/01/22     74.588     0.000     4.5500    210.13   0.120161   0.120891                                     43.99         
St. Clair County, IL     788550JW2 06/25/15 01/01/23     70.267     0.000     4.7499    207.71   0.119455   0.120298   0.125196   0.126080               43.76    45.86
St. Clair County, IL     788550JX0 06/25/15 01/01/24     65.665     0.000     5.0000    205.65   0.119102   0.120089   0.125132   0.126169               43.65    45.86
St. Clair County, IL     788553GR0 04/13/17 12/01/22     99.225     2.850     3.0005      4.97   0.003940   0.003999   0.004059   0.004120                1.43     1.35
St. Clair County, IL     788553GS8 04/13/17 12/01/23    101.777     3.500     3.2006    120.59   0.089660   0.089539   0.089416   0.089292  0.089165     32.25    32.16
St. Clair County, IL     788553GT6 04/13/17 12/01/26    102.645     4.000     3.6716    139.54   0.103777   0.103642   0.103505   0.103366  0.103223     37.33    37.23
St. Clair County, IL     788553GU3 04/13/17 12/01/27    101.642     4.000     3.8108    143.66   0.107075   0.106998   0.106920   0.106840  0.106758     38.53    38.47
SAM RAYBURN TEX INDPT SC 795868EJ3 05/06/21 02/15/23     98.854     0.000     0.6503                        0.017858   0.017890   0.017948  0.018007      4.20     6.47
SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24     97.404     0.000     0.9500                        0.025704   0.025771   0.025893  0.026016      6.05     9.33
SAM RAYBURN TEX INDPT SC 795868EL8 05/06/21 02/15/25     95.047     0.000     1.3500                        0.035644   0.035776   0.036018  0.036261      8.39    12.99
SAM RAYBURN TEX INDPT SC 795868EM6 05/06/21 02/15/26     93.333     0.000     1.4500                        0.037594   0.037744   0.038017  0.038293      8.85    13.71
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27     89.911     0.000     1.8499                        0.046201   0.046436   0.046866  0.047299     10.89    16.91
SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28     87.094     0.000     2.0498                        0.049591   0.049871   0.050382  0.050898     11.69    18.19
SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26     93.647     0.000     1.2111      3.56   0.031503   0.031670   0.031861   0.032054  0.032248     11.42    11.56
San Luis Obispo County   798703AT1 07/02/03 09/01/21     37.061     0.000     5.5396    593.70   0.145695   0.149730                                     35.69         
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000     5.5996    565.14   0.139278   0.143178   0.147186   0.151307               51.79    36.07
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000     5.6397    536.46   0.132584   0.136323   0.140167   0.144120  0.148184     49.31    52.13
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000     5.6797    508.80   0.126105   0.129686   0.133369   0.137156  0.141051     46.91    49.62
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000     5.6997    481.63   0.119540   0.122947   0.126451   0.130054  0.133761     44.48    47.05
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000     5.7298    455.94   0.113404   0.116653   0.119995   0.123433  0.126969     42.20    44.65
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000     5.7298    430.90   0.107175   0.110246   0.113404   0.116653  0.119995     39.88    42.20
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000     5.7297    407.23   0.101288   0.104189   0.107174   0.110245  0.113403     37.69    39.88
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000     5.7298    384.87   0.095725   0.098468   0.101289   0.104190  0.107175     35.62    37.69
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000     5.7298    363.73   0.090468   0.093060   0.095726   0.098468  0.101289     33.67    35.62
SAN MARCOS TEX CONS INDP 798781B25 12/18/19 08/01/24     89.978     0.000     2.2990     21.58   0.058280   0.058950   0.059627   0.060313  0.061006     21.30    21.80
SAN MARCOS TEX CONS INDP 798781B33 12/18/19 08/01/25     87.215     0.000     2.4489     22.30   0.060231   0.060968   0.061715   0.062470  0.063235     22.04    22.58
SAN MARCOS TEX CONS INDP 798781B41 12/18/19 08/01/26     84.619     0.000     2.5388     22.43   0.060616   0.061385   0.062165   0.062954  0.063753     22.19    22.76
Santa Monica School, CA  802498PT6 10/11/16 07/01/32     95.746     3.000     3.3503      9.34   0.006640   0.006751   0.006864   0.006979                2.41     2.49
SCHERTZ-CIBOLO-UNVL CITY 806640G28 08/27/20 02/01/37     63.888     0.000     2.7458      6.04   0.048729   0.049301   0.049978   0.050664  0.051360     17.83    18.32
SCHERTZ-CIBOLO-UNVL CITY 806640G36 08/27/20 02/01/38     61.743     0.000     2.7858      5.92   0.047780   0.048349   0.049022   0.049705  0.050398     17.49    17.98
SEADRILL NEW FINANCE LTD 81173JAA7 07/02/18 07/15/25     44.667    12.000    26.7500    249.76   0.344889   0.385778   0.432000   0.484111  0.543000    145.90   183.22
Seacor Holdings, Inc.    811904AL5 12/11/12 12/15/27*   100.000    VARIES     7.1504             0.295252                                                40.45*        
Seacor Holdings, Inc.    811904AM3 12/11/12 12/15/27*   100.000    VARIES     7.1504             0.295252                                                40.45*        
SEACOR HOLDINGS INC      811904AN1 05/15/18 05/15/30    100.000     3.250     7.6251    210.19   0.236812   0.242399   0.248199   0.254219  0.260470     86.78    91.00
SEGUIN TEX INDPT SCH DIS 815853TB2 10/28/20 08/15/26     93.995     0.000     1.0710      1.76   0.027965   0.028054   0.028204   0.028355  0.028507     10.12    10.22
SEGUIN TEX INDPT SCH DIS 815853TC0 10/28/20 08/15/27     91.934     0.000     1.2410      2.00   0.031692   0.031809   0.032007   0.032205  0.032405     11.47    11.61
SEGUIN TEX INDPT SCH DIS 815853TD8 10/28/20 08/15/28     88.829     0.000     1.5249      2.37   0.037627   0.037797   0.038086   0.038376  0.038669     13.64    13.84
SEGUIN TEX INDPT SCH DIS 815853TE6 10/28/20 08/15/29     86.729     0.000     1.6250      2.47   0.039148   0.039337   0.039656   0.039978  0.040303     14.20    14.42
Shelby Christian CNTYS,  821510BB9 02/24/16 12/01/21    106.397     3.750     2.5508    128.80   0.071688   0.071274                                     23.58         
SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27    100.000    VARIES     4.2451             0.107767   0.108197   0.108637   0.109333  0.110044     38.95    39.37
SG Structured Prods, Inc 83368W2F7 07/28/15 07/28/21    100.000     0.000     3.0305             0.097842   0.099325                                     20.52         
SG Structured Prods, Inc 83368W2V2 08/31/15 09/03/30*   100.000    VARIES     3.4214             0.090528                                                 5.16*        
SG Structured Prods, Inc 83368WB59 01/30/15 01/30/30*   100.000    VARIES     2.8761             0.080555                                                 2.34*        
SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33    100.000    VARIES     3.8966             0.107550   0.108448   0.109364   0.110297  0.111065     39.15    39.80
SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33    100.000    VARIES     3.8943             0.098996   0.099481   0.099976   0.100480  0.101030     35.87    36.24
SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33    100.000    VARIES     3.4646             0.088812   0.088061   0.090308   0.089624  0.091925     32.46    33.04
SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33    100.000    VARIES     2.9028             0.074857   0.075319   0.075788   0.076263  0.076715     27.12    27.45
SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33    100.000    VARIES     3.9684             0.102038   0.102628   0.103229   0.103842  0.104437     36.93    37.37
SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33    100.000    VARIES     3.9499             0.103003   0.103684   0.104379   0.105088  0.105701     37.29    37.79
SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23    100.000    VARIES     1.6708             0.010597   0.010685   0.010774   0.010864  0.010955      3.84     3.91
SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23    100.000    VARIES     3.1496             0.087118   0.087197   0.087272   0.087349  0.087419     31.39    31.44
SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33    100.000    VARIES     4.7593             0.125815   0.126804   0.127815   0.128851  0.129710     45.48    46.21
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33    100.000    VARIES     4.5906             0.118665   0.119479   0.120311   0.121184  0.122077     43.11    43.74
SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33    100.000    VARIES     4.5832             0.121649   0.122787   0.123952   0.125068  0.126210     44.35    45.16
SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33    100.000    VARIES     4.5941             0.111862   0.112560   0.113274   0.114251  0.115249     40.61    41.25
SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33    100.000    VARIES     4.6389             0.119151   0.118184   0.121157   0.120202  0.123257     43.56    44.30
SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33    100.000    VARIES     4.6414             0.124751   0.123700   0.126772   0.125734  0.128888     45.59    46.34
SG Structured Prods, Inc 83368WDZ1 08/30/13 08/31/28*   100.000    VARIES     4.5931             0.126353                                                 7.20*        
SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33    100.000    VARIES     4.5116             0.119134   0.120078   0.121043   0.121970  0.122918     43.23    43.91
SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33    100.000    VARIES     4.2945             0.109308   0.109977   0.110660   0.111397  0.112150     39.55    40.06
SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33    100.000    VARIES     4.2911             0.114112   0.114925   0.115756   0.116432  0.117122     41.33    41.88
SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33    100.000    VARIES     4.4027             0.114888   0.115585   0.116298   0.116932  0.117580     41.53    42.02
SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32     90.000    VARIES     4.3778             0.103477   0.104636   0.105820   0.106910  0.108024     37.54    38.36
SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32     90.000    VARIES     4.3778             0.103475   0.104634   0.105818   0.106908  0.108022     37.53    38.36
SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32     93.000    VARIES     4.4186             0.111482   0.112656   0.113857   0.114875  0.115915     40.35    41.17
SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33    100.000    VARIES     4.4457             0.113550   0.114300   0.115067   0.115851  0.116652     41.01    41.57
SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34    100.000    VARIES     4.0888             0.107743   0.108535   0.109343   0.110168  0.110847     39.17    39.74
SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33     91.000    VARIES     4.0761             0.100439   0.101484   0.102550   0.103637  0.104577     36.66    37.42
SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24    100.000     0.000     3.6893             0.129968   0.132365   0.134807   0.137293  0.139826     47.85    49.63
SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34     91.000    VARIES     4.0373             0.100761   0.100394   0.103381   0.103023  0.105947     37.03    37.98
SG Structured Prods, Inc 83368WKC4 02/28/14 02/28/34*   100.000    VARIES     4.0411             0.107638                                                 6.14*        
SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34    100.000    VARIES     4.4731             0.113597   0.114125   0.114666   0.115219  0.115775     41.09    41.48
SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25    100.000    VARIES     2.7151             0.075364   0.075338   0.075323   0.075307  0.075307     27.12    27.11
SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34     91.000    VARIES     4.4572             0.104652   0.105906   0.107187   0.108496  0.109640     38.13    39.05
SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34    100.000    VARIES     4.4742             0.109077   0.109298   0.109524   0.109755  0.110140     39.35    39.53
SG Structured Prods, Inc 83368WMW8 05/14/14 05/14/21    100.000    VARIES     2.9301             0.081433                                                10.83         
SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34     91.000    VARIES     3.6947             0.088218   0.088797   0.089387   0.089988  0.090522     31.91    32.33
SG Structured Prods, Inc 83368WP21 05/20/15 05/21/35*   100.000    VARIES     3.3762             0.091044                                                 4.83*        
SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34    100.000    VARIES     3.6333             0.095476   0.095980   0.096493   0.097015  0.097460     34.47    34.84
SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34    100.000    VARIES     3.4030             0.089584   0.090480   0.090393   0.091307  0.091230     32.96    33.26
SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34    100.000    VARIES     3.4025             0.087816   0.088535   0.088290   0.089019  0.088780     32.24    32.42
SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29    100.000    VARIES     3.5292             0.097075   0.097226   0.097380   0.097507  0.097637     35.00    35.10
SG Structured Prods, Inc 83368WTS0 09/30/14 09/30/24*   100.000    VARIES     3.2998             0.089519                                                 7.97*        
SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35    100.000    VARIES     3.7086             0.096016   0.096626   0.097247   0.097879  0.098512     34.68    35.12
SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34    100.000    VARIES     3.5842             0.094681   0.095027   0.095379   0.095725  0.096078     34.21    34.46
SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34    100.000    VARIES     3.5616             0.094242   0.094650   0.095065   0.095488  0.095918     34.08    34.38
SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34    100.000    VARIES     3.4502             0.092366   0.092849   0.093341   0.093747  0.094161     33.40    33.73
SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34    100.000    VARIES     3.3123             0.088000   0.088413   0.088833   0.089260  0.089694     31.78    32.09
SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34    100.000    VARIES     3.0162             0.083832   0.084254   0.084682   0.085116  0.085557     30.26    30.56
SG Structured Prods, Inc 83369EEM8 01/29/16 01/29/36*   100.000    VARIES     3.1196    146.52   0.082348                                                 2.31*        
Societe Generale Medium  83369EG95 11/15/17 11/14/22    100.000    VARIES     2.7307     88.55   0.082276   0.083400   0.084538   0.085693               29.93    26.67
SG Structured Prods, Inc 83369EGC8 02/26/16 02/26/21    100.000    VARIES     1.8853     14.14   0.008261                                                 0.45         
SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26    100.000    VARIES     1.6326     44.76   0.025464   0.025672   0.025882   0.026093  0.026306      9.25     9.40
SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23    100.000     0.000     1.8500     86.79   0.055835   0.056352   0.056873   0.057399  0.057930     20.20    20.57
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Societe Generale SA      83369ER51 01/31/18 07/31/23    100.000     0.000     3.1299     94.92   0.093962   0.095433   0.096926   0.098443  0.099984     34.54    35.63
Societe Generale SA      83369F3A3 01/31/18 01/28/21    100.000     0.000     2.8909     87.42   0.086263                                                 2.33         
Societe Generale SA      83369F3F2 01/31/18 01/30/25    100.000     0.000     3.2105     97.46   0.096572   0.098123   0.099698   0.101298  0.102924     35.52    36.67
Societe Generale SA      83369F3S4 02/28/18 02/27/25    100.000     0.000     3.2782     96.84   0.098764   0.100383   0.102028   0.103701  0.105400     36.25    37.45
Societe Generale         83369F3V7 02/05/18 02/03/21    100.000     0.000     2.6909     80.77   0.079901                                                 2.56         
Societe Generale SA      83369F4R5 03/02/18 03/04/25    100.000     0.000     3.3609     98.97   0.101489   0.103195   0.104929   0.106692  0.108485     37.25    38.51
Societe Generale SA      83369F5K9 03/28/18 03/26/21    100.000     0.000     3.1620     90.43   0.094984                                                 8.07         
Societe Generale SA      83369F7H4 05/23/18 05/23/22    100.000    VARIES     2.8699     74.49   0.079348   0.079533   0.079653                          28.61    11.31
Societe Generale SA      83369F7M3 05/30/18 05/31/22    100.000    VARIES     3.3928     87.88   0.094548   0.094508   0.094403                          34.03    14.07
Societe Generale SA      83369FA23 05/29/18 05/27/21    100.000     0.000     3.4381     92.29   0.103979                                                15.18         
Societe Generale SA      83369FA72 06/04/18 06/06/22    100.000    VARIES     2.9511     75.93   0.082134   0.082147   0.082085   0.083296               29.57    12.73
Societe Generale SA      83369FAD9 06/13/18 06/13/22    100.000    VARIES     3.2002     81.78   0.089279   0.089213   0.089076                          32.12    14.43
Societe Generale SA      83369FAF4 06/20/18 06/20/22    100.000    VARIES     3.2003     81.15   0.089285   0.089221   0.089081                          32.13    15.05
Societe Generale SA      83369FBT3 09/25/18 09/25/23    100.000     0.000     3.7818     88.68   0.113223   0.115364   0.117545   0.119768  0.122033     41.56    43.15
Societe Generale SA      83369FCD7 11/07/18 11/07/22    100.000    VARIES     3.3999     72.73   0.093279   0.093563   0.093851   0.094144               33.66    28.77
Societe Generale SA      83369FCK1 11/30/18 11/30/21    100.000    VARIES     3.2251     67.43   0.089839   0.089704                                     29.53         
Societe Generale SCF SA  83369FDG9 01/30/19 01/30/23    100.000    VARIES     3.0400     57.74   0.083381   0.083573   0.083599   0.083667  0.083923     30.08    30.16
Societe Generale SA      83369FDJ3 02/06/19 02/06/23    100.000    VARIES     3.0400     57.24   0.083381   0.083573   0.083599   0.083667  0.083923     30.08    30.15
Societe Generale SA      83369FDU8 02/13/19 02/13/23    100.000    VARIES     3.1600     58.93   0.086747   0.086951   0.086991   0.087058  0.087293     31.30    31.37
Societe Generale SA      83369FE86 03/11/19 03/11/22    100.000    VARIES     3.0803     55.38   0.085371   0.085579   0.085584                          30.79     5.99
Societe Generale SA      83369FEB9 03/22/19 03/22/21    100.000     0.000     2.7624     49.93   0.079956                                                 6.48         
Societe Generale SA      83369FF44 05/08/19 05/09/22    100.000    VARIES     2.7601     45.42   0.076685   0.076667   0.076627                          27.60     9.81
Societe Generale SA      83369FF51 05/15/19 05/16/22    100.000    VARIES     2.6399     42.89   0.073161   0.073140   0.073163                          26.33     9.88
Societe Generale SA      83369FFK8 06/19/19 06/20/22    100.000    VARIES     2.4001     36.92   0.066909   0.066784   0.066701                          24.06    11.27
Societe Generale SA      83369FFY8 07/18/19 07/20/21    100.000     0.000     2.3006     33.80   0.065392   0.066144                                     13.15         
Societe Generale SA      83369FG92 08/07/19 08/05/21    100.000     0.000     2.1609     30.56   0.061322   0.061985                                     13.24         
Societe Generale SA      83369FGW1 10/08/19 11/03/21    100.000     0.000     2.0659     25.63   0.058661   0.059267                                     17.82         
Societe Generale SA      83369FHE0 12/04/19 02/03/22    100.000     0.000     2.1751     23.55   0.061296   0.061962   0.062636                          22.38     2.00
Societe Generale SA      83369FHF7 11/29/19 03/29/22    100.000     0.000     2.1604     23.70   0.061097   0.061757   0.062424                          22.24     5.49
Societe Generale SA      83369FP84 03/06/19 03/04/22    100.000     0.000     2.9316     54.41   0.085054   0.086300   0.087565                          31.14     5.52
Societe Generale SA      83369FP92 03/06/19 03/04/21    100.000     0.000     2.8823     53.47   0.083563                                                 5.26         
Societe Generale SA      83369FSM0 04/24/19 04/21/22    100.000     0.000     2.8816     49.45   0.083533   0.084737   0.085958                          30.46     9.46
Societe Generale SA      83369FUX3 06/05/19 06/03/22    100.000     0.000     2.4706     39.37   0.071193   0.072072   0.072963                          25.84    11.09
Societe Generale SA      83369FUZ8 06/05/19 06/03/22    100.000     0.000     2.4706     39.37   0.071193   0.072072   0.072963                          25.84    11.09
Societe Generale SA      83369FXR3 08/05/19 08/05/25    100.000     0.000     2.3103     32.82   0.065668   0.066426   0.067194   0.067970  0.068755     24.00    24.56
Societe Generale SA      83369M5T5 04/30/21 04/30/31    100.000    VARIES     2.3695                        0.065821   0.064676   0.063781  0.063132     15.79    23.03
Societe Generale SA      83369MJK9 12/16/19 12/16/22    100.000     0.000     2.2503     23.59   0.063923   0.064642   0.065370   0.066105               23.16    22.68
Societe Generale SA      83369MJQ6 12/20/19 12/21/26    100.000     0.100     2.4730     25.65   0.070334   0.071170   0.072015   0.072872  0.073738     25.49    26.10
Societe Generale SA      83369MJR4 12/18/19 12/21/23    100.000     2.100     2.2723     23.56   0.063249   0.063305   0.063361   0.063418  0.063476     22.78    22.82
Societe Generale SA      83369MMN9 02/10/20 02/03/22    100.000     0.000     1.8806     16.84   0.052712   0.053208   0.053708                          19.21     1.72
Societe Generale SA      83369N2F6 05/28/21 05/28/31    100.000    VARIES     2.3296                        0.064712   0.063750   0.062989  0.062460     13.75    22.77
Societe Generale SA      83369N3U2 06/22/21 06/22/26    100.000     0.000     1.3580                        0.037722   0.037978   0.038236  0.038496      7.13    13.72
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Societe Generale SA      83369NAX8 08/25/21 08/25/26    100.000    VARIES     1.2819                                   0.035608   0.035836  0.035496      4.49    12.85
SOCORRO TEX INDPT SCH DI 833715HA6 06/11/20 08/15/21     98.508     0.000     1.2800      7.02   0.035105   0.035330                                      7.90         
SOCORRO TEX INDPT SCH DI 833715HB4 06/11/20 08/15/22     97.007     0.000     1.3999      7.56   0.037817   0.038082   0.038349   0.038617               13.73     8.64
SOCORRO TEX INDPT SCH DI 833715HC2 06/11/20 08/15/23     95.211     0.000     1.5501      8.21   0.041108   0.041427   0.041748   0.042072  0.042398     14.94    15.18
SOCORRO TEX INDPT SCH DI 833715HD0 06/11/20 08/15/24     93.056     0.000     1.7299      8.96   0.044853   0.045241   0.045633   0.046027  0.046425     16.32    16.61
SOCORRO TEX INDPT SCH DI 833715HE8 06/11/20 08/15/25     90.905     0.000     1.8499      9.36   0.046867   0.047301   0.047738   0.048180  0.048625     17.07    17.39
SOCORRO TEX INDPT SCH DI 833715HG3 06/11/20 08/15/27     86.381     0.000     2.0499      9.86   0.049367   0.049873   0.050384   0.050900  0.051422     18.00    18.37
SOUTH TEXAS CMNTY COLLEG 84055QGN4 07/23/20 08/15/25     90.800     0.000     1.9159      7.64   0.048381   0.048844   0.049312   0.049784  0.050261     17.63    17.97
Sprint Capital Corporati 852060AD4 05/18/18 11/15/28     96.500     6.875     7.3596      6.43   0.007551   0.007828   0.008117   0.008415  0.008725      2.79     3.00
STEPHENVILLE TEX INDPT S 859128HW3 06/25/20 02/15/23     96.808     0.000     1.2330      6.17   0.033213   0.033417   0.033623   0.033831  0.034039     12.05    12.20
STEPHENVILLE TEX INDPT S 859128HX1 06/25/20 02/15/24     94.854     0.000     1.4570      7.15   0.038467   0.038747   0.039029   0.039314  0.039600     13.98    14.18
Sunsource, Inc.          867948AA9 09/30/97 09/30/27    110.000    11.600    10.4990             0.307280   0.306496   0.305670   0.304801  0.303887    110.33   109.72
TARKINGTON TEX INDPT SCH 876162HU5 03/09/21 02/15/23     99.211     0.000     0.4101                        0.011303   0.011323   0.011346  0.011369      3.30     4.09
TAYLOR TEX INDPT SCH DIS 877299QW0 06/30/21 02/15/38     60.655     0.000     3.0299                        0.051050   0.051243   0.052020  0.052808      9.27    18.80
TAYLOR TEX INDPT SCH DIS 877299QX8 06/30/21 02/15/39     58.349     0.000     3.0800                        0.049920   0.050112   0.050884  0.051668      9.06    18.39
Time Warner Inc.         887315AZ2 01/17/96 01/15/36     17.038    VARIES     8.8001             0.234212   0.234372   0.234540   0.234716  0.234899     84.40    84.53
TITUS CNTY TEX           888514JV9 11/27/19 03/01/21     97.066     0.000     2.3739     25.43   0.065169                                                 3.91         
TITUS CNTY TEX           888514JW7 11/27/19 03/01/22     94.459     0.000     2.5361     26.45   0.067835   0.068695   0.069566                          24.78     4.17
TITUS CNTY TEX           888514JX5 11/27/19 03/01/23     91.737     0.000     2.6615     26.97   0.069202   0.070123   0.071056   0.072002  0.072960     25.30    25.98
TITUS CNTY TEX           888514JY3 11/27/19 03/01/24     88.968     0.000     2.7616     27.15   0.069690   0.070652   0.071628   0.072617  0.073619     25.49    26.20
TOLAR TEX INDPT SCH DIST 889154FQ8 05/05/21 02/15/23     99.168     0.000     0.4705                        0.012960   0.012977   0.013007  0.013038      3.06     4.69
TOLAR TEX INDPT SCH DIST 889154FR6 05/05/21 02/15/24     98.186     0.000     0.6601                        0.018003   0.018036   0.018095  0.018155      4.25     6.52
TOLAR TEX INDPT SCH DIST 889154FS4 05/05/21 02/15/25     96.120     0.000     1.0502                        0.028040   0.028121   0.028269  0.028418      6.63    10.19
TOLAR TEX INDPT SCH DIST 889154FT2 05/05/21 02/15/26     93.773     0.000     1.3501                        0.035167   0.035299   0.035537  0.035777      8.32    12.82
TOLAR TEX INDPT SCH DIST 889154FU9 05/05/21 02/15/27     90.734     0.000     1.6899                        0.042592   0.042792   0.043154  0.043519     10.08    15.57
TOM BEAN TEX INDPT SCH D 889608DG7 11/06/20 02/15/24     97.323     0.000     0.8302      1.23   0.022444   0.022495   0.022588   0.022682  0.022776      8.11     8.17
TOM BEAN TEX INDPT SCH D 889608DH5 11/06/20 02/15/25     96.111     0.000     0.9300      1.37   0.024828   0.024891   0.025007   0.025123  0.025240      8.97     9.06
TOM BEAN TEX INDPT SCH D 889608DJ1 11/06/20 02/15/26     93.785     0.000     1.2200      1.75   0.031783   0.031890   0.032084   0.032280  0.032477     11.50    11.64
TOM BEAN TEX INDPT SCH D 889608DK8 11/06/20 02/15/27     92.075     0.000     1.3201      1.86   0.033762   0.033885   0.034108   0.034334  0.034560     12.22    12.38
Tornillo Indpt SCH DIST  891084NZ4 12/06/12 02/01/21     80.360     0.000     2.6998    194.18   0.073995                                                 2.22         
Toronto-Dominion Bank    89114QS33 05/24/19 05/18/22    100.000     0.000     2.6800     43.61   0.077443   0.078481   0.079533                          28.16    10.90
Toronto-Dominion Bank    89114QS41 05/24/19 05/18/22    100.000     0.000     2.6800     43.61   0.077443   0.078481   0.079533                          28.16    10.90
Toronto-Dominion Bank    89114RLC8 05/22/20 05/22/22    100.000    VARIES     0.9998      1.58   0.007182   0.007146   0.007182                           2.58     1.01
Toronto-Dominion Bank    89114TRA2 09/09/21 09/09/24    100.000    VARIES     0.6023                                   0.016731   0.016751  0.016771      1.87     6.03
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000     4.8000    200.43   0.058135   0.059531   0.060959   0.062422  0.063921     21.44    22.48
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000     6.1698    612.73   0.156454   0.161280   0.166255                          58.07    14.96
TULOSO-MIDWAY TEX INDPT  899474WH9 12/16/20 08/15/23     97.895     0.000     0.8002      0.33   0.021759   0.021787   0.021875   0.021962  0.022050      7.85     7.91
UBS AG                   90261JGR8 03/25/11 03/25/21    100.000    VARIES     4.6496             0.129589                                                10.89         
UBS AG                   90261JHP1 09/21/11 09/21/21    100.000    VARIES     2.4224             0.067076   0.067182                                     17.46         
UBS AG                   90261JHS5 09/29/11 09/29/21    100.000    VARIES     2.5378             0.011318   0.011461                                      3.06         
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES     5.7801             0.111381   0.113625   0.115934   0.118310  0.120754     41.23    42.94
UBS AG London Branch     90270KJ75 08/07/19 08/05/21    100.000     0.000     2.0200     28.55   0.057243   0.057821                                     12.35         
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
UBS AG London Branch     90270KK24 08/07/19 08/05/21    100.000     0.000     2.0200     28.55   0.057243   0.057821                                     12.35         
UBS AG London Branch     90270KRF8 04/27/18 07/22/21    100.000     0.000     3.3688     93.64   0.100840   0.102539                                     20.57         
UBS AG London Branch     90270KSF7 06/20/18 06/16/21    100.000     0.000     3.6899     96.96   0.112262                                                18.52         
UBS AG London Branch     90270KTF6 08/17/18 06/14/21    100.000     0.000     3.3901     83.06   0.101830                                                16.60         
UBS AG London Branch     90270KWM7 01/31/19 01/29/21    100.000     0.000     3.2702     64.26   0.095359                                                 2.67         
UBS AG London Branch     90281B684 01/04/19 08/02/22    100.000     0.000     3.2800     66.98   0.095912   0.097485   0.099083   0.100708               35.28    21.20
ULTRA RESOURCES INC      90400GAE1 12/21/18 07/12/24     73.000    11.000    18.6600    105.94   0.161556   0.174056   0.187722   0.202556  0.218833     64.73    75.39
Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000     5.4001     56.72   0.035586   0.036547   0.037534   0.038548  0.039588     13.04    13.76
Uruguay, Republic        917288BA9 05/29/03 01/15/33     61.000     3.875        N/A             0.154564   0.156512   0.158582   0.160782  0.163118     56.66    58.24
VALLEY VIEW TEX INDPT SC 92021PAA4 10/23/20 08/15/22     99.045     0.000     0.5305      0.99   0.014595   0.014619   0.014658   0.014697                5.27     3.29
VALLEY VIEW TEX INDPT SC 92021PAB2 10/23/20 08/15/23     98.385     0.000     0.5800      1.08   0.015851   0.015880   0.015926   0.015972  0.016018      5.72     5.75
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     49.30   0.017550   0.018165   0.018801   0.019460  0.020141      6.56     7.03
WACO TEX INDPT SCH DIST  929845UM5 03/02/21 08/15/23     98.881     0.000     0.4593                        0.012616   0.012642   0.012671  0.012700      3.78     4.56
WACO TEX INDPT SCH DIST  929845UN3 03/02/21 08/15/24     98.121     0.000     0.5501                        0.014994   0.015031   0.015073  0.015114      4.49     5.43
WACO TEX INDPT SCH DIST  929845UP8 03/02/21 08/15/25     96.816     0.000     0.7280                        0.019578   0.019643   0.019714  0.019786      5.86     7.10
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES     2.3691             0.009416   0.009527   0.009640   0.009754  0.009870      3.42     3.50
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES     2.3798             0.009148   0.009257   0.009367   0.009479  0.009592      3.31     3.39
Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES     2.4986             0.009317   0.009433   0.009551   0.009670  0.009791      3.38     3.46
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES     2.5508             0.009730   0.009854   0.009980   0.010107  0.010236      3.53     3.62
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES     2.1764     17.18   0.009603   0.009708   0.009813   0.009920  0.010028      3.51     3.59
Wells Fargo & Co.        94986RDD0 03/31/11 03/31/21    100.000    VARIES     4.1709             0.116021                                                10.33         
Wells Fargo & Co.        94986RDL2 04/29/11 04/30/21    100.000    VARIES     4.3019             0.119687                                                14.24         
Wells Fargo & Company    94986RDV0 05/31/11 05/28/21    100.000    VARIES     4.1141             0.114614                                                16.85         
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES     1.9880     20.37   0.011160   0.011271   0.011383   0.011496  0.011610      4.07     4.15
Wells Fargo & Company    94986RF71 02/29/16 03/01/23    100.000    VARIES     1.9956     16.52   0.009581   0.009677   0.009773   0.009871  0.009969      3.49     3.56
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES     2.2005     18.50   0.010676   0.010793   0.010912   0.011032  0.011154      3.89     3.97
Wells Fargo & Company    94986RH53 03/16/16 03/16/22    100.000     0.000     2.2405    112.68   0.068800   0.069570   0.070350                          25.07     5.28
Wells Fargo & Company    94986RJ28 03/29/16 03/29/21    100.000     0.125     2.5923    129.99   0.080431                                                 7.08         
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES     2.1558     17.47   0.010018   0.010126   0.010235   0.010345  0.010457      3.64     3.72
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES     1.2945             0.011787   0.011863   0.011940   0.012017                4.27     3.26
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES     1.1530             0.009231   0.009284   0.009338   0.009391                3.34     2.87
Wells Fargo & Company    94986RMK4 12/27/12 12/28/22    100.000    VARIES     1.2833             0.011461   0.011535   0.011609   0.011683                4.14     4.16
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES     1.1863             0.010121   0.010181   0.010241   0.010302  0.010363      3.67     3.72
Wells Fargo & Company    94986RNJ6 02/22/13 02/22/21    100.000    VARIES     1.0349             0.012052                                                 0.63         
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES     1.1812             0.010737   0.010801   0.010864   0.010929  0.010993      3.89     3.94
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES     1.3587             0.011083   0.011159   0.011234   0.011311  0.011388      4.02     4.07
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES     1.3234             0.007978   0.008031   0.008084   0.008138  0.008191      2.89     2.93
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000     3.5789             0.125193   0.127434   0.129714   0.132035  0.134398     45.90    47.56
Wells Fargo & Company    94986RUS8 08/25/14 08/25/21    100.000    VARIES     1.0019             0.027757   0.027794                                      6.50         
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES     2.5651             0.007294   0.007388   0.007483   0.007579  0.007676      2.66     2.73
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES     2.5155             0.007312   0.007404   0.007497   0.007592  0.007687      2.67     2.73
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES     2.1821             0.010268   0.010380   0.010494   0.010608  0.010724      3.74     3.83
Wells Fargo & Company    94986RWD9 04/06/15 04/06/22    100.000     0.000     2.0104             0.062338   0.062964   0.063597                          22.66     6.04
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES     2.0659             0.056455   0.056554   0.056654   0.056756  0.056858     20.36    20.43
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES     2.2225             0.058922   0.059056   0.059191   0.059328  0.059466     21.25    21.35
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES     2.2895             0.010159   0.010275   0.010393   0.010512  0.010632      3.69     3.77
Wells Fargo & Company    94986RX30 10/18/16 10/18/26    100.000    VARIES     2.2447     14.03   0.008832   0.008931   0.009031   0.009133  0.009235      3.21     3.28
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES     2.5017             0.009745   0.009867   0.009991   0.010116  0.010242      3.53     3.62
Wells Fargo & Company    94986RXR7 06/24/15 06/24/22    100.000     0.250     2.4237             0.075880   0.076715   0.077561                          27.48    13.42
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES     2.4666             0.008914   0.009024   0.009135   0.009248  0.009362      3.26     3.34
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES     2.4323             0.008605   0.008709   0.008815   0.008922  0.009031      3.14     3.22
Wells Fargo & Company    94986RZ46 10/20/16 10/20/26    100.000    VARIES     2.2262     19.29   0.012167   0.012302   0.012439   0.012578  0.012718      4.42     4.52
Wells Fargo & Company    94986RZ79 11/04/16 11/06/23    100.000     0.250     2.8285    123.36   0.087097   0.088231   0.089380   0.090546  0.091729     31.68    32.52
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES     2.2452             0.010405   0.010522   0.010640   0.010760  0.010880      3.79     3.87
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES     2.2547             0.009413   0.009519   0.009626   0.009735  0.009845      3.43     3.50
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES     2.3811             0.011897   0.012039   0.012182   0.012327  0.012474      4.33     4.44
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES     2.3226             0.062796   0.062910   0.063025   0.063142  0.063260     22.64    22.73
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES     2.4455             0.008530   0.008634   0.008739   0.008846  0.008954      3.10     3.18
Wells Fargo & Company    94988U250 12/28/18 12/17/21    100.000     0.000     2.7409     56.21   0.080330   0.081431                                     27.99         
Wells Fargo & Company    94988U326 12/06/18 11/19/21    100.000     0.000     2.6803     56.67   0.078428   0.079479                                     25.13         
WELLMAN-UNION TEX CONS I 94990AAZ5 08/26/20 08/15/22     98.407     0.000     0.8170      2.79   0.022333   0.022419   0.022510   0.022602                8.08     5.06
WELLMAN-UNION TEX CONS I 94990ABA9 08/26/20 08/15/23     97.296     0.000     0.9253      3.13   0.025007   0.025115   0.025231   0.025348  0.025465      9.05     9.14
WELLMAN-UNION TEX CONS I 94990ABB7 08/26/20 08/15/24     95.697     0.000     1.1111      3.69   0.029536   0.029690   0.029855   0.030021  0.030187     10.70    10.82
WELLMAN-UNION TEX CONS I 94990ABC5 08/26/20 08/15/25     94.037     0.000     1.2410      4.05   0.032417   0.032606   0.032808   0.033012  0.033217     11.76    11.90
WELLMAN-UNION TEX CONS I 94990ABD3 08/26/20 08/15/26     91.400     0.000     1.5121      4.80   0.038390   0.038662   0.038955   0.039249  0.039546     13.95    14.16
WELLMAN-UNION TEX CONS I 94990ABE1 08/26/20 08/15/27     88.797     0.000     1.7121      5.28   0.042230   0.042570   0.042934   0.043301  0.043672     15.36    15.62
WELLMAN-UNION TEX CONS I 94990ABF8 08/26/20 08/15/28     85.921     0.000     1.9131      5.71   0.045660   0.046070   0.046511   0.046956  0.047405     16.63    16.95
WELLMAN-UNION TEX CONS I 94990ABG6 08/26/20 08/15/29     83.556     0.000     2.0130      5.84   0.046721   0.047163   0.047637   0.048117  0.048601     17.02    17.37
Wells Fargo & Company    95000E3U1 10/20/17 10/22/24    100.000     0.250     1.8358     59.97   0.053480   0.053908   0.054339   0.054774  0.055213     19.39    19.70
Wells Fargo & Company    95000N2A6 02/23/17 02/23/22    100.000    VARIES     1.8572     11.26   0.008238   0.008315   0.008392                           3.00     0.44
Wells Fargo & Company    95000N2D0 02/24/17 02/24/27    100.000    VARIES     2.7668    106.27   0.076551   0.076573   0.076595   0.076617  0.076639     27.57    27.58
Wells Fargo & Company    95000N2J7 05/19/17 05/19/27    100.000    VARIES     2.6993     16.97   0.012215   0.012140   0.012304   0.012470  0.012639      4.39     4.47
Wells Fargo & Company    95000N2K4 06/23/17 06/23/27    100.000    VARIES     2.5340     12.94   0.009763   0.009886   0.010012   0.010138  0.010267      3.54     3.63
Wells Fargo & Company    95000N2P3 07/25/17 07/25/29    100.000    VARIES     2.6059      9.82   0.007325   0.007420   0.007517   0.007615  0.007714      2.68     2.75
Wells Fargo & Company    95000N2T5 08/16/17 08/16/27    100.000    VARIES     2.5861     11.20   0.008681   0.008793   0.008907   0.009022  0.009138      3.18     3.26
Wells Fargo & Company    95000N2V0 08/31/17 08/31/29    100.000    VARIES     2.4309     10.18   0.007842   0.007936   0.008033   0.008130  0.008230      2.86     2.93
Wells Fargo & Company    95000N2Y4 09/15/17 09/15/27    100.000    VARIES     2.8997     17.94   0.014120   0.013791   0.013458   0.013653  0.013851      4.95     4.92
Wells Fargo & Company    95000N2Z1 09/20/17 09/20/27    100.000    VARIES     2.5328      9.82   0.007983   0.008084   0.008187   0.008290  0.008395      2.91     2.99
Wells Fargo & Company    95000N3B3 09/21/17 09/21/27    100.000    VARIES     2.5668      9.94   0.007918   0.008020   0.008123   0.008227  0.008332      2.89     2.96
Wells Fargo & Company    95000N3F4 10/25/17 10/25/27    100.000    VARIES     2.7552      9.27   0.007551   0.007655   0.007761   0.007867  0.007976      2.75     2.83
Wells Fargo & Company    95000N3G2 10/20/17 10/20/27    100.000    VARIES     2.7158     10.19   0.008275   0.008388   0.008501   0.008617  0.008734      3.02     3.10
Wells Fargo & Company    95000N3M9 01/31/18 01/31/28    100.000    VARIES     3.2008      7.45   0.006387   0.006489   0.006593   0.006699  0.006806      2.35     2.42
Wells Fargo & Company    95000N3N7 01/31/18 01/31/38    100.000    VARIES     3.2610      8.94   0.006435   0.006540   0.006646   0.006755  0.006865      2.37     2.45
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
Wells Fargo & Company    95001B2K9 02/14/18 02/14/25    105.000     0.125     3.5350    111.40   0.112226   0.114148   0.116104   0.118095  0.120121     41.28    42.71
Wells Fargo & Company    95001BAQ7 12/07/18 12/05/23    100.000     0.000     3.0505     64.58   0.090011   0.091384   0.092778   0.094193  0.095629     32.72    33.73
Wells Fargo & Company    95001BBA1 12/05/18 12/03/21    100.000     0.000     2.7407     58.04   0.080379   0.081481                                     26.88         
Wells Fargo & Company    95001BBB9 01/03/19 01/03/22    100.000     0.000     3.1102     63.49   0.090488   0.091896   0.093325                          33.33     0.19
Wells Fargo & Company    95001BBT0 02/05/19 02/03/22    100.000     0.000     2.8110     54.65   0.081409   0.082553   0.083713                          29.85     2.68
Wells Fargo & Company    95001D2D1 03/21/18 03/21/30    100.000    VARIES     3.3176      8.80   0.007592   0.007718   0.007846   0.007976  0.008108      2.78     2.87
Wells Fargo & Company    95001D2G4 04/20/18 04/20/28    100.000    VARIES     3.4399     11.03   0.010064   0.010237   0.010413   0.010592  0.010774      3.68     3.81
Wells Fargo & Company    95001D2N9 07/03/18 07/03/28    100.000    VARIES     3.5475     14.62   0.015010   0.014357   0.013692   0.013935  0.014182      5.05     5.06
Wells Fargo & Company    95001D2R0 08/24/18 08/24/28    100.000    VARIES     3.6466     16.37   0.017706   0.016913   0.016105   0.016398  0.016697      6.03     5.93
Wells Fargo & Company    95001D2X7 09/26/18 09/26/28    100.000    VARIES     3.7928      6.97   0.007153   0.007289   0.007427   0.007568  0.007711      2.63     2.73
Wells Fargo Finance LLC  95001H3A7 02/11/19 09/28/23     96.600     0.000     3.5621     66.69   0.101250   0.103053   0.104889   0.106757  0.108658     37.11    38.45
Wells Fargo Finance LLC  95001H4M0 05/02/19 05/02/24    100.000     0.000     2.9409     49.80   0.085350   0.086605   0.087878   0.089171  0.090482     31.10    32.02
Wells Fargo Finance LLC  95001H5U1 05/30/19 06/03/22    100.000     0.000     2.3606     37.93   0.067934   0.068736   0.069547                          24.65    10.57
Wells Fargo Finance LLC  95001H6P1 07/02/19 07/03/23    100.000     0.000     2.3900     36.21   0.067991   0.068803   0.069625   0.070457  0.071299     24.91    25.51
Wells Fargo & Company    95001H6Q9 07/02/19 07/01/22    100.000     0.000     2.3500     35.60   0.067602   0.068397   0.069200                          24.48    12.46
Wells Fargo Finance LLC  95001H6S5 08/07/19 02/06/23    100.000     0.000     1.8604     26.27   0.052641   0.053130   0.053625   0.054123  0.054627     19.18    19.54
Wells Fargo Finance LLC  95001H6T3 08/07/19 02/06/25    100.000     0.000     1.8602     26.27   0.052637   0.053126   0.053620   0.054119  0.054622     19.18    19.54
Wells Fargo Finance LLC  95001H6Y2 07/31/19 07/29/21    100.000     0.000     3.4220     49.36   0.098326   0.100008                                     20.75         
Wells Fargo & Company    95001HA76 08/30/19 08/31/21    100.000     0.000     2.9224     39.55   0.083566   0.084774                                     20.19         
WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26    100.000     0.000     1.5302     19.16   0.043164   0.043495   0.043827   0.044163  0.044501     15.66    15.90
Wells Fargo Finance LLC  95001HAH4 09/05/19 09/02/21    100.000     0.000     2.9424     39.40   0.084135   0.085373                                     20.50         
Wells Fargo Finance LLC  95001HB26 11/07/19 05/07/24    100.000     0.000     1.5803     18.27   0.044593   0.044946   0.045301   0.045659  0.046020     16.16    16.41
Wells Fargo Finance LLC  95001HBY6 11/08/19 11/03/21    100.000     0.000     1.6707     19.28   0.047176   0.047570                                     14.32         
Wells Fargo Finance LLC  95001HBZ3 11/08/19 11/03/21    100.000     0.000     1.6707     19.28   0.047176   0.047570                                     14.32         
Wells Fargo Finance LLC  95001HC41 10/31/19 11/01/24    100.000     0.250     2.3100     27.21   0.065500   0.066177   0.066861   0.067553  0.068253     23.78    24.28
Wells Fargo Finance LLC  95001HFH9 02/28/20 02/28/22    100.000     0.000     1.8710     15.81   0.052457   0.052948   0.053443                          19.09     3.05
Wells Fargo Finance LLC  95001HFJ5 02/28/20 02/28/22    100.000     0.000     1.6007     13.52   0.044820   0.045178   0.045540                          16.29     2.60
WESTMONT ILL PK DIST     96081RBA7 03/17/21 12/01/28     84.924     0.000     2.1318             0.050290   0.050510   0.051049   0.051593  0.052143     14.34    18.51
WESTMONT ILL PK DIST     96081RBB5 03/17/21 12/01/29     81.532     0.000     2.3589             0.053424   0.053683   0.054316   0.054957  0.055605     15.25    19.71
WESTMONT ILL PK DIST     96081RBC3 03/17/21 12/01/30     78.883     0.000     2.4587             0.053875   0.054147   0.054813   0.055486  0.056169     15.38    19.89
WESTMONT ILL PK DIST     96081RBD1 03/17/21 12/01/31     76.168     0.000     2.5588             0.054138   0.054423   0.055119   0.055824  0.056538     15.46    20.01
WESTMONT ILL PK DIST     96081RBE9 03/17/21 12/01/32     72.980     0.000     2.7087             0.054912   0.055218   0.055966   0.056724  0.057492     15.68    20.33
WESTMONT ILL PK DIST     96081RBF6 03/17/21 12/01/33     70.158     0.000     2.8086             0.054736   0.055052   0.055825   0.056609  0.057404     15.63    20.29
WESTMONT ILL PK DIST     96081RBG4 03/17/21 12/01/34     67.312     0.000     2.9086             0.054385   0.054710   0.055506   0.056313  0.057132     15.54    20.18
WESTMONT ILL PK DIST     96081RBH2 03/17/21 12/01/35     64.455     0.000     3.0087             0.053868   0.054201   0.055016   0.055844  0.056684     15.39    20.00
WESTMONT ILL PK DIST     96081RBJ8 03/17/21 12/01/36     61.598     0.000     3.1087             0.053191   0.053531   0.054363   0.055208  0.056066     15.20    19.77
WESTMONT ILL PK DIST     96081RBK5 03/17/21 12/01/37     58.753     0.000     3.2086             0.052364   0.052710   0.053555   0.054415  0.055288     14.97    19.49
WEX INC                  96208TAB0 07/01/20 07/15/27     96.500     6.500     7.0234     33.89   0.188265   0.195391   0.202252   0.209355  0.216706     71.38    76.49
WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23    103.545     3.875     3.2387    114.30   0.091588   0.091328   0.091064   0.090795  0.090523     32.91    32.72
WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24    103.054     3.875     3.3896    119.30   0.095851   0.095651   0.095448   0.095241  0.095031     34.46    34.31
WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25    104.477     4.250     3.5381    126.02   0.100870   0.100566   0.100256   0.099941  0.099621     36.24    36.02
WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26    103.497     4.250     3.6875    130.34   0.104555   0.104306   0.104053   0.103795  0.103532     37.58    37.40
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
WHITE SETTLEMENT TEX IND 964559W87 11/25/20 08/15/23     97.900     0.000     0.7811      0.76   0.021241   0.021278   0.021361   0.021445  0.021529      7.67     7.73
WHITE SETTLEMENT TEX IND 964559W95 11/25/20 08/15/24     96.169     0.000     1.0521      1.01   0.028106   0.028172   0.028320   0.028469  0.028619     10.16    10.26
WHITE SETTLEMENT TEX IND 964559X29 11/25/20 08/15/25     94.498     0.000     1.2019      1.14   0.031550   0.031634   0.031824   0.032015  0.032208     11.41    11.54
WHITE SETTLEMENT TEX IND 964559X37 11/25/20 08/15/26     91.950     0.000     1.4719      1.35   0.037596   0.037718   0.037996   0.038276  0.038557     13.61    13.81
WHITE SETTLEMENT TEX IND 964559X45 11/25/20 08/15/27     89.949     0.000     1.5819      1.42   0.039525   0.039664   0.039977   0.040294  0.040612     14.32    14.54
WHITE SETTLEMENT TEX IND 964559X52 11/25/20 08/15/28     85.781     0.000     1.9959      1.71   0.047557   0.047768   0.048245   0.048726  0.049213     17.25    17.59
WHITE SETTLEMENT TEX IND 964559X60 11/25/20 08/15/29     83.371     0.000     2.0959      1.75   0.048538   0.048764   0.049275   0.049791  0.050313     17.61    17.97
WHITE SETTLEMENT TEX IND 964559X78 11/25/20 08/15/30     80.636     0.000     2.2259      1.79   0.049857   0.050104   0.050662   0.051225  0.051795     18.10    18.49
WHITE SETTLEMENT TEX IND 964559X86 11/25/20 08/15/31     77.791     0.000     2.3558      1.83   0.050906   0.051172   0.051775   0.052385  0.053002     18.49    18.92
WHITE SETTLEMENT TEX IND 964559X94 11/25/20 08/15/32     75.028     0.000     2.4658      1.85   0.051390   0.051672   0.052309   0.052954  0.053606     18.68    19.12
WHITE SETTLEMENT TEX IND 964559Y28 11/25/20 08/15/33     72.207     0.000     2.5757      1.86   0.051662   0.051958   0.052627   0.053305  0.053992     18.78    19.25
WHITE SETTLEMENT TEX IND 964559Y36 11/25/20 08/15/34     69.435     0.000     2.6758      1.86   0.051609   0.051916   0.052610   0.053314  0.054027     18.77    19.26
WHITE SETTLEMENT TEX IND 964559Y44 11/25/20 08/15/35     66.639     0.000     2.7757      1.85   0.051381   0.051698   0.052415   0.053143  0.053880     18.69    19.20
Will County, IL          968852TN3 03/15/07 10/01/25     34.635     0.000     5.8000    415.90   0.121052   0.124562   0.128174   0.131891  0.135716     44.85    47.49
Will County, IL          968852TP8 03/15/07 10/01/26     32.402     0.000     5.8498    393.87   0.114973   0.118336   0.121797   0.125359  0.129026     42.61    45.14
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000     7.3751    326.93   0.114773   0.119005   0.123394   0.127944  0.132662     42.86    46.07
Will CNTY SD #365, IL    969078QM9 03/17/09 11/01/27     23.731     0.000     7.8744    352.71   0.127385   0.132401   0.137614   0.143032  0.148663     47.38    51.18
Will CNTY SD #365, IL    969078QN7 03/17/09 11/01/28     21.864     0.000     7.8993    326.51   0.118064   0.122727   0.127574   0.132613  0.137851     43.91    47.45
Williamson Jackson , IL  970013EM6 11/20/14 12/01/21    101.267    VARIES     2.7966             0.077839   0.077762                                     25.67         
Williamson Jackson , IL  970013EN4 11/20/14 12/01/22    100.000    VARIES     2.9965             0.083243   0.083242   0.083240   0.083239               29.97    27.47
WIMBERLEY TEX INDPT SCH  972631MJ1 07/21/20 08/15/38     59.494     0.000     2.8950      7.67   0.047936   0.048629   0.049333   0.050048  0.050772     17.57    18.08
WIMBERLEY TEX INDPT SCH  972631MK8 07/21/20 08/15/39     57.268     0.000     2.9450      7.51   0.046940   0.047631   0.048333   0.049044  0.049767     17.21    17.72
WIMBERLEY TEX INDPT SCH  972631ML6 07/21/20 08/15/40     54.518     0.000     3.0460      7.39   0.046222   0.046926   0.047641   0.048366  0.049103     16.96    17.48
WINDTHORST TEX INDPT SCH 973814BZ8 11/24/20 08/01/24     95.931     0.000     1.1300      1.11   0.030113   0.030176   0.030347   0.030518  0.030690     10.89    11.01
WOODFORD & MARSHALL CNTY 979293BK2 08/07/18 12/01/21    105.912     5.250     3.3227     84.13   0.094033   0.093173                                     30.88         
WOODFORD & MARSHALL CNTY 979293BL0 08/07/18 12/01/22    106.949     5.250     3.4778     89.09   0.099886   0.099087   0.098274   0.097447               35.77    32.28
WOODFORD & MARSHALL CNTY 979293BM8 08/07/18 12/01/23    109.113     5.500     3.5804     93.58   0.104842   0.103984   0.103110   0.102221  0.101316     37.54    36.91
WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24    110.347     5.500     3.6329     96.11   0.107871   0.107055   0.106225   0.105379  0.104518     38.64    38.04
WOODFORD CNTY ILL CMNTY  979336EV2 11/09/17 12/01/21    101.907     3.250     2.7435     87.68   0.076588   0.076400                                     25.24         
XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28     84.602     0.000     2.0800      2.89   0.048962   0.049472   0.049986   0.050506  0.051031     17.75    18.12
XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29     82.128     0.000     2.1800      2.94   0.049820   0.050363   0.050912   0.051467  0.052028     18.07    18.46
XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30     79.569     0.000     2.2800      2.98   0.050486   0.051062   0.051644   0.052233  0.052828     18.31    18.73
XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31     76.938     0.000     2.3800      3.00   0.050962   0.051569   0.052182   0.052803  0.053432     18.49    18.93
YPF SA                   984245AU4 02/12/21 02/12/26     84.050    VARIES    11.5342                        0.158181   0.167303   0.176952  0.187157     51.73    64.73
YPF SA                   984245AV2 02/12/21 06/30/29     62.500    VARIES    15.6363             0.202020   0.214129   0.230870   0.248919  0.268380     66.65    86.40
YPF SA                   984245AW0 02/12/21 09/30/33     51.824    VARIES    14.1442             0.161947   0.165001   0.176670   0.189164  0.202542     53.55    68.20
York County, PA          986812MG7 12/28/95 02/01/21     16.787     0.000     7.2398    826.31   0.194079                                                 5.82         
York County, PA          986812MH5 12/28/95 02/01/22     15.635     0.000     7.2397    769.58   0.180754   0.187297   0.194076                          68.25     5.82
York County, PA          986812MJ1 12/28/95 02/01/23     14.561     0.000     7.2398    716.75   0.168349   0.174443   0.180758   0.187301  0.194081     63.56    68.25
York County, PA          986812MK8 12/28/95 02/01/24     13.562     0.000     7.2397    667.55   0.156789   0.162465   0.168346   0.174440  0.180754     59.20    63.56
YSLETA TEX INDPT SCH DIS 98816PDK5 07/22/20 08/15/21     99.164     0.000     0.7906      3.46   0.021788   0.021874                                      4.90         
YSLETA TEX INDPT SCH DIS 98816PDL3 07/22/20 08/15/22     98.183     0.000     0.8904      3.86   0.024298   0.024406   0.024514   0.024624                8.80     5.51
                                                                                                                                                                       
                                                                                                                                                                       
                                                                                                                                                                       



SECTION I-B                                                                                                                                                            
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2021 1st   2021 2nd   2021 3rd   2022 2nd  2022 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/21      Period     Period    2022 1st    Period    Period      2021     2022 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______
                                                                                                                                                                       
YSLETA TEX INDPT SCH DIS 98816PDM1 07/22/20 08/15/23     96.824     0.000     1.0561      4.52   0.028425   0.028575   0.028726   0.028877  0.029030     10.30    10.41
YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24     95.004     0.000     1.2651      5.31   0.033412   0.033623   0.033836   0.034050  0.034266     12.12    12.28
YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25     93.296     0.000     1.3750      5.67   0.035665   0.035910   0.036157   0.036406  0.036656     12.95    13.13
YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26     90.614     0.000     1.6319      6.54   0.041120   0.041455   0.041794   0.042135  0.042478     14.96    15.20
YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27     88.221     0.000     1.7820      6.95   0.043719   0.044109   0.044502   0.044898  0.045298     15.92    16.20
YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28     85.466     0.000     1.9570      7.40   0.046519   0.046974   0.047434   0.047898  0.048367     16.95    17.29
YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29     83.069     0.000     2.0570      7.56   0.047527   0.048016   0.048510   0.049009  0.049513     17.33    17.69
YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30     80.420     0.000     2.1769      7.74   0.048698   0.049228   0.049764   0.050306  0.050853     17.77    18.16
YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31     76.994     0.000     2.3769      8.09   0.050913   0.051518   0.052130   0.052750  0.053377     18.60    19.05
YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32     74.040     0.000     2.5069      8.21   0.051641   0.052289   0.052944   0.053608  0.054280     18.88    19.36
YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33     70.834     0.000     2.6570      8.32   0.052368   0.053063   0.053768   0.054482  0.055206     19.17    19.68
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000     2.6250    373.39   0.070119   0.071039   0.071972                          25.55     7.49
MC BRAZIL DOWNSTREAM TRA L626A6AA2 07/21/21 06/30/31    100.000     7.250     7.4281                        0.206336   0.206498   0.198946  0.191431     32.81    72.98
Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26    100.000    VARIES     8.7499             0.248726   0.249582   0.250475   0.249867  0.249233     89.98    89.86
YPF SA                   P989MJBR1 02/12/21 02/12/26     84.050    VARIES    11.5342                        0.158181   0.167303   0.176952  0.187157     51.73    64.73
YPF SA                   P989MJBS9 02/12/21 06/30/29     62.500    VARIES    15.6363             0.202020   0.214129   0.230870   0.248919  0.268380     66.65    86.40
YPF SA                   P989MJBT7 02/12/21 09/30/33     51.824    VARIES    14.1442             0.161947   0.165001   0.176670   0.189164  0.202542     53.55    68.20
CORONADO FINANCE PTY LTD Q2874LAA2 05/12/21 05/15/26     98.122    10.750    11.2507                        0.008039   0.008499   0.008977  0.009482      1.86     3.19
ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26     96.122     3.650     4.2802     10.27   0.013868   0.014165   0.014468   0.014778  0.015094      5.14     5.36
ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36     93.636     4.700     5.2667      5.16   0.007033   0.007218   0.007408   0.007603  0.007803      2.62     2.76
Cheriere Energy, Inc.    U16344AB6 11/28/14 05/28/21    100.000     0.000     4.8750             0.181600                                                26.51         
CHESAPEAKE ENERGY CORP   U16450AZ8 12/19/19 01/01/25^    94.912    11.500    12.9059      8.00   0.023680   0.025209   0.026835   0.028567                8.80^    9.97
CLEVELAND-CLIFFS INC     U1852LAC1 03/16/20 10/15/25*    81.514     6.375    10.8800     20.19   0.073678                                                 5.23*        
CLEVELAND-CLIFFS INC     U1852LAD9 03/16/20 03/15/27     81.330     7.000    10.8801     14.93   0.054134   0.057079   0.060184   0.063458  0.066910     20.66    22.97
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300     4.9136      9.19   0.005718   0.005858   0.006002   0.006149  0.006301      2.10     2.20
Kansas City Southern     U24468AF4 12/09/15 05/15/23     95.360     3.000     3.7202     30.20   0.018245   0.018584   0.018930   0.019282  0.019640      6.66     6.91
Eclipse Resources Corp.  U2779QAA2 07/06/15 07/15/23     97.903     8.875     9.2509     12.64   0.007961   0.008329   0.008714   0.009117  0.009539      3.06     3.35
EXPEDIA GROUP INC        U3010DAM2 03/03/21 03/15/31     99.081     2.950     3.3084                        0.091056   0.091094   0.091131  0.091168     27.14    32.81
HOUGHTON MIFFLIN HARCOUR U44150AA5 11/22/19 02/15/25     98.000     9.000     9.4937      3.48   0.009035   0.009464   0.009913   0.010384  0.010877      3.45     3.78
Hovnanian Enterprises    U48654AM6 11/01/11 11/01/21     53.000     5.000    13.8062    403.13   0.214046   0.228822                                     66.87         
Hovnanian Enterprises    U48654AN4 11/01/11 11/01/21     42.000     2.000    12.1926             0.307082   0.322415                                     94.88         
Liberty Media Corp.      U52892AD5 01/11/01 01/15/31*   100.000     3.500        N/A             1.116502   1.164918   1.215633                         404.07*        
MOOD MEDIA BORROWER LLC  U55360AB4 06/28/19 12/31/23     84.250    VARIES    20.4523    288.18   0.641998   0.707649   0.780014   0.859779  0.947702    243.07   295.33
PEABODY ENERGY CORP      U70493AJ7 01/29/21 12/31/24     78.890     8.500    15.6223             0.175678   0.185442   0.197822   0.211142  0.225477     60.10    73.64
PIC AU HOLDINGS LLC      U7190BAA5 01/29/21 12/31/24     91.510    10.000    12.8220             0.048150   0.050740   0.053993   0.057454  0.061137     16.46    20.07
    -----------------------------                                                                                                                                      
    *  Called in 2021; reportable OID is computed to call date.                                                                                                        
    ^  Issuer filed for bankruptcy on 6/28/2020.                                                                                                                       
                                                                                                                                                                       


SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2021 1st   2021 2nd   2021 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/21     Period     Period     Period         2021     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98   04/15/28     100.000       3.625      609.92     0.110673   0.371913   0.263974      100.16
U.S. Treasury        912810FH6   04/15/99   04/15/29     100.000       3.875      583.93     0.108942   0.365902   0.259744       98.55
U.S. Treasury        912810FQ6   10/15/01   04/15/32     100.000       3.375      466.97     0.100962   0.338852   0.240641       91.28
U.S. Treasury        912810FR4   07/15/04   01/15/25     100.000       2.375      381.39    -0.027143   0.225856   0.267353       85.95
U.S. Treasury        912810FS2   01/15/06   01/15/26     100.000       2.000      311.93    -0.025714   0.214420   0.253941       81.62
U.S. Treasury        912810PS1   01/15/07   01/15/27     100.000       2.375      291.19    -0.025000   0.211050   0.249941       80.34
U.S. Treasury        912810PV4   01/15/08   01/15/28     100.000       1.750      242.92    -0.024286   0.203204   0.240588       77.34
U.S. Treasury        912810PZ5   01/15/09   01/15/29     100.000       2.500      212.80    -0.023571   0.198232   0.234765       75.46
U.S. Treasury        912810QF8   02/15/10   02/15/40     100.000       2.125      204.72    -0.003778   0.254917   0.208561       74.96
U.S. Treasury        912810QP6   02/15/11   02/15/41     100.000       2.125      189.04    -0.003778   0.251602   0.205827       73.98
U.S. Treasury        912810QV3   02/15/12   02/15/42     100.000       0.750      152.36    -0.003556   0.243812   0.199496       71.70
U.S. Treasury        912810RA8   02/15/13   02/15/43     100.000       0.625      132.56    -0.003556   0.239669   0.196043       70.47
U.S. Treasury        912810RF7   02/15/14   02/15/44     100.000       1.375      117.26    -0.003333   0.236409   0.193381       69.52
U.S. Treasury        912810RL4   02/15/15   02/15/45     100.000       0.750      105.77    -0.003556   0.233978   0.191439       68.80
U.S. Treasury        912810RR1   02/15/16   02/15/46     100.000       1.000       98.94    -0.003333   0.232541   0.190216       68.38
U.S. Treasury        912810RW0   02/15/17   02/15/47     100.000       0.875       78.69    -0.003333   0.228232   0.186763       67.12
U.S. Treasury        912810SB5   02/15/18   02/15/48     100.000       1.000       55.93    -0.003333   0.223425   0.182806       65.70
U.S. Treasury        912810SG4   02/15/19   02/15/49     100.000       1.000       34.78    -0.003111   0.218950   0.179137       64.39
U.S. Treasury        912810SM1   02/15/20   02/15/50     100.000       0.250       12.81    -0.003111   0.214309   0.175252       63.01
U.S. Treasury        912810SV1   02/15/21   02/15/51     100.000       0.125                            0.211657   0.173094       62.37
U.S. Treasury        9128282L3   07/15/17   07/15/27     100.000       0.375       64.47    -0.021429   0.174033   0.206059       66.23
U.S. Treasury        9128283R9   01/15/18   01/15/28     100.000       0.500       55.63    -0.020714   0.172597   0.204294       65.68
U.S. Treasury        9128284H0   04/15/18   04/15/23     100.000       0.625       48.30     0.072019   0.242186   0.171923       65.22
U.S. Treasury        9128285W6   01/15/19   01/15/29     100.000       0.875       31.23    -0.020000   0.168564   0.199588       64.16
U.S. Treasury        9128286N5   04/15/19   04/15/24     100.000       0.500       32.43     0.071058   0.238470   0.169359       64.24
U.S. Treasury        9128287D6   07/15/19   07/15/29     100.000       0.250       17.96    -0.020000   0.166409   0.197059       63.34
U.S. Treasury        912828B25   01/15/14   01/15/24     100.000       0.625      115.96    -0.022143   0.182431   0.216059       69.44
U.S. Treasury        912828H45   01/15/15   01/15/25     100.000       0.250       99.36    -0.021429   0.179724   0.212765       68.40
U.S. Treasury        912828N71   01/15/16   01/15/26     100.000       0.625       95.86    -0.022143   0.179171   0.212118       68.18
U.S. Treasury        912828PP9   01/15/11   01/15/21     100.000       1.125      190.33    -0.023571                             -0.33
U.S. Treasury        912828Q60   04/15/16   04/15/21     100.000       0.125       98.65     0.075577                              7.86
U.S. Treasury        912828QV5   07/15/11   07/15/21     100.000       0.625      155.31    -0.022857   0.188895                  33.87
U.S. Treasury        912828S50   07/15/16   07/15/26     100.000       0.125       86.30    -0.021429   0.177624   0.210235       67.59
U.S. Treasury        912828SA9   01/15/12   01/15/22     100.000       0.125      150.46    -0.022857   0.188066   0.222706       71.58
U.S. Treasury        912828TE0   07/15/12   07/15/22     100.000       0.125      132.30    -0.022143   0.185138   0.219118       70.45
U.S. Treasury        912828UH1   01/15/13   01/15/23     100.000       0.125      128.09    -0.022143   0.184420   0.218353       70.19
U.S. Treasury        912828V49   01/15/17   01/15/27     100.000       0.375       77.95    -0.021429   0.176243   0.208647       67.07
U.S. Treasury        912828VM9   07/15/13   07/15/23     100.000       0.375      118.90    -0.022143   0.182928   0.216588       69.62
U.S. Treasury        912828WU0   07/15/14   07/15/24     100.000       0.125       96.62    -0.021429   0.179282   0.212235       68.23
U.S. Treasury        912828X39   04/15/17   04/15/22     100.000       0.125       70.69     0.073654   0.247322   0.175641       66.62



SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2021 1st   2021 2nd   2021 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/21     Period     Period     Period         2021     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912828XL9   07/15/15   07/15/25     100.000       0.375       98.02    -0.021429   0.179448   0.212588       68.32
U.S. Treasury        912828Y38   07/15/18   07/15/28     100.000       0.750       37.33    -0.020000   0.169558   0.200824       64.55
U.S. Treasury        912828YL8   10/15/19   10/15/24     100.000       0.125       14.90     0.069808   0.234426   0.166538       63.15
U.S. Treasury        912828Z37   01/15/20   01/15/30     100.000       0.125       12.07    -0.020000   0.165414   0.195941       62.97
U.S. Treasury        912828ZJ2   04/15/20   04/15/25     100.000       0.125        8.08     0.069327   0.232842   0.165385       62.72
U.S. Treasury        912828ZZ6   07/15/20   07/15/30     100.000       0.125       15.59    -0.020000   0.166022   0.196588       63.19
U.S. Treasury        91282CAQ4   10/15/20   10/15/25     100.000       0.125        3.54     0.069038   0.231803   0.164615       62.44
U.S. Treasury        91282CBF7   01/15/21   01/15/31     100.000       0.125                            0.163536   0.193588       62.51
U.S. Treasury        91282CCA7   04/15/21   04/15/26     100.000       0.125                            0.229344   0.162949       54.68
U.S. Treasury        91282CCM1   07/15/21   07/15/31     100.000       0.125                                       0.188059       31.97
U.S. Treasury        91282CDC2   10/15/21   10/15/26     100.000       0.125                                       0.156282       12.19



                                       Section II

                          STRIPPED COMPONENTS OF U.S. TREASURY AND
                              GOVERNMENT-SPONSORED ENTERPRISES


   FOR BROKERS & MIDDLEMEN ONLY: Original Issue Discount (OID) to be reported for stripped
   interest & principal components per $1000 Maturity Value (for calendar year 2021).

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/21    03/31/21       0.22          07/01/31    09/30/31       9.00
     04/01/21    06/30/21       0.45          10/01/31    12/31/31       9.06
     07/01/21    09/30/21       0.75          01/01/32    03/31/32       9.20
     10/01/21    12/31/21       1.00          04/01/32    06/30/32       9.34
     01/01/22    03/31/22       1.10          07/01/32    09/30/32       9.40
     04/01/22    06/30/22       1.10          10/01/32    12/31/32       9.54
     07/01/22    09/30/22       1.20          01/01/33    03/31/33       9.59
     10/01/22    12/31/22       1.30          04/01/33    06/30/33       9.73
     01/01/23    03/31/23       1.30          07/01/33    09/30/33       9.86
     04/01/23    06/30/23       1.40          10/01/33    12/31/33       9.91
     07/01/23    09/30/23       1.59          01/01/34    03/31/34      10.04
     10/01/23    12/31/23       1.69          04/01/34    06/30/34      10.09
     01/01/24    03/31/24       1.89          07/01/34    09/30/34      10.22
     04/01/24    06/30/24       2.09          10/01/34    12/31/34      10.26
     07/01/24    09/30/24       2.28          01/01/35    03/31/35      10.30
     10/01/24    12/31/24       2.48          04/01/35    06/30/35      10.43
     01/01/25    03/31/25       2.77          07/01/35    09/30/35      10.47
     04/01/25    06/30/25       2.97          10/01/35    12/31/35      10.58
     07/01/25    09/30/25       3.26          01/01/36    03/31/36      10.62
     10/01/25    12/31/25       3.55          04/01/36    06/30/36      10.66
     01/01/26    03/31/26       3.84          07/01/36    09/30/36      10.69
     04/01/26    06/30/26       4.22          10/01/36    12/31/36      10.80
     07/01/26    09/30/26       4.61          01/01/37    03/31/37      10.84
     10/01/26    12/31/26       4.99          04/01/37    06/30/37      10.87
     01/01/27    03/31/27       5.27          07/01/37    09/30/37      10.90
     04/01/27    06/30/27       5.64          10/01/37    12/31/37      10.93
     07/01/27    09/30/27       6.01          01/01/38    03/31/38      10.96
     10/01/27    12/31/27       6.28          04/01/38    06/30/38      11.06
     01/01/28    03/31/28       6.55          07/01/38    09/30/38      11.08
     04/01/28    06/30/28       6.73          10/01/38    12/31/38      11.11
     07/01/28    09/30/28       6.99          01/01/39    03/31/39      11.13
     10/01/28    12/31/28       7.25          04/01/39    06/30/39      11.16
     01/01/29    03/31/29       7.42          07/01/39    09/30/39      11.18
     04/01/29    06/30/29       7.68          10/01/39    12/31/39      11.14
     07/01/29    09/30/29       7.84          01/01/40    03/31/40      11.16
     10/01/29    12/31/29       8.00          04/01/40    06/30/40      11.18
     01/01/30    03/31/30       8.16          07/01/40    09/30/40      11.20
     04/01/30    06/30/30       8.32          10/01/40    12/31/40      11.21
     07/01/30    09/30/30       8.48          01/01/41    03/31/41      11.23
     10/01/30    12/31/30       8.63          04/01/41    06/30/41      11.18
     01/01/31    03/31/31       8.70          07/01/41    09/30/41      11.20
     04/01/31    06/30/31       8.85          10/01/41    12/31/41      11.22





                                    Section II
                                   (continued)

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/42    03/31/42      11.17          01/01/52    03/31/52      10.15
     04/01/42    06/30/42      11.18          04/01/52    06/30/52      10.10
     07/01/42    09/30/42      11.20          07/01/52    09/30/52      10.06
     10/01/42    12/31/42      11.21          10/01/52    12/31/52      10.01
     01/01/43    03/31/43      11.16          01/01/53    03/31/53       9.97
     04/01/43    06/30/43      11.17          04/01/53    06/30/53       9.92
     07/01/43    09/30/43      11.18          07/01/53    09/30/53       9.88
     10/01/43    12/31/43      11.13          10/01/53    12/31/53       9.84
     01/01/44    03/31/44      11.14          01/01/54    03/31/54       9.79
     04/01/44    06/30/44      11.09          04/01/54    06/30/54       9.75
     07/01/44    09/30/44      11.10          07/01/54    09/30/54       9.71
     10/01/44    12/31/44      11.10          10/01/54    12/31/54       9.66
     01/01/45    03/31/45      11.05          01/01/55    03/31/55       9.62
     04/01/45    06/30/45      11.06          04/01/55    06/30/55       9.58
     07/01/45    09/30/45      11.01          07/01/55    09/30/55       9.54
     10/01/45    12/31/45      11.01          10/01/55    12/31/55       9.49
     01/01/46    03/31/46      10.97          01/01/56    03/31/56       9.45
     04/01/46    06/30/46      10.97          04/01/56    06/30/56       9.41
     07/01/46    09/30/46      10.92          07/01/56    09/30/56       9.37
     10/01/46    12/31/46      10.92          10/01/56    12/31/56       9.33
     01/01/47    03/31/47      10.87          01/01/57    03/31/57       9.29
     04/01/47    06/30/47      10.87          04/01/57    06/30/57       9.25
     07/01/47    09/30/47      10.82          07/01/57    09/30/57       9.21
     10/01/47    12/31/47      10.77          10/01/57    12/31/57       9.16
     01/01/48    03/31/48      10.77          01/01/58    03/31/58       9.13
     04/01/48    06/30/48      10.72          04/01/58    06/30/58       9.08
     07/01/48    09/30/48      10.68          07/01/58    09/30/58       9.05
     10/01/48    12/31/48      10.67          10/01/58    12/31/58       9.01
     01/01/49    03/31/49      10.63          01/01/59    03/31/59       8.97
     04/01/49    06/30/49      10.58          04/01/59    06/30/59       8.93
     07/01/49    09/30/49      10.57          07/01/59    09/30/59       8.89
     10/01/49    12/31/49      10.53          10/01/59    12/31/59       8.85
     01/01/50    03/31/50      10.48          01/01/60    03/31/60       8.81
     04/01/50    06/30/50      10.43          04/01/60    06/30/60       8.77
     07/01/50    09/30/50      10.43          07/01/60    09/30/60       8.74
     10/01/50    12/31/50      10.38          10/01/60    12/31/60       8.70
     01/01/51    03/31/51      10.33          01/01/61    03/31/61       8.66
     04/01/51    06/30/51      10.29          04/01/61    06/30/61       8.62
     07/01/51    09/30/51      10.24          07/01/61    09/30/61       8.59
     10/01/51    12/31/51      10.19          10/01/61    12/31/61       8.55


       Note:  This section lists OID for use SOLELY by brokers and other middlemen
    in preparing information returns for zero coupon instruments issued under the
    Department of the Treasury's STRIPS program, by government-sponsored enterprises
    such as the Resolution Funding Corporation and the Financing Corporation, or as
    instruments backed by U.S. Treasury securities that represent ownership
    interests in such securities.  If you owned or held such debt instruments in 2021,
    do not rely on the amounts listed in this section.  Instead, follow the OID
    computation rules and methods described earlier in this publication under
    "Figuring OID on Stripped Bonds and Coupons."



                               Section III-A

                      Short Term U.S. Treasury Bills
                    Issued at a Discount and Maturing
                      January 2021 - December 2022

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796A58  01/05/21  08/04/20      99.953                 0.47
9127963T4  01/07/21  07/09/20      99.917                 0.83
912796A66  01/12/21  08/11/20      99.953                 0.47
9127963U1  01/14/21  07/16/20      99.927                 0.73
912796A74  01/19/21  08/18/20      99.949                 0.51
9127963V9  01/21/21  07/23/20      99.934                 0.66
912796A82  01/26/21  08/25/20      99.951                 0.49
912796UC1  01/28/21  01/30/20      98.493                15.07
912796B65  02/02/21  09/01/20      99.953                 0.47
9127963W7  02/04/21  08/06/20      99.947                 0.53
912796B73  02/09/21  09/08/20      99.949                 0.51
9127964C0  02/11/21  08/13/20      99.939                 0.61
912796B81  02/16/21  09/15/20      99.949                 0.51
9127964D8  02/18/21  08/20/20      99.939                 0.61
912796B99  02/23/21  09/22/20      99.953                 0.47
912796XE4  02/25/21  02/27/20      98.716                12.84
912796C23  03/02/21  09/29/20      99.957                 0.43
9127964F3  03/04/21  09/03/20      99.942                 0.58
912796C72  03/09/21  10/06/20      99.955                 0.45
9127964M8  03/11/21  09/10/20      99.937                 0.63
912796C80  03/16/21  10/13/20      99.953                 0.47
9127964N6  03/18/21  09/17/20      99.939                 0.61
912796C98  03/23/21  10/20/20      99.949                 0.51
9127962F5  03/25/21  03/26/20      99.737                 2.63
912796D22  03/30/21  10/27/20      99.951                 0.49
9127964P1  04/01/21  10/01/20      99.947                 0.53
912796D71  04/06/21  11/03/20      99.955                 0.45
9127964X4  04/08/21  10/08/20      99.944                 0.56
912796D89  04/13/21  11/10/20      99.955                 0.45
9127964Y2  04/15/21  10/15/20      99.942                 0.58
912796D97  04/20/21  11/17/20      99.957                 0.43
9127962Q1  04/22/21  04/23/20      99.833                 1.67
912796F20  04/27/21  11/24/20      99.962                 0.38
9127964Z9  04/29/21  10/29/20      99.944                 0.56
912796F79  05/04/21  12/01/20      99.962                 0.38
9127965A3  05/06/21  11/05/20      99.944                 0.56
912796F87  05/11/21  12/08/20      99.962                 0.38
912796A25  05/13/21  11/12/20      99.944                 0.56
912796F95  05/18/21  12/15/20      99.962                 0.38
9127962Y4  05/20/21  05/21/20      99.838                 1.62
912796G29  05/25/21  12/22/20      99.962                 0.38
912796A33  05/27/21  11/27/20      99.955                 0.45
912796G37  06/01/21  12/29/20      99.959                 0.41
912796A41  06/03/21  12/03/20      99.955                 0.45
912796G86  06/08/21  01/05/21      99.962                 0.38
912796B24  06/10/21  12/10/20      99.955                 0.45
912796G94  06/15/21  01/12/21      99.962                 0.38




                               Section III-A
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
9127963H0  06/17/21  06/18/20      99.798                 2.02
912796H28  06/22/21  01/19/21      99.962                 0.38
912796B32  06/24/21  12/24/20      99.955                 0.45
912796H36  06/29/21  01/26/21      99.962                 0.38
912796B40  07/01/21  12/31/20      99.949                 0.51
912796H85  07/06/21  02/02/21      99.966                 0.34
912796B57  07/08/21  01/07/21      99.955                 0.45
912796H93  07/13/21  02/09/21      99.976                 0.24
9127963S6  07/15/21  07/16/20      99.843                 1.57
912796J26  07/20/21  02/16/21      99.976                 0.24
912796C49  07/22/21  01/21/21      99.952                 0.48
912796J34  07/27/21  03/30/21      99.990                 0.10
912796C56  07/29/21  01/28/21      99.957                 0.43
912796J83  08/03/21  04/06/21      99.990                 0.10
912796C64  08/05/21  02/04/21      99.965                 0.35
912796J91  08/10/21  04/13/21      99.992                 0.08
9127964B2  08/12/21  08/13/20      99.858                 1.42
912796K24  08/17/21  04/20/21      99.992                 0.08
912796D48  08/19/21  02/18/21      99.970                 0.30
912796K32  08/24/21  04/27/21      99.992                 0.08
912796D55  08/26/21  02/25/21      99.977                 0.23
912796K40  08/31/21  05/04/21      99.992                 0.08
912796D63  09/02/21  03/04/21      99.970                 0.30
912796L23  09/07/21  05/11/21      99.992                 0.08
9127964L0  09/09/21  09/10/20      99.858                 1.42
912796L31  09/14/21  05/18/21      99.993                 0.07
912796F46  09/16/21  03/18/21      99.972                 0.28
912796L49  09/21/21  05/25/21      99.995                 0.05
912796F53  09/23/21  03/25/21      99.980                 0.20
912796L56  09/28/21  06/01/21      99.993                 0.07
912796F61  09/30/21  04/01/21      99.980                 0.20
912796M22  10/05/21  06/08/21      99.990                 0.10
9127964V8  10/07/21  10/08/20      99.858                 1.42
912796M30  10/12/21  06/15/21      99.990                 0.10
912796G52  10/14/21  04/15/21      99.980                 0.20
912796ZB8  10/15/21  08/19/21      99.990                 0.10
912796M48  10/19/21  06/22/21      99.988                 0.12
912796G60  10/21/21  04/22/21      99.980                 0.20
912796M55  10/26/21  06/29/21      99.983                 0.17
912796G78  10/28/21  04/29/21      99.982                 0.18
912796ZC6  11/01/21  08/26/21      99.989                 0.11
912796M63  11/02/21  07/06/21      99.983                 0.17
9127964W6  11/04/21  11/05/20      99.864                 1.36
912796N54  11/09/21  07/13/21      99.983                 0.17
912796H51  11/12/21  05/13/21      99.982                 0.18
912796N62  11/16/21  07/20/21      99.983                 0.17
912796H69  11/18/21  05/20/21      99.985                 0.15




                               Section III-A
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796N70  11/23/21  07/27/21      99.983                 0.17
912796H77  11/26/21  05/27/21      99.985                 0.15
912796N88  11/30/21  08/03/21      99.983                 0.17
9127965G0  12/02/21  12/03/20      99.889                 1.11
912796P52  12/07/21  08/10/21      99.983                 0.17
912796J59  12/09/21  06/10/21      99.980                 0.20
912796P60  12/14/21  08/17/21      99.985                 0.15
912796ZX0  12/15/21  10/28/21      99.987                 0.13
912796J67  12/16/21  06/17/21      99.980                 0.20
912796P78  12/21/21  08/24/21      99.985                 0.15
912796J75  12/23/21  06/24/21      99.972                 0.28
912796P86  12/28/21  08/31/21      99.983                 0.17
912796A90  12/30/21  12/31/20      99.889                 1.11
912796Y94  12/31/21  11/26/21      99.985                 0.15





                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796Q51  01/04/22  09/07/21      99.985                 0.15
912796K65  01/06/22  07/08/21      99.975                 0.25
912796Q69  01/11/22  09/14/21      99.985                 0.15
912796K73  01/13/22  07/15/21      99.975                 0.25
912796Q77  01/18/22  09/21/21      99.985                 0.15
912796K81  01/20/22  07/22/21      99.975                 0.25
912796Q85  01/25/22  09/28/21      99.988                 0.12
912796C31  01/27/22  01/28/21      99.909                 0.91
912796Q93  02/01/22  10/05/21      99.983                 0.17
912796K99  02/03/22  08/05/21      99.972                 0.28
912796R76  02/08/22  10/12/21      99.982                 0.18
912796L72  02/10/22  08/12/21      99.975                 0.25
912796R84  02/15/22  10/19/21      99.983                 0.17
912796L80  02/17/22  08/19/21      99.975                 0.25
912796R92  02/22/22  10/26/21      99.982                 0.18
912796D30  02/24/22  02/25/21      99.929                 0.71
912796S26  03/01/22  11/02/21      99.982                 0.18
912796L98  03/03/22  09/02/21      99.972                 0.28
912796S75  03/08/22  11/09/21      99.982                 0.18
912796M97  03/10/22  09/09/21      99.975                 0.25
912796S83  03/15/22  11/16/21      99.982                 0.18
912796N21  03/17/22  09/16/21      99.975                 0.25
912796S91  03/22/22  11/23/21      99.982                 0.18
912796F38  03/24/22  03/25/21      99.929                 0.71





                               Section III-A
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796T25  03/29/22  11/30/21      99.977                 0.23
912796N39  03/31/22  09/30/21      99.975                 0.25
912796T74  04/05/22  12/07/21      99.975                 0.25
912796N47  04/07/22  10/07/21      99.972                 0.28
912796T82  04/12/22  12/14/21      99.970                 0.30
912796P29  04/14/22  10/14/21      99.972                 0.28
912796T90  04/19/22  12/21/21      99.970                 0.30
912796G45  04/21/22  04/22/21      99.934                 0.66
912796U23  04/26/22  12/28/21      99.964                 0.36
912796P37  04/28/22  10/28/21      99.970                 0.30
912796U72  05/03/22  01/04/22      99.959                 0.41
912796P45  05/05/22  11/04/21      99.967                 0.33
912796U80  05/10/22  01/11/22      99.950                 0.50
912796Q28  05/12/22  11/12/21      99.967                 0.33
912796U98  05/17/22  01/18/22      99.934                 0.66
912796H44  05/19/22  05/20/21      99.944                 0.56
912796Q36  05/26/22  11/26/21      99.965                 0.35




                               Section III-B

                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2021

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385AD8  01/04/21  03/19/20      99.758                 2.42
313385AE6  01/05/21  07/23/20      99.954                 0.46
313385AF3  01/06/21  01/10/20      98.492                15.08
313385AG1  01/07/21  01/14/20      98.504                14.96
313385AH9  01/08/21  01/09/20      98.479                15.21
313385AL0  01/11/21  01/21/20      98.517                14.83
313385AM8  01/12/21  01/21/20      98.513                14.87
313385AN6  01/13/21  01/13/20      98.475                15.25
313385AP1  01/14/21  04/28/20      99.891                 1.09
313385AQ9  01/15/21  01/28/20      98.529                14.71
313385AU0  01/19/21  03/27/20      99.917                 0.83
313385AV8  01/20/21  01/23/20      98.442                15.58
313385AW6  01/21/21  01/21/20      98.429                15.71
313385AX4  01/22/21  01/22/20      98.429                15.71
313385BA3  01/25/21  03/16/20      99.545                 4.55
313385BB1  01/26/21  06/11/20      99.886                 1.14
313385BC9  01/27/21  05/08/20      99.905                 0.95
313385BD7  01/28/21  02/28/20      98.935                10.65
313385BE5  01/29/21  02/14/20      98.561                14.39
313385BH8  02/01/21  02/07/20      98.510                14.90
313385BJ4  02/02/21  03/31/20      99.812                 1.88
313385BK1  02/03/21  03/05/20      99.395                 6.05
313385BL9  02/04/21  04/24/20      99.881                 1.19
313385BM7  02/05/21  02/07/20      98.493                15.07
313385BQ8  02/08/21  02/12/20      98.502                14.98
313385BR6  02/09/21  03/13/20      99.644                 3.56
313385BS4  02/10/21  02/11/20      98.489                15.11
313385BT2  02/11/21  02/11/20      98.485                15.15
313385BU9  02/12/21  02/12/20      98.485                15.15
313385BY1  02/16/21  03/24/20      99.653                 3.47
313385BZ8  02/17/21  05/28/20      99.904                 0.96
313385CA2  02/18/21  03/24/20      99.641                 3.59
313385CB0  02/19/21  03/24/20      99.640                 3.60
313385CE4  02/22/21  03/16/20      99.505                 4.95
313385CF1  02/23/21  07/22/20      99.934                 0.66
313385CG9  02/24/21  02/26/20      98.630                13.70
313385CH7  02/25/21  03/16/20      99.471                 5.29
313385CJ3  02/26/21  03/24/20      99.633                 3.67
313385CM6  03/01/21  03/16/20      99.491                 5.09
313385CN4  03/02/21  03/31/20      99.776                 2.24
313385CP9  03/03/21  03/30/20      99.887                 1.13
313385CQ7  03/04/21  03/27/20      99.905                 0.95
313385CR5  03/05/21  03/16/20      99.489                 5.11
313385CU8  03/08/21  03/10/20      99.546                 4.54
313385CV6  03/09/21  03/10/20      99.596                 4.04
313385CW4  03/10/21  03/16/20      99.481                 5.19
313385CX2  03/11/21  03/11/20      99.566                 4.34




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385CY0  03/12/21  03/16/20      99.398                 6.02
313385DB9  03/15/21  03/16/20      99.474                 5.26
313385DC7  03/16/21  03/18/20      99.476                 5.24
313385DD5  03/17/21  03/19/20      99.698                 3.02
313385DE3  03/18/21  03/19/20      99.646                 3.54
313385DF0  03/19/21  03/19/20      99.645                 3.55
313385DJ2  03/22/21  03/23/20      99.596                 4.04
313385DK9  03/23/21  03/25/20      99.587                 4.13
313385DL7  03/24/21  03/25/20      99.574                 4.26
313385DM5  03/25/21  03/25/20      99.554                 4.46
313385DN3  03/26/21  04/24/20      99.832                 1.68
313385DR4  03/29/21  04/30/20      99.852                 1.48
313385DS2  03/30/21  04/13/20      99.708                 2.93
313385DT0  03/31/21  04/22/20      99.886                 1.14
313385DU7  04/01/21  04/03/20      99.758                 2.42
313385DY9  04/05/21  04/15/20      99.783                 2.17
313385DZ6  04/06/21  04/07/20      99.697                 3.03
313385EA0  04/07/21  04/08/20      99.697                 3.03
313385EB8  04/08/21  12/02/20      99.979                 0.21
313385EC6  04/09/21  04/14/20      99.750                 2.50
313385EF9  04/12/21  04/13/20      99.697                 3.03
313385EG7  04/13/21  09/11/20      99.947                 0.53
313385EH5  04/14/21  04/15/20      99.727                 2.73
313385EJ1  04/15/21  04/15/20      99.777                 2.23
313385EK8  04/16/21  04/24/20      99.802                 1.98
313385EN2  04/19/21  04/28/20      99.792                 2.08
313385EP7  04/20/21  04/21/20      99.767                 2.33
313385EQ5  04/21/21  04/22/20      99.788                 2.12
313385ER3  04/22/21  04/22/20      99.787                 2.13
313385ES1  04/23/21  04/24/20      99.798                 2.02
313385EV4  04/26/21  04/28/20      99.798                 2.02
313385EW2  04/27/21  04/27/20      99.797                 2.03
313385EX0  04/28/21  04/28/20      99.798                 2.02
313385EY8  04/29/21  04/30/20      99.798                 2.02
313385EZ5  04/30/21  04/30/20      99.821                 1.79
313385FC5  05/03/21  05/04/20      99.828                 1.72
313385FD3  05/04/21  05/05/20      99.848                 1.52
313385FE1  05/05/21  05/05/20      99.848                 1.52
313385FF8  05/06/21  05/08/20      99.849                 1.51
313385FG6  05/07/21  05/08/20      99.848                 1.52
313385FK7  05/10/21  05/12/20      99.859                 1.41
313385FL5  05/11/21  09/25/20      99.949                 0.51
313385FM3  05/12/21  05/28/20      99.830                 1.70
313385FN1  05/13/21  05/13/20      99.838                 1.62
313385FP6  05/14/21  05/15/20      99.855                 1.45
313385FS0  05/17/21  06/29/20      99.884                 1.16
313385FT8  05/18/21  05/20/20      99.859                 1.41




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385FU5  05/19/21  05/19/20      99.833                 1.67
313385FV3  05/20/21  09/22/20      99.940                 0.60
313385FW1  05/21/21  05/22/20      99.853                 1.47
313385FZ4  05/24/21  09/04/20      99.927                 0.73
313385GA8  05/25/21  09/08/20      99.928                 0.72
313385GB6  05/26/21  05/26/20      99.812                 1.88
313385GC4  05/27/21  05/27/20      99.812                 1.88
313385GD2  05/28/21  07/02/20      99.863                 1.37
313385GH3  06/01/21  06/19/20      99.865                 1.35
313385GJ9  06/02/21  06/15/20      99.883                 1.17
313385GK6  06/03/21  06/12/20      99.832                 1.68
313385GL4  06/04/21  06/15/20      99.833                 1.67
313385GP5  06/07/21  06/11/20      99.809                 1.91
313385GQ3  06/08/21  06/15/20      99.831                 1.69
313385GR1  06/09/21  06/11/20      99.808                 1.92
313385GS9  06/10/21  10/23/20      99.936                 0.64
313385GT7  06/11/21  06/11/20      99.798                 2.02
313385GW0  06/14/21  06/15/20      99.818                 1.82
313385GX8  06/15/21  06/16/20      99.818                 1.82
313385GY6  06/16/21  06/16/20      99.878                 1.22
313385GZ3  06/17/21  06/18/20      99.818                 1.82
313385HA7  06/18/21  06/19/20      99.818                 1.82
313385HD1  06/21/21  10/08/20      99.943                 0.57
313385HE9  06/22/21  10/08/20      99.943                 0.57
313385HF6  06/23/21  06/29/20      99.860                 1.40
313385HG4  06/24/21  06/24/20      99.812                 1.88
313385HH2  06/25/21  06/26/20      99.833                 1.67
313385HL3  06/28/21  08/17/20      99.899                 1.01
313385HM1  06/29/21  09/10/20      99.919                 0.81
313385HN9  06/30/21  09/30/20      99.939                 0.61
313385HP4  07/01/21  07/13/20      99.882                 1.18
313385HQ2  07/02/21  10/20/20      99.943                 0.57
313385HU3  07/06/21  09/01/20      99.923                 0.77
313385HV1  07/07/21  07/08/20      99.879                 1.21
313385HW9  07/08/21  09/29/20      99.937                 0.63
313385HX7  07/09/21  07/22/20      99.883                 1.17
313385JA5  07/12/21  08/28/20      99.921                 0.79
313385JB3  07/13/21  10/29/20      99.950                 0.50
313385JC1  07/14/21  07/15/20      99.850                 1.50
313385JD9  07/15/21  08/17/20      99.899                 1.01
313385JE7  07/16/21  11/02/20      99.957                 0.43
313385JH0  07/19/21  09/29/20      99.935                 0.65
313385JJ6  07/20/21  11/02/20      99.957                 0.43
313385JK3  07/21/21  08/24/20      99.917                 0.83
313385JL1  07/22/21  09/29/20      99.934                 0.66
313385JM9  07/23/21  10/20/20      99.939                 0.61
313385JQ0  07/26/21  10/26/20      99.924                 0.76




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385JR8  07/27/21  01/28/21      99.970                 0.30
313385JS6  07/28/21  12/08/20      99.952                 0.48
313385JT4  07/29/21  12/21/20      99.957                 0.43
313385JU1  07/30/21  08/26/20      99.906                 0.94
313385JX5  08/02/21  08/31/20      99.907                 0.93
313385JY3  08/03/21  11/09/20      99.956                 0.44
313385JZ0  08/04/21  11/09/20      99.955                 0.45
313385KA3  08/05/21  08/26/20      99.904                 0.96
313385KB1  08/06/21  08/28/20      99.905                 0.95
313385KE5  08/09/21  10/27/20      99.921                 0.79
313385KF2  08/10/21  11/03/20      99.953                 0.47
313385KG0  08/11/21  11/12/20      99.955                 0.45
313385KH8  08/12/21  05/10/21      99.996                 0.04
313385KJ4  08/13/21  11/13/20      99.955                 0.45
313385KM7  08/16/21  11/13/20      99.954                 0.46
313385KN5  08/17/21  08/18/20      99.874                 1.26
313385KP0  08/18/21  09/18/20      99.907                 0.93
313385KQ8  08/19/21  08/27/20      99.901                 0.99
313385KR6  08/20/21  09/09/20      99.895                 1.05
313385KU9  08/23/21  11/05/20      99.952                 0.48
313385KV7  08/24/21  11/18/20      99.938                 0.62
313385KW5  08/25/21  11/17/20      99.945                 0.55
313385KX3  08/26/21  11/19/20      99.938                 0.62
313385KY1  08/27/21  08/27/20      99.899                 1.01
313385LB0  08/30/21  09/09/20      99.892                 1.08
313385LC8  08/31/21  09/11/20      99.892                 1.08
313385LD6  09/01/21  09/03/20      99.899                 1.01
313385LE4  09/02/21  09/04/20      99.899                 1.01
313385LF1  09/03/21  09/08/20      99.900                 1.00
313385LK0  09/07/21  12/07/20      99.932                 0.68
313385LL8  09/08/21  11/18/20      99.935                 0.65
313385LM6  09/09/21  09/10/20      99.889                 1.11
313385LN4  09/10/21  03/12/21      99.972                 0.28
313385LR5  09/13/21  12/07/20      99.930                 0.70
313385LS3  09/14/21  12/07/20      99.930                 0.70
313385LT1  09/15/21  10/19/20      99.894                 1.06
313385LU8  09/16/21  09/22/20      99.900                 1.00
313385LV6  09/17/21  03/19/21      99.980                 0.20
313385LY0  09/20/21  10/19/20      99.893                 1.07
313385LZ7  09/21/21  09/22/20      99.884                 1.16
313385MA1  09/22/21  09/23/20      99.899                 1.01
313385MB9  09/23/21  12/10/20      99.948                 0.52
313385MC7  09/24/21  12/10/20      99.948                 0.52
313385MF0  09/27/21  12/10/20      99.947                 0.53
313385MG8  09/28/21  10/20/20      99.890                 1.10
313385MH6  09/29/21  12/10/20      99.947                 0.53
313385MJ2  09/30/21  10/19/20      99.889                 1.11




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385MK9  10/01/21  10/02/20      99.919                 0.81
313385MN3  10/04/21  10/28/20      99.924                 0.76
313385MP8  10/05/21  10/21/20      99.884                 1.16
313385MQ6  10/06/21  10/22/20      99.884                 1.16
313385MR4  10/07/21  12/11/20      99.946                 0.54
313385MS2  10/08/21  12/11/20      99.946                 0.54
313385MW3  10/12/21  12/11/20      99.945                 0.55
313385MX1  10/13/21  10/13/20      99.878                 1.22
313385MY9  10/14/21  10/22/20      99.901                 0.99
313385MZ6  10/15/21  10/15/20      99.878                 1.22
313385NC6  10/18/21  10/19/20      99.879                 1.21
313385ND4  10/19/21  10/19/20      99.868                 1.32
313385NE2  10/20/21  12/11/20      99.943                 0.57
313385NF9  10/21/21  11/20/20      99.953                 0.47
313385NG7  10/22/21  10/27/20      99.920                 0.80
313385NK8  10/25/21  11/20/20      99.953                 0.47
313385NL6  10/26/21  12/15/20      99.939                 0.61
313385NM4  10/27/21  11/20/20      99.953                 0.47
313385NN2  10/28/21  10/28/20      99.919                 0.81
313385NP7  10/29/21  11/04/20      99.940                 0.60
313385NS1  11/01/21  11/19/20      99.942                 0.58
313385NT9  11/02/21  11/19/20      99.942                 0.58
313385NU6  11/03/21  12/18/20      99.929                 0.71
313385NV4  11/04/21  07/16/21      99.986                 0.14
313385NW2  11/05/21  11/19/20      99.942                 0.59
313385NZ5  11/08/21  12/09/20      99.935                 0.65
313385PA8  11/09/21  12/09/20      99.935                 0.65
313385PB6  11/10/21  12/09/20      99.935                 0.65
313385PD2  11/12/21  12/09/20      99.934                 0.66
313385PG5  11/15/21  11/24/20      99.951                 0.49
313385PH3  11/16/21  12/02/20      99.913                 0.87
313385PJ9  11/17/21  12/02/20      99.913                 0.87
313385PK6  11/18/21  12/02/20      99.912                 0.88
313385PL4  11/19/21  12/02/20      99.912                 0.88
313385PP5  11/22/21  11/24/20      99.950                 0.50
313385PQ3  11/23/21  04/21/21      99.976                 0.24
313385PR1  11/24/21  11/24/20      99.949                 0.51
313385PT7  11/26/21  12/03/20      99.911                 0.89
313385PW0  11/29/21  09/13/21      99.991                 0.09
313385PX8  11/30/21  11/30/20      99.909                 0.91
313385PY6  12/01/21  12/01/20      99.929                 0.71
313385PZ3  12/02/21  12/11/20      99.911                 0.89
313385QA7  12/03/21  03/26/21      99.972                 0.28
313385QD1  12/06/21  08/30/21      99.995                 0.05
313385QE9  12/07/21  01/05/21      99.935                 0.65
313385QF6  12/08/21  06/09/21      99.982                 0.18
313385QG4  12/09/21  08/13/21      99.992                 0.08




                               Section III-B
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385QH2  12/10/21  12/11/20      99.909                 0.91
313385QL3  12/13/21  12/28/20      99.932                 0.68
313385QM1  12/14/21  01/15/21      99.935                 0.65
313385QN9  12/15/21  12/15/20      99.914                 0.86
313385QP4  12/16/21  12/16/20      99.914                 0.86
313385QQ2  12/17/21  12/17/20      99.914                 0.86
313385QT6  12/20/21  12/21/20      99.929                 0.71
313385QU3  12/21/21  12/21/20      99.929                 0.71
313385QV1  12/22/21  01/11/21      99.933                 0.67
313385QW9  12/23/21  12/24/20      99.949                 0.51
313385RA6  12/27/21  01/22/21      99.934                 0.66
313385RB4  12/28/21  01/20/21      99.934                 0.67
313385RC2  12/29/21  01/12/21      99.932                 0.68
313385RD0  12/30/21  01/28/21      99.944                 0.56
313385RE8  12/31/21  01/22/21      99.933                 0.67




                               Section III-C

                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2021

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313589AD5  01/04/21  07/01/20      99.899                 1.01
313589AN3  01/13/21  10/14/20      99.979                 0.21
313589AP8  01/14/21  04/20/20      99.903                 0.97
313589AQ6  01/15/21  03/19/20      99.815                 1.85
313589AU7  01/19/21  04/07/20      99.857                 1.44
313589AV5  01/20/21  10/21/20      99.982                 0.18
313589BA0  01/25/21  12/04/20      99.989                 0.11
313589BC6  01/27/21  10/28/20      99.983                 0.17
313589BK8  02/03/21  11/04/20      99.983                 0.17
313589BU6  02/12/21  03/25/20      99.748                 2.52
313589BZ5  02/17/21  04/22/20      99.916                 0.84
313589CB7  02/19/21  03/31/20      99.838                 1.62
313589CH4  02/25/21  01/07/21      99.990                 0.10
313589CM3  03/01/21  03/23/20      99.733                 2.67
313589CN1  03/02/21  04/07/20      99.817                 1.83
313589CP6  03/03/21  04/07/20      99.817                 1.83
313589CQ4  03/04/21  04/07/20      99.816                 1.84
313589CR2  03/05/21  04/07/20      99.816                 1.84
313589CU5  03/08/21  04/08/20      99.814                 1.86
313589CV3  03/09/21  04/08/20      99.814                 1.86
313589CW1  03/10/21  03/25/20      99.728                 2.72
313589CY7  03/12/21  07/02/20      99.909                 0.91
313589DB6  03/15/21  12/23/20      99.989                 0.11
313589DD2  03/17/21  11/23/20      99.987                 0.13
313589DF7  03/19/21  06/30/20      99.905                 0.95
313589DM2  03/25/21  01/26/21      99.989                 0.11
313589DU4  04/01/21  10/01/20      99.965                 0.35
313589EH2  04/14/21  07/01/20      99.896                 1.04
313589EJ8  04/15/21  05/21/20      99.899                 1.01
313589EK5  04/16/21  07/27/20      99.927                 0.73
313589FC2  05/03/21  11/02/20      99.972                 0.28
313589FN8  05/13/21  07/02/20      99.886                 1.14
313589FP3  05/14/21  06/17/20      99.880                 1.20
313589FS7  05/17/21  09/17/20      99.953                 0.47
313589GJ6  06/02/21  12/02/20      99.957                 0.43
313589GR8  06/09/21  12/09/20      99.963                 0.37
313589GW7  06/14/21  07/06/20      99.876                 1.24
313589GX5  06/15/21  07/06/20      99.876                 1.24
313589GY3  06/16/21  07/06/20      99.875                 1.25
313589GZ0  06/17/21  08/20/20      99.933                 0.67
313589HP1  07/01/21  01/04/21      99.968                 0.32
313589JC8  07/14/21  10/22/20      99.948                 0.52
313589JD6  07/15/21  09/17/20      99.941                 0.59
313589KJ1  08/13/21  10/23/20      99.943                 0.57
313589LT8  09/15/21  06/16/21      99.998                 0.02
313589MA8  09/22/21  06/23/21      99.992                 0.08
313589MH3  09/29/21  06/30/21      99.993                 0.07




                               Section III-C
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313589MK6  10/01/21  04/01/21      99.989                 0.11
313589MQ3  10/06/21  07/07/21      99.993                 0.07
313589MX8  10/13/21  07/14/21      99.992                 0.08
313589NE9  10/20/21  07/21/21      99.992                 0.08
313589NM1  10/27/21  07/28/21      99.991                 0.09
313589NS8  11/01/21  05/03/21      99.993                 0.07
313589NU3  11/03/21  08/04/21      99.992                 0.08
313589PB3  11/10/21  08/11/21      99.992                 0.08
313589PG2  11/15/21  05/17/21      99.996                 0.04
313589PJ6  11/17/21  08/18/21      99.991                 0.09
313589PY3  12/01/21  09/01/21      99.992                 0.08
313589QF3  12/08/21  09/08/21      99.992                 0.08
313589QN6  12/15/21  09/15/21      99.992                 0.08
313589RC9  12/29/21  09/29/21      99.994                 0.06




                               Section III-D

                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2021

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313AD0  01/04/21  03/19/20      99.701                 2.99
313313AE8  01/05/21  01/24/20      98.487                15.13
313313AF5  01/06/21  07/21/20      99.925                 0.75
313313AG3  01/07/21  03/13/20      99.575                 4.25
313313AH1  01/08/21  03/20/20      99.698                 3.02
313313AL2  01/11/21  07/23/20      99.924                 0.76
313313AM0  01/12/21  03/11/20      99.582                 4.18
313313AN8  01/13/21  04/22/20      99.852                 1.48
313313AP3  01/14/21  08/14/20      99.941                 0.60
313313AQ1  01/15/21  03/17/20      99.536                 4.64
313313AU2  01/19/21  03/09/20      99.675                 3.25
313313AV0  01/20/21  03/02/20      99.181                 8.19
313313AW8  01/21/21  09/08/20      99.948                 0.53
313313AX6  01/22/21  03/24/20      99.704                 2.96
313313BA5  01/25/21  03/11/20      99.564                 4.36
313313BB3  01/26/21  02/06/20      98.462                15.38
313313BC1  01/27/21  02/10/20      98.484                15.16
313313BD9  01/28/21  08/28/20      99.941                 0.60
313313BE7  01/29/21  01/30/20      98.479                15.21
313313BH0  02/01/21  08/05/20      99.935                 0.65
313313BJ6  02/02/21  02/13/20      98.472                15.29
313313BK3  02/03/21  04/15/20      99.755                 2.45
313313BL1  02/04/21  05/04/20      99.847                 1.53
313313BM9  02/05/21  03/13/20      99.534                 4.66
313313BQ0  02/08/21  08/18/20      99.932                 0.68
313313BS6  02/10/21  03/04/20      99.238                 7.62
313313BT4  02/11/21  03/10/20      99.540                 4.60
313313BU1  02/12/21  03/11/20      99.568                 4.32
313313BY3  02/16/21  03/17/20      99.477                 5.23
313313BZ0  02/17/21  03/04/20      99.222                 7.78
313313CA4  02/18/21  05/12/20      99.836                 1.65
313313CB2  02/19/21  08/03/20      99.928                 0.72
313313CE6  02/22/21  03/11/20      99.691                 3.09
313313CG1  02/24/21  03/10/20      99.542                 4.58
313313CH9  02/25/21  12/17/20      99.979                 0.21
313313CJ5  02/26/21  08/18/20      99.920                 0.80
313313CN6  03/02/21  06/30/20      99.857                 1.43
313313CP1  03/03/21  06/01/20      99.840                 1.60
313313CQ9  03/04/21  03/06/20      99.496                 5.04
313313CU0  03/08/21  03/11/20      99.537                 4.63
313313CW6  03/10/21  03/20/20      99.576                 4.24
313313CX4  03/11/21  06/05/20      99.830                 1.71
313313CY2  03/12/21  03/13/20      99.484                 5.16
313313DB1  03/15/21  03/19/20      99.609                 3.91
313313DC9  03/16/21  03/17/20      99.414                 5.86
313313DD7  03/17/21  03/17/20      99.412                 5.88
313313DE5  03/18/21  08/17/20      99.911                 0.89




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313DF2  03/19/21  09/30/20      99.939                 0.61
313313DJ4  03/22/21  08/27/20      99.914                 0.86
313313DK1  03/23/21  02/16/21      99.994                 0.06
313313DL9  03/24/21  03/25/20      99.525                 4.75
313313DM7  03/25/21  03/25/20      99.524                 4.77
313313DN5  03/26/21  06/30/20      99.843                 1.57
313313DR6  03/29/21  08/18/20      99.907                 0.93
313313DT2  03/31/21  09/10/20      99.910                 0.90
313313DU9  04/01/21  04/02/20      99.666                 3.34
313313DY1  04/05/21  04/28/20      99.782                 2.19
313313DZ8  04/06/21  09/08/20      99.907                 0.93
313313EA2  04/07/21  05/28/20      99.808                 1.92
313313EB0  04/08/21  06/16/20      99.811                 1.89
313313EC8  04/09/21  08/18/20      99.903                 0.98
313313EF1  04/12/21  07/15/20      99.865                 1.36
313313EG9  04/13/21  04/23/20      99.773                 2.27
313313EH7  04/14/21  06/19/20      99.826                 1.74
313313EK0  04/16/21  10/14/20      99.928                 0.72
313313EN4  04/19/21  04/23/20      99.769                 2.31
313313ER5  04/22/21  08/18/20      99.897                 1.03
313313ES3  04/23/21  10/26/20      99.930                 0.70
313313EV6  04/26/21  07/31/20      99.895                 1.05
313313EW4  04/27/21  07/21/20      99.860                 1.40
313313EX2  04/28/21  06/09/20      99.803                 1.97
313313EY0  04/29/21  11/04/20      99.936                 0.64
313313EZ7  04/30/21  02/11/21      99.985                 0.15
313313FC7  05/03/21  06/30/20      99.864                 1.36
313313FD5  05/04/21  10/01/20      99.916                 0.84
313313FE3  05/05/21  06/16/20      99.794                 2.06
313313FF0  05/06/21  07/30/20      99.876                 1.24
313313FK9  05/10/21  08/18/20      99.875                 1.25
313313FL7  05/11/21  06/16/20      99.790                 2.10
313313FM5  05/12/21  11/23/20      99.948                 0.52
313313FN3  05/13/21  02/12/21      99.983                 0.18
313313FP8  05/14/21  07/17/20      99.850                 1.51
313313FS2  05/17/21  06/09/20      99.772                 2.28
313313FU7  05/19/21  04/27/21      99.998                 0.02
313313FV5  05/20/21  08/05/20      99.880                 1.20
313313FW3  05/21/21  04/28/21      99.997                 0.03
313313FZ6  05/24/21  10/21/20      99.916                 0.84
313313GA0  05/25/21  06/12/20      99.778                 2.22
313313GC6  05/27/21  05/20/21      99.999                 0.01
313313GD4  05/28/21  03/17/21      99.990                 0.10
313313GH5  06/01/21  06/02/20      99.778                 2.22
313313GJ1  06/02/21  09/02/20      99.886                 1.14
313313GK8  06/03/21  03/16/21      99.989                 0.11
313313GL6  06/04/21  12/14/20      99.943                 0.57




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313GP7  06/07/21  03/22/21      99.991                 0.09
313313GQ5  06/08/21  11/02/20      99.909                 0.91
313313GR3  06/09/21  04/29/21      99.995                 0.05
313313GS1  06/10/21  08/05/20      99.871                 1.29
313313GT9  06/11/21  10/21/20      99.909                 0.91
313313GW2  06/14/21  12/14/20      99.939                 0.61
313313GX0  06/15/21  08/26/20      99.878                 1.22
313313GY8  06/16/21  12/21/20      99.941                 0.59
313313GZ5  06/17/21  09/24/20      99.897                 1.03
313313HA9  06/18/21  12/17/20      99.939                 0.61
313313HD3  06/21/21  06/24/20      99.779                 2.21
313313HE1  06/22/21  01/19/21      99.949                 0.51
313313HL5  06/28/21  12/23/20      99.938                 0.62
313313HM3  06/29/21  04/30/21      99.993                 0.07
313313HN1  06/30/21  11/12/20      99.911                 0.89
313313HP6  07/01/21  07/27/20      99.831                 1.70
313313HQ4  07/02/21  07/06/20      99.779                 2.21
313313HU5  07/06/21  08/18/20      99.848                 1.52
313313HV3  07/07/21  11/18/20      99.910                 0.90
313313HX9  07/09/21  11/18/20      99.916                 0.84
313313JA7  07/12/21  09/14/20      99.858                 1.42
313313JB5  07/13/21  07/14/20      99.798                 2.02
313313JC3  07/14/21  12/31/20      99.935                 0.65
313313JD1  07/15/21  10/08/20      99.883                 1.17
313313JE9  07/16/21  10/23/20      99.882                 1.18
313313JH2  07/19/21  09/22/20      99.875                 1.25
313313JJ8  07/20/21  09/15/20      99.855                 1.45
313313JK5  07/21/21  08/11/20      99.838                 1.62
313313JL3  07/22/21  12/30/20      99.932                 0.68
313313JM1  07/23/21  07/15/21      99.998                 0.02
313313JQ2  07/26/21  11/25/20      99.912                 0.88
313313JS8  07/28/21  09/15/20      99.851                 1.49
313313JT6  07/29/21  04/14/21      99.985                 0.15
313313JU3  07/30/21  02/10/21      99.962                 0.38
313313JX7  08/02/21  02/12/21      99.962                 0.38
313313JY5  08/03/21  09/15/20      99.848                 1.52
313313KA5  08/05/21  08/05/20      99.848                 1.52
313313KB3  08/06/21  02/17/21      99.958                 0.43
313313KE7  08/09/21  02/18/21      99.962                 0.38
313313KF4  08/10/21  09/08/20      99.832                 1.68
313313KG2  08/11/21  10/16/20      99.867                 1.33
313313KH0  08/12/21  08/13/20      99.828                 1.72
313313KJ6  08/13/21  09/11/20      99.841                 1.59
313313KM9  08/16/21  02/08/21      99.958                 0.42
313313KN7  08/17/21  10/19/20      99.866                 1.34
313313KP2  08/18/21  08/20/20      99.839                 1.61
313313KQ0  08/19/21  12/30/20      99.916                 0.84




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313KU1  08/23/21  02/25/21      99.955                 0.45
313313KV9  08/24/21  09/16/20      99.848                 1.52
313313KW7  08/25/21  01/14/21      99.926                 0.74
313313KX5  08/26/21  11/25/20      99.901                 0.99
313313KY3  08/27/21  12/16/20      99.908                 0.92
313313LB2  08/30/21  12/30/20      99.912                 0.88
313313LC0  08/31/21  09/16/20      99.845                 1.55
313313LD8  09/01/21  02/19/21      99.957                 0.43
313313LE6  09/02/21  11/16/20      99.879                 1.21
313313LF3  09/03/21  11/13/20      99.878                 1.23
313313LK2  09/07/21  01/19/21      99.917                 0.83
313313LL0  09/08/21  11/03/20      99.863                 1.37
313313LM8  09/09/21  10/08/20      99.851                 1.49
313313LN6  09/10/21  04/01/21      99.973                 0.27
313313LR7  09/13/21  04/12/21      99.974                 0.26
313313LS5  09/14/21  10/13/20      99.851                 1.49
313313LT3  09/15/21  04/15/21      99.975                 0.26
313313LU0  09/16/21  09/16/20      99.838                 1.62
313313LV8  09/17/21  09/30/20      99.853                 1.47
313313LZ9  09/21/21  05/06/21      99.981                 0.19
313313MA3  09/22/21  01/04/21      99.906                 0.94
313313MB1  09/23/21  01/19/21      99.911                 0.89
313313MC9  09/24/21  08/20/21      99.993                 0.07
313313MF2  09/27/21  10/14/20      99.836                 1.64
313313MG0  09/28/21  10/28/20      99.851                 1.49
313313MH8  09/29/21  10/01/20      99.849                 1.51
313313MJ4  09/30/21  11/27/20      99.881                 1.19
313313MK1  10/01/21  10/05/20      99.870                 1.30
313313MN5  10/04/21  02/08/21      99.941                 0.60
313313MQ8  10/06/21  12/16/20      99.894                 1.06
313313MR6  10/07/21  05/19/21      99.984                 0.16
313313MS4  10/08/21  09/03/21      99.994                 0.06
313313MW5  10/12/21  11/12/20      99.861                 1.39
313313MX3  10/13/21  11/13/20      99.861                 1.39
313313MY1  10/14/21  12/30/20      99.896                 1.04
313313MZ8  10/15/21  09/10/21      99.994                 0.06
313313NC8  10/18/21  05/21/21      99.979                 0.21
313313ND6  10/19/21  02/03/21      99.928                 0.72
313313NE4  10/20/21  11/25/20      99.872                 1.28
313313NF1  10/21/21  10/28/20      99.841                 1.59
313313NG9  10/22/21  02/26/21      99.934                 0.66
313313NK0  10/25/21  11/23/20      99.869                 1.31
313313NL8  10/26/21  10/27/20      99.838                 1.62
313313NM6  10/27/21  12/03/20      99.882                 1.18
313313NN4  10/28/21  11/24/20      99.878                 1.22
313313NP9  10/29/21  11/13/20      99.854                 1.46
313313NS3  11/01/21  11/03/20      99.849                 1.51




                               Section III-D
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313NU8  11/03/21  07/30/21      99.981                 0.19
313313NV6  11/04/21  12/21/20      99.885                 1.15
313313NW4  11/05/21  08/12/21      99.981                 0.19
313313NZ7  11/08/21  08/13/21      99.983                 0.17
313313PA0  11/09/21  02/09/21      99.932                 0.68
313313PB8  11/10/21  08/16/21      99.983                 0.17
313313PD4  11/12/21  11/13/20      99.848                 1.52
313313PG7  11/15/21  08/18/21      99.983                 0.17
313313PH5  11/16/21  01/28/21      99.911                 0.89
313313PJ1  11/17/21  01/08/21      99.887                 1.13
313313PL6  11/19/21  12/08/20      99.865                 1.35
313313PP7  11/22/21  07/23/21      99.973                 0.27
313313PQ5  11/23/21  11/24/20      99.858                 1.42
313313PR3  11/24/21  08/20/21      99.981                 0.19
313313PW2  11/29/21  01/07/21      99.882                 1.18
313313PY8  12/01/21  02/11/21      99.919                 0.81
313313PZ5  12/02/21  12/16/20      99.873                 1.27
313313QA9  12/03/21  12/22/20      99.875                 1.25
313313QD3  12/06/21  12/29/20      99.858                 1.43
313313QE1  12/07/21  07/20/21      99.969                 0.31
313313QF8  12/08/21  02/22/21      99.928                 0.72
313313QG6  12/09/21  08/13/21      99.974                 0.26
313313QH4  12/10/21  04/22/21      99.948                 0.52
313313QL5  12/13/21  12/30/20      99.865                 1.35
313313QM3  12/14/21  02/16/21      99.908                 0.92
313313QN1  12/15/21  11/10/21      99.994                 0.06
313313QT8  12/20/21  11/01/21      99.991                 0.10
313313QU5  12/21/21  03/30/21      99.948                 0.52
313313QV3  12/22/21  02/01/21      99.901                 0.99
313313QW1  12/23/21  02/03/21      99.901                 0.99
313313RA8  12/27/21  09/08/21      99.976                 0.24
313313RB6  12/28/21  01/28/21      99.889                 1.11
313313RC4  12/29/21  08/04/21      99.971                 0.29
313313RD2  12/30/21  09/13/21      99.979                 0.21
313313RE0  12/31/21  02/25/21      99.914                 0.86




                               Section III-E

                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2021

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313397AV3  01/20/21  04/09/20      99.897                 1.03
313397BH3  02/01/21  02/25/20      98.765                12.35




                               Section III-F

                  FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2021

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LAD0  01/04/21  02/05/20      98.580                14.20
31315LAF5  01/06/21  07/06/20      99.900                 1.00
31315LAG3  01/07/21  12/04/20      99.990                 0.10
31315LAL2  01/11/21  11/09/20      99.983                 0.17
31315LAM0  01/12/21  12/08/20      99.990                 0.10
31315LAN8  01/13/21  12/09/20      99.990                 0.10
31315LAP3  01/14/21  10/14/20      99.966                 0.34
31315LAQ1  01/15/21  12/16/20      99.992                 0.08
31315LAU2  01/19/21  11/20/20      99.983                 0.17
31315LAV0  01/20/21  12/15/20      99.990                 0.10
31315LAW8  01/21/21  12/10/20      99.988                 0.12
31315LAX6  01/22/21  07/24/20      99.919                 0.81
31315LBA5  01/25/21  07/09/20      99.897                 1.03
31315LBB3  01/26/21  01/04/21      99.994                 0.06
31315LBC1  01/27/21  01/07/21      99.994                 0.06
31315LBD9  01/28/21  05/08/20      99.875                 1.25
31315LBH0  02/01/21  08/28/20      99.935                 0.65
31315LBJ6  02/02/21  11/02/20      99.968                 0.32
31315LBM9  02/05/21  01/06/21      99.991                 0.09
31315LBU1  02/12/21  01/25/21      99.996                 0.04
31315LCA4  02/18/21  01/27/21      99.995                 0.05
31315LCG1  02/24/21  01/25/21      99.992                 0.08
31315LCH9  02/25/21  03/18/20      99.541                 4.59
31315LCJ5  02/26/21  01/22/21      99.991                 0.09
31315LCM8  03/01/21  03/30/20      99.851                 1.49
31315LCU0  03/08/21  02/01/21      99.992                 0.08
31315LCV8  03/09/21  02/19/21      99.998                 0.02
31315LCW6  03/10/21  02/17/21      99.997                 0.03
31315LCY2  03/12/21  02/16/21      99.996                 0.04
31315LDC9  03/16/21  02/17/21      99.996                 0.04
31315LDD7  03/17/21  02/19/21      99.996                 0.04
31315LDE5  03/18/21  02/12/21      99.993                 0.07
31315LDJ4  03/22/21  04/23/20      99.815                 1.85
31315LDL9  03/24/21  03/25/20      99.515                 4.85
31315LDM7  03/25/21  04/08/20      99.669                 3.31
31315LDT2  03/31/21  07/24/20      99.889                 1.11
31315LDY1  04/05/21  03/09/21      99.996                 0.04
31315LEA2  04/07/21  03/12/21      99.996                 0.04
31315LEC8  04/09/21  03/19/21      99.998                 0.02
31315LEN4  04/19/21  01/14/21      99.970                 0.30
31315LEP9  04/20/21  04/23/20      99.759                 2.41
31315LEQ7  04/21/21  03/19/21      99.996                 0.04
31315LER5  04/22/21  04/01/21      99.998                 0.02
31315LEV6  04/26/21  03/11/21      99.992                 0.08
31315LEW4  04/27/21  04/14/21      99.999                 0.01
31315LEX2  04/28/21  04/01/21      99.997                 0.03
31315LEY0  04/29/21  01/20/21      99.968                 0.32




                               Section III-F
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LFC7  05/03/21  03/31/21      99.997                 0.03
31315LFF0  05/06/21  04/15/21      99.998                 0.02
31315LFG8  05/07/21  04/13/21      99.998                 0.02
31315LFL7  05/11/21  05/11/20      99.787                 2.13
31315LFP8  05/14/21  08/05/20      99.898                 1.02
31315LFS2  05/17/21  11/18/20      99.943                 0.57
31315LFT0  05/18/21  04/27/21      99.998                 0.02
31315LFW3  05/21/21  05/29/20      99.792                 2.08
31315LFZ6  05/24/21  04/27/21      99.997                 0.03
31315LGA0  05/25/21  04/28/21      99.997                 0.03
31315LGD4  05/28/21  07/30/20      99.895                 1.05
31315LGH5  06/01/21  06/04/20      99.789                 2.11
31315LGJ1  06/02/21  02/26/21      99.988                 0.12
31315LGQ5  06/08/21  04/30/21      99.996                 0.04
31315LGT9  06/11/21  04/15/21      99.994                 0.06
31315LGW2  06/14/21  11/25/20      99.958                 0.42
31315LGX0  06/15/21  11/25/20      99.958                 0.42
31315LGZ5  06/17/21  07/02/20      99.815                 1.85
31315LHA9  06/18/21  06/22/20      99.779                 2.21
31315LHD3  06/21/21  03/11/21      99.980                 0.20
31315LHH4  06/25/21  08/13/20      99.855                 1.45
31315LHL5  06/28/21  08/21/20      99.875                 1.25
31315LHM3  06/29/21  07/02/20      99.819                 1.81
31315LHN1  06/30/21  07/29/20      99.837                 1.63
31315LHP6  07/01/21  03/31/21      99.989                 0.11
31315LHQ4  07/02/21  06/03/21      99.997                 0.03
31315LHU5  07/06/21  06/15/21      99.998                 0.02
31315LJD1  07/15/21  06/11/21      99.997                 0.03
31315LJE9  07/16/21  03/03/21      99.970                 0.30
31315LJL3  07/22/21  07/24/20      99.819                 1.81
31315LJR0  07/27/21  03/19/21      99.982                 0.18
31315LJT6  07/29/21  01/28/21      99.947                 0.53
31315LJU3  07/30/21  07/30/20      99.863                 1.37
31315LJX7  08/02/21  02/23/21      99.973                 0.27
31315LKG2  08/11/21  05/13/21      99.990                 0.10
31315LKM9  08/16/21  09/02/20      99.855                 1.45
31315LKN7  08/17/21  06/11/21      99.992                 0.08
31315LKR8  08/20/21  08/26/20      99.830                 1.70
31315LKU1  08/23/21  03/26/21      99.979                 0.21
31315LKY3  08/27/21  02/10/21      99.959                 0.41
31315LLK2  09/07/21  08/20/21      99.997                 0.03
31315LLN6  09/10/21  05/13/21      99.985                 0.15
31315LLT3  09/15/21  03/02/21      99.956                 0.44
31315LLU0  09/16/21  08/18/21      99.994                 0.06
31315LLY2  09/20/21  06/18/21      99.982                 0.18
31315LMB1  09/23/21  06/25/21      99.980                 0.20
31315LMG0  09/28/21  09/28/20      99.848                 1.52




                               Section III-F
                                (continued)

                                                   Discount to be   
                                 Issue Price      Reported as 2021  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LMJ4  09/30/21  02/11/21      99.949                 0.51
31315LMK1  10/01/21  02/25/21      99.973                 0.27
31315LMN5  10/04/21  07/02/21      99.980                 0.20
31315LMZ8  10/15/21  04/19/21      99.980                 0.20
31315LNE4  10/20/21  07/28/21      99.988                 0.12
31315LNF1  10/21/21  08/10/21      99.984                 0.16
31315LNK0  10/25/21  08/10/21      99.983                 0.17
31315LNN4  10/28/21  09/30/21      99.996                 0.04
31315LNP9  10/29/21  11/13/20      99.849                 1.51
31315LNS3  11/01/21  11/05/20      99.850                 1.50
31315LPG7  11/15/21  05/11/21      99.969                 0.31
31315LPQ5  11/23/21  08/27/21      99.982                 0.18
31315LPX0  11/30/21  02/22/21      99.922                 0.78
31315LPY8  12/01/21  09/28/21      99.989                 0.11
31315LQA9  12/03/21  11/19/21      99.998                 0.02
31315LQD3  12/06/21  06/02/21      99.969                 0.31
31315LQG6  12/09/21  08/31/21      99.981                 0.19
31315LQL5  12/13/21  09/16/21      99.983                 0.17
31315LQN1  12/15/21  02/11/21      99.920                 0.80
31315LQP6  12/16/21  09/30/21      99.987                 0.13
31315LQQ4  12/17/21  09/28/21      99.988                 0.12
31315LQT8  12/20/21  09/16/21      99.982                 0.18
31315LQW1  12/23/21  10/01/21      99.987                 0.13
31315LRA8  12/27/21  06/01/21      99.971                 0.29
31315LRC4  12/29/21  11/22/21      99.994                 0.06




