SECTION I-A
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after May 27, 1969,
and before January 1, 1985.  Debt instruments which matured or were entirely called before 2022 are not included. See Section I-B for corporate
discount debt instruments issued after 1984.
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of
rounding or updated information.
                                                                                                                                             OID per               
                                                                                                         Daily OID per $1,000               $1,000 of              
                                                                                                          of Maturity Value                 Maturity               
                                                               Issue Price   Annual                    for Each Accrual Period              Value for              
                                                               (Percent of   Stated      Total      -------------------------------       Calendar Year            
                                           Issue    Maturity    Principal   Interest     OID to     2022 1st    2022 2nd   2023 2nd       ---------------          
Name of Issuer               CUSIP No.     Date       Date       Amount)      Rate       1/1/22      Period     2023 1st    Period        2022       2023          
______________               _________   ________   ________   ___________   _______   _________    ________    ________   ________      ______     ______         
                                                                                                                                                                   
Sallie Mae                   863871AM1   10/03/84   10/03/22       2.734      0.000      904.57     0.247599                             68.09             






SECTION I-B
    This section reflects publicly traded corporate debt instruments (mostly long term) originally issued at a discount after December 31, 1984.
Debt instruments which matured or were entirely called before 2022 are not included.  See Section I-A for corporate discount debt instruments
issued before 1985.
    CAUTION:  The following OID information supersedes previously published information.  Numbers may vary from previous editions because of
rounding or updated information. 
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26     91.448     0.000     1.6140     21.41   0.041705   0.042041   0.042381   0.042723  0.043067     15.17    15.41 
ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25     94.017     0.000     1.3572     18.48   0.035956   0.036200   0.036445   0.036693  0.036942     13.05    13.23 
ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28     85.895     0.000     2.0999     11.86   0.050396   0.050925   0.051460   0.052000  0.052546     18.38    18.77 
ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29     83.776     0.000     2.1498     11.85   0.050328   0.050869   0.051416   0.051968  0.052527     18.36    18.76 
ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25     96.817     0.000     0.8042      7.09   0.021719   0.021806   0.021894   0.021982  0.022070      7.86     7.92 
ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26     94.773     0.000     1.0700      9.23   0.028329   0.028481   0.028633   0.028786  0.028940     10.27    10.38 
ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27     93.206     0.000     1.1701      9.93   0.030482   0.030661   0.030840   0.031020  0.031202     11.05    11.18 
ALEDO TEX INDPT SCH DIST 014464XL0 02/04/21 02/15/22     99.702     0.000     0.2898      2.63   0.008038                                                 0.35          
ALEDO TEX INDPT SCH DIST 014464XM8 02/04/21 02/15/23     99.169     0.000     0.4114      3.71   0.011357   0.011380   0.011404                           4.10     0.50 
ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24     98.040     0.000     0.6542      5.83   0.017879   0.017937   0.017996   0.018055  0.018114      6.46     6.51 
ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27     91.292     0.000     1.5999      8.70   0.040713   0.041039   0.041367   0.041698  0.042032     14.80    15.04 
ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26     94.159     0.000     1.2800      7.18   0.033571   0.033786   0.034002   0.034220  0.034439     12.18    12.34 
ALTERYX INC              02156BAA1 05/18/18 06/01/23     98.000     0.500     0.9072     14.28   0.011158   0.011209   0.011259                           4.03     1.69 
ALTERYX INC              02156BAB9 05/18/18 06/01/23     98.000     0.500     0.9072     14.28   0.011158   0.011209   0.011259                           4.03     1.69 
ALVARADO TEX INDPT SCH   022357H67 10/28/20 02/15/29     87.333     0.000     1.6390     16.92   0.040281   0.040611   0.040944   0.041279  0.041618     14.65    14.89 
ALVARADO TEX INDPT SCH   022357H75 10/28/20 02/15/30     85.130     0.000     1.7390     17.51   0.041695   0.042057   0.042423   0.042792  0.043164     15.17    15.44 
ALVARADO TEX INDPT SCH   022357H42 10/28/20 02/15/27     92.609     0.000     1.2230     13.37   0.031768   0.031963   0.032158   0.032355  0.032553     11.52    11.67 
ALVARADO TEX INDPT SCH   022357H59 10/28/20 02/15/28     89.415     0.000     1.5390     16.26   0.038695   0.038993   0.039293   0.039596  0.039900     14.07    14.28 
ALVARADO TEX INDPT SCH   022357H26 10/28/20 02/15/25     96.321     0.000     0.8741      9.93   0.023551   0.023654   0.023758   0.023862  0.023966      8.53     8.60 
ALVARADO TEX INDPT SCH   022357H34 10/28/20 02/15/26     94.240     0.000     1.1230     12.49   0.029662   0.029828   0.029996   0.030164  0.030333     10.75    10.87 
AMARILLO TEX INDPT SCH   023051YV1 10/14/20 02/01/24     97.347     0.000     0.8171      9.69   0.022239   0.022330   0.022421   0.022513  0.022604      8.05     8.12 
AMARILLO TEX INDPT SCH   023051YW9 10/14/20 02/01/25     96.350     0.000     0.8671     10.18   0.023368   0.023469   0.023571   0.023673  0.023775      8.46     8.53 
AMARILLO TEX INDPT SCH   023051YU3 10/14/20 02/01/23     98.612     0.000     0.6093      7.31   0.016772   0.016823   0.016874                           6.06     0.51 
ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36     93.636     4.700     5.2667      7.78   0.007408   0.007603   0.007803   0.008009  0.008220      2.76     2.91 
ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26     96.122     3.650     4.2802     15.40   0.014468   0.014778   0.015094   0.015417  0.015747      5.36     5.59 
ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26     96.122     3.650     4.2802     15.40   0.014468   0.014778   0.015094   0.015417  0.015747      5.36     5.59 
ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36     93.636     4.700     5.2667      7.78   0.007408   0.007603   0.007803   0.008009  0.008220      2.76     2.91 
ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30     84.028     0.000     1.7770     18.25   0.042095   0.042469   0.042846   0.043227  0.043611     15.32    15.60 
ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25     95.120     0.000     1.0371     12.02   0.027642   0.027785   0.027929   0.028074  0.028220     10.02    10.12 
ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27     91.280     0.000     1.3390     14.92   0.034333   0.034563   0.034795   0.035028  0.035262     12.46    12.63 
ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26     92.991     0.000     1.2489     14.17   0.032599   0.032803   0.033007   0.033214  0.033421     11.83    11.98 
ARLINGTON TEX INDPT SCH  0418265M6 07/30/20 02/15/24     95.925     0.000     1.1781     16.13   0.031778   0.031965   0.032154   0.032343  0.032534     11.53    11.66 
Amgen Inc.               031162AK6 03/01/05 03/01/32     72.947    VARIES     4.4730    804.96   0.186079   0.190042   0.194071   0.198191  0.202402     68.66    71.61 
Argentina, Republic      040114GB0 07/21/00 07/21/30     80.144    10.250    12.8670     65.17   0.023664   0.025186   0.026807   0.028531  0.030367      9.30    10.53 
BANK OF MONTREAL         06368GZ83 08/31/22 02/28/30    100.000     0.000     4.0770                                   0.113250   0.115533  0.117888     13.70    41.75 
BANK OF MONTREAL         06368GYR2 09/06/22 09/08/26    100.000     0.000     4.2130                        0.117028   0.117055   0.119521  0.122039     13.46    43.15 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BANK OF MONTREAL         06368GYS0 08/31/22 08/31/26    100.000     0.000     4.1370                                   0.114917   0.117267  0.119720     13.90    42.38 
BANK OF MONTREAL         06368GYT8 09/06/22 09/08/26    100.000     0.000     4.2130                        0.117028   0.117055   0.119521  0.122039     13.46    43.15 
BANK OF MONTREAL         06368GYQ4 08/31/22 08/31/26    100.000     0.000     4.1370                                   0.114917   0.117267  0.119720     13.90    42.38 
BANK OF MONTREAL         06374VAK2 10/31/22 04/30/24    100.000     0.000     5.4470                                   0.151306   0.155426  0.159659      9.23    55.72 
BANK OF MONTREAL         06374VAL0 10/31/22 04/30/24    100.000     0.000     5.4470                                   0.151306   0.155426  0.159659      9.23    55.72 
BANK OF MONTREAL         06374VSD4 09/22/22 09/23/24    100.000     0.000     4.1550                                   0.115417   0.117828  0.120276     11.43    42.46 
BANK OF MONTREAL         06374VAV8 11/01/22 05/01/24    100.000     0.000     5.3340                                   0.148167   0.152118  0.156175      8.89    54.53 
BANK OF MONTREAL         06374VAW6 11/01/22 05/01/24    100.000     0.000     5.3340                                   0.148167   0.152118  0.156175      8.89    54.53 
BANK OF MONTREAL         06374VAX4 10/31/22 10/30/26    100.000     0.000     5.4140                                   0.150389   0.154460  0.158641      9.17    55.38 
BANK OF MONTREAL         06374VBR6 11/02/22 12/04/23    100.000     0.000     5.3340                        0.148167   0.148869   0.152840                8.76    50.29 
BANK OF MONTREAL         06374V3V6 09/06/22 09/13/23    100.000     0.000     4.3830                        0.121750   0.121854   0.124524               14.01    31.19 
BANK OF MONTREAL         06374V4T0 09/07/22 09/05/25    100.000     0.000     4.2850                                   0.119028   0.121550  0.124154     13.57    43.90 
BANK OF MONTREAL         06374V4S2 09/20/22 09/22/25    100.000     0.000     4.0706                        0.113072   0.113098   0.115400  0.117748     11.42    41.59 
BARCLAYS BANK PLC        06748XV81 09/23/22 09/25/25    100.000     0.000     5.6800                        0.157778   0.157828   0.162310  0.166919     15.47    58.50 
BBVA GLOBAL SECURITIES   05552WLK4 11/22/22 11/22/24    100.000     0.000     5.5616                                   0.154489   0.158785  0.163200      6.03    56.73 
BEMIS COMPANY INC        081437AQ8 06/13/19 09/15/26     95.210     3.100     3.8632     15.35   0.017509   0.017847   0.018192   0.018543  0.018902      6.44     6.69 
BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25     92.621     0.000     1.4630     19.45   0.038336   0.038617   0.038899   0.039184  0.039470     13.89    14.09 
BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24     94.579     0.000     1.3130     17.81   0.035068   0.035298   0.035530   0.035763  0.035998     12.69    12.86 
BETHEL OHIO LOC SCH DIST 086851DC3 07/28/20 11/01/23     96.513     0.000     1.0921     15.10   0.029684   0.029846   0.030009   0.030172               10.73     9.03 
BETHEL OHIO LOC SCH DIST 086851DB5 07/28/20 11/01/22     97.741     0.000     1.0142     14.20   0.027888   0.028030                                      8.39          
BIOMARIN PHARMACEUTICAL  09061GAH4 08/11/17 08/01/24     98.000     0.599     0.8955     12.44   0.008019   0.008055   0.008091   0.008128  0.008164      2.90     2.93 
BLACKSTONE MORTGAGE TRUS 09257WAC4 03/27/18 03/15/23     98.500     4.750     5.0956     11.01   0.008903   0.009130   0.009362                           3.29     0.69 
BOFA Finance LLC         097097166 11/29/17 11/25/22    100.000     0.000     2.7075    116.26   0.083727   0.084860                                     27.33          
BOFA Finance LLC         09709TWV9 11/27/19 11/25/22    100.000     0.000     1.9000     40.41   0.054806   0.055327                                     17.85          
BOFA Finance LLC         09709T5W7 07/30/21 07/30/31    100.000    VARIES     2.1299      8.93   0.059165   0.058908   0.058648   0.058385  0.058119     21.17    20.99 
BOFA Finance LLC         09709T5V9 07/29/21 07/29/36    100.000    VARIES     2.5499     10.77   0.070829   0.069785   0.068727   0.068790  0.068853     24.99    24.77 
BOFA Finance LLC         09709T5X5 08/03/21 08/03/31    100.000    VARIES     2.1400      8.80   0.059443   0.059039   0.058630   0.058672  0.058713     21.21    21.13 
BOFA Finance LLC         09709T6D8 10/19/21 10/19/41    100.000    VARIES     2.9997      6.00   0.083326   0.081660   0.079968   0.080034  0.080101     29.46    28.81 
BOFA Finance LLC         09709T6F3 11/17/21 11/17/31    100.000    VARIES     2.6999      3.30   0.074998   0.074511   0.074017   0.074065  0.074115     26.87    26.66 
BOFA Finance LLC         09709TGH8 09/28/18 03/28/23    100.000     0.000     3.6451    124.95   0.112844   0.114900   0.116994                          41.38    10.18 
BOFA Finance LLC         09709T6E6 11/12/21 11/12/36    100.000    VARIES     2.6670      3.63   0.074084   0.073220   0.072344   0.072396  0.072448     26.43    26.06 
BOFA Finance LLC         09709T6B2 09/24/21 09/24/31    100.000    VARIES     2.3499      6.33   0.065276   0.064737   0.064192   0.064247  0.064302     23.30    23.13 
BOFA Finance LLC         09709T6A4 09/30/21 09/30/41    100.000    VARIES     3.0153      7.62   0.083759   0.082300   0.080819   0.080877  0.080935     29.62    29.12 
BOFA Finance LLC         09709TXD8 11/27/19 11/28/24    100.000     0.000     2.3000     49.07   0.066883   0.067652   0.068430   0.069217  0.070013     24.27    24.83 
BOFA Finance LLC         09709T6N6 05/18/22 05/18/32    100.000    VARIES     4.7335                        0.131485   0.132494   0.133526  0.134582     29.36    47.97 
BOFA Finance LLC         09709TGZ8 06/20/19 06/18/24    100.000     0.000     2.5962     67.46   0.076910   0.077908   0.078919   0.079944  0.080981     27.89    28.62 
BOFA Finance LLC         09709THH7 01/27/20 09/01/22    103.250     0.125     1.7700     35.65   0.052112   0.052542                                     12.58          
BOFA Finance LLC         09709TYU9 01/31/20 01/31/23    100.000     0.000     1.7000     33.03   0.048437   0.048848   0.049264                          17.64     1.43 
BOFA Finance LLC         09709TZV6 02/28/20 03/02/23    100.000     0.000     1.7400     32.43   0.049615   0.050047   0.050482                          18.04     3.08 
BOFA Finance LLC         09709TJL6 12/27/18 12/27/23    100.000     0.000     3.6325    114.49   0.112411   0.114452   0.116531   0.118648               40.85    41.87 
BOFA Finance LLC         09709TJM4 01/31/19 01/26/24    100.000     0.000     3.3706    102.52   0.101750   0.103465   0.105209   0.106982  0.108785     37.47    38.75 
BOFA Finance LLC         09709TJS1 09/28/18 09/28/23    100.000     0.000     3.7178    127.57   0.115338   0.117482   0.119666   0.121890               42.31    32.35 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

BOFA Finance LLC         09709TKK6 11/30/18 11/30/23    100.000     0.000     3.7226    120.59   0.115505   0.117654   0.119844   0.122075               42.10    39.83 
BOFA Finance LLC         09709TKW0 10/31/18 10/31/23    100.000     0.000     3.7689    125.67   0.117101   0.119308   0.121556   0.123846               42.83    36.76 
BOFA Finance LLC         09709TMV0 09/28/18 09/28/23    100.000     0.000     3.6449    124.95   0.112836   0.114892   0.116986   0.119118               41.38    31.62 
BOFA Finance LLC         09710F496 04/29/22 04/17/25    100.000     0.000     3.6593                        0.101648   0.103384   0.105275  0.107202     24.73    37.84 
BOFA Finance LLC         09709UTW8 10/25/21 10/27/28    100.000     0.000     1.9500      3.58   0.054172   0.054700   0.055234   0.055772  0.056316     19.66    20.05 
BOFA Finance LLC         09709TSN2 05/28/19 05/26/22    100.000     0.000     2.7700     73.92   0.082410                                                11.95          
BOFA Finance LLC         09709TSJ1 05/28/19 05/26/22    100.000     0.000     2.7700     73.92   0.082409                                                11.95          
BOFA Finance LLC         09709TSW2 05/28/19 05/26/22    100.000     0.000     2.7700     73.92   0.082410                                                11.95          
BOFA Finance LLC         09709TSS1 05/28/19 05/26/22    100.000     0.000     2.7600     73.64   0.082092                                                11.90          
BOFA Finance LLC         09709TTC5 08/30/19 03/02/23    100.000     0.000     2.0808     49.56   0.060249   0.060876   0.061509                          21.95     3.75 
BOFA Finance LLC         09709TTW1 07/31/19 01/31/23    100.000     0.000     2.2849     56.52   0.066420   0.067179   0.067946                          24.28     1.97 
BOFA Finance LLC         09709TUA7 07/31/19 01/31/24    100.000     0.000     2.3707     58.69   0.069031   0.069849   0.070677   0.071515  0.072363     25.25    25.85 
BOFA Finance LLC         097098297 02/28/19 02/28/25    100.000     0.000     3.3423     98.80   0.100865   0.102550   0.104264   0.106006  0.107778     37.03    38.28 
BOFA Finance LLC         09709TVC2 09/18/19 09/16/22    100.000     0.000     2.2021     51.36   0.063901   0.064604                                     16.42          
BOFA Finance LLC         09709TED9 04/10/18 05/01/23    100.000     0.250     3.1425    122.69   0.096718   0.098129   0.099562                          35.24    11.95 
BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27     97.935     3.588     3.8804      6.80   0.006574   0.006701   0.006831   0.006964  0.007099      2.41     2.50 
BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27     94.278     3.017     3.8468     19.52   0.018692   0.019052   0.019418   0.019792  0.020173      6.91     7.18 
BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26     95.741     3.119     3.7851     16.16   0.015630   0.015926   0.016227   0.016534  0.016847      5.71     5.93 
BRAZOS TEX INDPT SCH DIS 106239FA9 03/23/21 02/15/23     99.058     0.000     0.5002      3.83   0.013791   0.013825   0.013860                           4.98     0.61 
BRENHAM TEX INDPT SCH DI 107133PH7 11/06/20 02/15/23     98.422     0.000     0.7003      7.97   0.019250   0.019318   0.019385                           6.96     0.85 
BRENHAM TEX INDPT SCH DI 107133PG9 11/06/20 02/15/22     99.327     0.000     0.5303      6.08   0.014691                                                 0.65          
BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26     93.491     0.000     1.2799     13.86   0.033569   0.033784   0.034000   0.034218  0.034437     12.18    12.34 
BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27     91.617     0.000     1.4001     14.86   0.036018   0.036270   0.036524   0.036779  0.037037     13.08    13.26 
BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28     88.094     0.000     1.7500     17.89   0.043405   0.043785   0.044168   0.044555  0.044944     15.80    16.08 
BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24     96.943     0.000     0.9502     10.66   0.025775   0.025898   0.026021   0.026144  0.026269      9.33     9.42 
BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25     95.621     0.000     1.0501     11.62   0.028120   0.028267   0.028416   0.028565  0.028715     10.19    10.30 
BROOKHAVEN N Y LOC DEV   113168BH0 10/29/20 10/01/25     98.910     4.500     4.7509      2.38   0.005776   0.005914   0.006054   0.006198  0.006345      2.13     2.23 
BROOKS CNTY TEX INDPT SC 114385FS1 11/26/19 08/15/23     91.893     0.000     2.2856     44.89   0.060668   0.061361   0.062062   0.062771               22.15    14.03 
BROOKS CNTY TEX INDPT SC 114385FR3 11/26/19 08/15/22     94.401     0.000     2.1295     42.91   0.057913   0.058530                                     13.08          
BRYAN OHIO CITY SCH DIST 117529ER4 02/27/20 01/01/24     92.363     0.000     2.0769     35.89   0.055355   0.055355   0.056511   0.056511               20.03    20.45 
BRYAN OHIO CITY SCH DIST 117529EQ6 02/27/20 01/01/23     94.597     0.000     1.9619     34.70   0.053445   0.053445                                     19.33          
BUREAU LEE & WHITESIDE   121158BU2 06/13/18 12/01/22    101.635     4.000     3.5768    129.43   0.099765   0.099562                                     32.89          
BURLESON TEX INDPT SCH   1214034B2 07/01/20 08/01/25     90.706     0.000     1.9281     26.50   0.049600   0.050078   0.050561   0.051049  0.051541     18.09    18.44 
BURLESON TEX INDPT SCH   1214034A4 07/01/20 08/01/24     92.838     0.000     1.8281     25.70   0.048083   0.048522   0.048966   0.049413  0.049865     17.52    17.84 
BURLESON TEX INDPT SCH   1214033Y3 07/01/20 08/01/22     97.135     0.000     1.4000     20.55   0.038350   0.038619                                      8.10          
BURLESON TEX INDPT SCH   1214033Z0 07/01/20 08/01/23     95.342     0.000     1.5529     22.39   0.041822   0.042146   0.042473   0.042803               15.21     8.98 
BURLESON TEX INDPT SCH   1214034C0 07/01/20 08/01/26     87.833     0.000     2.1439     28.56   0.053529   0.054103   0.054683   0.055269  0.055862     19.55    19.97 
BURLESON TEX INDPT SCH   1214034E6 07/01/20 08/01/28     82.817     0.000     2.3459     29.50   0.055349   0.055999   0.056655   0.057320  0.057992     20.24    20.72 
BURLESON TEX INDPT SCH   1214034D8 07/01/20 08/01/27     85.379     0.000     2.2439     29.08   0.054521   0.055133   0.055751   0.056377  0.057009     19.92    20.37 
BURLESON TEX INDPT SCH   1214034F3 07/01/20 08/01/29     80.401     0.000     2.4159     29.51   0.055380   0.056048   0.056726   0.057411  0.058104     20.26    20.75 
Banco de Galicia         059538AR9 07/19/16 07/19/26    100.000    VARIES     8.7499    483.61   0.250475   0.249867   0.249233   0.248571  0.247881     89.86    89.39 
Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26    100.000    VARIES     0.0000    483.61   0.250475   0.249867   0.249233   0.248571  0.247881     89.86    89.39 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of America Corp     06048WZ52 10/20/22 10/20/27    100.000     0.000     5.3793                                   0.149425   0.153444  0.157571     10.61    55.09 
Bank of America Corp     09709V6D3 10/21/22 10/20/25    100.000     0.000     5.4000                                   0.150000   0.154028  0.158186     10.50    55.31 
Bank of America Corp.    06053W359 06/04/15 05/27/22    100.000     0.000     2.8843    207.21   0.096459                                                14.08          
Bank of America Corp.    06053W169 04/02/15 03/25/22    100.000     0.000     2.7072    198.97   0.089517                                                 7.52          
Bank of America Corp.    06048WHN3 09/30/11 09/30/31    100.000    VARIES     5.3142    511.60   0.140178   0.140464   0.140759   0.141061  0.141371     50.57    50.78 
Bank of America Corp.    06048WZE3 02/06/19 02/06/39    100.000     0.000     4.7730    146.79   0.149179   0.152739   0.156384   0.160116  0.163937     55.39    58.07 
Bank of America Corp.    06048WGR5 07/14/11 07/14/23    100.000    VARIES     5.1475    536.88   0.142805   0.142849   0.142894   0.142940               51.43    27.59 
Bank of America Corp.    06048WHF0 08/26/11 08/26/31    100.000    VARIES     5.0293    489.72   0.132931   0.133196   0.133467   0.133745  0.134030     47.97    48.17 
Bank of America Corp.    06048WHA1 08/15/11 08/15/23    100.000    VARIES     4.7457    491.34   0.131706   0.131734   0.131763   0.131793               47.43    29.52 
Bank of America Corp.    06048WG61 12/23/19 12/23/49    100.000     0.000     3.6664     76.25   0.109520   0.111528   0.113572   0.115654  0.117775     39.82    41.29 
Bank of America Corp.    06048WWY2 06/27/18 06/27/28    100.000    VARIES     3.6179     21.16   0.014894   0.015164   0.015438   0.015717  0.016002      5.41     5.61 
Bank of America Corp.    06048WWX4 06/13/18 06/13/28    100.000    VARIES     3.6250     18.10   0.013262   0.013502   0.013747   0.013996  0.014250      4.83     5.00 
Bank of America Corp.    06048WFJ4 03/04/11 03/04/31    100.000    VARIES     5.6399    584.66   0.151306   0.151523   0.151747   0.151976  0.152212     54.56    54.72 
Bank of America Corp.    06048WGF1 06/16/11 06/16/23    100.000    VARIES     4.8974    515.78   0.136001   0.136013   0.136026                          48.96    22.44 
Bank of America Corp.    06048WET3 12/15/10 12/15/30    100.000    VARIES     5.9911    609.39   0.155440   0.155909   0.156392   0.156890  0.157402     56.06    56.41 
Bank of America Corp.    06048WEJ5 11/19/10 11/19/30    100.000    VARIES     5.6999    590.93   0.149465   0.149849   0.150244   0.150649  0.151067     53.91    54.20 
Bank of America Corp.    06048WVM9 01/30/18 01/30/28    100.000    VARIES     3.1591     14.43   0.009722   0.009875   0.010031   0.010190  0.010351      3.57     3.69 
Bank of America Corp.    06048WWA4 03/27/18 03/27/28    100.000    VARIES     3.7904    142.86   0.105523   0.105507   0.105491   0.105474  0.105457     37.98    37.97 
Bank of America Corp.    09709TNJ6 02/28/19 02/25/22    100.000     0.000     3.0213     88.98   0.090436                                                 4.88          
Bank of America Corp.    06048WUR9 08/25/17 08/25/29    100.000    VARIES     1.6609     12.15   0.007565   0.007628   0.007692   0.007755  0.007820      2.75     2.80 
Bank of America Corp.    06048WUT5 08/28/17 08/28/27    100.000    VARIES     1.7157     15.75   0.009921   0.010006   0.010092   0.010178  0.010266      3.61     3.67 
Bank of America Corp.    06048WEE6 10/14/10 10/15/30    100.000    VARIES     5.2017    539.88   0.135633   0.136025   0.136427   0.136840  0.137264     48.96    49.25 
Bank of America Corp.    06051GHN2 08/29/18 12/15/37     43.329     0.000     4.3817     67.51   0.060835   0.062168   0.063530   0.064922  0.066344     22.18    23.17 
Bank of America Corp.    06048WTR1 10/28/16 10/28/26    100.000    VARIES     2.1950     14.11   0.007595   0.007679   0.007763   0.007848  0.007934      2.76     2.82 
Bank of America Corp.    09709TPQ8 04/02/19 03/31/22    100.000     0.000     2.8493     80.85   0.084935                                                 7.56          
Bank of America Corp.    06053W888 10/23/15 10/28/22    100.000     0.000     2.9889    201.58   0.099240   0.100723                                     29.74          
Bank of America Corp.    06048WB74 08/02/19 08/02/49    100.000     0.000     4.1568    104.44   0.125370   0.127975   0.130635   0.133350  0.136122     46.39    48.34 
Bank of America Corp.    06048WRV4 10/30/15 10/30/25    100.000    VARIES     2.4485     19.97   0.009035   0.009146   0.009258   0.009371  0.009486      3.29     3.37 
Bank of America Corp.    06048WRU6 09/30/15 09/30/30    100.000    VARIES     2.8047     39.86   0.015884   0.016106   0.016332   0.016561  0.016793      5.80     5.96 
Bank of America Corp.    06053U106 02/05/15 01/28/22    100.000     0.000     2.5377    190.24   0.083007                                                 2.24          
Bank of America Corp.    06053W730 10/01/15 09/30/22    100.000     0.000     2.9206    198.80   0.095474   0.096339                                     26.13          
Bank of America Corp.    06048WPF1 10/10/13 10/10/33    100.000    VARIES     4.7034    370.27   0.125546   0.125707   0.125871   0.126040  0.126212     45.25    45.37 
Bank of America Corp.    06048WPE4 09/23/13 09/23/33    100.000    VARIES     4.8735    385.56   0.129980   0.130148   0.130320   0.130496  0.130677     46.86    46.98 
Bank of America Corp.    06048WPJ3 12/23/13 12/23/33    100.000    VARIES     4.8649    373.98   0.129994   0.130154   0.130319   0.130487  0.130659     46.83    46.95 
Bank of America Corp.    06048WPD6 08/30/13 08/30/33    100.000    VARIES     4.9958    399.76   0.132141   0.131576   0.132461   0.131902  0.132071     48.17    48.20 
Bank of America Corp.    06048WPB0 08/06/13 08/06/33    100.000    VARIES     4.8453    390.15   0.129454   0.129615   0.129779   0.129947  0.130119     46.68    46.80 
Bank of America Corp.    06053W649 08/10/15 08/26/22    100.000     0.000     3.0325    212.16   0.101042   0.102574                                     24.02          
Bank of America Corp.    06048WPN4 03/20/14 03/20/34    100.000    VARIES     4.4527    330.87   0.118505   0.118662   0.118822   0.118987  0.119155     42.72    42.84 
Bank of America Corp.    06048WPM6 02/28/14 02/29/24    100.000    VARIES     3.7879    289.10   0.103247   0.101827   0.103787   0.102369  0.103775     37.49    37.62 
Bank of America Corp.    06048WNZ9 07/11/13 07/11/33    100.000    VARIES     5.0043    405.94   0.133585   0.133753   0.133925   0.134101  0.134281     48.18    48.31 
Bank of America Corp.    06053M864 02/12/15 02/26/27    100.000     0.000     3.3492    257.04   0.115602   0.117538   0.119506   0.121507  0.123542     42.45    43.89 
Bank of America Corp.    06048WNH9 11/09/12 11/09/22    100.000    VARIES     1.6066     30.21   0.009666   0.009743                                      2.99          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of America Corp.    06048WNK2 12/10/12 12/10/22    100.000    VARIES     1.4139    124.55   0.039016   0.039145                                     13.25          
Bank of America Corp.    06053W458 07/02/15 06/24/22    100.000     0.000     3.1925    228.50   0.108878                                                18.84          
Bank of America Corporat 09709T6G1 04/13/22 10/17/24    100.000     0.000     3.1000             0.086111   0.086141   0.087476   0.088832  0.090209     22.32    31.94 
Bank of America Corporat 09709T6P1 05/31/22 10/02/24    100.000     0.000     3.3400                        0.092778   0.093828   0.095395  0.096988     19.67    34.34 
Bank of America Corporat 09709T6Q9 07/28/22 07/28/32    100.000     0.000     4.5700                                   0.126944   0.129845  0.132812     19.42    47.12 
Bank of America Corporat 06048WW30 07/06/22 07/06/27    100.000     0.000     4.5900                                   0.127500   0.130426  0.133419     22.31    47.46 
Bank of America Corporat 09710F660 07/01/22 06/24/25    100.000     0.000     4.3100                        0.119722   0.122202   0.124835  0.127526     21.57    44.50 
Bank of Montreal         06368GZZ3 08/22/22 08/22/25    100.000     0.000     4.0150                                   0.111528   0.113767  0.116051     14.39    41.14 
Bank of Montreal         06368GZK6 08/09/22 08/11/25    100.000     0.000     3.7530                        0.104250   0.104272   0.106228  0.108222     14.81    38.44 
Bank of Montreal         06368GZG5 08/16/22 08/16/27    100.000     0.000     3.9460                                   0.109611   0.111774  0.113979     14.80    40.44 
Bank of Montreal         06374VAD8 10/19/22 04/22/30    100.000     0.000     5.1600                        0.143333   0.143395   0.147095  0.150890     10.32    52.81 
Bank of Montreal         06368GXV4 07/29/22 07/31/25    100.000     0.000     3.8040                        0.105667   0.105678   0.107688  0.109736     16.06    39.02 
Bank of Montreal         06368GY27 07/29/22 07/29/25    100.000    VARIES     3.7650                                   0.104583   0.103938  0.103280     15.90    37.34 
Bank of Montreal         06374VAS5 10/13/22 04/03/25    100.000     0.000     5.2430                                   0.145639   0.149245  0.153157     11.36    53.74 
Bank of Montreal         06368GXH5 07/20/22 07/22/24    100.000     0.000     3.9580                        0.109944   0.109969   0.112145  0.114364     17.70    40.68 
Bank of Montreal         06368GWT0 07/29/22 07/31/26    100.000     0.000     3.8220                        0.106167   0.106178   0.108207  0.110275     16.14    39.21 
Bank of Montreal         06368GWU7 08/01/22 08/03/26    100.000     0.000     3.8040                        0.105667   0.105689   0.107699  0.109748     15.85    39.01 
Bank of Montreal         06368GWG8 07/06/22 07/05/24    100.000     0.000     3.7490                                   0.104139   0.106080  0.108069     18.22    38.53 
Bank of Montreal         06368GW78 07/11/22 07/11/25    100.000    VARIES     3.8970                                   0.108250   0.107653  0.107044     18.40    38.66 
Bank of Montreal         06374VCY0 11/28/22 11/28/25    100.000     0.000     5.3110                                   0.147528   0.151445  0.155467      4.87    54.08 
Bank of Montreal         06374VCZ7 11/30/22 11/30/26    100.000     0.000     5.0620                                   0.140611   0.144170  0.147819      4.36    51.48 
Bank of Montreal         06374V2Z8 08/24/22 08/24/27    100.000     0.000     4.0600                                   0.112778   0.115067  0.117403     14.32    41.60 
Bank of Montreal         06368GV20 07/01/22 07/01/26    100.000     0.000     4.0508                                   0.114801   0.114801  0.119499     20.25    41.75 
Bank of Montreal         06374VE85 11/16/22 11/16/26    100.000     0.000     5.4710                                   0.151972   0.156129  0.160400      6.84    55.84 
Bank of Montreal         06374VDY9 11/28/22 11/28/25    100.000     0.000     5.3110                                   0.147528   0.151445  0.155467      4.87    54.08 
Bank of Montreal         06374VDL7 11/30/22 05/31/24    100.000     0.000     5.5490                                   0.154139   0.158415  0.162811      4.78    56.53 
Bank of Montreal         06374VDN3 12/02/22 01/02/24    100.000     0.000     5.6820                                   0.157833   0.158581  0.163086      4.58    57.89 
Bank of Montreal         06374VDM5 11/30/22 12/29/23    100.000     0.000     5.6840                        0.157889   0.158612   0.163120                4.90    57.59 
Bank of Montreal         06374V4D5 10/03/22 10/05/26    100.000     0.000     4.9900                        0.138611   0.138650   0.142109  0.145654     12.20    51.14 
Bank of Montreal         06374V4E3 09/30/22 09/30/26    100.000     0.000     5.2120                                   0.144778   0.148551  0.152422     13.17    53.49 
Bank of Montreal         06374V4F0 10/03/22 10/05/26    100.000     0.000     4.9900                        0.138611   0.138650   0.142109  0.145654     12.20    51.14 
Bank of Montreal         06374VEC6 11/23/22 11/21/25    100.000     0.000     5.3400                                   0.148333   0.152250  0.156315      5.64    54.42 
Bank of Montreal         06374V4C7 09/30/22 09/30/26    100.000     0.000     5.2120                                   0.144778   0.148551  0.152422     13.17    53.49 
Bank of Montreal         06374VED4 11/23/22 11/23/27    100.000     0.000     5.1440                                   0.142889   0.146564  0.150334      5.43    52.38 
Bank of Montreal         06374V5G7 09/30/22 09/30/26    100.000     0.000     5.2120                                   0.144778   0.148551  0.152422     13.17    53.49 
Bank of Montreal         06374V5W2 10/13/22 10/14/25    100.000     0.000     5.2400                                   0.145556   0.149390  0.153304     11.35    53.69 
Bank of Montreal         06374V5R3 09/20/22 09/22/25    100.000     0.000     4.7090                        0.130806   0.130840   0.133920  0.137074     13.21    48.27 
Bank of Montreal         06374V7J9 10/12/22 04/14/25    100.000     0.000     5.2430                        0.145639   0.145681   0.149500  0.153419     11.51    53.73 
Bank of Montreal         06374V7A8 10/04/22 10/05/26    100.000     0.000     5.1600                                   0.143333   0.147052  0.150846     12.47    52.92 
Bank of Nova Scotia      06417P819 11/01/18 10/25/24    100.000     0.000     3.9550    132.09   0.123477   0.125919   0.128409   0.130948  0.133538     45.22    47.02 
Bank of Nova Scotia      06417P611 12/28/18 12/20/24    100.000     0.000     3.9396    124.55   0.122916   0.125337   0.127806   0.130324  0.132891     44.74    46.52 
Bank of Nova Scotia      064159X92 06/16/21 06/16/36    100.000    VARIES     2.3423     12.67   0.064200   0.063325   0.063035   0.062867  0.062791     22.94    22.66 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Bank of Nova Scotia      06417P124 08/01/19 07/26/24    100.000     0.000     2.5003     61.90   0.072967   0.073879   0.074803   0.075738  0.076685     26.72    27.39 
Bank of Nova Scotia      06417P538 01/31/19 01/27/23    100.000     0.000     3.6098    110.12   0.109622   0.111601   0.113615                          40.43     2.95 
Bank of Nova Scotia      06417P330 06/06/19 05/30/25    100.000     0.000     3.0038     79.64   0.089853   0.091202   0.092572   0.093963  0.095374     32.67    33.66 
Barclays Bank PLC        06741TRR0 04/09/13 04/09/28    100.000    VARIES     3.5338    256.03   0.080519   0.081941   0.083389   0.084863  0.086347     29.48    30.53 
Barclays Bank PLC        06741TRP4 03/28/13 03/28/33    100.000    VARIES     3.9300    230.38   0.069777   0.071148   0.072546   0.073972  0.075426     25.62    26.64 
Barclays Bank PLC        06746XQ63 10/03/18 06/30/23    100.000     0.000     3.9789    136.41   0.125590   0.128088   0.130637                          45.67    23.38 
Barclays Bank PLC        06748X3E9 02/03/22 02/03/27    100.000     0.000     2.2900                        0.063611   0.064340   0.065076  0.065821     20.97    23.51 
Barclays Bank PLC        06747PSV2 06/03/20 06/01/23    100.000     0.000     1.5201     24.19   0.043191   0.043519   0.043850                          15.63     6.58 
Barclays Bank PLC        06738G8A1 01/30/20 02/04/25    104.000     0.000     2.1300     43.18   0.063535   0.064211   0.064895   0.065586  0.066285     23.19    23.69 
Barclays Bank PLC        06747MJP2 03/14/19 03/14/29    100.000    VARIES     3.5244     14.88   0.013111   0.013342   0.013577   0.013817  0.014060      4.81     4.98 
Barclays Bank PLC        06748XDD0 02/28/22 02/28/28    100.000     0.000     2.5100                        0.069722   0.070597   0.071483  0.072380     21.23    25.79 
Barclays Bank PLC        06748XDE8 02/22/22 02/22/27    100.000    VARIES     0.7226                        0.008961   0.008834   0.008706  0.008738      2.75     3.14 
Barclays Bank PLC        06748X3D1 01/31/22 01/25/29    100.000     0.000     2.4390                        0.067749   0.068552   0.069388  0.070235     22.55    25.09 
Barclays Bank PLC        06748X3A7 01/26/22 01/25/29    100.000     0.000     2.5200                        0.070000   0.070877   0.071770  0.072674     23.59    25.96 
Barclays Bank PLC        06747NML5 11/29/19 11/27/24    100.000     0.000     2.4500     52.20   0.071442   0.072317   0.073203   0.074100  0.075007     25.94    26.58 
Barclays Bank PLC        06748XDC2 03/03/22 03/04/27    100.000     0.000     2.4799                        0.068891   0.069745   0.070610  0.071485     20.63    25.47 
Barclays Bank PLC        06747NMK7 11/29/19 05/27/25    100.000     0.000     2.3900     50.89   0.069610   0.070442   0.071284   0.072136  0.072998     25.27    25.87 
Barclays Bank PLC        06748X2Z3 01/26/22 01/26/27    100.000     0.000     2.2400                        0.062222   0.062919   0.063624  0.064336     20.95    23.00 
Barclays Bank PLC        06747PBH1 02/28/20 02/26/27    100.000     0.000     1.8200     33.94   0.051943   0.052416   0.052893   0.053374  0.053860     18.90    19.25 
Barclays Bank PLC        06747PBK4 03/04/20 03/04/24    100.000     0.000     1.5201     28.03   0.043194   0.043522   0.043853   0.044186  0.044522     15.69    15.93 
Barclays Bank PLC        06747PBJ7 02/28/20 02/28/25    100.000     0.000     1.6100     29.98   0.045811   0.046180   0.046552   0.046927  0.047304     16.65    16.92 
Barclays Bank PLC        06741UDA9 05/30/14 05/30/34    100.000    VARIES     3.8795    246.38   0.083994   0.084438   0.085289   0.086157  0.087041     30.36    30.91 
Barclays Bank PLC        06741VXF4 07/06/17 07/06/22    100.000     0.000     2.7400    129.85   0.084863   0.086025                                     15.91          
Barclays Bank PLC        06748XTR2 10/05/22 10/05/27    100.000     0.000     5.8000                                   0.161111   0.165783  0.170591     13.86    59.66 
Barclays Bank PLC        06747QVE4 01/27/21 01/27/28    100.000     0.000     1.4100     13.12   0.039443   0.039721   0.040001   0.040283  0.040567     14.34    14.54 
Barclays Bank PLC        06748XTP6 10/05/22 10/03/25    100.000     0.000     5.7600                                   0.160000   0.164557  0.169296     13.76    59.24 
Barclays Bank PLC        06747QVF1 01/27/21 06/26/26    100.000     0.000     1.2699     11.82   0.035687   0.035914   0.036142   0.036371  0.036602     12.89    13.05 
Barclays Bank PLC        06748XTQ4 10/05/22 10/03/25    100.000     0.000     5.8100                                   0.161389   0.166025  0.170848     13.88    59.77 
Barclays Bank PLC        06747QVA2 01/29/21 01/31/28    100.000     0.000     1.4406     13.33   0.040306   0.040596   0.040888   0.041183  0.041480     14.65    14.86 
Barclays Bank PLC        06741VXB3 06/30/17 06/28/23    100.000     0.000     2.8299    134.89   0.089192   0.090454   0.091734                          32.34    16.24 
Barclays Bank PLC        06747A631 04/18/19 04/21/22    100.000     0.000     2.8999     80.95   0.086587                                                 9.52          
Barclays Bank PLC        06747MJ72 03/11/19 03/11/26    100.000    VARIES     3.1873     11.68   0.011331   0.011511   0.011695   0.011881  0.012070      4.15     4.29 
Barclays Bank PLC        06741VXA5 06/30/17 06/27/24    100.000     0.000     2.9300    139.94   0.092750   0.094108   0.095487   0.096886  0.098305     33.65    34.64 
Barclays Bank PLC        06741VG63 01/31/17 01/31/22    100.000     0.000     2.9201    153.30   0.092416                                                 2.68          
Barclays Bank PLC        06747Q3Z8 07/31/20 07/30/27    100.000     0.000     1.8100     25.91   0.051192   0.051655   0.052123   0.052594  0.053070     18.65    18.99 
Barclays Bank PLC        06747PAX7 03/04/20 08/31/23    100.000     0.000     1.5212     28.05   0.043220   0.043545   0.043880   0.044210               15.70    10.55 
Barclays Bank PLC        06747PB57 02/07/20 08/08/23    100.000     0.000     1.8700     36.01   0.053418   0.053917   0.054421   0.054930               19.46    11.90 
Barclays Bank PLC        06746P795 02/05/18 02/03/23    100.000     0.000     3.3800    139.88   0.105555   0.107338   0.109152                          38.85     3.49 
Barclays Bank PLC        06747MZK5 06/14/19 06/15/23    100.000     0.000     2.9300     76.92   0.087535   0.088817   0.090118                          31.78    14.78 
Barclays Bank PLC        06741VG30 01/27/17 01/25/23    100.000     0.000     3.1501    166.53   0.100699   0.102285   0.103896                          37.04     2.49 
Barclays Bank PLC        06747PAM1 03/04/20 03/03/23    100.000     0.000     1.4900     27.47   0.042319   0.042634   0.042952                          15.37     2.66 
Barclays Bank PLC        06747QDJ3 08/26/20 08/26/26    100.000     0.000     1.4200     19.25   0.040006   0.040290   0.040577   0.040865  0.041155     14.52    14.73 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747PRH4 05/20/20 05/20/27    100.000     0.000     2.3700     38.77   0.068202   0.069010   0.069828   0.070655  0.071493     24.76    25.36 
Barclays Bank PLC        06748XBT7 02/24/22 02/24/28    100.000     0.000     2.6500                        0.073611   0.074587   0.075575  0.076576     22.72    27.28 
Barclays Bank PLC        06748XBU4 02/24/22 02/24/27    100.000     0.000     2.4700                        0.068611   0.069458   0.070316  0.071185     21.17    25.38 
Barclays Bank PLC        06746T250 09/06/18 09/04/25    100.000     0.000     3.8400    134.62   0.119534   0.121829   0.124168   0.126552  0.128982     43.99    45.69 
Barclays Bank PLC        06747MHZ2 04/03/19 12/30/22    100.000     0.000     3.2491     92.52   0.098594   0.100196                                     35.68          
Barclays Bank PLC        06744CN72 12/29/17 12/27/24    100.000     0.000     3.2100    136.05   0.101261   0.102887   0.104538   0.106216  0.107921     36.76    37.95 
Barclays Bank PLC        06747MHY5 03/29/19 12/29/23    100.000     0.000     3.3592     96.18   0.102266   0.103984   0.105730   0.107506               37.13    38.17 
Barclays Bank PLC        06747QDH7 08/26/20 08/26/27    100.000     0.000     1.5300     20.75   0.043153   0.043483   0.043815   0.044151  0.044488     15.68    15.92 
Barclays Bank PLC        06744CN80 12/29/17 12/27/23    100.000     0.000     3.1400    132.92   0.098781   0.100332   0.101907   0.103507               35.85    36.57 
Barclays Bank PLC        06744CMQ1 12/27/17 12/30/22    100.000     0.000     3.0300    128.21   0.094949   0.096388                                     34.35          
Barclays Bank PLC        06747W518 08/04/21 08/03/28    100.000     0.000     1.6100      6.57   0.044722   0.045080   0.045443   0.045809  0.046177     16.27    16.53 
Barclays Bank PLC        06741UBX1 04/30/14 04/30/24    100.000    VARIES     3.4912    274.59   0.098836   0.098517   0.098157   0.097790  0.097387     35.48    35.22 
Barclays Bank PLC        06747NKX1 10/31/19 04/28/23    100.000    VARIES     2.4511     10.82   0.013823   0.013993   0.014164                           5.03     1.66 
Barclays Bank PLC        06738KTB7 09/30/11 09/30/31    100.000    VARIES     5.4570    517.30   0.147096   0.148586   0.150115   0.150893  0.151691     53.50    54.32 
Barclays Bank PLC        06747NKZ6 10/31/19 10/30/26    100.000     0.000     2.6300     58.34   0.076975   0.077987   0.079013   0.080052  0.081104     28.02    28.76 
Barclays Bank PLC        06747MYV2 06/28/19 06/30/25    100.000     0.000     3.2000     82.89   0.096247   0.097787   0.099352   0.100942  0.102557     34.93    36.06 
Barclays Bank PLC        06747MYU4 07/03/19 07/03/24    100.000     0.000     2.9900     76.84   0.088134   0.089452   0.090789   0.092147  0.093524     32.44    33.42 
Barclays Bank PLC        06747NL28 10/31/19 10/31/23    100.000     0.000     2.3400     51.78   0.068096   0.068893   0.069699   0.070514               24.76    20.99 
Barclays Bank PLC        06747NL36 11/05/19 11/05/24    100.000     0.000     2.4900     54.81   0.072676   0.073581   0.074497   0.075425  0.076364     26.43    27.09 
Barclays Bank PLC        06747MYK6 06/28/19 12/27/24    100.000     0.000     3.1200     80.75   0.093633   0.095093   0.096577   0.098083  0.099613     33.98    35.05 
Barclays Bank PLC        06741TPR2 03/21/13 03/21/33    100.000    VARIES     3.9299    231.25   0.069777   0.071148   0.072546   0.073971  0.075425     25.64    26.66 
Barclays Bank PLC        06747MYJ9 06/28/19 12/27/24    100.000     0.000     3.1200     80.75   0.093633   0.095093   0.096577   0.098083  0.099614     33.98    35.05 
Barclays Bank PLC        06741VEJ7 12/30/16 12/29/23    100.000     0.000     3.3400    180.24   0.109480   0.111308   0.113167   0.115057               39.75    40.85 
Barclays Bank PLC        067387HW3 03/28/14 03/28/24    100.000     0.000     3.5500    313.96   0.128394   0.130673   0.132993   0.135354  0.137756     47.06    48.75 
Barclays Bank PLC        06747NKC7 11/05/19 10/31/22    100.000     0.000     2.3021     50.59   0.066923   0.067693                                     20.15          
Barclays Bank PLC        067387HZ6 04/10/14 04/10/24    100.000     0.000     3.6100    318.41   0.131142   0.133509   0.135919   0.138372  0.140870     48.02    49.77 
Barclays Bank PLC        06747PQL6 05/19/20 05/19/23    100.000    VARIES     1.6262     11.85   0.020204   0.020369   0.020534                           7.32     2.83 
Barclays Bank PLC        06746XNG4 08/31/18 08/31/23    100.000     0.000     3.7100    130.51   0.115071   0.117182   0.119380   0.121570               42.33    28.93 
Barclays Bank PLC        06741UBA1 04/25/14 04/25/34    100.000    VARIES     3.4516    207.26   0.068867   0.070056   0.071265   0.072495  0.073746     25.16    26.04 
Barclays Bank PLC        06747MGT7 03/12/19 03/10/22    100.000     0.000     3.2000     93.09   0.096213                                                 6.64          
Barclays Bank PLC        06747M6S0 01/31/19 01/31/24    100.000     0.000     3.6200    110.44   0.109991   0.111982   0.114009   0.116072  0.118173     40.56    42.04 
Barclays Bank PLC        06747MXV3 06/28/19 06/29/22    100.000     0.000     2.8500     73.56   0.084976                                                15.13          
Barclays Bank PLC        06747NK86 11/05/19 10/31/22    100.000     0.000     2.3021     50.59   0.066921   0.067692                                     20.15          
Barclays Bank PLC        06746U448 10/03/18 10/03/23    100.000     0.000     3.9800    136.45   0.124430   0.126906   0.129432   0.132008               45.68    35.67 
Barclays Bank PLC        06746V776 12/06/18 11/29/24    100.000     0.000     3.9099    126.24   0.121895   0.124278   0.126708   0.129185  0.131710     44.47    46.22 
Barclays Bank PLC        06747B704 06/06/19 05/26/23    100.000     0.000     2.8899     76.53   0.086175   0.087420   0.088684                          31.34    12.86 
Barclays Bank PLC        06741VUR1 05/19/17 05/19/27    100.000    VARIES     2.5708     17.02   0.010132   0.010263   0.010394   0.010528  0.010663      3.68     3.78 
Barclays Bank PLC        06741VDS8 11/28/16 11/24/23    100.000     0.000     3.0999    169.58   0.100392   0.101948   0.103528   0.105132               36.54    33.73 
Barclays Bank PLC        06747NJG0 10/25/19 04/24/25    100.000     0.000     2.6100     58.27   0.076354   0.077350   0.078359   0.079382  0.080418     27.80    28.53 
Barclays Bank PLC        06747NJH8 10/25/19 10/23/24    100.000     0.000     2.5400     56.67   0.074198   0.075140   0.076094   0.077061  0.078039     27.01    27.70 
Barclays Bank PLC        06747MGE0 03/29/19 03/31/23    100.000     0.000     3.2800     93.83   0.098839   0.100460   0.102107                          36.17     9.09 
Barclays Bank PLC        06738KAM3 02/25/11 02/25/31    100.000    VARIES     5.5651    510.01   0.132864   0.134268   0.135640   0.137050  0.138499     48.43    49.44 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747PPH6 04/28/20 04/28/25    100.000     0.000     2.2600     38.38   0.064930   0.065664   0.066406   0.067156  0.067915     23.60    24.14 
Barclays Bank PLC        06747MXC5 06/28/19 06/30/22    100.000     0.000     2.8500     73.56   0.084982                                                15.21          
Barclays Bank PLC        06747PPJ2 04/30/20 04/30/25    100.000    VARIES     2.4441     11.18   0.018008   0.017668   0.017884   0.018103  0.018324      6.41     6.50 
Barclays Bank PLC        06747QSH1 12/29/20 12/29/27    100.000     0.000     1.4500     14.63   0.040864   0.041160   0.041459   0.041759  0.042062     14.77    14.98 
Barclays Bank PLC        06748XQU8 09/06/22 09/06/24    100.000     0.000     4.9600                                   0.137778   0.141195  0.144696     15.84    51.01 
Barclays Bank PLC        06738KQS3 08/31/11 08/31/31    100.000    VARIES     6.1336    560.33   0.155162   0.154367   0.158742   0.157306  0.160235     56.93    57.86 
Barclays Bank PLC        06746XME0 08/31/18 08/31/23    100.000     0.000     3.7100    130.51   0.115071   0.117182   0.119380   0.121570               42.33    28.93 
Barclays Bank PLC        06747MG67 04/03/19 03/31/22    100.000     0.000     3.1899     90.78   0.095880                                                 8.53          
Barclays Bank PLC        06740D558 02/04/15 08/03/22    100.000     0.000     2.2500    167.17   0.072279   0.073092                                     15.47          
Barclays Bank PLC        06748XQN4 09/02/22 07/06/29    100.000     0.000     4.8500                                   0.134722   0.136973  0.140294     16.03    49.88 
Barclays Bank PLC        06744CKT7 12/05/17 12/05/22    100.000     0.000     2.9800    128.03   0.093175   0.094563                                     31.37          
Barclays Bank PLC        06748EJ53 04/28/21 04/27/28    100.000     0.000     1.9000     12.86   0.053276   0.053782   0.054293   0.054809  0.055330     19.34    19.70 
Barclays Bank PLC        06747MG59 03/29/19 03/29/24    100.000     0.000     3.3800     96.80   0.102095   0.103821   0.105575   0.107359  0.109174     37.38    38.66 
Barclays Bank PLC        06741VTW2 05/31/17 05/30/24    100.000     0.000     3.0612    149.50   0.096942   0.096821   0.099933   0.099808  0.102449     35.46    36.53 
Barclays Bank PLC        06741VU83 05/26/17 05/23/24    100.000     0.000     3.0400    148.81   0.096700   0.098170   0.099662   0.101177  0.102715     35.19    36.27 
Barclays Bank PLC        06748EJ61 04/28/21 10/28/26    100.000     0.000     1.5300     10.35   0.042825   0.043153   0.043483   0.043815  0.044151     15.52    15.76 
Barclays Bank PLC        06748XQK0 09/06/22 09/05/25    100.000     0.000     5.0200                                   0.139444   0.142925  0.146512     16.04    51.65 
Barclays Bank PLC        06741UQZ0 02/20/15 02/25/22    100.000     0.000     2.6399    197.26   0.086994                                                 4.70          
Barclays Bank PLC        06744CKH3 12/05/17 12/05/22    100.000     0.000     2.9000    124.41   0.090388   0.091699                                     30.43          
Barclays Bank PLC        06740PZ33 01/27/11 01/27/31    100.000    VARIES     5.5228    544.60   0.140594   0.141724   0.142885   0.144079  0.145305     51.17    52.03 
Barclays Bank PLC        06748XZ38 11/02/22 11/02/27    100.000     0.000     6.1700                                   0.171389   0.176676  0.182127     10.11    63.29 
Barclays Bank PLC        06749N4H2 11/28/22 11/26/27    100.000     0.000     5.6100                                   0.155833   0.160156  0.164648      5.14    57.19 
Barclays Bank PLC        06746T805 07/05/18 07/03/25    100.000     0.000     3.8500    142.31   0.119880   0.122188   0.124540   0.126937  0.129381     44.40    46.13 
Barclays Bank PLC        06744CT50 01/26/18 01/26/28    100.000    VARIES     3.1964     14.09   0.009456   0.009607   0.009761   0.009917  0.010076      3.48     3.59 
Barclays Bank PLC        06746XCW1 05/30/18 05/30/23    100.000    VARIES     2.9247     10.25   0.007979   0.007864   0.007748                           2.84     1.15 
Barclays Bank PLC        06747NQV9 12/02/19 06/02/23    100.000    VARIES     2.3648      9.19   0.012250   0.012395   0.012541                           4.44     1.89 
Barclays Bank PLC        06747PWW5 07/06/20 06/28/24    100.000     0.000     1.3600     20.35   0.038542   0.038804   0.039068   0.039333  0.039601     13.92    14.11 
Barclays Bank PLC        06748X7E5 02/03/22 08/04/27    100.000     0.000     2.3900                        0.066393   0.067187   0.067989  0.068802     21.89    24.57 
Barclays Bank PLC        06746XD34 06/29/18 06/27/24    100.000     0.000     3.8100    141.46   0.120752   0.123053   0.125397   0.127785  0.130220     43.90    45.59 
Barclays Bank PLC        06747PWV7 06/30/20 06/30/25    100.000     0.000     1.7400     26.38   0.049607   0.050038   0.050474   0.050913  0.051356     17.94    18.25 
Barclays Bank PLC        06746XD42 06/29/18 06/27/23    100.000     0.000     3.7300    138.32   0.117893   0.120092   0.122331                          42.86    21.53 
Barclays Bank PLC        06746XD75 05/31/18 05/31/23    100.000    VARIES     3.1075     12.59   0.009804   0.009654   0.009502                           3.49     1.42 
Barclays Bank PLC        06741J7V5 09/27/18 09/26/23    100.000     0.000     3.8900    133.93   0.121281   0.123640   0.126045   0.128497               44.54    33.84 
Barclays Bank PLC        06744CBB6 07/28/17 07/25/24    100.000     0.000     3.0200    141.85   0.094551   0.095979   0.097428   0.098899  0.100393     34.74    35.80 
Barclays Bank PLC        06747MNJ1 04/11/19 04/11/22    100.000    VARIES     2.8761      7.79   0.008075                                                 0.81          
Barclays Bank PLC        06741TVK0 05/31/13 05/31/33    100.000    VARIES     3.5100    210.60   0.065346   0.066493   0.067660   0.068848  0.070056     23.80    24.65 
Barclays Bank PLC        06744CBC4 07/28/17 07/27/22    100.000     0.000     2.6601    124.06   0.082123   0.083215                                     17.11          
Barclays Bank PLC        06748XYA3 10/18/22 10/17/24    100.000     0.000     6.0900                                   0.169167   0.174289  0.179596     12.35    62.59 
Barclays Bank PLC        06749N3Z3 12/05/22 12/04/24    100.000     0.000     5.6300                                   0.156389   0.160767  0.165292      4.07    57.33 
Barclays Bank PLC        06746XCC5 05/25/18 05/21/26    100.000     0.000     3.9200    150.03   0.124681   0.127125   0.129616   0.132157  0.134747     45.52    47.32 
Barclays Bank PLC        06747PWE5 06/30/20 06/30/27    100.000     0.000     2.0600     31.28   0.059009   0.059617   0.060231   0.060851  0.061478     21.35    21.80 
Barclays Bank PLC        06746XTF0 11/05/18 08/03/23    100.000     0.000     3.9789    132.47   0.123153   0.125603   0.128102   0.130650               45.51    27.62 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06748W3L5 08/04/21 07/31/26    100.000     0.000     1.2107      4.94   0.033629   0.033828   0.034033   0.034239  0.034446     12.20    12.35 
Barclays Bank PLC        06748XY47 11/03/22 11/03/27    100.000     0.000     6.2100                                   0.172500   0.177856  0.183379     10.01    63.70 
Barclays Bank PLC        06747J400 07/06/20 07/06/27    100.000     0.000     1.8800     28.20   0.053209   0.053709   0.054214   0.054723  0.055238     19.42    19.79 
Barclays Bank PLC        06748XY21 11/03/22 11/05/25    100.000     0.000     6.3100                        0.175278   0.175339   0.180871  0.186578     10.17    64.75 
Barclays Bank PLC        06744CAN1 08/03/17 08/04/22    100.000     0.000     2.6899    125.11   0.083154   0.084273                                     17.91          
Barclays Bank PLC        06748W3C5 07/28/21 01/28/27    100.000     0.000     1.3700      5.82   0.038056   0.038316   0.038579   0.038843  0.039109     13.83    14.02 
Barclays Bank PLC        06748W3D3 07/30/21 07/31/28    100.000     0.000     1.6500      6.92   0.045834   0.046212   0.046593   0.046977  0.047365     16.68    16.96 
Barclays Bank PLC        06748XXK2 11/03/22 05/05/25    100.000     0.000     6.1100                        0.169722   0.169780   0.174967  0.180312      9.85    62.64 
Barclays Bank PLC        06748W3B7 07/28/21 07/27/28    100.000     0.000     1.6500      7.01   0.045833   0.046209   0.046591   0.046975  0.047362     16.68    16.96 
Barclays Bank PLC        06744CAL5 07/31/17 07/31/24    100.000     0.000     3.0701    144.15   0.096332   0.097811   0.099312   0.100837  0.102384     35.40    36.49 
Barclays Bank PLC        06749N3A8 12/02/22 12/02/26    100.000     0.000     5.7000                                   0.158333   0.162846  0.167487      4.59    58.08 
Barclays Bank PLC        06748XXE6 10/31/22 10/29/26    100.000     0.000     6.0800                                   0.168889   0.173995  0.179284     10.30    62.36 
Barclays Bank PLC        06747NPN8 12/03/19 12/01/22    100.000     0.000     2.1600     45.66   0.062626   0.063303                                     20.79          
Barclays Bank PLC        06747PEU9 03/27/20 03/25/25    100.000     0.000     2.6800     48.02   0.077466   0.078504   0.079556   0.080622  0.081702     28.28    29.04 
Barclays Bank PLC        06747PET2 03/27/20 03/25/26    100.000     0.000     2.8100     50.40   0.081379   0.082522   0.083682   0.084857  0.086050     29.72    30.56 
Barclays Bank PLC        06747NPJ7 12/03/19 12/01/22    100.000     0.000     2.1600     45.66   0.062626   0.063302                                     20.79          
Barclays Bank PLC        06744CRB9 12/29/17 06/30/23    100.000     0.000     3.0800    130.24   0.096690   0.098179   0.099691                          35.08    17.84 
Barclays Bank PLC        06746XBL6 05/30/18 05/31/23    100.000     1.750     3.6101    133.84   0.108100   0.108296   0.110251                          39.02    16.43 
Barclays Bank PLC        06748EPH0 06/03/21 06/02/26    100.000     0.000     1.4100      8.15   0.039441   0.039719   0.039999   0.040281  0.040565     14.27    14.47 
Barclays Bank PLC        06749N2Z4 12/02/22 06/02/25    100.000     0.000     5.8000                                   0.161111   0.165783  0.170591      4.67    59.12 
Barclays Bank PLC        06747P4P1 02/11/20 02/11/25    100.000     0.000     1.9400     37.15   0.055473   0.056011   0.056554   0.057102  0.057656     20.22    20.61 
Barclays Bank PLC        06746M206 09/14/17 09/14/23    100.000     0.000     2.9700    135.09   0.092826   0.094204   0.095603   0.097023               33.96    24.44 
Barclays Bank PLC        06741VJJ2 02/28/17 08/28/23    100.000     0.000     3.1900    165.62   0.102173   0.103803   0.105458   0.107140               37.48    25.30 
Barclays Bank PLC        06749NCV2 12/16/22 12/18/25    100.000     0.000     5.3100                        0.147500   0.147544   0.151461  0.155482      2.21    53.92 
Barclays Bank PLC        06749N2U5 12/05/22 12/03/27    100.000     0.000     5.3800                                   0.149444   0.153420  0.157547      3.89    54.74 
Barclays Bank PLC        06747NPF5 11/29/19 11/30/26    100.000     0.000     2.6500     56.55   0.077596   0.078624   0.079666   0.080722  0.081791     28.18    28.94 
Barclays Bank PLC        06748WCU5 08/27/21 08/27/36    100.000    VARIES     2.1838      7.52   0.060660   0.059655   0.058638   0.058063  0.057667     21.41    20.89 
Barclays Bank PLC        06748EPG2 05/28/21 05/31/28    100.000     0.000     1.9300     11.44   0.054134   0.054656   0.055184   0.055716  0.056254     19.61    20.00 
Barclays Bank PLC        06747NPH1 11/29/19 11/30/23    100.000     0.000     2.3400     49.81   0.068099   0.068896   0.069702   0.070518               24.71    23.08 
Barclays Bank PLC        06749N2T8 12/05/22 12/04/25    100.000     0.000     5.5000                                   0.152778   0.156956  0.161272      3.97    55.98 
Barclays Bank PLC        06749N2Q4 11/28/22 11/27/24    100.000     0.000     5.8300                                   0.161944   0.166639  0.171496      5.34    59.47 
Barclays Bank PLC        06744CQZ7 01/26/18 01/24/25    100.000     0.000     3.2700    135.99   0.101734   0.103398   0.105088   0.106806  0.108553     37.45    38.68 
Barclays Bank PLC        06747NPD0 11/27/19 11/23/22    100.000     0.000     2.2100     47.12   0.064131   0.064839                                     20.78          
Barclays Bank PLC        06746XBF9 06/05/18 06/05/23    100.000     0.000     3.6901    139.55   0.116496   0.118645   0.120834                          42.44    18.61 
Barclays Bank PLC        06741VJH6 03/03/17 03/03/22    100.000     0.000     2.9401    151.35   0.093132                                                 5.77          
Barclays Bank PLC        06749N2N1 11/28/22 11/28/25    100.000     0.000     5.7000                                   0.158333   0.162846  0.167487      5.22    58.11 
Barclays Bank PLC        06748XWU1 10/04/22 10/03/24    100.000     0.000     5.6900                                   0.158056   0.162527  0.167151     13.75    58.51 
Barclays Bank PLC        06741TUA3 05/10/13 05/10/28    100.000    VARIES     3.2563    224.42   0.073324   0.074518   0.075731   0.076964  0.078217     26.73    27.61 
Barclays Bank PLC        06741TUB1 05/03/13 05/03/33    100.000    VARIES     3.4200    209.10   0.064322   0.065422   0.066541   0.067678  0.068836     23.48    24.29 
Barclays Bank PLC        06744CR29 01/26/18 01/24/24    100.000     0.000     3.2100    133.36   0.099662   0.101262   0.102887   0.104538  0.106216     36.67    37.86 
Barclays Bank PLC        06747QYE1 01/29/21 01/31/41    100.000    VARIES     2.0890     18.74   0.054575   0.051083   0.047608   0.044753  0.042751     17.97    15.89 
Barclays Bank PLC        06741T2W6 12/23/13 12/23/33    100.000    VARIES     4.3876    285.82   0.095552   0.096891   0.098260   0.099658  0.101087     34.66    35.65 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06740ASJ9 02/29/12 02/28/22    100.000    VARIES     3.2529    327.52   0.090481                                                 5.25          
Barclays Bank PLC        06747PUY3 05/28/20 05/28/25    100.000     0.000     2.2200     35.77   0.063743   0.064451   0.065166   0.065889  0.066621     23.12    23.64 
Barclays Bank PLC        06744CQJ3 02/05/18 02/03/23    100.000     1.000     3.3800    137.89   0.102592   0.103387   0.105134                          37.45     3.36 
Barclays Bank PLC        06738KWX5 10/31/11 11/01/31    100.000    VARIES     4.5597    437.99   0.125460   0.124273   0.127225   0.125550  0.127343     45.68    46.14 
Barclays Bank PLC        06741UFM1 07/31/14 07/31/34    100.000    VARIES     3.8919    246.62   0.086865   0.087480   0.088108   0.089266  0.090447     31.57    32.28 
Barclays Bank PLC        06748XFB2 02/24/22 02/23/29    100.000     0.000     2.7100                        0.075278   0.076292   0.077326  0.078373     23.24    27.92 
Barclays Bank PLC        06746M107 09/14/17 09/15/22    100.000     0.000     2.7800    125.99   0.086245   0.087444                                     22.12          
Barclays Bank PLC        06746XRP0 10/31/18 10/31/23    100.000     0.000     3.9400    131.68   0.123035   0.125459   0.127930   0.130450               45.03    38.70 
Barclays Bank PLC        06744CQE4 01/31/18 01/31/23    100.000     1.000     3.0900    125.89   0.092861   0.093437   0.094881                          33.84     2.75 
Barclays Bank PLC        06748XFC0 03/03/22 09/02/27    100.000     0.000     2.5700                        0.071389   0.072301   0.073230  0.074171     21.38    26.42 
Barclays Bank PLC        06746N451 01/03/18 01/03/25    100.000     0.000     3.2700    138.33   0.101753   0.103417   0.105108   0.106826  0.108573     37.53    38.76 
Barclays Bank PLC        06747QGU5 09/03/20 09/03/27    100.000     0.000     1.3000     17.36   0.036582   0.036820   0.037059   0.037300  0.037542     13.27    13.44 
Barclays Bank PLC        06746XAM5 05/02/18 05/02/23    100.000     1.000     3.7100    142.31   0.113937   0.115020   0.117154                          41.40    14.18 
Barclays Bank PLC        06744CQB0 01/31/18 01/30/25    100.000     0.000     3.2700    135.58   0.101753   0.103417   0.105108   0.106826  0.108573     37.44    38.67 
Barclays Bank PLC        06741UFK5 07/28/14 07/28/34    100.000    VARIES     3.8226    221.40   0.064933   0.066160   0.067409   0.068698  0.070011     23.98    24.90 
Barclays Bank PLC        06746XAF0 05/25/18 05/23/23    100.000     0.000     3.6900    140.72   0.116469   0.118617   0.120806                          42.48    17.15 
Barclays Bank PLC        06747MLB0 05/03/19 04/29/22    100.000     0.000     2.8499     78.24   0.084941                                                10.02          
Barclays Bank PLC        06747PUF4 05/22/20 05/23/22    100.000     0.000     1.8100     29.41   0.051657                                                 7.34          
Barclays Bank PLC        06746XAE3 05/25/18 05/23/24    100.000     0.000     3.8000    145.16   0.120394   0.122682   0.125013   0.127388  0.129808     43.93    45.61 
Barclays Bank PLC        06748ENY5 05/26/21 05/25/28    100.000     0.000     1.9000     11.37   0.053276   0.053782   0.054293   0.054809  0.055330     19.31    19.68 
Barclays Bank PLC        06747A862 05/03/19 05/05/26    100.000     0.000     3.2600     89.90   0.098198   0.099798   0.101425   0.103078  0.104758     35.82    37.00 
Barclays Bank PLC        06747MKT2 04/30/19 04/28/23    100.000     0.000     3.2800     90.76   0.098813   0.100433   0.102080                          36.07    11.94 
Barclays Bank PLC        06748X4K4 01/18/22 01/15/27    100.000     0.000     2.2100                        0.061388   0.062055   0.062741  0.063434     21.17    22.69 
Barclays Bank PLC        06747P2Z1 01/23/20 01/20/23    100.000     0.000     2.1600     42.54   0.061953   0.062622   0.063299                          22.64     1.20 
Barclays Bank PLC        06747MKS4 04/30/19 04/30/24    100.000     0.000     3.3800     93.63   0.102095   0.103820   0.105575   0.107359  0.109173     37.28    38.55 
Barclays Bank PLC        06748ENX7 05/26/21 11/27/26    100.000     0.000     1.5200      9.09   0.042545   0.042868   0.043194   0.043522  0.043853     15.40    15.63 
Barclays Bank PLC        06747MKU9 05/03/19 01/31/23    100.000     0.000     2.9015     79.71   0.085975   0.087222   0.088487                          31.55     2.57 
Barclays Bank PLC        06747PD89 02/27/20 02/26/24    100.000     0.000     1.6500     30.78   0.046975   0.047362   0.047753   0.048147  0.048544     17.08    17.36 
Barclays Bank PLC        06741VHQ8 02/10/17 02/08/23    100.000     0.000     3.1499    165.21   0.100694   0.102280   0.103891                          36.99     3.84 
Barclays Bank PLC        06748WBA0 08/25/21 08/24/28    100.000     0.000     1.7700      6.20   0.049167   0.049599   0.050038   0.050481  0.050928     17.89    18.21 
Barclays Bank PLC        06747MKK1 04/30/19 04/28/22    100.000     0.000     3.1900     88.19   0.095889                                                11.22          
Barclays Bank PLC        06746XR62 09/26/18 09/26/24    100.000     0.000     3.9700    136.96   0.124081   0.126544   0.129056   0.131618  0.134231     45.59    47.41 
Barclays Bank PLC        06744CPC9 01/05/18 01/06/23    100.000     1.300     3.0300    125.04   0.090081   0.090352   0.091720                          32.76     0.46 
Barclays Bank PLC        06746Y325 04/04/19 03/28/25    100.000     0.000     3.5099    100.14   0.106297   0.108163   0.110061   0.111993  0.113958     38.95    40.33 
Barclays Bank PLC        06748WB93 08/25/21 02/25/27    100.000     0.000     1.5000      5.25   0.041667   0.041979   0.042294   0.042611  0.042931     15.14    15.36 
Barclays Bank PLC        06741VHH8 01/27/17 01/27/27    100.000    VARIES     2.3799     15.55   0.008684   0.008787   0.008892   0.008998  0.009105      3.18     3.25 
Barclays Bank PLC        06739GCF4 02/20/20 02/18/25    104.000     0.000     3.2800     65.05   0.099476   0.101107   0.102765   0.104450  0.106163     36.54    37.75 
Barclays Bank PLC        06748WB69 08/31/21 08/31/28    100.000     0.000     1.7400      5.85   0.048333   0.048749   0.049178   0.049601  0.050037     17.58    17.89 
Barclays Bank PLC        06748WB77 09/03/21 09/03/26    100.000     0.000     1.3100      4.29   0.036389   0.036627   0.036867   0.037109  0.037352     13.20    13.37 
Barclays Bank PLC        06741TSE8 04/19/13 04/19/33    100.000    VARIES     3.7861    253.24   0.076372   0.077817   0.079291   0.080792  0.082321     27.96    29.03 
Barclays Bank PLC        06747QFK8 09/30/20 09/30/27    100.000     0.000     1.3300     16.75   0.037437   0.037686   0.037937   0.038189  0.038443     13.57    13.75 
Barclays Bank PLC        06748WRQ8 12/03/21 12/03/26    100.000     0.000     1.9100      1.49   0.053055   0.053562   0.054074   0.054590  0.055111     19.22    19.59 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06738KVE8 09/29/11 09/30/31    100.000    VARIES     5.2986    507.78   0.142406   0.143456   0.144534   0.145356  0.146201     51.65    52.33 
Barclays Bank PLC        06744CP21 12/13/17 12/13/22    100.000     0.000     2.9000    123.69   0.090388   0.091699                                     31.15          
Barclays Bank PLC        06748WRN5 11/29/21 11/29/28    100.000     0.000     2.3000      2.04   0.063889   0.064624   0.065367   0.066118  0.066879     23.18    23.72 
Barclays Bank PLC        06748EVE0 07/06/21 06/30/26    100.000     0.000     1.3100      6.37   0.036619   0.036859   0.037100   0.037343  0.037588     13.23    13.40 
Barclays Bank PLC        06746XHH9 07/31/18 07/31/23    100.000     1.750     3.7399    132.22   0.110389   0.112453   0.112738   0.114846               40.48    23.96 
Barclays Bank PLC        06747NEG5 09/05/19 03/03/22    100.000     0.000     2.1599     51.17   0.062625                                                 3.88          
Barclays Bank PLC        06746XHJ5 07/31/18 07/31/23    100.000     1.000     3.7400    133.47   0.112868   0.114979   0.116090   0.118261               41.50    24.65 
Barclays Bank PLC        06746X7E7 05/30/18 05/30/23    100.000     1.000     3.6100    135.16   0.110479   0.111471   0.113483                          40.04    16.91 
Barclays Bank PLC        06741TZX8 08/01/13 08/01/23    100.000     0.250     3.5547    342.02   0.128634   0.130797   0.132998   0.135238               47.35    28.33 
Barclays Bank PLC        06747N3U6 08/05/19 04/28/23    100.000     0.000     2.4695     60.86   0.072459   0.073353   0.074259                          26.36     8.69 
Barclays Bank PLC        06748EUZ4 06/30/21 06/30/28    100.000     0.000     1.8500      9.30   0.051864   0.052344   0.052828   0.053317  0.053810     18.76    19.11 
Barclays Bank PLC        06746XH89 07/27/18 04/25/23    100.000     0.000     3.7791    137.02   0.118537   0.120776   0.123059                          43.37    14.03 
Barclays Bank PLC        06747NDT8 08/21/19 03/08/22    100.000     0.000     2.1497     51.80   0.062385                                                 4.18          
Barclays Bank PLC        06741TZW0 08/15/13 08/15/33    100.000    VARIES     4.2320    255.76   0.074524   0.075733   0.077138   0.078741  0.080407     27.40    28.50 
Barclays Bank PLC        06746X6Q1 04/30/18 04/28/23    100.000     0.000     3.7000    144.04   0.116824   0.118985   0.121187                          42.72    14.18 
Barclays Bank PLC        06747NUS1 01/03/20 01/03/25    100.000     0.000     2.3200     47.08   0.066713   0.067487   0.068270   0.069062  0.069863     24.43    25.00 
Barclays Bank PLC        06746XH71 07/27/18 07/25/24    100.000     0.000     3.8699    140.43   0.120573   0.122906   0.125284   0.127709  0.130180     44.56    46.30 
Barclays Bank PLC        06738KLP4 06/28/11 06/28/23    100.000    VARIES     4.8717    523.60   0.136569   0.136119   0.135726                          49.08    24.02 
Barclays Bank PLC        06747N3K8 08/05/19 07/29/22    100.000     0.000     2.4099     59.33   0.070200   0.071046                                     14.75          
Barclays Bank PLC        06747N3J1 07/31/19 07/31/24    100.000     0.000     2.5801     64.00   0.075439   0.076412   0.077398   0.078397  0.079408     27.63    28.35 
Barclays Bank PLC        06747N3E2 08/05/19 01/31/22    100.000     0.000     2.2325     54.87   0.064808                                                 1.88          
Barclays Bank PLC        06746XXL2 11/09/18 05/06/22    100.000     0.000     3.8599    127.79   0.120212                                                15.03          
Barclays Bank PLC        06746XXN8 12/05/18 09/05/23    100.000     0.000     3.7791    121.99   0.116362   0.118561   0.120801   0.123084               42.80    29.89 
Barclays Bank PLC        06747MRB4 05/31/19 05/31/22    100.000     0.000     2.8500     75.94   0.084970                                                12.66          
Barclays Bank PLC        06746X6A6 04/25/18 04/25/28    100.000    VARIES     3.6446     19.55   0.013170   0.013410   0.013654   0.013903  0.014157      4.82     4.99 
Barclays Bank PLC        06744CEV9 08/31/17 08/30/24    100.000     0.000     2.9100    133.48   0.090735   0.092040   0.093394   0.094738  0.096132     33.22    34.20 
Barclays Bank PLC        06744CVY4 02/14/18 02/14/23    100.000     0.000     3.5600    146.78   0.111888   0.113880   0.115907                          41.19     4.98 
Barclays Bank PLC        06748E2W2 02/24/21 07/23/26    100.000     0.000     1.2999     11.12   0.036304   0.036540   0.036777   0.037016  0.037257     13.19    13.36 
Barclays Bank PLC        06740PC38 11/29/10 11/29/30    100.000    VARIES     4.9296    453.60   0.113368   0.114721   0.116106   0.117526  0.118981     41.14    42.15 
Barclays Bank PLC        06748E2V4 02/24/21 02/25/28    100.000     0.000     1.6800     14.38   0.047061   0.047456   0.047855   0.048257  0.048662     17.11    17.40 
Barclays Bank PLC        06747MR81 06/05/19 05/31/22    100.000     0.000     2.8499     75.52   0.084934                                                12.66          
Barclays Bank PLC        06741TYX9 07/24/13 07/24/28    100.000    VARIES     3.9848    263.65   0.083976   0.085650   0.087356   0.089097  0.090872     31.06    32.31 
Barclays Bank PLC        06747MQZ2 06/05/19 02/28/23    100.000     0.000     2.8993     76.90   0.085879   0.087124   0.088387                          31.45     5.04 
Barclays Bank PLC        06747N2Y9 07/31/19 07/31/23    100.000     0.000     2.6600     66.03   0.077899   0.078936   0.079985   0.081049               28.55    16.91 
Barclays Bank PLC        06747N2T0 07/26/19 07/31/24    100.000     0.000     2.9716     74.35   0.087590   0.088891   0.090212   0.091552  0.092912     32.16    33.13 
Barclays Bank PLC        06747MQT6 05/31/19 05/30/24    100.000     0.000     3.0400     81.17   0.091060   0.092444   0.093849   0.095276  0.096724     33.12    34.13 
Barclays Bank PLC        06747MR57 05/31/19 05/31/23    100.000     0.000     2.9400     78.42   0.087848   0.089140   0.090450                          31.94    13.48 
Barclays Bank PLC        06747N2S2 07/26/19 07/31/24    100.000     0.000     2.9716     74.35   0.087590   0.088892   0.090213   0.091553  0.092913     32.16    33.13 
Barclays Bank PLC        06747NTV6 12/30/19 12/26/24    100.000     0.000     2.4100     49.15   0.070210   0.071056   0.071913   0.072779  0.073656     25.44    26.05 
Barclays Bank PLC        06747NU77 01/03/20 01/04/27    100.000     0.000     2.5300     51.42   0.072984   0.073907   0.074842   0.075789  0.076747     26.77    27.45 
Barclays Bank PLC        06748ED42 03/31/21 03/30/28    100.000     0.000     2.0000     15.11   0.056111   0.056672   0.057239   0.057811  0.058389     20.40    20.81 
Barclays Bank PLC        06747MQS8 05/31/19 05/31/24    100.000     0.000     3.0400     81.17   0.091060   0.092444   0.093849   0.095276  0.096724     33.12    34.13 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747MA22 01/31/19 01/31/22    100.000     0.000     3.4400    104.72   0.104061                                                 3.02          
Barclays Bank PLC        06748EU92 06/23/21 06/22/28    100.000     0.000     1.8700      9.77   0.052427   0.052917   0.053412   0.053912  0.054416     18.97    19.33 
Barclays Bank PLC        06748EU84 06/23/21 12/23/26    100.000     0.000     1.5600      8.15   0.043671   0.044011   0.044355   0.044701  0.045049     15.79    16.04 
Barclays Bank PLC        06747MQR0 05/31/19 05/30/24    100.000     0.000     3.0400     81.17   0.091059   0.092443   0.093848   0.095275  0.096723     33.12    34.13 
Barclays Bank PLC        06747NU69 12/24/19 12/22/23    100.000     0.000     2.4600     50.62   0.071748   0.072630   0.073523   0.074428               26.00    25.97 
Barclays Bank PLC        06741UKP8 10/30/14 10/30/34    100.000    VARIES     3.5915    227.76   0.085258   0.085695   0.086140   0.086593  0.087054     30.83    31.15 
Barclays Bank PLC        06747NTU8 12/30/19 06/25/25    100.000     0.000     2.5700     52.48   0.075102   0.076067   0.077044   0.078034  0.079037     27.22    27.93 
Barclays Bank PLC        06747NU51 12/24/19 12/24/26    100.000     0.000     2.7900     57.55   0.081916   0.083058   0.084217   0.085392  0.086583     29.71    30.55 
Barclays Bank PLC        06746XX40 11/30/18 11/30/23    100.000     0.000     3.7600    121.86   0.116793   0.118989   0.121226   0.123505               42.58    40.29 
Barclays Bank PLC        06744C4C2 09/15/17 09/15/27    100.000    VARIES     2.4839     13.20   0.008335   0.008438   0.008543   0.008649  0.008756      3.04     3.12 
Barclays Bank PLC        06746XG31 07/23/18 01/23/26    100.000    VARIES     3.8703    131.75   0.107355   0.108076   0.108531   0.108756  0.108806     38.96    39.16 
Barclays Bank PLC        06747QLW5 10/30/20 10/29/27    100.000     0.000     1.4500     17.05   0.040863   0.041159   0.041457   0.041758  0.042060     14.80    15.02 
Barclays Bank PLC        06747QM87 11/04/20 10/31/23    100.000     0.000     0.6907      8.02   0.019317   0.019384   0.019451   0.019518                6.97     5.83 
Barclays Bank PLC        06748ECG6 03/24/21 09/24/26    100.000     0.000     1.4700     11.34   0.041133   0.041436   0.041740   0.042047  0.042356     14.92    15.14 
Barclays Bank PLC        06738JHL1 10/15/10 10/15/22    100.000    VARIES     4.2147    484.00   0.118304   0.117696                                     33.49          
Barclays Bank PLC        06749N6Z0 11/29/22 11/28/25    100.000     0.000     5.7400                                   0.159444   0.163995  0.168702      5.10    58.52 
Barclays Bank PLC        06748ECE1 03/24/21 03/23/28    100.000     0.000     1.8500     14.28   0.051861   0.052341   0.052825   0.053314  0.053807     18.85    19.20 
Barclays Bank PLC        06747NTB0 01/03/20 12/30/22    100.000     0.000     2.2000     44.61   0.063834   0.064536                                     23.04          
Barclays Bank PLC        06746XFE8 06/29/18 06/29/23    100.000    VARIES     3.3273     13.51   0.010768   0.010947   0.011129                           3.91     1.98 
Barclays Bank PLC        06746XFD0 06/18/18 06/17/22    100.000     0.000     3.6600    136.85   0.115415                                                19.16          
Barclays Bank PLC        06747NCC6 09/05/19 09/05/24    100.000     0.000     2.3100     54.80   0.067183   0.067959   0.068744   0.069538  0.070342     24.51    25.08 
Barclays Bank PLC        06748ESX2 06/03/21 06/03/36    100.000    VARIES     2.5612     14.76   0.069833   0.068504   0.067158   0.065831  0.064836     24.83    23.87 
Barclays Bank PLC        06744CUP4 03/05/18 03/03/23    100.000     1.000     3.5700    142.85   0.109080   0.110035   0.112000                          39.79     6.94 
Barclays Bank PLC        06749N6H0 11/29/22 11/29/24    100.000     0.000     5.8600                                   0.162778   0.167547  0.172456      5.21    59.77 
Barclays Bank PLC        06741UJW5 09/29/14 09/29/34    100.000    VARIES     3.7464    237.94   0.086545   0.087068   0.087602   0.088464  0.089343     31.35    31.85 
Barclays Bank PLC        06744CUQ2 03/05/18 03/03/23    100.000     0.000     3.5700    144.86   0.112219   0.114222   0.116260                          41.24     7.21 
Barclays Bank PLC        06747MQ66 05/13/19 11/12/26    100.000     0.000     2.3000     62.09   0.067644   0.068421   0.069208   0.070004  0.070809     24.57    25.14 
Barclays Bank PLC        06741T6S1 03/28/14 03/28/34    100.000    VARIES     4.1532    253.75   0.076621   0.078212   0.079836   0.081494  0.083186     28.17    29.35 
Barclays Bank PLC        06749N6F4 11/25/22 11/24/23    100.000     0.000     5.6300                                   0.156389   0.160767                5.63    51.30 
Barclays Bank PLC        06746X4X8 04/27/18 07/25/24    100.000     0.000     3.8193    149.36   0.119951   0.122242   0.124576   0.126955  0.129379     44.32    46.02 
Barclays Bank PLC        06746X4W0 04/27/18 04/25/23    100.000     0.000     3.7000    144.39   0.116824   0.118986   0.121187                          42.73    13.82 
Barclays Bank PLC        06741T6U6 03/04/14 03/04/24    100.000     0.250     3.4337    302.64   0.121107   0.123067   0.125060   0.127088  0.129151     44.41    45.87 
Barclays Bank PLC        06749N6A5 11/29/22 02/26/26    100.000     0.000     5.7400                                   0.159444   0.161656  0.166296      5.10    58.65 
Barclays Bank PLC        06746XW58 12/05/18 08/31/22    100.000     0.000     3.7217    120.04   0.114360   0.116464                                     27.71          
Barclays Bank PLC        06744C3B5 09/29/17 09/30/24    100.000     0.000     3.1200    140.86   0.098100   0.099630   0.101185   0.102763  0.104366     35.87    37.00 
Barclays Bank PLC        06746X4M2 05/03/18 05/03/23    100.000     0.000     3.7000    143.69   0.116850   0.119011   0.121213                          42.71    14.79 
Barclays Bank PLC        06746XW41 11/30/18 08/31/22    100.000     0.000     3.6834    119.31   0.113124   0.115184                                     27.41          
Barclays Bank PLC        06744C3D1 10/04/17 10/05/22    100.000     0.000     2.7800    124.27   0.086246   0.087444                                     23.85          
Barclays Bank PLC        06741T6B8 02/28/14 02/28/34    100.000    VARIES     4.0797    272.75   0.093877   0.093267   0.095900   0.095428  0.097603     34.40    35.13 
Barclays Bank PLC        06744CUA7 01/31/18 07/29/22    100.000     0.000     3.0600    126.42   0.094524   0.095971                                     19.92          
Barclays Bank PLC        06744CUB5 02/28/18 02/28/25    100.000     0.000     3.7300    152.59   0.117918   0.120117   0.122358   0.124640  0.126964     43.39    45.03 
Barclays Bank PLC        06747MPG5 05/14/19 05/12/22    100.000     0.000     2.8500     77.30   0.084956                                                11.13          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06748WWZ2 12/28/21 06/25/27    100.000     0.000     1.8800      0.16   0.052222   0.052705   0.053200   0.053700  0.054205     18.89    19.25 
Barclays Bank PLC        06744CUC3 02/28/18 02/28/23    100.000     1.100     3.5359    141.96   0.107623   0.108445   0.110362                          39.23     6.29 
Barclays Bank PLC        06747MPF7 05/14/19 05/12/22    100.000     0.000     2.8500     77.30   0.084956                                                11.13          
Barclays Bank PLC        06747P7G8 02/28/20 02/26/25    100.000     0.000     1.6100     29.98   0.045807   0.046175   0.046547   0.046922  0.047300     16.65    16.92 
Barclays Bank PLC        06747PHJ1 04/03/20 03/29/24    100.000     0.000     3.5299     62.99   0.103296   0.105119   0.106975   0.108863  0.110784     37.85    39.20 
Barclays Bank PLC        06748WFQ1 09/22/21 09/21/28    100.000     0.000     1.7900      4.92   0.049722   0.050165   0.050614   0.051067  0.051524     18.07    18.39 
Barclays Bank PLC        06747PHE2 03/31/20 03/31/27    100.000     0.000     3.7900     68.07   0.111377   0.113488   0.115639   0.117830  0.120063     40.86    42.43 
Barclays Bank PLC        06748XZV6 11/09/22 11/07/25    100.000     0.000     6.1500                                   0.170833   0.176028  0.181441      8.88    63.01 
Barclays Bank PLC        06744CD65 10/25/17 10/24/24    100.000     0.000     3.2400    143.95   0.102338   0.103995   0.105680   0.107392  0.109132     37.36    38.58 
Barclays Bank PLC        06748WX40 01/03/22 01/04/27    100.000     0.000     1.8700                        0.051946   0.052432   0.052922  0.053417     18.68    19.14 
Barclays Bank PLC        06744CD73 10/25/17 10/24/24    100.000     0.000     3.2400    143.95   0.102338   0.103996   0.105681   0.107393  0.109132     37.36    38.58 
Barclays Bank PLC        06748WFR9 09/22/21 03/22/27    100.000     0.000     1.5300      4.21   0.042500   0.042825   0.043153   0.043483  0.043815     15.42    15.66 
Barclays Bank PLC        06747PHD4 03/31/20 03/31/26    100.000     0.000     3.8100     68.44   0.111997   0.114131   0.116305   0.118520  0.120778     41.10    42.68 
Barclays Bank PLC        06744CU90 01/31/18 07/29/22    100.000     0.000     3.0600    126.42   0.094524   0.095970                                     19.92          
Barclays Bank PLC        06747NBA1 09/05/19 02/28/22    100.000     0.000     2.1599     51.17   0.062605                                                 3.57          
Barclays Bank PLC        06747P7E3 02/28/20 08/26/25    100.000     0.000     1.6900     31.49   0.048140   0.048547   0.048957   0.049371  0.049788     17.51    17.80 
Barclays Bank PLC        06746R338 06/01/18 05/27/22    100.000     0.000     3.5899    136.01   0.112900                                                16.48          
Barclays Bank PLC        06748WX32 12/28/21 12/28/28    100.000     0.000     2.0600      0.17   0.057222   0.057812   0.058407   0.059009  0.059616     20.71    21.14 
Barclays Bank PLC        06744CTR2 02/26/18 02/21/25    100.000     0.000     3.3199    135.09   0.103438   0.105155   0.106901   0.108676  0.110480     38.00    39.27 
Barclays Bank PLC        06744CTS0 02/26/18 11/21/23    100.000     0.000     3.2994    134.23   0.103573   0.105282   0.107019   0.108784               37.73    34.56 
Barclays Bank PLC        06747PYD5 07/06/20 07/06/23    100.000     0.000     1.2599     18.84   0.035439   0.035662   0.035887   0.036113               12.88     6.68 
Barclays Bank PLC        06741VLY6 03/31/17 09/29/23    100.000     0.000     3.2100    163.45   0.102898   0.104550   0.106228   0.107933               37.65    28.78 
Barclays Bank PLC        06746X3X9 05/03/18 05/03/23    100.000     0.000     3.7000    143.69   0.116850   0.119011   0.121213                          42.71    14.79 
Barclays Bank PLC        06747NS88 12/02/19 12/01/22    100.000     0.000     2.2600     47.88   0.065659   0.066401                                     21.80          
Barclays Bank PLC        06747NB60 09/05/19 08/31/22    100.000     0.000     2.1619     51.22   0.062674   0.063344                                     15.10          
Barclays Bank PLC        06741VLZ3 04/05/17 04/05/22    100.000     0.000     2.8900    145.68   0.091344                                                 8.59          
Barclays Bank PLC        06746X3W1 04/30/18 04/28/23    100.000     1.250     3.7000    141.66   0.112776   0.113577   0.115679                          40.92    13.53 
Barclays Bank PLC        06741VLW0 03/31/17 03/28/24    100.000     0.000     3.2600    166.17   0.104720   0.106427   0.108161   0.109924  0.111716     38.33    39.59 
Barclays Bank PLC        06747NAQ7 08/30/19 08/30/24    100.000     0.000     2.2798     54.40   0.066266   0.067013   0.067785   0.068549  0.069339     24.18    24.73 
Barclays Bank PLC        06746XE58 06/29/18 06/29/23    100.000     1.000     3.7100    135.82   0.113937   0.115020   0.117154                          41.22    20.85 
Barclays Bank PLC        06746X3V3 04/30/18 04/30/25    100.000     0.000     3.8700    151.07   0.122934   0.125313   0.127738   0.130209  0.132729     44.98    46.73 
Barclays Bank PLC        06747NB45 08/30/19 08/30/24    100.000     0.000     2.2800     54.41   0.066273   0.067020   0.067792   0.068557  0.069347     24.18    24.73 
Barclays Bank PLC        06744CTM3 03/05/18 03/05/25    100.000    VARIES     3.7200    141.75   0.103840   0.103802   0.103722   0.103626  0.103541     37.36    37.30 
Barclays Bank PLC        06747NB37 08/30/19 08/31/23    100.000     0.000     2.2000     52.46   0.063844   0.064538   0.065256   0.065966               23.28    15.73 
Barclays Bank PLC        06747PH36 04/03/20 03/31/23    100.000     0.000     3.4131     60.86   0.099719   0.101421   0.103151                          36.52     9.18 
Barclays Bank PLC        06746XE41 06/29/18 06/29/23    100.000     1.750     3.7100    134.53   0.111487   0.111752   0.113825                          40.19    20.26 
Barclays Bank PLC        06744CTC5 02/14/18 02/12/25    100.000     0.000     3.7700    156.00   0.119321   0.121570   0.123862   0.126197  0.128576     43.99    45.67 
Barclays Bank PLC        06749N4Z2 11/21/22 11/20/25    100.000     0.000     5.8500                                   0.162500   0.167227  0.172118      6.50    59.75 
Barclays Bank PLC        06747T259 07/06/21 07/06/28    100.000     0.000     1.7400      8.46   0.048333   0.048754   0.049178   0.049606  0.050037     17.62    17.93 
Barclays Bank PLC        06747NAD6 08/30/19 08/28/24    100.000     0.000     2.2800     54.40   0.066263   0.067018   0.067782   0.068555  0.069336     24.18    24.73 
Barclays Bank PLC        06748WF65 10/05/21 09/30/26    100.000     0.000     1.4900      3.56   0.041388   0.041688   0.041998   0.042311  0.042626     15.01    15.23 
Barclays Bank PLC        06748WF57 09/30/21 09/29/28    100.000     0.000     1.9200      4.85   0.053333   0.053842   0.054359   0.054881  0.055408     19.39    19.76 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06738JFL3 11/12/10 11/12/22    100.000    VARIES     3.8891    439.78   0.109720   0.108883                                     33.97          
Barclays Bank PLC        06741TWH6 06/17/13 06/17/33    100.000    VARIES     3.6856    225.56   0.068730   0.069996   0.071286   0.072600  0.073938     25.01    25.94 
Barclays Bank PLC        06747NAC8 08/30/19 08/28/24    100.000     0.000     2.2800     54.40   0.066262   0.067018   0.067782   0.068554  0.069336     24.18    24.73 
Barclays Bank PLC        06747NRD8 12/04/19 12/05/22    100.000     0.000     2.2200     46.88   0.064454   0.065170                                     21.66          
Barclays Bank PLC        06740PYE0 12/30/10 12/30/30    100.000    VARIES     5.6003    521.50   0.139398   0.141252   0.143158   0.145117  0.147132     50.52    51.89 
Barclays Bank PLC        06746XM34 08/31/18 08/31/23    100.000    VARIES     3.7102    123.30   0.104256   0.104268   0.104053   0.103624               37.51    24.79 
Barclays Bank PLC        06747PP52 04/22/20 04/22/27    100.000     0.000     2.4000     41.20   0.069095   0.069925   0.070764   0.071613  0.072472     25.14    25.75 
Barclays Bank PLC        06747MFG6 03/29/19 03/31/22    100.000     0.000     3.1900     91.16   0.095915                                                 8.54          
Barclays Bank PLC        06747MWH5 07/03/19 03/31/23    100.000     0.000     2.8815     74.03   0.085344   0.086574   0.087821                          31.17     7.82 
Barclays Bank PLC        06741VCG5 10/31/16 10/31/23    100.000     0.000     2.5499    139.97   0.080399   0.081424   0.082462   0.083513               29.25    24.85 
Barclays Bank PLC        06748XPZ8 09/01/22 09/03/26    100.000     0.000     5.0300                        0.139722   0.139761   0.143276  0.146880     16.77    51.79 
Barclays Bank PLC        06747NZF4 01/31/20 01/29/25    100.000     0.000     1.9400     37.76   0.055469   0.056007   0.056550   0.057099  0.057653     20.23    20.62 
Barclays Bank PLC        06747NZE7 01/31/20 07/29/25    100.000     0.000     2.0100     39.14   0.057530   0.058108   0.058692   0.059282  0.059878     20.99    21.42 
Barclays Bank PLC        06747MWE2 07/03/19 06/30/22    100.000     0.000     2.8099     72.09   0.083674                                                14.98          
Barclays Bank PLC        06746XLE1 08/31/18 06/01/23    100.000     1.000     3.6891    127.97   0.112170   0.113214   0.115303                          40.66    17.30 
Barclays Bank PLC        06747MWA0 06/28/19 06/30/23    100.000     0.000     2.9300     75.69   0.087543   0.088826   0.090127                          31.75    16.13 
Barclays Bank PLC        06744CJZ5 11/30/17 11/29/24    100.000     0.000     3.1200    134.87   0.098083   0.099613   0.101167   0.102745  0.104348     35.68    36.81 
Barclays Bank PLC        06746XLB7 08/31/18 06/01/23    100.000     0.000     3.6892    129.77   0.115420   0.117549   0.119718                          42.06    17.96 
Barclays Bank PLC        06741RGQ8 04/18/13 04/18/30    100.000    VARIES     3.0513    275.03   0.089714   0.089811   0.089910   0.090010  0.089900     32.33    32.38 
Barclays Bank PLC        06747MVV5 06/19/19 12/19/22    100.000    VARIES     3.3078     20.15   0.021660   0.022018                                      7.60          
Barclays Bank PLC        06738KQ53 02/14/12 02/14/22    100.000     0.500     4.1087    483.86   0.161410                                                 6.94          
Barclays Bank PLC        06744CJQ5 11/27/17 11/21/24    100.000     0.000     3.1199    135.17   0.098040   0.099569   0.101122   0.102700  0.104302     35.69    36.82 
Barclays Bank PLC        06747MW85 06/28/19 06/28/24    100.000     0.000     3.0400     78.62   0.091061   0.092445   0.093850   0.095277  0.096725     33.04    34.05 
Barclays Bank PLC        06747NHX5 10/02/19 10/02/24    100.000     0.000     2.3500     53.92   0.068400   0.069204   0.070017   0.070840  0.071672     24.91    25.50 
Barclays Bank PLC        06744CJR3 11/27/17 11/22/23    100.000     0.000     3.0299    131.06   0.094884   0.096322   0.097781   0.099262               34.53    31.65 
Barclays Bank PLC        06747B506 06/05/19 06/04/25    100.000     0.000     3.2000     85.10   0.096222   0.097762   0.099326   0.100915  0.102530     35.00    36.13 
Barclays Bank PLC        06746XKX0 09/06/18 06/05/23    100.000     0.000     3.7091    129.82   0.116094   0.118247   0.120440                          42.29    18.55 
Barclays Bank PLC        06747NHT4 10/02/19 10/02/24    100.000     0.000     2.3500     53.92   0.068400   0.069204   0.070017   0.070840  0.071672     24.91    25.50 
Barclays Bank PLC        06747PNU9 04/30/20 04/30/25    100.000     0.000     2.2800     38.59   0.065524   0.066271   0.067027   0.067791  0.068564     23.81    24.36 
Barclays Bank PLC        06747MVL7 05/29/19 05/29/29    100.000    VARIES     3.3999     87.73   0.092751   0.092272   0.091890   0.091606  0.091428     33.28    33.01 
Barclays Bank PLC        06747PNV7 05/05/20 04/30/24    100.000     0.000     2.1000     35.20   0.060172   0.060804   0.061442   0.062088  0.062739     21.85    22.31 
Barclays Bank PLC        06747NHP2 10/23/19 10/21/22    100.000     0.000     2.3300     52.03   0.067782   0.068572                                     19.80          
Barclays Bank PLC        06747QA56 07/29/20 07/29/27    100.000     0.000     1.8100     25.96   0.051192   0.051655   0.052123   0.052594  0.053070     18.65    18.99 
Barclays Bank PLC        06741WEM8 12/26/18 12/26/23    100.000     0.000     2.8900     90.33   0.087495   0.088760   0.090042   0.091343               31.74    32.20 
Barclays Bank PLC        06747QA49 07/29/20 07/29/25    100.000     0.000     1.4600     20.91   0.041150   0.041450   0.041753   0.042058  0.042365     14.96    15.18 
Barclays Bank PLC        06748WLY7 10/27/21 10/26/28    100.000     0.000     2.2700      4.04   0.063055   0.063767   0.064491   0.065223  0.065963     22.92    23.44 
Barclays Bank PLC        06747MVE3 05/22/19 05/20/22    100.000     0.000     2.8500     76.62   0.084956                                                11.81          
Barclays Bank PLC        06748WLZ4 10/27/21 04/29/27    100.000     0.000     1.9100      3.40   0.053061   0.053568   0.054079   0.054596  0.055117     19.26    19.63 
Barclays Bank PLC        06747H636 06/03/20 06/03/27    100.000     0.000     2.1700     34.65   0.062261   0.062937   0.063620   0.064310  0.065008     22.57    23.07 
Barclays Bank PLC        06747NHF4 10/03/19 10/05/26    100.000     0.000     2.4700     56.66   0.072073   0.072963   0.073865   0.074777  0.075700     26.26    26.91 
Barclays Bank PLC        06747NYG3 02/05/20 07/31/23    100.000     0.000     1.8715     36.14   0.053445   0.053945   0.054450   0.054960               19.48    11.47 
Barclays Bank PLC        06738JMB7 08/19/10 08/19/22    100.000    VARIES     4.2846    492.67   0.120417   0.119723                                     27.33          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06747G331 04/22/20 05/05/27    100.000     0.000     2.3999     41.20   0.069153   0.069983   0.070823   0.071673  0.072533     25.14    25.75 
Barclays Bank PLC        06748XP70 08/30/22 02/28/25    100.000     0.000     4.8900                                   0.135833   0.139118  0.142519     16.44    50.31 
Barclays Bank PLC        06747NYF5 02/05/20 01/26/23    100.000     0.000     1.8499     35.72   0.052802   0.053290   0.053783                          19.25     1.34 
Barclays Bank PLC        06747PNC9 04/24/20 04/26/27    100.000     0.000     2.3700     40.54   0.068210   0.069018   0.069836   0.070664  0.071501     24.81    25.40 
Barclays Bank PLC        06747M3U8 12/26/18 09/25/23    100.000     0.000     2.8095     87.77   0.084260   0.085443   0.086644   0.087861               30.78    23.09 
Barclays Bank PLC        06747N6Z2 08/02/19 02/02/23    100.000    VARIES     2.7753     10.22   0.011621   0.011782   0.011945                           4.26     0.37 
Barclays Bank PLC        06747B449 07/03/19 07/06/26    100.000     0.000     3.2200     82.95   0.095370   0.096905   0.098466   0.100051  0.101662     35.15    36.29 
Barclays Bank PLC        06747QQA8 11/30/20 11/30/27    100.000     0.000     1.4300     15.60   0.040292   0.040580   0.040871   0.041163  0.041457     14.57    14.78 
Barclays Bank PLC        06747NXT6 02/05/20 02/05/25    100.000     0.000     1.9400     37.48   0.055473   0.056011   0.056554   0.057103  0.057657     20.22    20.62 
Barclays Bank PLC        06747NXS8 01/31/20 01/31/24    100.000     0.000     1.8800     36.58   0.053709   0.054214   0.054724   0.055238  0.055757     19.58    19.95 
Barclays Bank PLC        06747NGL2 09/18/19 09/18/24    100.000     0.000     2.5500     59.66   0.074515   0.075465   0.076428   0.077402  0.078389     27.19    27.89 
Barclays Bank PLC        06748EGK3 05/05/21 05/05/26    100.000     0.000     1.3500      8.86   0.037753   0.038008   0.038264   0.038523  0.038783     13.67    13.85 
Barclays Bank PLC        06747PN39 04/22/20 04/22/27    100.000     0.000     2.4000     41.20   0.069096   0.069925   0.070764   0.071613  0.072472     25.14    25.75 
Barclays Bank PLC        06747MUJ3 05/22/19 05/19/22    100.000     0.000     2.8499     76.62   0.084948                                                11.72          
Barclays Bank PLC        06738JLX0 10/07/10 10/07/22    100.000    VARIES     4.2148    485.06   0.118320   0.117706                                     32.55          
Barclays Bank PLC        06748EGJ6 04/30/21 04/28/28    100.000     0.000     1.9100     12.82   0.053556   0.054068   0.054584   0.055105  0.055632     19.44    19.81 
Barclays Bank PLC        06747NXQ2 01/31/20 01/29/27    100.000     0.000     2.1400     41.71   0.061370   0.062026   0.062690   0.063361  0.064039     22.41    22.89 
Barclays Bank PLC        06739FJF9 03/11/16 03/13/23    100.000     0.125     2.2608    138.98   0.070616   0.071375   0.072143                          25.72     5.19 
Barclays Bank PLC        06747NGJ7 10/03/19 10/03/24    100.000     0.000     2.2800     52.22   0.066271   0.067026   0.067790   0.068563  0.069345     24.13    24.68 
Barclays Bank PLC        06746XJK0 07/31/18 07/31/23    100.000    VARIES     3.8007    130.00   0.107675   0.107634   0.107206   0.106490               38.68    22.28 
Barclays Bank PLC        06741VAN2 09/30/16 09/29/23    100.000     0.000     2.2200    122.98   0.068860   0.069624   0.070397   0.071178               25.07    19.01 
Barclays Bank PLC        06748XNW7 08/24/22 02/23/24    100.000     0.000     4.5900                                   0.127500   0.130410  0.133403     16.19    47.18 
Barclays Bank PLC        06739FJQ5 10/30/18 10/30/23    100.000     0.000     3.9200    130.98   0.122338   0.124736   0.127181   0.129674               44.77    38.48 
Barclays Bank PLC        06747NGC2 10/03/19 03/31/23    100.000     0.000     2.1416     48.99   0.062069   0.062733   0.063405                          22.59     5.64 
Barclays Bank PLC        06741WDG2 12/04/17 06/02/23    100.000     1.000     3.0301    128.43   0.091404   0.092788   0.093352                          33.21    14.10 
Barclays Bank PLC        06744CYW5 03/09/18 03/09/28    100.000    VARIES     3.4394     16.60   0.011425   0.011622   0.011822   0.012025  0.012232      4.19     4.34 
Barclays Bank PLC        06748WKK8 11/03/21 11/03/26    100.000     0.000     1.9400      3.13   0.053890   0.054412   0.054940   0.055473  0.056011     19.56    19.94 
Barclays Bank PLC        06747MCT1 02/28/19 02/28/22    100.000     0.000     3.4800    103.04   0.105375                                                 6.01          
Barclays Bank PLC        06747C686 09/05/19 09/03/26    100.000     0.000     2.5000     59.41   0.072972   0.073884   0.074808   0.075743  0.076689     26.65    27.32 
Barclays Bank PLC        06748XNM9 09/06/22 09/05/24    100.000     0.000     4.9600                                   0.137778   0.141176  0.144677     15.84    51.01 
Barclays Bank PLC        06748WKJ1 10/29/21 10/31/28    100.000     0.000     2.2700      3.91   0.063059   0.063775   0.064499   0.065231  0.065971     22.92    23.44 
Barclays Bank PLC        06747NG99 10/03/19 09/30/22    100.000     0.000     2.1000     48.02   0.060811   0.061450                                     16.47          
Barclays Bank PLC        06747PM97 04/08/20 04/08/27    100.000     0.000     3.7900     67.18   0.111377   0.113488   0.115638   0.117829  0.120062     40.83    42.39 
Barclays Bank PLC        06747NG32 10/03/19 06/30/23    100.000     0.000     2.1595     49.40   0.062945   0.063624   0.064311                          22.78    11.51 
Barclays Bank PLC        06747MU46 06/03/19 06/02/22    100.000     0.000     2.8500     75.69   0.084963                                                12.83          
Barclays Bank PLC        06741VQS4 05/03/17 05/03/22    100.000     0.000     2.9001    143.65   0.091701                                                11.19          
Barclays Bank PLC        06741VQR6 04/28/17 10/30/23    100.000     0.000     3.1299    156.29   0.100000   0.101565   0.103154   0.104769               36.47    31.13 
Barclays Bank PLC        06741VQQ8 04/28/17 04/25/24    100.000     0.000     3.0900    154.17   0.098509   0.100031   0.101576   0.103146  0.104739     35.94    37.06 
Barclays Bank PLC        06740PVH6 10/20/10 10/20/25    100.000    VARIES     4.6203    517.97   0.129769   0.129604   0.129436   0.129264  0.129088     46.66    46.54 
Barclays Bank PLC        06739FJA0 12/18/15 12/19/22    100.000     0.125     2.3109    148.27   0.073170   0.073975                                     25.61          
Barclays Bank PLC        06744CYE5 04/03/18 04/05/23    100.000     0.000     3.5300    140.04   0.110851   0.112808   0.114799                          40.60    10.79 
Barclays Bank PLC        06744C7B1 10/27/17 10/24/24    100.000     0.000     3.2400    143.74   0.102319   0.103976   0.105661   0.107372  0.109112     37.36    38.58 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Barclays Bank PLC        06744CYF2 03/29/18 03/31/23    100.000     1.250     3.5081    137.18   0.106208   0.106853   0.108727   0.110634               38.58     9.68 
Barclays Bank PLC        06747N5K6 08/05/19 07/31/24    100.000     0.000     2.5814     63.66   0.075453   0.076427   0.077414   0.078413  0.079425     27.63    28.35 
Barclays Bank PLC        06744C7C9 10/27/17 10/25/23    100.000     0.000     3.1300    138.58   0.098428   0.099968   0.101532   0.103121               35.92    30.14 
Barclays Bank PLC        06747N5J9 07/31/19 07/31/25    100.000     0.000     2.4500     60.70   0.071453   0.072329   0.073215   0.074112  0.075020     26.15    26.79 
Barclays Bank PLC        06747PLM9 04/20/20 04/21/25    100.000     0.000     2.2700     39.07   0.065231   0.065971   0.066720   0.067477  0.068243     23.72    24.26 
Barclays Bank PLC        06741WCJ7 06/05/17 06/03/22    100.000     0.000     2.6701    128.95   0.083560                                                12.70          
Barclays Bank PLC        06747PLN7 04/17/20 04/18/24    100.000     0.000     2.1600     37.34   0.061970   0.062639   0.063316   0.064000  0.064691     22.53    23.02 
Barclays Bank PLC        06746XZK2 12/24/18 12/22/23    100.000     0.000     3.5300    111.45   0.108887   0.110808   0.112764   0.114754               39.58    39.94 
Barclays Bank PLC        06748XN80 08/17/22 08/14/25    100.000     0.000     4.6700                                   0.129722   0.132701  0.135799     17.38    48.07 
Barclays Bank PLC        06747NWE0 01/02/20 01/02/25    100.000     0.000     2.4000     48.80   0.069095   0.069925   0.070764   0.071613  0.072472     25.32    25.93 
Barclays Bank PLC        06744CY70 03/29/18 09/26/24    100.000     0.000     3.6400    145.13   0.114682   0.116769   0.118894   0.121058  0.123261     42.06    43.61 
Barclays Bank PLC        06748XN31 09/06/22 09/05/24    100.000     0.000     4.9600                                   0.137778   0.141176  0.144677     15.84    51.01 
Barclays Bank PLC        06744C6P1 11/03/17 11/03/22    100.000     0.000     2.6500    115.79   0.081785   0.082869                                     24.89          
Barclays Bank PLC        06748XN23 09/06/22 09/03/27    100.000     0.000     5.0800                                   0.141111   0.144636  0.148309     16.23    52.28 
Barclays Bank PLC        06744CY62 03/29/18 03/28/23    100.000     0.000     3.5100    139.64   0.110116   0.112049   0.114015                          40.35     9.92 
Barclays Bank PLC        06747MC87 03/05/19 02/28/22    100.000     0.000     3.1998     93.76   0.096167                                                 5.48          
Barclays Bank PLC        06747RAA3 04/16/21 04/14/28    100.000     0.000     1.8600     13.21   0.052142   0.052627   0.053116   0.053610  0.054109     18.93    19.29 
Barclays Bank PLC        06747D882 11/05/19 11/04/26    100.000     0.000     2.7100     59.76   0.079435   0.080512   0.081603   0.082708  0.083829     28.91    29.70 
Barclays Bank PLC        06747MC38 02/28/19 02/29/24    100.000     0.000     3.6879    109.47   0.112254   0.114313   0.116432   0.118567  0.120766     41.29    42.83 
Barclays Bank PLC        06747C546 09/06/19 08/29/24    100.000     0.000     2.3000     54.49   0.066848   0.067612   0.068394   0.069176  0.069976     24.39    24.96 
Barclays Bank PLC        06740PV29 12/30/10 12/30/30    100.000    VARIES     5.2624    518.28   0.135613   0.136749   0.137914   0.139109  0.140336     49.03    49.87 
Barclays Bank PLC        06744C6N6 10/31/17 10/31/24    100.000     0.000     3.2400    143.43   0.102347   0.104005   0.105690   0.107402  0.109142     37.35    38.57 
Barclays Bank PLC        06747MBN5 03/05/19 11/30/22    100.000     0.000     3.2591     95.59   0.098907   0.100519                                     32.83          
Barclays Bank PLC        06747NEP5 09/27/19 09/25/24    100.000     0.000     2.4600     56.86   0.071747   0.072630   0.073523   0.074428  0.075343     26.16    26.81 
Barclays Bank PLC        06747MSN7 05/30/19 05/25/22    100.000     0.000     2.9399     78.42   0.087810                                                12.64          
Barclays Bank PLC        06744CGK1 08/25/17 08/22/24    100.000     0.000     2.9600    136.37   0.092453   0.093821   0.095210   0.096619  0.098049     33.88    34.90 
Barclays Bank PLC        06747NVN1 12/11/19 12/11/29    100.000    VARIES     2.4256      8.15   0.009749   0.009867   0.009987   0.010108  0.010231      3.54     3.62 
Barclays Bank PLC        06748E4K6 02/26/21 02/28/28    100.000     0.000     1.7600     14.97   0.049324   0.049758   0.050196   0.050637  0.051083     17.94    18.26 
Barclays Bank PLC        06747NEN0 09/27/19 03/25/25    100.000     0.000     2.5300     58.52   0.073891   0.074826   0.075772   0.076731  0.077702     26.95    27.64 
Barclays Bank PLC        06738KN98 02/29/12 02/28/22    100.000    VARIES     4.0104    395.46   0.110884                                                 6.43          
Burea County SD #84, IL  121012AT5 06/04/10 12/01/22    104.788    VARIES     6.1676    739.10   0.172276   0.171806                                     56.77          
Bureau County SD #502    121133CK6 10/10/13 12/01/23    100.125    VARIES     4.9874    411.48   0.138571   0.138563   0.138555   0.138547               49.88    45.72 
Bureau County, SD #205   121133CL4 10/10/13 12/01/29    100.148    VARIES     5.8866    486.11   0.163656   0.163649   0.163642   0.163634  0.163627     58.91    58.91 
CANUTILLO TEX INDPT SCH  138735YN9 07/29/20 02/15/30     81.977     0.000     2.0930     24.65   0.048709   0.049218   0.049733   0.050254  0.050780     17.77    18.14 
CANUTILLO TEX INDPT SCH  138735YL3 07/29/20 02/15/28     86.749     0.000     1.8930     23.57   0.046523   0.046964   0.047408   0.047857  0.048310     16.95    17.27 
CANUTILLO TEX INDPT SCH  138735YK5 07/29/20 02/15/27     89.327     0.000     1.7320     22.19   0.043758   0.044137   0.044519   0.044905  0.045294     15.92    16.20 
CANUTILLO TEX INDPT SCH  138735YM1 07/29/20 02/15/29     84.413     0.000     1.9930     24.16   0.047709   0.048185   0.048665   0.049150  0.049640     17.39    17.74 
CAREY OHIO EXMP VLG SCH  141771BW4 03/04/20 11/01/36     57.028     0.000     3.3998     36.23   0.056956   0.057924   0.058909   0.059910  0.060928     20.80    21.51 
CAREY OHIO EXMP VLG SCH  141771BU8 03/04/20 11/01/34     61.892     0.000     3.2998     38.13   0.059897   0.060885   0.061890   0.062911  0.063949     21.86    22.59 
CAREY OHIO EXMP VLG SCH  141771BV6 03/04/20 11/01/35     59.439     0.000     3.3499     37.19   0.058444   0.059422   0.060418   0.061430  0.062459     21.33    22.06 
CAREY OHIO EXMP VLG SCH  141771BT1 03/04/20 11/01/33     64.382     0.000     3.2499     39.05   0.061313   0.062310   0.063322   0.064351  0.065397     22.37    23.11 
CAREY OHIO EXMP VLG SCH  141771BR5 03/04/20 11/01/31     69.862     0.000     3.0999     40.38   0.063307   0.064288   0.065284   0.066296  0.067324     23.09    23.81 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CAREY OHIO EXMP VLG SCH  141771BS3 03/04/20 11/01/32     67.325     0.000     3.1499     39.55   0.062042   0.063019   0.064011   0.065020  0.066044     22.63    23.35 
CBIZ, Inc.               124805AA0 05/30/06 06/01/26    100.000    VARIES     8.9994   2381.41   0.705269   0.732015   0.759964   0.789170  0.819460    260.35   280.63 
CBIZ, Inc.               124805AB8 05/30/06 06/01/26    100.000    VARIES     8.9994   2381.41   0.705269   0.732015   0.759964   0.789170  0.819460    260.35   280.63 
CHINA SPRING TEX INDPT   169412RQ8 07/22/20 08/15/34     68.731     0.000     2.6840     26.95   0.052717   0.053424   0.054141   0.054868  0.055604     19.30    19.82 
CHINA SPRING TEX INDPT   169412RP0 07/22/20 08/15/33     71.045     0.000     2.6339     27.33   0.053448   0.054152   0.054865   0.055587  0.056319     19.56    20.08 
CITIGROUP GLOBAL MARKETS 17330RGV1 11/03/22 11/05/24    100.000     0.000     5.8450                        0.162361   0.162414   0.167160  0.172046      9.42    59.86 
CITIGROUP GLOBAL MARKETS 17330RFK6 11/03/22 11/05/26    100.000     0.000     5.8740                        0.163167   0.163220   0.168014  0.172948      9.47    60.17 
CITIGROUP GLOBAL MARKETS 17330RFN0 11/03/22 05/03/24    100.000     0.000     5.8640                                   0.162889   0.167665  0.172581      9.45    60.06 
CITIGROUP GLOBAL MARKETS 17330RW76 11/03/22 12/05/23    100.000     0.000     6.3880                        0.177444   0.178452   0.184152               10.32    60.63 
CITIGROUP GLOBAL MARKETS 17330RV69 11/02/22 11/04/27    100.000     0.000     5.8830                        0.163417   0.163470   0.168279  0.173228      9.64    60.27 
CITIGROUP GLOBAL MARKETS 17330RUW3 10/31/22 05/01/24    100.000     0.000     5.9510                                   0.165306   0.170252  0.175317     10.08    61.00 
CITIGROUP GLOBAL MARKETS 17330YMA5 10/31/22 10/31/37    100.000    VARIES     6.1000                                   0.169444   0.167750  0.166004     10.34    60.49 
CITIGROUP GLOBAL MARKETS 17330RHN8 10/31/22 10/29/27    100.000     0.000     6.0870                                   0.169083   0.174201  0.179503     10.31    62.44 
CITIGROUP GLOBAL MARKETS 17330RZ57 10/25/22 10/23/25    100.000     0.000     6.0190                                   0.167194   0.172170  0.177352     11.03    61.78 
CITIGROUP GLOBAL MARKETS 17330YLW8 11/17/22 11/19/24    100.000     0.000     5.5240                        0.153444   0.153492   0.157731  0.162088      6.75    56.38 
CITIGROUP GLOBAL MARKETS 17330R6G5 09/30/22 10/02/28    100.000     0.000     5.7960                        0.161000   0.161052   0.165719  0.170522     14.66    59.66 
CITIGROUP GLOBAL MARKETS 17330RFT7 11/03/22 11/05/26    100.000     0.000     5.8740                        0.163167   0.163220   0.168014  0.172948      9.47    60.17 
CITIGROUP GLOBAL MARKETS 17330Y5L0 10/26/22 10/24/25    100.000     0.000     6.1160                                   0.169889   0.175026  0.180379     11.04    62.79 
CITIGROUP GLOBAL MARKETS 17330Y5V8 10/26/22 10/25/25    100.000     0.000     6.1160                                   0.169889   0.175055  0.180408     11.04    62.78 
CITIGROUP GLOBAL MARKETS 17290AGD6 11/15/22 11/15/29    100.000    VARIES     5.5081                                   0.153003   0.148801  0.144484      7.04    53.93 
CITIGROUP GLOBAL MARKETS 17330Y5C0 11/04/22 05/06/24    100.000     0.000     5.7860                        0.160722   0.160774   0.165425  0.170211      9.16    59.23 
CITIGROUP GLOBAL MARKETS 17330RS55 10/26/22 04/24/26    100.000     0.000     6.1260                                   0.170167   0.175321  0.180691     11.06    62.89 
CITIGROUP GLOBAL MARKETS 17330Y4Q0 10/26/22 04/25/24    100.000     0.000     6.0580                                   0.168278   0.173347  0.178597     10.94    62.17 
CITIGROUP GLOBAL MARKETS 17330YET3 11/17/22 11/17/42    100.000    VARIES     5.6858                                   0.157938   0.150582  0.143018      6.95    54.88 
CITIGROUP GLOBAL MARKETS 17330YHR4 11/02/22 05/01/25    100.000     0.000     5.7570                                   0.159917   0.164494  0.169229      9.44    58.95 
CITIGROUP GLOBAL MARKETS 17330RST3 11/03/22 11/05/25    100.000     0.000     5.8740                        0.163167   0.163220   0.168014  0.172948      9.47    60.17 
CITIGROUP GLOBAL MARKETS 17330RNY7 11/03/22 11/04/27    100.000     0.000     5.9420                                   0.165056   0.169987  0.175037      9.57    60.88 
CITIGROUP GLOBAL MARKETS 17330YRU6 11/08/22 11/08/29    100.000     0.000     5.9130                                   0.164250   0.169106  0.174106      8.71    60.53 
CITIGROUP GLOBAL MARKETS 17330YRX0 11/18/22 11/18/42    100.000    VARIES     5.7556                                   0.159877   0.156484  0.152994      6.87    56.65 
CITIGROUP GLOBAL MARKETS 17330YB74 10/31/22 05/01/24    100.000     0.000     5.9510                                   0.165306   0.170252  0.175317     10.08    61.00 
CITIGROUP GLOBAL MARKETS 17330YAX8 10/28/22 10/30/24    100.000     0.000     5.9710                        0.165861   0.165916   0.170870  0.175971     10.45    61.23 
CITIGROUP GLOBAL MARKETS 17330YAD2 11/04/22 11/04/24    100.000     0.000     5.7570                                   0.159917   0.164520  0.169256      9.12    58.93 
CITIGROUP GLOBAL MARKETS 17330YRG7 11/03/22 11/04/27    100.000     0.000     5.9420                                   0.165056   0.169987  0.175037      9.57    60.88 
CITIGROUP GLOBAL MARKETS 17330YAQ3 10/26/22 10/26/27    100.000     0.000     6.2330                                   0.173139   0.178535  0.184099     11.25    64.01 
CITIGROUP GLOBAL MARKETS 17330RMG7 10/31/22 10/31/24    100.000     0.000     5.9420                                   0.165056   0.169959  0.175009     10.07    60.91 
CITIGROUP GLOBAL MARKETS 17330YDL1 11/18/22 12/20/23    100.000     0.000     6.0970                        0.169361   0.170279   0.175470                7.29    60.36 
CITIGROUP GLOBAL MARKETS 17330RQE8 10/26/22 04/26/27    100.000     0.000     6.2810                                   0.174472   0.179952  0.185603     11.34    64.52 
CITIGROUP GLOBAL MARKETS 17330Y2Z2 10/31/22 10/31/42    100.000    VARIES     6.2815                                   0.174485   0.168623  0.162578     10.64    61.03 
CITIGROUP GLOBAL MARKETS 17330Y2Y5 10/31/22 10/31/24    100.000     0.000     5.9420                                   0.165056   0.169959  0.175009     10.07    60.91 
CITIGROUP GLOBAL MARKETS 17330YUE8 11/16/22 11/16/27    100.000     0.000     5.8060                                   0.161278   0.165960  0.170777      7.26    59.33 
CITIGROUP GLOBAL MARKETS 17330YDE7 11/17/22 11/19/25    100.000     0.000     5.5040                        0.152889   0.152936   0.157144  0.161469      6.73    56.17 
CITIGROUP GLOBAL MARKETS 17330Y2H2 10/25/22 10/25/27    100.000     0.000     6.1260                                   0.170167   0.175379  0.180751     11.23    62.90 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330YCM0 11/17/22 11/17/42    100.000    VARIES     5.6858                                   0.157938   0.153741  0.149425      6.95    55.73 
CITIGROUP GLOBAL MARKETS 17330YTT7 11/17/22 11/20/23    100.000     0.000     5.6020                        0.155611   0.155684   0.160044                6.85    50.45 
CITIGROUP GLOBAL MARKETS 17330YCR9 11/14/22 11/12/27    100.000     0.000     5.9510                                   0.165306   0.170170  0.175233      7.77    60.87 
CITIGROUP GLOBAL MARKETS 17330YTV2 11/17/22 11/17/42    100.000    VARIES     5.6858                                   0.157938   0.146634  0.135009      6.95    53.81 
CITIGROUP GLOBAL MARKETS 17330YTW0 11/17/22 11/19/24    100.000     0.000     5.5240                        0.153444   0.153492   0.157731  0.162088      6.75    56.38 
CITIGROUP GLOBAL MARKETS 17330YSY7 11/02/22 11/02/28    100.000     0.000     5.9030                                   0.163972   0.168812  0.173794      9.67    60.48 
CITIGROUP GLOBAL MARKETS 17330RJD8 10/31/22 05/01/25    100.000     0.000     5.9510                                   0.165306   0.170252  0.175317     10.08    61.00 
CITIGROUP GLOBAL MARKETS 17330RJ30 10/31/22 11/30/23    100.000     0.000     6.4460                        0.179056   0.180017   0.185819               10.95    60.27 
CITIGROUP GLOBAL MARKETS 17330RZR9 10/20/22 10/21/27    100.000     0.000     6.0290                                   0.167472   0.172549  0.177750     11.89    61.92 
CITIGROUP GLOBAL MARKETS 17330RM36 10/31/22 10/29/27    100.000     0.000     6.0870                                   0.169083   0.174201  0.179503     10.31    62.44 
CITIGROUP GLOBAL MARKETS 17330RM69 10/31/22 05/01/25    100.000     0.000     5.9510                                   0.165306   0.170252  0.175317     10.08    61.00 
CITIGROUP GLOBAL MARKETS 17330YPQ7 11/16/22 11/19/25    100.000     0.000     5.5140                        0.153167   0.153237   0.157462  0.161803      6.90    56.29 
CITIGROUP GLOBAL MARKETS 17330Y4E7 11/09/22 11/07/25    100.000     0.000     6.0780                                   0.168833   0.173907  0.179192      8.78    62.25 
CITIGROUP GLOBAL MARKETS 17330YJT8 11/28/22 05/28/24    100.000     0.000     5.6790                                   0.157750   0.162229  0.166836      5.21    57.90 
CITIGROUP GLOBAL MARKETS 17330YKB5 11/28/22 11/26/27    100.000     0.000     5.4560                                   0.151556   0.155644  0.159890      5.00    55.59 
CITIGROUP GLOBAL MARKETS 17330YJF8 11/02/22 10/31/24    100.000     0.000     5.8740                                   0.163167   0.167906  0.172837      9.63    60.18 
CITIGROUP GLOBAL MARKETS 17330YJE1 11/28/22 11/28/25    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 
CITIGROUP GLOBAL MARKETS 17330RVY8 10/31/22 10/29/27    100.000     0.000     6.0870                                   0.169083   0.174201  0.179503     10.31    62.44 
CITIGROUP GLOBAL MARKETS 17330YJQ4 11/30/22 11/28/25    100.000     0.000     5.3780                                   0.149389   0.153361  0.157485      4.63    54.76 
CITIGROUP GLOBAL MARKETS 17330RUZ6 10/31/22 10/29/27    100.000     0.000     6.0870                                   0.169083   0.174201  0.179503     10.31    62.44 
CITIGROUP GLOBAL MARKETS 17330YLY4 11/28/22 11/28/25    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 
CITIGROUP GLOBAL MARKETS 17330RYH2 10/20/22 10/22/25    100.000     0.000     5.9420                        0.165056   0.165110   0.170015  0.175067     11.72    61.01 
CITIGROUP GLOBAL MARKETS 17330YLZ1 11/30/22 12/01/42    100.000    VARIES     5.4500                                   0.149780   0.145697  0.139827      4.69    53.13 
CITIGROUP GLOBAL MARKETS 17330YME7 11/23/22 12/21/23    100.000     0.000     6.1840                        0.171778   0.172604   0.177941                6.54    61.37 
CITIGROUP GLOBAL MARKETS 17330RY58 10/14/22 10/16/25    100.000     0.000     5.6500                        0.156944   0.156994   0.161429  0.165989     12.09    57.99 
CITIGROUP GLOBAL MARKETS 17330RYD1 10/20/22 04/23/25    100.000     0.000     5.9220                        0.164500   0.164581   0.169454  0.174472     11.69    60.80 
CITIGROUP GLOBAL MARKETS 17330RXJ9 10/14/22 10/16/25    100.000     0.000     5.6500                        0.156944   0.156994   0.161429  0.165989     12.09    57.99 
CITIGROUP GLOBAL MARKETS 17330RXM2 10/14/22 10/14/27    100.000     0.000     5.7960                                   0.161000   0.165666  0.170467     12.40    59.53 
CITIGROUP GLOBAL MARKETS 17330RXN0 10/13/22 10/10/24    100.000     0.000     5.4260                                   0.150722   0.154743  0.158941     11.76    55.65 
CITIGROUP GLOBAL MARKETS 17330RXQ3 10/19/22 10/19/37    100.000    VARIES     6.9400                                   0.192778   0.177298  0.161000     13.88    64.35 
CITIGROUP GLOBAL MARKETS 17330YG53 11/28/22 05/28/25    100.000     0.000     5.5140                                   0.153167   0.157389  0.161729      5.05    56.18 
CITIGROUP GLOBAL MARKETS 17330Y5Y2 10/21/22 10/21/27    100.000     0.000     5.9710                                   0.165861   0.170813  0.175913     11.61    61.30 
CITIGROUP GLOBAL MARKETS 17330RSH9 11/01/22 04/30/26    100.000     0.000     5.8930                                   0.163694   0.168491  0.173455      9.82    60.39 
CITIGROUP GLOBAL MARKETS 17330Y5F3 11/01/22 11/30/23    100.000     0.000     6.3880                        0.177444   0.178358   0.184054               10.67    59.71 
CITIGROUP GLOBAL MARKETS 17330RQW8 10/31/22 10/29/27    100.000     0.000     6.0870                                   0.169083   0.174201  0.179503     10.31    62.44 
CITIGROUP GLOBAL MARKETS 17330YER7 11/28/22 11/26/27    100.000     0.000     4.4560                                   0.123778   0.126505  0.129323      4.08    45.24 
CITIGROUP GLOBAL MARKETS 17330YF62 11/23/22 11/21/24    100.000     0.000     5.4850                                   0.152361   0.156493  0.160785      5.79    55.93 
CITIGROUP GLOBAL MARKETS 17330YEW6 11/28/22 11/28/25    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 
CITIGROUP GLOBAL MARKETS 17330YEC0 11/29/22 12/01/25    100.000     0.000     5.4650                        0.151806   0.151852   0.156001  0.160264      4.86    55.67 
CITIGROUP GLOBAL MARKETS 17330RR31 10/31/22 10/29/27    100.000     0.000     6.0870                                   0.169083   0.174201  0.179503     10.31    62.44 
CITIGROUP GLOBAL MARKETS 17330YHC7 11/07/22 12/07/23    100.000     0.000     6.4170                        0.178250   0.179203   0.184953                9.65    61.25 
CITIGROUP GLOBAL MARKETS 17330YHJ2 11/28/22 11/28/25    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330YHN3 11/28/22 12/28/23    100.000     0.000     6.2130                        0.172583   0.173477   0.178866                5.70    62.90 
CITIGROUP GLOBAL MARKETS 17330Y6P0 12/05/22 12/04/25    100.000     0.000     5.4070                                   0.150194   0.154232  0.158402      3.91    55.02 
CITIGROUP GLOBAL MARKETS 17330YH52 11/25/22 12/27/23    100.000     0.000     6.1840                        0.171778   0.172722   0.178063                6.19    62.45 
CITIGROUP GLOBAL MARKETS 17330YH78 11/28/22 05/28/25    100.000     0.000     5.5140                                   0.153167   0.157389  0.161729      5.05    56.18 
CITIGROUP GLOBAL MARKETS 17330Y6D7 11/01/22 11/01/27    100.000     0.000     5.9900                                   0.166389   0.171372  0.176505      9.98    61.40 
CITIGROUP GLOBAL MARKETS 17330YGK0 11/28/22 11/27/24    100.000     0.000     5.5630                                   0.154528   0.158802  0.163219      5.10    56.69 
CITIGROUP GLOBAL MARKETS 17330Y6H8 11/28/22 11/26/27    100.000     0.000     5.4560                                   0.151556   0.155644  0.159890      5.00    55.59 
CITIGROUP GLOBAL MARKETS 17330YSJ0 11/28/22 11/28/25    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 
CITIGROUP GLOBAL MARKETS 17330YSL5 12/05/22 12/04/25    100.000     0.000     5.4070                                   0.150194   0.154232  0.158402      3.91    55.02 
CITIGROUP GLOBAL MARKETS 17330YC24 12/02/22 12/02/27    100.000     0.000     5.3390                                   0.148306   0.152265  0.156329      4.30    54.34 
CITIGROUP GLOBAL MARKETS 17330YRT9 12/06/22 01/05/24    100.000     0.000     6.1650                                   0.171250   0.172100  0.177405      4.28    62.89 
CITIGROUP GLOBAL MARKETS 17330YB82 10/20/22 10/21/27    100.000     0.000     6.0290                                   0.167472   0.172549  0.177750     11.89    61.92 
CITIGROUP GLOBAL MARKETS 17330YS84 11/29/22 11/29/27    100.000     0.000     5.3870                                   0.149639   0.153669  0.157808      4.79    54.86 
CITIGROUP GLOBAL MARKETS 17330YRY8 11/07/22 11/06/25    100.000     0.000     5.9220                                   0.164500   0.169344  0.174358      8.88    60.63 
CITIGROUP GLOBAL MARKETS 17330YSB7 11/28/22 11/27/24    100.000     0.000     5.5630                                   0.154528   0.158802  0.163219      5.10    56.69 
CITIGROUP GLOBAL MARKETS 17330YSC5 11/28/22 05/28/25    100.000     0.000     5.5140                                   0.153167   0.157389  0.161729      5.05    56.18 
CITIGROUP GLOBAL MARKETS 17330YRC6 11/23/22 11/23/27    100.000     0.000     5.3780                                   0.149389   0.153406  0.157531      5.68    54.81 
CITIGROUP GLOBAL MARKETS 17330YAG5 10/21/22 10/21/27    100.000     0.000     5.9710                                   0.165861   0.170813  0.175913     11.61    61.30 
CITIGROUP GLOBAL MARKETS 17330RMX0 10/19/22 10/20/42    100.000    VARIES     6.4290                                   0.176593   0.170888  0.162987     12.86    61.80 
CITIGROUP GLOBAL MARKETS 17330YB25 12/05/22 12/04/25    100.000     0.000     5.4070                                   0.150194   0.154232  0.158402      3.91    55.02 
CITIGROUP GLOBAL MARKETS 17330YQR4 12/05/22 12/05/24    100.000     0.000     5.4650                                   0.151806   0.155954  0.160215      3.95    55.62 
CITIGROUP GLOBAL MARKETS 17330YR28 11/28/22 11/28/29    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 
CITIGROUP GLOBAL MARKETS 17330YQQ6 12/05/22 12/04/25    100.000     0.000     5.4070                                   0.150194   0.154232  0.158402      3.91    55.02 
CITIGROUP GLOBAL MARKETS 17330YR44 12/05/22 06/04/25    100.000     0.000     5.4170                                   0.150472   0.154525  0.158710      3.91    55.12 
CITIGROUP GLOBAL MARKETS 17330YR93 11/22/22 05/22/24    100.000     0.000     5.5430                                   0.153972   0.158240  0.162625      6.00    56.54 
CITIGROUP GLOBAL MARKETS 17330RMK8 10/31/22 05/01/25    100.000     0.000     5.9510                                   0.165306   0.170252  0.175317     10.08    61.00 
CITIGROUP GLOBAL MARKETS 17330Y3M0 10/20/22 10/22/24    100.000     0.000     5.9130                        0.164250   0.164304   0.169162  0.174163     11.67    60.70 
CITIGROUP GLOBAL MARKETS 17330YE22 12/05/22 06/04/24    100.000     0.000     5.5820                                   0.155056   0.159359  0.163807      4.03    56.83 
CITIGROUP GLOBAL MARKETS 17330YTZ3 11/30/22 12/01/42    100.000    VARIES     5.4500                                   0.149780   0.147968  0.144430      4.69    53.68 
CITIGROUP GLOBAL MARKETS 17330Y3B4 11/28/22 11/27/26    100.000     0.000     5.4260                                   0.150722   0.154789  0.158988      4.97    55.27 
CITIGROUP GLOBAL MARKETS 17330YDF4 11/07/22 11/07/24    100.000     0.000     5.8740                                   0.163167   0.167959  0.172892      8.81    60.13 
CITIGROUP GLOBAL MARKETS 17330Y2J8 11/28/22 11/27/26    100.000     0.000     5.4260                                   0.150722   0.154789  0.158988      4.97    55.27 
CITIGROUP GLOBAL MARKETS 17330YU32 11/28/22 11/26/27    100.000     0.000     5.4560                                   0.151556   0.155644  0.159890      5.00    55.59 
CITIGROUP GLOBAL MARKETS 17330YU40 11/28/22 11/28/25    100.000     0.000     5.4950                                   0.152639   0.156833  0.161142      5.04    55.99 
CITIGROUP GLOBAL MARKETS 17330YU73 11/28/22 05/28/24    100.000     0.000     5.6790                                   0.157750   0.162229  0.166836      5.21    57.90 
CITIGROUP GLOBAL MARKETS 17330YCT5 11/07/22 11/06/25    100.000     0.000     5.9220                                   0.164500   0.169344  0.174358      8.88    60.63 
CITIGROUP GLOBAL MARKETS 17330YBV1 12/05/22 06/04/25    100.000     0.000     5.4170                                   0.150472   0.154525  0.158710      3.91    55.12 
CITIGROUP GLOBAL MARKETS 17330RZK4 10/20/22 10/22/24    100.000     0.000     5.9130                        0.164250   0.164304   0.169162  0.174163     11.67    60.70 
CITIGROUP GLOBAL MARKETS 17330YNB2 11/30/22 11/28/25    100.000     0.000     5.3780                                   0.149389   0.153361  0.157485      4.63    54.76 
CITIGROUP GLOBAL MARKETS 17330YN63 12/12/22 06/12/25    100.000     0.000     5.2510                                   0.145861   0.149691  0.153621      2.77    53.35 
CITIGROUP GLOBAL MARKETS 17330RZA6 10/21/22 10/23/25    100.000     0.000     5.8740                        0.163167   0.163220   0.168014  0.172948     11.43    60.28 
CITIGROUP GLOBAL MARKETS 17330RZF5 10/13/22 10/10/24    100.000     0.000     5.4260                                   0.150722   0.154743  0.158941     11.76    55.65 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330YQJ2 11/22/22 11/22/27    100.000     0.000     5.3290                                   0.148028   0.151972  0.156021      5.77    54.31 
CITIGROUP GLOBAL MARKETS 17330YQN3 11/30/22 12/01/27    100.000     0.000     5.3100                                   0.147500   0.151438  0.155459      4.57    54.05 
CITIGROUP GLOBAL MARKETS 17330RKL8 10/14/22 10/17/24    100.000     0.000     5.5720                        0.154778   0.154850   0.159164  0.163598     11.92    57.17 
CITIGROUP GLOBAL MARKETS 17330RF59 08/26/22 08/28/24    100.000     0.000     4.2450                        0.117917   0.117944   0.120448  0.123004     14.74    43.53 
CITIGROUP GLOBAL MARKETS 17330R4L6 09/30/22 10/02/29    100.000     0.000     5.8540                        0.162611   0.162664   0.167425  0.172326     14.80    60.28 
CITIGROUP GLOBAL MARKETS 17330RDV4 09/30/22 10/02/25    100.000     0.000     5.7960                        0.161000   0.161052   0.165719  0.170522     14.66    59.66 
CITIGROUP GLOBAL MARKETS 17330RE76 09/30/22 10/02/25    100.000     0.000     5.6210                        0.156139   0.156188   0.160577  0.165090     14.21    57.81 
CITIGROUP GLOBAL MARKETS 17330RDY8 09/30/22 04/01/26    100.000     0.000     5.6500                                   0.156944   0.161403  0.165962     14.28    58.11 
CITIGROUP GLOBAL MARKETS 17330PSC4 08/31/22 08/31/27    100.000     0.000     4.5390                                   0.126083   0.128913  0.131871     15.26    46.61 
CITIGROUP GLOBAL MARKETS 17330RH40 09/30/22 09/30/27    100.000     0.000     5.7960                                   0.161000   0.165666  0.170467     14.65    59.66 
CITIGROUP GLOBAL MARKETS 17330YM23 11/03/22 11/04/27    100.000     0.000     5.9420                                   0.165056   0.169987  0.175037      9.57    60.88 
CITIGROUP GLOBAL MARKETS 17330RBG9 08/24/22 08/24/27    100.000     0.000     4.4410                                   0.123361   0.126100  0.128900     15.67    45.61 
CITIGROUP GLOBAL MARKETS 17330RRN7 10/28/22 10/30/24    100.000     0.000     5.9710                        0.165861   0.165916   0.170870  0.175971     10.45    61.23 
CITIGROUP GLOBAL MARKETS 17330YFD7 11/15/22 11/13/26    100.000     0.000     5.8830                                   0.163417   0.168170  0.173117      7.52    60.15 
CITIGROUP GLOBAL MARKETS 17330RB38 08/29/22 08/29/24    100.000     0.000     4.2160                                   0.117111   0.119566  0.122101     14.29    43.21 
CITIGROUP GLOBAL MARKETS 17330YFE5 11/15/22 11/15/27    100.000     0.000     5.8830                                   0.163417   0.168224  0.173172      7.52    60.14 
CITIGROUP GLOBAL MARKETS 17330RAU9 09/30/22 09/30/27    100.000     0.000     5.7960                                   0.161000   0.165666  0.170467     14.65    59.66 
CITIGROUP GLOBAL MARKETS 17330Y4R8 10/31/22 10/30/25    100.000     0.000     5.9710                                   0.165861   0.170813  0.175913     10.12    61.21 
CITIGROUP GLOBAL MARKETS 17330RAD7 09/30/22 04/01/25    100.000     0.000     5.5430                                   0.153972   0.158263  0.162650     14.01    56.98 
CITIGROUP GLOBAL MARKETS 17330RDD4 08/24/22 08/22/26    100.000     0.000     4.3330                                   0.120361   0.122940  0.125603     15.29    44.47 
CITIGROUP GLOBAL MARKETS 17330R3E3 08/31/22 08/31/27    100.000     0.000     4.5390                                   0.126083   0.128913  0.131871     15.26    46.61 
CITIGROUP GLOBAL MARKETS 17330R3J2 09/30/22 09/30/27    100.000     0.000     5.7960                                   0.161000   0.165666  0.170467     14.65    59.66 
CITIGROUP GLOBAL MARKETS 17330RD28 09/30/22 10/02/24    100.000     0.000     5.4560                        0.151556   0.151601   0.155737  0.159986     13.80    56.07 
CITIGROUP GLOBAL MARKETS 17330RD51 09/30/22 09/30/25    100.000     0.000     5.6210                                   0.156139   0.160527  0.165039     14.21    57.81 
CITIGROUP GLOBAL MARKETS 17330RD93 08/25/22 08/27/24    100.000     0.000     4.1060                        0.114056   0.114082   0.116424  0.118814     14.37    42.08 
CITIGROUP GLOBAL MARKETS 17330R2X2 09/30/22 04/01/25    100.000     0.000     5.5430                                   0.153972   0.158263  0.162650     14.01    56.98 
CITIGROUP GLOBAL MARKETS 17330YH94 11/17/22 11/19/24    100.000     0.000     5.5240                        0.153444   0.153492   0.157731  0.162088      6.75    56.38 
CITIGROUP GLOBAL MARKETS 17330R2G9 09/30/22 09/30/27    100.000     0.000     5.7960                                   0.161000   0.165666  0.170467     14.65    59.66 
CITIGROUP GLOBAL MARKETS 17330RC94 09/30/22 04/01/25    100.000     0.000     5.5430                                   0.153972   0.158263  0.162650     14.01    56.98 
CITIGROUP GLOBAL MARKETS 17330PGK9 08/31/22 08/31/28    100.000     0.000     4.5870                                   0.127417   0.130306  0.133328     15.42    47.11 
CITIGROUP GLOBAL MARKETS 17330PY45 08/31/22 03/03/25    100.000     0.000     4.3430                        0.120639   0.120683   0.123303  0.125981     14.60    44.54 
CITIGROUP GLOBAL MARKETS 17330PH69 08/31/22 08/31/27    100.000     0.000     4.5390                                   0.126083   0.128913  0.131871     15.26    46.61 
CITIGROUP GLOBAL MARKETS 17330PX95 08/31/22 03/03/25    100.000     0.000     4.3430                        0.120639   0.120683   0.123303  0.125981     14.60    44.54 
CITIGROUP GLOBAL MARKETS 17330RMF9 09/30/22 10/02/25    100.000     0.000     5.6210                        0.156139   0.156188   0.160577  0.165090     14.21    57.81 
CITIGROUP GLOBAL MARKETS 17330PK81 08/31/22 08/29/25    100.000     0.000     4.4210                                   0.122806   0.125490  0.128279     14.86    45.36 
CITIGROUP GLOBAL MARKETS 17330RPS8 10/31/22 10/30/25    100.000     0.000     5.9710                                   0.165861   0.170813  0.175913     10.12    61.21 
CITIGROUP GLOBAL MARKETS 17330RP33 10/31/22 10/31/29    100.000     0.000     6.1260                                   0.170167   0.175379  0.180751     10.38    62.84 
CITIGROUP GLOBAL MARKETS 17330PZM4 08/30/22 03/02/26    100.000     0.000     4.4700                        0.124167   0.124198   0.126973  0.129811     15.03    45.88 
CITIGROUP GLOBAL MARKETS 17330RJN6 11/03/22 05/05/25    100.000     0.000     5.8450                        0.162361   0.162414   0.167160  0.172046      9.42    59.86 
CITIGROUP GLOBAL MARKETS 17330PUS6 08/31/22 08/31/28    100.000     0.000     4.5870                                   0.127417   0.130306  0.133328     15.42    47.11 
CITIGROUP GLOBAL MARKETS 17330YNF3 11/17/22 11/18/27    100.000     0.000     5.4850                                   0.152361   0.156563  0.160857      6.70    55.97 
CITIGROUP GLOBAL MARKETS 17330RLM5 09/30/22 10/02/25    100.000     0.000     5.6210                        0.156139   0.156188   0.160577  0.165090     14.21    57.81 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330PWQ8 08/31/22 08/31/27    100.000     0.000     4.5390                                   0.126083   0.128913  0.131871     15.26    46.61 
CITIGROUP GLOBAL MARKETS 17330RM93 11/03/22 05/05/25    100.000     0.000     5.8450                        0.162361   0.162414   0.167160  0.172046      9.42    59.86 
CITIGROUP GLOBAL MARKETS 17330PVY2 08/26/22 08/28/24    100.000     0.000     4.2450                        0.117917   0.117944   0.120448  0.123004     14.74    43.53 
CITIGROUP GLOBAL MARKETS 17330PWE5 08/24/22 08/22/25    100.000     0.000     4.2650                                   0.118472   0.120971  0.123550     15.05    43.75 
CITIGROUP GLOBAL MARKETS 17330PVK2 08/31/22 08/30/29    100.000     0.000     4.6480                                   0.129111   0.132078  0.135182     15.62    47.75 
CITIGROUP GLOBAL MARKETS 17330PEN5 08/31/22 03/03/25    100.000     0.000     4.3430                        0.120639   0.120683   0.123303  0.125981     14.60    44.54 
CITIGROUP GLOBAL MARKETS 17330RAB2 08/25/22 08/27/25    100.000     0.000     4.3330                        0.120361   0.120390   0.122998  0.125663     15.17    44.46 
CITIGROUP GLOBAL MARKETS 17330YSU5 11/09/22 11/07/24    100.000     0.000     6.0290                                   0.167472   0.172465  0.177664      8.71    61.74 
CITIGROUP GLOBAL MARKETS 17330FTE1 05/26/22 05/27/27    100.000     0.000     4.3720                        0.121444   0.124114   0.126827  0.129600     26.20    45.36 
CITIGROUP GLOBAL MARKETS 17330FTM3 06/02/22 05/31/24    100.000     0.000     3.7150                        0.103194   0.105090   0.107042  0.109030     21.63    38.31 
CITIGROUP GLOBAL MARKETS 17330PPJ2 07/13/22 07/11/24    100.000     0.000     4.3230                                   0.120083   0.122650  0.125301     20.17    44.58 
CITIGROUP GLOBAL MARKETS 17330FT43 06/03/22 06/05/24    100.000     0.000     3.7250             0.103472   0.103494   0.105421   0.107385  0.109385     21.58    38.41 
CITIGROUP GLOBAL MARKETS 17290ACE8 05/25/22 05/25/37    100.000    VARIES     3.8968                        0.108244   0.105861   0.103431  0.100954     23.29    37.50 
CITIGROUP GLOBAL MARKETS 17330FBT7 05/31/22 05/29/26    100.000     0.000     4.2350                        0.117639   0.120116   0.122660  0.125257     24.90    43.86 
CITIGROUP GLOBAL MARKETS 17330PPT0 07/13/22 07/13/27    100.000     0.000     4.6460                                   0.129056   0.132054  0.135121     21.68    48.02 
CITIGROUP GLOBAL MARKETS 17330REA9 08/12/22 08/14/24    100.000     0.000     4.2160                        0.117111   0.117139   0.119608  0.122129     16.28    43.30 
CITIGROUP GLOBAL MARKETS 17330PPA1 07/29/22 07/29/42    100.000    VARIES     4.8600                                   0.135000   0.131530  0.127977     20.52    46.91 
CITIGROUP GLOBAL MARKETS 17330FSE2 05/31/22 05/28/27    100.000     0.000     4.2940                        0.119278   0.121810   0.124425  0.127097     25.25    44.50 
CITIGROUP GLOBAL MARKETS 17330REJ0 08/10/22 08/08/24    100.000     0.000     4.1270                                   0.114639   0.116978  0.119392     16.16    42.37 
CITIGROUP GLOBAL MARKETS 17330PPF0 07/12/22 07/12/27    100.000     0.000     4.5870                                   0.127417   0.130339  0.133328     21.53    47.40 
CITIGROUP GLOBAL MARKETS 17330FRM5 06/03/22 06/04/27    100.000     0.000     4.1570                        0.115472   0.117886   0.120336  0.122837     24.08    43.01 
CITIGROUP GLOBAL MARKETS 17330FRR4 05/24/22 05/27/25    100.000     0.000     4.1570             0.115472   0.115512   0.117913   0.120364  0.122866     25.15    43.06 
CITIGROUP GLOBAL MARKETS 17330FRT0 07/06/22 01/03/25    100.000     0.000     4.5190                                   0.125528   0.128317  0.131216     21.97    46.70 
CITIGROUP GLOBAL MARKETS 17330PP78 08/03/22 02/03/25    100.000     0.000     4.1180                                   0.114389   0.116744  0.119148     16.93    42.31 
CITIGROUP GLOBAL MARKETS 17330FVF5 05/31/22 05/28/27    100.000     0.000     4.1960                        0.116556   0.118974   0.121470  0.124018     24.67    43.45 
CITIGROUP GLOBAL MARKETS 17330PBM0 06/23/22 06/23/25    100.000     0.000     4.6850                        0.130139   0.133187   0.136307  0.139500     24.49    48.56 
CITIGROUP GLOBAL MARKETS 17330FV40 05/16/22 04/17/28    100.000     0.000     4.4600                        0.123889   0.126207   0.129021  0.131898     28.05    46.36 
CITIGROUP GLOBAL MARKETS 17330FE49 06/01/22 05/29/26    100.000     0.000     4.0980                        0.113833   0.116140   0.118520  0.120948     23.98    42.39 
CITIGROUP GLOBAL MARKETS 17330FV73 05/26/22 11/29/24    100.000     0.000     4.0980             0.113833   0.113872   0.116205   0.118586  0.121016     24.56    42.42 
CITIGROUP GLOBAL MARKETS 17330FUZ2 05/17/22 05/15/25    100.000     0.000     4.1670                        0.115750   0.118135   0.120596  0.123109     26.04    43.20 
CITIGROUP GLOBAL MARKETS 17330PS91 07/06/22 07/06/27    100.000     0.000     4.8320                                   0.134222   0.137465  0.140786     23.49    50.05 
CITIGROUP GLOBAL MARKETS 17330PAY5 06/21/22 06/21/27    100.000     0.000     5.0850                        0.141250   0.144841   0.148524  0.152300     26.87    52.88 
CITIGROUP GLOBAL MARKETS 17330FUA7 05/18/22 05/18/32    100.000    VARIES     3.3660                        0.093501   0.091334   0.089132  0.086892     20.76    32.29 
CITIGROUP GLOBAL MARKETS 17330PRA9 07/14/22 07/15/27    100.000     0.000     4.7140                                   0.130944   0.134048  0.137207     21.87    48.74 
CITIGROUP GLOBAL MARKETS 17330PRE1 07/29/22 07/30/27    100.000     0.000     4.4500                                   0.123611   0.126377  0.129189     18.79    45.84 
CITIGROUP GLOBAL MARKETS 17330PAD1 06/09/22 06/11/25    100.000     0.000     4.0780             0.113278   0.113303   0.115614   0.117971  0.120376     22.93    42.14 
CITIGROUP GLOBAL MARKETS 17330FUL3 07/06/22 07/06/27    100.000     0.000     4.8320                                   0.134222   0.137465  0.140786     23.49    50.05 
CITIGROUP GLOBAL MARKETS 17330FU25 06/07/22 06/05/25    100.000     0.000     4.0690                        0.113028   0.115302   0.117648  0.120041     23.12    42.05 
CITIGROUP GLOBAL MARKETS 17330PQS1 08/03/22 02/03/25    100.000     0.000     4.1180                                   0.114389   0.116744  0.119148     16.93    42.31 
CITIGROUP GLOBAL MARKETS 17330PQR3 07/29/22 07/31/29    100.000     0.000     4.6260                        0.128500   0.128517   0.131489  0.134530     19.53    47.71 
CITIGROUP GLOBAL MARKETS 17330FTZ4 06/30/22 07/02/26    100.000     0.000     4.6460                        0.129056   0.129089   0.132088  0.135156     23.37    48.10 
CITIGROUP GLOBAL MARKETS 17330PLR8 07/28/22 07/28/32    100.000    VARIES     3.2648                                   0.090690   0.090583  0.087301     13.88    32.11 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330PM63 08/03/22 08/01/24    100.000     0.000     4.0980                                   0.113833   0.116140  0.118520     16.85    42.10 
CITIGROUP GLOBAL MARKETS 17330PM89 07/13/22 07/11/25    100.000     0.000     4.4500                                   0.123611   0.126331  0.129142     20.77    45.93 
CITIGROUP GLOBAL MARKETS 17330PLV9 08/03/22 08/03/27    100.000     0.000     4.3040                                   0.119556   0.122128  0.124757     17.69    44.27 
CITIGROUP GLOBAL MARKETS 17330N641 08/03/22 05/07/26    100.000     0.000     4.2450                        0.117917   0.119224   0.121754  0.124338     17.52    43.65 
CITIGROUP GLOBAL MARKETS 17330PMC0 08/03/22 08/01/24    100.000     0.000     4.0980                                   0.113833   0.116140  0.118520     16.85    42.10 
CITIGROUP GLOBAL MARKETS 17330PLJ6 07/13/22 08/11/23    100.000     0.000     4.5390                        0.126083   0.126528   0.129400               21.24    28.35 
CITIGROUP GLOBAL MARKETS 17330PM22 06/22/22 06/20/25    100.000     0.000     4.7240                        0.131222   0.134287   0.137459  0.140706     24.83    48.98 
CITIGROUP GLOBAL MARKETS 17330FNU1 05/25/22 05/26/26    100.000     0.000     4.3230                        0.120083   0.122693   0.125345  0.128055     26.03    44.83 
CITIGROUP GLOBAL MARKETS 17330FNX5 06/01/22 05/30/25    100.000     0.000     4.0100                        0.111389   0.113610   0.115888  0.118211     23.46    41.45 
CITIGROUP GLOBAL MARKETS 17330PKX6 07/06/22 07/03/25    100.000     0.000     4.6360                                   0.128778   0.131713  0.134766     22.54    47.95 
CITIGROUP GLOBAL MARKETS 17330PLA5 08/03/22 08/01/25    100.000     0.000     4.1570                                   0.115472   0.117846  0.120295     17.09    42.72 
CITIGROUP GLOBAL MARKETS 17330PNH8 07/12/22 07/10/25    100.000     0.000     4.3820                                   0.121722   0.124360  0.127084     20.57    45.21 
CITIGROUP GLOBAL MARKETS 17330PNL9 07/06/22 07/06/27    100.000     0.000     4.8320                                   0.134222   0.137465  0.140786     23.49    50.05 
CITIGROUP GLOBAL MARKETS 17330PNN5 08/02/22 02/02/26    100.000     0.000     4.3130                                   0.119806   0.122389  0.125028     17.85    44.37 
CITIGROUP GLOBAL MARKETS 17330FQR5 06/30/22 06/30/28    100.000     0.000     4.8410                        0.134472   0.137727   0.141061  0.144475     24.34    50.19 
CITIGROUP GLOBAL MARKETS 17330FQY0 05/25/22 05/25/27    100.000     0.000     4.4210                        0.122806   0.125520   0.128295  0.131131     26.62    45.89 
CITIGROUP GLOBAL MARKETS 17330FQD6 05/20/22 05/22/25    100.000     0.000     4.1470             0.115194   0.115221   0.117610   0.120049  0.122538     25.56    42.97 
CITIGROUP GLOBAL MARKETS 17330PNE5 07/21/22 07/23/25    100.000     0.000     4.5680                        0.126889   0.126921   0.129820  0.132785     20.31    47.14 
CITIGROUP GLOBAL MARKETS 17330FPK1 05/20/22 06/15/23    100.000     0.000     3.5490             0.098583   0.098826   0.100580                          21.86    16.50 
CITIGROUP GLOBAL MARKETS 17330FPQ8 05/26/22 05/26/37    100.000    VARIES     4.7735                        0.132597   0.129795   0.126926  0.123989     28.41    46.01 
CITIGROUP GLOBAL MARKETS 17330FPS4 05/18/22 05/18/27    100.000     0.000     4.2550                        0.118194   0.120709   0.123277  0.125900     26.47    44.14 
CITIGROUP GLOBAL MARKETS 17330FPU9 06/01/22 12/02/24    100.000     0.000     3.8820                        0.107833   0.109938   0.112072  0.114247     22.71    40.09 
CITIGROUP GLOBAL MARKETS 17330PHM4 08/03/22 08/03/27    100.000     0.000     4.3040                                   0.119556   0.122128  0.124757     17.69    44.27 
CITIGROUP GLOBAL MARKETS 17330P7K9 06/22/22 12/21/23    100.000     0.000     4.3330                        0.120361   0.122954   0.125618               22.77    43.51 
CITIGROUP GLOBAL MARKETS 17330PHN2 07/21/22 07/23/25    100.000     0.000     4.5680                        0.126889   0.126921   0.129820  0.132785     20.31    47.14 
CITIGROUP GLOBAL MARKETS 17330PHP7 07/21/22 07/23/25    100.000     0.000     4.5680                        0.126889   0.126921   0.129820  0.132785     20.31    47.14 
CITIGROUP GLOBAL MARKETS 17330PHS1 07/15/22 07/15/27    100.000     0.000     4.6660                                   0.129611   0.132635  0.135729     21.52    48.22 
CITIGROUP GLOBAL MARKETS 17330FKY6 05/31/22 12/01/25    100.000     0.000     4.1270                        0.114639   0.117018   0.119432  0.121897     24.26    42.71 
CITIGROUP GLOBAL MARKETS 17330PHX0 07/29/22 07/31/28    100.000     0.000     4.5870                        0.127417   0.127433   0.130356  0.133345     19.37    47.29 
CITIGROUP GLOBAL MARKETS 17330N138 06/15/22 06/15/26    100.000     0.000     4.4020                        0.122278   0.124969   0.127720  0.130531     24.01    45.57 
CITIGROUP GLOBAL MARKETS 17330N153 06/15/22 06/13/25    100.000     0.000     4.2450                        0.117917   0.120392   0.122947  0.125557     23.16    43.89 
CITIGROUP GLOBAL MARKETS 17330FKF7 06/14/22 07/10/25    100.000     0.000     4.3430                        0.120639   0.121017   0.123645  0.126330     23.83    44.95 
CITIGROUP GLOBAL MARKETS 17330PHG7 08/10/22 02/10/28    100.000     0.000     4.3720                                   0.121444   0.124099  0.126812     17.12    44.95 
CITIGROUP GLOBAL MARKETS 17330PHH5 08/03/22 08/03/26    100.000     0.000     4.2160                                   0.117111   0.119580  0.122101     17.33    43.34 
CITIGROUP GLOBAL MARKETS 17330PXK0 08/08/22 08/06/27    100.000     0.000     4.4210                                   0.122806   0.125490  0.128264     17.56    45.48 
CITIGROUP GLOBAL MARKETS 17330FJR3 05/31/22 05/31/29    100.000     0.000     4.4210                        0.122806   0.125520   0.128295  0.131131     26.00    45.86 
CITIGROUP GLOBAL MARKETS 17330PGP8 06/29/22 06/29/27    100.000     0.000     4.7630                        0.132306   0.135456   0.138682  0.141985     24.09    49.36 
CITIGROUP GLOBAL MARKETS 17330PXW4 08/09/22 08/09/27    100.000     0.000     4.4410                                   0.123361   0.126100  0.128900     17.52    45.69 
CITIGROUP GLOBAL MARKETS 17330PG94 06/22/22 07/22/27    100.000     0.000     5.0170                        0.139361   0.139944   0.143454  0.147053     26.43    52.14 
CITIGROUP GLOBAL MARKETS 17330PG86 06/24/22 06/26/24    100.000     0.000     4.4500             0.123611   0.123642   0.126393   0.129205  0.132080     23.13    46.04 
CITIGROUP GLOBAL MARKETS 17330PXA2 08/11/22 08/13/25    100.000     0.000     4.4020                        0.122278   0.122308   0.125000  0.127751     17.12    45.27 
CITIGROUP GLOBAL MARKETS 17330FJG7 05/31/22 05/30/25    100.000     0.000     4.0780                        0.113278   0.115588   0.117944  0.120349     23.97    42.18 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330P6C8 06/13/22 06/11/27    100.000     0.000     4.4110                        0.122528   0.125200   0.127961  0.130784     24.31    45.68 
CITIGROUP GLOBAL MARKETS 17330P6F1 06/08/22 06/08/27    100.000     0.000     4.3330                        0.120361   0.122969   0.125633  0.128355     24.49    44.87 
CITIGROUP GLOBAL MARKETS 17330FJJ1 06/01/22 06/01/27    100.000     0.000     4.1960                        0.116556   0.119001   0.121498  0.124047     24.55    43.44 
CITIGROUP GLOBAL MARKETS 17330P6E4 06/27/22 12/28/23    100.000     0.000     4.3330                        0.120361   0.122983   0.125648               22.15    44.38 
CITIGROUP GLOBAL MARKETS 17330FN64 06/01/22 05/30/25    100.000     0.000     4.0100                        0.111389   0.113610   0.115888  0.118211     23.46    41.45 
CITIGROUP GLOBAL MARKETS 17330PJP5 08/02/22 08/02/27    100.000    VARIES     3.2860                                   0.091277   0.090493  0.089696     13.60    32.48 
CITIGROUP GLOBAL MARKETS 17330PJX8 08/03/22 08/03/27    100.000     0.000     4.3040                                   0.119556   0.122128  0.124757     17.69    44.27 
CITIGROUP GLOBAL MARKETS 17330FMB4 05/18/22 06/16/28    100.000     0.000     4.5780             0.127167   0.127619   0.130541   0.133529  0.136585     28.49    47.62 
CITIGROUP GLOBAL MARKETS 17330PJA8 08/03/22 08/01/25    100.000     0.000     4.1570                                   0.115472   0.117846  0.120295     17.09    42.72 
CITIGROUP GLOBAL MARKETS 17330FMD0 06/03/22 06/05/24    100.000     0.000     3.7250             0.103472   0.103494   0.105421   0.107385  0.109385     21.58    38.41 
CITIGROUP GLOBAL MARKETS 17330PJC4 06/27/22 06/25/27    100.000     0.000     4.9590                        0.137750   0.141128   0.144627  0.148213     25.37    51.48 
CITIGROUP GLOBAL MARKETS 17330FLQ2 05/19/22 05/20/27    100.000     0.000     4.3620                        0.121167   0.123824   0.126525  0.129284     27.01    45.29 
CITIGROUP GLOBAL MARKETS 17330FLR0 06/03/22 06/04/27    100.000     0.000     4.1570                        0.115472   0.117886   0.120336  0.122837     24.08    43.01 
CITIGROUP GLOBAL MARKETS 17330FM57 05/18/22 05/18/27    100.000     0.000     4.2550                        0.118194   0.120709   0.123277  0.125900     26.47    44.14 
CITIGROUP GLOBAL MARKETS 17330FM73 05/25/22 05/24/29    100.000     0.000     4.5780                        0.127167   0.130061   0.133038  0.136084     27.58    47.58 
CITIGROUP GLOBAL MARKETS 17330PJ34 07/29/22 07/29/27    100.000     0.000     4.5480                                   0.126333   0.129206  0.132144     19.20    46.88 
CITIGROUP GLOBAL MARKETS 17330PJ59 07/20/22 07/20/27    100.000     0.000     4.7050                                   0.130694   0.133769  0.136916     21.04    48.61 
CITIGROUP GLOBAL MARKETS 17330N310 08/03/22 08/03/29    100.000     0.000     4.3820                                   0.121722   0.124389  0.127115     18.01    45.10 
CITIGROUP GLOBAL MARKETS 17330PZB8 08/05/22 08/07/24    100.000     0.000     4.0780                        0.113278   0.113303   0.115614  0.117971     16.54    41.88 
CITIGROUP GLOBAL MARKETS 17330PZD4 08/05/22 08/07/25    100.000     0.000     4.1370                        0.114917   0.114943   0.117321  0.119747     16.78    42.50 
CITIGROUP GLOBAL MARKETS 17330FLJ8 05/24/22 11/24/23    100.000     0.000     3.7350                        0.103750   0.105688   0.107661               22.59    34.49 
CITIGROUP GLOBAL MARKETS 17330PZK8 08/03/22 08/03/27    100.000     0.000     4.3040                                   0.119556   0.122128  0.124757     17.69    44.27 
CITIGROUP GLOBAL MARKETS 17330F6D8 05/31/22 05/31/28    100.000     0.000     4.3620                        0.121167   0.123809   0.126510  0.129269     25.65    45.23 
CITIGROUP GLOBAL MARKETS 17330P3F4 06/28/22 06/27/24    100.000     0.000     4.4210                        0.122806   0.125505   0.128279  0.131115     22.48    45.70 
CITIGROUP GLOBAL MARKETS 17330FXN6 05/31/22 11/29/24    100.000     0.000     3.9710                        0.110306   0.112484   0.114717  0.116995     23.34    41.04 
CITIGROUP GLOBAL MARKETS 17330P3G2 06/23/22 06/23/25    100.000     0.000     4.6850                        0.130139   0.133187   0.136307  0.139500     24.49    48.56 
CITIGROUP GLOBAL MARKETS 17330P3N7 06/10/22 06/10/27    100.000     0.000     4.4700                        0.124167   0.126942   0.129779  0.132680     25.02    46.33 
CITIGROUP GLOBAL MARKETS 17330PDQ9 07/29/22 01/31/24    100.000     0.000     4.1470                                   0.115194   0.117596  0.120035     17.51    42.63 
CITIGROUP GLOBAL MARKETS 17330FXV8 06/01/22 05/30/25    100.000     0.000     4.0100                        0.111389   0.113610   0.115888  0.118211     23.46    41.45 
CITIGROUP GLOBAL MARKETS 17330FX89 06/03/22 12/05/23    100.000     0.000     3.4800             0.096667   0.096685   0.098368   0.100079               20.15    33.16 
CITIGROUP GLOBAL MARKETS 17330PTU3 06/23/22 06/23/27    100.000     0.000     4.9100                        0.136389   0.139737   0.143168  0.146683     25.67    50.98 
CITIGROUP GLOBAL MARKETS 17330PCT4 08/03/22 08/03/27    100.000     0.000     4.3040                                   0.119556   0.122128  0.124757     17.69    44.27 
CITIGROUP GLOBAL MARKETS 17330PTT6 07/29/22 07/29/27    100.000     0.000     4.5480                                   0.126333   0.129206  0.132144     19.20    46.88 
CITIGROUP GLOBAL MARKETS 17330F5Z0 06/01/22 06/01/27    100.000     0.000     4.1960                        0.116556   0.119001   0.121498  0.124047     24.55    43.44 
CITIGROUP GLOBAL MARKETS 17330FXB2 06/30/22 07/01/27    100.000     0.000     4.7830                                   0.136056   0.136056  0.142642     24.05    49.57 
CITIGROUP GLOBAL MARKETS 17330PDA4 06/30/22 06/30/27    100.000     0.000     4.8610                        0.135028   0.138310   0.141671  0.145115     24.44    50.40 
CITIGROUP GLOBAL MARKETS 17330FXE6 05/23/22 05/21/27    100.000     0.000     4.4700                        0.124167   0.126911   0.129747  0.132647     27.18    46.43 
CITIGROUP GLOBAL MARKETS 17330PCB3 06/30/22 06/30/27    100.000     0.000     4.8610                        0.135028   0.138310   0.141671  0.145115     24.44    50.40 
CITIGROUP GLOBAL MARKETS 17330PCE7 07/20/22 07/20/27    100.000    VARIES     3.1465                                   0.087402   0.086590  0.085766     14.07    31.06 
CITIGROUP GLOBAL MARKETS 17330FFH9 05/31/22 05/31/28    100.000     0.000     4.3620                        0.121167   0.123809   0.126510  0.129269     25.65    45.23 
CITIGROUP GLOBAL MARKETS 17330F5H0 05/31/22 05/28/27    100.000     0.000     4.2940                        0.119278   0.121810   0.124425  0.127097     25.25    44.50 
CITIGROUP GLOBAL MARKETS 17330FWM9 05/27/22 05/27/37    100.000    VARIES     2.8345                        0.078736   0.075915   0.073054  0.070153     16.75    26.62 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330FX48 05/25/22 05/23/24    100.000     0.000     4.0290                        0.111917   0.114146   0.116446  0.118791     24.26    41.68 
CITIGROUP GLOBAL MARKETS 17330PCN7 06/23/22 06/21/24    100.000     0.000     4.4500                        0.123611   0.126331   0.129142  0.132015     23.27    46.04 
CITIGROUP GLOBAL MARKETS 17330PSP5 07/06/22 07/03/25    100.000     0.000     4.6360                                   0.128778   0.131713  0.134766     22.54    47.95 
CITIGROUP GLOBAL MARKETS 17330PC31 06/24/22 06/25/26    100.000     0.000     4.7630                        0.132306   0.135474   0.138700  0.142003     24.76    49.39 
CITIGROUP GLOBAL MARKETS 17330FW72 05/19/22 05/20/27    100.000     0.000     4.3620                        0.121167   0.123824   0.126525  0.129284     27.01    45.29 
CITIGROUP GLOBAL MARKETS 17330PT66 06/27/22 06/26/25    100.000     0.000     4.7340                        0.131500   0.134595   0.137781  0.141042     24.21    49.06 
CITIGROUP GLOBAL MARKETS 17330PC49 07/01/22 07/01/27    100.000     0.000     4.8610                                   0.138310   0.138310  0.145115     24.30    50.40 
CITIGROUP GLOBAL MARKETS 17330PC56 06/23/22 06/23/26    100.000     0.000     4.7930                        0.133139   0.136330   0.139597  0.142942     25.06    49.72 
CITIGROUP GLOBAL MARKETS 17330FVX6 05/17/22 05/17/32    100.000    VARIES     2.7325                        0.075903   0.073714   0.071495  0.071713     16.91    26.05 
CITIGROUP GLOBAL MARKETS 17330PSV2 08/03/22 08/03/27    100.000     0.000     4.3040                                   0.119556   0.122128  0.124757     17.69    44.27 
CITIGROUP GLOBAL MARKETS 17330PBX6 06/17/22 06/17/42    100.000    VARIES     5.2400                        0.145556   0.139180   0.132638  0.125924     28.15    48.74 
CITIGROUP GLOBAL MARKETS 17330PC98 06/03/22 06/05/25    100.000     0.000     3.9610             0.110028   0.110052   0.112232   0.114454  0.116721     22.95    40.92 
CITIGROUP GLOBAL MARKETS 17330PC80 06/15/22 06/13/25    100.000     0.000     4.2450                        0.117917   0.120392   0.122947  0.125557     23.16    43.89 
CITIGROUP GLOBAL MARKETS 17330FWA5 05/24/22 05/22/25    100.000     0.000     4.3040                        0.119556   0.122100   0.124727  0.127412     26.04    44.64 
CITIGROUP GLOBAL MARKETS 17330P5H8 06/09/22 06/10/27    100.000     0.000     4.3530                        0.120917   0.123563   0.126252  0.129000     24.48    45.08 
CITIGROUP GLOBAL MARKETS 17330FZQ7 06/03/22 12/04/28    100.000     0.000     4.3040                        0.119556   0.122143   0.124771  0.127456     24.94    44.59 
CITIGROUP GLOBAL MARKETS 17330PWS4 08/08/22 08/08/24    100.000     0.000     4.2160                                   0.117111   0.119580  0.122101     16.75    43.32 
CITIGROUP GLOBAL MARKETS 17330PX61 08/05/22 08/07/28    100.000     0.000     4.2940                        0.119278   0.119306   0.121868  0.124484     17.42    44.16 
CITIGROUP GLOBAL MARKETS 17330PWT2 07/29/22 07/29/27    100.000     0.000     4.5480                                   0.126333   0.129206  0.132144     19.20    46.88 
CITIGROUP GLOBAL MARKETS 17330FZZ7 07/06/22 07/06/27    100.000     0.000     4.8320                                   0.134222   0.137465  0.140786     23.49    50.05 
CITIGROUP GLOBAL MARKETS 17330FZF1 06/03/22 06/05/25    100.000     0.000     3.9610             0.110028   0.110052   0.112232   0.114454  0.116721     22.95    40.92 
CITIGROUP GLOBAL MARKETS 17330FZE4 05/18/22 05/18/27    100.000     0.000     4.2550                        0.118194   0.120709   0.123277  0.125900     26.47    44.14 
CITIGROUP GLOBAL MARKETS 17330P5C9 06/10/22 06/12/24    100.000     0.000     3.9020             0.108389   0.108412   0.110528   0.112684  0.114882     21.83    40.26 
CITIGROUP GLOBAL MARKETS 17330PVG1 07/21/22 07/22/27    100.000     0.000     4.6950                                   0.130417   0.133495  0.136629     20.87    48.49 
CITIGROUP GLOBAL MARKETS 17330P4C0 06/17/22 06/12/24    100.000     0.000     4.0000                        0.111111   0.113272   0.115537  0.117848     21.60    41.27 
CITIGROUP GLOBAL MARKETS 17330FYN5 05/17/22 05/17/29    100.000     0.000     4.6170                        0.128250   0.131211   0.134240  0.137339     28.86    48.05 
CITIGROUP GLOBAL MARKETS 17330P4G1 06/21/22 10/18/24    100.000     0.000     9.9190                        0.275528   0.284410   0.298515  0.313320     53.00   107.04 
CITIGROUP GLOBAL MARKETS 17330PVM8 06/23/22 06/23/27    100.000     0.000     4.9100                        0.136389   0.139737   0.143168  0.146683     25.67    50.98 
CITIGROUP GLOBAL MARKETS 17330FYQ8 05/25/22 05/23/25    100.000     0.000     4.2450                        0.117917   0.120392   0.122947  0.125557     25.56    44.00 
CITIGROUP GLOBAL MARKETS 17330FZ87 06/01/22 06/01/27    100.000     0.000     4.1960                        0.116556   0.119001   0.121498  0.124047     24.55    43.44 
CITIGROUP GLOBAL MARKETS 17330PW62 08/10/22 08/10/27    100.000     0.000     4.3430                                   0.120639   0.123259  0.125935     17.01    44.65 
CITIGROUP GLOBAL MARKETS 17330P4Q9 06/21/22 06/21/27    100.000     0.000     5.0850                        0.141250   0.144841   0.148524  0.152300     26.87    52.88 
CITIGROUP GLOBAL MARKETS 17330PDS5 06/30/22 01/02/26    100.000     0.000     4.6170                        0.128250   0.128283   0.131244  0.134274     23.22    47.79 
CITIGROUP GLOBAL MARKETS 17330PE39 06/30/22 06/30/42    100.000    VARIES     5.1850                        0.144028   0.139120   0.134085  0.128920     26.06    49.17 
CITIGROUP GLOBAL MARKETS 17330FY96 06/01/22 05/29/26    100.000     0.000     4.0980                        0.113833   0.116140   0.118520  0.120948     23.98    42.39 
CITIGROUP GLOBAL MARKETS 17330P3Z0 06/10/22 06/12/24    100.000     0.000     3.9020             0.108389   0.108412   0.110528   0.112684  0.114882     21.83    40.26 
CITIGROUP GLOBAL MARKETS 17330RWM3 09/21/22 09/19/25    100.000     0.000     5.0560                                   0.140444   0.143955  0.147595     14.04    51.92 
CITIGROUP GLOBAL MARKETS 17330RFJ9 09/27/22 09/25/26    100.000     0.000     5.2020                                   0.144500   0.148217  0.152072     13.58    53.42 
CITIGROUP GLOBAL MARKETS 17330RWL5 09/28/22 03/26/26    100.000     0.000     5.3970                                   0.149917   0.153917  0.158071     13.94    55.46 
CITIGROUP GLOBAL MARKETS 17330R4T9 09/02/22 09/02/27    100.000     0.000     4.6460                                   0.129056   0.132054  0.135121     15.36    47.72 
CITIGROUP GLOBAL MARKETS 17330REL5 09/21/22 09/21/27    100.000     0.000     5.2020                                   0.144500   0.148258  0.152115     14.45    53.46 
CITIGROUP GLOBAL MARKETS 17330RDL6 09/28/22 03/26/26    100.000     0.000     5.3970                                   0.149917   0.153917  0.158071     13.94    55.46 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330RUU7 09/22/22 09/24/25    100.000     0.000     5.0560                        0.140444   0.140484   0.144035  0.147677     13.91    51.91 
CITIGROUP GLOBAL MARKETS 17330RUY9 09/28/22 03/27/25    100.000     0.000     5.3000                                   0.147222   0.151102  0.155106     13.69    54.44 
CITIGROUP GLOBAL MARKETS 17330RHM0 09/21/22 09/21/27    100.000     0.000     5.2020                                   0.144500   0.148258  0.152115     14.45    53.46 
CITIGROUP GLOBAL MARKETS 17330R6F7 09/02/22 09/03/26    100.000     0.000     4.5580                                   0.126611   0.129513  0.132464     15.07    46.79 
CITIGROUP GLOBAL MARKETS 17330RX42 09/22/22 12/22/23    100.000     0.000     4.8710                        0.135306   0.136953   0.140289               13.41    48.67 
CITIGROUP GLOBAL MARKETS 17330RAK1 09/02/22 09/03/26    100.000     0.000     4.5580                                   0.126611   0.129513  0.132464     15.07    46.79 
CITIGROUP GLOBAL MARKETS 17330RAQ8 09/28/22 03/29/27    100.000     0.000     5.5920                                   0.155333   0.159701  0.164166     14.45    57.52 
CITIGROUP GLOBAL MARKETS 17330RAT2 08/18/22 08/20/24    100.000     0.000     4.0980                        0.113833   0.113859   0.116192  0.118573     15.14    42.03 
CITIGROUP GLOBAL MARKETS 17330RCW3 08/17/22 08/17/27    100.000     0.000     4.4110                                   0.122528   0.125230  0.127992     16.42    45.33 
CITIGROUP GLOBAL MARKETS 17330PY37 09/02/22 09/02/27    100.000     0.000     5.6460                                   0.156833   0.161261  0.165813     18.66    58.33 
CITIGROUP GLOBAL MARKETS 17330RPT6 09/28/22 09/28/27    100.000     0.000     5.5330                                   0.153694   0.157946  0.162316     14.29    56.90 
CITIGROUP GLOBAL MARKETS 17330PZR3 09/01/22 09/02/27    100.000     0.000     4.5780                                   0.127167   0.130094  0.133072     15.26    47.01 
CITIGROUP GLOBAL MARKETS 17330RHW8 09/23/22 09/24/26    100.000     0.000     5.1730                                   0.143694   0.147432  0.151245     14.08    53.14 
CITIGROUP GLOBAL MARKETS 17330RLH6 09/02/22 03/31/25    100.000     0.000     5.4260                        0.150722   0.151358   0.155465  0.159682     17.99    55.99 
CITIGROUP GLOBAL MARKETS 17330RL29 09/23/22 09/23/27    100.000     0.000     5.2710                                   0.146417   0.150275  0.154236     14.35    54.17 
CITIGROUP GLOBAL MARKETS 17330R5M3 08/24/22 08/22/25    100.000     0.000     4.2650                                   0.118472   0.120971  0.123550     15.05    43.75 
CITIGROUP GLOBAL MARKETS 17330R4M4 08/24/22 08/24/26    100.000     0.000     4.3330                                   0.120361   0.122969  0.125633     15.29    44.47 
CITIGROUP GLOBAL MARKETS 17330REP6 08/24/22 08/24/27    100.000     0.000     4.4410                                   0.123361   0.126100  0.128900     15.67    45.61 
CITIGROUP GLOBAL MARKETS 17330RVK8 09/29/22 10/01/24    100.000     0.000     5.3680                        0.149111   0.149156   0.153159  0.157270     13.72    55.15 
CITIGROUP GLOBAL MARKETS 17330RUQ6 09/28/22 09/26/25    100.000     0.000     5.3680                                   0.149111   0.153069  0.157177     13.87    55.16 
CITIGROUP GLOBAL MARKETS 17330RDU6 09/21/22 09/22/42    100.000    VARIES     5.4913                                   0.152535   0.148165  0.143651     15.25    53.25 
CITIGROUP GLOBAL MARKETS 17330R3Z6 08/15/22 08/13/27    100.000     0.000     4.4900                                   0.124722   0.127491  0.130353     16.96    46.18 
CITIGROUP GLOBAL MARKETS 17330R6E0 08/24/22 08/22/25    100.000     0.000     4.2650                                   0.118472   0.120971  0.123550     15.05    43.75 
CITIGROUP GLOBAL MARKETS 17330RRW7 10/03/22 10/03/24    100.000     0.000     5.5140                                   0.153167   0.157389  0.161729     13.48    56.65 
CITIGROUP GLOBAL MARKETS 17330RA96 09/02/22 01/04/28    100.000     0.000     4.8120                                   0.133667   0.135846  0.139115     15.91    49.48 
CITIGROUP GLOBAL MARKETS 17330R2M6 08/15/22 08/13/27    100.000     0.000     4.4900                                   0.124722   0.127491  0.130353     16.96    46.18 
CITIGROUP GLOBAL MARKETS 17330RCU7 09/01/22 09/04/24    100.000     0.000     4.2840                        0.119000   0.119042   0.121592  0.124197     14.28    43.92 
CITIGROUP GLOBAL MARKETS 17330R2C8 10/03/22 10/01/27    100.000     0.000     5.9130                                   0.164250   0.169052  0.174050     14.45    60.88 
CITIGROUP GLOBAL MARKETS 17330PW21 08/24/22 08/24/26    100.000     0.000     4.3330                                   0.120361   0.122969  0.125633     15.29    44.47 
CITIGROUP GLOBAL MARKETS 17330RL60 09/27/22 03/27/24    100.000     0.000     5.0070                                   0.139083   0.142565  0.146134     13.07    51.36 
CITIGROUP GLOBAL MARKETS 17330RW92 09/19/22 03/19/24    100.000     0.000     4.7140                                   0.130944   0.134031  0.137190     13.36    48.33 
CITIGROUP GLOBAL MARKETS 17330R4F9 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330R3N3 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330RV51 10/05/22 10/03/25    100.000     0.000     5.5530                                   0.154250   0.158485  0.162886     13.27    57.05 
CITIGROUP GLOBAL MARKETS 17330RDS1 10/05/22 11/02/23    100.000     0.000     5.6790                        0.157750   0.158422   0.162920               13.61    48.49 
CITIGROUP GLOBAL MARKETS 17330RV93 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330R7A7 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330RGJ8 10/05/22 10/03/24    100.000     0.000     5.3870                                   0.149639   0.153625  0.157763     12.87    55.30 
CITIGROUP GLOBAL MARKETS 17330R6L4 10/05/22 04/03/25    100.000     0.000     5.4560                                   0.151556   0.155644  0.159890     13.03    56.03 
CITIGROUP GLOBAL MARKETS 17330RFQ3 10/05/22 10/03/25    100.000     0.000     5.5530                                   0.154250   0.158485  0.162886     13.27    57.05 
CITIGROUP GLOBAL MARKETS 17330RFR1 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330RS97 09/16/22 09/18/25    100.000     0.000     4.7540                        0.132056   0.132090   0.135230  0.138445     13.87    48.77 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330RAZ8 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330RA54 10/05/22 10/03/25    100.000     0.000     5.5530                                   0.154250   0.158485  0.162886     13.27    57.05 
CITIGROUP GLOBAL MARKETS 17330RDE2 09/13/22 09/11/26    100.000     0.000     4.7540                                   0.132056   0.135160  0.138372     14.26    48.79 
CITIGROUP GLOBAL MARKETS 17330RCV5 10/05/22 10/03/24    100.000     0.000     5.3870                                   0.149639   0.153625  0.157763     12.87    55.30 
CITIGROUP GLOBAL MARKETS 17330N773 09/06/22 09/06/28    100.000     0.000     4.7440                                   0.131778   0.134904  0.138103     15.15    48.73 
CITIGROUP GLOBAL MARKETS 17330R2B0 09/14/22 12/14/23    100.000     0.000     4.4600                        0.123889   0.125270   0.128064               13.28    43.47 
CITIGROUP GLOBAL MARKETS 17330RSK2 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330RBP9 10/05/22 04/03/25    100.000     0.000     5.4560                                   0.151556   0.155644  0.159890     13.03    56.03 
CITIGROUP GLOBAL MARKETS 17330RSW6 10/05/22 04/03/25    100.000     0.000     5.4560                                   0.151556   0.155644  0.159890     13.03    56.03 
CITIGROUP GLOBAL MARKETS 17330PMP1 09/06/22 09/03/27    100.000     0.000     4.6850                                   0.130139   0.133137  0.136255     14.97    48.11 
CITIGROUP GLOBAL MARKETS 17330PHY8 09/06/22 09/03/27    100.000     0.000     4.6850                                   0.130139   0.133137  0.136255     14.97    48.11 
CITIGROUP GLOBAL MARKETS 17330PXM6 09/06/22 03/05/25    100.000     0.000     4.4700                                   0.124167   0.126926  0.129763     14.28    45.85 
CITIGROUP GLOBAL MARKETS 17330RMD4 10/05/22 10/03/25    100.000     0.000     5.5530                                   0.154250   0.158485  0.162886     13.27    57.05 
CITIGROUP GLOBAL MARKETS 17330PXD6 09/06/22 09/05/25    100.000     0.000     4.5680                                   0.126889   0.129771  0.132735     14.59    46.88 
CITIGROUP GLOBAL MARKETS 17330RQ99 10/05/22 10/03/25    100.000     0.000     5.5530                                   0.154250   0.158485  0.162886     13.27    57.05 
CITIGROUP GLOBAL MARKETS 17330RQA6 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330PUM9 09/06/22 09/06/24    100.000     0.000     4.4020                                   0.122278   0.124969  0.127720     14.06    45.13 
CITIGROUP GLOBAL MARKETS 17330PCQ0 09/06/22 09/03/27    100.000     0.000     4.6850                                   0.130139   0.133137  0.136255     14.97    48.11 
CITIGROUP GLOBAL MARKETS 17330PD63 09/06/22 03/05/25    100.000     0.000     4.4700                                   0.124167   0.126926  0.129763     14.28    45.85 
CITIGROUP GLOBAL MARKETS 17330RJF3 09/15/22 12/15/23    100.000     0.000     4.5190                        0.125528   0.126946   0.129814               13.33    44.19 
CITIGROUP GLOBAL MARKETS 17330RJ55 10/07/22 10/09/24    100.000     0.000     5.2900                        0.146944   0.146988   0.150875  0.154866     12.35    54.26 
CITIGROUP GLOBAL MARKETS 17330RLK9 10/05/22 10/05/27    100.000     0.000     5.7180                                   0.158833   0.163374  0.168045     13.66    58.79 
CITIGROUP GLOBAL MARKETS 17330PPS2 06/22/22 06/22/27    100.000     0.000     5.0170                        0.139361   0.142857   0.146441  0.150114     26.37    52.14 
CITIGROUP GLOBAL MARKETS 17330PPY9 06/23/22 06/23/25    100.000     0.000     4.6850                        0.130139   0.133187   0.136307  0.139500     24.49    48.56 
CITIGROUP GLOBAL MARKETS 17330FSB8 06/30/22 07/02/25    100.000     0.000     4.5970                        0.127694   0.127727   0.130663  0.133666     23.12    47.57 
CITIGROUP GLOBAL MARKETS 17330AXE7 05/04/22 05/04/27    100.000     0.000     4.3130                        0.119806   0.122389   0.125028  0.127725     28.54    44.84 
CITIGROUP GLOBAL MARKETS 17330FUP4 06/30/22 06/30/28    100.000     0.000     4.8410                        0.134472   0.137727   0.141061  0.144475     24.34    50.19 
CITIGROUP GLOBAL MARKETS 17330PKU2 06/29/22 06/29/27    100.000     0.000     4.7630                        0.132306   0.135456   0.138682  0.141985     24.09    49.36 
CITIGROUP GLOBAL MARKETS 17330PKB4 06/30/22 06/30/27    100.000     0.000     4.7830                        0.132861   0.136038   0.139292  0.142623     24.05    49.57 
CITIGROUP GLOBAL MARKETS 17330P7J2 07/06/22 07/05/24    100.000     0.000     4.4310                                   0.123083   0.125795  0.128582     21.54    45.77 
CITIGROUP GLOBAL MARKETS 17330P7E3 06/30/22 01/02/25    100.000     0.000     4.4800                        0.124444   0.124475   0.127264  0.130114     22.53    46.32 
CITIGROUP GLOBAL MARKETS 17330PK32 07/06/22 07/06/27    100.000     0.000     4.8320                                   0.134222   0.137465  0.140786     23.49    50.05 
CITIGROUP GLOBAL MARKETS 17330PJW0 07/15/22 01/16/25    100.000     0.000     4.4110                                   0.122528   0.125245  0.128007     20.34    45.50 
CITIGROUP GLOBAL MARKETS 17330FMN8 06/30/22 07/02/29    100.000     0.000     4.8900                        0.135833   0.135870   0.139192  0.142596     24.59    50.72 
CITIGROUP GLOBAL MARKETS 17330PJ42 06/29/22 06/29/27    100.000     0.000     4.7630                        0.132306   0.135456   0.138682  0.141985     24.09    49.36 
CITIGROUP GLOBAL MARKETS 17330PDG1 06/28/22 06/27/24    100.000     0.000     4.4210                        0.122806   0.125505   0.128279  0.131115     22.48    45.70 
CITIGROUP GLOBAL MARKETS 17330PU49 07/15/22 01/18/24    100.000     0.000     4.2160                        0.117111   0.117152   0.119622  0.122143     19.45    43.43 
CITIGROUP GLOBAL MARKETS 17330PD22 06/30/22 07/02/25    100.000     0.000     4.5970                        0.127694   0.127727   0.130663  0.133666     23.12    47.57 
CITIGROUP GLOBAL MARKETS 17330AYK2 05/04/22 05/04/27    100.000     0.000     4.3130                        0.119806   0.122389   0.125028  0.127725     28.54    44.84 
CITIGROUP GLOBAL MARKETS 17330FWP2 06/30/22 07/01/27    100.000     0.000     4.7830                                   0.136056   0.136056  0.142642     24.05    49.57 
CITIGROUP GLOBAL MARKETS 17330PTQ2 06/23/22 06/23/26    100.000     0.000     4.7930                        0.133139   0.136330   0.139597  0.142942     25.06    49.72 
CITIGROUP GLOBAL MARKETS 17330FZS3 06/30/22 01/02/25    100.000     0.000     4.4800                        0.124444   0.124475   0.127264  0.130114     22.53    46.32 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330P5M7 06/30/22 06/30/25    100.000     0.000     4.5970                        0.127694   0.130630   0.133632  0.136704     23.12    47.57 
CITIGROUP GLOBAL MARKETS 17330FZ61 06/30/22 07/02/29    100.000     0.000     4.8900                        0.135833   0.135870   0.139192  0.142596     24.59    50.72 
CITIGROUP GLOBAL MARKETS 17330P4N6 06/30/22 07/02/26    100.000     0.000     4.6750                        0.129861   0.129895   0.132931  0.136038     23.51    48.41 
CITIGROUP GLOBAL MARKETS 17330FHR5 05/03/22 11/03/28    100.000     0.000     4.4800                        0.124444   0.127232   0.130082  0.132996     29.78    46.65 
CITIGROUP GLOBAL MARKETS 17330PVP1 07/08/22 01/10/24    100.000     0.000     4.1180                        0.114389   0.114415   0.116771  0.119175     19.79    42.43 
CITIGROUP GLOBAL MARKETS 17330PF46 06/23/22 06/21/24    100.000     0.000     4.4500                        0.123611   0.126331   0.129142  0.132015     23.27    46.04 
CITIGROUP GLOBAL MARKETS 17330PV89 07/12/22 07/10/25    100.000     0.000     4.3820                                   0.121722   0.124360  0.127084     20.57    45.21 
CITIGROUP GLOBAL MARKETS 17330PVC0 06/29/22 06/27/25    100.000     0.000     4.5780                        0.127167   0.130045   0.133022  0.136067     23.16    47.38 
CITIGROUP GLOBAL MARKETS 17330AZX3 05/04/22 05/04/27    100.000     0.000     4.3130                        0.119806   0.122389   0.125028  0.127725     28.54    44.84 
CITIGROUP GLOBAL MARKETS 17290AFJ4 09/22/22 09/22/37     42.925     0.000     5.7120                                   0.068108   0.070054  0.072054      6.74    25.26 
CLEVELAND-CLIFFS INC     185899AE1 03/16/20 03/15/27     81.330     7.000    10.8801     35.59   0.060184   0.063458   0.066910   0.070550  0.074388     22.97    25.54 
CLEVELAND-CLIFFS INC     U1852LAD9 03/16/20 03/15/27     81.330     7.000    10.8801     35.59   0.060184   0.063458   0.066910   0.070550  0.074388     22.97    25.54 
CLINT TEX INDPT SCH DIST 187270F99 09/29/20 02/15/22     99.269     0.000     0.5332      6.66   0.014771                                                 0.65          
CLINT TEX INDPT SCH DIST 187270G23 09/29/20 02/15/23     98.431     0.000     0.6662      8.26   0.018321   0.018382   0.018443                           6.62     0.81 
CLINT TEX INDPT SCH DIST 187270G31 09/29/20 02/15/24     97.067     0.000     0.8832     10.80   0.023999   0.024105   0.024211   0.024318  0.024426      8.69     8.76 
CLINT TEX INDPT SCH DIST 187270G64 09/29/20 02/15/27     91.776     0.000     1.3501     15.64   0.034827   0.035062   0.035299   0.035537  0.035777     12.64    12.82 
CLINT TEX INDPT SCH DIST 187270G72 09/29/20 02/15/28     88.641     0.000     1.6409     18.39   0.040988   0.041324   0.041663   0.042005  0.042349     14.91    15.15 
CLINT TEX INDPT SCH DIST 187270G49 09/29/20 02/15/25     95.506     0.000     1.0530     12.68   0.028195   0.028344   0.028493   0.028643  0.028794     10.22    10.33 
CLINT TEX INDPT SCH DIST 187270G56 09/29/20 02/15/26     93.518     0.000     1.2500     14.75   0.032829   0.033034   0.033240   0.033448  0.033657     11.91    12.06 
CLINT TEX INDPT SCH DIST 187270G80 09/29/20 02/15/29     86.482     0.000     1.7410     19.04   0.042466   0.042835   0.043208   0.043584  0.043964     15.46    15.73 
CLINT TEX INDPT SCH DIST 187270G98 09/29/20 02/15/30     84.210     0.000     1.8409     19.61   0.043761   0.044164   0.044570   0.044981  0.045395     15.94    16.23 
CLINT TEX INDPT SCH DIST 187270H48 09/29/20 02/15/33     76.828     0.000     2.1408     20.83   0.046550   0.047049   0.047552   0.048061  0.048576     16.98    17.35 
CLINT TEX INDPT SCH DIST 187270H55 09/29/20 02/15/34     74.122     0.000     2.2509     21.14   0.047264   0.047796   0.048334   0.048878  0.049428     17.26    17.65 
CLINT TEX INDPT SCH DIST 187270H22 09/29/20 02/15/31     81.919     0.000     1.9309     20.02   0.044686   0.045117   0.045553   0.045993  0.046437     16.28    16.60 
CLINT TEX INDPT SCH DIST 187270H30 09/29/20 02/15/32     79.370     0.000     2.0409     20.51   0.045805   0.046272   0.046745   0.047222  0.047704     16.70    17.04 
CLINTON CNTY ILL SCH DIS 18739CAM5 08/24/21 12/01/22    100.631     1.000     0.4988      1.77   0.013961   0.013995                                      4.61          
CLINTON CNTY ILL SCH DIS 18739CAN3 08/24/21 12/01/23    100.674     1.000     0.6986      2.48   0.019572   0.019640   0.019463   0.019434                7.05     6.42 
CLINTON CNTY ILL SCH DIS 18739CAP8 08/24/21 12/01/24    100.000     1.000     0.9984      3.52   0.027808   0.027947   0.027734   0.027734  0.027734     10.03     9.98 
CLINTON CNTY ILL SCH DIS 18739CAQ6 08/24/21 12/01/25    100.000     1.150     1.1484      4.05   0.031998   0.032182   0.031901   0.031900  0.031900     11.55    11.48 
CLINTON CNTY ILL SCH DIS 18739CAR4 08/24/21 12/01/26    100.000     1.300     1.2983      4.58   0.036190   0.036425   0.036066   0.036066  0.036066     13.07    12.98 
CLINTON CNTY ILL SCH DIS 18739CAS2 08/24/21 12/01/27    100.000     1.500     1.4981      5.29   0.041781   0.042094   0.041617   0.041617  0.041616     15.09    14.98 
COLUMBIA CNTY GA DEV AUT 197468AF8 01/20/22 12/15/23     96.000     6.500     8.8278             0.054851   0.056801   0.059309   0.061926               19.13    20.87 
COLUMBUS-FRANKLIN CNTY   19909PAK2 03/18/21 06/15/25     93.000     8.750    10.8515     10.77   0.040327   0.042515   0.044821   0.047253  0.049817     14.98    16.65 
COLUMBUS-FRANKLIN CNTY   19909PAG1 03/11/21 06/15/27     93.000     8.750    10.2938      6.77   0.024690   0.025961   0.027297   0.028702  0.030179      9.16    10.13 
COOK CNTY ILL SCH DIST   214183KP9 06/15/10 06/01/30     25.818     0.000     6.8998    306.86   0.107677   0.111392   0.115235   0.119210  0.123323     39.66    42.44 
COOK CNTY ILL SCH DIST   214183KR5 06/15/10 12/01/26     33.796     0.000     6.6998    385.34   0.133862   0.138346   0.142981   0.147771  0.152721     49.27    52.63 
COOK CNTY ILL SCH DIST   214183KS3 06/15/10 12/01/27     31.375     0.000     6.7498    361.49   0.125896   0.130144   0.134537   0.139077  0.143771     46.35    49.53 
COOK CNTY ILL SCH DIST   214183KT1 06/15/10 12/01/28     29.098     0.000     6.7998    338.77   0.118281   0.122302   0.126460   0.130760  0.135206     43.55    46.56 
COOK CNTY ILL SCH DIST   214183KU8 06/15/10 12/01/29     26.961     0.000     6.8498    317.16   0.111013   0.114816   0.118748   0.122815  0.127021     40.88    43.73 
COPPELL TEX INDPT SCH DI 217490CN9 10/22/20 08/15/24     97.081     0.000     0.7782      9.03   0.021119   0.021201   0.021284   0.021367  0.021450      7.64     7.70 
COPPELL TEX INDPT SCH DI 217490CM1 10/22/20 08/15/23     98.331     0.000     0.5990      7.04   0.016441   0.016490   0.016539   0.016589                5.94     3.71 
COPPELL TEX INDPT SCH DI 217490CL3 10/22/20 08/15/22     99.128     0.000     0.4834      5.72   0.013363   0.013395                                      3.00          






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

COPPELL TEX INDPT SCH DI 217490CP4 10/22/20 08/15/25     95.732     0.000     0.9081     10.40   0.024327   0.024437   0.024548   0.024660  0.024772      8.81     8.89 
COPPELL TEX INDPT SCH DI 217490EF4 04/22/21 08/15/25     95.194     0.000     1.1449      7.55   0.030383   0.030557   0.030732   0.030908  0.031085     11.02    11.14 
COPPELL TEX INDPT SCH DI 217490EG2 04/22/21 08/15/26     93.222     0.000     1.3251      8.56   0.034456   0.034684   0.034914   0.035145  0.035378     12.51    12.67 
COPPELL TEX INDPT SCH DI 217490EE7 04/22/21 08/15/24     97.594     0.000     0.7362      4.98   0.020005   0.020078   0.020152   0.020226  0.020301      7.23     7.29 
CORONADO FINANCE PTY LTD Q2874LAA2 05/12/21 05/15/26     98.122    10.750    11.2507      1.86   0.008499   0.008977   0.009482   0.010015  0.010579      3.19     3.56 
CORONADO FINANCE PTY LTD 21979LAA4 05/12/21 05/15/26     98.122    10.750    11.2507      1.86   0.008499   0.008977   0.009482   0.010015  0.010579      3.19     3.56 
CORSICANA TEX INDPT SCH  220435SA0 07/21/20 02/15/25     93.644     0.000     1.4431     19.66   0.038120   0.038395   0.038672   0.038951  0.039232     13.85    14.05 
CORSICANA TEX INDPT SCH  220435SB8 07/21/20 02/15/26     91.047     0.000     1.6920     22.44   0.043568   0.043936   0.044308   0.044683  0.045061     15.85    16.12 
CORSICANA TEX INDPT SCH  220435RY9 07/21/20 02/15/23     97.171     0.000     1.1212     15.82   0.030625   0.030797   0.030970                          11.10     1.36 
CORSICANA TEX INDPT SCH  220435RX1 07/21/20 02/15/22     98.603     0.000     0.8999     12.87   0.024886                                                 1.09          
CORSICANA TEX INDPT SCH  220435RZ6 07/21/20 02/15/24     95.338     0.000     1.3430     18.62   0.036077   0.036319   0.036563   0.036809  0.037056     13.10    13.27 
CREDIT AGRICOLE CORP INV 22533AHN0 11/30/22 11/30/24    100.000     0.000     4.0600                                   0.112778   0.115067  0.117403      3.50    41.16 
CREDIT AGRICOLE CORPORAT 22533AES2 10/20/21 10/20/31    100.000    VARIES     1.8471      3.64   0.051309   0.050756   0.050199   0.050256  0.050313     18.29    18.09 
CREDIT AGRICOLE CORPORAT 22533ADU8 05/26/21 05/26/36    100.000    VARIES     2.1485     12.83   0.059679   0.059679   0.059679   0.059679  0.059679     21.48    21.48 
CREDIT AGRICOLE CORPORAT 22533AE29 06/11/21 06/11/36    100.000    VARIES     2.0640     11.47   0.057332   0.057332   0.057332   0.057332  0.057332     20.64    20.64 
CREDIT SUISSE AG LONDON  22551N4J2 11/29/19 11/29/23    100.000     0.000     2.1299     45.26   0.061725   0.062382   0.063046   0.063718               22.38    20.80 
CREDIT SUISSE AG LONDON  22551N4R4 11/07/19 11/07/29    100.000     0.000     2.4600     53.99   0.071757   0.072640   0.073533   0.074438  0.075354     26.09    26.73 
CREDIT SUISSE AG LONDON  22553PPZ6 03/30/22 03/30/26    100.000     0.000     3.4399                        0.095553   0.097196   0.098868  0.100568     26.04    35.60 
CREDIT SUISSE AG LONDON  22551NWN2 04/07/20 04/07/25    100.000     0.000     2.4500     43.13   0.070588   0.071453   0.072328   0.073214  0.074111     25.71    26.35 
CREDIT SUISSE AG LONDON  22552FZM7 10/31/19 08/02/23    100.000     0.000     2.1196     46.83   0.061100   0.061748   0.062402   0.063063               22.31    13.29 
CREDIT SUISSE AG LONDON  22553PR43 04/07/22 04/09/25    100.000     0.000     3.4699             0.096385   0.096403   0.098076   0.099777  0.101508     25.59    35.89 
CREDIT SUISSE AG LONDON  22553PR76 04/07/22 04/09/25    100.000     0.000     3.4699             0.096385   0.096403   0.098076   0.099777  0.101508     25.59    35.89 
CREDIT SUISSE AG LONDON  22552XNX7 07/01/21 07/03/28    100.000     0.000     1.8775      9.39   0.052157   0.052647   0.053141   0.053640  0.054144     19.04    19.40 
CREDIT SUISSE AG LONDON  22551N6J0 11/29/19 08/30/23    100.000     0.000     2.0196     42.89   0.058111   0.058692   0.059291   0.059883               21.17    14.28 
CREDIT SUISSE AG LONDON  22551NH41 01/31/20 11/02/23    100.000     0.000     1.7996     35.01   0.051588   0.052052   0.052520   0.052993               18.71    15.89 
CREDIT SUISSE AG LONDON  22551NY67 04/21/20 04/21/25    100.000     0.000     2.6886     46.31   0.077736   0.078781   0.079840   0.080913  0.082001     28.32    29.09 
CREDIT SUISSE AG LONDON  22551NH58 01/31/20 05/02/24    100.000     0.000     1.8197     35.40   0.052182   0.052657   0.053136   0.053619  0.054107     18.93    19.27 
CREDIT SUISSE AG LONDON  22551NXV3 04/24/20 10/22/25    100.000     0.000     1.8700     31.89   0.053409   0.053908   0.054412   0.054921  0.055435     19.39    19.75 
CREDIT SUISSE AG LONDON  22553PRR2 05/04/22 05/02/25    100.000     0.000     4.0400                        0.112222   0.114464   0.116776  0.119135     26.73    41.90 
CREDIT SUISSE AG LONDON  22553PRP6 04/28/22 04/29/27    100.000     0.000     3.9900                        0.110845   0.113056   0.115311  0.117612     27.07    41.39 
CREDIT SUISSE AG LONDON  22551NHA7 01/31/20 07/31/25    100.000     0.000     2.0500     39.93   0.058714   0.059315   0.059923   0.060538  0.061158     21.43    21.87 
CREDIT SUISSE AG LONDON  22551NHB5 01/31/20 01/31/24    100.000     0.000     1.7401     33.82   0.049608   0.050040   0.050475   0.050914  0.051357     18.07    18.38 
CREDIT SUISSE AG LONDON  22552WLX1 09/24/20 09/24/27    100.000     0.000     1.2420     15.85   0.034931   0.035147   0.035366   0.035585  0.035806     12.66    12.81 
CREDIT SUISSE AG LONDON  22550V521 03/31/20 03/31/25    100.000     0.000     3.1499     56.34   0.091697   0.093141   0.094608   0.096098  0.097612     33.54    34.60 
CREDIT SUISSE AG LONDON  22551NAX4 12/02/19 12/01/26    100.000     0.000     2.2800     48.31   0.066267   0.067023   0.067787   0.068559  0.069341     24.04    24.59 
CREDIT SUISSE AG LONDON  22551NCE4 12/30/19 06/27/25    100.000     0.000     2.3800     48.53   0.069301   0.070126   0.070960   0.071805  0.072659     25.10    25.70 
CREDIT SUISSE AG LONDON  22551NCF1 12/30/19 12/28/23    100.000     0.000     2.0500     41.69   0.059308   0.059916   0.060530   0.061151               21.46    21.72 
CREDIT SUISSE AG LONDON  22552FY97 10/25/19 04/28/25    100.000     0.000     2.1699     48.26   0.062946   0.063629   0.064320   0.065017  0.065723     22.87    23.37 
CREDIT SUISSE AG LONDON  22552FYA4 10/25/19 10/25/23    100.000     0.000     2.0101     44.65   0.058115   0.058699   0.059289   0.059885               21.10    17.54 
CREDIT SUISSE AG LONDON  22551N4H6 11/29/19 05/29/25    100.000     0.000     2.2500     47.86   0.065360   0.066095   0.066839   0.067590  0.068351     23.71    24.25 
CREDIT SUISSE AG LONDON  22552J336 03/21/22 04/04/29    100.000     0.000     3.5998             0.099995   0.100125   0.101928   0.103762  0.105630     28.19    37.35 
CREDIT SUISSE AG LONDON  22551NNC6 02/28/20 08/29/24    100.000     0.000     1.7501     32.62   0.049903   0.050338   0.050780   0.051222  0.051673     18.15    18.47 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CREDIT SUISSE AG LONDON  22549JY95 08/14/19 03/25/24    100.000     0.125     2.2368     54.34   0.064957   0.065645   0.066340   0.067043  0.067754     23.64    24.14 
CREDIT SUISSE AG LONDON  22552W3S2 05/27/20 11/26/25    100.000     0.000     1.5600     25.09   0.044354   0.044700   0.045049   0.045400  0.045754     16.05    16.31 
CREDIT SUISSE AG LONDON  22553PU56 05/06/22 11/02/23    100.000     0.000     3.4142                        0.094839   0.096422   0.098068               22.38    29.32 
CREDIT SUISSE AG LONDON  22552WQP3 11/09/20 05/04/22    100.000     0.000     0.3299      3.78   0.009192                                                 1.13          
CREDIT SUISSE AG LONDON  22552XDE0 03/02/21 03/02/28    100.000     0.000     1.6030     13.36   0.044886   0.045245   0.045608   0.045974  0.046342     16.31    16.57 
CREDIT SUISSE AG LONDON  22551NMV5 02/28/20 03/02/26    100.000     0.000     1.7500     32.62   0.049908   0.050345   0.050786   0.051230  0.051678     18.15    18.47 
CREDIT SUISSE AG LONDON  22551NMX1 02/28/20 02/28/24    100.000     0.000     1.5699     29.23   0.044644   0.044995   0.045348   0.045704  0.046063     16.22    16.48 
CREDIT SUISSE AG LONDON  22553PYE3 05/26/22 05/27/25    100.000     0.000     4.0300                        0.111944   0.114213   0.116514  0.118862     24.15    41.69 
CREDIT SUISSE AG LONDON  22553QNV5 12/05/22 06/04/24    100.000     0.000     8.2700                                   0.229722   0.239168  0.249058      5.97    84.92 
CREDIT SUISSE AG LONDON  22553PV89 05/18/22 05/18/27    100.000     0.000     4.3100                        0.119722   0.122302   0.124938  0.127630     26.81    44.73 
CREDIT SUISSE AG LONDON  22553PW54 05/11/22 11/09/23    100.000     0.000     3.4200                        0.095000   0.096606   0.098258               21.93    30.05 
CREDIT SUISSE AG LONDON  22553PXL8 05/18/22 11/16/23    100.000     0.000     3.3700                        0.093611   0.095171   0.096775               20.95    30.27 
CREDIT SUISSE AG LONDON  22553PXR5 05/18/22 05/17/29    100.000     0.000     4.4700                        0.124167   0.126926   0.129763  0.132663     27.81    46.46 
CREDIT SUISSE AG NASSAU  22549K2A4 06/23/17 06/24/24    100.000     0.500     1.9627     91.43   0.058262   0.058698   0.059138   0.059582  0.060028     21.06    21.37 
CREDIT SUISSE AG LONDON  22553Q2R7 06/03/22 06/03/26    100.000     0.000     4.1000                        0.113889   0.116224   0.118606  0.121038     23.75    42.40 
CREDIT SUISSE AG LONDON  22553Q3X3 06/30/22 07/01/27    100.000     0.000     4.9800                                   0.141797   0.141797  0.148946     25.04    51.68 
CREDIT SUISSE AG LONDON  22553Q5J2 06/15/22 06/13/25    100.000     0.000     4.4100                        0.122500   0.125171   0.127931  0.130752     24.06    45.66 
CREDIT SUISSE AG LONDON  22553PZM4 06/13/22 06/13/24    100.000     0.000     3.8900                        0.108056   0.110157   0.112300  0.114484     21.43    40.12 
CREDIT SUISSE AG LONDON  22552J856 06/29/22 06/29/27    100.000     0.000     4.7600                        0.132222   0.135369   0.138591  0.141889     24.07    49.33 
CREDIT SUISSE AG LONDON  22553PVE6 05/31/22 05/28/27    100.000     0.000     4.2800                        0.118889   0.121405   0.124003  0.126657     25.17    44.35 
CREDIT SUISSE AG LONDON  22553PVF3 06/03/22 06/04/25    100.000     0.000     3.7100                        0.103056   0.104978   0.106925  0.108909     21.49    38.25 
CREDIT SUISSE AG LONDON  22553QBX4 08/03/22 08/01/25    100.000     0.000     4.1800                                   0.116111   0.118511  0.120988     17.18    42.96 
CREDIT SUISSE AG LONDON  22553QCG0 08/04/22 08/05/27    100.000     0.000     4.9500                                   0.137500   0.140922  0.144410     20.21    51.12 
CREDIT SUISSE AG LONDON  22553QDE4 08/03/22 08/01/25    100.000     0.000     4.6000                                   0.127778   0.130684  0.133690     18.91    47.41 
CREDIT SUISSE AG LONDON  22553QDQ7 08/04/22 02/04/26    100.000     0.000     4.3500                                   0.120833   0.123461  0.126147     17.76    44.75 
CREDIT SUISSE AG LONDON  22553QEE3 08/03/22 08/01/25    100.000     0.000     4.6000                                   0.127778   0.130684  0.133690     18.91    47.41 
CREDIT SUISSE AG LONDON  22553QEQ6 08/03/22 08/03/27    100.000     0.000     4.7200                                   0.131111   0.134205  0.137373     19.40    48.68 
CREDIT SUISSE AG LONDON  22553QAL1 08/02/22 08/02/27    100.000     0.000     4.4300                                   0.123056   0.125781  0.128567     18.34    45.61 
CREDIT SUISSE AG LONDON  22553QAW7 07/06/22 07/06/26    100.000     0.000     4.4800                                   0.124444   0.127232  0.130082     21.78    46.29 
CREDIT SUISSE AG LONDON  22553QFL6 08/17/22 02/18/25    100.000     0.000     4.3800                                   0.121667   0.124346  0.127069     16.30    45.00 
CREDIT SUISSE AG LONDON  22553QGH4 08/18/22 08/20/26    100.000     0.000     4.3700                        0.121389   0.121418   0.124071  0.126782     16.15    44.89 
CREDIT SUISSE AG LONDON  22553QGG6 08/18/22 08/20/25    100.000     0.000     4.3800                        0.121667   0.121696   0.124361  0.127085     16.19    45.00 
CREDIT SUISSE AG LONDON  22553QGJ0 08/18/22 08/19/27    100.000     0.000     4.3800                                   0.121667   0.124346  0.127069     16.18    45.00 
CREDIT SUISSE AG LONDON  22553QGR2 08/31/22 08/29/25    100.000     0.000     5.1800                                   0.143889   0.147574  0.151418     17.41    53.39 
CREDIT SUISSE AG LONDON  22553QNT0 11/28/22 05/28/26    100.000     0.000     7.2500                                   0.201389   0.208689  0.216254      6.65    74.30 
CREDIT SUISSE AG LONDON  22553QEW3 09/02/22 06/02/27    100.000     0.000     4.9800                        0.138333   0.140056   0.143543  0.147117     16.51    51.25 
CREDIT SUISSE AG LONDON  22553QFJ1 08/31/22 08/29/25    100.000     0.000     5.1800                                   0.143889   0.147574  0.151418     17.41    53.39 
CREDIT SUISSE AG LONDON  22553QG84 09/07/22 10/06/27    100.000     0.000     5.2700                        0.146389   0.147010   0.150884  0.154860     16.74    54.29 
CREDIT SUISSE AG LONDON  22553QFU6 08/31/22 08/31/27    100.000     0.000     5.3000                                   0.147222   0.151080  0.155128     17.81    54.66 
CREDIT SUISSE AG LONDON  22553QGCS 08/12/22 08/14/24    100.000     0.000     4.5500                        0.126389   0.126421   0.129297  0.132238     17.57    46.83 
CREDIT SUISSE AG LONDON  22553QGM3 08/19/22 08/20/26    100.000     0.000     4.6300                                   0.128611   0.131605  0.134652     16.98    47.63 
CREDIT SUISSE AG LONDON  22553QGL5 08/19/22 08/21/25    100.000     0.000     4.6000                        0.127778   0.127810   0.130750  0.133757     16.87    47.31 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CREDIT SUISSE AG LONDON  22553QH26 08/19/22 08/17/27    100.000     0.000     4.5200                                   0.125556   0.128362  0.131263     16.57    46.47 
CREDIT SUISSE AG LONDON  22553QHK6 09/06/22 09/05/24    100.000     0.000     4.9600                                   0.137778   0.141176  0.144677     15.84    51.01 
CREDIT SUISSE AG LONDON  22553QHJ9 08/23/22 08/23/27    100.000     0.000     4.7700                                   0.132500   0.135660  0.138896     16.96    49.09 
CREDIT SUISSE AG LONDON  22553QKQ9 10/06/22 10/08/26    100.000     0.000     6.7400                        0.187222   0.187292   0.193604  0.200129     15.92    69.63 
CROSBY TEX INDPT SCH DIS 227381VA5 12/17/20 02/15/29     85.602     0.000     1.9139     17.12   0.046086   0.046527   0.046972   0.047422  0.047876     16.79    17.11 
CROSBY TEX INDPT SCH DIS 227381VB3 12/17/20 02/15/30     83.152     0.000     2.0240     17.60   0.047377   0.047856   0.048341   0.048830  0.049324     17.27    17.62 
CROSBY TEX INDPT SCH DIS 227381UV0 12/17/20 02/15/24     96.792     0.000     1.0340     10.43   0.027992   0.028137   0.028282   0.028429  0.028576     10.14    10.25 
CROSBY TEX INDPT SCH DIS 227381UW8 12/17/20 02/15/25     95.206     0.000     1.1840     11.76   0.031558   0.031745   0.031933   0.032122  0.032312     11.45    11.58 
CROSBY TEX INDPT SCH DIS 227381UX6 12/17/20 02/15/26     92.947     0.000     1.4221     13.79   0.037062   0.037325   0.037591   0.037858  0.038127     13.46    13.65 
CROSBY TEX INDPT SCH DIS 227381UY4 12/17/20 02/15/27     90.747     0.000     1.5820     14.99   0.040297   0.040616   0.040937   0.041261  0.041588     14.65    14.88 
CROSBY TEX INDPT SCH DIS 227381UZ1 12/17/20 02/15/28     87.931     0.000     1.8040     16.57   0.044590   0.044993   0.045399   0.045808  0.046221     16.23    16.53 
CROWLEY TEX INDPT SCH DI 228130GU8 12/19/19 08/01/22     95.105     0.000     1.9269     37.83   0.052510   0.053015                                     11.12          
CROWLEY TEX INDPT SCH DI 228130HM5 10/22/20 08/01/23     98.408     0.000     0.5791      6.81   0.015901   0.015947   0.015994   0.016040                5.75     3.37 
CROWLEY TEX INDPT SCH DI 228130HL7 10/22/20 08/01/22     99.129     0.000     0.4934      5.84   0.013639   0.013672                                      2.87          
CROWLEY TEX INDPT SCH DI 228130HN3 10/22/20 08/01/24     97.246     0.000     0.7411      8.61   0.020134   0.020209   0.020284   0.020359  0.020434      7.28     7.34 
CROWLEY TEX INDPT SCH DI 228130HQ6 10/22/20 08/01/26     93.899     0.000     1.0930     12.28   0.028750   0.028907   0.029065   0.029224  0.029383     10.43    10.54 
CROWLEY TEX INDPT SCH DI 228130HP8 10/22/20 08/01/25     95.934     0.000     0.8712      9.99   0.023372   0.023474   0.023576   0.023679  0.023782      8.46     8.54 
Canadian Imperial Bank   13605WUR0 12/27/19 02/03/22    100.000     0.000     2.2144     45.30   0.063717                                                 2.04          
Canadian Imperial Bank   13605WVN8 02/10/20 02/03/22    100.000     0.000     1.8706     35.86   0.053414                                                 1.71          
Canadian Imperial Bank   13607G302 05/02/19 04/28/23    100.000     0.000     2.9112     80.06   0.086899   0.088164   0.089448                          31.67    10.47 
Canadian Imperial Bank   13607W513 08/04/22 07/28/28    100.000     0.000     4.0510                                   0.112528   0.114731  0.117055     16.54    41.60 
Canadian Imperial Bank   13607W349 11/03/22 10/27/28    100.000     0.000     5.6745                                   0.157625   0.161948  0.166543      9.14    58.09 
Carol Stream, IL         143735TZ1 12/30/11 11/01/25     42.963     0.000     6.1994    361.79   0.134892   0.139074   0.143384   0.147829  0.152411     49.82    52.96 
Carol Stream, IL         143735TY4 12/30/11 11/01/24     46.530     0.000     6.0492    379.42   0.140524   0.144775   0.149154   0.153665  0.158313     51.87    55.06 
Carol Stream, IL         143735TX6 12/30/11 11/01/23     50.827     0.000     5.7993    392.31   0.143688   0.147854   0.152142   0.156553               52.98    46.44 
Carol Stream, IL         143735TW8 12/30/11 11/01/22     54.964     0.000     5.5993    405.46   0.147180   0.151300                                     44.90          
Carol Stream, IL         143735UC0 12/30/11 11/01/28     33.512     0.000     6.5994    306.63   0.116363   0.120203   0.124169   0.128267  0.132499     43.05    45.94 
Carol Stream, IL         143735UB2 12/30/11 11/01/27     36.593     0.000     6.4493    324.69   0.122408   0.126355   0.130430   0.134636  0.138978     45.26    48.22 
Carol Stream, IL         143735UA4 12/30/11 11/01/26     39.556     0.000     6.3493    343.78   0.129031   0.133127   0.137353   0.141714  0.146213     47.69    50.76 
Carol Stream, IL         143735UF3 12/30/11 11/01/31     26.288     0.000     6.8495    252.87   0.097021   0.100344   0.103781   0.107335  0.111011     35.93    38.43 
Carol Stream, IL         143735UE6 12/30/11 11/01/30     28.377     0.000     6.7995    270.27   0.103472   0.106990   0.110627   0.114388  0.118277     38.31    40.96 
Carol Stream, IL         143735UD8 12/30/11 11/01/29     30.868     0.000     6.6994    288.18   0.109846   0.113526   0.117328   0.121259  0.125320     40.66    43.43 
Champaign County, IL     158199BB4 11/04/15 12/01/26     98.267    VARIES     4.1631    251.02   0.112070   0.111916   0.111759   0.111599  0.111436     40.31    40.19 
Champaign County, IL     158199BA6 11/04/15 12/01/23    124.115    VARIES        N/A    277.40   0.112760   0.110702   0.218056   0.218056               43.38    71.96 
Christian & Sangamon CNT 170592BJ7 03/28/13 12/01/22     99.442    VARIES     3.5341    309.58   0.098090   0.098130                                     32.38          
Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23     99.390    VARIES     3.6841    322.56   0.102171   0.102211   0.102251   0.102293               36.79    33.75 
CITIGROUP GLOBAL MARKETS 17330PSN0 07/29/22 01/30/25    100.000     0.000     4.3620                                   0.121167   0.123824  0.126525     18.42    44.91 
CITIGROUP GLOBAL MARKETS 17330PAF6 07/05/22 01/02/26    100.000     0.000     4.7240                                   0.131222   0.134270  0.137441     23.10    48.90 
CITIGROUP GLOBAL MARKETS 17330PLK3 07/06/22 07/06/27    100.000    VARIES     3.1358                                   0.087106   0.085929  0.085097     15.24    30.79 
CITIGROUP GLOBAL MARKETS 17330PLN7 07/25/22 01/24/25    100.000     0.000     4.5580                                   0.126611   0.129481  0.132431     19.75    47.01 
CITIGROUP GLOBAL MARKETS 17330PL49 07/29/22 07/31/24    100.000     0.000     4.3130                        0.119806   0.119820   0.122404  0.125043     18.21    44.39 
CITIGROUP GLOBAL MARKETS 17330N542 07/29/22 07/31/24    100.000     0.000     4.3130                        0.119806   0.119820   0.122404  0.125043     18.21    44.39 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330PKE8 07/29/22 07/31/25    100.000     0.000     4.4110                        0.122528   0.122543   0.125245  0.128008     18.63    45.43 
CITIGROUP GLOBAL MARKETS 17330PKF5 07/27/22 07/25/25    100.000     0.000     4.4700                                   0.124167   0.126911  0.129747     19.12    46.06 
CITIGROUP GLOBAL MARKETS 17330PKH1 07/29/22 07/31/28    100.000     0.000     4.5870                        0.127417   0.127433   0.130356  0.133345     19.37    47.29 
CITIGROUP GLOBAL MARKETS 17330PMR7 07/27/22 07/27/26    100.000     0.000     4.5090                                   0.125250   0.128074  0.130961     19.29    46.48 
CITIGROUP GLOBAL MARKETS 17330PH77 07/29/22 07/29/27    100.000     0.000     4.5480                                   0.126333   0.129206  0.132144     19.20    46.88 
CITIGROUP GLOBAL MARKETS 17330P5U9 07/06/22 07/06/26    100.000     0.000     4.7140                                   0.130944   0.134031  0.137190     22.92    48.79 
CITIGROUP GLOBAL MARKETS 17330PJS9 07/29/22 07/31/25    100.000     0.000     4.4110                        0.122528   0.122543   0.125245  0.128008     18.63    45.43 
CITIGROUP GLOBAL MARKETS 17330PK99 08/01/22 07/30/27    100.000     0.000     4.5090                                   0.125250   0.128058  0.130945     18.79    46.46 
CITIGROUP GLOBAL MARKETS 17330PJH3 07/26/22 07/24/25    100.000     0.000     4.6560                                   0.129333   0.132311  0.135391     20.05    48.05 
CITIGROUP GLOBAL MARKETS 17330P3K3 07/06/22 07/03/25    100.000     0.000     4.6360                                   0.128778   0.131713  0.134766     22.54    47.95 
CITIGROUP GLOBAL MARKETS 17330PD55 07/29/22 01/30/25    100.000     0.000     4.3620                                   0.121167   0.123824  0.126525     18.42    44.91 
CITIGROUP GLOBAL MARKETS 17330PCA5 07/28/22 07/30/24    100.000     0.000     4.2350                        0.117639   0.117667   0.120158  0.122703     18.00    43.57 
CITIGROUP GLOBAL MARKETS 17330PCG2 07/08/22 07/14/23    100.000     0.000     3.9220                        0.108944   0.109016   0.111153               18.86    21.42 
CITIGROUP GLOBAL MARKETS 17330PCM9 08/02/22 07/31/25    100.000     0.000     4.3040                                   0.119556   0.122100  0.124727     17.81    44.28 
CITIGROUP GLOBAL MARKETS 17330PSU4 07/21/22 07/21/42    100.000    VARIES     5.1600                                   0.143333   0.136281  0.129047     22.93    48.04 
CITIGROUP GLOBAL MARKETS 17330PES4 07/29/22 01/30/25    100.000     0.000     4.3620                                   0.121167   0.123824  0.126525     18.42    44.91 
CITIGROUP GLOBAL MARKETS 17330PV63 07/29/22 01/30/25    100.000     0.000     4.3620                                   0.121167   0.123824  0.126525     18.42    44.91 
CITIGROUP GLOBAL MARKETS 17330PDT3 07/21/22 07/21/37    100.000    VARIES     5.1530                                   0.143139   0.139670  0.136112     22.90    49.78 
Citigroup Funding, Inc.  1730T0AK5 05/15/06 05/15/36     11.570     0.000     7.3200    240.19   0.071694   0.074318   0.077038   0.079858  0.082781     26.53    28.51 
Citigroup Funding, Inc.  1730T0TK5 05/30/13 05/30/33    100.000    VARIES     4.1925    315.75   0.104646   0.106261   0.107943   0.109659  0.111412     38.07    39.28 
Citigroup Funding, Inc.  1730T0BT5 02/14/07 02/14/37    100.000    VARIES     5.8404    840.75   0.157649   0.157742   0.157837   0.157936  0.158037     56.80    56.87 
Citigroup Funding, Inc.  1730T03J6 12/29/14 12/29/34    100.000    VARIES     4.3208    285.99   0.115394   0.116053   0.116726   0.117414  0.118117     41.66    42.15 
Citigroup Funding, Inc.  1730T0ZJ1 11/27/12 11/27/22    100.000    VARIES     1.5729     53.83   0.017306   0.017442                                      5.67          
Citigroup Funding, Inc.  1730T0KZ1 11/09/10 11/09/30    100.000    VARIES     5.5699    528.99   0.134588   0.135911   0.137271   0.138498  0.139760     48.83    49.77 
Citigroup Funding, Inc.  1730T0KV0 11/19/10 11/19/30    100.000    VARIES     5.1246    526.65   0.133523   0.133915   0.134317   0.134730  0.135153     48.17    48.46 
Citigroup Funding, Inc.  1730T0WR6 03/30/12 03/30/22    100.000    VARIES     3.8303    374.64   0.106570                                                 9.48          
Citigroup Funding, Inc.  1730T0HN2 04/29/10 04/29/30    100.000    VARIES     5.9942    605.98   0.146133   0.147286   0.148474   0.149697  0.150892     52.96    53.82 
Citigroup Funding, Inc.  1730T0GY9 04/28/09 04/28/24    100.000    VARIES     8.1832    950.81   0.217752   0.219520   0.221359   0.223274  0.225268     78.94    80.28 
CITIGROUP GLOBAL MARKETS 17325E275 03/03/17 03/03/22    100.000     0.000     3.0465    157.19   0.096958                                                 6.01          
CITIGROUP GLOBAL MARKETS 17327TZ82 01/31/20 02/02/27    100.000     0.000     2.6047     50.94   0.075226   0.076206   0.077198   0.078204  0.079222     27.55    28.27 
CITIGROUP GLOBAL MARKETS 17324CHZ2 04/28/17 04/28/27    100.000    VARIES     2.7213     13.58   0.007979   0.008087   0.008197   0.008309  0.008422      2.91     2.99 
CITIGROUP GLOBAL MARKETS 17330AE24 02/23/22 02/22/27    100.000     0.000     2.8508                        0.079190   0.080312   0.081457  0.082618     24.54    29.42 
CITIGROUP GLOBAL MARKETS 17328VYS3 07/06/20 07/05/24    100.000     0.000     1.2060     18.03   0.033905   0.034110   0.034315   0.034522  0.034730     12.31    12.46 
CITIGROUP GLOBAL MARKETS 17330AE57 02/28/22 02/26/27    100.000     0.000     2.8999                        0.080553   0.081708   0.082892  0.084094     24.55    29.93 
CITIGROUP GLOBAL MARKETS 17329QCY4 08/04/21 08/03/28    100.000     0.000     1.8322      7.48   0.050894   0.051357   0.051828   0.052303  0.052782     18.54    18.88 
CITIGROUP GLOBAL MARKETS 17328VYQ7 07/31/20 08/02/27    100.000     0.000     1.5241     21.79   0.042988   0.043315   0.043645   0.043978  0.044313     15.63    15.87 
CITIGROUP GLOBAL MARKETS 17329QCW8 08/31/21 08/31/28    100.000     0.000     1.9013      6.39   0.052814   0.053310   0.053822   0.054328  0.054851     19.23    19.59 
CITIGROUP GLOBAL MARKETS 17330L454 04/05/22 04/05/29    100.000     0.000     3.6383                        0.101064   0.102902   0.104774  0.106680     27.04    37.71 
CITIGROUP GLOBAL MARKETS 17329FCW2 05/26/21 05/27/26    100.000     0.000     1.4552      8.70   0.040717   0.041013   0.041311   0.041612  0.041915     14.73    14.95 
CITIGROUP GLOBAL MARKETS 17328YQV9 02/19/21 02/19/41    100.000    VARIES     2.8472     24.59   0.078408   0.077750   0.077114   0.076511  0.075965     27.94    27.50 
CITIGROUP GLOBAL MARKETS 17330F2B6 04/11/22 08/09/24    100.000     0.000     3.6974                        0.102706   0.103951   0.105872  0.107830     26.88    38.32 
CITIGROUP GLOBAL MARKETS 17328VHM5 03/31/20 07/01/24    100.000     0.000     3.2340     57.88   0.095033   0.095033   0.098132   0.098132  0.101331     34.49    35.61 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17329QD72 08/31/21 08/31/28    100.000     0.000     1.9013      6.39   0.052814   0.053310   0.053822   0.054328  0.054851     19.23    19.59 
CITIGROUP GLOBAL MARKETS 17324CHX7 05/31/17 05/31/22    100.000     0.000     2.7124    131.53   0.085056                                                12.67          
CITIGROUP GLOBAL MARKETS 17329FTY0 08/04/21 08/04/26    100.000     0.000     1.4752      6.02   0.040977   0.041279   0.041583   0.041890  0.042199     14.90    15.12 
CITIGROUP GLOBAL MARKETS 17328YRG1 03/31/21 03/30/28    100.000     0.000     2.0694     15.63   0.058078   0.058679   0.059286   0.059899  0.060519     21.13    21.57 
CITIGROUP GLOBAL MARKETS 17328YRC0 04/06/21 04/06/26    100.000     0.000     1.6533     12.20   0.046306   0.046689   0.047075   0.047464  0.047856     16.80    17.08 
CITIGROUP GLOBAL MARKETS 17327THY5 11/01/19 11/01/24    100.000     0.000     2.5315     56.04   0.073948   0.074884   0.075832   0.076791  0.077763     26.90    27.59 
CITIGROUP GLOBAL MARKETS 17329FUE2 07/01/21 12/31/26    100.000     0.000     1.7520      8.76   0.049090   0.049520   0.049954   0.050392  0.050833     17.75    18.06 
CITIGROUP GLOBAL MARKETS 17328VYX2 06/30/20 06/30/27    100.000     0.000     1.7917     27.17   0.051119   0.051576   0.052038   0.052505  0.052975     18.49    18.82 
CITIGROUP GLOBAL MARKETS 17329B848 04/21/21 05/07/26    100.000     0.000     1.5037     10.47   0.042111   0.042428   0.042747   0.043068  0.043392     15.25    15.48 
CITIGROUP GLOBAL MARKETS 17326W779 03/05/19 11/02/22    100.000     0.000     3.4589    101.69   0.105253   0.107073                                     32.01          
CITIGROUP GLOBAL MARKETS 17327TZF6 10/31/19 05/03/23    100.000     0.000     2.3404     51.79   0.068122   0.068919   0.069726                          24.76     8.51 
CITIGROUP GLOBAL MARKETS 17328YRL0 04/06/21 04/06/26    100.000     0.000     1.6533     12.20   0.046306   0.046689   0.047075   0.047464  0.047856     16.80    17.08 
CITIGROUP GLOBAL MARKETS 17329UPX3 02/03/22 02/04/27    100.000     0.000     2.4354                        0.067656   0.068480   0.069314  0.070158     22.31    25.05 
CITIGROUP GLOBAL MARKETS 17329F3J1 04/28/21 10/28/26    100.000     0.000     1.7233     11.66   0.048282   0.048698   0.049118   0.049541  0.049968     17.51    17.81 
CITIGROUP GLOBAL MARKETS 17330FC25 04/22/22 04/23/26    100.000     2.600     4.0001                        0.111127   0.113350   0.112728  0.114983     27.82    40.80 
CITIGROUP GLOBAL MARKETS 17330A3B6 03/02/22 03/02/29    100.000     0.000     3.0668                        0.085188   0.086494   0.087820  0.089167     25.63    31.69 
CITIGROUP GLOBAL MARKETS 17330FSR3 05/11/22 05/11/27    100.000     0.000     4.4129                        0.122581   0.125286   0.128051  0.130876     28.33    45.88 
CITIGROUP GLOBAL MARKETS 17330A3D2 02/25/22 02/25/27    100.000     0.000     2.8609                        0.079468   0.080605   0.081758  0.082928     24.46    29.52 
CITIGROUP GLOBAL MARKETS 17328WLC0 09/30/20 09/30/27    100.000     0.000     1.5842     19.97   0.044706   0.045060   0.045417   0.045777  0.046139     16.22    16.48 
CITIGROUP GLOBAL MARKETS 17329F3G7 05/05/21 05/05/26    100.000     0.000     1.5643     10.27   0.043792   0.044134   0.044479   0.044827  0.045178     15.87    16.11 
CITIGROUP GLOBAL MARKETS 17324CJ64 04/28/17 04/28/27    100.000    VARIES     2.8252     22.46   0.012788   0.012969   0.013152   0.013338  0.013526      4.66     4.79 
CITIGROUP GLOBAL MARKETS 17329QE89 09/02/21 03/04/27    100.000     0.000     1.6633      5.50   0.046206   0.046591   0.046978   0.047369  0.047763     16.79    17.07 
CITIGROUP GLOBAL MARKETS 17328YAT1 01/12/21 01/10/25    100.000     0.000     0.8580      8.34   0.023935   0.024038   0.024141   0.024245  0.024349      8.67     8.75 
CITIGROUP GLOBAL MARKETS 17328YB37 01/06/21 01/08/29    100.000     0.000     1.5840     15.68   0.044353   0.044704   0.045059   0.045415  0.045775     16.15    16.41 
CITIGROUP GLOBAL MARKETS 17329FE42 06/30/21 06/29/28    100.000     0.000     1.9800      9.96   0.055541   0.056091   0.056646   0.057207  0.057774     20.10    20.50 
CITIGROUP GLOBAL MARKETS 17329F3P7 04/30/21 05/02/28    100.000     0.000     2.0793     13.96   0.058366   0.058973   0.059586   0.060206  0.060832     21.19    21.64 
CITIGROUP GLOBAL MARKETS 17329FE26 06/30/21 06/30/27    100.000     0.000     1.7920      9.01   0.050224   0.050674   0.051128   0.051586  0.052048     18.16    18.49 
CITIGROUP GLOBAL MARKETS 17326YNA0 03/04/19 03/03/22    100.000     0.000     3.2230     94.56   0.096968                                                 6.01          
CITIGROUP GLOBAL MARKETS 17327TH41 02/03/20 02/02/23    100.000     0.000     2.1983     42.68   0.063094   0.063788   0.064489                          23.05     2.00 
CITIGROUP GLOBAL MARKETS 17328WJT6 08/12/20 08/12/25    100.000     0.000     1.0971     15.28   0.030810   0.030979   0.031149   0.031320  0.031492     11.17    11.29 
CITIGROUP GLOBAL MARKETS 17327T6P6 03/04/20 08/31/23    100.000     0.000     1.7725     32.74   0.050546   0.050989   0.051446   0.051897               18.39    12.38 
CITIGROUP GLOBAL MARKETS 17330AU34 03/31/22 04/03/29    100.000     0.000     3.8243             0.106229   0.106263   0.108295   0.110366  0.112476     28.98    39.73 
CITIGROUP GLOBAL MARKETS 17327TXT8 09/10/19 09/10/24    100.000     0.250     2.3208     54.60   0.067184   0.067883   0.068591   0.069306  0.070030     24.47    24.98 
CITIGROUP GLOBAL MARKETS 17330ACR1 02/25/22 02/25/32    100.000    VARIES     2.3569                        0.065470   0.064605   0.063730  0.064411     19.92    23.08 
CITIGROUP GLOBAL MARKETS 17328VXW5 07/06/20 07/06/28    100.000     0.000     1.8910     28.37   0.053527   0.054033   0.054544   0.055059  0.055580     19.54    19.91 
CITIGROUP GLOBAL MARKETS 17328VY79 08/05/20 08/05/25    100.000     0.000     1.2061     17.05   0.033909   0.034113   0.034319   0.034526  0.034734     12.30    12.45 
CITIGROUP GLOBAL MARKETS 17329Q2K5 07/20/21 07/19/29    100.000     0.000     2.0691      9.25   0.057476   0.058067   0.058668   0.059275  0.059888     20.99    21.43 
CITIGROUP GLOBAL MARKETS 17328VYC8 06/30/20 06/30/27    100.000     0.000     1.7917     27.17   0.051119   0.051576   0.052038   0.052505  0.052975     18.49    18.82 
CITIGROUP GLOBAL MARKETS 17330FAM3 04/29/22 04/29/37    100.000    VARIES     2.3669                        0.065748   0.063107   0.060435  0.059194     15.75    21.99 
CITIGROUP GLOBAL MARKETS 17328WKC1 09/21/20 09/21/27    100.000     0.000     1.4782     19.00   0.041670   0.041978   0.042289   0.042601  0.042916     15.12    15.34 
CITIGROUP GLOBAL MARKETS 17326YLW4 12/11/18 12/11/25    100.000    VARIES     3.4423     15.12   0.013167   0.013394   0.013624   0.013859  0.014097      4.79     4.96 
CITIGROUP GLOBAL MARKETS 17328YQH0 02/26/21 02/28/28    100.000     0.000     1.7232     14.65   0.048284   0.048701   0.049120   0.049543  0.049970     17.56    17.86 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17329FCF9 04/30/21 10/30/26    100.000     0.000     1.7623     11.82   0.049385   0.049820   0.050259   0.050702  0.051148     17.91    18.23 
CITIGROUP GLOBAL MARKETS 17329FCV4 06/30/21 06/29/28    100.000     0.000     1.9800      9.96   0.055541   0.056091   0.056646   0.057207  0.057774     20.10    20.50 
CITIGROUP GLOBAL MARKETS 17325E804 04/12/17 12/12/24    100.000     0.000     3.3138    167.84   0.107310   0.109088   0.110896   0.112733  0.114601     39.02    40.32 
CITIGROUP GLOBAL MARKETS 17329FTW4 08/04/21 08/04/26    100.000     0.000     1.4752      6.02   0.040977   0.041279   0.041583   0.041890  0.042199     14.90    15.12 
CITIGROUP GLOBAL MARKETS 17328VHK9 04/03/20 04/05/23    100.000     0.000     2.2190     39.26   0.063721   0.064428   0.065143                          23.19     6.12 
CITIGROUP GLOBAL MARKETS 17329FD68 05/28/21 12/01/26    100.000     0.000     1.6332      9.68   0.045742   0.046116   0.046492   0.046872  0.047255     16.56    16.83 
CITIGROUP GLOBAL MARKETS 17329QU65 10/05/21 10/05/26    100.000     0.000     1.6533      3.95   0.045926   0.046306   0.046689   0.047075  0.047464     16.67    16.94 
CITIGROUP GLOBAL MARKETS 17329FD43 06/30/21 06/29/28    100.000     0.000     1.9800      9.96   0.055541   0.056091   0.056646   0.057207  0.057774     20.10    20.50 
CITIGROUP GLOBAL MARKETS 17330ATK8 04/01/22 04/01/27    100.000     0.000     3.6877                        0.102436   0.104325   0.106248  0.108207     27.83    38.25 
CITIGROUP GLOBAL MARKETS 17328YQP2 03/03/21 03/05/29    100.000     0.000     2.0693     17.20   0.058082   0.058683   0.059290   0.059903  0.060523     21.16    21.60 
CITIGROUP GLOBAL MARKETS 17326W696 06/05/19 06/03/22    100.000     0.000     2.6587     70.31   0.078881                                                11.99          
CITIGROUP GLOBAL MARKETS 17330FAW1 04/26/22 04/26/32    100.000    VARIES     2.6165                        0.072681   0.070907   0.069109  0.069286     17.69    25.10 
CITIGROUP GLOBAL MARKETS 17324CHQ2 05/03/17 05/03/27    100.000    VARIES     2.7384     18.07   0.010485   0.010628   0.010774   0.010921  0.011071      3.82     3.92 
CITIGROUP GLOBAL MARKETS 17330ATL6 03/18/22 03/18/37    100.000    VARIES     4.0501                        0.112502   0.112378   0.112321  0.112316     31.83    40.44 
CITIGROUP GLOBAL MARKETS 17328YQN7 01/29/21 01/31/28    100.000     0.000     1.4841     13.73   0.041533   0.041841   0.042152   0.042464  0.042779     15.10    15.33 
CITIGROUP GLOBAL MARKETS 17330AFT4 02/15/22 02/15/37    100.000    VARIES     2.0896                        0.058045   0.056910   0.055763  0.056346     18.19    20.20 
CITIGROUP GLOBAL MARKETS 17330AWT5 03/08/22 03/08/29    100.000     0.000     3.0178                        0.083827   0.085092   0.086376  0.087679     24.70    31.16 
CITIGROUP GLOBAL MARKETS 17328VJW1 06/30/20 06/30/27    100.000     0.000     1.8120     27.48   0.051714   0.052182   0.052655   0.053132  0.053613     18.70    19.04 
CITIGROUP GLOBAL MARKETS 17324CKB1 07/06/17 07/06/27    100.000    VARIES     2.8475     23.47   0.013702   0.013897   0.014095   0.014295  0.014499      5.04     5.18 
CITIGROUP GLOBAL MARKETS 17330F4C2 04/21/22 04/22/27    100.000     0.000     4.0709                        0.113094   0.115396   0.117745  0.120142     28.43    42.29 
CITIGROUP GLOBAL MARKETS 17329QWA4 10/04/21 04/03/25    100.000     0.000     1.2163      2.94   0.033785   0.033990   0.034196   0.034404  0.034614     12.24    12.38 
CITIGROUP GLOBAL MARKETS 17328VK58 05/19/20 11/18/27    100.000     0.000     2.4153     39.59   0.069548   0.070388   0.071238   0.072099  0.072969     25.26    25.88 
CITIGROUP GLOBAL MARKETS 17330AWY4 03/23/22 03/23/27    100.000     0.000     3.3824                        0.093956   0.095545   0.097161  0.098804     26.28    35.01 
CITIGROUP GLOBAL MARKETS 17330F4G3 05/06/22 05/08/24    100.000     0.000     3.9750             0.110416   0.110440   0.112635   0.114874  0.117157     26.07    41.19 
CITIGROUP GLOBAL MARKETS 17329F4Z4 04/28/21 10/28/26    100.000     0.000     1.7233     11.66   0.048282   0.048698   0.049118   0.049541  0.049968     17.51    17.81 
CITIGROUP GLOBAL MARKETS 17329QFJ4 09/30/21 04/01/27    100.000     0.000     1.7523      4.43   0.048679   0.049105   0.049536   0.049970  0.050407     17.68    17.99 
CITIGROUP GLOBAL MARKETS 17327TKD7 12/26/19 12/23/22    100.000     0.000     2.2329     45.74   0.064830   0.065553                                     22.95          
CITIGROUP GLOBAL MARKETS 17328WND6 11/04/20 11/04/25    100.000     0.000     1.2962     15.08   0.036473   0.036710   0.036947   0.037187  0.037428     13.20    13.37 
CITIGROUP GLOBAL MARKETS 17330F4L2 04/29/22 04/30/26    100.000     2.200     4.1669             0.115747   0.115773   0.118185   0.118101  0.120562     28.16    42.67 
CITIGROUP GLOBAL MARKETS 17328Y2F0 12/28/20 12/26/25    100.000     0.000     1.1170     11.30   0.031374   0.031549   0.031725   0.031902  0.032080     11.33    11.45 
CITIGROUP GLOBAL MARKETS 17330FEL1 04/28/22 04/30/24    100.000     0.000     3.8571             0.107141   0.107164   0.109230   0.111337  0.113484     26.17    39.96 
CITIGROUP GLOBAL MARKETS 17326YP83 02/28/19 03/02/22    100.000     0.000     3.3909    100.30   0.102491                                                 6.25          
CITIGROUP GLOBAL MARKETS 17329FFH2 04/19/21 04/20/28    100.000     0.000     2.1036     14.77   0.059050   0.059671   0.060299   0.060933  0.061574     21.46    21.91 
CITIGROUP GLOBAL MARKETS 17328Y2D5 11/24/20 11/24/27    100.000     0.000     1.5489     17.17   0.043695   0.044034   0.044375   0.044718  0.045065     15.82    16.06 
CITIGROUP GLOBAL MARKETS 17328YTF1 03/01/21 02/27/26    100.000     0.000     1.1861      9.91   0.033139   0.033336   0.033534   0.033732  0.033933     12.01    12.16 
CITIGROUP GLOBAL MARKETS 17324CKF2 07/03/17 07/01/22    100.000     0.000     2.7294    129.58   0.085641                                                15.42          
CITIGROUP GLOBAL MARKETS 17330AGB2 03/01/22 08/27/27    100.000     0.000     3.0769                        0.085470   0.086755   0.088090  0.089445     25.80    31.81 
CITIGROUP GLOBAL MARKETS 17328YCP7 01/29/21 01/30/31    100.000     0.000     2.0301     18.81   0.056968   0.057547   0.058131   0.058721  0.059317     20.79    21.21 
CITIGROUP GLOBAL MARKETS 17328YTQ7 03/23/21 09/23/24    100.000     0.000     1.0472      8.10   0.029241   0.029394   0.029548   0.029703  0.029859     10.58    10.70 
CITIGROUP GLOBAL MARKETS 17324CKS4 07/28/17 01/30/23    100.000     0.500     2.8926    134.23   0.088455   0.089533   0.090627                          32.37     2.63 
CITIGROUP GLOBAL MARKETS 17328YCM4 01/29/21 01/30/31    100.000     0.000     2.0301     18.81   0.056968   0.057547   0.058131   0.058721  0.059317     20.79    21.21 
CITIGROUP GLOBAL MARKETS 17329F5L4 04/30/21 04/30/27    100.000     0.000     1.8423     12.36   0.051647   0.052123   0.052603   0.053087  0.053576     18.74    19.08 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17328Y2W3 12/28/20 12/26/25    100.000     0.000     1.1170     11.30   0.031374   0.031549   0.031725   0.031902  0.032080     11.33    11.45 
CITIGROUP GLOBAL MARKETS 17324CKX3 08/01/17 08/01/22    100.000     0.000     2.7885    130.12   0.086531   0.087737                                     18.39          
CITIGROUP GLOBAL MARKETS 17329FFZ2 05/28/21 05/31/28    100.000     0.000     1.9802     11.73   0.055556   0.056106   0.056661   0.057222  0.057789     20.13    20.53 
CITIGROUP GLOBAL MARKETS 17328WNR5 12/03/20 12/04/25    100.000     0.000     1.1771     12.73   0.033084   0.033278   0.033474   0.033671  0.033869     11.96    12.10 
CITIGROUP GLOBAL MARKETS 17330F3Y5 04/22/22 04/22/37    100.000    VARIES     4.9654                        0.137929   0.133078   0.128106  0.128406     34.01    46.69 
CITIGROUP GLOBAL MARKETS 17328Y2T0 12/24/20 12/27/27    100.000     0.000     1.4840     15.19   0.041842   0.042152   0.042465   0.042780  0.043098     15.12    15.35 
CITIGROUP GLOBAL MARKETS 17328Y2S2 12/24/20 12/27/27    100.000     0.000     1.4840     15.19   0.041842   0.042152   0.042465   0.042780  0.043098     15.12    15.35 
CITIGROUP GLOBAL MARKETS 17329F5V2 04/30/21 05/02/28    100.000     0.000     2.0793     13.96   0.058366   0.058973   0.059586   0.060206  0.060832     21.19    21.64 
CITIGROUP GLOBAL MARKETS 17329QEA4 09/30/21 10/02/28    100.000     0.000     1.9703      4.98   0.054738   0.055277   0.055821   0.056371  0.056927     19.90    20.29 
CITIGROUP GLOBAL MARKETS 17328VZX1 07/06/20 07/05/24    100.000     0.000     1.2060     18.03   0.033905   0.034110   0.034315   0.034522  0.034730     12.31    12.46 
CITIGROUP GLOBAL MARKETS 17330FDA6 04/13/22 04/11/25    100.000     0.000     3.7088                        0.103021   0.104910   0.106855  0.108837     26.73    38.43 
CITIGROUP GLOBAL MARKETS 17330AF56 02/28/22 02/28/29    100.000     0.000     3.0477                        0.084659   0.085949   0.087259  0.088589     25.81    31.50 
CITIGROUP GLOBAL MARKETS 17330AVU3 03/29/22 09/27/24    100.000     0.000     3.3938                        0.094273   0.095855   0.097482  0.099136     25.79    35.11 
CITIGROUP GLOBAL MARKETS 17328WLU0 10/05/20 10/03/25    100.000     0.000     1.2962     16.14   0.036471   0.036708   0.036946   0.037185  0.037426     13.21    13.39 
CITIGROUP GLOBAL MARKETS 17324CZZ2 08/31/17 02/28/23    100.000     0.000     2.7931    127.83   0.086676   0.087886   0.089113                          31.72     5.08 
CITIGROUP GLOBAL MARKETS 17328VZR4 07/31/20 08/02/27    100.000     0.000     1.5241     21.79   0.042988   0.043315   0.043645   0.043978  0.044313     15.63    15.87 
CITIGROUP GLOBAL MARKETS 17324CJF4 06/01/17 12/01/22    100.000     0.750     2.8210    134.96   0.086090   0.087010                                     28.58          
CITIGROUP GLOBAL MARKETS 17329FVK7 06/16/21 06/16/31    100.000    VARIES     2.0752     11.23   0.057090   0.056529   0.055963   0.055391  0.055231     20.43    20.03 
CITIGROUP GLOBAL MARKETS 17329UQT1 01/31/22 01/29/27    100.000     0.000     2.3464                        0.065177   0.065938   0.066711  0.067494     21.69    24.11 
CITIGROUP GLOBAL MARKETS 17326YNT9 03/29/19 04/01/24    100.000     0.000     3.2016     91.50   0.096299   0.097840   0.099407   0.100998  0.102615     35.22    36.36 
CITIGROUP GLOBAL MARKETS 17329FEG5 06/09/21 06/09/33    100.000    VARIES     2.0633     11.55   0.056041   0.054757   0.053459   0.052148  0.050056     19.89    18.93 
CITIGROUP GLOBAL MARKETS 17326YNS1 03/29/19 04/01/24    100.000     0.500     3.2003     91.06   0.095341   0.096422   0.097965   0.099088  0.100674     34.75    35.71 
CITIGROUP GLOBAL MARKETS 17329FED2 06/02/21 06/01/26    100.000     0.000     1.4151      8.22   0.039586   0.039866   0.040148   0.040432  0.040718     14.32    14.52 
CITIGROUP GLOBAL MARKETS 17329F4C5 04/15/21 04/17/31    100.000     0.000     2.6134     18.66   0.073554   0.074515   0.075489   0.076475  0.077474     26.80    27.50 
CITIGROUP GLOBAL MARKETS 17328YBB9 02/03/21 02/03/26    100.000     0.000     1.0671      9.75   0.029800   0.029959   0.030118   0.030279  0.030441     10.80    10.92 
CITIGROUP GLOBAL MARKETS 17328VZZ6 08/05/20 08/05/25    100.000     0.000     1.2061     17.05   0.033909   0.034113   0.034319   0.034526  0.034734     12.30    12.45 
CITIGROUP GLOBAL MARKETS 17326E365 12/06/17 12/06/22    100.000     0.000     2.9046    124.53   0.090549   0.091864                                     30.57          
CITIGROUP GLOBAL MARKETS 17330F2N0 03/31/22 03/31/37    100.000    VARIES     2.2180                        0.061611   0.059214   0.056790  0.055880     16.48    20.58 
CITIGROUP GLOBAL MARKETS 17328YBM5 12/21/20 12/21/40    100.000    VARIES     2.5695     26.11   0.068335   0.067920   0.067530   0.067175  0.066857     24.52    24.24 
CITIGROUP GLOBAL MARKETS 17329FVL5 07/30/21 07/31/31    100.000     0.000     2.2282      9.35   0.061894   0.062583   0.063281   0.063986  0.064698     22.62    23.12 
CITIGROUP GLOBAL MARKETS 17330FTV3 05/17/22 05/15/25    100.000     0.000     4.1696                        0.115822   0.118210   0.120675  0.123190     26.05    43.23 
CITIGROUP GLOBAL MARKETS 17327TJQ0 10/03/19 10/05/22    100.000     0.000     2.2658     51.89   0.065849   0.066595                                     18.18          
CITIGROUP GLOBAL MARKETS 17328WMR6 11/30/20 11/30/27    100.000     0.000     1.4941     16.30   0.042125   0.042440   0.042757   0.043077  0.043398     15.24    15.47 
CITIGROUP GLOBAL MARKETS 17328YSW5 02/22/21 02/22/41    100.000    VARIES     2.8536     24.33   0.078018   0.076754   0.075982   0.075256  0.074604     27.60    27.05 
CITIGROUP GLOBAL MARKETS 17329QVX5 09/15/21 09/15/33    100.000    VARIES     1.7790      5.24   0.049416   0.048620   0.047817   0.047314  0.046975     17.48    17.03 
CITIGROUP GLOBAL MARKETS 17330F2Z3 04/25/22 10/24/24    100.000     0.000     3.8764                        0.107679   0.109754   0.111882  0.114050     26.63    40.18 
CITIGROUP GLOBAL MARKETS 17328YSU9 02/26/21 02/26/41    100.000    VARIES     2.9720     24.97   0.080892   0.079205   0.077224   0.075214  0.073412     28.36    26.96 
CITIGROUP GLOBAL MARKETS 17329FF74 05/26/21 05/26/27    100.000     0.000     1.7422     10.42   0.048816   0.049241   0.049670   0.050103  0.050539     17.68    17.99 
CITIGROUP GLOBAL MARKETS 17327TJN7 12/24/19 12/22/22    100.000     0.000     2.1805     44.77   0.063248   0.063937                                     22.32          
CITIGROUP GLOBAL MARKETS 17324CJR8 06/30/17 12/30/22    100.000     0.600     2.7880    131.22   0.085509   0.086468                                     30.87          
CITIGROUP GLOBAL MARKETS 17329F4R2 04/28/21 04/27/28    100.000     0.000     2.0693     14.01   0.058073   0.058674   0.059281   0.059894  0.060514     21.09    21.53 
CITIGROUP GLOBAL MARKETS 17329F4Q4 05/05/21 05/05/26    100.000     0.000     1.5643     10.27   0.043792   0.044134   0.044479   0.044827  0.045178     15.87    16.11 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17328WML9 11/30/20 11/30/27    100.000     0.000     1.4941     16.30   0.042125   0.042440   0.042757   0.043077  0.043398     15.24    15.47 
CITIGROUP GLOBAL MARKETS 17328YT38 02/26/21 02/26/31    100.000    VARIES     1.6111     13.61   0.044441   0.044128   0.043038   0.042174  0.041553     15.77    15.15 
CITIGROUP GLOBAL MARKETS 17325E408 03/01/17 03/01/22    100.000     0.000     2.8923    148.91   0.091425                                                 5.49          
CITIGROUP GLOBAL MARKETS 17328V3K4 04/14/20 04/11/25    100.000     1.000     2.6920     46.73   0.077087   0.077377   0.078419   0.078727  0.079786     27.90    28.39 
CITIGROUP GLOBAL MARKETS 17326YZF6 04/30/19 04/28/22    100.000     0.000     2.9308     80.79   0.087540                                                10.24          
CITIGROUP GLOBAL MARKETS 17328W6M5 07/22/20 07/22/24    100.000     0.000     1.1071     16.05   0.031094   0.031266   0.031439   0.031613  0.031788     11.28    11.40 
CITIGROUP GLOBAL MARKETS 17329FQ56 06/09/21 06/09/31    100.000     0.000     2.5442     14.30   0.071570   0.072481   0.073403   0.074336  0.075282     25.97    26.63 
CITIGROUP GLOBAL MARKETS 17329QPS3 09/29/21 09/29/33    100.000    VARIES     1.7595      4.50   0.048874   0.048082   0.047283   0.046722  0.046375     17.31    16.84 
CITIGROUP GLOBAL MARKETS 17328YN26 02/24/21 08/22/24    100.000     0.000     0.6991      5.97   0.019486   0.019554   0.019622   0.019691  0.019760      7.04     7.09 
CITIGROUP GLOBAL MARKETS 17326W282 03/05/19 03/04/26    100.000     0.000     3.7445    110.42   0.114112   0.116248   0.118425   0.120642  0.122901     41.97    43.56 
CITIGROUP GLOBAL MARKETS 17328VUJ7 05/19/20 05/19/25    100.000     0.000     1.9503     31.88   0.055776   0.056320   0.056869   0.057424  0.057984     20.22    20.62 
CITIGROUP GLOBAL MARKETS 17328WXK9 11/02/20 02/02/26    100.000     0.000     1.3450     15.73   0.037740   0.037994   0.038249   0.038507  0.038766     13.71    13.89 
CITIGROUP GLOBAL MARKETS 17328WXL7 12/03/20 12/04/25    100.000     0.000     1.1771     12.73   0.033084   0.033278   0.033474   0.033671  0.033869     11.96    12.10 
CITIGROUP GLOBAL MARKETS 17327T3H7 12/17/19 12/15/22    100.000     0.000     2.2284     46.22   0.064696   0.065417                                     22.39          
CITIGROUP GLOBAL MARKETS 17326X595 11/15/18 11/14/23    100.000     0.000     4.0525    133.74   0.126953   0.129526   0.132150   0.134828               46.41    41.84 
CITIGROUP GLOBAL MARKETS 17326W274 02/05/19 09/06/22    100.000     0.000     3.6717    111.58   0.112058   0.114115                                     27.82          
CITIGROUP GLOBAL MARKETS 17324CDP8 01/30/17 07/28/22    100.000     0.500     3.0985    161.56   0.096767   0.098051                                     20.26          
CITIGROUP GLOBAL MARKETS 17328VE55 04/01/20 10/02/23    100.000     0.000     2.8014     49.91   0.081139   0.082275   0.083428   0.084596               29.62    22.82 
CITIGROUP GLOBAL MARKETS 17327TV86 12/20/19 12/23/26    100.000     0.170     2.6310     54.44   0.076768   0.077716   0.078676   0.079649  0.080635     27.82    28.51 
CITIGROUP GLOBAL MARKETS 17328V3S7 03/31/20 10/01/25    100.000     0.000     3.3432     59.87   0.097613   0.099244   0.100903   0.102590  0.104305     35.73    36.93 
CITIGROUP GLOBAL MARKETS 17324C3Y0 07/05/16 01/03/22    100.000     0.400     2.3787    137.24   0.072965                                                 0.15          
CITIGROUP GLOBAL MARKETS 17327T3P9 02/05/20 02/03/23    100.000     0.000     2.1859     42.31   0.062726   0.063411   0.064104                          22.91     2.05 
CITIGROUP GLOBAL MARKETS 17327TUT1 11/29/19 05/30/25    100.000     0.000     2.5704     54.81   0.075148   0.076113   0.077092   0.078082  0.079086     27.29    27.99 
CITIGROUP GLOBAL MARKETS 17327T3Q7 02/28/20 05/31/23    100.000     0.000     1.8421     34.36   0.052845   0.053332   0.053823                          19.14     8.02 
CITIGROUP GLOBAL MARKETS 17327T3N4 02/28/20 05/31/23    100.000     0.000     1.8421     34.36   0.052845   0.053332   0.053823                          19.14     8.02 
CITIGROUP GLOBAL MARKETS 17324CDY9 01/31/17 01/31/24    100.000     0.000     3.3783    179.18   0.109109   0.110952   0.112826   0.114732  0.116670     40.17    41.54 
CITIGROUP GLOBAL MARKETS 17328WYB8 10/26/20 04/25/24    100.000     0.000     0.8781     10.40   0.024606   0.024714   0.024823   0.024932  0.025041      8.89     8.97 
CITIGROUP GLOBAL MARKETS 17324CED4 02/16/17 02/16/27    100.000    VARIES     2.9107     23.37   0.012764   0.012950   0.013139   0.013330  0.013524      4.68     4.82 
CITIGROUP GLOBAL MARKETS 17329ULR0 10/29/21 10/29/41     98.000    VARIES     2.9484      4.98   0.080263   0.076532   0.072746   0.072201  0.071672     27.76    26.02 
CITIGROUP GLOBAL MARKETS 17329ULQ2 12/23/21 12/26/28    100.000     0.000     2.1480      0.48   0.059678   0.060319   0.060967   0.061622  0.062284     21.61    22.07 
CITIGROUP GLOBAL MARKETS 17328YND2 03/02/21 05/29/26    100.000     0.000     1.3451     11.21   0.037736   0.037990   0.038246   0.038503  0.038762     13.65    13.83 
CITIGROUP GLOBAL MARKETS 17328VUY4 04/30/20 05/01/25    100.000     0.000     2.2185     37.53   0.063704   0.064410   0.065125   0.065847  0.066578     23.15    23.66 
CITIGROUP GLOBAL MARKETS 17328W6Y9 08/21/20 02/23/24    100.000     0.000     0.8681     11.86   0.024325   0.024431   0.024537   0.024643  0.024750      8.80     8.88 
CITIGROUP GLOBAL MARKETS 17328VEE6 03/31/20 03/29/23    100.000     0.000     2.7726     49.47   0.080258   0.081371   0.082499                          29.30     7.26 
CITIGROUP GLOBAL MARKETS 17328V4B3 04/13/20 10/12/23    100.000     0.000     2.6242     45.79   0.075796   0.076790   0.077798   0.078818               27.62    22.05 
CITIGROUP GLOBAL MARKETS 17330AQB1 03/28/22 03/29/27    100.000     0.000     3.5696                        0.099165   0.100935   0.102736  0.104570     27.23    37.00 
CITIGROUP GLOBAL MARKETS 17329FQL1 05/28/21 05/28/27    100.000     0.000     1.7232     10.21   0.048279   0.048695   0.049114   0.049537  0.049964     17.48    17.79 
CITIGROUP GLOBAL MARKETS 17328W7B8 09/03/20 09/05/25    100.000     0.000     1.1571     15.44   0.032518   0.032706   0.032895   0.033086  0.033277     11.78    11.92 
CITIGROUP GLOBAL MARKETS 17324CD29 12/28/16 06/27/22    100.000     0.500     3.0613    162.55   0.096701                                                17.02          
CITIGROUP GLOBAL MARKETS 17328WFL7 08/31/20 08/31/27    100.000     0.000     1.4942     20.09   0.042127   0.042438   0.042759   0.043075  0.043400     15.30    15.53 
CITIGROUP GLOBAL MARKETS 17327T2G0 12/24/19 12/22/22    100.000     0.000     2.1806     44.77   0.063249   0.063938                                     22.32          
CITIGROUP GLOBAL MARKETS 17328WFH6 09/11/20 03/13/24    100.000     0.000     0.8181     10.72   0.022912   0.023006   0.023100   0.023195  0.023289      8.29     8.35 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17329UJX0 11/29/21 05/27/27    100.000     0.000     2.0993      1.87   0.058314   0.058919   0.059537   0.060162  0.060794     21.14    21.59 
CITIGROUP GLOBAL MARKETS 17328YLL6 02/26/21 02/28/28    100.000     0.000     1.7232     14.65   0.048284   0.048701   0.049120   0.049543  0.049970     17.56    17.86 
CITIGROUP GLOBAL MARKETS 17328WX60 10/30/20 11/01/27    100.000     0.000     1.5642     18.40   0.044134   0.044479   0.044827   0.045178  0.045531     15.99    16.24 
CITIGROUP GLOBAL MARKETS 17327TTT3 11/29/19 11/30/22    100.000     0.000     2.0339     43.19   0.058835   0.059433                                     19.46          
CITIGROUP GLOBAL MARKETS 17326YYH3 05/31/19 12/04/24    100.000     0.000     3.1681     84.70   0.095230   0.096738   0.098271   0.099827  0.101409     34.64    35.74 
CITIGROUP GLOBAL MARKETS 17330APT3 03/31/22 04/03/29    100.000     0.000     3.8243             0.106229   0.106263   0.108295   0.110366  0.112476     28.98    39.73 
CITIGROUP GLOBAL MARKETS 17328VCM0 03/31/20 04/01/27    100.000     0.000     3.4611     62.03   0.101228   0.102980   0.104762   0.106575  0.108420     37.08    38.37 
CITIGROUP GLOBAL MARKETS 17327TTR7 10/22/19 10/20/22    100.000     0.000     2.2321     49.87   0.064809   0.065532                                     18.86          
CITIGROUP GLOBAL MARKETS 17324CCV6 12/13/16 12/13/46    100.000    VARIES     0.8469     23.88   0.013442   0.013432   0.013421   0.013411  0.013401      4.84     4.83 
CITIGROUP GLOBAL MARKETS 17325K511 09/14/17 09/15/22    100.000     0.000     2.7285    123.54   0.084476   0.085629                                     21.66          
CITIGROUP GLOBAL MARKETS 17328YME1 03/03/21 03/03/26    100.000     0.000     1.3652     11.33   0.038181   0.038442   0.038704   0.038969  0.039235     13.85    14.04 
CITIGROUP GLOBAL MARKETS 17324CDA1 12/30/16 01/02/24    100.000     0.000     3.3300    179.66   0.107341   0.109128   0.110945   0.112792  0.114670     39.61    40.94 
CITIGROUP GLOBAL MARKETS 17328VTY6 05/20/20 05/20/27    100.000     0.000     2.2283     36.42   0.063989   0.064702   0.065423   0.066152  0.066889     23.22    23.74 
CITIGROUP GLOBAL MARKETS 17329FPC2 05/28/21 12/01/26    100.000     0.000     1.6332      9.68   0.045742   0.046116   0.046492   0.046872  0.047255     16.56    16.83 
CITIGROUP GLOBAL MARKETS 17327TCX2 08/05/19 08/04/22    100.000     0.000     2.9115     72.02   0.085680   0.086927                                     18.47          
CITIGROUP GLOBAL MARKETS 17329FPB4 06/02/21 06/01/26    100.000     0.000     1.4151      8.22   0.039586   0.039866   0.040148   0.040432  0.040718     14.32    14.52 
CITIGROUP GLOBAL MARKETS 17326YYQ3 10/18/18 10/18/22    100.000    VARIES     3.0322     96.23   0.083701   0.084010                                     24.08          
CITIGROUP GLOBAL MARKETS 17328VD64 04/15/20 03/31/25    100.000     0.000     2.4947     43.36   0.071848   0.072744   0.073651   0.074570  0.075500     26.19    26.85 
CITIGROUP GLOBAL MARKETS 17329UKJ9 12/15/21 06/15/27    100.000     0.000     2.0491      0.91   0.056921   0.057504   0.058093   0.058688  0.059290     20.62    21.04 
CITIGROUP GLOBAL MARKETS 17328WFW3 09/30/20 06/30/26    100.000     0.000     1.4250     17.95   0.040293   0.040580   0.040869   0.041160  0.041453     14.56    14.77 
CITIGROUP GLOBAL MARKETS 17328WXE3 10/23/20 10/25/27    100.000     0.000     1.5742     18.82   0.044423   0.044773   0.045125   0.045480  0.045838     16.10    16.36 
CITIGROUP GLOBAL MARKETS 17330FNN7 05/11/22 05/11/27    100.000     0.000     4.4129                        0.122581   0.125286   0.128051  0.130876     28.33    45.88 
CITIGROUP GLOBAL MARKETS 17330FNQ0 05/12/22 05/12/37    100.000    VARIES     5.1635                        0.143430   0.141037   0.138583  0.136065     32.73    50.09 
CITIGROUP GLOBAL MARKETS 17327TDB9 08/07/19 08/05/22    100.000     0.000     2.1339     52.27   0.061839   0.062499                                     13.35          
CITIGROUP GLOBAL MARKETS 17329UNE7 02/01/22 07/30/27    100.000     0.000     2.4554                        0.068205   0.069037   0.069885  0.070743     22.63    25.26 
CITIGROUP GLOBAL MARKETS 17328WZR2 10/30/20 11/01/27    100.000     0.000     1.5642     18.40   0.044134   0.044479   0.044827   0.045178  0.045531     15.99    16.24 
CITIGROUP GLOBAL MARKETS 17329QS84 09/30/21 10/02/28    100.000     0.000     1.9703      4.98   0.054738   0.055277   0.055821   0.056371  0.056927     19.90    20.29 
CITIGROUP GLOBAL MARKETS 17329FS96 06/30/21 06/30/33    100.000    VARIES     2.0721     10.42   0.056427   0.055285   0.054131   0.052965  0.050636     20.11    19.27 
CITIGROUP GLOBAL MARKETS 17327TWP7 10/02/19 10/02/23    100.000     0.000     2.3580     54.11   0.068644   0.069453   0.070272   0.071101               25.00    19.19 
CITIGROUP GLOBAL MARKETS 17330L223 04/05/22 04/04/29    100.000     0.000     3.6386                        0.101072   0.102901   0.104773  0.106679     27.04    37.71 
CITIGROUP GLOBAL MARKETS 17327TFX9 11/13/19 11/10/22    100.000     0.000     2.2910     49.81   0.066591   0.067354                                     20.71          
CITIGROUP GLOBAL MARKETS 17327TX84 02/04/20 02/04/25    100.000     0.000     2.4251     47.09   0.069845   0.070692   0.071549   0.072416  0.073295     25.55    26.17 
CITIGROUP GLOBAL MARKETS 17328VWV8 05/05/20 05/05/25    100.000     0.000     1.9904     33.34   0.056956   0.057523   0.058096   0.058674  0.059258     20.67    21.08 
CITIGROUP GLOBAL MARKETS 17327TFW1 09/30/19 09/30/25    100.000     0.000     2.5748     59.35   0.075276   0.076245   0.077226   0.078221  0.079227     27.45    28.16 
CITIGROUP GLOBAL MARKETS 17330FAF8 04/27/22 04/28/25    100.000     0.000     4.1792                        0.116104   0.118530   0.121007  0.123535     28.48    43.43 
CITIGROUP GLOBAL MARKETS 17328WJ58 09/30/20 12/31/26    100.000     0.000     1.5240     19.21   0.043145   0.043474   0.043805   0.044139  0.044475     15.59    15.83 
CITIGROUP GLOBAL MARKETS 17326X819 01/04/19 01/05/26    100.000     0.000     4.1130    129.53   0.126505   0.129107   0.131762   0.134472  0.137237     46.94    48.89 
CITIGROUP GLOBAL MARKETS 17329QT42 10/01/21 04/01/27    100.000     0.000     1.7824      4.46   0.049510   0.049951   0.050396   0.050846  0.051299     17.98    18.30 
CITIGROUP GLOBAL MARKETS 17330ABF8 02/28/22 02/28/29    100.000     0.000     3.0477                        0.084659   0.085949   0.087259  0.088589     25.81    31.50 
CITIGROUP GLOBAL MARKETS 17324CGS9 04/28/17 10/28/22    100.000     0.750     2.9296    143.44   0.089843   0.090854                                     26.87          
CITIGROUP GLOBAL MARKETS 17327TXK7 12/02/19 12/01/22    100.000     0.000     2.2585     47.84   0.065613   0.066354                                     21.79          
CITIGROUP GLOBAL MARKETS 17330FA68 04/08/22 04/10/25    100.000     0.000     3.5215             0.097819   0.097838   0.099561   0.101314  0.103098     25.87    36.44 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17327TXH4 10/02/19 10/02/24    100.000     0.000     2.4893     57.19   0.072655   0.073559   0.074475   0.075402  0.076340     26.48    27.14 
CITIGROUP GLOBAL MARKETS 17329FSP0 07/30/21 02/01/27    100.000     0.000     1.6132      6.77   0.044812   0.045174   0.045538   0.045905  0.046275     16.31    16.57 
CITIGROUP GLOBAL MARKETS 17327T6F8 03/02/20 08/31/23    100.000     0.000     2.1027     39.05   0.060263   0.060889   0.061537   0.062176               21.96    14.82 
CITIGROUP GLOBAL MARKETS 17328VXE5 07/01/20 07/01/25    100.000     0.000     1.4940     22.58   0.042437   0.042437   0.043074   0.043074  0.043719     15.33    15.56 
CITIGROUP GLOBAL MARKETS 17330ASK9 03/31/22 04/03/29    100.000     0.000     3.8243             0.106229   0.106263   0.108295   0.110366  0.112476     28.98    39.73 
CITIGROUP GLOBAL MARKETS 17324C6M3 08/02/16 02/02/22    100.000     0.300     2.3124    131.61   0.071044                                                 2.20          
CITIGROUP GLOBAL MARKETS 17328WJG4 09/21/20 09/21/27    100.000     0.000     1.4782     19.00   0.041670   0.041978   0.042289   0.042601  0.042916     15.12    15.34 
CITIGROUP GLOBAL MARKETS 17326YJF4 02/28/19 03/02/22    100.000     0.000     3.3909    100.30   0.102491                                                 6.25          
CITIGROUP GLOBAL MARKETS 17327TW36 01/24/20 01/26/22    100.000     0.000     2.0546     40.38   0.058855                                                 1.47          
CITIGROUP GLOBAL MARKETS 17328WHP6 09/30/20 03/31/28    100.000     0.000     1.7012     21.46   0.048064   0.048473   0.048885   0.049301  0.049721     17.45    17.75 
CITIGROUP GLOBAL MARKETS 17324CEW2 02/28/17 08/26/22    100.000     0.750     2.9987    152.39   0.092227   0.093298                                     21.87          
CITIGROUP GLOBAL MARKETS 17330ARL8 03/25/22 09/25/25    100.000     0.000     3.5212                        0.097811   0.099533   0.101286  0.103069     27.16    36.49 
CITIGROUP GLOBAL MARKETS 17328WHM3 08/31/20 05/29/26    100.000     0.000     1.3060     17.55   0.036873   0.037114   0.037356   0.037600  0.037846     13.33    13.51 
CITIGROUP GLOBAL MARKETS 17328WYN2 11/30/20 11/30/27    100.000     0.000     1.4941     16.30   0.042125   0.042440   0.042757   0.043077  0.043398     15.24    15.47 
CITIGROUP GLOBAL MARKETS 17329QQS2 09/29/21 09/29/33    100.000    VARIES     1.7344      4.43   0.048178   0.047632   0.047082   0.046437  0.045836     17.14    16.72 
CITIGROUP GLOBAL MARKETS 17329QR36 10/29/21 10/31/28    100.000     0.000     2.2084      3.80   0.061348   0.062025   0.062710   0.063403  0.064103     22.29    22.79 
CITIGROUP GLOBAL MARKETS 17327TF92 01/31/20 02/02/23    100.000     0.000     2.2035     42.97   0.063263   0.063960   0.064665                          23.11     2.00 
CITIGROUP GLOBAL MARKETS 17327T4W3 12/24/19 12/24/24    100.000     0.000     2.4008     49.38   0.069949   0.070789   0.071638   0.072498  0.073369     25.34    25.96 
CITIGROUP GLOBAL MARKETS 17330AAT9 02/28/22 08/27/26    100.000     0.000     2.8110                        0.078082   0.079173   0.080286  0.081414     23.79    28.98 
CITIGROUP GLOBAL MARKETS 17328VF62 04/03/20 04/05/23    100.000     0.000     2.2190     39.26   0.063721   0.064428   0.065143                          23.19     6.12 
CITIGROUP GLOBAL MARKETS 17330AAS1 02/28/22 08/28/25    100.000     0.000     2.6531                        0.073697   0.074675   0.075666  0.076669     22.45    27.31 
CITIGROUP GLOBAL MARKETS 17330AS94 03/23/22 03/23/27    100.000     0.000     3.3824                        0.093956   0.095545   0.097161  0.098804     26.28    35.01 
CITIGROUP GLOBAL MARKETS 17327TET9 12/02/19 12/02/24    100.000     0.000     2.4449     51.87   0.071295   0.072166   0.073048   0.073941  0.074845     25.87    26.51 
CITIGROUP GLOBAL MARKETS 17328VEP1 03/31/20 03/31/25    100.000     0.750     3.2898     58.72   0.095315   0.096197   0.097779   0.098702  0.100326     34.68    35.59 
CITIGROUP GLOBAL MARKETS 17328VW22 07/06/20 07/03/25    100.000     0.000     1.4650     21.93   0.041288   0.041591   0.041895   0.042202  0.042512     15.03    15.25 
CITIGROUP GLOBAL MARKETS 17329FRK2 07/06/21 07/06/26    100.000     0.000     1.5640      7.60   0.043445   0.043785   0.044128   0.044473  0.044820     15.82    16.07 
CITIGROUP GLOBAL MARKETS 17330AQZ8 03/31/22 04/02/27    100.000     0.000     3.7567             0.104354   0.104375   0.106336   0.108333  0.110368     28.46    39.00 
CITIGROUP GLOBAL MARKETS 17329QRJ1 09/30/21 10/02/28    100.000     0.000     1.9703      4.98   0.054738   0.055277   0.055821   0.056371  0.056927     19.90    20.29 
CITIGROUP GLOBAL MARKETS 17325K776 08/03/17 02/05/24    100.000     0.000     3.0276    141.75   0.094855   0.096291   0.097749   0.099229  0.100731     34.83    35.89 
CITIGROUP GLOBAL MARKETS 17329QRG7 10/29/21 10/31/28    100.000     0.000     2.2084      3.80   0.061348   0.062025   0.062710   0.063403  0.064103     22.29    22.79 
CITIGROUP GLOBAL MARKETS 17329FAD6 04/30/21 05/01/31    100.000     0.000     2.5734     17.28   0.072407   0.073339   0.074283   0.075238  0.076206     26.35    27.03 
CITIGROUP GLOBAL MARKETS 17324CFE1 03/10/17 03/10/27    100.000    VARIES     2.9100     19.10   0.010569   0.010723   0.010879   0.011037  0.011198      3.87     3.98 
CITIGROUP GLOBAL MARKETS 17328V5E6 04/15/20 03/31/25    100.000     0.000     2.4947     43.36   0.071848   0.072744   0.073651   0.074570  0.075500     26.19    26.85 
CITIGROUP GLOBAL MARKETS 17325K792 09/14/17 09/14/23    100.000     0.000     2.8890    131.21   0.090008   0.091308   0.092627   0.093965               32.92    23.68 
CITIGROUP GLOBAL MARKETS 17330ARG9 04/05/22 04/05/27    100.000     0.000     3.5796                        0.099433   0.101213   0.103024  0.104868     26.60    37.08 
CITIGROUP GLOBAL MARKETS 17326W423 02/21/19 08/18/22    100.000     0.000     3.2955     98.06   0.099309   0.100945                                     22.84          
CITIGROUP GLOBAL MARKETS 17329FRM8 06/30/21 12/31/26    100.000     0.000     1.7230      8.66   0.048273   0.048689   0.049109   0.049532  0.049958     17.45    17.76 
CITIGROUP GLOBAL MARKETS 17326YK96 03/29/19 03/31/22    100.000     0.000     2.9227     83.27   0.087302                                                 7.77          
CITIGROUP GLOBAL MARKETS 17327TFC5 12/04/19 12/02/22    100.000     0.000     2.3164     48.96   0.067368   0.068148                                     22.44          
CITIGROUP GLOBAL MARKETS 17329FAK0 04/21/21 04/21/31    100.000     0.000     2.5734     17.94   0.072403   0.073334   0.074278   0.075234  0.076202     26.36    27.05 
CITIGROUP GLOBAL MARKETS 17329UGY1 12/23/21 12/26/28    100.000     0.000     2.1480      0.48   0.059678   0.060319   0.060967   0.061622  0.062284     21.61    22.07 
CITIGROUP GLOBAL MARKETS 17328VQB9 05/20/20 05/20/25    100.000     0.000     1.9603     31.99   0.056071   0.056620   0.057175   0.057736  0.058302     20.33    20.73 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17329U6U0 11/24/21 11/22/24    100.000     0.000     1.3362      1.37   0.037118   0.037363   0.037613   0.037864  0.038117     13.43    13.61 
CITIGROUP GLOBAL MARKETS 17325K156 05/24/17 05/24/22    100.000     0.000     2.7177    132.31   0.085241                                                12.19          
CITIGROUP GLOBAL MARKETS 17327TQA7 09/04/19 03/03/23    100.000     0.000     2.1796     51.71   0.063224   0.063913   0.064610                          23.05     4.01 
CITIGROUP GLOBAL MARKETS 17329UGR6 12/27/21 12/24/26    100.000     0.000     1.8910      0.21   0.052529   0.053017   0.053518   0.054024  0.054535     19.01    19.36 
CITIGROUP GLOBAL MARKETS 17328VQN3 04/29/20 04/29/25    100.000     0.000     2.2376     37.92   0.064264   0.064983   0.065710   0.066445  0.067189     23.35    23.88 
CITIGROUP GLOBAL MARKETS 17330AMH2 03/31/22 01/02/26    100.000     0.000     3.6961                        0.102668   0.103638   0.105553  0.107504     28.00    38.35 
CITIGROUP GLOBAL MARKETS 17328VQM5 05/19/20 11/17/23    100.000     0.000     1.6533     26.98   0.047070   0.047459   0.047851   0.048247               17.05    15.19 
CITIGROUP GLOBAL MARKETS 17328YZV9 03/17/21 03/17/31    100.000    VARIES     1.6101     12.65   0.044190   0.043651   0.043405   0.043262  0.043215     15.73    15.58 
CITIGROUP GLOBAL MARKETS 17329QM56 09/03/21 09/03/26    100.000     0.000     1.4843      4.87   0.041229   0.041535   0.041844   0.042154  0.042467     14.97    15.19 
CITIGROUP GLOBAL MARKETS 17324CA55 09/02/16 03/03/22    100.000     0.300     2.2650    126.67   0.069427                                                 4.30          
CITIGROUP GLOBAL MARKETS 17329UYA3 12/17/21 06/20/25    100.000     0.000     1.6041      0.62   0.044564   0.044922   0.045282   0.045645  0.046011     16.12    16.37 
CITIGROUP GLOBAL MARKETS 17328WCK2 10/05/20 10/03/25    100.000     0.000     1.2962     16.14   0.036471   0.036708   0.036946   0.037185  0.037426     13.21    13.39 
CITIGROUP GLOBAL MARKETS 17329UGZ8 12/27/21 12/24/26    100.000     0.000     1.8910      0.21   0.052529   0.053017   0.053518   0.054024  0.054535     19.01    19.36 
CITIGROUP GLOBAL MARKETS 17328W2G2 07/31/20 02/02/26    100.000     0.000     1.3551     19.36   0.038157   0.038415   0.038675   0.038937  0.039201     13.86    14.05 
CITIGROUP GLOBAL MARKETS 17328VA59 03/24/20 09/22/23    100.000     0.000     4.1210     74.90   0.121666   0.124173   0.126732   0.129343               44.75    33.55 
CITIGROUP GLOBAL MARKETS 17327TA55 03/02/20 08/29/25    100.000     0.000     2.1805     40.51   0.062560   0.063238   0.063931   0.064625  0.065333     22.81    23.31 
CITIGROUP GLOBAL MARKETS 17328WTW8 12/03/20 12/04/25    100.000     0.000     1.1771     12.73   0.033084   0.033278   0.033474   0.033671  0.033869     11.96    12.10 
CITIGROUP GLOBAL MARKETS 17328VR44 05/29/20 05/30/25    100.000     0.000     1.9013     30.53   0.054336   0.054852   0.055374   0.055900  0.056432     19.69    20.06 
CITIGROUP GLOBAL MARKETS 17328VQS2 04/30/20 05/01/25    100.000     0.000     2.2285     37.71   0.064001   0.064714   0.065435   0.066164  0.066901     23.25    23.78 
CITIGROUP GLOBAL MARKETS 17326YVM5 01/31/19 02/02/22    100.000     0.000     3.5319    107.64   0.107102                                                 3.32          
CITIGROUP GLOBAL MARKETS 17326Y4G8 04/26/19 04/27/29    100.000     2.000     3.7071    101.76   0.108662   0.108617   0.110630   0.110621  0.112671     39.23    39.95 
CITIGROUP GLOBAL MARKETS 17329QLZ1 09/30/21 10/02/28    100.000     0.000     1.9703      4.98   0.054738   0.055277   0.055821   0.056371  0.056927     19.90    20.29 
CITIGROUP GLOBAL MARKETS 17328WU48 10/23/20 10/25/27    100.000     0.000     1.5475     18.50   0.043657   0.043995   0.044335   0.044678  0.045024     15.82    16.07 
CITIGROUP GLOBAL MARKETS 17329UHD6 11/26/21 11/28/28    100.000     0.000     2.1392      2.08   0.059430   0.060066   0.060708   0.061358  0.062014     21.55    22.02 
CITIGROUP GLOBAL MARKETS 17329UZ61 01/31/22 01/31/29    100.000     0.000     2.5733                        0.071481   0.072401   0.073333  0.074276     23.80    26.52 
CITIGROUP GLOBAL MARKETS 17328YJG0 01/29/21 01/31/29    100.000     0.000     1.6831     15.58   0.047149   0.047546   0.047946   0.048349  0.048756     17.17    17.46 
CITIGROUP GLOBAL MARKETS 17329UYU9 01/31/22 01/29/27    100.000     0.000     2.3464                        0.065177   0.065938   0.066711  0.067494     21.69    24.11 
CITIGROUP GLOBAL MARKETS 17326YF68 03/29/19 03/28/24    100.000     0.000     3.1838     90.98   0.095698   0.097222   0.098770   0.100342  0.101939     35.01    36.13 
CITIGROUP GLOBAL MARKETS 17326YW51 05/31/19 06/03/22    100.000     0.000     2.6953     71.70   0.080069                                                12.17          
CITIGROUP GLOBAL MARKETS 17327P526 08/05/19 08/03/22    100.000     0.000     2.9111     72.02   0.085663   0.086909                                     18.38          
CITIGROUP GLOBAL MARKETS 17328W2Y3 08/05/20 08/04/28    100.000     0.000     1.5941     22.57   0.044988   0.045347   0.045708   0.046072  0.046440     16.37    16.63 
CITIGROUP GLOBAL MARKETS 17326Y4M5 07/03/19 07/01/22    100.000     0.000     2.4527     62.70   0.072401                                                13.03          
CITIGROUP GLOBAL MARKETS 17329U5V9 12/23/21 12/26/28    100.000     0.000     2.1480      0.48   0.059678   0.060319   0.060967   0.061622  0.062284     21.61    22.07 
CITIGROUP GLOBAL MARKETS 17324CPJ9 12/26/17 12/23/22    100.000     0.000     2.9644    125.38   0.092608   0.093981                                     32.85          
CITIGROUP GLOBAL MARKETS 17329FKL7 05/28/21 05/31/28    100.000     0.000     1.9802     11.73   0.055556   0.056106   0.056661   0.057222  0.057789     20.13    20.53 
CITIGROUP GLOBAL MARKETS 17326YU95 03/13/19 03/13/26    100.000     0.000     3.6227    105.80   0.110082   0.112076   0.114106   0.116173  0.118277     40.42    41.90 
CITIGROUP GLOBAL MARKETS 17330FJN2 04/08/22 04/09/26    100.000     0.000     3.5900                        0.099732   0.101522   0.103344  0.105199     26.38    37.18 
CITIGROUP GLOBAL MARKETS 17326YTV8 09/25/18 09/25/23    100.000     1.000     3.1087    104.85   0.092053   0.093484   0.094074   0.095536               33.59    25.10 
CITIGROUP GLOBAL MARKETS 17328Y7E8 01/29/21 01/29/27    100.000     0.000     1.2761     11.80   0.035673   0.035901   0.036130   0.036360  0.036592     12.95    13.12 
CITIGROUP GLOBAL MARKETS 17328WBA5 09/30/20 09/30/30    100.000     0.000     2.0203     25.52   0.057258   0.057836   0.058420   0.059010  0.059606     20.82    21.25 
CITIGROUP GLOBAL MARKETS 17329U5Q0 11/26/21 11/28/28    100.000     0.000     2.1392      2.08   0.059430   0.060066   0.060708   0.061358  0.062014     21.55    22.02 
CITIGROUP GLOBAL MARKETS 17328Y7D0 12/21/20 06/20/24    100.000     0.000     0.7780      8.01   0.021779   0.021864   0.021949   0.022034  0.022120      7.86     7.92 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17328YYU2 03/31/21 03/31/31    100.000    VARIES     1.6136     12.08   0.044063   0.043298   0.041899   0.040919  0.040389     15.53    14.77 
CITIGROUP GLOBAL MARKETS 17328YHR8 02/18/21 05/15/26    100.000     0.000     1.1860     10.34   0.033236   0.033433   0.033631   0.033831  0.034032     12.02    12.16 
CITIGROUP GLOBAL MARKETS 17328VPK0 07/01/20 04/01/24    100.000     0.000     1.2260     18.51   0.034580   0.034792   0.035005   0.035220  0.035436     12.53    12.68 
CITIGROUP GLOBAL MARKETS 17330FJX0 05/02/22 04/30/27    100.000     0.000     4.2079                        0.116886   0.119318   0.121829  0.124392     28.08    43.72 
CITIGROUP GLOBAL MARKETS 17327TPJ9 11/29/19 11/30/22    100.000     0.000     2.0339     43.19   0.058835   0.059433                                     19.46          
CITIGROUP GLOBAL MARKETS 17327TPG5 11/13/19 11/10/22    100.000     0.000     2.2691     49.33   0.065928   0.066676                                     20.51          
CITIGROUP GLOBAL MARKETS 17329UG96 10/29/21 04/29/27    100.000     0.000     2.1885      3.77   0.060791   0.061456   0.062129   0.062809  0.063496     22.09    22.57 
CITIGROUP GLOBAL MARKETS 17328WC71 09/18/20 12/18/25    100.000     0.000     1.2660     16.37   0.035727   0.035953   0.036180   0.036409  0.036640     12.91    13.07 
CITIGROUP GLOBAL MARKETS 17327TPT7 09/30/19 03/30/23    100.000     0.000     2.3505     54.07   0.068415   0.069219   0.070033                          24.92     6.23 
CITIGROUP GLOBAL MARKETS 17329UXG1 01/28/22 07/30/25    100.000     0.000     1.9804             0.055010   0.055016   0.055561   0.056111  0.056667     18.40    20.27 
CITIGROUP GLOBAL MARKETS 17328YHY3 01/29/21 01/29/41    100.000    VARIES     2.6993     24.81   0.074448   0.073934   0.073435   0.072961  0.072520     26.55    26.21 
CITIGROUP GLOBAL MARKETS 17326Y3H7 06/04/19 06/03/22    100.000     0.000     2.7045     71.64   0.080337                                                12.21          
CITIGROUP GLOBAL MARKETS 17328YHW7 02/26/21 02/26/27    100.000     0.000     1.4752     12.54   0.041280   0.041584   0.041891   0.042200  0.042511     14.99    15.21 
CITIGROUP GLOBAL MARKETS 17326YDF0 05/10/19 05/12/22    100.000     0.000     2.9343     80.01   0.087681                                                11.49          
CITIGROUP GLOBAL MARKETS 17329QKY5 09/03/21 09/03/33    100.000    VARIES     1.7822      5.84   0.049505   0.048461   0.047408   0.047000  0.046727     17.39    16.91 
CITIGROUP GLOBAL MARKETS 17324CQ74 12/20/17 06/21/23    100.000     0.000     2.9374    124.72   0.091696   0.093043   0.094409                          33.28    16.05 
CITIGROUP GLOBAL MARKETS 17329FL93 05/21/21 05/21/31    100.000    VARIES     2.1464     13.09   0.059070   0.058512   0.057947   0.057377  0.057221     21.12    20.73 
CITIGROUP GLOBAL MARKETS 17324CQ90 01/30/18 01/30/23    100.000     0.000     3.1864    131.93   0.098867   0.100442   0.102042                          36.35     2.96 
CITIGROUP GLOBAL MARKETS 17328YHU1 02/26/21 02/27/31    100.000     0.000     2.3173     19.73   0.065119   0.065874   0.066637   0.067409  0.068190     23.77    24.32 
CITIGROUP GLOBAL MARKETS 17329U6P1 10/22/21 10/22/36    100.000    VARIES     2.7993      5.37   0.077757   0.075541   0.073294   0.072359  0.071440     27.29    26.09 
CITIGROUP GLOBAL MARKETS 17330FJC6 03/31/22 03/31/37    100.000    VARIES     2.1578                        0.059940   0.058189   0.056419  0.057028     16.08    20.52 
CITIGROUP GLOBAL MARKETS 17328VPY0 06/03/20 12/04/23    100.000     0.000     1.5242     24.25   0.043316   0.043646   0.043979   0.044314               15.67    14.71 
CITIGROUP GLOBAL MARKETS 17330FJH5 04/29/22 04/29/27    100.000     0.000     4.2270                        0.117417   0.119898   0.122432  0.125020     28.57    43.94 
CITIGROUP GLOBAL MARKETS 17328WBY3 08/31/20 03/02/28    100.000     0.000     1.4842     19.96   0.041844   0.042155   0.042467   0.042783  0.043100     15.19    15.42 
CITIGROUP GLOBAL MARKETS 17328VPV6 05/20/20 05/18/28    100.000     0.000     2.3763     38.87   0.068380   0.069193   0.070015   0.070847  0.071688     24.83    25.43 
CITIGROUP GLOBAL MARKETS 17328WSY5 10/30/20 11/01/27    100.000     0.000     1.5642     18.40   0.044134   0.044479   0.044827   0.045178  0.045531     15.99    16.24 
CITIGROUP GLOBAL MARKETS 17328WVK1 11/04/20 11/04/25    100.000     0.000     1.2962     15.08   0.036473   0.036710   0.036947   0.037187  0.037428     13.20    13.37 
CITIGROUP GLOBAL MARKETS 17327TSJ6 10/31/19 10/31/25    100.000     0.000     2.6129     57.95   0.076448   0.077447   0.078459   0.079484  0.080522     27.82    28.56 
CITIGROUP GLOBAL MARKETS 17326Y5W2 05/31/19 06/02/22    100.000     0.000     2.8420     75.72   0.084729                                                12.79          
CITIGROUP GLOBAL MARKETS 17327TSD9 07/24/19 07/22/22    100.000     0.000     2.4497     61.12   0.071433   0.072308                                     14.52          
CITIGROUP GLOBAL MARKETS 17328VSB7 06/03/20 06/05/28    100.000     0.000     2.2772     36.38   0.065449   0.066194   0.066948   0.067710  0.068481     23.73    24.28 
CITIGROUP GLOBAL MARKETS 17325E242 01/05/17 07/03/24    100.000     0.000     3.3441    179.93   0.107825   0.109627   0.111460   0.113324  0.115219     39.79    41.13 
CITIGROUP GLOBAL MARKETS 17328W4Q8 07/31/20 08/02/27    100.000     0.000     1.5441     22.08   0.043561   0.043897   0.044236   0.044577  0.044922     15.84    16.09 
CITIGROUP GLOBAL MARKETS 17328WEQ7 09/30/20 09/30/25    100.000     0.000     1.2862     16.20   0.036189   0.036422   0.036656   0.036892  0.037129     13.11    13.28 
CITIGROUP GLOBAL MARKETS 17328WVS4 10/30/20 07/30/26    100.000     0.000     1.3950     16.40   0.039158   0.039431   0.039706   0.039983  0.040262     14.23    14.43 
CITIGROUP GLOBAL MARKETS 17327TSM9 11/27/19 11/28/22    100.000     0.000     2.2265     47.48   0.064653   0.065372                                     21.27          
CITIGROUP GLOBAL MARKETS 17326YXC5 01/31/19 02/02/22    100.000     0.000     3.5319    107.64   0.107102                                                 3.32          
CITIGROUP GLOBAL MARKETS 17330AP55 04/05/22 04/05/27    100.000     0.000     3.5796                        0.099433   0.101213   0.103024  0.104868     26.60    37.08 
CITIGROUP GLOBAL MARKETS 17329QNT3 10/05/21 10/05/26    100.000     0.000     1.6533      3.95   0.045926   0.046306   0.046689   0.047075  0.047464     16.67    16.94 
CITIGROUP GLOBAL MARKETS 17324CC53 11/28/16 05/26/22    100.000     0.250     2.7754    149.84   0.087448                                                12.68          
CITIGROUP GLOBAL MARKETS 17330AP48 03/17/22 03/12/26    100.000     0.000     3.1664                        0.087957   0.089311   0.090725  0.092161     25.13    32.72 
CITIGROUP GLOBAL MARKETS 17326YXR2 04/30/19 04/28/22    100.000     0.000     2.9308     80.79   0.087540                                                10.24          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17328VSX9 06/22/20 06/22/28    100.000     0.000     2.4751     38.23   0.071337   0.072219   0.073113   0.074018  0.074934     25.86    26.50 
CITIGROUP GLOBAL MARKETS 17328W4W5 08/03/20 05/02/24    100.000     0.000     1.0070     14.28   0.028326   0.028469   0.028612   0.028756  0.028901     10.24    10.34 
CITIGROUP GLOBAL MARKETS 17329UJJ1 11/26/21 11/27/26    100.000     0.000     1.8613      1.81   0.051704   0.052185   0.052671   0.053161  0.053656     18.73    19.08 
CITIGROUP GLOBAL MARKETS 17327TT97 02/11/20 02/10/22    100.000     0.000     1.8965     36.30   0.054190                                                 2.11          
CITIGROUP GLOBAL MARKETS 17328VSU5 04/29/20 10/27/23    100.000     0.000     1.9316     32.68   0.055219   0.055753   0.056291   0.056835               20.04    16.76 
CITIGROUP GLOBAL MARKETS 17327TT63 01/31/20 02/02/23    100.000     0.000     2.2035     42.97   0.063263   0.063960   0.064665                          23.11     2.00 
CITIGROUP GLOBAL MARKETS 17327TSV9 08/14/19 08/13/26    100.000     0.000     2.5545     62.31   0.074649   0.075602   0.076568   0.077546  0.078536     27.31    28.01 
CITIGROUP GLOBAL MARKETS 17328WF60 09/03/20 09/05/25    100.000     0.000     1.1571     15.44   0.032518   0.032706   0.032895   0.033086  0.033277     11.78    11.92 
CITIGROUP GLOBAL MARKETS 17326YGW0 03/29/19 03/30/22    100.000     0.000     2.9164     83.08   0.087101                                                 7.75          
CITIGROUP GLOBAL MARKETS 17326YY59 03/01/19 03/03/25    100.000     1.000     3.5616    104.28   0.106034   0.106933   0.108837   0.109786  0.111741     38.66    39.69 
CITIGROUP GLOBAL MARKETS 17326YY67 05/23/19 05/25/22    100.000     0.000     2.8574     76.74   0.085219                                                12.27          
CITIGROUP GLOBAL MARKETS 17330FLS8 05/06/22 05/08/24    100.000     0.000     3.9650             0.110138   0.110162   0.112346   0.114573  0.116845     26.00    41.08 
CITIGROUP GLOBAL MARKETS 17325K263 07/06/17 01/03/24    100.000     0.000     3.1136    148.67   0.097842   0.099365   0.100912   0.102483  0.104079     36.04    37.17 
CITIGROUP GLOBAL MARKETS 17329FML5 06/30/21 06/30/31    100.000     0.000     2.3860     12.00   0.067068   0.067869   0.068678   0.069498  0.070327     24.29    24.87 
CITIGROUP GLOBAL MARKETS 17328W3C0 07/20/20 07/18/25    100.000     0.000     1.3751     20.03   0.038721   0.038987   0.039255   0.039525  0.039797     14.07    14.27 
CITIGROUP GLOBAL MARKETS 17328WUD8 10/30/20 02/01/27    100.000     0.000     1.4941     17.57   0.041969   0.042283   0.042599   0.042917  0.043238     15.26    15.49 
CITIGROUP GLOBAL MARKETS 17330FM81 05/09/22 05/08/25    100.000     0.000     4.2771                        0.118808   0.121334   0.123929  0.126579     27.70    44.43 
CITIGROUP GLOBAL MARKETS 17329QMJ6 08/06/21 08/06/26    100.000     0.000     1.4152      5.70   0.039310   0.039588   0.039868   0.040150  0.040434     14.28    14.49 
CITIGROUP GLOBAL MARKETS 17327TRQ1 07/31/19 01/30/25    100.000     0.000     2.8012     69.63   0.082263   0.083415   0.084584   0.085768  0.086970     30.17    31.02 
CITIGROUP GLOBAL MARKETS 17328YJX3 02/26/21 02/28/28    100.000     0.000     1.7232     14.65   0.048284   0.048701   0.049120   0.049543  0.049970     17.56    17.86 
CITIGROUP GLOBAL MARKETS 17326YFF8 05/03/19 05/05/22    100.000     0.000     2.9032     79.75   0.086685                                                10.75          
CITIGROUP GLOBAL MARKETS 17326YFG6 02/28/19 03/01/22    100.000    VARIES     2.5400     73.12   0.072944                                                 4.38          
CITIGROUP GLOBAL MARKETS 17328YJV7 03/03/21 03/03/26    100.000     0.000     1.3652     11.33   0.038181   0.038442   0.038704   0.038969  0.039235     13.85    14.04 
CITIGROUP GLOBAL MARKETS 17330ANM0 03/17/22 03/12/26    100.000     0.000     3.1664                        0.087957   0.089311   0.090725  0.092161     25.13    32.72 
CITIGROUP GLOBAL MARKETS 17324CAQ9 09/30/16 03/31/22    100.000     0.250     2.2317    122.94   0.068452                                                 6.09          
CITIGROUP GLOBAL MARKETS 17324P784 10/05/16 04/03/24    100.000     0.000     2.6555    148.23   0.084150   0.085268   0.086400   0.087547  0.088709     30.69    31.51 
CITIGROUP GLOBAL MARKETS 17328W3W6 07/31/20 07/31/25    100.000     0.000     1.2561     17.94   0.035332   0.035554   0.035777   0.036002  0.036228     12.83    12.99 
CITIGROUP GLOBAL MARKETS 17330AMQ2 03/15/22 03/16/37    100.000    VARIES     3.9112                        0.108657   0.107368   0.106072  0.105898     30.94    38.26 
CITIGROUP GLOBAL MARKETS 17328VB58 03/31/20 07/01/24    100.000     0.000     3.2340     57.88   0.095033   0.095033   0.098132   0.098132  0.101331     34.49    35.61 
CITIGROUP GLOBAL MARKETS 17326Y5K8 06/14/19 12/15/22    100.000     0.000     2.5783     67.44   0.076361   0.077346                                     26.45          
CITIGROUP GLOBAL MARKETS 17328WV96 12/01/20 03/02/26    100.000     0.000     1.2860     13.99   0.036070   0.036302   0.036535   0.036770  0.037007     13.08    13.25 
CITIGROUP GLOBAL MARKETS 17328VRU6 06/30/20 06/30/25    100.000     0.000     1.5040     22.77   0.042727   0.043048   0.043372   0.043698  0.044027     15.44    15.67 
CITIGROUP GLOBAL MARKETS 17326YFJ0 06/28/19 12/31/24    100.000     0.000     2.6784     69.02   0.079530   0.080595   0.081674   0.082768  0.083876     28.82    29.60 
CITIGROUP GLOBAL MARKETS 17326YFK7 04/03/19 04/01/22    100.000     0.000     2.9546     83.85   0.088302                                                 7.95          
CITIGROUP GLOBAL MARKETS 17326YWM4 07/02/19 01/03/23    100.000     0.000     2.5315     64.84   0.073952   0.074888   0.075836                          27.13     0.15 
CITIGROUP GLOBAL MARKETS 17328YK94 02/26/21 02/28/28    100.000     0.000     1.7232     14.65   0.048284   0.048701   0.049120   0.049543  0.049970     17.56    17.86 
CITIGROUP GLOBAL MARKETS 17326YG34 06/28/19 06/30/22    100.000     0.000     2.3796     61.13   0.070136                                                12.55          
CITIGROUP GLOBAL MARKETS 17324CBD7 11/02/16 05/03/22    100.000     0.250     2.4155    131.26   0.074774                                                 9.12          
CITIGROUP GLOBAL MARKETS 17326YX43 05/22/19 05/20/22    100.000     0.000     2.8898     77.73   0.086229                                                11.99          
CITIGROUP GLOBAL MARKETS 17326YFQ4 04/30/19 10/30/24    100.000     0.000     3.2236     89.15   0.096996   0.098560   0.100148   0.101762  0.103402     35.39    36.54 
CITIGROUP GLOBAL MARKETS 17330AYY2 04/05/22 04/05/27    100.000     0.000     3.5796                        0.099433   0.101213   0.103024  0.104868     26.60    37.08 
CITIGROUP GLOBAL MARKETS 17329Q7D6 09/03/21 09/03/26    100.000     0.000     1.4843      4.87   0.041229   0.041535   0.041844   0.042154  0.042467     14.97    15.19 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17329QYD6 11/03/21 11/03/26    100.000     0.000     2.0494      3.30   0.056929   0.057512   0.058102   0.058697  0.059299     20.67    21.09 
CITIGROUP GLOBAL MARKETS 17328YEA8 01/29/21 04/30/26    100.000     0.000     1.1770     10.89   0.032986   0.033180   0.033375   0.033571  0.033769     11.93    12.07 
CITIGROUP GLOBAL MARKETS 17329UTN1 01/31/22 01/31/29    100.000     0.000     2.5733                        0.071481   0.072401   0.073333  0.074276     23.80    26.52 
CITIGROUP GLOBAL MARKETS 17329FHB3 07/06/21 07/06/26    100.000     0.000     1.5640      7.60   0.043445   0.043785   0.044128   0.044473  0.044820     15.82    16.07 
CITIGROUP GLOBAL MARKETS 17328YEM2 02/03/21 02/05/29    100.000     0.000     1.7231     15.76   0.048282   0.048698   0.049118   0.049541  0.049968     17.58    17.88 
CITIGROUP GLOBAL MARKETS 17328VME7 05/20/20 05/22/28    100.000     0.000     2.3713     38.79   0.068249   0.069058   0.069877   0.070706  0.071544     24.78    25.37 
CITIGROUP GLOBAL MARKETS 17329QHM5 08/31/21 08/31/28    100.000     0.000     1.9013      6.39   0.052814   0.053310   0.053822   0.054328  0.054851     19.23    19.59 
CITIGROUP GLOBAL MARKETS 17329UTY7 02/03/22 02/04/27    100.000     0.000     2.4354                        0.067656   0.068480   0.069314  0.070158     22.31    25.05 
CITIGROUP GLOBAL MARKETS 17328WPG7 10/19/20 10/19/27    100.000     0.000     1.5142     18.27   0.042700   0.043024   0.043349   0.043677  0.044008     15.48    15.71 
CITIGROUP GLOBAL MARKETS 17329U2U4 10/06/21 10/05/28    100.000     1.000     2.0590      4.86   0.057195   0.057781   0.057804   0.058399  0.058428     20.75    20.97 
CITIGROUP GLOBAL MARKETS 17327TMF0 12/24/19 12/22/22    100.000     0.000     2.1805     44.77   0.063248   0.063937                                     22.32          
CITIGROUP GLOBAL MARKETS 17329QYM6 10/29/21 10/31/28    100.000     0.000     2.2084      3.80   0.061348   0.062025   0.062710   0.063403  0.064103     22.29    22.79 
CITIGROUP GLOBAL MARKETS 17328YEG5 01/25/21 07/25/24    100.000     0.000     0.7090      6.63   0.019765   0.019836   0.019906   0.019976  0.020047      7.15     7.20 
CITIGROUP GLOBAL MARKETS 17324CMJ2 09/21/17 09/21/27    100.000    VARIES     2.7273     20.30   0.012426   0.012595   0.012767   0.012941  0.013117      4.54     4.66 
CITIGROUP GLOBAL MARKETS 17329UD40 11/22/21 11/22/33    100.000    VARIES     1.8518      2.01   0.051439   0.050451   0.049903   0.049703  0.049639     18.28    17.92 
CITIGROUP GLOBAL MARKETS 17329F7G3 04/30/21 05/02/28    100.000     0.000     2.0793     13.96   0.058366   0.058973   0.059586   0.060206  0.060832     21.19    21.64 
CITIGROUP GLOBAL MARKETS 17328YET7 12/30/20 12/30/27    100.000     0.000     1.4932     15.03   0.042099   0.042414   0.042730   0.043049  0.043371     15.21    15.44 
CITIGROUP GLOBAL MARKETS 17329FZ72 06/25/21 06/27/29    100.000     0.000     2.1190     10.95   0.059493   0.060123   0.060760   0.061404  0.062054     21.54    21.99 
CITIGROUP GLOBAL MARKETS 17324CMP8 10/30/17 10/28/22    100.000     0.000     2.7828    122.16   0.086324   0.087525                                     25.85          
CITIGROUP GLOBAL MARKETS 17324CMQ6 10/31/17 05/01/23    100.000     0.750     2.8328    122.78   0.085583   0.086501   0.087431                          31.09    10.49 
CITIGROUP GLOBAL MARKETS 17324P248 06/03/16 12/05/23    100.000     0.000     2.8709    172.35   0.093300   0.094639   0.095997   0.097375               33.90    32.31 
CITIGROUP GLOBAL MARKETS 17330AYL0 04/29/22 05/01/29    100.000     0.000     4.3735             0.121485   0.121515   0.124172   0.126887  0.129662     29.57    45.52 
CITIGROUP GLOBAL MARKETS 17324CN28 10/12/17 10/12/22    100.000     0.000     2.8215    125.52   0.087669   0.088906                                     24.86          
CITIGROUP GLOBAL MARKETS 17330AHM7 03/16/22 09/16/24    100.000     0.000     2.9501                        0.081948   0.083156   0.084383  0.085628     23.48    30.42 
CITIGROUP GLOBAL MARKETS 17328WPW2 10/30/20 11/01/27    100.000     0.000     1.5642     18.40   0.044134   0.044479   0.044827   0.045178  0.045531     15.99    16.24 
CITIGROUP GLOBAL MARKETS 17326YAH9 07/03/19 07/03/24    100.000     0.000     2.5848     66.16   0.075584   0.076561   0.077550   0.078553  0.079568     27.74    28.46 
CITIGROUP GLOBAL MARKETS 17328YVZ4 04/06/21 04/06/29    100.000     0.000     2.3564     17.41   0.066228   0.067008   0.067797   0.068596  0.069405     24.12    24.69 
CITIGROUP GLOBAL MARKETS 17327TN28 02/04/20 12/05/22    100.000     0.000     2.0124     38.97   0.057995   0.058579                                     19.48          
CITIGROUP GLOBAL MARKETS 17330AYV8 03/30/22 03/28/25    100.000     0.000     3.4925                        0.097014   0.098689   0.100412  0.102166     26.45    36.16 
CITIGROUP GLOBAL MARKETS 17328WPR3 11/04/20 11/04/25    100.000     0.000     1.2962     15.08   0.036473   0.036710   0.036947   0.037187  0.037428     13.20    13.37 
CITIGROUP GLOBAL MARKETS 17324CLB0 09/01/17 03/03/23    100.000     0.500     2.7655    125.22   0.084136   0.085108   0.086092                          30.69     5.34 
CITIGROUP GLOBAL MARKETS 17330F5C1 04/08/22 04/10/25    100.000     2.000     3.5191                        0.097751   0.099491   0.099286  0.101033     25.85    35.90 
CITIGROUP GLOBAL MARKETS 17330AXV9 03/30/22 03/31/27    100.000     0.000     3.5996                        0.099989   0.101789   0.103621  0.105486     27.26    37.31 
CITIGROUP GLOBAL MARKETS 17324CLA2 08/02/17 08/02/27    100.000    VARIES     2.7689     19.99   0.011869   0.012033   0.012200   0.012369  0.012540      4.35     4.47 
CITIGROUP GLOBAL MARKETS 17328VKX7 05/05/20 05/04/23    100.000     0.000     1.6435     27.48   0.046785   0.047169   0.047557                          16.96     5.85 
CITIGROUP GLOBAL MARKETS 17328YDA9 01/29/21 01/31/28    100.000     0.000     1.4841     13.73   0.041533   0.041841   0.042152   0.042464  0.042779     15.10    15.33 
CITIGROUP GLOBAL MARKETS 17328VL81 05/20/20 05/20/25    100.000     0.000     1.9603     31.99   0.056071   0.056620   0.057175   0.057736  0.058302     20.33    20.73 
CITIGROUP GLOBAL MARKETS 17330F5D9 04/29/22 04/29/37    100.000    VARIES     4.9132                        0.136477   0.134370   0.132212  0.130001     32.90    47.71 
CITIGROUP GLOBAL MARKETS 17329FGA6 05/24/21 11/24/26    100.000     0.000     1.7032     10.28   0.047714   0.048121   0.048530   0.048944  0.049361     17.28    17.58 
CITIGROUP GLOBAL MARKETS 17330F5F4 04/29/22 10/30/25    100.000     0.000     4.1497                        0.115282   0.117674   0.120116  0.122608     28.04    43.10 
CITIGROUP GLOBAL MARKETS 17329USL6 12/06/21 12/06/28    100.000     0.000     2.1582      1.50   0.059950   0.060597   0.061251   0.061911  0.062580     21.73    22.20 
CITIGROUP GLOBAL MARKETS 17328VL65 06/03/20 06/03/25    100.000     0.000     1.8512     29.51   0.052864   0.053353   0.053847   0.054345  0.054848     19.15    19.50 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17328VL40 06/22/20 06/20/25    100.000     0.500     1.4840     22.77   0.041942   0.042047   0.042359   0.042468  0.042783     15.12    15.27 
CITIGROUP GLOBAL MARKETS 17328Y2Y9 12/24/20 03/26/26    100.000     0.000     1.2260     12.55   0.034372   0.034583   0.034795   0.035008  0.035223     12.45    12.61 
CITIGROUP GLOBAL MARKETS 17326E530 01/03/18 01/04/23    100.000     0.000     2.9118    122.40   0.089501   0.090805   0.092127                          32.92     0.28 
CITIGROUP GLOBAL MARKETS 17329Q6K1 08/02/21 02/02/27    100.000     0.000     1.5942      6.60   0.044283   0.044636   0.044991   0.045350  0.045712     16.11    16.37 
CITIGROUP GLOBAL MARKETS 17330FG47 05/04/22 05/02/25    100.000     0.000     4.1400                        0.115000   0.117354   0.119784  0.122263     27.39    42.97 
CITIGROUP GLOBAL MARKETS 17330AYG1 04/29/22 05/01/29    100.000     0.000     4.3735             0.121485   0.121515   0.124172   0.126887  0.129662     29.57    45.52 
CITIGROUP GLOBAL MARKETS 17324CLG9 09/01/17 09/01/22    100.000     0.000     2.6788    122.24   0.082767   0.083876                                     20.06          
CITIGROUP GLOBAL MARKETS 17330FG39 04/27/22 04/25/24    100.000     0.000     3.8181                        0.106058   0.108060   0.110123  0.112226     26.01    39.55 
CITIGROUP GLOBAL MARKETS 17329QXG0 07/30/21 08/01/28    100.000     0.000     1.8422      7.73   0.051174   0.051645   0.052121   0.052601  0.053086     18.65    18.99 
CITIGROUP GLOBAL MARKETS 17329FY81 06/22/21 06/22/26    100.000    VARIES     2.0841     10.94   0.057337   0.056924   0.056667   0.056563  0.056596     20.56    20.38 
CITIGROUP GLOBAL MARKETS 17329QGU8 08/31/21 03/03/27    100.000     0.000     1.6733      5.62   0.046486   0.046875   0.047267   0.047663  0.048062     16.90    17.18 
CITIGROUP GLOBAL MARKETS 17324P156 05/05/16 11/03/23    100.000     0.000     2.9324    179.00   0.095583   0.096985   0.098407   0.099850               34.83    29.98 
CITIGROUP GLOBAL MARKETS 17324CLR5 08/17/17 08/17/27    100.000    VARIES     2.6967     20.72   0.012436   0.012603   0.012773   0.012946  0.013120      4.55     4.68 
CITIGROUP GLOBAL MARKETS 17324CLU8 08/25/17 08/25/29    100.000    VARIES     2.5876     10.81   0.006618   0.006703   0.006790   0.006878  0.006967      2.42     2.48 
CITIGROUP GLOBAL MARKETS 17329QH29 08/31/21 08/31/28    100.000     0.000     1.9013      6.39   0.052814   0.053310   0.053822   0.054328  0.054851     19.23    19.59 
CITIGROUP GLOBAL MARKETS 17328VLH1 05/20/20 05/20/25    100.000     0.000     1.9603     31.99   0.056071   0.056620   0.057175   0.057736  0.058302     20.33    20.73 
CITIGROUP GLOBAL MARKETS 17329QXR6 10/20/21 10/20/31    100.000    VARIES     1.7328      3.42   0.048132   0.047586   0.047036   0.047080  0.047138     17.15    16.95 
CITIGROUP GLOBAL MARKETS 17329FH23 05/28/21 05/30/31    100.000     0.000     2.5342     15.02   0.071297   0.072200   0.073115   0.074042  0.074980     25.89    26.55 
CITIGROUP GLOBAL MARKETS 17328Y3M4 12/24/20 12/27/27    100.000     0.000     1.4840     15.19   0.041842   0.042152   0.042465   0.042780  0.043098     15.12    15.35 
CITIGROUP GLOBAL MARKETS 17328YUP7 03/31/21 03/30/28    100.000     0.000     2.0694     15.63   0.058078   0.058679   0.059286   0.059899  0.060519     21.13    21.57 
CITIGROUP GLOBAL MARKETS 17328YDL5 01/25/21 01/25/31    100.000    VARIES     1.4542     13.52   0.040082   0.039768   0.039119   0.038551  0.038088     14.22    13.82 
CITIGROUP GLOBAL MARKETS 17328YUN2 03/01/21 02/27/26    100.000     0.000     1.1861      9.91   0.033139   0.033336   0.033534   0.033732  0.033933     12.01    12.16 
CITIGROUP GLOBAL MARKETS 17326YQL3 04/15/19 04/14/22    100.000     0.000     3.0130     84.48   0.090185                                                 9.29          
CITIGROUP GLOBAL MARKETS 17329UTG6 01/31/22 01/31/29    100.000     0.000     2.5733                        0.071481   0.072401   0.073333  0.074276     23.80    26.52 
CITIGROUP GLOBAL MARKETS 17330A6P2 03/03/22 03/04/27    100.000     0.000     2.9590                        0.082201   0.083417   0.084651  0.085903     24.64    30.54 
CITIGROUP GLOBAL MARKETS 17324CM86 09/29/17 09/29/22    100.000     0.000     2.7794    124.67   0.086218   0.087417                                     23.32          
CITIGROUP GLOBAL MARKETS 17330A6Q0 02/24/22 02/23/26    100.000     0.000     2.6729                        0.074248   0.075234   0.076240  0.077259     22.92    27.52 
CITIGROUP GLOBAL MARKETS 17329F6W9 04/28/21 04/26/24    100.000     0.000     0.9482      6.41   0.026461   0.026587   0.026713   0.026839  0.026966      9.56     9.66 
CITIGROUP GLOBAL MARKETS 17330AGQ9 03/03/22 03/04/27    100.000     0.000     2.9590                        0.082201   0.083417   0.084651  0.085903     24.64    30.54 
CITIGROUP GLOBAL MARKETS 17329QXY1 10/29/21 04/29/27    100.000     0.000     2.1885      3.77   0.060791   0.061456   0.062129   0.062809  0.063496     22.09    22.57 
CITIGROUP GLOBAL MARKETS 17329QGW4 08/04/21 08/03/28    100.000     0.000     1.8322      7.48   0.050894   0.051357   0.051828   0.052303  0.052782     18.54    18.88 
CITIGROUP GLOBAL MARKETS 17330AY55 04/29/22 05/01/29    100.000     0.000     4.3735             0.121485   0.121515   0.124172   0.126887  0.129662     29.57    45.52 
CITIGROUP GLOBAL MARKETS 17329F6U3 04/30/21 05/02/28    100.000     0.000     2.0793     13.96   0.058366   0.058973   0.059586   0.060206  0.060832     21.19    21.64 
CITIGROUP GLOBAL MARKETS 17329UF71 11/26/21 11/28/28    100.000     0.000     2.1392      2.08   0.059430   0.060066   0.060708   0.061358  0.062014     21.55    22.02 
CITIGROUP GLOBAL MARKETS 17328WAA6 09/30/20 09/30/27    100.000     0.000     1.5842     19.97   0.044706   0.045060   0.045417   0.045777  0.046139     16.22    16.48 
CITIGROUP GLOBAL MARKETS 17328Y6B5 02/03/21 02/03/26    100.000     0.000     1.0671      9.75   0.029800   0.029959   0.030118   0.030279  0.030441     10.80    10.92 
CITIGROUP GLOBAL MARKETS 17329U4N8 11/26/21 11/28/28    100.000     0.000     2.1392      2.08   0.059430   0.060066   0.060708   0.061358  0.062014     21.55    22.02 
CITIGROUP GLOBAL MARKETS 17326YCA2 04/26/19 04/26/29    100.000    VARIES     3.0551     13.10   0.012195   0.012381   0.012570   0.012762  0.012957      4.45     4.58 
CITIGROUP GLOBAL MARKETS 17329FJR6 06/30/21 06/29/28    100.000     0.000     1.9800      9.96   0.055541   0.056091   0.056646   0.057207  0.057774     20.10    20.50 
CITIGROUP GLOBAL MARKETS 17328YY24 04/06/21 10/05/26    100.000     0.000     1.8324     13.53   0.051363   0.051834   0.052309   0.052788  0.053271     18.66    19.00 
CITIGROUP GLOBAL MARKETS 17328Y6K5 01/12/21 01/10/25    100.000     0.000     0.8580      8.34   0.023935   0.024038   0.024141   0.024245  0.024349      8.67     8.75 
CITIGROUP GLOBAL MARKETS 17329U4U2 11/17/21 11/17/31    100.000    VARIES     1.8560      2.27   0.051556   0.050875   0.050187   0.050144  0.050199     18.38    18.06 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17328YXX7 03/31/21 03/30/28    100.000     0.000     2.0694     15.63   0.058078   0.058679   0.059286   0.059899  0.060519     21.13    21.57 
CITIGROUP GLOBAL MARKETS 17328YHB3 12/30/20 12/30/27    100.000     0.000     1.4932     15.03   0.042099   0.042414   0.042730   0.043049  0.043371     15.21    15.44 
CITIGROUP GLOBAL MARKETS 17329FKC7 05/28/21 05/31/28    100.000     0.000     1.9802     11.73   0.055556   0.056106   0.056661   0.057222  0.057789     20.13    20.53 
CITIGROUP GLOBAL MARKETS 17326Y2M7 03/05/19 03/03/22    100.000     0.000     3.2140     94.19   0.096667                                                 5.99          
CITIGROUP GLOBAL MARKETS 17328YHA5 01/29/21 01/31/28    100.000     0.000     1.4841     13.73   0.041533   0.041841   0.042152   0.042464  0.042779     15.10    15.33 
CITIGROUP GLOBAL MARKETS 17330AJU7 03/23/22 03/23/26    100.000     0.000     3.4519                        0.095885   0.097540   0.099223  0.100936     26.82    35.75 
CITIGROUP GLOBAL MARKETS 17328WRX8 11/30/20 05/30/24    100.000     0.000     0.8281      9.02   0.023193   0.023289   0.023385   0.023482  0.023579      8.37     8.44 
CITIGROUP GLOBAL MARKETS 17329UWL1 12/23/21 12/24/26    100.000     0.000     1.9011      0.42   0.052810   0.053312   0.053819   0.054330  0.054847     19.11    19.47 
CITIGROUP GLOBAL MARKETS 17328VP61 05/20/20 05/20/25    100.000     0.000     1.9603     31.99   0.056071   0.056620   0.057175   0.057736  0.058302     20.33    20.73 
CITIGROUP GLOBAL MARKETS 17328WB80 08/21/20 11/21/25    100.000     0.000     1.2860     17.61   0.036301   0.036534   0.036769   0.037005  0.037243     13.13    13.30 
CITIGROUP GLOBAL MARKETS 17326YS72 04/23/19 04/21/22    100.000     0.000     3.0064     83.57   0.089964                                                 9.90          
CITIGROUP GLOBAL MARKETS 17329QZJ2 10/29/21 10/31/28    100.000     0.000     2.2084      3.80   0.061348   0.062025   0.062710   0.063403  0.064103     22.29    22.79 
CITIGROUP GLOBAL MARKETS 17326YB62 02/20/19 02/17/22    100.000     0.000     3.2683     97.32   0.098423                                                 4.53          
CITIGROUP GLOBAL MARKETS 17329FZJ6 07/30/21 08/01/28    100.000     0.000     1.8422      7.73   0.051174   0.051645   0.052121   0.052601  0.053086     18.65    18.99 
CITIGROUP GLOBAL MARKETS 17324CNH5 12/04/17 12/02/22    100.000     0.000     2.8697    123.14   0.089324   0.090606                                     29.80          
CITIGROUP GLOBAL MARKETS 17328Y5D2 02/02/21 02/02/28    100.000     0.000     1.4841     13.61   0.041531   0.041840   0.042150   0.042463  0.042778     15.10    15.32 
CITIGROUP GLOBAL MARKETS 17329UV24 01/31/22 01/31/29    100.000     0.000     2.5733                        0.071481   0.072401   0.073333  0.074276     23.80    26.52 
CITIGROUP GLOBAL MARKETS 17324CNA0 10/31/17 10/31/22    100.000     0.000     2.7777    121.92   0.086161   0.087358                                     25.98          
CITIGROUP GLOBAL MARKETS 17326YAR7 06/05/19 06/03/22    100.000     0.000     2.6588     70.31   0.078886                                                11.99          
CITIGROUP GLOBAL MARKETS 17330F7M7 04/21/22 04/23/24    100.000     0.000     3.5326             0.098127   0.098146   0.099880   0.101644  0.103439     24.65    36.52 
CITIGROUP GLOBAL MARKETS 17330F7L9 04/29/22 05/01/25    100.000     0.000     4.0129             0.111470   0.111494   0.113731   0.116013  0.118341     27.12    41.63 
CITIGROUP GLOBAL MARKETS 17327TMZ6 08/30/19 03/04/25    100.000     0.000     2.1981     52.41   0.063804   0.064505   0.065214   0.065930  0.066655     23.26    23.77 
CITIGROUP GLOBAL MARKETS 17328YFN9 01/29/21 01/31/28    100.000     0.000     1.4841     13.73   0.041533   0.041841   0.042152   0.042464  0.042779     15.10    15.33 
CITIGROUP GLOBAL MARKETS 17327TNH5 07/31/19 02/01/23    100.000     0.000     2.4950     61.84   0.072835   0.073744   0.074664                          26.66     2.24 
CITIGROUP GLOBAL MARKETS 17328Y5K6 12/24/20 09/24/26    100.000     0.000     1.2860     13.16   0.036068   0.036300   0.036533   0.036768  0.037005     13.07    13.24 
CITIGROUP GLOBAL MARKETS 17324CNJ1 12/04/17 06/02/23    100.000     0.750     2.9364    124.49   0.089065   0.090067   0.091084                          32.30    13.75 
CITIGROUP GLOBAL MARKETS 17326YS98 03/29/19 03/31/22    100.000     0.000     2.9227     83.27   0.087302                                                 7.77          
CITIGROUP GLOBAL MARKETS 17328YWJ9 03/31/21 03/31/31    100.000     0.000     2.6134     19.76   0.073544   0.074505   0.075478   0.076465  0.077464     26.82    27.53 
CITIGROUP GLOBAL MARKETS 17327TNB8 09/19/19 09/21/22    100.000     0.000     2.4325     56.78   0.070925   0.071788                                     18.60          
CITIGROUP GLOBAL MARKETS 17327TND4 11/05/19 11/03/22    100.000     0.000     1.6705     36.52   0.047968   0.048368                                     14.56          
CITIGROUP GLOBAL MARKETS 17330FHV6 04/08/22 04/10/24    100.000     0.000     3.3654             0.093483   0.093501   0.095074   0.096674  0.098301     24.72    34.78 
CITIGROUP GLOBAL MARKETS 17328YWY6 03/31/21 04/01/27    100.000     0.000     1.8423     13.91   0.051650   0.052126   0.052606   0.053091  0.053580     18.77    19.11 
CITIGROUP GLOBAL MARKETS 17324P396 08/03/16 02/05/24    100.000     0.000     2.5904    149.45   0.081851   0.082911   0.083985   0.085072  0.086174     29.97    30.75 
CITIGROUP GLOBAL MARKETS 17329FZY3 07/30/21 08/01/28    100.000     0.000     1.8422      7.73   0.051174   0.051645   0.052121   0.052601  0.053086     18.65    18.99 
CITIGROUP GLOBAL MARKETS 17330F6Z9 04/08/22 04/08/27    100.000     0.000     3.6386                        0.101073   0.102912   0.104785  0.106691     26.74    37.70 
CITIGROUP GLOBAL MARKETS 17328VNJ5 06/22/20 03/21/24    100.000     0.000     1.2560     19.29   0.035439   0.035661   0.035885   0.036111  0.036337     12.84    13.00 
CITIGROUP GLOBAL MARKETS 17329FZT4 07/30/21 08/01/28    100.000     0.000     1.8422      7.73   0.051174   0.051645   0.052121   0.052601  0.053086     18.65    18.99 
CITIGROUP GLOBAL MARKETS 17329FJC9 05/28/21 05/31/28    100.000     0.000     1.9802     11.73   0.055556   0.056106   0.056661   0.057222  0.057789     20.13    20.53 
CITIGROUP GLOBAL MARKETS 17330AZR6 04/29/22 05/01/29    100.000     0.000     4.3735             0.121485   0.121515   0.124172   0.126887  0.129662     29.57    45.52 
CITIGROUP GLOBAL MARKETS 17329U4J7 11/29/21 11/27/26    100.000     0.000     1.9803      1.76   0.055008   0.055546   0.056096   0.056652  0.057213     19.94    20.33 
CITIGROUP GLOBAL MARKETS 17330AZU9 04/29/22 04/29/27    100.000     0.000     4.2270                        0.117417   0.119898   0.122432  0.125020     28.57    43.94 
CITIGROUP GLOBAL MARKETS 17326YSN7 02/28/19 03/04/24    100.000     0.000     3.5717    105.88   0.108461   0.110398   0.112370   0.114376  0.116419     39.85    41.29 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17330AJ78 04/05/22 04/05/27    100.000     0.000     3.5796                        0.099433   0.101213   0.103024  0.104868     26.60    37.08 
CITIGROUP GLOBAL MARKETS 17328WA73 08/31/20 08/31/27    100.000     0.000     1.4842     19.96   0.041841   0.042148   0.042464   0.042776  0.043097     15.19    15.42 
CITIGROUP GLOBAL MARKETS 17327TNS1 09/03/19 09/03/24    100.000     0.000     1.8671     44.22   0.053829   0.054331   0.054839   0.055351  0.055867     19.59    19.96 
CITIGROUP GLOBAL MARKETS 1730T0A90 10/30/13 10/30/33    100.000    VARIES     4.6216    329.73   0.110316   0.111675   0.113065   0.114488  0.115944     40.13    41.14 
CITIGROUP GLOBAL MARKETS 17323P496 01/05/16 07/06/23    100.000     0.000     3.1941    208.99   0.105629   0.107316   0.109030   0.110771               38.93    20.48 
CITIGROUP GLOBAL MARKETS 1730T0A82 11/15/13 11/15/28    100.000    VARIES     4.5367    326.16   0.110697   0.111880   0.113089   0.114325  0.115590     40.17    41.05 
CITIGROUP GLOBAL MARKETS 1730T0R76 06/27/14 06/27/34    100.000    VARIES     4.4526    294.50   0.106137   0.106871   0.107912   0.108975  0.110063     38.35    39.05 
CITIGROUP GLOBAL MARKETS 1730T0A58 10/22/13 10/22/33    100.000    VARIES     4.6765    326.71   0.106359   0.107848   0.109372   0.110931  0.112527     38.77    39.87 
CITIGROUP GLOBAL MARKETS 1730T0R50 06/18/14 06/18/34    100.000    VARIES     4.4513    292.90   0.108596   0.110532   0.112941   0.115403  0.117920     39.50    41.17 
CITIGROUP GLOBAL MARKETS 17323Q692 09/18/15 03/20/23    100.000     0.000     3.1459    216.83   0.105404   0.107062   0.108746                          38.58     8.59 
CITIGROUP GLOBAL MARKETS 17323P363 02/03/16 08/03/23    100.000     0.000     2.9606    189.75   0.096668   0.098099   0.099551   0.101025               35.48    21.37 
CITIGROUP GLOBAL MARKETS 1730T0RN1 02/27/13 02/27/28    100.000    VARIES     3.2574    252.91   0.077876   0.078614   0.079586   0.080573  0.081577     28.38    29.08 
CITIGROUP GLOBAL MARKETS 17323Q643 10/05/15 04/04/23    100.000     0.000     3.1923    218.50   0.107222   0.108933   0.110672                          39.21    10.29 
CITIGROUP GLOBAL MARKETS 1730T02B4 10/30/14 10/30/34    100.000    VARIES     4.5064    298.17   0.117049   0.118093   0.119161   0.120243  0.121351     42.45    43.23 
CITIGROUP GLOBAL MARKETS 1730T02D0 10/31/14 10/31/29    100.000    VARIES     4.0094    257.07   0.097623   0.098385   0.099163   0.100056  0.100968     35.38    35.97 
CITIGROUP GLOBAL MARKETS 1730T0T58 06/27/14 06/27/34    100.000    VARIES     4.3618    293.41   0.104125   0.104087   0.104266   0.104450  0.104637     37.48    37.57 
CITIGROUP GLOBAL MARKETS 1730T0C23 11/12/13 11/12/33    100.000    VARIES     4.7621    338.52   0.111006   0.112373   0.113773   0.115206  0.116673     40.34    41.36 
CITIGROUP GLOBAL MARKETS 1730T0SM2 04/29/13 04/29/33    100.000    VARIES     3.4970    271.11   0.088225   0.089244   0.090307   0.091389  0.092490     32.07    32.84 
CITIGROUP GLOBAL MARKETS 1730T0SX8 04/22/13 04/22/23    100.000    VARIES     1.4141     23.43   0.007833   0.007888   0.007944                           2.84     0.88 
CITIGROUP GLOBAL MARKETS 1730T0C56 11/26/13 11/26/33    100.000    VARIES     4.7711    338.87   0.114922   0.116263   0.117635   0.119040  0.120478     41.71    42.70 
CITIGROUP GLOBAL MARKETS 17298C6Z6 02/29/16 03/01/23    100.000     0.000     2.8956    182.70   0.094218   0.095582   0.096965                          34.49     5.82 
CITIGROUP GLOBAL MARKETS 1730T0UG2 07/09/13 07/09/28    100.000    VARIES     4.4999    346.88   0.114682   0.115867   0.117078   0.118317  0.119583     41.91    42.80 
CITIGROUP GLOBAL MARKETS 1730T0UB3 07/09/13 07/09/33    100.000    VARIES     4.7565    371.54   0.124771   0.126244   0.127752   0.129242  0.130766     45.70    46.78 
CITIGROUP GLOBAL MARKETS 17298CJ82 03/20/20 03/20/30    100.000    VARIES     2.2121      6.55   0.009480   0.009038   0.009138   0.009239  0.009342      3.30     3.33 
CITIGROUP GLOBAL MARKETS 17298CJ74 03/04/20 03/04/30    100.000    VARIES     1.9573      5.85   0.008345   0.008003   0.008081   0.008160  0.008240      2.91     2.94 
CITIGROUP GLOBAL MARKETS 1730T0UK3 07/30/13 07/30/33    100.000    VARIES     4.8333    360.86   0.117921   0.119709   0.121540   0.123416  0.125337     43.32    44.67 
CITIGROUP GLOBAL MARKETS 1730T0TT6 06/28/13 06/28/33    100.000    VARIES     4.5398    342.94   0.116631   0.118799   0.121016   0.123283  0.125225     42.39    43.99 
CITIGROUP GLOBAL MARKETS 1730T02P3 10/31/14 10/31/34    100.000    VARIES     4.7455    312.71   0.115336   0.115095   0.114848   0.114909  0.114971     41.45    41.36 
CITIGROUP GLOBAL MARKETS 1730T0U49 07/31/14 07/31/34    100.000    VARIES     4.3417    291.49   0.108083   0.108855   0.109644   0.110622  0.111622     39.28    39.95 
CITIGROUP GLOBAL MARKETS 1730T0TQ2 06/11/13 06/11/33    100.000    VARIES     4.2945    333.25   0.109847   0.111071   0.112387   0.113731  0.115104     39.82    40.76 
CITIGROUP GLOBAL MARKETS 1730T0TZ2 06/27/13 06/27/33    100.000    VARIES     4.6405    359.54   0.120698   0.122356   0.124052   0.125788  0.127282     43.76    44.98 
CITIGROUP GLOBAL MARKETS 1730T02V0 11/26/14 11/26/34    100.000    VARIES     4.2546    266.84   0.106927   0.109148   0.111416   0.113637  0.115906     39.05    40.67 
CITIGROUP GLOBAL MARKETS 1730T0N62 04/29/14 04/29/34    100.000    VARIES     4.5423    302.55   0.106402   0.107376   0.108610   0.109872  0.111163     38.62    39.49 
CITIGROUP GLOBAL MARKETS 1730T0P86 05/30/14 05/30/34    100.000    VARIES     4.4254    286.88   0.100265   0.101254   0.102704   0.104185  0.105700     36.35    37.33 
CITIGROUP GLOBAL MARKETS 17323P249 02/03/16 08/03/23    100.000     0.000     2.9606    189.75   0.096668   0.098099   0.099551   0.101025               35.48    21.37 
CITIGROUP GLOBAL MARKETS 17323P140 03/03/16 09/01/23    100.000     0.000     3.0322    191.73   0.099372   0.100878   0.102408   0.103960               36.41    24.86 
CITIGROUP GLOBAL MARKETS 1730T3AX1 09/30/15 09/30/35    100.000    VARIES     4.3723    241.24   0.103211   0.105122   0.107076   0.109071  0.111111     37.85    39.27 
CITIGROUP GLOBAL MARKETS 1730T3AW3 08/31/15 08/31/35    100.000    VARIES     4.4100    251.65   0.106662   0.105755   0.108374   0.107632  0.109875     38.98    39.60 
CITIGROUP GLOBAL MARKETS 1730T3AV5 08/31/15 08/31/35    100.000    VARIES     4.4143    248.69   0.107073   0.107280   0.111088   0.111546  0.115116     39.61    41.13 
CITIGROUP GLOBAL MARKETS 1730T3AZ6 11/30/15 11/30/35    100.000    VARIES     4.3523    239.27   0.108628   0.110843   0.113107   0.115419  0.117782     39.64    41.28 
CITIGROUP GLOBAL MARKETS 1730T3AY9 10/30/15 10/30/35    100.000    VARIES     4.3036    236.28   0.104865   0.107057   0.109297   0.111585  0.113922     38.42    40.04 
CITIGROUP GLOBAL MARKETS 17298CAT5 05/27/15 05/27/25    100.000    VARIES     2.5639     17.07   0.007315   0.007409   0.007504   0.007600  0.007698      2.66     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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 17298CAR9 05/28/15 05/28/35    100.000    VARIES     4.3835    257.81   0.110396   0.112700   0.115055   0.117461  0.119642     40.31    42.00 
CITIGROUP GLOBAL MARKETS 17298CAQ1 05/28/15 05/26/22    100.000     0.000     3.0095    217.64   0.101493                                                14.72          
CITIGROUP GLOBAL MARKETS 17298CAP3 05/28/15 05/26/22    100.000     0.000     3.0095    217.64   0.101493                                                14.72          
CITIGROUP GLOBAL MARKETS 17298C2C1 09/30/15 09/29/22    100.000     0.000     3.0163    205.90   0.100266   0.101778                                     27.14          
CITIGROUP GLOBAL MARKETS 17298C2B3 09/30/15 09/29/22    100.000     0.000     3.0163    205.90   0.100266   0.101778                                     27.14          
CITIGROUP GLOBAL MARKETS 17298CBV9 06/30/15 06/30/22    100.000     0.000     3.2000    229.30   0.109261                                                19.56          
CITIGROUP GLOBAL MARKETS 17298CBT4 06/30/15 06/30/22    100.000     0.000     3.2000    229.30   0.109261                                                19.56          
CITIGROUP GLOBAL MARKETS 1730T0L31 03/28/14 03/28/34    100.000    VARIES     4.6422    317.10   0.111822   0.112886   0.114189   0.115523  0.116887     40.67    41.60 
CITIGROUP GLOBAL MARKETS 1730T0L64 03/12/14 03/12/34    100.000    VARIES     4.7152    311.72   0.105338   0.106271   0.107711   0.109184  0.110693     38.35    39.37 
CITIGROUP GLOBAL MARKETS 17298CAF5 05/15/15 05/15/30    100.000    VARIES     2.6421     24.33   0.009381   0.009505   0.009630   0.009758  0.009886      3.41     3.50 
CITIGROUP GLOBAL MARKETS 17298C5U8 01/29/16 01/31/23    100.000     0.000     3.1492    203.40   0.103899   0.105535   0.107197                          38.20     3.11 
CITIGROUP GLOBAL MARKETS 17298CFV5 01/22/18 01/22/28    100.000    VARIES     3.0673     15.36   0.010308   0.010466   0.010626   0.010789  0.010955      3.79     3.91 
CITIGROUP GLOBAL MARKETS 1730T0VD8 09/18/13 09/18/33    100.000    VARIES     5.1093    373.42   0.125332   0.127278   0.129274   0.131321  0.133421     45.88    47.33 
CITIGROUP GLOBAL MARKETS 17298CFQ6 12/01/17 12/01/27    100.000    VARIES     2.8600     17.60   0.011221   0.011381   0.011544   0.011709  0.011877      4.08     4.20 
CITIGROUP GLOBAL MARKETS 1730T0W21 08/28/14 08/28/34    100.000    VARIES     4.2433    291.17   0.110531   0.111205   0.111894   0.112734  0.113593     40.08    40.64 
CITIGROUP GLOBAL MARKETS 17321F755 11/05/13 11/03/22    100.000     0.000     3.6500    343.17   0.135386   0.137857                                     41.33          
CITIGROUP GLOBAL MARKETS 1730T03Z0 01/30/15 02/01/22    100.000     0.000     2.8404    215.52   0.094783                                                 2.84          
CITIGROUP GLOBAL MARKETS 1730T03W7 01/30/15 01/30/35    100.000    VARIES     3.9694    261.94   0.113112   0.115324   0.117258   0.119230  0.121242     41.74    43.17 
CITIGROUP GLOBAL MARKETS 17298C4W5 12/31/15 01/05/23    100.000     0.000     3.1984    209.83   0.105833   0.107525   0.109245                          39.00     0.44 
CITIGROUP GLOBAL MARKETS 1730T0E96 01/29/14 01/29/34    100.000    VARIES     4.6111    304.20   0.100792   0.101750   0.103267   0.104820  0.106408     36.83    37.93 
CITIGROUP GLOBAL MARKETS 1730T03V9 01/30/15 02/01/22    100.000     0.000     2.8404    215.52   0.094783                                                 2.84          
CITIGROUP GLOBAL MARKETS 17298CGZ5 06/19/19 06/19/26    100.000    VARIES     2.5629     13.90   0.014464   0.014649   0.014837   0.015027  0.015220      5.24     5.38 
CITIGROUP GLOBAL MARKETS 17298C6X1 02/29/16 03/01/23    100.000     0.000     2.8956    182.70   0.094218   0.095582   0.096965                          34.49     5.82 
CITIGROUP GLOBAL MARKETS 17298CGS1 03/29/19 03/29/29    100.000    VARIES     3.1121     14.47   0.013114   0.013318   0.013525   0.013736  0.013949      4.80     4.95 
CITIGROUP GLOBAL MARKETS 17298C6K9 01/29/16 01/29/26    100.000    VARIES     2.4179     28.79   0.013410   0.013572   0.013737   0.013903  0.014071      4.91     5.03 
CITIGROUP GLOBAL MARKETS 17298CGL6 11/28/18 11/28/28    100.000    VARIES     3.8162     18.98   0.014522   0.014799   0.015082   0.015370  0.015663      5.30     5.50 
CITIGROUP GLOBAL MARKETS 17298CGK8 11/20/18 11/20/23    100.000    VARIES     3.5118     10.53   0.009272   0.009434   0.009600   0.009769                3.38     3.09 
CITIGROUP GLOBAL MARKETS 17298CGC6 08/16/18 08/16/28    100.000    VARIES     3.4665      9.10   0.006776   0.006896   0.007016   0.007140  0.007265      2.53     2.62 
CITIGROUP GLOBAL MARKETS 17298CGD4 09/26/18 09/26/28    100.000    VARIES     3.8142      8.80   0.006806   0.006936   0.007068   0.007203  0.007340      2.50     2.59 
CITIGROUP GLOBAL MARKETS 1730T06D6 03/27/15 03/27/25    100.000    VARIES     3.1775    221.35   0.090769   0.090555   0.090252   0.089945  0.089567     32.59    32.37 
CITIGROUP GLOBAL MARKETS 17298C3F3 10/28/15 10/28/25    100.000    VARIES     2.3916     19.81   0.008957   0.009064   0.009172   0.009282  0.009393      3.26     3.34 
CITIGROUP GLOBAL MARKETS 1730T06L8 03/23/15 03/23/22    100.000     0.000     2.8171    208.61   0.093858                                                 7.70          
CITIGROUP GLOBAL MARKETS 1730T05Y1 03/30/15 03/30/22    100.000     0.000     2.9238    216.57   0.098079                                                 8.73          
CITIGROUP GLOBAL MARKETS 17298C3A4 10/30/15 11/01/22    100.000     0.000     2.9688    199.42   0.098427   0.099888                                     29.79          
CITIGROUP GLOBAL MARKETS 1730T05X3 03/30/15 03/30/22    100.000     0.000     2.9238    216.57   0.098079                                                 8.73          
CITIGROUP GLOBAL MARKETS 1730T0G78 02/19/14 02/19/34    100.000    VARIES     4.7124    324.93   0.115067   0.116770   0.118724   0.120724  0.122770     42.21    43.63 
CITIGROUP GLOBAL MARKETS 17298C2Z0 10/30/15 11/01/22    100.000     0.000     2.9688    199.42   0.098427   0.099888                                     29.79          
CITIGROUP GLOBAL MARKETS 1730T07K9 04/30/15 04/30/35    100.000    VARIES     4.1098    252.48   0.101428   0.101198   0.101176   0.101153  0.101130     36.46    36.42 
CITIGROUP GLOBAL MARKETS 17298C4B1 11/30/15 11/30/22    100.000     0.000     3.0605    203.06   0.102009   0.103570                                     33.84          
CITIGROUP GLOBAL MARKETS 17298C4A3 11/30/15 11/30/22    100.000     0.000     3.0605    203.06   0.102009   0.103570                                     33.84          
CITIGROUP GLOBAL MARKETS 1730T06X2 04/29/15 04/28/22    100.000     0.000     2.7395    199.09   0.090812                                                10.63          
CITIGROUP GLOBAL MARKETS 1730T06V6 04/29/15 04/28/22    100.000     0.000     2.7395    199.09   0.090812                                                10.63          






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CITIGROUP GLOBAL MARKETS 1730T07D5 04/27/15 04/27/25    100.000    VARIES     2.3818    156.80   0.065369   0.065478   0.065589   0.065700  0.065813     23.57    23.65 
City of Boston, MA       100853GH7 11/04/09 09/15/24     89.556     6.050     7.2063     76.49   0.025973   0.026909   0.027878   0.028883  0.029923      9.72    10.43 
City of Hoboken          434110QH8 08/28/03 04/01/27     19.107     0.000     7.1398    500.94   0.134838   0.139652   0.144637   0.149801  0.155148     50.29    53.94 
City of Hoboken          434110QP0 08/28/03 04/01/33     12.543     0.000     7.1397    328.84   0.088514   0.091673   0.094946   0.098335  0.101846     33.01    35.41 
City of Hoboken          434110QM7 08/28/03 04/01/31     14.432     0.000     7.1398    378.37   0.101846   0.105482   0.109248   0.113148  0.117187     37.99    40.75 
City of Hoboken          434110QN5 08/28/03 04/01/32     13.454     0.000     7.1398    352.74   0.094947   0.098336   0.101847   0.105482  0.109248     35.41    37.99 
City of Hoboken          434110QL9 08/28/03 04/01/30     15.481     0.000     7.1397    405.87   0.109247   0.113147   0.117186   0.121370  0.125703     40.75    43.71 
City of Hoboken          434110QJ4 08/28/03 04/01/28     17.813     0.000     7.1397    467.01   0.125702   0.130189   0.134837   0.139650  0.144636     46.88    50.29 
City of Hoboken          434110QK1 08/28/03 04/01/29     16.606     0.000     7.1397    435.37   0.117186   0.121370   0.125703   0.130190  0.134838     43.71    46.88 
City of Reno, NV         759830AS1 09/22/16 06/01/22     98.689     2.500     2.7504     12.08   0.006861                                                 1.03          
Clark CNTY SCH DIST, NV  181059QF6 07/08/10 06/15/24     91.490     5.510     6.4445     64.19   0.022152   0.022865   0.023602   0.024363  0.025148      8.13     8.66 
Clinton & Wash CNTYS, IL 187327BA8 09/30/16 12/01/22    112.683     5.000     2.7510    156.02   0.078101   0.077265                                     25.62          
Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23     99.293    VARIES     5.6308    453.89   0.156029   0.156120   0.156214   0.156311               56.19    51.57 
Coles Counties, IL       193792EY0 11/26/13 12/01/23     98.985    VARIES     4.9628    399.21   0.137432   0.137534   0.137638   0.137745               49.50    45.44 
Coles Counties, IL       193792EX2 11/26/13 12/01/23     99.043    VARIES     4.7528    382.47   0.131642   0.131734   0.131828   0.131924               47.41    43.52 
Coles Counties, IL       193792EZ7 11/26/13 12/01/23     98.936    VARIES     5.1717    415.88   0.143195   0.143306   0.143420   0.143538               51.58    47.35 
Coles Counties, IL       193792EV6 11/26/13 12/01/22    104.771    VARIES     4.3909    366.03   0.122688   0.122332                                     40.42          
Coles Counties, IL       193792EW4 11/26/13 12/01/23     99.115    VARIES     4.5919    369.69   0.127210   0.127292   0.127377   0.127463               45.82    42.05 
Coles Counties, IL       193792FB9 11/26/13 12/01/23     99.347    VARIES     5.4215    437.18   0.150256   0.150338   0.150422   0.150509               54.11    49.66 
Coles Counties, IL       193792FA1 11/26/13 12/01/23     98.886    VARIES     5.3302    428.48   0.147561   0.147681   0.147804   0.147931               53.15    48.80 
Coles Counties, IL       193792FC7 11/26/13 12/01/23     99.318    VARIES     5.5264    445.55   0.153149   0.153236   0.153325   0.153417               55.15    50.61 
Coles Counties, IL       193792FF0 11/26/13 12/01/23     99.314    VARIES     6.2344    502.64   0.172745   0.172848   0.172954   0.173064               62.21    57.09 
Coles Counties, IL       193792FE3 11/26/13 12/01/23     99.301    VARIES     5.9329    478.28   0.164396   0.164494   0.164594   0.164697               59.21    54.33 
Coles Counties, IL       193792FH6 11/26/13 12/01/23    118.448    VARIES     6.4777    590.31   0.188158   0.186200   0.184179   0.182092               67.27    60.40 
Coles Counties, IL       193792FG8 11/26/13 12/01/23     99.331    VARIES     6.5352    526.96   0.181079   0.181187   0.181298   0.181413               65.21    59.85 
Compucredit Corporation  20478NAA8 05/27/05 05/30/25    100.000    VARIES     9.1299   2630.51   0.747027   0.763022   0.805582   0.823179  0.864676    277.48   299.17 
Compucredit Corporation  20478NAB6 05/27/05 05/30/25    100.000    VARIES     9.1299   2630.51   0.747027   0.763022   0.805582   0.823179  0.864676    277.48   299.17 
Cook County, IL          215219HM1 06/29/06 06/01/26     29.062     0.000     6.2997    469.81   0.132373   0.136542   0.140843   0.145280  0.149856     48.66    51.77 
Cook County, IL          215219HH2 06/29/06 12/01/22     36.688     0.000     6.1997    578.75   0.162013   0.167035                                     54.37          
Cook County, IL          215219HK5 06/29/06 12/01/24     32.181     0.000     6.2498    513.94   0.144339   0.148849   0.153501   0.158298  0.163244     53.05    56.42 
Cook County, IL          215219HL3 06/29/06 12/01/25     30.147     0.000     6.2697    483.80   0.136051   0.140316   0.144715   0.149251  0.153930     50.01    53.19 
Cook County, IL          215219HJ8 06/29/06 12/01/23     34.398     0.000     6.2198    545.31   0.152851   0.157605   0.162506   0.167560               56.17    54.54 
Cook County, IL SD #123  214651KH3 10/15/07 12/01/25     32.426     0.000     6.3096    459.82   0.136705   0.141017   0.145466   0.150055  0.154789     50.25    53.47 
Cook County, IL SD #123  214651KG5 10/15/07 12/01/24     34.562     0.000     6.2995    488.95   0.145277   0.149852   0.154572   0.159441  0.164463     53.40    56.82 
Cook County, IL SD #123  214651KF7 10/15/07 12/01/23     36.831     0.000     6.2895    519.83   0.154357   0.159211   0.164218   0.169383               56.74    55.12 
Cook County, IL SD #123  214651KE0 10/15/07 12/01/22     39.242     0.000     6.2794    552.54   0.163971   0.169119                                     55.04          
Cook County, IL SD #123  214651KK6 10/15/07 06/01/27     29.429     0.000     6.3296    419.28   0.124803   0.128753   0.132827   0.137031  0.141368     45.88    48.83 
Cook County, IL SD #123  214651KJ9 10/15/07 12/01/26     30.417     0.000     6.3195    432.34   0.128611   0.132675   0.136867   0.141191  0.145653     47.28    50.31 
Cook County, IL SD #155  215219JS6 10/08/09 12/01/24     36.316     0.000     6.7994    459.72   0.154543   0.159797   0.165230   0.170847  0.176656     56.90    60.84 
Cook County, IL SD #155  215219JT4 10/08/09 12/01/25     33.703     0.000     6.8494    431.18   0.145330   0.150307   0.155454   0.160778  0.166284     53.52    57.25 
Cook County, IL SD #155  215219JR8 10/08/09 12/01/23     39.094     0.000     6.7493    489.66   0.164173   0.169714   0.175441   0.181361               60.44    58.96 
Cook County, IL SD #155  215219JW7 10/08/09 12/01/28     26.292     0.000     7.0995    354.35   0.121014   0.125310   0.129758   0.134364  0.139134     44.60    47.82 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Cook County, IL SD #155  215219JX5 10/08/09 06/01/29     25.151     0.000     7.1494    342.47   0.117264   0.121455   0.125797   0.130294  0.134952     43.23    46.37 
Cook County, IL SD #155  215219JU1 10/08/09 12/01/26     31.248     0.000     6.8993    403.99   0.136525   0.141235   0.146107   0.151147  0.156361     50.28    53.81 
Cook County, IL SD #155  215219JV9 10/08/09 12/01/27     28.691     0.000     6.9993    378.76   0.128673   0.133176   0.137837   0.142660  0.147653     47.41    50.78 
Cook County, IL SD #89   214201GS8 11/29/10 12/15/26     27.332     0.000     8.2497    396.64   0.152965   0.159274   0.165844   0.172685  0.179808     56.41    61.16 
Cook County, IL SD #89   214201GQ2 11/29/10 12/15/25     30.724     0.000     7.9997    426.06   0.162371   0.168866   0.175620   0.182645  0.189950     59.83    64.72 
Cook County, IL SD #89   214201GR0 11/29/10 12/15/26    109.444    VARIES     7.6950    918.63   0.222966   0.222193   0.221390   0.220557  0.219691     80.10    79.52 
Cook County, IL SD #89   214201GK5 12/13/07 12/01/22     38.951     0.000     6.3998    554.45   0.166920   0.172261                                     56.04          
Cook County, IL SD #89   214201GL3 12/13/07 12/01/23     36.291     0.000     6.4499    522.59   0.157801   0.162890   0.168143   0.173565               58.03    56.46 
Cook County, IL SD #89   214201GP4 11/29/10 12/15/24     34.234     0.000     7.7796    455.77   0.171877   0.178563   0.185509   0.192725  0.200221     63.30    68.32 
Cook County, IL SD #89   214201GM1 12/13/07 12/01/24     33.947     0.000     6.4699    491.10   0.148468   0.153271   0.158229   0.163347  0.168632     54.61    58.20 
Cook County, Illinois    214471HQ0 12/30/02 12/01/22     21.989     0.000     7.7497    712.88   0.199507   0.207238                                     67.23          
Cook County, Illinois    214723CZ9 09/07/05 12/01/23     36.271     0.000     5.6396    536.23   0.140165   0.144117   0.148181   0.152359               51.41    49.65 
Cook County, Illinois    214723CY2 09/07/05 12/01/22     38.734     0.000     5.5795    563.52   0.146686   0.150779                                     49.14          
Cook County, Illinois    214723DA3 09/07/05 12/01/24     33.990     0.000     5.6895    509.21   0.133561   0.137360   0.141268   0.145287  0.149420     49.00    51.82 
Cook County, Illinois    215219FS0 06/30/03 12/01/22     33.892     0.000     5.6497    611.34   0.148433   0.152626                                     49.74          
Cook County, Illinois    215219GQ3 06/02/05 12/01/23     36.261     0.000     5.5601    537.66   0.138402   0.142250   0.146205   0.150269               50.75    48.98 
Cook County, Illinois    215219GR1 06/02/05 12/01/24     34.002     0.000     5.6101    511.00   0.132002   0.135704   0.139511   0.143424  0.147447     48.41    51.17 
Cook County, Illinois    215219GH3 06/02/05 12/01/22     38.699     0.000     5.5000    564.54   0.144710   0.148689                                     48.47          
Corvallie, Benton County 2208855T0 03/12/02 01/01/23     23.613     0.000     7.0594    696.85   0.182951   0.189409                                     67.02          
Credit Suisse            22547WQ22 02/11/16 02/10/23    100.000     0.000     1.8032    111.51   0.055285   0.055783   0.056286                          20.13     2.20 
Credit Suisse AG         22551NWL6 04/01/20 10/02/25    100.000     0.000     3.0199     53.88   0.087752   0.089077   0.090422   0.091787  0.093173     32.07    33.04 
Credit Suisse AG         22552FJ52 06/28/19 06/28/24    100.000     0.000     2.3699     60.88   0.069826   0.070653   0.071491   0.072338  0.073195     25.29    25.89 
Credit Suisse AG         22551N6K7 11/29/19 02/29/24    100.000     0.000     2.0697     43.98   0.059603   0.060217   0.060843   0.061469  0.062109     21.72    22.17 
Credit Suisse AG         22552FDW9 06/05/19 06/05/24    100.000     0.000     2.3699     62.49   0.069826   0.070653   0.071491   0.072338  0.073195     25.33    25.93 
Credit Suisse AG         22551ND78 12/31/19 09/29/23    100.000     0.000     2.0695     42.12   0.059593   0.060210   0.060833   0.061463               21.68    16.42 
Credit Suisse AG         22551LXX3 03/29/19 03/29/24    100.000     0.000     2.5700     72.92   0.076094   0.077072   0.078063   0.079066  0.080082     27.75    28.47 
Credit Suisse AG         22551LUZ1 03/05/19 03/03/22    100.000     0.000     2.5701     74.75   0.076087                                                 4.72          
Credit Suisse AG         22551LVQ0 03/05/19 03/04/24    100.000     0.000     2.5700     74.75   0.076089   0.077067   0.078057   0.079060  0.080076     27.80    28.52 
Credit Suisse AG         22551LW89 02/28/19 03/02/22    100.000     0.000     2.6052     76.35   0.077228                                                 4.71          
CREDIT SUISSE AG LONDON  22552FHW5 06/28/19 09/30/24    100.000     0.000     2.3697     60.91   0.069419   0.070241   0.071074   0.071916  0.072768     25.29    25.89 
CREDIT SUISSE AG LONDON  22548Y124 07/05/19 06/27/25    100.000     0.000     2.3699     60.40   0.069789   0.070616   0.071453   0.072300  0.073156     25.28    25.88 
CREDIT SUISSE AG LONDON  22551LQP8 01/03/19 01/03/24    100.000     0.000     2.8700     89.08   0.085609   0.086837   0.088083   0.089347  0.090629     31.48    32.39 
CREDIT SUISSE AG LONDON  22552FJ45 06/28/19 06/28/24    100.000     0.000     2.3699     60.88   0.069826   0.070653   0.071491   0.072338  0.073195     25.29    25.89 
CREDIT SUISSE AG LONDON  22551LRA0 01/31/19 02/02/22    100.000     0.000     2.8699     86.77   0.085620                                                 2.65          
CREDIT SUISSE AG LONDON  22549M780 08/03/18 08/03/22    100.000     0.000     2.9664    105.68   0.090009   0.091344                                     19.32          
CREDIT SUISSE AG LONDON  22551LRH5 01/31/19 02/01/24    100.000     0.000     2.8700     86.77   0.085614   0.086843   0.088089   0.089353  0.090635     31.41    32.32 
CREDIT SUISSE AG LONDON  22551LRS1 02/05/19 02/03/22    100.000     0.000     2.5500     76.42   0.075456                                                 2.41          
CREDIT SUISSE AG LONDON  22551LRW2 02/05/19 02/05/24    100.000     0.000     2.6101     78.27   0.077358   0.078367   0.079390   0.080426  0.081476     28.33    29.07 
CREDIT SUISSE AG LONDON  22551LSG6 01/31/19 02/02/22    100.000     0.000     2.8699     86.77   0.085620                                                 2.65          
CREDIT SUISSE AG LONDON  22552FL26 07/29/19 07/29/24    100.000     0.000     2.4409     60.54   0.071174   0.072042   0.072921   0.073811  0.074712     26.04    26.68 
CREDIT SUISSE AG LONDON  22551LSS0 01/25/19 01/24/24    100.000     0.000     2.8700     87.19   0.085602   0.086831   0.088077   0.089341  0.090623     31.43    32.33 
CREDIT SUISSE AG LONDON  22551LST8 01/25/19 01/24/24    100.000     0.000     2.8700     87.19   0.085602   0.086831   0.088077   0.089341  0.090623     31.43    32.33 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CREDIT SUISSE AG LONDON  22552FLG5 07/26/19 07/26/24    100.000     0.000     2.4299     60.47   0.070839   0.071700   0.072571   0.073453  0.074345     25.93    26.56 
CREDIT SUISSE AG LONDON  22552FLJ9 07/26/19 07/26/24    100.000     0.000     2.4299     60.47   0.070839   0.071700   0.072571   0.073453  0.074345     25.93    26.56 
CREDIT SUISSE AG LONDON  22552FM25 07/29/19 01/27/23    100.000     0.000     2.3138     57.31   0.067289   0.068068   0.068855                          24.61     1.79 
CREDIT SUISSE AG LONDON  22552FDP4 05/31/19 05/31/24    100.000     0.000     2.7591     73.45   0.082075   0.083207   0.084355   0.085519  0.086699     29.82    30.65 
CREDIT SUISSE AG LONDON  22552FDM1 05/31/19 05/31/24    100.000     0.000     2.3601     62.57   0.069517   0.070338   0.071168   0.072007  0.072857     25.23    25.82 
CREDIT SUISSE AG LONDON  22552FDV1 05/31/19 05/31/24    100.000     0.000     2.3601     62.57   0.069517   0.070338   0.071168   0.072007  0.072857     25.23    25.82 
CREDIT SUISSE AG LONDON  22552FVG4 09/27/19 03/27/25    100.000     0.000     2.1800     50.26   0.063238   0.063927   0.064624   0.065328  0.066040     23.02    23.52 
CREDIT SUISSE AG LONDON  22552FVH2 09/27/19 09/27/23    100.000     0.000     2.0499     47.21   0.059313   0.059921   0.060535   0.061156               21.58    16.21 
CREDIT SUISSE AG LONDON  22552F4S8 05/03/19 05/04/22    100.000     0.000     2.3599     64.44   0.069518                                                 8.55          
CREDIT SUISSE AG LONDON  22551LN48 01/03/19 01/03/24    100.000     0.000     2.8700     89.08   0.085609   0.086837   0.088083   0.089347  0.090629     31.48    32.39 
CREDIT SUISSE AG LONDON  22551LN30 12/31/18 12/29/23    100.000     0.000     2.7300     84.83   0.082253   0.083376   0.084514   0.085667               29.82    30.46 
CREDIT SUISSE AG LONDON  22551LN63 12/31/18 12/29/23    100.000     0.000     2.7268     84.73   0.082149   0.083269   0.084404   0.085555               29.78    30.42 
CREDIT SUISSE AG LONDON  22552FWD0 09/30/19 12/29/23    100.000     0.000     2.0796     47.72   0.060517   0.061146   0.061782   0.062424               21.90    22.23 
CREDIT SUISSE AG LONDON  22552FWE8 09/30/19 06/28/24    100.000     0.000     2.1798     50.07   0.063569   0.064262   0.064962   0.065670  0.066386     23.01    23.52 
CREDIT SUISSE AG LONDON  22552FWF5 10/03/19 10/04/23    100.000     0.000     2.0504     46.86   0.059329   0.059938   0.060552   0.061173               21.57    16.64 
CREDIT SUISSE AG LONDON  22552F5M0 04/26/19 04/25/22    100.000     0.000     2.5000     68.89   0.073890                                                 8.42          
CREDIT SUISSE AG LONDON  22552F5N8 04/26/19 04/25/22    100.000     0.000     2.5000     68.89   0.073890                                                 8.42          
CREDIT SUISSE AG LONDON  22552F5R9 04/30/19 04/28/22    100.000     0.000     2.4998     68.59   0.073879                                                 8.64          
CREDIT SUISSE AG LONDON  22552F5S7 04/30/19 04/28/22    100.000     0.000     2.7841     76.63   0.082860                                                 9.69          
CREDIT SUISSE AG LONDON  22552FGF3 07/03/19 07/01/22    100.000     0.000     2.1198     54.01   0.062065                                                11.17          
CREDIT SUISSE AG LONDON  22552FHK1 06/28/19 06/30/22    100.000     0.000     2.3700     60.88   0.069836                                                12.50          
CREDIT SUISSE AG LONDON  22552FHJ4 06/28/19 06/30/22    100.000     0.000     2.3700     60.88   0.069836                                                12.50          
CREDIT SUISSE AG LONDON  22551LXW5 03/29/19 03/29/24    100.000     0.000     2.5700     72.92   0.076094   0.077072   0.078063   0.079066  0.080082     27.75    28.47 
CREDIT SUISSE AG LONDON  22551LYG9 04/03/19 04/01/22    100.000     0.000     2.4998     70.58   0.073879                                                 6.65          
CREDIT SUISSE AG LONDON  22552FA44 05/03/19 05/03/24    100.000     0.000     2.3601     64.44   0.069517   0.070338   0.071168   0.072007  0.072857     25.27    25.87 
CREDIT SUISSE AG LONDON  22552FA36 04/30/19 04/30/24    100.000     0.000     2.5300     69.44   0.074837   0.075784   0.076742   0.077713  0.078696     27.23    27.92 
CREDIT SUISSE AG LONDON  22550WNS2 04/18/18 04/18/23    100.000     0.000     3.4700    135.89   0.108721   0.110608   0.112527                          39.76    12.04 
CREDIT SUISSE AG LONDON  22551LZD5 03/29/19 03/31/22    100.000     0.000     2.5701     72.93   0.076104                                                 6.77          
CREDIT SUISSE AG LONDON  22550WP43 04/30/18 04/28/23    100.000     0.000     3.5000    135.82   0.109756   0.111677   0.113632                          40.10    13.29 
CREDIT SUISSE AG LONDON  22551LZU7 03/29/19 03/29/24    100.000     0.000     2.5700     72.92   0.076094   0.077072   0.078063   0.079066  0.080082     27.75    28.47 
CREDIT SUISSE AG LONDON  22551LZV5 04/03/19 04/02/24    100.000     0.000     2.5300     71.46   0.074831   0.075778   0.076736   0.077707  0.078690     27.28    27.97 
CREDIT SUISSE AG LONDON  22552FBX9 05/31/19 06/03/24    100.000     0.000     2.3600     62.57   0.069530   0.070351   0.071181   0.072021  0.072871     25.22    25.82 
CREDIT SUISSE AG LONDON  22551LJP6 11/30/18 11/30/23    100.000     0.000     3.0301     97.27   0.092115   0.093510   0.094927   0.096365               33.50    31.49 
CREDIT SUISSE AG LONDON  22552FBV3 05/31/19 06/03/24    100.000     0.000     2.3600     62.57   0.069530   0.070351   0.071181   0.072021  0.072871     25.22    25.82 
CREDIT SUISSE AG LONDON  22552FCP5 06/05/19 06/03/22    100.000     0.000     2.3599     62.22   0.069504                                                10.56          
CREDIT SUISSE AG LONDON  22550WR82 05/30/18 11/29/22    100.000     0.000     2.8700    107.61   0.088078   0.089342                                     29.12          
CREDIT SUISSE AG LONDON  22552FLZ3 07/29/19 04/27/23    100.000     0.000     2.3133     57.33   0.067665   0.068448   0.069239                          24.60     8.03 
CREDIT SUISSE AG LONDON  22552FMC3 08/01/19 08/03/23    100.000     0.000     2.3500     58.10   0.068408   0.069212   0.070025   0.070848               25.01    14.99 
CREDIT SUISSE AG LONDON  22551L3R9 08/10/18 08/12/25    100.000     0.000     2.9800    105.55   0.090474   0.091822   0.093190   0.094578  0.095988     33.19    34.19 
CREDIT SUISSE AG LONDON  22551LVE7 02/22/19 02/22/24    100.000     0.000     2.6101     76.96   0.077358   0.078367   0.079390   0.080426  0.081476     28.29    29.04 
CREDIT SUISSE AG LONDON  22551LVC1 02/22/19 02/22/24    100.000     0.000     2.6101     76.96   0.077358   0.078367   0.079390   0.080426  0.081476     28.29    29.04 
CREDIT SUISSE AG LONDON  22551LW97 02/28/19 03/02/22    100.000     0.000     2.6052     76.35   0.077228                                                 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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

CREDIT SUISSE AG LONDON  22551LWA4 02/28/19 03/02/22    100.000     0.000     3.0343     89.37   0.090906                                                 5.55          
CREDIT SUISSE AG LONDON  22552FP22 07/23/19 07/21/22    100.000     0.000     2.2599     56.35   0.065654   0.066396                                     13.26          
CREDIT SUISSE AG LONDON  22551LFL9 10/30/18 10/30/24    100.000     0.000     3.0899    102.09   0.094102   0.095555   0.097032   0.098531  0.100053     34.32    35.39 
Credit Suisse AG Nassau  22552WLY9 09/24/20 09/24/27    100.000     0.000     1.2420     15.85   0.034931   0.035147   0.035366   0.035585  0.035806     12.66    12.81 
Credit Suisse AG Nassau  22550WHJ9 03/07/18 03/07/23    100.000     0.000     3.2901    132.67   0.102448   0.104133   0.105846                          37.57     6.99 
Credit Suisse AG Nassau  22552W4L6 05/28/20 05/28/27    100.000     0.000     1.9169     30.84   0.054792   0.055318   0.055848   0.056383  0.056923     19.85    20.24 
Credit Suisse AG Nassau  22549E606 04/05/18 04/05/23    100.000     0.000     3.4300    135.64   0.107322   0.109162   0.111035                          39.29    10.44 
Credit Suisse AG Nassau  22550BMY6 10/31/17 04/28/23    100.000     0.000     2.2940     99.79   0.069802   0.070603   0.071412                          25.37     8.36 
Credit Suisse AG Nassau  22549M137 05/03/18 05/06/25    100.000     0.000     3.7900    147.40   0.120100   0.122376   0.124695   0.127058  0.129466     43.90    45.58 
Credit Suisse USA, Inc.  22548QKG9 10/28/16 10/30/23    100.000     0.000     1.6003     85.99   0.048146   0.048531   0.048920   0.049311               17.45    14.70 
Credit Suisse USA, Inc.  22546VUX2 02/10/16 02/10/26    100.000    VARIES     2.2723     34.37   0.016100   0.016283   0.016468   0.016655  0.016844      5.88     6.02 
Credit Suisse USA, Inc.  22547WQE6 08/12/16 08/14/23    100.000    VARIES        N/A     20.80   0.010647   0.010599   0.010551   0.010503                3.81     2.34 
Credit Suisse USA, Inc.  22547WQ89 04/27/16 05/01/23    100.000     0.000     1.5175     89.63   0.045814   0.046161   0.046512                          16.60     5.58 
Credit Suisse USA, Inc.  22542DFF2 02/28/17 02/28/24    103.000     0.125     2.1990    114.76   0.069064   0.069785   0.070514   0.071251  0.071996     25.17    25.70 
Credit Suisse USA, Inc.  22548QHX6 09/28/16 09/26/24    100.000     0.000     1.3289     72.14   0.039440   0.039702   0.039966   0.040231  0.040498     14.30    14.49 
Credit Suisse USA, Inc.  22547WPN7 12/29/15 12/29/22    100.000     0.000     1.9233    121.82   0.059927   0.060503                                     21.56          
Credit Suisse USA, Inc.  22546VRM0 12/28/15 12/27/22    100.000     0.500     1.9028    118.89   0.057542   0.057957                                     20.56          
Credit Suisse USA, Inc.  22548Q6L4 05/20/16 05/20/31    100.000    VARIES     3.7259    209.17   0.103500   0.103501   0.103500   0.103498  0.103497     37.26    37.26 
Credit Suisse USA, Inc.  22546VRL2 12/23/15 12/23/25    100.000    VARIES     2.4835     18.26   0.008646   0.008753   0.008862   0.008972  0.009083      3.13     3.21 
Credit Suisse USA, Inc.  22548X2E9 12/05/16 12/05/23    100.000     0.125     2.0339    107.80   0.062142   0.062738   0.063341   0.063950               22.51    21.27 
Credit Suisse USA, Inc.  22548QN35 11/28/16 11/28/23    100.000     0.000     1.9557    104.18   0.059877   0.060463   0.061054   0.061651               21.70    20.07 
Credit Suisse USA, Inc.  22548QL37 10/20/16 10/20/26    100.000    VARIES     2.2705     32.21   0.016885   0.017076   0.017270   0.017466  0.017665      6.14     6.28 
Credit Suisse USA, Inc.  22539T431 03/05/15 02/25/22    100.000     0.000     1.9373    140.59   0.060966                                                 3.29          
Credit Suisse USA, Inc.  22547QZ82 12/12/14 12/14/22    100.000     0.000     2.1598    163.59   0.069738   0.070491                                     24.06          
Credit Suisse USA, Inc.  22546VMW3 10/30/15 10/31/25    100.000     1.500     2.5533    162.57   0.075318   0.074516   0.076189   0.075383  0.076658     27.40    27.69 
Credit Suisse USA, Inc.  22547QY83 12/29/14 06/28/22    100.000     0.000     2.2049    166.05   0.071405                                                12.64          
Credit Suisse USA, Inc.  22546VPW0 11/30/15 05/30/23    100.000     0.000     1.9020    122.12   0.059189   0.059752   0.060320                          21.44     8.99 
Credit Suisse USA, Inc.  22546VPR1 11/30/15 11/28/23    100.000     0.000     1.9529    125.57   0.060951   0.061546   0.062147   0.062754               22.09    20.43 
Credit Suisse USA, Inc.  22546VPQ3 11/30/15 11/28/25    100.000     1.500     2.5442    159.56   0.075418   0.075847   0.076282   0.076722  0.077168     27.26    27.57 
Credit Suisse USA, Inc.  22548Q3E3 04/14/16 04/14/26    100.000    VARIES     2.5023     31.34   0.015457   0.015650   0.015846   0.016044  0.016245      5.63     5.77 
Credit Suisse USA, Inc.  22548Q2Q7 04/28/16 04/28/26    100.000    VARIES     2.7488     49.87   0.024193   0.024526   0.024863   0.025205  0.025551      8.81     9.06 
Credit Suisse USA, Inc.  22547WKH5 06/12/15 06/14/22    100.000     0.000     2.2646    159.01   0.072830                                                11.87          
DAYTON-MONTGOMERY CNTY   23981CAC2 03/04/21 06/15/26     93.000     8.750    10.5102      8.64   0.030837   0.032458   0.034164   0.035959  0.037849     11.45    12.68 
DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25     90.051     0.000     1.9399     32.66   0.049882   0.050366   0.050855   0.051348  0.051846     18.19    18.55 
DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24     92.210     0.000     1.8399     31.69   0.048377   0.048822   0.049271   0.049725  0.050182     17.63    17.96 
DENISON TEX INDPT SCH DI 248415XP1 02/27/20 08/01/23     94.288     0.000     1.7231     30.32   0.046250   0.046648   0.047050   0.047456               16.84     9.95 
DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26     87.123     0.000     2.1560     35.16   0.053800   0.054380   0.054966   0.055559  0.056158     19.65    20.07 
DENTON TEX INDPT SCH DIS 249002JF4 12/17/20 08/15/22     99.236     0.000     0.4622      4.77   0.012780   0.012809                                      2.87          
DENTON TEX INDPT SCH DIS 249002JG2 12/17/20 08/15/23     98.254     0.000     0.6630      6.78   0.018173   0.018234   0.018294   0.018355                6.57     4.11 
DENTON TEX INDPT SCH DIS 249002JH0 12/17/20 08/15/24     96.610     0.000     0.9442      9.50   0.025496   0.025616   0.025737   0.025859  0.025981      9.23     9.32 
DENTON TEX INDPT SCH DIS 249002JJ6 12/17/20 08/15/25     95.041     0.000     1.0941     10.84   0.029094   0.029253   0.029413   0.029574  0.029736     10.55    10.66 
DENTON TEX INDPT SCH DIS 249002JK3 12/17/20 08/15/26     92.712     0.000     1.3411     12.97   0.034844   0.035078   0.035313   0.035550  0.035788     12.65    12.82 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

DENTON TEX INDPT SCH DIS 249002JL1 12/17/20 08/15/27     91.179     0.000     1.3911     13.24   0.035557   0.035804   0.036053   0.036304  0.036557     12.91    13.09 
DRIPPING SPRINGS TEX IND 262061SV7 09/22/20 02/15/27     91.910     0.000     1.3230     15.59   0.034179   0.034405   0.034633   0.034862  0.035093     12.41    12.57 
DRISCOLL TEX INDPT SCH   262068DE6 01/06/21 08/15/29     88.305     0.000     1.4500     12.68   0.035881   0.036141   0.036403   0.036667  0.036933     13.03    13.22 
DRISCOLL TEX INDPT SCH   262068DF3 01/06/21 08/15/30     84.988     0.000     1.7000     14.32   0.040550   0.040894   0.041242   0.041592  0.041946     14.75    15.01 
DRISCOLL TEX INDPT SCH   262068DC0 01/06/21 08/15/27     92.458     0.000     1.1901     10.89   0.030787   0.030970   0.031154   0.031339  0.031526     11.17    11.30 
DRISCOLL TEX INDPT SCH   262068DD8 01/06/21 08/15/28     90.269     0.000     1.3501     12.06   0.034131   0.034361   0.034593   0.034827  0.035062     12.39    12.56 
DRISCOLL TEX INDPT SCH   262068DB2 01/06/21 08/15/26     94.348     0.000     1.0400      9.71   0.027430   0.027572   0.027716   0.027860  0.028005      9.94    10.04 
DUNCANVILLE TEX INDPT SC 265138LC9 03/24/22 02/15/24     96.692     0.000     1.7859                        0.047967   0.048302   0.048733  0.049169     13.33    17.58 
DUNCANVILLE TEX INDPT SC 265138LD7 03/24/22 02/15/25     94.310     0.000     2.0359                        0.053335   0.053761   0.054308  0.054861     14.83    19.60 
DUNCANVILLE TEX INDPT SC 265138LE5 03/24/22 02/15/26     92.053     0.000     2.1389                        0.054692   0.055150   0.055740  0.056336     15.21    20.12 
DUNCANVILLE TEX INDPT SC 265138LG0 03/24/22 02/15/27     89.897     0.000     2.1890                        0.054662   0.055130   0.055734  0.056344     15.21    20.12 
Deutsche Bank AG         25152R5G4 05/26/16 05/26/26    100.000    VARIES     3.0802    167.41   0.083108   0.083414   0.083698   0.083986  0.084255     29.99    30.20 
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES     2.5035    201.27   0.064347   0.064856   0.065368   0.065887  0.066412     23.36    23.74 
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES     2.3745    195.06   0.061371   0.061846   0.062326   0.062811  0.063303     22.32    22.67 
Deutsche Bank AG         25152RVD2 06/28/13 06/28/33    100.000    VARIES     2.0551    161.12   0.053670   0.054082   0.054467   0.054855  0.055247     19.40    19.68 
Deutsche Bank AG         25152RVT7 03/31/14 03/31/34    100.000    VARIES     1.1016     74.45   0.026673   0.026820   0.026968   0.027117  0.027266      9.66     9.76 
Deutsche Bank AG         25152RXB4 06/30/14 06/30/34    100.000    VARIES     1.0463     69.10   0.025510   0.025643   0.025778   0.025912  0.026048      9.21     9.30 
Deutsche Bank AG         25152RXE8 09/30/14 09/30/29    100.000    VARIES     1.1689     77.11   0.029579   0.029751   0.029925   0.030100  0.030276     10.71    10.84 
Deutsche Bank AG         25152RXC2 08/28/14 08/28/34    100.000    VARIES     0.8844     57.64   0.021903   0.022000   0.022098   0.022195  0.022293      7.93     8.00 
Deutsche Bank AG         25152R6M0 09/07/16 09/08/26    100.000    VARIES     3.0640    158.06   0.082256   0.082559   0.082867   0.083156  0.083449     29.74    29.95 
Deutsche Bank AG         25152RAT0 12/20/12 12/20/22    100.000     0.000     1.6453    159.49   0.052966   0.053402                                     18.56          
Deutsche Bank AG         25152R2S1 07/31/15 07/31/25    100.000    VARIES     3.0783    197.50   0.085624   0.085618   0.085612   0.085599  0.085585     30.82    30.81 
Deutsche Bank AG         251526BZ1 06/01/18 01/13/26     95.724     4.100     4.7762     18.22   0.015189   0.015552   0.015924   0.016304  0.016693      5.66     5.93 
Deutsche Bank AG London  25155MKM2 03/13/18 05/01/23    100.000     1.000     3.7501    149.26   0.115212   0.116851   0.118521                          41.97    14.22 
Deutsche Bank AG London  25155MKU4 04/23/18 05/01/23    103.000     1.000     3.9232    156.36   0.124635   0.126535   0.128472                          45.44    15.42 
Deutsche Bank AG London  25155MDP3 09/08/17 09/08/22     98.750     2.500     2.7694     10.68   0.007281   0.007382                                      1.82          
Deutsche Bank AG London  251526BY4 06/01/18 05/30/24     95.400     3.700     4.5860     25.98   0.021974   0.022478   0.022994   0.023521  0.024060      8.03     8.41 
Deutsche Bank AG London  25155MBP5 06/15/17 12/15/22     98.650     3.000     3.2702     10.98   0.007266   0.007384                                      2.52          
EAGLE MTN & SAGINAW TEX  269696PK0 12/17/20 08/15/24     96.646     0.000     0.9339      9.41   0.025228   0.025345   0.025464   0.025583  0.025702      9.14     9.22 
EAGLE MTN & SAGINAW TEX  269696PL8 12/17/20 08/15/25     95.306     0.000     1.0341     10.27   0.027563   0.027705   0.027849   0.027993  0.028137      9.99    10.09 
EAGLE MTN & SAGINAW TEX  269696PJ3 12/17/20 08/15/23     98.246     0.000     0.6660      6.81   0.018257   0.018317   0.018378   0.018440                6.60     4.13 
EAGLE MTN & SAGINAW TEX  269696MU1 07/02/20 08/15/25     92.667     0.000     1.4931     20.88   0.039078   0.039370   0.039664   0.039960  0.040258     14.20    14.41 
EAGLE MTN & SAGINAW TEX  269696MV9 07/02/20 08/15/26     89.494     0.000     1.8220     24.65   0.046223   0.046644   0.047069   0.047498  0.047931     16.83    17.14 
EAGLE MTN & SAGINAW TEX  269696MR8 07/02/20 08/15/22     97.930     0.000     0.9893     14.58   0.027209   0.027344                                      6.12          
EAGLE MTN & SAGINAW TEX  269696MS6 07/02/20 08/15/23     96.405     0.000     1.1770     17.10   0.031937   0.032125   0.032314   0.032504               11.58     7.27 
EAGLE MTN & SAGINAW TEX  269696MT4 07/02/20 08/15/24     94.364     0.000     1.4131     20.11   0.037628   0.037894   0.038162   0.038432  0.038703     13.67    13.86 
ECTOR CNTY TEX INDPT SCH 279263RD1 12/17/20 08/15/27     90.148     0.000     1.5630     14.71   0.039545   0.039854   0.040166   0.040480  0.040796     14.38    14.60 
ECTOR CNTY TEX INDPT SCH 279263QV2 12/17/20 08/15/26     92.338     0.000     1.4130     13.62   0.036581   0.036840   0.037100   0.037362  0.037626     13.29    13.47 
EDGEWOOD OHIO CITY SCH   280455FH4 12/19/19 12/01/27     77.391     0.000     3.2499     52.45   0.074398   0.075607   0.076835   0.078084  0.079353     27.07    27.96 
EDGEWOOD OHIO CITY SCH   280455FJ0 12/19/19 12/01/28     74.279     0.000     3.3499     51.93   0.073745   0.074980   0.076236   0.077512  0.078811     26.85    27.75 
EDGEWOOD OHIO CITY SCH   280455FG6 12/19/19 12/01/24     86.505     0.000     2.9500     53.10   0.075052   0.076159   0.077283   0.078423  0.079579     27.29    28.10 
EL PASO TEX INDPT SCH DI 283770NQ4 07/22/20 08/15/22     98.204     0.000     0.8800     12.51   0.024230   0.024337                                      5.45          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

EL PASO TEX INDPT SCH DI 283770NS0 07/22/20 08/15/24     95.211     0.000     1.2112     16.73   0.032447   0.032643   0.032841   0.033040  0.033240     11.77    11.91 
EL PASO TEX INDPT SCH DI 283770NR2 07/22/20 08/15/23     96.975     0.000     1.0050     14.12   0.027363   0.027501   0.027639   0.027778                9.91     6.22 
EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45     39.206     0.000     3.6499     34.08   0.042558   0.043334   0.044125   0.044930  0.045750     15.70    16.27 
EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39     49.670     0.000     3.5499     41.95   0.052341   0.053270   0.054215   0.055178  0.056157     19.29    19.98 
EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34     61.883     0.000     3.2498     47.71   0.059366   0.060331   0.061311   0.062308  0.063320     21.84    22.55 
EURONET WORLDWIDE INC    298736AJ8 03/18/19 03/15/49    100.000     0.750     5.4000    158.80   0.168339   0.172322   0.176412   0.180612  0.184926     62.17    65.17 
EURONET WORLDWIDE INC    298736AL3 03/18/19 03/15/49    100.000     0.750     5.4000    158.80   0.168339   0.172322   0.176412   0.180612  0.184926     62.17    65.17 
EVERMAN TEX INDPT SCH DI 300371T43 11/19/20 02/15/24     97.048     0.000     0.9272     10.08   0.025167   0.025284   0.025401   0.025519  0.025637      9.11     9.20 
EXPEDIA GROUP INC        U3010DAM2 03/03/21 03/15/31     99.081     2.950     3.3084     27.14   0.091094   0.091131   0.091168   0.091205  0.091244     32.81    32.84 
EXPEDIA GROUP INC        30212PBF1 03/03/21 03/15/31     99.081     2.950     3.3084     27.14   0.091094   0.091131   0.091168   0.091205  0.091244     32.81    32.84 
EXPEDIA GROUP INC        30212PBB0 07/14/20 08/01/27     99.997     4.625     4.8755     71.37   0.135427   0.135427   0.135428   0.135428  0.135428     48.75    48.75 
EXPEDIA GROUP INC        30212PAS4 05/05/20 05/01/25    100.000     6.250     6.7500    111.75   0.187500   0.187500   0.187500   0.187500  0.187500     67.50    67.50 
East Orange NJ           274137WT1 04/14/03 04/01/22     29.893     0.000     6.4699    685.40   0.174087                                                15.67          
East Orange NJ           274137WU8 04/14/03 04/01/23     27.886     0.000     6.5000    644.41   0.164037   0.169368   0.174872                          60.99    15.74 
East Orange NJ           274137WV6 04/14/03 04/01/24     26.105     0.000     6.5100    604.83   0.154072   0.159087   0.164265   0.169612  0.175133     57.29    61.08 
East Orange NJ           274137WW4 04/14/03 04/01/25     24.381     0.000     6.5300    567.82   0.144857   0.149587   0.154471   0.159514  0.164723     53.87    57.44 
East Orange NJ           274137WX2 04/14/03 04/01/26     22.763     0.000     6.5499    532.87   0.136137   0.140595   0.145200   0.149955  0.154866     50.63    54.00 
East Orange NJ           274137WY0 04/14/03 04/01/27     21.292     0.000     6.5600    499.75   0.127768   0.131959   0.136288   0.140758  0.145375     47.52    50.69 
East Orange NJ           274137WZ7 04/14/03 04/01/28     19.913     0.000     6.5700    468.59   0.119889   0.123827   0.127895   0.132096  0.136435     44.59    47.57 
Eclipse Resources Corp.  U2779QAA2 07/06/15 07/15/23     97.903     8.875     9.2509     15.69   0.008714   0.009117   0.009539   0.009980                3.35     1.93 
Exelon Corporation       30161NAE1 06/17/14 06/01/24    100.000    VARIES     4.8846    384.96   0.139709   0.138942   0.138156   0.137351  0.136527     50.11    49.54 
FABENS TEX INDPT SCH DIS 302783MM4 12/21/21 02/15/30     84.263     0.000     2.1119      0.49   0.049431   0.049588   0.050112   0.050641  0.051176     17.92    18.28 
FABENS TEX INDPT SCH DIS 302783ML6 12/21/21 02/15/29     86.663     0.000     2.0119      0.48   0.048433   0.048579   0.049068   0.049561  0.050060     17.55    17.89 
FAIRFIELD OHIO CITY SCH  304657NX3 11/06/19 11/01/31     68.568     0.000     3.1731     48.10   0.064336   0.065357   0.066393   0.067447  0.068517     23.47    24.22 
FAIRFIELD OHIO CITY SCH  304657NY1 11/06/19 11/01/32     66.020     0.000     3.2230     47.07   0.062982   0.063997   0.065028   0.066076  0.067141     22.98    23.73 
FAIRFIELD OHIO CITY SCH  304657NV7 11/06/19 11/01/29     73.964     0.000     3.0430     49.71   0.066385   0.067395   0.068421   0.069462  0.070518     24.20    24.94 
FAIRFIELD OHIO CITY SCH  304657NW5 11/06/19 11/01/30     71.376     0.000     3.0931     48.78   0.065180   0.066188   0.067212   0.068251  0.069306     23.77    24.51 
FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31     93.000     8.250     9.3165      3.92   0.012473   0.013054   0.013662   0.014298  0.014964      4.61     5.05 
FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24     96.122     0.000     0.9940     13.12   0.026802   0.026935   0.027069   0.027204  0.027339      9.71     9.81 
FLOUR BLUFF TEX INDPT SC 343400EQ6 08/19/20 08/15/23     97.548     0.000     0.8323     11.14   0.022739   0.022834   0.022929   0.023024                8.23     5.15 
FRENSHIP TEX INDPT SCH   357866ZJ4 10/29/20 02/15/23     98.355     0.000     0.7241      8.37   0.019898   0.019970   0.020043                           7.20     0.88 
FRENSHIP TEX INDPT SCH   357866ZH8 10/29/20 02/15/22     99.262     0.000     0.5730      6.68   0.015871                                                 0.70          
FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25     93.831     0.000     1.3940     19.25   0.036885   0.037142   0.037401   0.037662  0.037925     13.40    13.58 
FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24     95.313     0.000     1.3441     18.85   0.036105   0.036348   0.036592   0.036838  0.037086     13.11    13.28 
FRISCO TEX INDPT SCH DIS 35880CD35 07/15/20 02/15/23     97.133     0.000     1.1291     16.12   0.030839   0.031013   0.031188                          11.18     1.37 
FRISCO TEX INDPT SCH DIS 35880CD27 07/15/20 02/15/22     98.549     0.000     0.9252     13.38   0.025581                                                 1.13          
FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29     87.101     0.000     1.8140      8.31   0.044006   0.044405   0.044808   0.045214  0.045624     16.02    16.31 
Federal Home Loan        3128X5LK2 10/02/06 10/02/34     24.784     0.000     5.0446    281.95   0.073324   0.075174   0.077070   0.079014  0.081007     27.06    28.45 
Federal Home Loan        3128X0AZ2 10/03/02 01/02/34     19.160     0.000     5.3582    338.51   0.076853   0.078912   0.081027   0.083197  0.085426     28.78    30.35 
Federal Home Loan        3128X52H0 04/03/07 04/02/37     21.177     0.000     5.2422    242.44   0.065294   0.067006   0.068762   0.070564  0.072414     24.12    25.40 
Federal National         3136F7NM5 11/15/05 11/15/30     26.938     0.000     5.3159    358.49   0.092089   0.094537   0.097050   0.099630  0.102278     33.82    35.64 
Federal National         3136F3LA2 04/04/03 10/03/33     20.285     0.000     5.2999    337.88   0.078588   0.080671   0.082808   0.085003  0.087255     29.04    30.60 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Federal National         3136F1EQ9 12/27/01 03/17/31     16.751     0.000     6.2082    401.97   0.096476   0.099471   0.102559   0.105742  0.109025     35.90    38.17 
Federal National         3136F4R55 01/07/04 12/15/34     18.268     0.000     5.5708    308.07   0.075753   0.077863   0.080032   0.082261  0.084552     27.72    29.28 
Forney Independent SD    3464243J1 02/18/14 08/15/53      4.514     0.000     8.0005     38.56   0.018056   0.018778   0.019529   0.020310  0.021123      6.83     7.39 
Forney Independent SD    3464243F9 02/18/14 08/15/50      6.021     0.000     7.8503     50.17   0.023377   0.024294   0.025248   0.026239  0.027269      8.84     9.54 
Forney Independent SD    3464243G7 02/18/14 08/15/51      5.475     0.000     7.9003     46.00   0.021470   0.022318   0.023200   0.024116  0.025069      8.12     8.77 
Forney Independent SD    3464243H5 02/18/14 08/15/52      4.974     0.000     7.9503     42.14   0.019699   0.020482   0.021297   0.022143  0.023023      7.45     8.05 
Forney Independent SD    3464243A0 02/18/14 08/15/45     10.143     0.000     7.4002     78.28   0.035937   0.037266   0.038645   0.040075  0.041558     13.54    14.57 
Forney Independent SD    3464243B8 02/18/14 08/15/46      9.141     0.000     7.5003     71.78   0.033063   0.034303   0.035589   0.036924  0.038308     12.47    13.42 
Forney Independent SD    3464243C6 02/18/14 08/15/47      8.223     0.000     7.6001     65.69   0.030356   0.031510   0.032707   0.033950  0.035240     11.46    12.34 
Forney Independent SD    3464243D4 02/18/14 08/15/48      7.382     0.000     7.7003     59.98   0.027811   0.028882   0.029994   0.031149  0.032348     10.50    11.33 
Forney Independent SD    3464243E2 02/18/14 08/15/49      6.615     0.000     7.8003     54.66   0.025428   0.026419   0.027450   0.028520  0.029633      9.61    10.37 
Forney Independent SD    3464242X1 02/18/14 08/15/42     13.145     0.000     7.2501     98.81   0.045136   0.046772   0.048468   0.050225  0.052045     17.00    18.25 
Forney Independent SD    3464242Y9 02/18/14 08/15/43     12.068     0.000     7.3002     91.52   0.041876   0.043404   0.044989   0.046631  0.048333     15.77    16.95 
Forney Independent SD    3464242Z6 02/18/14 08/15/44     11.069     0.000     7.3502     84.68   0.038812   0.040239   0.041718   0.043251  0.044840     14.62    15.72 
Forney Independent SD    3464242U7 02/18/14 08/15/39     16.888     0.000     7.1001    123.59   0.056176   0.058170   0.060235   0.062374  0.064588     21.13    22.66 
Forney Independent SD    3464242V5 02/18/14 08/15/40     15.550     0.000     7.1501    114.82   0.052277   0.054146   0.056082   0.058087  0.060164     19.67    21.11 
Forney Independent SD    3464242W3 02/18/14 08/15/41     14.304     0.000     7.2001    106.57   0.048600   0.050350   0.052162   0.054040  0.055986     18.30    19.64 
Forney Independent SD    346424X90 08/27/13 08/15/38     17.946     0.000     7.0000    139.23   0.060370   0.062483   0.064670   0.066934  0.069276     22.70    24.32 
Forney Independent SD    346424Y40 08/27/13 08/15/41     14.210     0.000     7.0999    112.29   0.048860   0.050594   0.052391   0.054250  0.056176     18.38    19.71 
Forney Independent SD    346424Y57 08/27/13 08/15/42     13.252     0.000     7.1001    104.72   0.045567   0.047185   0.048860   0.050594  0.052390     17.14    18.38 
Forney Independent SD    346424Y65 08/27/13 08/15/43     12.359     0.000     7.1000     97.66   0.042496   0.044005   0.045567   0.047185  0.048860     15.99    17.14 
Forney Independent SD    346424Y24 08/27/13 08/15/39     16.544     0.000     7.0499    129.54   0.056268   0.058251   0.060304   0.062430  0.064631     21.16    22.68 
Forney Independent SD    346424Y32 08/27/13 08/15/40     15.436     0.000     7.0501    120.87   0.052501   0.054351   0.056267   0.058251  0.060304     19.75    21.16 
Freddie Mac              3128X7N59 06/30/08 06/30/38     21.820     0.000     5.1394    214.74   0.061799   0.063387   0.065016   0.066686  0.068400     22.54    23.71 
Freddie Mac              3128X8DG4 12/29/08 02/15/39     40.774     0.000     2.9999    192.86   0.049488   0.050231   0.050984   0.051749  0.052525     18.15    18.70 
Freddie Mac              3128X75U4 11/24/08 11/15/38     27.529     0.000     4.3499    208.54   0.058139   0.059403   0.060695   0.062016  0.063364     21.28    22.21 
Freddie Mac              3128X74S0 11/04/08 11/15/38     26.387     0.000     4.4860    209.22   0.058616   0.059931   0.061275   0.062649  0.064054     21.46    22.43 
Freddie Mac              3128X9MG2 11/10/09 12/15/36     29.600     0.000     4.5434    214.76   0.064330   0.065791   0.067286   0.068815  0.070378     23.47    24.55 
Freddie Mac              3128X9MF4 11/10/09 09/15/36     29.930     0.000     4.5439    217.21   0.064332   0.065794   0.067289   0.068818  0.070381     23.74    24.83 
Freddie Mac              3128X6WP7 12/21/07 12/21/37     22.860     0.000     4.9803    227.20   0.062969   0.064537   0.066144   0.067791  0.069479     22.98    24.14 
GCI LIBERTY INC          36164VAA5 06/18/18 09/30/46    100.000     1.750     6.9511    266.66   0.229449   0.235734   0.242238   0.248967  0.255931     84.90    89.66 
GDB DEBT RECOVERY AUTH   36829QAA3 11/29/18 08/20/40    100.000     7.500     0.0000     55.60   0.049337   0.048757   0.045413   0.044851  0.041381     10.07     8.66 
GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26     93.714     0.000     1.1575     10.91   0.030349   0.030524   0.030701   0.030879  0.031058     11.01    11.13 
GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25     95.691     0.000     0.9546      9.19   0.025525   0.025647   0.025769   0.025892  0.026016      9.24     9.33 
GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24     97.131     0.000     0.8046      7.86   0.021818   0.021906   0.021994   0.022082  0.022171      7.89     7.96 
GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27     91.656     0.000     1.4001     14.47   0.036018   0.036270   0.036524   0.036780  0.037037     13.08    13.26 
GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26     93.148     0.000     1.3579     14.26   0.035491   0.035732   0.035975   0.036219  0.036465     12.89    13.06 
GRANBURY TEX INDPT SCH   385064SF8 06/25/20 08/01/28     83.987     0.000     2.1660     27.91   0.051743   0.052304   0.052870   0.053443  0.054021     18.90    19.31 
GRANBURY TEX INDPT SCH   385064SB7 06/25/20 08/01/24     94.332     0.000     1.4281     20.59   0.038013   0.038284   0.038557   0.038833  0.039110     13.81    14.01 
GRANBURY TEX INDPT SCH   385064SC5 06/25/20 08/01/25     92.530     0.000     1.5280     21.62   0.039938   0.040243   0.040550   0.040860  0.041172     14.52    14.75 
GRANBURY TEX INDPT SCH   385064SD3 06/25/20 08/01/26     89.407     0.000     1.8439     25.25   0.046729   0.047160   0.047594   0.048033  0.048476     17.03    17.35 
GRANBURY TEX INDPT SCH   385064SE1 06/25/20 08/01/27     87.165     0.000     1.9440     25.97   0.048083   0.048550   0.049022   0.049498  0.049980     17.53    17.88 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GRANBURY TEX INDPT SCH   385064SA9 06/25/20 08/01/23     96.350     0.000     1.2030     17.69   0.032623   0.032820   0.033017   0.033216               11.84     6.97 
GREENVILLE OHIO CITY SCH 396352HE9 11/26/19 01/01/26     85.114     0.000     2.6608     48.53   0.066495   0.067380   0.068276   0.069185  0.070105     24.10    24.74 
GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27     82.085     0.000     2.8008     49.32   0.067699   0.068647   0.069608   0.070583  0.071572     24.54    25.23 
GREENVILLE OHIO CITY SCH 396352HC3 11/26/19 01/01/24     90.772     0.000     2.3768     46.12   0.062975   0.063723   0.064480   0.065247               22.81    23.35 
GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25     87.834     0.000     2.5610     48.16   0.065909   0.066753   0.067608   0.068473  0.069350     23.88    24.49 
GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28     79.515     0.000     2.8508     48.65   0.066820   0.067773   0.068739   0.069719  0.070712     24.23    24.92 
GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29     76.605     0.000     2.9509     48.55   0.066773   0.067758   0.068758   0.069772  0.070802     24.22    24.94 
GREENVILLE OHIO CITY SCH 396352HB5 11/26/19 01/01/23     93.085     0.000     2.3267     46.28   0.063152   0.063887                                     22.87          
GREENVILLE TEX INDPT SCH 396730MQ3 09/24/20 02/15/22     99.155     0.000     0.6106      7.71   0.016911                                                 0.74          
GREENVILLE TEX INDPT SCH 396730MR1 09/24/20 02/15/23     98.265     0.000     0.7331      9.17   0.020141   0.020215   0.020289                           7.28     0.89 
GREENWOOD TEX INDPT SCH  397370HZ3 12/05/19 02/15/25     87.541     0.000     2.5777     47.75   0.065464   0.066308   0.067163   0.068028  0.068905     23.95    24.57 
GREENWOOD TEX INDPT SCH  397370HY6 12/05/19 02/15/24     90.290     0.000     2.4497     46.75   0.064028   0.064812   0.065606   0.066410  0.067223     23.41    23.98 
GREENWOOD TEX INDPT SCH  397370HX8 12/05/19 02/15/23     92.896     0.000     2.3197     45.50   0.062244   0.062966   0.063696                          22.74     2.80 
GREENWOOD TEX INDPT SCH  397370HW0 12/05/19 02/15/22     95.398     0.000     2.1578     43.41   0.059300                                                 2.61          
GREENWOOD TEX INDPT SCH  397370JA6 12/05/19 02/15/26     84.807     0.000     2.6777     48.09   0.065991   0.066874   0.067770   0.068677  0.069596     24.16    24.81 
GS FINANCE CORP          40057LZW4 05/25/22 05/23/25    100.000     0.000     3.7528                        0.104244   0.106179   0.108171  0.110201     22.59    38.74 
GS FINANCE CORP          40057LZX2 05/25/22 05/23/25    100.000     0.000     3.7528                        0.104244   0.106179   0.108171  0.110201     22.59    38.74 
GS FINANCE CORP          40057MLU1 07/21/22 07/20/27    100.000     0.000     4.7658                                   0.132383   0.135520  0.138750     21.18    49.25 
GS FINANCE CORP          40057NP84 11/02/22 11/04/25    100.000     0.000     5.8600                        0.162778   0.162831   0.167602  0.172512      9.61    60.03 
GS FINANCE CORP          40057LZZ7 05/18/22 05/18/32    100.000     0.000     4.7100                        0.130833   0.133914   0.137068  0.140296     29.31    49.05 
GS FINANCE CORP          40057MMG1 07/22/22 07/20/27    100.000     0.000     4.7658                                   0.132383   0.135503  0.138732     21.05    49.24 
GS FINANCE CORP          40057NPH4 10/28/22 11/01/27    100.000     0.000     6.1800                        0.171667   0.171755   0.177062  0.182534     10.82    63.43 
GS FINANCE CORP          40057NPX9 10/31/22 10/31/25    100.000     0.000     5.8200                                   0.161667   0.166371  0.171213      9.86    59.63 
GS FINANCE CORP          40057MMT3 08/03/22 08/03/27    100.000     0.000     4.2300                                   0.117500   0.119985  0.122523     17.39    43.49 
GS FINANCE CORP          40057NQ67 10/31/22 11/02/27    100.000     0.000     6.1000                        0.169444   0.169502   0.174672  0.179999     10.34    62.57 
GS FINANCE CORP          40057MN21 07/14/22 07/14/28    100.000     0.000     4.4700                                   0.124167   0.126942  0.129779     20.74    46.14 
GS FINANCE CORP          40057MMQ9 08/03/22 08/01/25    100.000     0.000     3.8597                                   0.107214   0.109260  0.111369     15.87    39.59 
GS FINANCE CORP          40057NQ34 10/31/22 10/29/27    100.000     0.000     6.0883                                   0.169119   0.174239  0.179543     10.32    62.45 
GS FINANCE CORP          40057P4U3 12/05/22 12/05/24    100.000     0.000     5.3000                                   0.147222   0.151124  0.155128      3.83    53.91 
GS FINANCE CORP          40057MMN6 08/03/22 08/01/25    100.000     0.000     3.8597                                   0.107214   0.109260  0.111369     15.87    39.59 
GS FINANCE CORP          40057NQQ3 11/02/22 10/31/25    100.000     0.000     5.8608                                   0.162800   0.167518  0.172427      9.61    60.04 
GS FINANCE CORP          40057NQN0 11/02/22 11/02/26    100.000     0.000     5.9750                                   0.165972   0.170931  0.176037      9.79    61.24 
GS FINANCE CORP          40057MNH8 07/15/22 07/17/23    100.000     0.000     2.3600                        0.065556   0.065564   0.066338               10.88    12.99 
GS FINANCE CORP          40057MNG0 07/22/22 07/24/25    100.000     0.000     4.4400                        0.123333   0.123364   0.126102  0.128902     19.61    45.77 
GS FINANCE CORP          40057NQX8 10/31/22 11/02/27    100.000     0.000     6.1000                        0.169444   0.169502   0.174672  0.179999     10.34    62.57 
GS FINANCE CORP          40057NA64 10/13/22 10/10/25    100.000     0.000     5.5433                                   0.153981   0.158177  0.162561     12.01    56.88 
GS FINANCE CORP          40057NR82 11/03/22 11/08/27    100.000     0.000     6.1100                        0.169722   0.169866   0.175056  0.180404      9.85    62.64 
GS FINANCE CORP          40057NQV2 10/31/22 10/31/25    100.000     0.000     5.8200                                   0.161667   0.166371  0.171213      9.86    59.63 
GS FINANCE CORP          40057NQT7 10/31/22 10/29/27    100.000     0.000     6.0883                                   0.169119   0.174239  0.179543     10.32    62.45 
GS FINANCE CORP          40057NR41 11/02/22 05/01/25    100.000     0.000     5.8658                                   0.162939   0.167691  0.172609      9.61    60.09 
GS FINANCE CORP          40057NRC3 11/02/22 11/04/25    100.000     0.000     5.8600                        0.162778   0.162831   0.167602  0.172512      9.61    60.03 
GS FINANCE CORP          40057NRB5 11/02/22 11/04/27    100.000     0.000     6.0900                        0.169167   0.169224   0.174377  0.179687      9.98    62.44 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057N0G6 11/03/22 11/05/25    100.000     0.000     5.8900                        0.163611   0.163665   0.168485  0.173446      9.49    60.33 
GS FINANCE CORP          40057NAC1 09/29/22 10/01/25    100.000     0.000     5.5300                        0.153611   0.153658   0.157907  0.162273     14.14    56.86 
GS FINANCE CORP          40057NAR8 10/13/22 10/15/25    100.000     0.000     5.5500                        0.154167   0.154214   0.158494  0.162892     12.03    56.95 
GS FINANCE CORP          40057P6V9 12/07/22 12/05/25    100.000     0.000     4.9979                                   0.138831   0.142261  0.145816      3.33    50.78 
GS FINANCE CORP          40057NAP2 09/28/22 09/28/27    100.000     0.000     5.6300                                   0.156389   0.160791  0.165318     14.54    57.92 
GS FINANCE CORP          40057NS32 11/01/22 10/27/25    100.000     0.000     5.7608                                   0.160022   0.164529  0.169268      9.60    59.01 
GS FINANCE CORP          40057NRN9 10/31/22 10/31/24    100.000     0.000     5.7700                                   0.160278   0.164902  0.169659      9.78    59.10 
GS FINANCE CORP          40057MP94 08/08/22 08/08/24    100.000     0.000     2.8600                                   0.079444   0.080580  0.081733     11.36    29.13 
GS FINANCE CORP          40057NAX5 09/28/22 09/30/27    100.000     0.000     5.6300                        0.156389   0.156438   0.160842  0.165369     14.55    57.92 
GS FINANCE CORP          40057NB97 09/27/22 09/27/27    100.000     0.000     5.5500                                   0.154167   0.158445  0.162842     14.49    57.09 
GS FINANCE CORP          40057MP86 08/08/22 09/08/23    100.000     0.000     2.8600                        0.079444   0.079634   0.080773               11.38    19.87 
GS FINANCE CORP          40057NAW7 10/05/22 04/04/24    100.000     0.000     5.3558                                   0.148772   0.152734  0.156824     12.79    54.97 
GS FINANCE CORP          40057MP78 08/02/22 08/02/27    100.000     0.000     4.2800                                   0.118889   0.121433  0.124032     17.71    44.02 
GS FINANCE CORP          40057MP60 08/03/22 08/03/27    100.000     0.000     4.2300                                   0.117500   0.119985  0.122523     17.39    43.49 
GS FINANCE CORP          40057NAU1 10/19/22 10/21/25    100.000     0.000     5.8800                        0.163333   0.163387   0.168190  0.173135     11.76    60.37 
GS FINANCE CORP          40057NS81 11/01/22 10/31/24    100.000     0.000     5.7708                                   0.160300   0.164900  0.169658      9.62    59.11 
GS FINANCE CORP          40057NRV1 11/09/22 11/02/26    100.000     0.000     5.9371                                   0.164919   0.169625  0.174660      8.58    60.79 
GS FINANCE CORP          40057MP45 07/26/22 10/23/23    100.000     0.000     4.2300                        0.117500   0.118701   0.121212               18.29    35.11 
GS FINANCE CORP          40057MP37 07/26/22 08/23/23    100.000     0.000     4.1500                        0.115278   0.115637   0.118036               17.91    27.26 
GS FINANCE CORP          40057NRU3 11/02/22 10/31/25    100.000     0.000     5.8608                                   0.162800   0.167518  0.172427      9.61    60.04 
GS FINANCE CORP          40057NSE8 11/23/22 11/24/28    100.000     0.000     5.5450                                   0.154028   0.158322  0.162711      5.85    56.54 
GS FINANCE CORP          40057MPB9 07/28/22 07/25/24    100.000     0.000     4.2300                                   0.117500   0.119944  0.122481     17.98    43.52 
GS FINANCE CORP          40057NSD0 11/23/22 11/23/27    100.000     0.000     5.5000                                   0.152778   0.156979  0.161296      5.81    56.08 
GS FINANCE CORP          40057NSC2 11/18/22 11/23/29    100.000     0.000     5.5900                        0.155278   0.155398   0.159742  0.164206      6.68    57.06 
GS FINANCE CORP          40057NBA4 09/30/22 10/06/25    100.000     0.000     5.5800                        0.155000   0.155144   0.159473  0.163922     14.12    57.38 
GS FINANCE CORP          40057NSA6 11/18/22 11/23/29    100.000     0.000     5.5900                        0.155278   0.155398   0.159742  0.164206      6.68    57.06 
GS FINANCE CORP          40057MPH6 07/27/22 07/29/25    100.000     0.000     4.1300                        0.114722   0.114749   0.117118  0.119537     17.67    42.46 
GS FINANCE CORP          40057MPD5 07/28/22 08/08/29    100.000     0.000     4.6700                        0.129722   0.129891   0.132923  0.136027     19.87    48.18 
GS FINANCE CORP          40057NBF3 09/28/22 09/28/27    100.000     0.000     5.6300                                   0.156389   0.160791  0.165318     14.54    57.92 
GS FINANCE CORP          40057MPS2 08/03/22 08/02/29    100.000     0.000     4.3642                                   0.121228   0.123858  0.126561     17.94    44.91 
GS FINANCE CORP          40057MPQ6 08/03/22 08/05/25    100.000     0.000     3.9700                        0.110278   0.110302   0.112492  0.114725     16.32    40.75 
GS FINANCE CORP          40057NSR9 11/07/22 11/05/27    100.000     0.000     5.9625                                   0.165625   0.170508  0.175591      8.94    61.06 
GS FINANCE CORP          40057NSS7 12/05/22 12/05/24    100.000     0.000     5.3000                                   0.147222   0.151124  0.155128      3.83    53.91 
GS FINANCE CORP          40057NT31 11/03/22 11/05/24    100.000     0.000     5.9350                        0.164861   0.164915   0.169809  0.174848      9.56    60.81 
GS FINANCE CORP          40057MPL7 07/22/22 07/24/25    100.000     0.000     4.4400                        0.123333   0.123364   0.126102  0.128902     19.61    45.77 
GS FINANCE CORP          36263Q603 07/06/22 07/03/25    100.000     0.000     4.1611                                   0.115586   0.117951  0.120405     20.23    42.89 
GS FINANCE CORP          40057MPX1 07/29/22 10/29/27    100.000     0.000     4.5500                        0.126389   0.127827   0.130735  0.133709     19.30    46.91 
GS FINANCE CORP          40057MPW3 07/29/22 07/31/25    100.000     0.000     4.2000                        0.116667   0.116680   0.119131  0.121632     17.74    43.19 
GS FINANCE CORP          40057NSZ1 11/30/22 11/28/25    100.000     0.000     5.3146                                   0.147628   0.151507  0.155533      4.58    54.11 
GS FINANCE CORP          40057MPV5 08/15/22 08/13/27    100.000     0.000     4.3504                                   0.120844   0.123444  0.126129     16.43    44.70 
GS FINANCE CORP          40057NT98 12/02/22 06/03/25    100.000     0.000     5.3050                                   0.147361   0.151292  0.155305      4.27    53.98 
GS FINANCE CORP          40057MPU7 08/03/22 08/03/27    100.000     0.000     4.2300                                   0.117500   0.119985  0.122523     17.39    43.49 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057MPT0 08/03/22 08/03/27    100.000     0.000     4.2300                                   0.117500   0.119985  0.122523     17.39    43.49 
GS FINANCE CORP          40057NSW8 11/28/22 11/30/27    100.000     0.000     5.4600                        0.151667   0.151713   0.155854  0.160109      5.01    55.62 
GS FINANCE CORP          36264Q396 09/21/22 10/03/29    100.000     0.000     5.3200                        0.147778   0.148040   0.151978  0.156020     14.80    54.71 
GS FINANCE CORP          40057NTE7 12/05/22 12/08/25    100.000     0.000     5.1200                        0.142222   0.142283   0.145925  0.149661      3.70    52.05 
GS FINANCE CORP          40057NTK3 12/05/22 12/04/25    100.000     0.000     5.1350                                   0.142639   0.146281  0.150037      3.71    52.21 
GS FINANCE CORP          40057NCV7 10/05/22 04/02/26    100.000     0.000     5.5946                                   0.155406   0.159680  0.164147     13.36    57.49 
GS FINANCE CORP          40057NTV9 11/28/22 05/28/25    100.000     0.000     5.3600                                   0.148889   0.152879  0.156976      4.91    54.59 
GS FINANCE CORP          40057NCS4 10/05/22 10/07/27    100.000     0.000     5.8400                        0.162222   0.162275   0.167013  0.171890     13.96    60.08 
GS FINANCE CORP          40057NTT4 12/05/22 12/03/27    100.000     0.000     5.3692                                   0.149144   0.153104  0.157214      3.88    54.63 
GS FINANCE CORP          40057MQX0 08/03/22 08/03/26    100.000     0.000     4.1000                                   0.113889   0.116224  0.118606     16.86    42.12 
GS FINANCE CORP          40057ND95 09/28/22 03/27/25    100.000     0.000     5.2588                                   0.146078   0.149897  0.153839     13.59    54.01 
GS FINANCE CORP          40057NCW5 10/05/22 04/02/27    100.000     0.000     5.7496                                   0.159711   0.164226  0.168947     13.74    59.13 
GS FINANCE CORP          40057N2V8 10/05/22 04/03/25    100.000     0.000     5.4658                                   0.151828   0.155931  0.160192     13.06    56.13 
GS FINANCE CORP          40057MRD3 08/03/22 02/03/25    100.000     0.000     3.3083                                   0.091897   0.093417  0.094963     13.60    33.81 
GS FINANCE CORP          40057MAC3 07/06/22 07/08/25    100.000     0.000     4.2800                        0.118889   0.118917   0.121462  0.124061     20.81    44.16 
GS FINANCE CORP          40057NUF2 11/18/22 11/20/25    100.000     0.000     5.2400                        0.145556   0.145598   0.149413  0.153327      6.26    53.42 
GS FINANCE CORP          40057MRB7 08/03/22 02/03/25    100.000     0.000     3.3083                                   0.091897   0.093417  0.094963     13.60    33.81 
GS FINANCE CORP          40057NUC9 11/28/22 11/27/26    100.000     0.000     5.3517                                   0.148658   0.152614  0.156698      4.91    54.50 
GS FINANCE CORP          40057NDB0 10/04/22 10/03/24    100.000     0.000     5.3729                                   0.149247   0.153234  0.157351     12.98    55.16 
GS FINANCE CORP          40057NUM7 11/18/22 11/18/27    100.000     0.000     5.4500                                   0.151389   0.155514  0.159752      6.51    55.60 
GS FINANCE CORP          40057NDJ3 09/30/22 10/12/27    100.000     0.000     5.9500                        0.165278   0.165606   0.170532  0.175606     15.07    61.29 
GS FINANCE CORP          40057MS83 08/03/22 08/01/24    100.000     0.000     2.8600                                   0.079444   0.080568  0.081720     11.76    29.14 
GS FINANCE CORP          40057MRW1 08/31/22 09/11/29    100.000     0.000     4.7600                        0.132222   0.132415   0.135566  0.138792     16.02    48.94 
GS FINANCE CORP          40057NDW4 10/13/22 10/23/29    100.000     0.000     5.9600                        0.165556   0.165830   0.170771  0.175860     12.93    61.27 
GS FINANCE CORP          40057N3V7 10/05/22 10/03/25    100.000     0.000     5.5208                                   0.153356   0.157542  0.161891     13.19    56.71 
GS FINANCE CORP          40057MRV3 08/31/22 08/29/25    100.000     0.000     4.2583                                   0.118286   0.120777  0.123362     14.31    43.65 
GS FINANCE CORP          40057MRU5 08/31/22 03/03/27    100.000     0.000     4.5750                        0.127083   0.127132   0.130040  0.133015     15.38    46.99 
GS FINANCE CORP          40057NUX3 12/05/22 12/04/25    100.000     0.000     5.1350                                   0.142639   0.146281  0.150037      3.71    52.21 
GS FINANCE CORP          40057NV79 11/28/22 11/28/25    100.000     0.000     5.2600                                   0.146111   0.149954  0.153898      4.82    53.55 
GS FINANCE CORP          40057MRT8 08/31/22 09/11/29    100.000     0.000     7.0000                        0.194444   0.194860   0.201680  0.208739     23.57    72.90 
GS FINANCE CORP          40057NV87 11/28/22 12/07/29    100.000     0.000     5.5300                        0.153611   0.153823   0.158077  0.162448      5.07    56.35 
GS FINANCE CORP          40057MRS0 08/31/22 08/29/25    100.000     0.000     4.2583                                   0.118286   0.120777  0.123362     14.31    43.65 
GS FINANCE CORP          40057MRR2 08/31/22 08/31/27    100.000     0.000     4.6400                                   0.128889   0.131846  0.134939     15.60    47.67 
GS FINANCE CORP          40057NV61 11/28/22 11/26/27    100.000     0.000     5.4517                                   0.151436   0.155518  0.159757      5.00    55.54 
GS FINANCE CORP          40057NV46 12/05/22 12/04/25    100.000     0.000     5.1350                                   0.142639   0.146281  0.150037      3.71    52.21 
GS FINANCE CORP          40057NDR5 10/12/22 10/10/24    100.000     0.000     5.3850                                   0.149583   0.153566  0.157701     11.82    55.22 
GS FINANCE CORP          40057NUT2 11/28/22 12/10/29    100.000     0.000     5.5300                        0.153611   0.153894   0.158149  0.162522      5.08    56.35 
GS FINANCE CORP          40057NUR6 11/28/22 12/01/25    100.000     0.000     5.2600                        0.146111   0.146175   0.150020  0.153965      4.82    53.55 
GS FINANCE CORP          40057NDQ7 09/29/22 01/04/24    100.000     0.000     5.2413                                   0.145592   0.147605  0.151474     13.39    53.82 
GS FINANCE CORP          40057MB99 06/30/22 06/30/28    100.000     0.000     4.9300                        0.136944   0.140320   0.143779  0.147323     24.79    51.14 
GS FINANCE CORP          40057N3Z8 10/05/22 10/05/27    100.000     0.000     5.8400                                   0.162222   0.166959  0.171834     13.95    60.08 
GS FINANCE CORP          40057N3X3 10/05/22 10/05/27    100.000     0.000     5.8400                                   0.162222   0.166959  0.171834     13.95    60.08 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057MSH3 09/06/22 09/09/25    100.000     0.000     4.5300                        0.125833   0.125881   0.128732  0.131648     14.48    46.48 
GS FINANCE CORP          40057NVK0 12/05/22 06/04/25    100.000     0.000     5.2250                                   0.145139   0.148910  0.152800      3.77    53.14 
GS FINANCE CORP          40057MSG5 09/02/22 09/05/25    100.000     0.000     4.5100                        0.125278   0.125325   0.128151  0.131041     14.91    46.29 
GS FINANCE CORP          40057NEF0 10/31/22 05/01/25    100.000     0.000     5.7950                                   0.160972   0.165662  0.170462      9.82    59.36 
GS FINANCE CORP          40057NVF1 11/28/22 12/10/29    100.000     0.000     5.5300                        0.153611   0.153894   0.158149  0.162522      5.08    56.35 
GS FINANCE CORP          40057NEC7 10/11/22 11/09/23    100.000     0.000     5.2800                        0.146667   0.147269   0.151157               11.76    46.06 
GS FINANCE CORP          40057NVE4 11/28/22 08/27/25    100.000     0.000     5.3267                                   0.147964   0.149912  0.153905      4.88    54.35 
GS FINANCE CORP          40057MSP5 09/06/22 09/03/27    100.000     0.000     4.8079                                   0.133553   0.136710  0.139996     15.36    49.41 
GS FINANCE CORP          40057MSQ3 09/06/22 09/05/25    100.000     0.000     4.4042                                   0.122339   0.125018  0.127771     14.07    45.15 
GS FINANCE CORP          40057NW52 11/16/22 05/15/24    100.000     0.000     5.5258                                   0.153494   0.157712  0.162069      6.91    56.41 
GS FINANCE CORP          40057NVT1 11/28/22 11/28/25    100.000     0.000     5.2600                                   0.146111   0.149954  0.153898      4.82    53.55 
GS FINANCE CORP          40057NF28 11/03/22 11/04/27    100.000     0.000     6.1100                                   0.169722   0.174936  0.180280      9.84    62.64 
GS FINANCE CORP          40057NVS3 12/05/22 06/04/25    100.000     0.000     5.2250                                   0.145139   0.148910  0.152800      3.77    53.14 
GS FINANCE CORP          40057MBW8 06/03/22 06/05/24    100.000     0.000     2.4000             0.066667   0.066676   0.067476   0.068285  0.069105     13.89    24.48 
GS FINANCE CORP          40057NEY9 10/31/22 10/30/25    100.000     0.000     5.8158                                   0.161550   0.166248  0.171082      9.85    59.59 
GS FINANCE CORP          40057NEX1 10/31/22 11/09/29    100.000     0.000     6.2300                        0.173056   0.173325   0.178724  0.184291     10.57    63.94 
GS FINANCE CORP          40057NEW3 10/31/22 11/09/29    100.000     0.000     6.2300                        0.173056   0.173325   0.178724  0.184291     10.57    63.94 
GS FINANCE CORP          40057NF77 11/03/22 11/04/27    100.000     0.000     6.1100                                   0.169722   0.174936  0.180280      9.84    62.64 
GS FINANCE CORP          40057NEV5 10/31/22 10/29/27    100.000     0.000     6.0883                                   0.169119   0.174239  0.179543     10.32    62.45 
GS FINANCE CORP          40057MT66 08/31/22 08/29/25    100.000     0.000     4.2583                                   0.118286   0.120777  0.123362     14.31    43.65 
GS FINANCE CORP          40057NEU7 10/31/22 04/30/26    100.000     0.000     5.8783                                   0.163286   0.168085  0.173026      9.96    60.24 
GS FINANCE CORP          40057NF69 11/03/22 05/05/25    100.000     0.000     5.9125                        0.164236   0.164290   0.169147  0.174147      9.53    60.57 
GS FINANCE CORP          40057NVW4 11/15/22 11/14/24    100.000     0.000     5.7987                                   0.161075   0.165719  0.170524      7.41    59.27 
GS FINANCE CORP          40057N4R5 10/05/22 10/03/25    100.000     0.000     5.5208                                   0.153356   0.157542  0.161891     13.19    56.71 
GS FINANCE CORP          40057MTB5 08/31/22 08/31/26    100.000     0.000     4.5100                                   0.125278   0.128071  0.130992     15.16    46.30 
GS FINANCE CORP          40057NFB8 10/13/22 10/10/24    100.000     0.000     5.4633                                   0.151758   0.155835  0.160092     11.84    56.04 
GS FINANCE CORP          40057MBX6 06/03/22 06/04/27    100.000     0.000     4.0700                        0.113056   0.115369   0.117717  0.120112     23.58    42.08 
GS FINANCE CORP          40057NFJ1 11/03/22 11/05/25    100.000     0.000     5.8900                        0.163611   0.163665   0.168485  0.173446      9.49    60.33 
GS FINANCE CORP          40057NWJ2 11/23/22 11/25/25    100.000     0.000     5.2900                        0.146944   0.146988   0.150875  0.154866      5.59    53.90 
GS FINANCE CORP          40057N5G8 09/20/22 09/18/25    100.000     0.000     4.8125                                   0.133681   0.136862  0.140155     13.50    49.36 
GS FINANCE CORP          40057NFF9 10/03/22 10/03/24    100.000     0.000     5.2400                                   0.145556   0.149369  0.153283     12.81    53.77 
GS FINANCE CORP          40057NWH6 11/17/22 11/19/25    100.000     0.000     5.3500                        0.148611   0.148655   0.152632  0.156715      6.54    54.57 
GS FINANCE CORP          40057MTE9 09/06/22 09/05/25    100.000     0.000     4.4042                                   0.122339   0.125018  0.127771     14.07    45.15 
GS FINANCE CORP          40057NFG7 10/04/22 04/03/25    100.000     0.000     5.4454                                   0.151261   0.155357  0.159587     13.16    55.92 
GS FINANCE CORP          40057MTD1 08/31/22 09/11/29    100.000     0.000     4.7600                        0.132222   0.132415   0.135566  0.138792     16.02    48.94 
GS FINANCE CORP          40057NFE2 10/03/22 10/02/25    100.000     0.000     5.3592                                   0.148867   0.152834  0.156929     13.10    55.02 
GS FINANCE CORP          40057MD22 06/30/22 10/03/24    100.000     0.000     3.3450                        0.092917   0.093720   0.095287  0.096881     16.89    34.30 
GS FINANCE CORP          40057MCQ0 07/07/22 07/10/23    100.000     0.000     2.3600                        0.065556   0.065568   0.066342               11.41    12.53 
GS FINANCE CORP          40057NFT9 10/26/22 10/24/24    100.000     0.000     5.8583                                   0.162731   0.167444  0.172349     10.58    60.08 
GS FINANCE CORP          40057N5S2 09/22/22 09/23/27    100.000     0.000     5.2900                                   0.146944   0.150853  0.154843     14.55    54.38 
GS FINANCE CORP          40057M2P3 05/25/22 05/27/27    100.000     0.000     4.3500             0.120833   0.120863   0.123491   0.126177  0.128922     26.20    45.12 
GS FINANCE CORP          40057NFS1 10/26/22 10/24/24    100.000     0.000     5.8637                                   0.162881   0.167603  0.172517     10.59    60.13 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057N5R4 09/22/22 09/23/27    100.000     0.000     5.2900                                   0.146944   0.150853  0.154843     14.55    54.38 
GS FINANCE CORP          40057N5P8 09/13/22 09/12/24    100.000     0.000     3.0300                                   0.084167   0.085435  0.086729      9.09    30.81 
GS FINANCE CORP          40057NWT0 11/23/22 11/25/26    100.000     0.000     5.3950                        0.149861   0.149906   0.153950  0.158103      5.70    54.99 
GS FINANCE CORP          40057NX36 12/01/22 12/03/25    100.000     0.000     5.1700                        0.143611   0.143652   0.147366  0.151175      4.31    52.59 
GS FINANCE CORP          40057NWR4 11/15/22 11/14/24    100.000     0.000     5.7967                                   0.161019   0.165660  0.170462      7.41    59.25 
GS FINANCE CORP          40057NX28 11/09/22 05/09/24    100.000     0.000     5.9175                                   0.164375   0.169238  0.174246      8.55    60.56 
GS FINANCE CORP          40057N5M5 09/13/22 09/12/24    100.000     0.000     3.0300                                   0.084167   0.085435  0.086729      9.09    30.81 
GS FINANCE CORP          40057MTM1 09/06/22 03/05/25    100.000     0.000     3.6492                                   0.101367   0.103206  0.105089     11.66    37.25 
GS FINANCE CORP          40057MTL3 08/31/22 03/03/25    100.000     0.000     3.6500                        0.101389   0.101420   0.103271  0.105155     12.27    37.29 
GS FINANCE CORP          40057N5K9 09/14/22 09/14/27    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308     14.80    51.17 
GS FINANCE CORP          40057NWZ6 11/09/22 02/08/24    100.000     0.000     5.9325                                   0.164792   0.167209  0.172168      8.57    60.81 
GS FINANCE CORP          40057MD55 08/24/22 03/24/25    100.000     0.000     3.6942                        0.102617   0.102933   0.104834  0.106770     13.06    37.77 
GS FINANCE CORP          40057MU72 08/31/22 08/29/25    100.000     0.000     4.2583                                   0.118286   0.120777  0.123362     14.31    43.65 
GS FINANCE CORP          40057MD48 08/03/22 08/01/25    100.000     0.000     3.8597                                   0.107214   0.109260  0.111369     15.87    39.59 
GS FINANCE CORP          40057MTS8 09/06/22 03/05/25    100.000     0.000     3.6492                                   0.101367   0.103206  0.105089     11.66    37.25 
GS FINANCE CORP          40057MD30 07/06/22 01/06/25    100.000     0.000     3.5667                                   0.099075   0.100842  0.102640     17.34    36.61 
GS FINANCE CORP          40057MU56 08/24/22 08/22/24    100.000     0.000     2.8600                                   0.079444   0.080568  0.081720     10.09    29.10 
GS FINANCE CORP          40057M3A5 06/03/22 06/04/30    100.000     0.000     4.3600                        0.121111   0.123766   0.126464  0.129221     25.26    45.19 
GS FINANCE CORP          40057NGD3 11/03/22 11/07/25    100.000     0.000     5.8900                        0.163611   0.163718   0.168540  0.173503      9.50    60.33 
GS FINANCE CORP          40057N6A0 10/05/22 04/03/25    100.000     0.000     5.4658                                   0.151828   0.155931  0.160192     13.06    56.13 
GS FINANCE CORP          40057NGA9 11/02/22 10/31/25    100.000     0.000     5.8608                                   0.162800   0.167518  0.172427      9.61    60.04 
GS FINANCE CORP          40057M2Y4 05/25/22 05/23/24    100.000     0.000     2.4661                        0.068503   0.069338   0.070193  0.071059     14.83    25.18 
GS FINANCE CORP          40057MUL1 09/07/22 09/08/23    100.000     0.000     3.0300                                   0.084167   0.085449                9.59    21.02 
GS FINANCE CORP          40057NGN1 10/04/22 10/03/24    100.000     0.000     5.3729                                   0.149247   0.153234  0.157351     12.98    55.16 
GS FINANCE CORP          40057MUK3 08/17/22 08/17/27    100.000     0.000     4.3300                                   0.120278   0.122882  0.125542     16.12    44.47 
GS FINANCE CORP          40057NGM3 10/19/22 10/19/26    100.000     0.000     6.0450                                   0.167917   0.172992  0.178221     12.09    62.11 
GS FINANCE CORP          40057MUH0 08/17/22 08/15/25    100.000     0.000     4.0056                                   0.111267   0.113470  0.115743     14.91    41.06 
GS FINANCE CORP          40057N6H5 09/28/22 10/26/23    100.000     0.000     5.1100                        0.141944   0.142509   0.146150               13.24    42.70 
GS FINANCE CORP          40057NGJ0 10/31/22 11/09/29    100.000     0.000     6.2300                        0.173056   0.173325   0.178724  0.184291     10.57    63.94 
GS FINANCE CORP          40057M3C1 05/25/22 05/28/25    100.000     0.000     3.8600             0.107222   0.107257   0.109327   0.111437  0.113588     23.24    39.88 
GS FINANCE CORP          40057N6F9 10/06/22 10/10/23    100.000     0.000     5.2000                        0.144444   0.144528   0.148286               12.28    41.00 
GS FINANCE CORP          40057MUE7 08/17/22 08/13/25    100.000     0.000     4.0153                                   0.111536   0.113726  0.116009     14.95    41.16 
GS FINANCE CORP          40057NH75 10/26/22 10/26/27    100.000     0.000     6.3400                                   0.176111   0.181694  0.187454     11.45    65.14 
GS FINANCE CORP          40057MV63 08/24/22 08/24/27    100.000     0.000     4.5200                                   0.125556   0.128393  0.131295     15.95    46.44 
GS FINANCE CORP          40057NXU6 11/14/22 11/14/24    100.000     0.000     5.8400                                   0.162222   0.166959  0.171834      7.62    59.70 
GS FINANCE CORP          40057NH59 10/26/22 10/26/28    100.000     0.000     6.4200                                   0.178333   0.184058  0.189966     11.59    65.99 
GS FINANCE CORP          40057NGT8 10/05/22 10/05/27    100.000     0.000     5.8400                                   0.162222   0.166959  0.171834     13.95    60.08 
GS FINANCE CORP          40057M3M9 05/31/22 05/28/27    100.000     0.000     4.0029                        0.111192   0.113392   0.115662  0.117977     23.53    41.38 
GS FINANCE CORP          40057NGQ4 10/31/22 10/30/25    100.000     0.000     5.8158                                   0.161550   0.166248  0.171082      9.85    59.59 
GS FINANCE CORP          40057NGP6 10/11/22 10/08/27    100.000     0.000     5.6483                                   0.156897   0.161254  0.165808     12.55    58.01 
GS FINANCE CORP          40057M3J6 06/01/22 05/29/25    100.000     0.000     3.5097                        0.097492   0.099183   0.100924  0.102695     20.53    36.13 
GS FINANCE CORP          36264U298 11/21/22 12/05/28    100.000     0.000     5.4700                        0.151944   0.152268   0.156432  0.160711      6.09    55.79 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057M3V9 06/01/22 06/12/29    100.000     0.000     4.2600             0.118333   0.118487   0.121011   0.123589  0.126221     24.93    44.13 
GS FINANCE CORP          40057MV89 09/06/22 01/15/26    100.000     0.000     4.5783                                   0.127175   0.129261  0.132220     14.63    47.00 
GS FINANCE CORP          40057MV97 10/28/22 10/30/24    100.000     0.000     5.8050                        0.161250   0.161302   0.165984  0.170801     10.16    59.49 
GS FINANCE CORP          40057MUX5 08/31/22 08/29/24    100.000     0.000     2.8600                                   0.079444   0.080568  0.081726      9.61    29.08 
GS FINANCE CORP          40057N7F8 09/14/22 09/12/25    100.000     0.000     4.5597                                   0.126658   0.129514  0.132467     13.55    46.74 
GS FINANCE CORP          40057M4B2 06/03/22 12/03/26    100.000     0.000     3.9650                        0.110139   0.112322   0.114549  0.116820     22.97    40.96 
GS FINANCE CORP          40057N7D3 10/03/22 09/29/25    100.000     0.000     5.3592                                   0.148867   0.152767  0.156861     13.10    55.03 
GS FINANCE CORP          40057MVD8 10/21/22 10/22/25    100.000     0.000     6.0100                                   0.166944   0.171989  0.177157     11.69    61.71 
GS FINANCE CORP          40057MVB2 11/04/22 11/06/24    100.000     0.000     5.9000                        0.163889   0.163943   0.168779  0.173758      9.34    60.43 
GS FINANCE CORP          40057MVA4 10/26/22 10/24/25    100.000     0.000     5.9988                                   0.166633   0.171576  0.176722     10.83    61.55 
GS FINANCE CORP          40057NYQ4 11/28/22 11/29/24    100.000     0.000     5.4600                                   0.151667   0.155830  0.160084      5.01    55.62 
GS FINANCE CORP          40057MVM8 08/22/22 08/24/27    100.000     0.000     4.4100                        0.122500   0.122530   0.125232  0.127993     15.81    45.29 
GS FINANCE CORP          40057MVL0 09/01/22 09/13/30    100.000     0.000     4.9000                        0.136111   0.136333   0.139674  0.143096     16.36    50.41 
GS FINANCE CORP          36264U207 11/03/22 11/04/24    100.000     0.000     6.0000                                   0.166667   0.171694  0.176845      9.67    61.49 
GS FINANCE CORP          40057NYK7 11/18/22 05/20/24    100.000     0.000     5.5175                        0.153264   0.153311   0.157540  0.161886      6.59    56.30 
GS FINANCE CORP          40057N7H4 09/28/22 09/26/24    100.000     0.000     5.2063                                   0.144619   0.148342  0.152204     13.45    53.45 
GS FINANCE CORP          40057MVH9 08/18/22 02/19/26    100.000     0.000     4.1725                                   0.115903   0.118334  0.120803     15.42    42.81 
GS FINANCE CORP          40057NHJ9 10/05/22 10/03/24    100.000     0.000     5.4108                                   0.150300   0.154321  0.158496     12.93    55.55 
GS FINANCE CORP          40057MVV8 08/31/22 08/29/25    100.000     0.000     4.2583                                   0.118286   0.120777  0.123362     14.31    43.65 
GS FINANCE CORP          40057MW62 08/26/22 08/27/26    100.000     0.000     4.4950                                   0.124861   0.127683  0.130553     15.61    46.16 
GS FINANCE CORP          40057MVU0 08/18/22 08/21/23    100.000     0.000     2.8600                        0.079444   0.079463   0.080600               10.57    18.48 
GS FINANCE CORP          40057NZ91 11/29/22 05/29/24    100.000     0.000     5.5000                                   0.152778   0.156979  0.161296      4.89    56.03 
GS FINANCE CORP          40057NZ75 11/18/22 02/21/24    100.000     0.000     5.5638                                   0.154550   0.156771  0.161133      6.65    56.89 
GS FINANCE CORP          40057NHT7 10/19/22 10/21/27    100.000     0.000     6.2100                        0.172500   0.172560   0.177917  0.183442     12.42    63.85 
GS FINANCE CORP          40057NYV3 11/22/22 11/22/27    100.000     0.000     5.4900                                   0.152500   0.156686  0.160987      5.95    55.98 
GS FINANCE CORP          40057M4N6 06/02/22 05/30/24    100.000     0.000     2.3958                        0.066550   0.067338   0.068145  0.068961     13.93    24.44 
GS FINANCE CORP          40057MVZ9 08/31/22 08/31/27    100.000     0.000     4.6400                                   0.128889   0.131846  0.134939     15.60    47.67 
GS FINANCE CORP          40057M4U0 06/03/22 06/04/32    100.000     0.000     4.4600                        0.123889   0.126667   0.129492  0.132379     25.84    46.26 
GS FINANCE CORP          40057M5E5 06/03/22 12/02/24    100.000     0.000     2.9403                        0.081675   0.082869   0.084087  0.085324     17.02    30.12 
GS FINANCE CORP          40057NZF7 11/29/22 11/29/24    100.000     0.000     5.4000                                   0.150000   0.154050  0.158209      4.80    54.99 
GS FINANCE CORP          40057MWP0 09/06/22 03/04/27    100.000     0.000     4.7354                                   0.131539   0.134619  0.137806     15.13    48.64 
GS FINANCE CORP          40057MX20 08/30/22 08/29/24    100.000     0.000     2.8600                                   0.079444   0.080568  0.081726      9.61    29.08 
GS FINANCE CORP          40057M5K1 06/02/22 06/02/27    100.000     0.000     4.0000                        0.111111   0.113333   0.115600  0.117912     23.29    41.34 
GS FINANCE CORP          40057M5J4 06/03/22 06/08/27    100.000     0.000     4.0700             0.113056   0.113119   0.115421   0.117770  0.120167     23.58    42.08 
GS FINANCE CORP          40057NZY6 11/29/22 12/01/27    100.000     0.000     5.4000                        0.150000   0.150045   0.154096  0.158257      4.80    54.99 
GS FINANCE CORP          40057MX61 08/30/22 12/27/23    100.000     0.000     2.8600                        0.079444   0.080183   0.081329                9.62    28.75 
GS FINANCE CORP          40057NJ65 11/03/22 05/05/25    100.000     0.000     5.9125                        0.164236   0.164290   0.169147  0.174147      9.53    60.57 
GS FINANCE CORP          40057MWQ8 09/06/22 02/05/26    100.000     0.000     4.5904                                   0.127511   0.129934  0.132916     14.66    47.13 
GS FINANCE CORP          40057NJ40 11/03/22 05/05/25    100.000     0.000     5.9125                        0.164236   0.164290   0.169147  0.174147      9.53    60.57 
GS FINANCE CORP          40057NJA6 10/19/22 10/19/27    100.000     0.000     6.2100                                   0.172500   0.177856  0.183379     12.42    63.85 
GS FINANCE CORP          40057MFZ7 07/06/22 07/03/25    100.000     0.000     4.1611                                   0.115586   0.117951  0.120405     20.23    42.89 
GS FINANCE CORP          40057M6G9 06/06/22 06/05/25    100.000     0.000     3.5486                        0.098572   0.100311   0.102091  0.103903     20.25    36.53 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057M6C8 06/02/22 05/31/24    100.000     0.000     2.3000                        0.063889   0.064615   0.065359  0.066110     13.38    23.44 
GS FINANCE CORP          40057MGE3 07/06/22 07/06/27    100.000     0.000     4.7400                                   0.131667   0.134787  0.137982     23.04    49.07 
GS FINANCE CORP          40057MXD6 09/06/22 09/03/26    100.000     0.000     4.6629                                   0.129525   0.132494  0.135584     14.90    47.88 
GS FINANCE CORP          40057MXC8 09/06/22 03/05/26    100.000     0.000     4.5904                                   0.127511   0.130421  0.133415     14.66    47.11 
GS FINANCE CORP          40057MY29 09/02/22 09/02/27    100.000     0.000     4.7500                                   0.131944   0.135078  0.138286     15.70    48.82 
GS FINANCE CORP          40057NJP3 10/31/22 10/29/26    100.000     0.000     5.9483                                   0.165231   0.170117  0.175177     10.08    60.98 
GS FINANCE CORP          40057NJN8 10/13/22 10/10/24    100.000     0.000     5.4633                                   0.151758   0.155835  0.160092     11.84    56.04 
GS FINANCE CORP          40057MGU7 07/05/22 07/03/25    100.000     0.000     4.2583                                   0.118286   0.120777  0.123348     20.82    43.93 
GS FINANCE CORP          40057MGT0 07/05/22 07/02/26    100.000     0.000     4.5817                                   0.127269   0.130136  0.133118     22.40    47.38 
GS FINANCE CORP          40057MY52 09/30/22 04/01/25    100.000     0.000     5.4825                                   0.152292   0.156490  0.160779     13.86    56.34 
GS FINANCE CORP          40057M7A1 07/05/22 07/06/27    100.000     0.000     4.8200                                   0.133889   0.137134  0.140438     23.56    49.93 
GS FINANCE CORP          40057NKD8 11/02/22 10/31/25    100.000     0.000     5.8608                                   0.162800   0.167518  0.172427      9.61    60.04 
GS FINANCE CORP          40057NKC0 11/02/22 10/31/25    100.000     0.000     5.8608                                   0.162800   0.167518  0.172427      9.61    60.04 
GS FINANCE CORP          40057NKN6 10/26/22 10/26/27    100.000     0.000     6.3400                                   0.176111   0.181694  0.187454     11.45    65.14 
GS FINANCE CORP          40057NKM8 10/24/22 10/27/25    100.000     0.000     6.0100                        0.166944   0.167028   0.172047  0.177217     11.19    61.69 
GS FINANCE CORP          40057NKL0 10/24/22 10/26/27    100.000     0.000     6.3300                        0.175833   0.175895   0.181462  0.187206     11.78    65.06 
GS FINANCE CORP          36264U348 11/21/22 12/04/24    100.000     0.000     5.4000                        0.150000   0.150292   0.154350  0.158518      6.01    55.06 
GS FINANCE CORP          40057MHF9 07/01/22 07/26/23    100.000     0.000     2.3600                        0.065556   0.065663   0.066438               11.82    13.60 
GS FINANCE CORP          40057LVE8 05/31/22 05/31/28    100.000     0.000     4.2300                        0.117500   0.119985   0.122523  0.125114     24.87    43.81 
GS FINANCE CORP          40057NKJ5 10/19/22 10/17/25    100.000     0.000     5.8708                                   0.163078   0.167812  0.172738     11.74    60.27 
GS FINANCE CORP          40057NL70 10/12/22 10/09/25    100.000     0.000     5.4450                                   0.151250   0.155299  0.159527     11.95    55.86 
GS FINANCE CORP          40057MYT0 09/30/22 10/02/25    100.000     0.000     5.5800                        0.155000   0.155048   0.159374  0.163820     14.11    57.38 
GS FINANCE CORP          40057MZ51 09/30/22 10/01/26    100.000     0.000     5.7650                                   0.160139   0.164781  0.169530     14.57    59.33 
GS FINANCE CORP          40057NL54 10/17/22 10/17/24    100.000     0.000     5.5450                                   0.154028   0.158298  0.162687     11.40    56.86 
GS FINANCE CORP          40057NL39 10/18/22 10/18/23    100.000     0.000     5.6300                                   0.156389   0.160791               11.42    45.68 
GS FINANCE CORP          40057NL21 11/04/22 11/07/23    100.000     0.000     5.9800                        0.166111   0.166194   0.171163                9.47    51.75 
GS FINANCE CORP          40057NKP1 10/26/22 10/24/25    100.000     0.000     5.9983                                   0.166619   0.171561  0.176706     10.83    61.55 
GS FINANCE CORP          40057LVW8 05/31/22 02/28/25    100.000     0.000     3.3333                        0.092592   0.093346   0.094902  0.096484     19.63    34.27 
GS FINANCE CORP          3626EQ876 07/22/22 08/03/29    100.000     0.000     4.4400                        0.123333   0.123501   0.126242  0.129045     19.63    45.77 
GS FINANCE CORP          40057LVX6 05/31/22 06/11/29    100.000     0.000     4.4800             0.124444   0.124615   0.127406   0.130260  0.133178     26.35    46.50 
GS FINANCE CORP          40057MYY9 09/30/22 10/12/29    100.000     0.000     6.0800                        0.168889   0.169231   0.174376  0.179677     15.40    62.67 
GS FINANCE CORP          40057NKZ9 10/14/22 04/15/24    100.000     0.000     5.4650                                   0.151806   0.155977  0.160239     11.69    56.04 
GS FINANCE CORP          40057LVV0 05/31/22 05/29/26    100.000     0.000     3.9700                        0.110278   0.112455   0.114687  0.116963     23.34    41.03 
GS FINANCE CORP          40057MYX1 09/30/22 10/12/29    100.000     0.000     6.0800                        0.168889   0.169231   0.174376  0.179677     15.40    62.67 
GS FINANCE CORP          40057MYV5 09/30/22 04/02/27    100.000     0.000     5.8575                        0.162708   0.162761   0.167528  0.172435     14.81    60.31 
GS FINANCE CORP          40057MYW3 09/30/22 10/02/25    100.000     0.000     5.5800                        0.155000   0.155048   0.159374  0.163820     14.11    57.38 
GS FINANCE CORP          40057MZ69 09/30/22 10/12/29    100.000     0.000     6.0800                        0.168889   0.169231   0.174376  0.179677     15.40    62.67 
GS FINANCE CORP          40057MYU7 09/30/22 09/30/27    100.000     0.000     5.9500                                   0.165278   0.170195  0.175258     15.04    61.29 
GS FINANCE CORP          40057LWC1 05/31/22 05/28/27    100.000     0.000     4.2100                        0.116944   0.119379   0.121892  0.124458     24.76    43.60 
GS FINANCE CORP          40057NLF2 10/26/22 10/24/24    100.000     0.000     5.8583                                   0.162731   0.167444  0.172349     10.58    60.08 
GS FINANCE CORP          40057NLA3 10/26/22 10/24/25    100.000     0.000     5.9983                                   0.166619   0.171561  0.176706     10.83    61.55 
GS FINANCE CORP          40057NLP0 10/24/22 10/24/24    100.000     0.000     5.8900                                   0.163611   0.168429  0.173390     10.96    60.42 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057MZL6 10/05/22 10/07/25    100.000     0.000     5.5300                        0.153611   0.153658   0.157907  0.162273     13.21    56.81 
GS FINANCE CORP          40057MZH5 10/04/22 10/02/25    100.000     0.000     5.5179                                   0.153275   0.157457  0.161801     13.33    56.69 
GS FINANCE CORP          40057LWE7 05/31/22 06/11/29    100.000     0.000     4.4800             0.124444   0.124615   0.127406   0.130260  0.133178     26.35    46.50 
GS FINANCE CORP          40057NLH8 10/26/22 11/04/27    100.000     0.000     6.3400                        0.176111   0.176359   0.181950  0.187718     11.46    65.14 
GS FINANCE CORP          40057LWD9 05/31/22 02/28/25    100.000     0.000     3.3333                        0.092592   0.093346   0.094902  0.096484     19.63    34.27 
GS FINANCE CORP          40057LX48 05/31/22 05/29/26    100.000     0.000     3.9700                        0.110278   0.112455   0.114687  0.116963     23.34    41.03 
GS FINANCE CORP          40057NLT2 10/19/22 10/21/25    100.000     0.000     5.8800                        0.163333   0.163387   0.168190  0.173135     11.76    60.37 
GS FINANCE CORP          40057NM46 10/18/22 04/17/25    100.000     0.000     5.7546                                   0.159850   0.164424  0.169155     11.67    59.06 
GS FINANCE CORP          40057MJ91 07/06/22 07/03/25    100.000     0.000     4.1611                                   0.115586   0.117951  0.120405     20.23    42.89 
GS FINANCE CORP          40057NLZ8 10/25/22 10/23/25    100.000     0.000     6.0783                                   0.168842   0.173916  0.179202     11.14    62.40 
GS FINANCE CORP          40057LX55 05/31/22 06/11/29    100.000     0.000     4.4800             0.124444   0.124615   0.127406   0.130260  0.133178     26.35    46.50 
GS FINANCE CORP          40057MZX0 09/07/22 09/05/25    100.000     0.000     4.5306                                   0.125850   0.128669  0.131584     14.35    46.48 
GS FINANCE CORP          40057LXD8 05/18/22 05/27/27    100.000     0.000     4.2400             0.117778   0.117903   0.120402   0.122955  0.125561     26.38    43.98 
GS FINANCE CORP          40057LXC0 05/18/22 05/27/27    100.000     0.000     4.2400             0.117778   0.117903   0.120402   0.122955  0.125561     26.38    43.98 
GS FINANCE CORP          40057NMF1 11/03/22 11/05/24    100.000     0.000     5.9350                        0.164861   0.164915   0.169809  0.174848      9.56    60.81 
GS FINANCE CORP          40057MJA8 07/06/22 07/05/24    100.000     0.000     2.7344                                   0.075956   0.076988  0.078041     13.29    27.90 
GS FINANCE CORP          40057NMP9 10/31/22 11/02/27    100.000     0.000     6.1000                        0.169444   0.169502   0.174672  0.179999     10.34    62.57 
GS FINANCE CORP          40057MJM2 08/02/22 02/02/26    100.000     0.000     4.0550                                   0.112639   0.114923  0.117253     16.78    41.65 
GS FINANCE CORP          40057NML8 10/26/22 10/26/27    100.000     0.000     6.3500                                   0.176389   0.181989  0.187767     11.47    65.25 
GS FINANCE CORP          40057LXH9 05/06/22 05/06/27    100.000     0.000     4.4200                        0.122778   0.125491   0.128265  0.131099     29.00    45.98 
GS FINANCE CORP          40057LXG1 05/06/22 05/06/27    100.000     0.000     4.4200                        0.122778   0.125491   0.128265  0.131099     29.00    45.98 
GS FINANCE CORP          40057LXF3 05/06/22 05/06/27    100.000     0.000     4.4200                        0.122778   0.125491   0.128265  0.131099     29.00    45.98 
GS FINANCE CORP          36263Q330 06/03/22 06/05/28    100.000     0.000     4.1900             0.116389   0.116416   0.118855   0.121345  0.123887     24.28    43.37 
GS FINANCE CORP          40057NN86 10/17/22 10/16/23    100.000     0.000     5.4100                                   0.150278   0.154320               11.12    43.56 
GS FINANCE CORP          40057LY21 05/24/22 06/03/27    100.000     0.000     4.4500             0.123611   0.123749   0.126502   0.129317  0.132194     26.93    46.21 
GS FINANCE CORP          40057NNC7 10/19/22 10/17/25    100.000     0.000     5.8708                                   0.163078   0.167812  0.172738     11.74    60.27 
GS FINANCE CORP          40057LXZ9 05/24/22 06/03/25    100.000     0.000     4.0100             0.111389   0.111501   0.113736   0.116017  0.118343     24.26    41.48 
GS FINANCE CORP          40057P2A9 12/06/22 12/06/27    100.000     0.000     5.2000                                   0.144444   0.148200  0.152053      3.61    52.87 
GS FINANCE CORP          40057LXW6 06/03/22 06/09/25    100.000     0.000     3.6500             0.101389   0.101451   0.103302   0.105187  0.107107     21.14    37.61 
GS FINANCE CORP          40057LYG0 05/18/22 05/29/29    100.000     0.000     4.5000             0.125000   0.125172   0.127988   0.130868  0.133813     28.00    46.78 
GS FINANCE CORP          40057MKG3 07/29/22 08/09/29    100.000     0.000     4.6900                        0.130278   0.130448   0.133506  0.136637     19.83    48.39 
GS FINANCE CORP          40057MKH1 07/29/22 05/01/25    100.000     0.000     3.8500                        0.106944   0.107997   0.110076  0.112195     16.32    39.50 
GS FINANCE CORP          40057MKF5 07/29/22 05/01/25    100.000     0.000     3.8500                        0.106944   0.107997   0.110076  0.112195     16.32    39.50 
GS FINANCE CORP          40057NNJ2 10/25/22 10/24/24    100.000     0.000     5.9383                                   0.164953   0.169823  0.174866     10.89    60.92 
GS FINANCE CORP          40057MKE8 07/29/22 08/09/29    100.000     0.000     4.6900                        0.130278   0.130448   0.133506  0.136637     19.83    48.39 
GS FINANCE CORP          40057P2K7 11/28/22 11/30/27    100.000     0.000     5.4600                        0.151667   0.151713   0.155854  0.160109      5.01    55.62 
GS FINANCE CORP          40057MKD0 07/29/22 07/29/27    100.000     0.000     4.5300                                   0.125833   0.128683  0.131598     19.13    46.69 
GS FINANCE CORP          40057LYB1 05/12/22 05/13/27    100.000     0.000     4.4000                        0.122222   0.124926   0.127674  0.130483     28.12    45.73 
GS FINANCE CORP          40057NNE3 10/24/22 10/24/24    100.000     0.000     5.8900                                   0.163611   0.168429  0.173390     10.96    60.42 
GS FINANCE CORP          40057NNS2 10/28/22 10/30/24    100.000     0.000     5.8050                        0.161250   0.161302   0.165984  0.170801     10.16    59.49 
GS FINANCE CORP          40057P2T8 12/02/22 12/06/27    100.000     0.000     5.4700                        0.151944   0.152037   0.156195  0.160467      4.41    55.69 
GS FINANCE CORP          40057NNQ6 10/24/22 10/24/24    100.000     0.000     5.8900                                   0.163611   0.168429  0.173390     10.96    60.42 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057NNP8 11/02/22 11/02/27    100.000     0.000     6.0900                                   0.169167   0.174318  0.179626      9.98    62.44 
GS FINANCE CORP          40057LYJ4 05/18/22 05/18/27    100.000     0.000     4.2400                        0.117778   0.120275   0.122824  0.125428     26.37    43.98 
GS FINANCE CORP          40057P2Q4 12/02/22 12/04/24    100.000     0.000     5.3900                        0.149722   0.149767   0.153803  0.157948      4.34    54.86 
GS FINANCE CORP          40057LYW5 05/17/22 05/14/24    100.000     0.000     2.4800                        0.068889   0.069729   0.070594  0.071469     15.47    25.34 
GS FINANCE CORP          36263Q223 05/13/22 09/15/27    100.000     0.000     4.4517                        0.123658   0.125524   0.128318  0.131174     28.39    46.29 
GS FINANCE CORP          40057MKW8 07/29/22 07/30/26    100.000     0.000     4.3650                                   0.121250   0.123911  0.126615     18.43    44.94 
GS FINANCE CORP          40057NNZ6 11/02/22 05/02/24    100.000     0.000     5.8750                                   0.163194   0.167988  0.172923      9.63    60.19 
GS FINANCE CORP          40057ML56 07/26/22 07/24/25    100.000     0.000     4.1611                                   0.115586   0.117964  0.120419     17.92    42.80 
GS FINANCE CORP          40057NNW3 11/02/22 11/04/25    100.000     0.000     5.8600                        0.162778   0.162831   0.167602  0.172512      9.61    60.03 
GS FINANCE CORP          40057MKS7 08/03/22 08/05/25    100.000     0.000     3.9700                        0.110278   0.110302   0.112492  0.114725     16.32    40.75 
GS FINANCE CORP          40057LYY1 05/25/22 05/23/25    100.000     0.000     3.7528                        0.104244   0.106179   0.108171  0.110201     22.59    38.74 
GS FINANCE CORP          40057MLK3 07/29/22 07/30/26    100.000     0.000     4.3650                                   0.121250   0.123911  0.126615     18.43    44.94 
GS FINANCE CORP          40057LZH7 05/25/22 05/25/27    100.000     0.000     4.3500                        0.120833   0.123461   0.126147  0.128890     26.19    45.12 
GS FINANCE CORP          40057MLG2 07/29/22 07/31/25    100.000     0.000     4.2000                        0.116667   0.116680   0.119131  0.121632     17.74    43.19 
GS FINANCE CORP          40057LZE4 06/03/22 06/05/25    100.000     0.000     3.6500             0.101389   0.101409   0.103260   0.105145  0.107064     21.14    37.61 
GS FINANCE CORP          40057LZB0 06/03/22 06/05/25    100.000     0.000     3.6500             0.101389   0.101409   0.103260   0.105145  0.107064     21.14    37.61 
GS FINANCE CORP          36263Q181 05/18/22 06/05/29    100.000     0.000     4.5000             0.125000   0.125266   0.128084   0.130966  0.133913     28.00    46.78 
GS FINANCE CORP          40057MLM9 07/29/22 07/31/28    100.000     0.000     4.6100                        0.128056   0.128072   0.131024  0.134044     19.47    47.54 
GS FINANCE CORP          40057MLN7 07/15/22 07/15/27    100.000     0.000     4.6700                                   0.129722   0.132751  0.135851     21.53    48.26 
GS FINANCE CORP          40057MLL1 07/29/22 08/09/29    100.000     0.000     4.6900                        0.130278   0.130448   0.133506  0.136637     19.83    48.39 
GS Fin Corp Medium Term  40057KY31 02/28/22 03/12/29    100.000     0.000     3.2400             0.090000   0.090114   0.091574   0.093057  0.094565     27.46    33.56 
GS Fin Corp Medium Term  36255H2A5 06/22/18 06/23/25    100.000     0.500     4.0576    151.01   0.127643   0.129951   0.132306   0.134708  0.137159     46.40    48.10 
GS FINANCE CORP          36263Q496 06/21/22 07/05/29    100.000     0.000     5.1100                        0.141944   0.142227   0.145860  0.149587     27.02    53.15 
GS FINANCE CORP          36263Q660 06/15/22 06/13/25    100.000     0.000     4.1319                        0.114775   0.117120   0.119539  0.122009     22.54    42.69 
GS FINANCE CORP          36263Q678 06/15/22 06/15/26    100.000     0.000     4.4440                        0.123444   0.126187   0.128991  0.131857     24.24    46.02 
GS FINANCE CORP          40057MAL3 06/30/22 07/02/26    100.000     0.000     4.6500                        0.129167   0.129200   0.132204  0.135278     23.39    48.14 
GS FINANCE CORP          40057MAK5 06/30/22 07/02/25    100.000     0.000     4.4500                        0.123611   0.123642   0.126393  0.129205     22.38    46.00 
GS FINANCE CORP          40057MAP4 06/30/22 06/30/28    100.000     0.000     4.9300                        0.136944   0.140320   0.143779  0.147323     24.79    51.14 
GS FINANCE CORP          40057MB81 06/30/22 07/12/29    100.000     0.000     5.0100                        0.139167   0.139399   0.142891  0.146470     25.23    52.01 
GS FINANCE CORP          40057MBF5 06/30/22 07/12/29    100.000     0.000     5.0100                        0.139167   0.139399   0.142891  0.146470     25.23    52.01 
GS FINANCE CORP          40057MC49 06/23/22 06/22/27    100.000     0.000     4.8529                        0.134803   0.138056   0.141405  0.144837     25.37    50.36 
GS FINANCE CORP          40057MCN7 06/21/22 06/22/27    100.000     0.000     4.9100                        0.136389   0.139756   0.143187  0.146702     25.94    50.99 
GS FINANCE CORP          40057MCV9 06/21/22 06/18/27    100.000     0.000     4.8917                        0.135881   0.139149   0.142552  0.146039     25.86    50.80 
GS FINANCE CORP          40057MCR8 06/15/22 06/15/27    100.000     0.000     4.6300                        0.128611   0.131588   0.134635  0.137752     25.26    48.02 
GS FINANCE CORP          40057MCZ0 06/21/22 08/08/24    100.000     0.000     4.2600                        0.118333   0.118991   0.121526  0.124114     22.58    44.03 
GS FINANCE CORP          40057MDN6 06/23/22 06/21/24    100.000     0.000     2.8494                        0.079150   0.080265   0.081409  0.082568     14.89    29.12 
GS FINANCE CORP          40057ME54 06/15/22 12/15/25    100.000     0.000     4.3450                        0.120694   0.123317   0.125996  0.128733     23.70    44.96 
GS FINANCE CORP          40057MED7 06/23/22 12/20/24    100.000     0.000     3.5928                        0.099800   0.101563   0.103387  0.105245     18.78    36.93 
GS FINANCE CORP          40057MEC9 06/23/22 06/20/24    100.000     0.000     2.8494                        0.079150   0.080259   0.081402  0.082562     14.89    29.12 
GS FINANCE CORP          40057MEB1 06/23/22 12/20/23    100.000     0.000     2.1061                        0.058503   0.059109   0.059731               11.01    20.74 
GS FINANCE CORP          40057MFD6 06/24/22 06/28/27    100.000     0.000     4.8700             0.135278   0.135351   0.138647   0.142023  0.145481     25.32    50.54 
GS FINANCE CORP          40057MFK0 06/21/22 06/20/25    100.000     0.000     4.3458                        0.120717   0.123325   0.126005  0.128743     22.96    44.94 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057M5U9 06/21/22 06/23/25    100.000     0.000     4.4700             0.124167   0.124198   0.126973   0.129811  0.132712     23.62    46.27 
GS FINANCE CORP          40057MGF0 06/23/22 06/22/27    100.000     0.000     4.8529                        0.134803   0.138056   0.141405  0.144837     25.37    50.36 
GS FINANCE CORP          40057MGC7 06/27/22 06/29/26    100.000     0.000     4.5800             0.127222   0.127255   0.130169   0.133150  0.136199     23.42    47.41 
GS FINANCE CORP          40057MGM5 06/27/22 06/25/26    100.000     0.000     4.5617                        0.126714   0.129572   0.132527  0.135550     23.33    47.21 
GS FINANCE CORP          40057MGV5 06/30/22 07/01/27    100.000     0.000     4.8500                                   0.138007   0.138007  0.144782     24.38    50.29 
GS FINANCE CORP          40057M6Z7 06/23/22 06/23/26    100.000     0.000     4.6650                        0.129583   0.132606   0.135699  0.138864     24.39    48.34 
GS FINANCE CORP          40057M6Y0 06/23/22 06/23/28    100.000     0.000     4.9550                        0.137639   0.141049   0.144543  0.148124     25.90    51.46 
GS FINANCE CORP          40057M7H6 06/30/22 07/02/26    100.000     0.000     4.6500                        0.129167   0.129200   0.132204  0.135278     23.39    48.14 
GS FINANCE CORP          40057M7G8 06/30/22 04/01/25    100.000     0.000     4.0792                        0.113311   0.114479   0.116814  0.119197     20.61    42.06 
GS FINANCE CORP          40057M7F0 06/30/22 07/12/29    100.000     0.000     5.0100                        0.139167   0.139399   0.142891  0.146470     25.23    52.01 
GS FINANCE CORP          40057M7E3 06/30/22 07/01/27    100.000     0.000     4.8500                                   0.138007   0.138007  0.144782     24.38    50.29 
GS FINANCE CORP          40057MHR3 06/30/22 07/02/24    100.000     0.000     2.9667                        0.082408   0.082422   0.083645  0.084885     14.92    30.33 
GS FINANCE CORP          40057M7K9 06/30/22 07/12/29    100.000     0.000     5.0100                        0.139167   0.139399   0.142891  0.146470     25.23    52.01 
GS FINANCE CORP          40057M7J2 06/30/22 04/01/25    100.000     0.000     4.0792                        0.113311   0.114479   0.116814  0.119197     20.61    42.06 
GS FINANCE CORP          40057MHZ5 06/29/22 06/27/25    100.000     0.000     4.2583                        0.118286   0.120777   0.123348  0.125974     21.54    43.96 
GS FINANCE CORP          40057MJD2 07/01/22 07/01/27    100.000     0.000     4.8900                                   0.139154   0.139154  0.146042     24.45    50.71 
GS FINANCE CORP          40055QCU4 06/29/18 07/11/25    100.000     0.000     4.0800    152.13   0.128108   0.130721   0.133388   0.136109  0.138886     47.49    49.44 
GS FINANCE CORP          40054K7H3 04/29/16 04/29/22    100.000     0.000     2.6000    157.83   0.083247                                                 9.82          
GS FINANCE CORP          40056EKL1 12/27/18 09/26/23    100.000     0.000     4.3301    137.81   0.135310   0.138239   0.141232   0.144290               49.80    37.98 
GS FINANCE CORP          40055QU83 08/30/18 03/03/22    100.000     0.000     3.4200    119.82   0.105204                                                 6.52          
GS FINANCE CORP          36257W517 08/14/19 08/12/22    100.000     0.000     2.2407     54.49   0.065070   0.065799                                     14.51          
GS FINANCE CORP          40054K7K6 04/29/16 04/30/26    100.000     0.000     3.2999    204.04   0.109753   0.111564   0.113404   0.115276  0.117178     40.06    41.39 
GS FINANCE CORP          40055A4D6 11/30/17 12/13/27    100.000     0.000     3.3000    143.12   0.104613   0.106339   0.108094   0.109878  0.111691     38.03    39.30 
GS FINANCE CORP          40055QCS9 06/29/18 03/31/25    100.000     0.000     4.0414    150.69   0.127870   0.130454   0.133090   0.135779  0.138523     46.97    48.89 
GS FINANCE CORP          36254F582 02/05/18 02/05/25    100.000     0.000     3.4781    144.19   0.109008   0.110904   0.112832   0.114794  0.116791     40.14    41.55 
GS FINANCE CORP          40054K7J9 04/29/16 05/01/24    100.000     0.000     3.0000    184.04   0.098180   0.099653   0.101147   0.102665  0.104205     35.79    36.87 
GS FINANCE CORP          40055Q2R2 05/04/18 05/02/24    100.000     1.450     3.8675    147.59   0.117867   0.118588   0.120882   0.121661  0.124014     42.74    43.84 
GS FINANCE CORP          40055A4B0 11/27/17 05/27/25    100.000     0.000     3.1501    136.54   0.099156   0.100717   0.102304   0.103915  0.105552     36.08    37.23 
GS FINANCE CORP          40054KYH3 03/31/17 03/31/23    100.000     1.250     2.9099    143.38   0.087230   0.087994   0.088769                          31.68     7.90 
GS FINANCE CORP          40057HNH9 06/30/21 06/30/31    100.000    VARIES     2.3198     11.66   0.063817   0.063188   0.062551   0.061906  0.062102     22.86    22.40 
GS FINANCE CORP          40055Q2P6 05/25/18 05/30/23    100.000     0.000     3.7700    143.95   0.119408   0.121659   0.123952                          43.53    18.47 
GS FINANCE CORP          40054K7D2 04/29/16 05/01/23    100.000     0.000     2.8501    174.16   0.092519   0.093838   0.095175                          33.70    11.42 
GS FINANCE CORP          40055A4C8 11/30/17 12/12/24    100.000     0.000     2.9999    129.40   0.093965   0.095375   0.096805   0.098257  0.099731     34.14    35.17 
GS FINANCE CORP          40055QCN0 06/29/18 12/31/25    100.000     0.000     4.1267    153.95   0.132264   0.134993   0.137779   0.140622  0.143523     48.11    50.12 
GS FINANCE CORP          40054KYJ9 03/31/17 03/31/25    100.000     0.000     3.2999    168.35   0.106211   0.107963   0.109745   0.111555  0.113396     38.87    40.17 
GS FINANCE CORP          40056XSK3 12/27/19 01/08/27    100.000     0.000     2.7200     55.85   0.078747   0.079818   0.080904   0.082004  0.083119     28.91    29.71 
GS FINANCE CORP          40054LKV5 07/28/17 07/28/25    100.000     0.000     3.1002    145.85   0.097392   0.098902   0.100435   0.101991  0.103572     35.80    36.92 
GS FINANCE CORP          40055AVQ7 04/30/18 01/30/25    100.000     0.000     4.0014    156.56   0.126429   0.128958   0.131538   0.134170  0.136854     46.74    48.63 
GS FINANCE CORP          40055AVR5 04/30/18 10/30/25    100.000     0.000     4.0867    160.08   0.130785   0.133458   0.136185   0.138967  0.141807     47.89    49.87 
GS FINANCE CORP          40055AW37 04/27/18 04/29/26    100.000     0.000     4.0867    160.48   0.130815   0.133488   0.136215   0.138999  0.141839     47.91    49.89 
GS FINANCE CORP          40054KHR0 08/24/16 08/24/26    100.000     0.000     2.8998    166.64   0.093021   0.094370   0.095738   0.097126  0.098534     34.08    35.07 
GS FINANCE CORP          36262Y227 02/16/22 03/05/29    100.000     0.000     3.0267             0.084076   0.084210   0.085485   0.086778  0.088092     26.67    31.31 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057F7J7 01/29/21 01/29/36    100.000    VARIES     2.3898     21.91   0.065518   0.064641   0.063146   0.061846  0.060810     23.07    22.14 
GS FINANCE CORP          40055A4K0 11/27/17 11/24/25    100.000     0.000     3.2000    138.84   0.100898   0.102513   0.104153   0.105819  0.107512     36.73    37.92 
GS FINANCE CORP          40055AVN4 04/30/18 01/30/23    100.000     0.000     3.6788    143.20   0.115047   0.117163   0.119318                          42.44     3.46 
GS FINANCE CORP          40054LKQ6 07/31/17 07/26/23    100.000     1.250     2.7589    125.64   0.081464   0.082109   0.082763   0.083425               29.64    17.09 
GS FINANCE CORP          40055Q2X9 05/17/18 05/29/25    100.000     0.000     3.9900    153.90   0.127439   0.129982   0.132575   0.135220  0.137917     46.50    48.37 
GS FINANCE CORP          40054K7L4 04/28/16 04/30/24    100.000     0.000     3.0000    184.14   0.098180   0.099653   0.101147   0.102665  0.104205     35.79    36.87 
GS FINANCE CORP          40055QCV2 06/29/18 06/29/23    100.000     0.000     3.7700    139.89   0.119347   0.121596   0.123888                          43.38    22.05 
GS FINANCE CORP          40056EKM9 12/27/18 09/25/25    100.000     0.000     4.5267    144.43   0.142188   0.145406   0.148697   0.152063  0.155505     52.39    54.79 
GS FINANCE CORP          40055QCW0 06/29/18 06/29/23    100.000     0.000     3.7700    139.89   0.119347   0.121596   0.123888                          43.38    22.05 
GS FINANCE CORP          40057KWY5 02/28/22 08/28/29    100.000     0.000     3.2767                        0.091020   0.092511   0.094026  0.095567     27.76    33.95 
GS FINANCE CORP          40056XSF4 12/27/19 06/26/25    100.000     0.000     2.5775     52.86   0.075355   0.076327   0.077310   0.078307  0.079316     27.31    28.02 
GS FINANCE CORP          40056EKN7 12/27/18 06/25/26    100.000     0.000     4.5781    146.04   0.145631   0.148964   0.152374   0.155862  0.159430     53.07    55.52 
GS FINANCE CORP          40057FYJ7 04/21/21 07/21/28    100.000     0.000     2.0792     14.49   0.058057   0.058660   0.059270   0.059886  0.060509     21.20    21.65 
GS FINANCE CORP          40055Q2V3 05/25/18 05/28/25    100.000     0.000     4.0600    155.73   0.129857   0.132493   0.135183   0.137927  0.140727     47.40    49.34 
GS FINANCE CORP          40056XT48 01/03/20 01/05/23    100.000     0.000     2.2302     45.23   0.064052   0.064766   0.065489                          23.44     0.26 
GS FINANCE CORP          40054CAD6 01/29/16 07/31/24    100.000     0.000     3.3498    217.56   0.111724   0.113595   0.115497   0.117432  0.119399     41.13    42.52 
GS FINANCE CORP          40056YET7 03/04/20 09/03/24    100.000     0.000     1.7759     32.80   0.050654   0.051103   0.051557   0.052015  0.052477     18.42    18.75 
GS FINANCE CORP          40055Q3E0 05/30/18 03/01/23    100.000     0.000     3.6601    138.99   0.114404   0.116497   0.118629                          42.07     7.12 
GS FINANCE CORP          40056XSQ0 12/27/19 01/09/30    100.000     0.000     2.8800     59.20   0.083587   0.084790   0.086011   0.087250  0.088506     30.72    31.62 
GS FINANCE CORP          40054CAF1 01/29/16 01/29/24    100.000     0.000     3.0501    196.36   0.100075   0.101601   0.103150   0.104723  0.106321     36.77    37.90 
GS FINANCE CORP          40055Q3C4 05/30/18 02/27/25    100.000     0.000     3.9600    151.09   0.124916   0.127389   0.129911   0.132484  0.135107     46.03    47.88 
GS FINANCE CORP          40056YVU5 03/24/20 03/23/23    100.000     0.000     3.9958     72.57   0.117767   0.120120   0.122520                          43.29    10.05 
GS FINANCE CORP          40056XT30 01/03/20 01/05/23    100.000     0.000     2.2302     45.23   0.064052   0.064766   0.065489                          23.44     0.26 
GS FINANCE CORP          40054CAE4 01/29/16 01/29/26    100.000     0.000     3.6001    235.32   0.121685   0.123876   0.126106   0.128375  0.130686     44.87    46.50 
GS FINANCE CORP          40055AF51 01/31/18 02/11/28    100.000     0.000     3.6599    152.80   0.115554   0.117669   0.119822   0.122015  0.124247     42.58    44.15 
GS FINANCE CORP          40056XSP2 12/27/19 01/08/27    100.000     0.000     2.7200     55.85   0.078747   0.079818   0.080904   0.082004  0.083119     28.91    29.71 
GS FINANCE CORP          40055AW45 04/27/18 04/29/24    100.000     0.000     3.8501    150.61   0.122243   0.124596   0.126995   0.129439  0.131931     44.73    46.46 
GS FINANCE CORP          40055AW52 04/30/18 10/31/23    100.000     0.000     3.7750    147.14   0.119524   0.121780   0.124079   0.126421               43.71    37.52 
GS FINANCE CORP          40054CAB0 12/31/15 01/03/23    100.000     0.000     2.7988    181.57   0.090608   0.091876   0.093162                          33.30     0.19 
GS FINANCE CORP          40055AES2 01/29/18 02/07/25    100.000     0.000     3.4299    142.73   0.107400   0.109242   0.111115   0.113021  0.114959     39.53    40.90 
GS FINANCE CORP          40054CAM6 01/28/16 07/28/23    100.000     0.000     2.9500    189.49   0.096265   0.097685   0.099126   0.100588               35.35    20.78 
GS FINANCE CORP          40055Q3M2 05/30/18 06/10/25    100.000     0.000     4.0101    153.05   0.128139   0.130708   0.133329   0.136002  0.138729     46.70    48.59 
GS FINANCE CORP          40055QUP5 09/19/18 09/30/25    100.000     0.000     4.0500    140.77   0.127036   0.129608   0.132233   0.134911  0.137643     46.67    48.58 
GS FINANCE CORP          40055AWC7 05/07/18 05/16/23    100.000     0.000     3.7100    143.64   0.117314   0.119490   0.121706                          42.82    16.43 
GS FINANCE CORP          40057FZC1 04/28/21 04/28/31    100.000    VARIES     2.4400     16.44   0.067248   0.066713   0.066171   0.065623  0.065655     24.05    23.69 
GS FINANCE CORP          40055QUQ3 09/19/18 09/30/25    100.000     0.000     4.0500    140.77   0.127036   0.129608   0.132233   0.134911  0.137643     46.67    48.58 
GS FINANCE CORP          40054LLF9 07/28/17 07/30/24    100.000     0.000     2.9497    138.36   0.092132   0.093491   0.094870   0.096269  0.097689     33.83    34.83 
GS FINANCE CORP          40055AWD5 04/30/18 05/09/28    100.000     0.000     4.3200    169.87   0.139513   0.142526   0.145605   0.148750  0.151963     51.08    53.31 
GS FINANCE CORP          40054LLJ1 07/31/17 08/09/24    100.000     0.000     2.9498    138.18   0.092188   0.093547   0.094927   0.096327  0.097748     33.82    34.83 
GS FINANCE CORP          40055Q3J9 05/30/18 06/08/28    100.000     0.000     4.3000    164.86   0.138755   0.141738   0.144786   0.147899  0.151079     50.63    52.83 
GS FINANCE CORP          40055Q3K6 05/30/18 06/10/25    100.000     0.000     4.0101    153.05   0.128139   0.130708   0.133329   0.136002  0.138729     46.70    48.59 
GS FINANCE CORP          40057CQ53 09/03/20 09/06/23    100.000     0.000     0.8300     11.06   0.023248   0.023345   0.023442   0.023539                8.41     5.76 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40055Q3H3 05/30/18 06/10/25    100.000     0.000     4.0101    153.05   0.128139   0.130708   0.133329   0.136002  0.138729     46.70    48.59 
GS FINANCE CORP          40055Q3F7 05/30/18 05/30/28    100.000     0.000     4.3000    164.86   0.138623   0.141604   0.144648   0.147758  0.150935     50.63    52.83 
GS FINANCE CORP          40055Q3G5 05/30/18 06/10/25    100.000     0.000     4.0101    153.05   0.128139   0.130708   0.133329   0.136002  0.138729     46.70    48.59 
GS FINANCE CORP          40057KGH0 01/12/22 01/12/29    100.000     0.000     2.5499                        0.070832   0.071735   0.072649  0.073576     24.87    26.30 
GS FINANCE CORP          40057KXX6 02/28/22 12/01/25    100.000     0.000     2.7651             0.076808   0.077357   0.078426   0.079511  0.080610     23.42    28.49 
GS FINANCE CORP          40055A5H6 12/26/17 12/26/24    100.000     0.000     3.0002    126.97   0.093880   0.095289   0.096718   0.098169  0.099641     34.06    35.09 
GS FINANCE CORP          40057KXY4 02/28/22 02/28/29    100.000     0.000     3.2400                        0.090000   0.091458   0.092939  0.094445     27.45    33.56 
GS FINANCE CORP          40055QV90 09/28/18 10/09/25    100.000     0.000     4.1100    141.82   0.129147   0.131801   0.134510   0.137274  0.140095     47.41    49.38 
GS FINANCE CORP          40055Q3U4 05/30/18 12/11/25    100.000     0.000     4.0583    155.01   0.129914   0.132550   0.135240   0.137984  0.140784     47.35    49.29 
GS FINANCE CORP          40056YFG4 03/04/20 03/03/23    100.000     0.000     1.5749     29.05   0.044786   0.045138   0.045494                          16.27     2.82 
GS FINANCE CORP          40055Q3V2 05/30/18 06/12/28    100.000     0.000     4.3000    164.86   0.138821   0.141806   0.144855   0.147969  0.151150     50.63    52.83 
GS FINANCE CORP          40055Q3S9 05/30/18 06/08/28    100.000     0.000     4.3000    164.86   0.138755   0.141738   0.144786   0.147899  0.151079     50.63    52.83 
GS FINANCE CORP          40055QDU3 06/29/18 07/11/28    100.000     0.000     4.3600    163.26   0.138042   0.141051   0.144126   0.147268  0.150479     51.27    53.53 
GS FINANCE CORP          40057KXV0 02/28/22 03/01/29    100.000     0.000     3.2400                        0.090024   0.091483   0.092965  0.094471     27.45    33.56 
GS FINANCE CORP          40055QUW0 09/28/18 10/09/25    100.000     0.000     4.1100    141.82   0.129147   0.131801   0.134510   0.137274  0.140095     47.41    49.38 
GS FINANCE CORP          40055A5G8 12/26/17 12/26/24    100.000     0.000     3.0002    126.97   0.093880   0.095289   0.096718   0.098169  0.099641     34.06    35.09 
GS FINANCE CORP          40057J3N4 08/31/21 09/10/31    100.000     0.000     2.2800      7.67   0.063373   0.064096   0.064826   0.065565  0.066313     23.11    23.64 
GS FINANCE CORP          40057K6Q1 11/29/21 11/30/26    100.000     0.000     2.0600      1.83   0.057225   0.057814   0.058410   0.059012  0.059619     20.74    21.17 
GS FINANCE CORP          36264H495 04/22/22 05/03/29    100.000     0.000     4.4749             0.124302   0.124472   0.127257   0.130104  0.133015     31.15    46.66 
GS FINANCE CORP          40055QV58 09/04/18 09/04/25    100.000     0.000     3.9600    139.31   0.123732   0.126182   0.128680   0.131228  0.133826     45.56    47.39 
GS FINANCE CORP          40057J3M6 08/31/21 09/12/28    100.000     0.000     1.9000      6.39   0.052813   0.053314   0.053821   0.054332  0.054848     19.21    19.58 
GS FINANCE CORP          40055QE40 06/29/18 12/29/23    100.000     0.000     3.7950    140.87   0.120242   0.122524   0.124848   0.127217               43.71    45.12 
GS FINANCE CORP          40055QUU4 09/28/18 10/09/25    100.000     0.000     4.1100    141.82   0.129147   0.131801   0.134510   0.137274  0.140095     47.41    49.38 
GS FINANCE CORP          40055Q3R1 05/30/18 11/28/25    100.000     0.000     4.0503    154.69   0.129433   0.132054   0.134728   0.137457  0.140240     47.24    49.18 
GS FINANCE CORP          40057KY23 02/28/22 02/26/27    100.000     0.000     2.9749                        0.082637   0.083853   0.085100  0.086366     25.19    30.73 
GS FINANCE CORP          40055Q3P5 05/30/18 06/10/25    100.000     0.000     4.0101    153.05   0.128139   0.130708   0.133329   0.136002  0.138729     46.70    48.59 
GS FINANCE CORP          40055QVB5 09/04/18 09/06/23    100.000     0.000     3.6999    129.69   0.114749   0.116872   0.119034   0.121236               42.18    29.56 
GS FINANCE CORP          40056XTK2 12/03/19 12/03/24    100.000     0.000     2.4500     51.91   0.071453   0.072328   0.073214   0.074111  0.075019     25.93    26.57 
GS FINANCE CORP          40057J3Y0 08/31/21 03/02/28    100.000     0.000     1.7999      6.05   0.050004   0.050454   0.050908   0.051366  0.051828     18.19    18.52 
GS FINANCE CORP          40056FP90 06/21/19 06/23/22    100.000     0.000     2.5898     67.21   0.076731                                                13.20          
GS FINANCE CORP          40054KJ72 09/30/16 10/02/23    100.000     0.000     2.6002    145.37   0.082200   0.083269   0.084351   0.085448               29.98    23.06 
GS FINANCE CORP          40057J3X2 08/31/21 08/31/28    100.000     0.000     1.9000      6.39   0.052777   0.053272   0.053784   0.054289  0.054811     19.21    19.58 
GS FINANCE CORP          40057JDX1 09/30/21 10/02/29    100.000     0.000     2.0967      5.30   0.058248   0.058859   0.059476   0.060100  0.060730     21.19    21.64 
GS FINANCE CORP          40055A5L7 12/26/17 01/07/25    100.000     0.000     2.9999    126.97   0.092570   0.093958   0.095368   0.096798  0.098250     34.06    35.09 
GS FINANCE CORP          40055AWP8 05/03/18 05/04/23    100.000     0.000     3.6800    142.87   0.116150   0.118287   0.120463                          42.44    14.82 
GS FINANCE CORP          40055QUZ3 09/28/18 10/09/25    100.000     0.000     4.1100    141.82   0.129147   0.131801   0.134510   0.137274  0.140095     47.41    49.38 
GS FINANCE CORP          40056EM21 01/03/19 01/03/24    100.000     0.000     4.2400    133.87   0.130802   0.133575   0.136407   0.139299  0.142252     48.59    50.67 
GS FINANCE CORP          40054LLU6 08/16/17 08/26/24    100.000     0.000     2.9499    136.72   0.092199   0.093559   0.094939   0.096339  0.097760     33.78    34.78 
GS FINANCE CORP          40057KXZ1 02/28/22 03/09/29    100.000     0.000     3.2400             0.090000   0.090089   0.091548   0.093031  0.094539     27.46    33.56 
GS FINANCE CORP          40057KHF3 12/27/21 01/09/29    100.000     0.000     2.2401      0.25   0.062224   0.062270   0.062968   0.063673  0.064386     22.54    23.04 
GS FINANCE CORP          40056XCQ7 09/11/19 03/10/22    100.000     0.000     1.8400     43.14   0.053014                                                 3.66          
GS FINANCE CORP          40055A5W3 12/26/17 12/26/24    100.000     0.000     3.0002    126.97   0.093880   0.095289   0.096718   0.098169  0.099641     34.06    35.09 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40055A5T0 12/13/17 12/23/24    100.000     0.000     3.0499    130.43   0.095705   0.097165   0.098646   0.100151  0.101678     34.74    35.81 
GS FINANCE CORP          40055QED0 07/05/18 07/05/23    100.000     0.000     3.7500    138.40   0.116450   0.118633   0.120858   0.123124               43.09    22.65 
GS FINANCE CORP          40055QVC3 09/28/18 10/10/28    100.000     0.000     4.3700    151.34   0.138399   0.141423   0.144513   0.147670  0.150897     50.86    53.11 
GS FINANCE CORP          40055AWU7 05/03/18 05/04/23    100.000     0.000     3.6800    142.87   0.116150   0.118287   0.120463                          42.44    14.82 
GS FINANCE CORP          40054KJG2 09/30/16 10/12/23    100.000     0.000     2.5000    139.43   0.078697   0.079681   0.080677   0.081685               28.66    22.85 
GS FINANCE CORP          40057J4L7 08/25/21 08/28/28    100.000     0.000     1.8700      6.55   0.051953   0.052439   0.052929   0.053424  0.053924     18.91    19.27 
GS FINANCE CORP          40057LKT7 03/30/22 04/09/29    100.000     0.000     3.8500             0.106945   0.107048   0.109109   0.111209  0.113350     29.18    40.01 
GS FINANCE CORP          40057KYQ0 02/24/22 02/27/29    100.000     0.000     3.1601             0.087779   0.087802   0.089190   0.090599  0.092030     27.13    32.71 
GS FINANCE CORP          40057KHP1 12/15/21 12/21/22    100.000     0.000     0.5363      0.24   0.014898   0.014938                                      5.22          
GS FINANCE CORP          40054KJE7 09/30/16 10/01/26    100.000     0.000     3.0000    169.34   0.096721   0.098171   0.099644   0.101139  0.102656     35.34    36.41 
GS FINANCE CORP          40057KYP2 02/24/22 02/25/27    100.000     0.000     2.9000                        0.080562   0.081730   0.082916  0.084118     24.88    29.94 
GS FINANCE CORP          40057LL33 03/30/22 03/30/26    100.000     0.000     3.5451                        0.098475   0.100220   0.101997  0.103805     26.85    36.73 
GS FINANCE CORP          40057LL25 03/31/22 04/01/27    100.000     0.000     3.6600                        0.101676   0.103537   0.105432  0.107361     27.72    37.96 
GS FINANCE CORP          40057E5Y9 06/03/20 12/04/24    100.000     0.000     1.7526     27.92   0.049976   0.050414   0.050856   0.051301  0.051751     18.09    18.41 
GS FINANCE CORP          40054KJB3 09/30/16 06/30/22    100.000     0.000     2.1888    121.16   0.068162                                                12.20          
GS FINANCE CORP          40054LME1 08/30/17 08/28/25    100.000     0.000     3.0491    140.24   0.095579   0.097036   0.098515   0.100017  0.101542     35.03    36.11 
GS FINANCE CORP          40056XTW6 12/27/19 12/28/27    100.000     0.000     2.7733     56.96   0.081406   0.082535   0.083679   0.084840  0.086016     29.52    30.34 
GS FINANCE CORP          40054KJD9 09/30/16 10/02/25    100.000     0.000     2.8001    157.30   0.089396   0.090648   0.091917   0.093204  0.094509     32.63    33.55 
GS FINANCE CORP          40057KHK2 12/27/21 12/28/28    100.000     0.000     2.2401      0.25   0.062228   0.062925   0.063629   0.064342  0.065063     22.53    23.04 
GS FINANCE CORP          40056YFZ2 02/28/20 03/01/28    100.000     0.000     2.3000     43.03   0.066130   0.066890   0.067659   0.068438  0.069225     24.13    24.69 
GS FINANCE CORP          40054KJC1 09/30/16 10/02/23    100.000     0.000     2.5002    139.44   0.078649   0.079633   0.080628   0.081636               28.67    22.03 
GS FINANCE CORP          40054LMF8 08/30/17 08/30/23    100.000     0.000     2.7001    123.35   0.083495   0.084610   0.085765   0.086910               30.54    20.71 
GS FINANCE CORP          40055AGK7 02/16/18 02/28/25    100.000     0.000     3.6799    151.82   0.116277   0.118416   0.120595   0.122814  0.125074     42.78    44.36 
GS FINANCE CORP          40057JW85 11/29/21 05/27/27    100.000     0.000     2.1329      1.90   0.059248   0.059873   0.060512   0.061157  0.061809     21.48    21.94 
GS FINANCE CORP          40054LN34 08/31/17 09/12/24    100.000     0.000     2.8996    132.99   0.090463   0.091775   0.093105   0.094455  0.095825     33.09    34.06 
GS FINANCE CORP          40055A6J1 12/27/17 01/04/28    100.000     0.000     3.2999    140.30   0.102857   0.104554   0.106279   0.108033  0.109815     37.94    39.20 
GS FINANCE CORP          40057JW93 11/29/21 11/29/28    100.000     0.000     2.4100      2.14   0.066944   0.067750   0.068567   0.069393  0.070229     24.30    24.89 
GS FINANCE CORP          40054LN26 08/31/17 06/02/23    100.000     0.000     2.6505    120.98   0.082356   0.083448   0.084554                          29.91    12.77 
GS FINANCE CORP          40057JW77 11/29/21 11/29/28    100.000     0.000     2.4100      2.14   0.066944   0.067750   0.068567   0.069393  0.070229     24.30    24.89 
GS FINANCE CORP          40055AGL5 02/16/18 02/28/25    100.000     0.000     3.6799    151.82   0.116277   0.118416   0.120595   0.122814  0.125074     42.78    44.36 
GS FINANCE CORP          40057JF68 09/30/21 10/02/28    100.000     0.000     1.9700      4.98   0.054727   0.055267   0.055811   0.056361  0.056916     19.90    20.29 
GS FINANCE CORP          40055A6K8 12/27/17 01/08/25    100.000     0.000     2.9998    126.87   0.092566   0.093954   0.095364   0.096794  0.098246     34.06    35.09 
GS FINANCE CORP          40057JW69 11/29/21 05/27/27    100.000     0.000     2.1329      1.90   0.059248   0.059873   0.060512   0.061157  0.061809     21.48    21.94 
GS FINANCE CORP          40054LN59 08/31/17 09/12/24    100.000     0.000     2.8996    132.99   0.090463   0.091775   0.093105   0.094455  0.095825     33.09    34.06 
GS FINANCE CORP          40057JF50 09/30/21 10/02/28    100.000     0.000     1.9700      4.98   0.054727   0.055267   0.055811   0.056361  0.056916     19.90    20.29 
GS FINANCE CORP          40057LKZ3 03/31/22 03/31/28    100.000     0.000     3.7350                        0.103749   0.105686   0.107660  0.109671     28.29    38.76 
GS FINANCE CORP          40055A6H5 12/27/17 01/08/25    100.000     0.000     2.9998    126.87   0.092566   0.093954   0.095364   0.096794  0.098246     34.06    35.09 
GS FINANCE CORP          40057E6E2 05/29/20 05/29/26    100.000     0.000     2.0800     33.43   0.059598   0.060218   0.060844   0.061477  0.062117     21.61    22.06 
GS FINANCE CORP          40056YXG4 04/14/20 04/14/27    100.000     0.000     2.3699     41.22   0.068200   0.069008   0.069826   0.070653  0.071490     24.82    25.41 
GS FINANCE CORP          40057JF43 09/30/21 10/01/26    100.000     0.000     1.5801      3.99   0.043893   0.044240   0.044589   0.044941  0.045297     15.93    16.18 
GS FINANCE CORP          40057E6D4 06/03/20 06/03/24    100.000     0.000     1.6451     26.19   0.046834   0.047219   0.047608   0.047999  0.048394     16.95    17.23 
GS FINANCE CORP          40057LKX8 03/25/22 03/27/25    100.000     0.000     3.2501             0.090281   0.090297   0.091764   0.093255  0.094771     25.06    33.59 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057JF35 09/30/21 10/02/28    100.000     0.000     1.9700      4.98   0.054727   0.055267   0.055811   0.056361  0.056916     19.90    20.29 
GS FINANCE CORP          40055A6F9 12/27/17 01/08/25    100.000     0.000     2.9998    126.87   0.092566   0.093954   0.095364   0.096794  0.098246     34.06    35.09 
GS FINANCE CORP          40057JW51 11/29/21 05/29/26    100.000     0.000     1.9350      1.72   0.053749   0.054269   0.054794   0.055324  0.055859     19.48    19.86 
GS FINANCE CORP          40054KJJ6 09/29/16 10/01/24    100.000     0.000     2.7000    151.40   0.085777   0.086935   0.088109   0.089298  0.090504     31.30    32.15 
GS FINANCE CORP          40057JF27 09/30/21 09/30/27    100.000     0.000     1.7751      4.49   0.049307   0.049745   0.050187   0.050632  0.051081     17.91    18.23 
GS FINANCE CORP          40056YXF6 04/14/20 10/15/25    100.000     0.000     2.1451     37.26   0.061526   0.062186   0.062853   0.063527  0.064209     22.37    22.85 
GS FINANCE CORP          40057J4N3 08/25/21 03/01/27    100.000     0.000     1.5774      5.52   0.043830   0.044175   0.044524   0.044875  0.045229     15.92    16.18 
GS FINANCE CORP          40054CBU7 02/26/16 02/28/23    100.000     0.000     2.7500    173.21   0.088299   0.088054   0.090744                          32.48     5.26 
GS FINANCE CORP          40054CBT0 02/18/16 02/17/22    100.000     0.000     2.8500    180.72   0.092493                                                 4.25          
GS FINANCE CORP          40054LMZ4 08/31/17 09/03/24    100.000     0.000     2.9002    133.01   0.090417   0.091728   0.093058   0.094408  0.095777     33.10    34.06 
GS FINANCE CORP          40057JWA0 11/29/21 11/29/28    100.000     0.000     2.4100      2.14   0.066944   0.067750   0.068567   0.069393  0.070229     24.30    24.89 
GS FINANCE CORP          40056Y6P4 01/31/20 01/31/24    100.000     0.000     2.1851     42.60   0.062708   0.063393   0.064086   0.064786  0.065494     22.91    23.41 
GS FINANCE CORP          40056YGN8 02/28/20 08/28/25    100.000     0.000     2.0300     37.91   0.058122   0.058712   0.059308   0.059910  0.060518     21.18    21.61 
GS FINANCE CORP          40057JEZ5 09/30/21 09/30/27    100.000     0.000     1.7751      4.49   0.049307   0.049745   0.050187   0.050632  0.051081     17.91    18.23 
GS FINANCE CORP          40054LN75 08/31/17 08/28/23    100.000     1.250     2.7089    120.84   0.079821   0.080432   0.081051   0.081678               29.00    19.33 
GS FINANCE CORP          40056Y6J8 01/31/20 01/31/23    100.000     0.000     2.0501     39.93   0.058716   0.059318   0.059926                          21.43     1.74 
GS FINANCE CORP          40054LN67 08/31/17 09/14/27    100.000     0.000     2.9002    133.02   0.090498   0.091810   0.093141   0.094492  0.095862     33.10    34.06 
GS FINANCE CORP          40057JEY8 09/22/21 03/24/27    100.000     0.000     1.6075      4.42   0.044657   0.045016   0.045377   0.045742  0.046110     16.21    16.47 
GS FINANCE CORP          40057FJM7 02/24/21 02/24/28    100.000     0.000     1.5700     13.43   0.043954   0.044299   0.044647   0.044998  0.045351     15.97    16.23 
GS FINANCE CORP          40056FPU3 07/03/19 07/08/24    100.000     0.000     2.7199     69.72   0.079778   0.080863   0.081963   0.083077  0.084207     29.29    30.10 
GS FINANCE CORP          40057JEX0 09/22/21 09/25/28    100.000     0.000     1.9000      5.23   0.052785   0.053286   0.053792   0.054303  0.054819     19.19    19.56 
GS FINANCE CORP          40057E6W2 05/29/20 06/01/28    100.000     0.000     2.3367     37.61   0.067219   0.068004   0.068798   0.069602  0.070415     24.39    24.96 
GS FINANCE CORP          40055Q5H1 06/05/18 06/05/23    100.000     0.000     3.6299    137.15   0.114360   0.116436   0.118549                          41.65    18.26 
GS FINANCE CORP          40056YGZ1 02/28/20 03/11/30    100.000     0.000     2.4800     46.46   0.071547   0.072434   0.073332   0.074241  0.075162     26.11    26.76 
GS FINANCE CORP          40056XDT0 09/27/19 10/05/26    100.000     0.000     2.7000     62.55   0.079181   0.080250   0.081333   0.082431  0.083544     28.88    29.67 
GS FINANCE CORP          40055AGZ4 01/31/18 02/12/25    100.000     0.000     3.4499    143.51   0.108142   0.110007   0.111905   0.113835  0.115799     39.79    41.17 
GS FINANCE CORP          40057LLL3 04/05/22 04/07/27    100.000     0.000     3.4801             0.096669   0.096687   0.098370   0.100081  0.101823     25.86    36.01 
GS FINANCE CORP          40056YXV1 04/13/20 04/11/25    100.000     0.000     2.5468     44.42   0.073470   0.074406   0.075353   0.076313  0.077285     26.77    27.45 
GS FINANCE CORP          40056YH56 02/28/20 03/11/27    100.000     0.000     2.2100     41.33   0.063498   0.064199   0.064909   0.065626  0.066351     23.14    23.65 
GS FINANCE CORP          40056YH72 02/28/20 02/28/23    100.000     0.000     1.8799     35.07   0.053707   0.054212   0.054721                          19.55     3.12 
GS FINANCE CORP          40056YXW9 04/13/20 04/11/24    100.000     0.000     2.3867     41.59   0.068692   0.069511   0.070341   0.071180  0.072030     25.01    25.61 
GS FINANCE CORP          40056YH64 02/28/20 08/28/24    100.000     0.000     1.9925     37.20   0.057018   0.057586   0.058160   0.058739  0.059324     20.77    21.18 
GS FINANCE CORP          40056Y6Q2 01/31/20 01/31/23    100.000     0.000     2.1001     40.92   0.060193   0.060825   0.061464                          21.98     1.78 
GS FINANCE CORP          40057JWC6 11/29/21 12/08/28    100.000     0.000     2.4099      2.14   0.066983   0.067790   0.068607   0.069434  0.070271     24.30    24.89 
GS FINANCE CORP          40056YGS7 02/28/20 03/11/27    100.000     0.000     2.2100     41.33   0.063498   0.064199   0.064909   0.065626  0.066351     23.14    23.65 
GS FINANCE CORP          40057JWB8 11/29/21 12/08/28    100.000     0.000     2.4099      2.14   0.066983   0.067790   0.068607   0.069434  0.070271     24.30    24.89 
GS FINANCE CORP          40055AHE0 02/28/18 02/27/25    100.000     0.000     3.6753    150.21   0.115960   0.118090   0.120261   0.122471  0.124721     42.66    44.24 
GS FINANCE CORP          40054LNL4 08/31/17 09/03/24    100.000     0.000     2.9002    133.01   0.090417   0.091728   0.093058   0.094408  0.095777     33.10    34.06 
GS FINANCE CORP          40057HQK9 07/30/21 08/01/28    100.000     0.000     1.7900      7.51   0.049724   0.050169   0.050618   0.051071  0.051528     18.11    18.44 
GS FINANCE CORP          40054LNK6 08/31/17 09/03/24    100.000     0.000     2.9002    133.01   0.090417   0.091728   0.093058   0.094408  0.095777     33.10    34.06 
GS FINANCE CORP          40057HQJ2 07/30/21 04/30/27    100.000     0.000     1.5401      6.47   0.042944   0.043275   0.043608   0.043944  0.044282     15.56    15.80 
GS FINANCE CORP          40055AHF7 02/28/18 02/27/25    100.000     0.000     3.6753    150.21   0.115960   0.118090   0.120261   0.122471  0.124721     42.66    44.24 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40056Y7A6 01/27/20 02/05/30    100.000     0.000     2.6900     52.88   0.077824   0.078871   0.079932   0.081007  0.082096     28.51    29.28 
GS FINANCE CORP          40055QWR9 09/28/18 09/30/26    100.000     0.000     4.1967    144.98   0.132073   0.134845   0.137674   0.140563  0.143513     48.55    50.61 
GS FINANCE CORP          40055AHD2 02/28/18 03/11/25    100.000     0.000     3.6869    150.74   0.116539   0.118688   0.120876   0.123104  0.125373     42.82    44.41 
GS FINANCE CORP          40057LLS8 03/29/22 03/27/25    100.000     0.000     3.1595                        0.087765   0.089136   0.090545  0.091975     24.00    32.61 
GS FINANCE CORP          40057LLQ2 04/05/22 04/03/24    100.000     0.000     2.1915                        0.060875   0.061535   0.062209  0.062891     16.25    22.39 
GS FINANCE CORP          36259E770 02/05/20 08/05/25    100.000     0.000     2.1693     41.98   0.062242   0.062917   0.063599   0.064289  0.064987     22.73    23.22 
GS FINANCE CORP          40057E6Y8 05/29/20 06/01/28    100.000     0.000     2.3367     37.61   0.067219   0.068004   0.068798   0.069602  0.070415     24.39    24.96 
GS FINANCE CORP          40056XDX1 10/08/19 10/09/29    100.000     0.000     2.9000     66.36   0.085336   0.086573   0.087829   0.089102  0.090394     31.15    32.06 
GS FINANCE CORP          40057LLP4 04/05/22 04/03/25    100.000     0.000     3.1988                        0.088854   0.090260   0.091703  0.093170     23.76    33.01 
GS FINANCE CORP          40055QWN8 09/28/18 09/30/24    100.000     0.000     3.9849    137.25   0.124631   0.127114   0.129647   0.132230  0.134865     45.77    47.61 
GS FINANCE CORP          40057J5G7 09/03/21 09/06/28    100.000     0.000     1.8400      6.03   0.051120   0.051590   0.052065   0.052544  0.053027     18.60    18.94 
GS FINANCE CORP          40055Q5L2 06/05/18 06/05/23    100.000     0.000     3.6299    137.15   0.114360   0.116436   0.118549                          41.65    18.26 
GS FINANCE CORP          40055AHM2 02/28/18 03/11/25    100.000     0.000     3.6869    150.74   0.116539   0.118688   0.120876   0.123104  0.125373     42.82    44.41 
GS FINANCE CORP          40057JG91 09/30/21 10/02/28    100.000     0.000     1.9700      4.98   0.054727   0.055267   0.055811   0.056361  0.056916     19.90    20.29 
GS FINANCE CORP          40055AHN0 02/28/18 11/29/23    100.000     0.000     3.5414    144.45   0.112229   0.114216   0.116238   0.118297               40.89    38.50 
GS FINANCE CORP          40057HR51 07/30/21 08/01/29    100.000     0.000     1.9200      8.05   0.053335   0.053847   0.054364   0.054886  0.055413     19.45    19.82 
GS FINANCE CORP          40057CSE2 09/03/20 12/01/22    100.000     0.000     0.5992      7.98   0.016768   0.016819                                      5.54          
GS FINANCE CORP          40056Y7G3 01/22/20 03/20/25    100.000     0.000     2.3879     47.20   0.068999   0.069823   0.070657   0.071500  0.072354     25.16    25.76 
GS FINANCE CORP          40055AHK6 02/28/18 03/10/28    100.000     0.000     3.9678    162.99   0.126631   0.129143   0.131705   0.134318  0.136983     46.60    48.47 
GS FINANCE CORP          40055A7J0 12/26/17 01/05/23    100.000     0.000     2.6999    113.66   0.082433   0.083546   0.084674                          30.27     0.34 
GS FINANCE CORP          40057HQP8 07/30/21 08/11/31    100.000     0.000     2.1800      9.15   0.060596   0.061257   0.061924   0.062599  0.063282     22.12    22.60 
GS FINANCE CORP          40055AHL4 02/28/18 03/11/25    100.000     0.000     3.6869    150.74   0.116539   0.118688   0.120876   0.123104  0.125373     42.82    44.41 
GS FINANCE CORP          40057JG67 09/30/21 03/30/28    100.000     0.000     1.8725      4.73   0.052014   0.052501   0.052992   0.053489  0.053989     18.90    19.26 
GS FINANCE CORP          40055AYK7 04/26/18 05/07/25    100.000     0.000     3.9700    155.74   0.126697   0.129212   0.131777   0.134392  0.137060     46.34    48.20 
GS FINANCE CORP          40057HQN3 07/30/21 08/11/31    100.000     0.000     2.1800      9.15   0.060596   0.061257   0.061924   0.062599  0.063282     22.12    22.60 
GS FINANCE CORP          40055AHJ9 02/28/18 03/11/25    100.000     0.000     3.6869    150.74   0.116539   0.118688   0.120876   0.123104  0.125373     42.82    44.41 
GS FINANCE CORP          40057HQM5 07/30/21 04/30/27    100.000     0.000     1.5401      6.47   0.042944   0.043275   0.043608   0.043944  0.044282     15.56    15.80 
GS FINANCE CORP          40055AHG5 02/28/18 02/27/25    100.000     0.000     3.7053    151.52   0.117026   0.119194   0.121402   0.123651  0.125942     43.06    44.67 
GS FINANCE CORP          40057LLX7 04/14/22 04/21/27    100.000     0.000     3.9900             0.110832   0.110918   0.113131   0.115388  0.117690     28.66    41.45 
GS FINANCE CORP          40055AHH3 02/28/18 03/11/25    100.000     0.000     3.6869    150.74   0.116539   0.118688   0.120876   0.123104  0.125373     42.82    44.41 
GS FINANCE CORP          40057HQL7 07/30/21 08/01/28    100.000     0.000     1.7900      7.51   0.049724   0.050169   0.050618   0.051071  0.051528     18.11    18.44 
GS FINANCE CORP          40055AYW1 05/17/18 05/29/25    100.000     0.000     3.9900    153.90   0.127439   0.129982   0.132575   0.135220  0.137917     46.50    48.37 
GS FINANCE CORP          40056YHR8 02/12/20 02/23/27    100.000     0.000     2.3500     45.07   0.067655   0.068450   0.069254   0.070068  0.070891     24.70    25.29 
GS FINANCE CORP          40055QGE6 06/27/18 06/27/23    100.000     5.000     3.5005    122.46   0.097698   0.097636   0.097472                          35.16    17.16 
GS FINANCE CORP          40055AYU5 05/17/18 05/29/25    100.000     0.000     3.9900    153.90   0.127439   0.129982   0.132575   0.135220  0.137917     46.50    48.37 
GS FINANCE CORP          40055AZ67 05/09/18 05/08/25    100.000     0.000     3.9777    154.40   0.126810   0.129332   0.131904   0.134528  0.137203     46.38    48.24 
GS FINANCE CORP          40055QGB2 06/29/18 12/31/25    100.000     0.000     4.1267    153.95   0.132264   0.134993   0.137779   0.140622  0.143523     48.11    50.12 
GS FINANCE CORP          40057JXA9 11/29/21 05/29/29    100.000     0.000     2.4617      2.19   0.068382   0.069224   0.070076   0.070938  0.071811     24.82    25.44 
GS FINANCE CORP          40056YZ49 04/13/20 04/13/27    100.000     0.000     2.8100     49.09   0.081391   0.082534   0.083694   0.084870  0.086062     29.69    30.53 
GS FINANCE CORP          40055AHU4 02/28/18 03/11/25    100.000     0.000     3.6869    150.74   0.116539   0.118688   0.120876   0.123104  0.125373     42.82    44.41 
GS FINANCE CORP          36264H651 05/04/22 05/03/29    100.000     0.000     4.5500                        0.126390   0.129250   0.132190  0.135197     30.12    47.40 
GS FINANCE CORP          40055AYT8 05/17/18 05/29/25    100.000     0.000     3.9900    153.90   0.127439   0.129982   0.132575   0.135220  0.137917     46.50    48.37 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40054KL87 10/28/16 10/30/24    100.000     0.000     2.7498    151.83   0.087572   0.088776   0.089997   0.091234  0.092489     31.89    32.77 
GS FINANCE CORP          40055AYR2 04/26/18 10/28/25    100.000     0.000     4.0117    157.47   0.128086   0.130655   0.133276   0.135950  0.138676     46.90    48.80 
GS FINANCE CORP          40057HAC4 05/14/21 05/14/31    100.000    VARIES     2.5799     16.24   0.071155   0.070640   0.070118   0.069589  0.069585     25.47    25.12 
GS FINANCE CORP          40057J6E1 08/31/21 08/31/36    100.000    VARIES     2.5599      8.60   0.071108   0.069875   0.068627   0.066937  0.065770     25.07    24.05 
GS FINANCE CORP          40054KLC8 10/31/16 11/09/23    100.000     0.000     2.6003    142.91   0.082243   0.083312   0.084396   0.085493               29.91    26.19 
GS FINANCE CORP          40055Q6F4 05/29/18 06/07/23    100.000     0.000     3.7299    141.86   0.118014   0.120215   0.122457                          42.99    19.10 
GS FINANCE CORP          40057LML2 04/13/22 04/23/29    100.000     0.000     4.0900             0.113611   0.113740   0.116066   0.118440  0.120862     29.50    42.54 
GS FINANCE CORP          40056FAB1 05/03/19 05/14/24    100.000     0.000     3.2699     90.18   0.098602   0.100214   0.101852   0.103518  0.105210     35.94    37.12 
GS FINANCE CORP          40057JGE0 09/30/21 10/12/28    100.000     0.000     1.9700      4.98   0.054758   0.055298   0.055842   0.056392  0.056948     19.90    20.29 
GS FINANCE CORP          40057JGC4 09/15/21 09/15/31    100.000    VARIES     2.2298      6.57   0.061938   0.061390   0.060836   0.060570  0.060339     22.08    21.80 
GS FINANCE CORP          362273AG9 12/17/15 06/19/23    100.000     0.000     2.9199    191.32   0.096530   0.097940   0.099369                          35.04    16.69 
GS FINANCE CORP          40057HAL4 05/19/21 05/18/28    100.000     0.000     1.9374     11.97   0.054336   0.054863   0.055394   0.055931  0.056473     19.70    20.08 
GS FINANCE CORP          40056YZE7 04/30/20 10/30/25    100.000     0.000     2.2800     38.59   0.065525   0.066272   0.067028   0.067792  0.068565     23.82    24.36 
GS FINANCE CORP          40054KLJ3 10/28/16 10/30/23    100.000     0.000     2.5999    143.04   0.082187   0.083255   0.084338   0.085434               29.91    25.41 
GS FINANCE CORP          40055QY48 09/28/18 06/29/23    100.000     0.000     3.8199    131.27   0.120012   0.122304   0.124640                          43.63    22.19 
GS FINANCE CORP          40055AZG5 05/02/18 05/15/28    100.000     0.000     4.2400    166.24   0.136616   0.139512   0.142470   0.145490  0.148574     49.97    52.11 
GS FINANCE CORP          40055QY63 10/03/18 10/03/23    100.000     0.000     3.8100    130.31   0.118522   0.120780   0.123081   0.125425               43.48    33.90 
GS FINANCE CORP          40056YZD9 05/05/20 05/03/24    100.000     0.000     1.8596     31.13   0.053104   0.053598   0.054097   0.054600  0.055107     19.26    19.62 
GS FINANCE CORP          40056XEZ5 10/02/19 10/04/24    100.000     0.000     2.4700     56.74   0.072074   0.072964   0.073865   0.074777  0.075701     26.26    26.92 
GS FINANCE CORP          40054KLG9 10/31/16 10/31/22    100.000     0.000     2.4001    131.28   0.075116   0.076017                                     22.62          
GS FINANCE CORP          40057LNA5 04/06/22 04/06/27    100.000     0.000     3.5800                        0.099445   0.101225   0.103037  0.104881     26.50    37.08 
GS FINANCE CORP          40056FRX5 07/31/19 07/31/25    100.000     0.000     2.8851     71.78   0.084866   0.086090   0.087332   0.088592  0.089870     31.14    32.05 
GS FINANCE CORP          40054KLR5 10/31/16 10/29/26    100.000     0.000     2.9991    166.39   0.096672   0.098122   0.099593   0.101086  0.102602     35.24    36.31 
GS FINANCE CORP          40056XFJ0 10/31/19 05/01/25    100.000     0.000     2.5800     57.21   0.075443   0.076416   0.077402   0.078400  0.079412     27.45    28.16 
GS FINANCE CORP          40056FRU1 07/31/19 04/29/22    100.000     0.000     2.2579     55.86   0.065965                                                 7.78          
GS FINANCE CORP          40057EZL4 01/29/21 01/31/28    100.000     0.000     1.4700     13.60   0.041136   0.041438   0.041743   0.042049  0.042358     14.95    15.18 
GS FINANCE CORP          40057HB33 05/28/21 05/31/28    100.000     0.000     1.9100     11.32   0.053569   0.054081   0.054597   0.055119  0.055645     19.41    19.78 
GS FINANCE CORP          40056XWH5 12/31/19 12/30/24    100.000     2.000     2.4808     50.12   0.069604   0.070467   0.069963   0.070831  0.070331     25.21    25.34 
GS FINANCE CORP          40057EZK6 01/29/21 07/31/28    100.000     0.000     1.5383     14.24   0.043060   0.043391   0.043725   0.044061  0.044400     15.66    15.90 
GS FINANCE CORP          40057HS27 07/30/21 11/01/27    100.000     0.000     1.6399      6.89   0.045743   0.046118   0.046496   0.046877  0.047262     16.58    16.85 
GS FINANCE CORP          40055QGX4 07/17/18 07/28/25    100.000     0.000     4.0100    147.09   0.125632   0.128151   0.130720   0.133341  0.136014     46.46    48.34 
GS FINANCE CORP          40056XFE1 11/05/19 08/03/23    100.000     0.000     2.2501     49.44   0.064991   0.065723   0.066462   0.067210               23.75    14.22 
GS FINANCE CORP          40055AZM2 05/30/18 05/30/25    100.000     0.000     4.0099    153.05   0.127993   0.130559   0.133177   0.135847  0.138571     46.70    48.59 
GS FINANCE CORP          40057EZJ9 01/29/21 01/31/28    100.000     0.000     1.4700     13.60   0.041136   0.041438   0.041743   0.042049  0.042358     14.95    15.18 
GS FINANCE CORP          40056XWF9 12/31/19 12/29/22    100.000     1.500     2.2043     44.55   0.062115   0.062800                                     22.36          
GS FINANCE CORP          40056XWG7 12/31/19 12/29/23    100.000     1.600     2.3779     47.90   0.067094   0.067363   0.067636   0.067912               24.20    24.26 
GS FINANCE CORP          40055Q6X5 05/25/18 11/25/26    100.000     0.000     4.2450    163.30   0.136593   0.139492   0.142453   0.145477  0.148565     49.91    52.05 
GS FINANCE CORP          40054KLQ7 10/31/16 10/31/23    100.000     0.000     2.6000    142.89   0.082181   0.083249   0.084331   0.085428               29.91    25.41 
GS FINANCE CORP          40055QGV8 07/17/18 07/28/25    100.000     0.000     4.0100    147.09   0.125632   0.128151   0.130720   0.133341  0.136014     46.46    48.34 
GS FINANCE CORP          40055QXX5 09/28/18 06/30/25    100.000     0.000     4.0788    140.67   0.129223   0.131859   0.134548   0.137292  0.140092     47.00    48.94 
GS FINANCE CORP          40055AZL4 05/30/18 05/30/25    100.000     0.000     4.0099    153.05   0.127993   0.130559   0.133177   0.135847  0.138571     46.70    48.59 
GS FINANCE CORP          40055AZY6 05/29/18 05/29/26    100.000     0.000     4.1267    157.92   0.132248   0.134976   0.137761   0.140604  0.143505     48.28    50.29 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057FLX0 03/12/21 03/12/36    100.000    VARIES     2.8689     22.85   0.078046   0.076376   0.073545   0.071162  0.069761     27.31    25.63 
GS FINANCE CORP          40056XFQ4 10/31/19 11/02/27    100.000     0.000     2.8600     63.57   0.084099   0.085302   0.086521   0.087759  0.089014     30.63    31.52 
GS FINANCE CORP          40057FLW2 03/11/21 03/11/31    100.000    VARIES     2.5191     20.20   0.069107   0.068228   0.066388   0.065062  0.064695     24.42    23.47 
GS FINANCE CORP          40056XG34 10/31/19 11/02/22    100.000     0.000     2.3000     50.88   0.066886   0.067655                                     20.27          
GS FINANCE CORP          40055AZX8 05/29/18 05/29/24    100.000     0.000     3.9300    149.93   0.125098   0.127556   0.130062   0.132618  0.135224     45.64    47.45 
GS FINANCE CORP          40056FB87 05/06/19 05/04/23    100.000     0.000     3.1376     86.12   0.094193   0.095670   0.097171                          34.35    11.95 
GS FINANCE CORP          40055QYA4 10/03/18 10/17/23    100.000     0.000     3.8100    130.33   0.118698   0.120959   0.123263   0.125612               43.48    35.68 
GS FINANCE CORP          40056FRY3 07/31/19 01/31/23    100.000     0.000     2.5974     64.44   0.075973   0.076960   0.077959                          27.83     2.26 
GS FINANCE CORP          40056FAX3 04/11/19 04/11/24    100.000     0.000     3.3601     94.99   0.101443   0.103147   0.104880   0.106642  0.108434     37.10    38.36 
GS FINANCE CORP          40057CTW1 09/30/20 09/30/26    100.000     0.000     1.5050     18.97   0.042436   0.042755   0.043077   0.043401  0.043728     15.39    15.63 
GS FINANCE CORP          40057JHJ8 10/05/21 10/03/31    100.000     0.000     2.4583      5.87   0.068287   0.069117   0.069967   0.070827  0.071697     24.88    25.50 
GS FINANCE CORP          40056EPF9 01/31/19 02/02/27    100.000     0.000     4.1367    127.01   0.127324   0.129957   0.132645   0.135389  0.138189     47.10    49.07 
GS FINANCE CORP          40056XG91 11/05/19 11/03/22    100.000     0.000     2.1195     46.51   0.061404   0.062055                                     18.66          
GS FINANCE CORP          40057CTV3 09/30/20 09/30/26    100.000     0.000     1.5050     18.97   0.042436   0.042755   0.043077   0.043401  0.043728     15.39    15.63 
GS FINANCE CORP          40056X5V4 09/30/19 10/09/26    100.000     0.000     2.7800     64.20   0.081662   0.082797   0.083948   0.085115  0.086298     29.79    30.62 
GS FINANCE CORP          40056FSD8 07/31/19 07/29/22    100.000     0.000     2.4693     61.19   0.072037   0.072926                                     15.14          
GS FINANCE CORP          40057JHH2 10/05/21 10/05/28    100.000     0.000     2.0500      4.90   0.056943   0.057527   0.058116   0.058712  0.059314     20.71    21.13 
GS FINANCE CORP          40056FSC0 07/31/19 08/10/26    100.000     0.000     3.0000     74.73   0.088520   0.089848   0.091195   0.092563  0.093952     32.48    33.47 
GS FINANCE CORP          40056YJF2 02/20/20 02/15/23    100.000     0.000     1.9251     36.37   0.055019   0.055549   0.056084                          20.05     2.47 
GS FINANCE CORP          40057KL84 01/31/22 01/31/29    100.000     0.000     2.7900                        0.077501   0.078582   0.079679  0.080790     25.82    28.82 
GS FINANCE CORP          40056X6B7 10/03/19 07/06/23    100.000     0.000     2.3413     53.65   0.067753   0.068546   0.069348   0.070160               24.81    12.98 
GS FINANCE CORP          40056FSQ9 08/05/19 08/14/24    100.000     0.000     2.7501     67.93   0.080736   0.081846   0.082971   0.084112  0.085269     29.57    30.39 
GS FINANCE CORP          40055AJG3 02/22/18 06/22/26    100.000     0.000     3.8739    159.61   0.124662   0.127077   0.129538   0.132047  0.134605     45.36    47.13 
GS FINANCE CORP          40057KL68 01/31/22 07/29/27    100.000     0.000     2.5682                        0.071340   0.072251   0.073179  0.074119     23.75    26.46 
GS FINANCE CORP          40056FSN6 07/31/19 07/31/25    100.000     0.000     2.8851     71.78   0.084866   0.086090   0.087332   0.088592  0.089870     31.14    32.05 
GS FINANCE CORP          40057KL50 01/31/22 01/31/29    100.000     0.000     2.7900                        0.077501   0.078582   0.079679  0.080790     25.82    28.82 
GS FINANCE CORP          40057KL43 01/31/22 07/30/26    100.000     0.000     2.3787                        0.066076   0.066862   0.067657  0.068462     21.99    24.46 
GS FINANCE CORP          40056EPG7 01/31/19 01/31/25    100.000     0.000     3.9350    120.52   0.120490   0.122860   0.125277   0.127742  0.130256     44.53    46.30 
GS FINANCE CORP          40057J7L4 08/17/21 08/16/29    100.000     0.000     2.0292      7.55   0.056367   0.056936   0.057514   0.058097  0.058687     20.55    20.97 
GS FINANCE CORP          40056X5Z5 10/03/19 10/15/24    100.000     0.000     2.4599     56.43   0.071815   0.072698   0.073593   0.074498  0.075414     26.15    26.79 
GS FINANCE CORP          40056X6K7 09/30/19 09/29/22    100.000     0.000     2.2654     52.07   0.065824   0.066570                                     17.78          
GS FINANCE CORP          40056FBU8 05/02/19 05/02/24    100.000     0.000     3.3001     91.14   0.099485   0.101127   0.102795   0.104491  0.106215     36.31    37.51 
GS FINANCE CORP          40056FBV6 05/10/19 05/11/23    100.000     0.000     3.1001     84.69   0.093005   0.094447   0.095911                          33.89    12.47 
GS FINANCE CORP          40057HST8 07/30/21 08/01/28    100.000     0.000     1.7900      7.51   0.049724   0.050169   0.050618   0.051071  0.051528     18.11    18.44 
GS FINANCE CORP          40056YJM7 02/21/20 02/21/30    100.000    VARIES     2.5596     47.16   0.069543   0.069011   0.068671   0.068361  0.068087     24.83    24.59 
GS FINANCE CORP          40056FSU0 08/05/19 02/03/23    100.000     0.000     2.5838     63.72   0.075543   0.076519   0.077508                          27.66     2.48 
GS FINANCE CORP          40056FT62 08/05/19 08/04/22    100.000     0.000     2.4693     60.83   0.072037   0.072926                                     15.50          
GS FINANCE CORP          40056EPQ5 01/31/19 02/02/22    100.000     0.000     3.5001    106.63   0.106055                                                 3.29          
GS FINANCE CORP          40056FST3 08/05/19 02/03/22    100.000     0.000     2.0460     50.20   0.059189                                                 1.89          
GS FINANCE CORP          40055AJN8 02/27/18 03/08/23    100.000     0.000     3.4252    139.52   0.107266   0.109103   0.110971                          39.36     7.44 
GS FINANCE CORP          40056XGF7 11/05/19 11/03/22    100.000     0.000     2.1195     46.51   0.061404   0.062055                                     18.66          
GS FINANCE CORP          40056FSS5 08/05/19 02/05/25    100.000     0.000     2.8100     69.45   0.082537   0.083696   0.084872   0.086065  0.087274     30.26    31.12 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057KL92 01/31/22 02/09/29    100.000     0.000     2.7900             0.077499   0.077553   0.078635   0.079732  0.080844     25.82    28.82 
GS FINANCE CORP          40056X6P6 09/30/19 10/09/26    100.000     0.000     2.7800     64.20   0.081662   0.082797   0.083948   0.085115  0.086298     29.79    30.62 
GS FINANCE CORP          40056FTA3 08/05/19 08/04/22    100.000     0.000     2.4693     60.83   0.072037   0.072926                                     15.50          
GS FINANCE CORP          40056XXT8 02/05/20 02/14/25    100.000     0.000     2.1100     40.82   0.060519   0.061157   0.061802   0.062454  0.063113     22.08    22.55 
GS FINANCE CORP          40055AJY4 02/27/18 02/26/26    100.000     0.000     3.8056    156.00   0.120607   0.122902   0.125241   0.127624  0.130052     44.41    46.12 
GS FINANCE CORP          40056XXQ4 02/05/20 02/05/24    100.000     0.000     2.0150     38.95   0.057681   0.058262   0.058849   0.059442  0.060041     21.04    21.47 
GS FINANCE CORP          40056XXR2 02/05/20 02/05/24    100.000     0.000     2.0150     38.95   0.057681   0.058262   0.058849   0.059442  0.060041     21.04    21.47 
GS FINANCE CORP          40055AK89 02/27/18 02/27/25    100.000     0.000     3.7200    152.27   0.117562   0.119749   0.121976   0.124245  0.126556     43.26    44.89 
GS FINANCE CORP          40055AJS7 02/28/18 08/31/23    100.000     0.000     3.4583    140.82   0.108332   0.110184   0.112110   0.114027               39.79    27.14 
GS FINANCE CORP          40057FN42 03/31/21 03/30/28    100.000     0.000     2.0392     15.40   0.057222   0.057805   0.058394   0.058990  0.059591     20.81    21.24 
GS FINANCE CORP          40054KNF9 11/28/16 11/28/23    100.000     0.000     3.0601    167.25   0.098941   0.100455   0.101992   0.103553               35.99    33.63 
GS FINANCE CORP          40057CDX6 07/31/20 08/02/28    100.000     0.000     1.6767     23.99   0.047365   0.047762   0.048163   0.048566  0.048973     17.24    17.53 
GS FINANCE CORP          40054KNH5 11/28/16 11/27/26    100.000     0.000     3.4699    191.47   0.114467   0.116453   0.118473   0.120529  0.122620     41.70    43.16 
GS FINANCE CORP          40057HTE0 07/28/21 02/01/27    100.000     0.000     1.5051      6.40   0.041812   0.042127   0.042444   0.042763  0.043085     15.20    15.43 
GS FINANCE CORP          40056XXZ4 01/31/20 07/31/25    100.000     0.000     2.2875     44.63   0.065747   0.066499   0.067260   0.068029  0.068807     24.03    24.59 
GS FINANCE CORP          40057HTD2 07/28/21 07/31/28    100.000     0.000     1.8200      7.74   0.050560   0.051020   0.051484   0.051953  0.052426     18.42    18.76 
GS FINANCE CORP          40056YJY1 02/26/20 03/07/30    100.000     0.000     2.4900     46.80   0.071838   0.072732   0.073638   0.074555  0.075483     26.23    26.88 
GS FINANCE CORP          40056YJX3 02/26/20 03/07/30    100.000     0.000     2.4900     46.80   0.071838   0.072732   0.073638   0.074555  0.075483     26.23    26.88 
GS FINANCE CORP          40054KNC6 11/28/16 11/28/23    100.000     0.000     3.0998    169.57   0.100421   0.101977   0.103558   0.105163               36.54    34.15 
GS FINANCE CORP          40056XHF6 10/31/19 10/31/22    100.000     0.000     2.2999     50.88   0.066875   0.067644                                     20.13          
GS FINANCE CORP          40054LQQ0 09/15/17 09/26/24    100.000     0.000     2.8003    126.88   0.087013   0.088231   0.089467   0.090719  0.091990     31.78    32.67 
GS FINANCE CORP          40056XHC3 10/07/19 10/06/22    100.000     0.000     2.1388     48.67   0.061989   0.062651                                     17.17          
GS FINANCE CORP          40056EQM3 01/31/19 11/02/23    100.000     0.000     3.8087    116.54   0.117395   0.119630   0.121908   0.124230               42.93    37.11 
GS FINANCE CORP          40054LQS6 09/15/17 06/15/23    100.000     0.000     2.5996    117.33   0.080589   0.081637   0.082698                          29.23    13.56 
GS FINANCE CORP          40056FCP8 05/31/19 05/31/24    100.000     0.000     3.1099     83.10   0.093315   0.094766   0.096240   0.097736  0.099256     33.95    35.01 
GS FINANCE CORP          40056EQN1 01/31/19 10/31/25    100.000     0.000     4.0688    124.90   0.126269   0.128838   0.131459   0.134134  0.136862     46.24    48.14 
GS FINANCE CORP          40055QJ52 07/31/18 07/30/26    100.000     0.000     4.1364    150.31   0.129917   0.132604   0.135347   0.138146  0.141003     48.07    50.08 
GS FINANCE CORP          40057LP96 04/29/22 05/01/29    100.000     0.000     4.4700             0.124167   0.124197   0.126973   0.129811  0.132712     30.22    46.57 
GS FINANCE CORP          40055QJ60 07/31/18 07/31/24    100.000     0.000     3.9250    142.18   0.122513   0.124918   0.127369   0.129869  0.132418     45.27    47.07 
GS FINANCE CORP          40056EQL5 01/31/19 07/31/26    100.000     0.000     4.1350    126.95   0.127236   0.129867   0.132552   0.135292  0.138089     47.08    49.05 
GS FINANCE CORP          40057H2H2 04/21/21 04/21/27    100.000     0.000     1.7850     12.43   0.050027   0.050474   0.050924   0.051379  0.051837     18.15    18.48 
GS FINANCE CORP          40054LQZ0 09/28/17 09/28/23    100.000     0.000     2.7500    123.37   0.085208   0.086380   0.087568   0.088772               31.11    23.60 
GS FINANCE CORP          40054KNV4 11/28/16 11/28/22    100.000     0.000     2.8500    155.00   0.091200   0.092499                                     30.06          
GS FINANCE CORP          40056EA81 10/29/18 04/28/22    100.000     0.000     3.6667    122.21   0.113572                                                13.29          
GS FINANCE CORP          40055AKQ9 02/28/18 03/10/28    100.000     0.000     3.9678    162.99   0.126631   0.129143   0.131705   0.134318  0.136983     46.60    48.47 
GS FINANCE CORP          40056F2U8 04/03/19 10/04/22    100.000     0.000     3.0851     87.68   0.092521   0.093948                                     25.52          
GS FINANCE CORP          40056EA32 10/12/18 10/24/25    100.000     0.000     4.2199    143.98   0.133053   0.135860   0.138727   0.141654  0.144643     48.78    50.86 
GS FINANCE CORP          40056F2T1 04/03/19 10/04/22    100.000     0.000     3.0851     87.68   0.092521   0.093948                                     25.52          
GS FINANCE CORP          40057HU73 08/04/21 08/03/28    100.000     0.000     1.7533      7.16   0.048702   0.049127   0.049558   0.049992  0.050430     17.74    18.05 
GS FINANCE CORP          40054LA53 04/28/17 10/31/24    100.000     0.000     3.1210    155.82   0.099678   0.101233   0.102813   0.104417  0.106047     36.36    37.50 
GS FINANCE CORP          40054LQU1 09/28/17 09/30/25    100.000     0.000     3.1000    140.00   0.097402   0.098911   0.100444   0.102001  0.103582     35.61    36.73 
GS FINANCE CORP          40055AL21 02/14/18 02/14/23    100.000     0.000     3.3099    135.89   0.103137   0.104843   0.106578                          37.91     4.58 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40054LR97 09/29/17 10/10/24    100.000     0.000     2.9500    132.76   0.092210   0.093571   0.094951   0.096351  0.097772     33.66    34.66 
GS FINANCE CORP          40054KNU6 11/28/16 11/27/24    100.000     0.000     3.2301    177.24   0.105306   0.107006   0.108735   0.110491  0.112275     38.33    39.58 
GS FINANCE CORP          40054LR89 09/29/17 10/10/24    100.000     0.000     2.9500    132.76   0.092210   0.093571   0.094951   0.096351  0.097772     33.66    34.66 
GS FINANCE CORP          40054LRB2 09/29/17 10/12/27    100.000     0.000     3.3500    151.91   0.106411   0.108194   0.110006   0.111849  0.113722     38.91    40.23 
GS FINANCE CORP          40056YL77 03/09/20 05/11/22    100.000     0.000     1.4901     27.26   0.042432                                                 5.52          
GS FINANCE CORP          40056FDA0 05/17/19 05/29/26    100.000     0.000     3.4900     95.00   0.105825   0.107672   0.109551   0.111463  0.113408     38.55    39.91 
GS FINANCE CORP          40057FNY6 03/31/21 04/09/31    100.000     0.000     2.5000     18.90   0.070357   0.071236   0.072127   0.073028  0.073941     25.63    26.28 
GS FINANCE CORP          40057EKV8 11/30/20 11/30/27    100.000     0.000     1.4899     16.26   0.042006   0.042319   0.042634   0.042952  0.043272     15.20    15.43 
GS FINANCE CORP          40056XZ41 01/31/20 02/11/27    100.000     0.000     2.4300     47.47   0.070043   0.070894   0.071755   0.072627  0.073510     25.61    26.23 
GS FINANCE CORP          40057EKU0 11/30/20 11/30/27    100.000     0.000     1.4899     16.26   0.042006   0.042319   0.042634   0.042952  0.043272     15.20    15.43 
GS FINANCE CORP          40057FNX8 03/31/21 04/09/31    100.000     0.000     2.5000     18.90   0.070357   0.071236   0.072127   0.073028  0.073941     25.63    26.28 
GS FINANCE CORP          40056XYT7 01/31/20 02/02/28    100.000     0.000     2.5000     48.86   0.072092   0.072993   0.073905   0.074829  0.075764     26.39    27.05 
GS FINANCE CORP          40056XZ25 01/31/20 02/11/30    100.000     0.000     2.6400     51.65   0.076337   0.077345   0.078366   0.079400  0.080449     27.95    28.69 
GS FINANCE CORP          40057HCZ1 05/28/21 05/28/31    100.000    VARIES     2.4405     14.42   0.067178   0.066556   0.065927   0.065291  0.065337     24.03    23.60 
GS FINANCE CORP          40054LRA4 09/29/17 10/10/24    100.000     0.000     2.9500    132.76   0.092210   0.093571   0.094951   0.096351  0.097772     33.66    34.66 
GS FINANCE CORP          40054LRL0 09/28/17 10/11/22    100.000     0.000     2.5499    113.96   0.078458   0.079459                                     22.15          
GS FINANCE CORP          40057LQ79 04/29/22 05/01/28    100.000     0.000     4.3700             0.121390   0.121420   0.124073   0.126784  0.129554     29.54    45.48 
GS FINANCE CORP          40057LQ61 04/29/22 07/30/26    100.000     0.000     4.1237                        0.114549   0.115743   0.118129  0.120565     27.90    42.82 
GS FINANCE CORP          40056FUM5 07/22/19 07/21/22    100.000     0.000     2.4693     61.76   0.072037   0.072926                                     14.57          
GS FINANCE CORP          40057H3F5 05/05/21 05/05/28    100.000     0.000     2.0100     13.21   0.056394   0.056961   0.057533   0.058111  0.058695     20.47    20.88 
GS FINANCE CORP          40056FDH5 05/31/19 06/11/26    100.000     0.000     3.3900     90.85   0.102527   0.104265   0.106032   0.107830  0.109657     37.29    38.57 
GS FINANCE CORP          40057LPT2 04/29/22 05/01/29    100.000     0.000     4.4700             0.124167   0.124197   0.126973   0.129811  0.132712     30.22    46.57 
GS FINANCE CORP          40055ALA3 02/20/18 02/20/25    100.000     0.000     3.7500    154.41   0.118632   0.120856   0.123122   0.125431  0.127783     43.70    45.35 
GS FINANCE CORP          40054LAE4 03/20/17 09/20/22    100.000     0.000     2.9898    152.46   0.094917   0.096336                                     24.84          
GS FINANCE CORP          40057LQ20 04/27/22 04/25/25    100.000     0.000     3.7917                        0.105326   0.107300   0.109335  0.111407     25.83    39.27 
GS FINANCE CORP          40056XYY6 01/31/20 02/11/27    100.000     0.000     2.4300     47.47   0.070043   0.070894   0.071755   0.072627  0.073510     25.61    26.23 
GS FINANCE CORP          36257D436 05/01/19 09/20/23    100.000     0.000     3.1913     88.15   0.095607   0.097132   0.098682   0.100257               35.00    25.84 
GS FINANCE CORP          40057HUS7 08/04/21 08/04/31    100.000     0.000     2.1800      8.90   0.060555   0.061215   0.061883   0.062557  0.063239     22.11    22.60 
GS FINANCE CORP          40054LAR5 05/30/17 11/29/22    100.000     0.000     2.6501    128.34   0.082865   0.083963                                     27.38          
GS FINANCE CORP          40054LS47 09/29/17 10/01/24    100.000     0.000     2.9500    132.75   0.092145   0.093504   0.094883   0.096283  0.097703     33.66    34.66 
GS FINANCE CORP          40054LAQ7 05/30/17 05/30/25    100.000     0.000     3.1002    151.54   0.098902   0.100435   0.101991   0.103572  0.105178     35.98    37.10 
GS FINANCE CORP          40054LS39 09/29/17 06/29/23    100.000     0.000     2.6502    118.58   0.082334   0.083425   0.084530                          29.84    15.05 
GS FINANCE CORP          40056FV36 08/02/19 02/03/22    100.000     0.000     2.0917     51.52   0.060577                                                 1.94          
GS FINANCE CORP          40057C5A5 06/30/20 06/29/28    100.000     0.000     1.9400     29.44   0.055471   0.056009   0.056552   0.057101  0.057654     20.07    20.46 
GS FINANCE CORP          40056EAL2 09/28/18 09/28/23    100.000     0.000     3.8299    131.63   0.119211   0.121494   0.123820   0.126191               43.76    33.49 
GS FINANCE CORP          40057LPZ8 04/11/22 04/03/25    100.000     0.000     3.3832                        0.093979   0.095498   0.097113  0.098756     24.57    34.96 
GS FINANCE CORP          40054LAM6 05/31/17 11/30/22    100.000     0.000     2.6502    128.35   0.082875   0.083973                                     27.46          
GS FINANCE CORP          40054LAP9 05/31/17 05/31/24    100.000     0.000     2.9498    143.75   0.093481   0.094859   0.096258   0.097678  0.099119     33.99    35.00 
GS FINANCE CORP          40057LQ95 04/29/22 01/30/25    100.000     0.000     3.5568                        0.098801   0.099690   0.101462  0.103267     24.04    36.75 
GS FINANCE CORP          40054LS21 09/29/17 10/01/24    100.000     0.000     2.9500    132.75   0.092145   0.093504   0.094883   0.096283  0.097703     33.66    34.66 
GS FINANCE CORP          40056XZC3 01/31/20 02/11/30    100.000     0.000     2.6400     51.65   0.076337   0.077345   0.078366   0.079400  0.080449     27.95    28.69 
GS FINANCE CORP          40055QK68 08/06/18 08/04/23    100.000     0.000     3.7554    135.00   0.116611   0.118800   0.121031   0.123304               43.02    26.19 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057LQ87 04/29/22 05/10/29    100.000     0.000     4.3900             0.121943   0.122107   0.124787   0.127526  0.130325     29.68    45.70 
GS FINANCE CORP          40057EM38 11/30/20 05/30/28    100.000     0.000     1.5518     16.93   0.043776   0.044115   0.044458   0.044803  0.045150     15.84    16.09 
GS FINANCE CORP          40056F3Z6 03/28/19 03/30/23    100.000     0.000     3.1250     89.33   0.093819   0.095284   0.096773                          34.31     8.61 
GS FINANCE CORP          40056F3Y9 03/28/19 03/28/24    100.000     0.000     3.3001     94.52   0.099485   0.101127   0.102795   0.104491  0.106215     36.42    37.63 
GS FINANCE CORP          40057FP57 03/31/21 09/29/28    100.000     0.000     2.1210     16.02   0.059539   0.060171   0.060809   0.061454  0.062105     21.66    22.13 
GS FINANCE CORP          40057LQD6 04/29/22 01/30/25    100.000     0.000     3.5568                        0.098801   0.099690   0.101462  0.103267     24.04    36.75 
GS FINANCE CORP          40057FP40 03/31/21 09/29/28    100.000     0.000     2.1210     16.02   0.059539   0.060171   0.060809   0.061454  0.062105     21.66    22.13 
GS FINANCE CORP          40057FP24 03/31/21 04/01/27    100.000     0.000     1.8100     13.67   0.050736   0.051195   0.051659   0.052126  0.052598     18.43    18.77 
GS FINANCE CORP          40057LQC8 04/29/22 05/10/29    100.000     0.000     4.4700             0.124166   0.124335   0.127114   0.129955  0.132860     30.23    46.57 
GS FINANCE CORP          40057FP32 03/31/21 04/01/27    100.000     0.000     1.7900     13.52   0.050168   0.050617   0.051070   0.051528  0.051989     18.22    18.55 
GS FINANCE CORP          40057LQB0 04/29/22 05/10/29    100.000     0.000     4.4700             0.124166   0.124335   0.127114   0.129955  0.132860     30.23    46.57 
GS FINANCE CORP          40057LQA2 04/29/22 07/29/27    100.000     0.000     4.2951                        0.119307   0.120588   0.123178  0.125823     29.07    44.67 
GS FINANCE CORP          40056F3T0 03/28/19 03/30/26    100.000     2.000     3.6081    101.39   0.104404   0.105285   0.106182   0.107095  0.108025     37.91    38.56 
GS FINANCE CORP          40056FUX1 08/02/19 02/03/22    100.000     0.000     2.0917     51.52   0.060577                                                 1.94          
GS FINANCE CORP          40057HE48 05/28/21 05/28/31    100.000    VARIES     2.4396     14.38   0.066221   0.064657   0.063515   0.062705  0.062541     23.47    22.69 
GS FINANCE CORP          40057CFU0 07/31/20 08/02/27    100.000     0.000     1.5699     22.45   0.044301   0.044648   0.044999   0.045352  0.045708     16.11    16.37 
GS FINANCE CORP          40057CFT3 07/31/20 08/02/27    100.000     0.000     1.5699     22.45   0.044301   0.044648   0.044999   0.045352  0.045708     16.11    16.37 
GS FINANCE CORP          40057LQM6 04/13/22 04/11/25    100.000     0.000     3.4028                        0.094522   0.096112   0.097748  0.099411     24.51    35.16 
GS FINANCE CORP          40057CFS5 07/31/20 08/11/27    100.000     0.000     1.5700     22.45   0.044319   0.044667   0.045017   0.045371  0.045727     16.12    16.37 
GS FINANCE CORP          40057CFR7 07/31/20 08/11/27    100.000     0.000     1.5700     22.45   0.044319   0.044667   0.045017   0.045371  0.045727     16.12    16.37 
GS FINANCE CORP          40056XZU3 02/05/20 02/03/23    100.000     0.000     1.8668     36.05   0.053317   0.053815   0.054317                          19.43     1.74 
GS FINANCE CORP          40056YM76 04/03/20 04/05/23    100.000     0.000     2.5099     44.49   0.072388   0.073296   0.074216                          26.38     6.98 
GS FINANCE CORP          40056XZS8 02/05/20 02/03/23    100.000     0.000     1.8668     36.05   0.053317   0.053815   0.054317                          19.43     1.74 
GS FINANCE CORP          40057EM61 11/30/20 12/10/30    100.000     0.000     1.8600     20.32   0.052660   0.053149   0.053644   0.054142  0.054646     19.07    19.42 
GS FINANCE CORP          40057EM46 11/30/20 05/30/28    100.000     0.000     1.5518     16.93   0.043776   0.044115   0.044458   0.044803  0.045150     15.84    16.09 
GS FINANCE CORP          40057LQH7 04/14/22 04/20/26    100.000     0.000     3.7400             0.103889   0.103954   0.105898   0.107878  0.109896     26.85    38.76 
GS FINANCE CORP          40055ALY1 02/28/18 08/28/25    100.000     0.000     3.7368    152.89   0.118162   0.120370   0.122619   0.124910  0.127244     43.48    45.12 
GS FINANCE CORP          40057EM53 11/30/20 12/10/30    100.000     0.000     1.8600     20.32   0.052660   0.053149   0.053644   0.054142  0.054646     19.07    19.42 
GS FINANCE CORP          40054LBL7 05/31/17 05/26/23    100.000     1.250     2.7568    130.46   0.082050   0.082703   0.083364                          29.70    12.09 
GS FINANCE CORP          40056ESL3 02/05/19 02/05/24    100.000     0.000     3.5800    108.63   0.108670   0.110615   0.112595   0.114611  0.116662     40.04    41.49 
GS FINANCE CORP          40057JKP0 09/30/21 10/12/29    100.000     0.000     2.0967      5.30   0.058283   0.058894   0.059511   0.060135  0.060766     21.19    21.64 
GS FINANCE CORP          40057C5X5 07/06/20 01/03/25    100.000     0.000     1.2962     19.39   0.036470   0.036706   0.036944   0.037183  0.037424     13.26    13.43 
GS FINANCE CORP          40056FEL5 05/31/19 06/02/22    100.000     0.000     2.8299     75.39   0.084344                                                12.74          
GS FINANCE CORP          40056F4H5 04/03/19 02/02/23    100.000     0.000     3.1275     88.95   0.093395   0.094856   0.096339                          34.32     2.99 
GS FINANCE CORP          40057LR37 05/04/22 05/05/27    100.000     0.000     4.3200                        0.120014   0.122607   0.125255  0.127961     28.59    44.92 
GS FINANCE CORP          40055QL26 07/31/18 08/11/25    100.000     0.000     4.0600    147.39   0.127390   0.129976   0.132614   0.135306  0.138053     47.06    48.99 
GS FINANCE CORP          40057LQQ7 04/13/22 04/23/29    100.000     0.000     4.0900             0.113611   0.113740   0.116066   0.118440  0.120862     29.50    42.54 
GS FINANCE CORP          40054LBJ2 05/31/17 06/11/24    100.000     0.000     2.9497    143.74   0.093562   0.094942   0.096342   0.097763  0.099205     33.99    35.00 
GS FINANCE CORP          40057H4D9 05/03/21 05/01/28    100.000     0.000     1.9900     13.19   0.055821   0.056376   0.056937   0.057504  0.058076     20.26    20.67 
GS FINANCE CORP          40057LQR5 04/07/22 04/07/37    100.000    VARIES     3.9995                        0.111096   0.109707   0.108290  0.106845     29.21    39.00 
GS FINANCE CORP          40057CG70 07/23/20 07/24/25    100.000     0.000     1.2699     18.38   0.035727   0.035954   0.036182   0.036412  0.036643     12.97    13.14 
GS FINANCE CORP          40056FEG6 05/31/19 06/02/25    100.000     0.000     3.2500     86.97   0.097874   0.099465   0.101081   0.102724  0.104393     35.61    36.78 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40054LSV7 09/13/17 09/12/24    100.000     0.000     2.8499    129.42   0.088644   0.089907   0.091188   0.092488  0.093806     32.42    33.35 
GS FINANCE CORP          40054LSU9 09/29/17 10/01/24    100.000     0.000     2.9500    132.75   0.092145   0.093504   0.094883   0.096283  0.097703     33.66    34.66 
GS FINANCE CORP          40055AMP9 02/26/18 03/05/25    100.000     0.000     3.7000    151.53   0.116959   0.119123   0.121326   0.123571  0.125857     43.00    44.61 
GS FINANCE CORP          40054KPR1 11/25/16 11/26/24    100.000     0.000     3.2499    178.73   0.106075   0.107798   0.109550   0.111330  0.113139     38.62    39.88 
GS FINANCE CORP          40054LBV5 05/31/17 05/31/24    100.000     0.000     2.9498    143.75   0.093481   0.094859   0.096258   0.097678  0.099119     33.99    35.00 
GS FINANCE CORP          40056FF59 05/31/19 06/03/27    100.000     0.000     3.4933     93.72   0.105843   0.107692   0.109573   0.111487  0.113434     38.54    39.90 
GS FINANCE CORP          40055QKX9 07/31/18 05/01/23    100.000     0.000     3.7275    134.70   0.116765   0.118941   0.121158                          42.69    14.54 
GS FINANCE CORP          40055QKY7 07/31/18 08/11/25    100.000     0.000     4.0600    147.39   0.127390   0.129976   0.132614   0.135306  0.138053     47.06    48.99 
GS FINANCE CORP          40057LA92 02/28/22 02/29/24    100.000     0.000     1.7601                        0.048892   0.049325   0.049757  0.050197     14.87    17.94 
GS FINANCE CORP          40054LST2 09/29/17 09/29/22    100.000     0.000     2.5498    113.87   0.078383   0.079383                                     21.19          
GS FINANCE CORP          40055QL75 07/31/18 08/11/25    100.000     0.000     4.0600    147.39   0.127390   0.129976   0.132614   0.135306  0.138053     47.06    48.99 
GS FINANCE CORP          40057JKT2 09/30/21 09/30/31    100.000    VARIES     2.4405      6.17   0.067792   0.067264   0.066729   0.066481  0.066272     24.21    23.94 
GS FINANCE CORP          40056ESM1 02/05/19 02/03/22    100.000     0.000     3.1595     95.38   0.094904                                                 3.04          
GS FINANCE CORP          40054LSS4 09/29/17 09/26/24    100.000     1.500     2.9596    129.52   0.087246   0.087920   0.088605   0.089299  0.090004     31.66    32.16 
GS FINANCE CORP          40055QKW1 07/31/18 05/01/25    100.000     0.000     4.0263    146.14   0.127330   0.129894   0.132509   0.135176  0.137898     46.61    48.51 
GS FINANCE CORP          40055AMX2 02/28/18 03/10/28    100.000     0.000     3.9678    162.99   0.126631   0.129143   0.131705   0.134318  0.136983     46.60    48.47 
GS FINANCE CORP          40057H4Z0 05/28/21 05/31/29    100.000     0.000     2.0800     12.33   0.058386   0.058993   0.059607   0.060227  0.060853     21.17    21.61 
GS FINANCE CORP          40055AMU8 02/28/18 03/10/28    100.000     0.000     3.9678    162.99   0.126631   0.129143   0.131705   0.134318  0.136983     46.60    48.47 
GS FINANCE CORP          40055QLC4 07/31/18 01/29/26    100.000     0.000     4.0947    148.70   0.128435   0.131064   0.133748   0.136486  0.139280     47.52    49.48 
GS FINANCE CORP          40054LTA2 09/29/17 09/30/24    100.000     0.000     2.9501    132.75   0.092137   0.093496   0.094876   0.096275  0.097695     33.66    34.66 
GS FINANCE CORP          40057FQ72 03/10/21 03/10/31    100.000    VARIES     2.5198     20.31   0.069477   0.068952   0.068424   0.067997  0.067943     24.80    24.50 
GS FINANCE CORP          40055AMV6 02/28/18 03/10/28    100.000     0.000     3.9678    162.99   0.126631   0.129143   0.131705   0.134318  0.136983     46.60    48.47 
GS FINANCE CORP          40054LSZ8 09/20/17 09/22/25    100.000     0.000     3.0502    138.38   0.095650   0.097109   0.098590   0.100093  0.101620     34.99    36.06 
GS FINANCE CORP          36259Y735 04/07/21 04/05/28    100.000     0.000     2.1083     15.51   0.059175   0.059799   0.060429   0.061066  0.061710     21.52    21.98 
GS FINANCE CORP          40057LAC5 03/02/22 03/01/28    100.000     0.000     3.0754                        0.085429   0.086735   0.088069  0.089423     25.70    31.79 
GS FINANCE CORP          40056FF83 05/31/19 06/02/26    100.000     0.000     3.3900     90.85   0.102441   0.104178   0.105944   0.107739  0.109566     37.29    38.57 
GS FINANCE CORP          40056FF91 05/31/19 05/31/24    100.000     0.000     3.1099     83.10   0.093315   0.094766   0.096240   0.097736  0.099256     33.95    35.01 
GS FINANCE CORP          36258L742 12/04/19 06/04/25    100.000     0.000     2.4932     52.77   0.072774   0.073681   0.074599   0.075529  0.076471     26.41    27.07 
GS FINANCE CORP          40055ANA1 02/28/18 03/12/25    100.000     0.000     3.6670    149.87   0.115840   0.117964   0.120127   0.122330  0.124572     42.55    44.13 
GS FINANCE CORP          40055QLJ9 07/31/18 08/11/25    100.000     0.000     4.0600    147.39   0.127390   0.129976   0.132614   0.135306  0.138053     47.06    48.99 
GS FINANCE CORP          40054LCA0 05/18/17 05/19/22    100.000     0.000     2.5602    124.71   0.079747                                                11.01          
GS FINANCE CORP          40057LAX9 03/23/22 03/26/29    100.000     0.000     3.4800             0.096666   0.096694   0.098376   0.100088  0.101829     27.04    36.05 
GS FINANCE CORP          40057LAW1 03/23/22 03/25/27    100.000     0.000     3.3200             0.092221   0.092238   0.093769   0.095326  0.096908     25.79    34.34 
GS FINANCE CORP          40057KP72 01/31/22 01/31/30    100.000     0.000     2.8700                        0.079724   0.080868   0.082028  0.083205     26.56    29.67 
GS FINANCE CORP          40054LTR5 09/25/17 09/25/23    100.000     0.000     2.7000    121.26   0.083495   0.084622   0.085765   0.086922               30.48    22.85 
GS FINANCE CORP          40056FFN0 05/31/19 03/03/22    100.000     0.000     2.5943     68.97   0.076385                                                 4.74          
GS FINANCE CORP          40056F5L5 04/30/19 04/30/25    100.000     0.000     3.4500     95.64   0.104388   0.106188   0.108020   0.109883  0.111779     38.13    39.45 
GS FINANCE CORP          40054LCJ1 05/18/17 05/20/24    100.000     0.000     3.0299    149.05   0.096378   0.097838   0.099320   0.100825  0.102352     35.08    36.15 
GS FINANCE CORP          40055ANE3 03/16/18 03/27/25    100.000     0.000     3.8098    153.91   0.120914   0.123217   0.125564   0.127956  0.130394     44.38    46.09 
GS FINANCE CORP          40054KQH2 12/30/16 01/03/25    100.000     0.000     3.3999    183.72   0.109944   0.111813   0.113714   0.115647  0.117613     40.59    41.98 
GS FINANCE CORP          40055ANF0 03/16/18 03/27/25    100.000     0.000     3.8098    153.91   0.120914   0.123217   0.125564   0.127956  0.130394     44.38    46.09 
GS FINANCE CORP          40057LS51 04/27/22 05/07/29    100.000     0.000     4.5200             0.125555   0.125713   0.128554   0.131459  0.134430     30.83    47.12 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40055QLQ3 08/03/18 08/03/23    100.000     0.000     3.7700    135.90   0.117138   0.119347   0.121596   0.123888               43.23    26.19 
GS FINANCE CORP          40057H5T3 05/19/21 05/19/31    100.000    VARIES     2.4694     15.16   0.067041   0.065468   0.064216   0.063364  0.063145     23.73    22.92 
GS FINANCE CORP          40054KR65 12/21/16 12/21/23    100.000     0.000     3.2002    173.08   0.104187   0.105854   0.107548   0.109268               37.84    37.95 
GS FINANCE CORP          40054KQU3 12/30/16 12/31/26    100.000     0.000     3.6499    198.48   0.121496   0.123713   0.125971   0.128270  0.130611     44.14    45.77 
GS FINANCE CORP          40057HG79 06/30/21 06/29/28    100.000     0.000     1.9816      9.96   0.055588   0.056139   0.056695   0.057257  0.057824     20.11    20.51 
GS FINANCE CORP          40056FFW0 06/05/19 12/05/22    100.000     0.000     2.8025     74.22   0.083458   0.084627                                     28.09          
GS FINANCE CORP          40056FFX8 06/05/19 12/05/22    100.000     0.000     2.8025     74.22   0.083458   0.084627                                     28.09          
GS FINANCE CORP          40057HG61 06/30/21 03/30/27    100.000     0.000     1.7249      8.69   0.048122   0.048537   0.048955   0.049377  0.049803     17.47    17.78 
GS FINANCE CORP          40057LSB8 05/04/22 05/02/25    100.000     0.000     3.8015                        0.105596   0.107581   0.109626  0.111709     25.14    39.34 
GS FINANCE CORP          40054KQW9 12/30/16 12/30/22    100.000     0.000     3.0500    163.50   0.098568   0.100071                                     35.66          
GS FINANCE CORP          40054L2W3 03/30/17 09/30/22    100.000     0.000     2.8001    141.32   0.088147   0.089381                                     23.93          
GS FINANCE CORP          40056YNL4 04/03/20 04/04/24    100.000     0.000     2.6801     47.56   0.077485   0.078523   0.079575   0.080642  0.081722     28.26    29.03 
GS FINANCE CORP          40057HG53 06/30/21 03/30/27    100.000     0.000     1.7249      8.69   0.048122   0.048537   0.048955   0.049377  0.049803     17.47    17.78 
GS FINANCE CORP          40056FX75 08/30/19 09/02/25    100.000     0.000     2.4350     58.19   0.071004   0.071869   0.072744   0.073629  0.074526     25.92    26.56 
GS FINANCE CORP          40057C7E5 06/30/20 06/30/27    100.000     0.000     1.8299     27.75   0.052240   0.052718   0.053200   0.053687  0.054178     18.89    19.24 
GS FINANCE CORP          40056FFV2 06/05/19 06/05/24    100.000     0.000     3.0199     80.16   0.090414   0.091779   0.093165   0.094572  0.096000     32.87    33.87 
GS FINANCE CORP          40056FG74 06/05/19 06/03/22    100.000     0.000     2.6543     70.19   0.078743                                                11.97          
GS FINANCE CORP          40056FX91 09/05/19 03/05/25    100.000     0.000     2.3900     56.74   0.069618   0.070450   0.071292   0.072144  0.073006     25.41    26.02 
GS FINANCE CORP          40054KQV1 12/30/16 07/02/24    100.000     0.000     3.3199    179.07   0.106967   0.108743   0.110548   0.112383  0.114249     39.47    40.79 
GS FINANCE CORP          40056FX83 09/05/19 03/03/22    100.000     0.000     1.8401     43.46   0.053015                                                 3.29          
GS FINANCE CORP          40054KQQ2 12/30/16 07/01/24    100.000     0.000     3.4000    183.72   0.111796   0.113697   0.115629   0.117595  0.119594     40.59    41.98 
GS FINANCE CORP          40055ANM5 03/16/18 03/27/25    100.000     0.000     3.8098    153.91   0.120914   0.123217   0.125564   0.127956  0.130394     44.38    46.09 
GS FINANCE CORP          40056EU22 01/29/19 01/27/22    100.000     0.000     3.4126    103.96   0.103144                                                 2.68          
GS FINANCE CORP          40056XKH8 10/28/19 10/22/27    100.000     1.000     2.8087     62.18   0.080876   0.082012   0.082383   0.083540  0.083933     29.42    29.97 
GS FINANCE CORP          40057HX39 07/30/21 07/31/28    100.000     0.000     1.7900      7.51   0.049723   0.050168   0.050617   0.051070  0.051528     18.12    18.44 
GS FINANCE CORP          40056YNK6 03/31/20 10/01/25    100.000     0.000     3.2325     57.85   0.094224   0.095747   0.097294   0.098867  0.100465     34.47    35.59 
GS FINANCE CORP          40057C7B1 06/30/20 07/12/27    100.000     0.000     1.8300     27.76   0.051800   0.052274   0.052753   0.053235  0.053722     18.89    19.24 
GS FINANCE CORP          40054L2S2 03/27/17 03/28/22    100.000     1.000     2.7411    135.53   0.082449                                                 7.17          
GS FINANCE CORP          40057HWP1 07/30/21 07/30/36    100.000    VARIES     2.5273     10.60   0.070203   0.068984   0.067750   0.065846  0.064534     24.68    23.56 
GS FINANCE CORP          40057LSK8 04/26/22 04/24/25    100.000     0.000     3.7917                        0.105326   0.107300   0.109335  0.111407     25.94    39.27 
GS FINANCE CORP          40054LUA0 10/13/17 10/25/24    100.000     0.000     2.9399    130.99   0.091865   0.093215   0.094586   0.095976  0.097387     33.49    34.49 
GS FINANCE CORP          40056FXA8 09/05/19 03/03/23    100.000     0.000     2.2054     52.27   0.064001   0.064707   0.065421                          23.33     4.06 
GS FINANCE CORP          40056YNR1 03/27/20 03/27/25    100.000     0.000     3.8599     69.70   0.113549   0.115740   0.117974   0.120251  0.122571     41.69    43.31 
GS FINANCE CORP          40056YNS9 03/27/20 03/27/23    100.000     0.000     3.5399     63.79   0.103646   0.105481   0.107348                          37.99     9.23 
GS FINANCE CORP          40057LSD4 04/22/22 04/26/27    100.000     0.000     4.2500             0.118056   0.118112   0.120622   0.123185  0.125803     29.57    44.22 
GS FINANCE CORP          40057HG87 06/30/21 06/29/28    100.000     0.000     1.9816      9.96   0.055588   0.056139   0.056695   0.057257  0.057824     20.11    20.51 
GS FINANCE CORP          40054KAE6 04/28/16 01/28/22    100.000     0.000     2.5498    154.68   0.080908                                                 2.18          
GS FINANCE CORP          40057LT50 05/03/22 05/03/27    100.000     0.000     4.3101                        0.119724   0.122304   0.124940  0.127633     28.64    44.81 
GS FINANCE CORP          40057LC25 03/31/22 04/11/29    100.000     0.000     3.8100             0.105832   0.105955   0.107974   0.110031  0.112127     28.87    39.57 
GS FINANCE CORP          40057LSP7 04/28/22 04/24/24    100.000     0.000     2.4919                        0.069220   0.070063   0.070936  0.071820     16.88    25.50 
GS FINANCE CORP          40056F6F7 04/30/19 01/28/22    100.000     0.000     2.6755     73.56   0.078889                                                 2.13          
GS FINANCE CORP          36253M695 09/14/17 09/14/23    100.000     0.000     2.6628    120.41   0.082221   0.083316   0.084425   0.085549               30.03    21.56 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          36253M687 09/14/17 09/15/22    100.000     0.000     2.3683    106.49   0.072286   0.073142                                     18.51          
GS FINANCE CORP          40054LUG7 10/30/17 10/30/24    100.000     0.000     3.0002    132.23   0.093880   0.095289   0.096718   0.098169  0.099641     34.22    35.26 
GS FINANCE CORP          40054KAB2 04/29/16 04/27/23    100.000     1.250     2.8316    167.50   0.085996   0.086722   0.087458                          31.18    10.15 
GS FINANCE CORP          40056F6B6 04/30/19 04/28/22    100.000     0.000     2.9263     80.66   0.087397                                                10.23          
GS FINANCE CORP          40054LUF9 10/30/17 10/30/25    100.000     0.000     3.1001    136.88   0.097388   0.098898   0.100431   0.101988  0.103568     35.52    36.63 
GS FINANCE CORP          40057LBZ3 03/31/22 04/11/29    100.000     0.000     3.8100             0.105832   0.105955   0.107974   0.110031  0.112127     28.87    39.57 
GS FINANCE CORP          40057JN77 10/29/21 10/29/27    100.000     0.000     2.0450      3.52   0.056805   0.057386   0.057973   0.058565  0.059164     20.63    21.05 
GS FINANCE CORP          40057LBY6 03/31/22 03/31/28    100.000     0.000     3.7350                        0.103749   0.105686   0.107660  0.109671     28.29    38.76 
GS FINANCE CORP          40056FXS9 08/30/19 03/04/25    100.000     0.000     2.3825     56.91   0.069409   0.070236   0.071073   0.071920  0.072776     25.33    25.94 
GS FINANCE CORP          40057JN69 10/29/21 10/31/28    100.000     0.000     2.2300      3.84   0.061950   0.062640   0.063339   0.064045  0.064759     22.51    23.02 
GS FINANCE CORP          40054KS23 12/21/16 12/21/23    100.000     0.000     3.2002    173.08   0.104187   0.105854   0.107548   0.109268               37.84    37.95 
GS FINANCE CORP          40057LBX8 03/31/22 01/03/25    100.000     0.000     3.1443                        0.087342   0.088051   0.089435  0.090841     23.80    32.44 
GS FINANCE CORP          40057JN51 10/29/21 10/31/28    100.000     0.000     2.2300      3.84   0.061950   0.062640   0.063339   0.064045  0.064759     22.51    23.02 
GS FINANCE CORP          40057HGN4 06/30/21 07/10/31    100.000     0.000     2.3900     12.02   0.066432   0.067226   0.068030   0.068843  0.069665     24.33    24.92 
GS FINANCE CORP          40057LSZ5 04/26/22 05/07/29    100.000     0.000     4.5200             0.125555   0.125728   0.128570   0.131475  0.134447     30.96    47.13 
GS FINANCE CORP          40057JN44 10/29/21 10/29/27    100.000     0.000     2.0450      3.52   0.056805   0.057386   0.057973   0.058565  0.059164     20.63    21.05 
GS FINANCE CORP          40057LBV2 03/31/22 04/02/26    100.000     0.000     3.5449             0.098471   0.098490   0.100236   0.102012  0.103821     26.85    36.72 
GS FINANCE CORP          40054LUM4 09/29/17 03/31/23    100.000     0.000     2.6512    118.63   0.081832   0.082917   0.084016                          29.85     7.48 
GS FINANCE CORP          36255U232 08/03/18 08/05/25    100.000     0.000     4.0135    145.20   0.125631   0.128152   0.130724   0.133347  0.136023     46.42    48.31 
GS FINANCE CORP          40057LSW2 05/04/22 05/02/24    100.000     0.000     2.4980                        0.069389   0.070246   0.071124  0.072012     16.50    25.55 
GS FINANCE CORP          40056E3F3 10/31/18 10/29/26    100.000     0.000     4.2586    142.94   0.134219   0.137077   0.139995   0.142976  0.146021     49.19    51.31 
GS FINANCE CORP          36253M711 09/14/17 09/14/23    100.000     0.000     2.6628    120.41   0.082221   0.083316   0.084425   0.085549               30.03    21.56 
GS FINANCE CORP          36253M703 09/14/17 09/15/22    100.000     0.000     2.3683    106.49   0.072286   0.073142                                     18.51          
GS FINANCE CORP          40057LST9 05/04/22 05/04/27    100.000     0.000     4.3200                        0.119999   0.122591   0.125239  0.127944     28.59    44.91 
GS FINANCE CORP          40056E3G1 10/31/18 10/31/24    100.000     0.000     4.0300    134.85   0.126178   0.128721   0.131314   0.133960  0.136660     46.20    48.08 
GS FINANCE CORP          40057LSU6 04/21/22 10/23/23    100.000     0.000     1.8152             0.050423   0.050428   0.050886   0.051348               12.64    14.94 
GS FINANCE CORP          36256M569 11/15/18 11/14/23    100.000     0.000     3.9688    130.84   0.124026   0.126487   0.128997   0.131557               45.33    40.84 
GS FINANCE CORP          40054KB62 05/31/16 05/31/23    100.000     0.000     2.8999    174.50   0.094374   0.095742   0.097130                          34.31    14.47 
GS FINANCE CORP          40056F6X8 05/03/19 05/03/24    100.000     0.000     3.2700     90.18   0.098506   0.100117   0.101754   0.103417  0.105108     35.94    37.13 
GS FINANCE CORP          36256M502 11/15/18 07/28/22    100.000     0.000     3.7853    124.52   0.116366   0.118569                                     24.48          
GS FINANCE CORP          40057H6T2 05/28/21 06/10/31    100.000     0.000     2.4200     14.35   0.068090   0.068914   0.069748   0.070592  0.071446     24.70    25.30 
GS FINANCE CORP          40054L3Y8 04/28/17 04/28/25    100.000     0.000     3.3000    165.38   0.106214   0.107967   0.109749   0.111559  0.113400     38.78    40.07 
GS FINANCE CORP          40056EUU0 02/28/19 11/30/23    100.000     0.000     3.5488    105.20   0.108617   0.110545   0.112506   0.114503               39.57    37.37 
GS FINANCE CORP          40057H6S4 05/28/21 06/10/31    100.000     0.000     2.4200     14.35   0.068090   0.068914   0.069748   0.070592  0.071446     24.70    25.30 
GS FINANCE CORP          40056EUV8 02/28/19 12/01/25    100.000     0.000     3.8350    114.07   0.118300   0.120568   0.122880   0.125236  0.127638     43.13    44.80 
GS FINANCE CORP          40056FH65 05/17/19 05/19/22    100.000     0.000     2.9099     78.72   0.086898                                                11.99          
GS FINANCE CORP          40054L3S1 04/28/17 04/30/24    100.000     0.000     3.0498    152.03   0.097094   0.098574   0.100077   0.101603  0.103153     35.40    36.49 
GS FINANCE CORP          40054LV76 10/31/17 11/12/24    100.000     0.000     3.0000    132.23   0.093969   0.095379   0.096810   0.098262  0.099736     34.22    35.26 
GS FINANCE CORP          40057H6R6 05/28/21 05/31/28    100.000     0.000     1.9100     11.32   0.053569   0.054081   0.054597   0.055119  0.055645     19.41    19.78 
GS FINANCE CORP          40056EV47 02/28/19 03/02/27    100.000     0.000     3.9567    117.83   0.121271   0.123671   0.126117   0.128612  0.131157     44.67    46.45 
GS FINANCE CORP          40056F6S9 04/30/19 01/29/26    100.000     0.000     3.5433     98.36   0.106514   0.108401   0.110322   0.112276  0.114265     39.26    40.67 
GS FINANCE CORP          40054L3R3 04/28/17 10/28/22    100.000     0.000     2.7000    133.60   0.084620   0.085762                                     25.34          






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40054LUU6 10/31/17 10/31/24    100.000     0.000     2.9999    132.22   0.093872   0.095280   0.096709   0.098160  0.099632     34.22    35.25 
GS FINANCE CORP          40057H6Q8 05/28/21 05/31/28    100.000     0.000     1.9100     11.32   0.053569   0.054081   0.054597   0.055119  0.055645     19.41    19.78 
GS FINANCE CORP          40056EV54 02/28/19 02/28/25    100.000     0.000     3.7301    110.77   0.113642   0.115762   0.117921   0.120120  0.122360     41.82    43.39 
GS FINANCE CORP          40054LUT9 10/31/17 07/31/23    100.000     0.000     2.7496    120.64   0.084615   0.085778   0.086957   0.088153               31.02    18.39 
GS FINANCE CORP          40054L3U6 04/27/17 04/29/25    100.000     0.000     3.3000    165.48   0.106231   0.107984   0.109766   0.111577  0.113418     38.78    40.07 
GS FINANCE CORP          40057H6P0 05/28/21 12/01/26    100.000     0.000     1.5051      8.92   0.042127   0.042444   0.042763   0.043085  0.043409     15.24    15.47 
GS FINANCE CORP          40054LV92 10/31/17 11/12/24    100.000     0.000     3.0000    132.23   0.093969   0.095379   0.096810   0.098262  0.099736     34.22    35.26 
GS FINANCE CORP          40057JN93 10/29/21 10/31/28    100.000     0.000     2.2300      3.84   0.061950   0.062640   0.063339   0.064045  0.064759     22.51    23.02 
GS FINANCE CORP          40054LV84 10/31/17 11/12/24    100.000     0.000     3.0000    132.23   0.093969   0.095379   0.096810   0.098262  0.099736     34.22    35.26 
GS FINANCE CORP          40056F6R1 04/30/19 01/30/24    100.000     0.000     3.2726     90.57   0.097796   0.099396   0.101023   0.102676  0.104356     35.98    37.17 
GS FINANCE CORP          40057JN85 10/29/21 10/29/26    100.000     0.000     1.8600      3.20   0.051667   0.052147   0.052632   0.053122  0.053616     18.75    19.10 
GS FINANCE CORP          40056FY66 09/05/19 09/02/22    100.000     0.000     2.1097     49.96   0.061106   0.061750                                     14.84          
GS FINANCE CORP          40056F7A7 04/30/19 01/28/22    100.000     0.000     2.6755     73.56   0.078889                                                 2.13          
GS FINANCE CORP          40056XM78 12/02/19 11/30/23    100.000     0.000     2.3118     48.99   0.067228   0.068005   0.068791   0.069586               24.39    22.78 
GS FINANCE CORP          40054KBA3 05/27/16 05/30/24    100.000     0.000     2.8998    174.78   0.094391   0.095759   0.097148   0.098556  0.099985     34.31    35.31 
GS FINANCE CORP          40054L4B7 04/28/17 04/24/23    100.000     1.250     2.8079    135.71   0.083768   0.084457   0.085155                          30.37     9.62 
GS FINANCE CORP          40056FYB5 09/05/19 09/02/22    100.000     0.000     2.1097     49.96   0.061106   0.061750                                     14.84          
GS FINANCE CORP          40056XM52 12/02/19 12/01/22    100.000     0.000     2.1584     45.69   0.062581   0.063257                                     20.77          
GS FINANCE CORP          40056XM37 12/02/19 12/01/22    100.000     0.000     2.1584     45.69   0.062581   0.063257                                     20.77          
GS FINANCE CORP          40056F6Z3 05/03/19 11/03/22    100.000     0.000     3.0450     83.77   0.091223   0.092612                                     27.80          
GS FINANCE CORP          40054LVA9 10/31/17 11/09/27    100.000     0.000     3.3500    148.61   0.106369   0.108151   0.109962   0.111804  0.113677     38.80    40.11 
GS FINANCE CORP          40056F6Y6 05/03/19 11/03/22    100.000     0.000     3.0450     83.77   0.091223   0.092612                                     27.80          
GS FINANCE CORP          40057FS62 03/31/21 03/29/29    100.000     0.000     2.1944     16.58   0.061620   0.062296   0.062979   0.063670  0.064369     22.43    22.92 
GS FINANCE CORP          40055APE1 03/29/18 10/01/25    100.000     0.000     3.9000    156.16   0.124043   0.126462   0.128928   0.131442  0.134005     45.53    47.32 
GS FINANCE CORP          40056EEG9 11/30/18 12/02/26    100.000     0.000     4.4667    146.10   0.141693   0.144857   0.148092   0.151400  0.154781     51.76    54.10 
GS FINANCE CORP          40055APF8 03/29/18 12/31/24    100.000     0.000     3.8275    153.08   0.122582   0.124928   0.127319   0.129756  0.132239     44.56    46.28 
GS FINANCE CORP          40057LCS8 03/31/22 04/02/29    100.000     0.000     3.8100             0.105832   0.105855   0.107871   0.109926  0.112020     28.87    39.57 
GS FINANCE CORP          40057LTU5 05/04/22 11/02/23    100.000     0.000     1.8465                        0.051293   0.051761   0.052239               12.18    15.67 
GS FINANCE CORP          40055QNS7 08/16/18 08/27/25    100.000     0.000     3.9600    141.56   0.123881   0.126333   0.128835   0.131386  0.133987     45.65    47.48 
GS FINANCE CORP          40057H7F1 05/28/21 05/31/28    100.000     0.000     1.9100     11.32   0.053569   0.054081   0.054597   0.055119  0.055645     19.41    19.78 
GS FINANCE CORP          40057LCQ2 03/31/22 04/02/29    100.000     0.000     3.8100             0.105832   0.105855   0.107871   0.109926  0.112020     28.87    39.57 
GS FINANCE CORP          40055APD3 03/29/18 03/30/23    100.000     0.000     3.6000    143.44   0.113311   0.115351   0.117427                          41.53    10.45 
GS FINANCE CORP          40054LEF7 06/30/17 03/30/23    100.000     0.000     2.6506    125.93   0.082350   0.083441   0.084547                          30.04     7.52 
GS FINANCE CORP          40056FYH2 08/30/19 06/02/22    100.000     0.000     1.9802     47.13   0.057505                                                 8.68          
GS FINANCE CORP          40057KQM8 01/24/22 01/22/27    100.000     0.000     2.4107                        0.066965   0.067763   0.068580  0.069406     22.69    24.80 
GS FINANCE CORP          40054L4C5 04/25/17 04/25/24    100.000     0.000     3.0999    154.99   0.098893   0.100425   0.101982   0.103563  0.105168     36.08    37.21 
GS FINANCE CORP          40057L2N0 02/14/22 02/14/29    100.000     0.000     2.9501                        0.081946   0.083155   0.084381  0.085626     26.14    30.49 
GS FINANCE CORP          40056EVD7 02/28/19 03/02/22    100.000     0.000     3.2599     96.28   0.098214                                                 5.99          
GS FINANCE CORP          40055APM3 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 
GS FINANCE CORP          40056FYT6 08/22/19 08/31/22    100.000     0.000     2.2099     53.21   0.064176   0.064877                                     15.47          
GS FINANCE CORP          40054LVS0 10/31/17 10/31/24    100.000     0.000     2.9999    132.22   0.093872   0.095280   0.096709   0.098160  0.099632     34.22    35.25 
GS FINANCE CORP          40055APN1 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40056EEQ7 11/30/18 08/31/23    100.000     0.000     4.0588    132.13   0.125922   0.128449   0.131085   0.133716               46.42    31.81 
GS FINANCE CORP          40056FYU3 08/30/19 09/01/22    100.000     0.000     2.1600     51.48   0.062639   0.063316                                     15.16          
GS FINANCE CORP          40056XME3 11/29/19 05/30/25    100.000     0.000     2.4675     52.57   0.071992   0.072880   0.073779   0.074690  0.075611     26.13    26.78 
GS FINANCE CORP          40054LW67 10/30/17 11/08/22    100.000     0.000     2.6000    113.74   0.080129   0.081171                                     24.79          
GS FINANCE CORP          40055APL5 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 
GS FINANCE CORP          40054LEN0 06/29/17 06/29/23    100.000     0.000     2.6999    128.44   0.084617   0.085759   0.086917                          30.67    15.47 
GS FINANCE CORP          40057JNT9 10/29/21 10/31/29    100.000     0.000     2.3400      4.03   0.065005   0.065766   0.066535   0.067314  0.068101     23.63    24.19 
GS FINANCE CORP          40054L4L5 04/28/17 01/30/24    100.000     0.000     3.0000    149.42   0.094596   0.096015   0.097455   0.098917  0.100400     34.74    35.79 
GS FINANCE CORP          40057HHL7 06/30/21 06/28/29    100.000     0.000     2.1192     10.66   0.059483   0.060114   0.060750   0.061394  0.062045     21.53    21.99 
GS FINANCE CORP          40054LEM2 06/29/17 07/01/25    100.000     0.000     3.0998    148.65   0.098904   0.098904   0.101994   0.101994  0.105180     35.88    37.00 
GS FINANCE CORP          40056YPD0 03/31/20 04/01/27    100.000     0.000     3.3000     59.08   0.096288   0.097876   0.099491   0.101133  0.102802     35.24    36.41 
GS FINANCE CORP          40056EEJ3 11/30/18 12/03/24    100.000     0.000     4.2600    138.97   0.134332   0.137193   0.140115   0.143099  0.146147     49.04    51.15 
GS FINANCE CORP          40057FSG0 03/24/21 03/24/31    100.000    VARIES     2.5493     19.50   0.069591   0.068354   0.066311   0.064873  0.064410     24.51    23.43 
GS FINANCE CORP          40055APG6 04/05/18 04/17/23    100.000     0.000     3.4899    138.15   0.109550   0.111461   0.113406                          40.07    12.02 
GS FINANCE CORP          40054KSN7 01/30/17 01/30/25    100.000     0.000     3.3999    180.42   0.109914   0.111782   0.113682   0.115615  0.117580     40.47    41.86 
GS FINANCE CORP          40055APU5 03/29/18 10/10/25    100.000     0.000     3.9000    156.17   0.124163   0.126584   0.129053   0.131569  0.134135     45.53    47.32 
GS FINANCE CORP          40056E4V7 10/31/18 07/31/23    100.000     0.000     3.8487    128.50   0.118729   0.121014   0.123343   0.125716               43.85    26.21 
GS FINANCE CORP          40054KBW5 05/31/16 05/29/23    100.000     1.250     2.9093    169.69   0.088742   0.089527   0.090325                          32.14    13.37 
GS FINANCE CORP          40055APV3 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 
GS FINANCE CORP          40056E4X3 10/31/18 07/31/25    100.000     0.000     4.1350    138.60   0.128552   0.131210   0.133923   0.136692  0.139518     47.57    49.56 
GS FINANCE CORP          40056E4W5 10/31/18 04/30/26    100.000     0.000     4.2103    141.23   0.132524   0.135314   0.138163   0.141071  0.144041     48.55    50.62 
GS FINANCE CORP          40054KT63 01/31/17 07/29/22    100.000     0.000     2.9200    153.30   0.092406   0.093756                                     19.46          
GS FINANCE CORP          40054LVX9 10/31/17 10/31/22    100.000     0.000     2.6001    113.75   0.080087   0.081128                                     24.13          
GS FINANCE CORP          40056EET1 11/30/18 06/01/26    100.000     0.000     4.4283    144.77   0.140298   0.143404   0.146579   0.149825  0.153142     51.26    53.55 
GS FINANCE CORP          40054KBS4 05/31/16 05/31/24    100.000     0.000     3.0499    184.24   0.100067   0.101593   0.103142   0.104715  0.106312     36.39    37.51 
GS FINANCE CORP          40056EW61 03/05/19 03/04/24    100.000     0.000     3.5562    104.64   0.107874   0.109793   0.111745   0.113732  0.115754     39.63    41.05 
GS FINANCE CORP          40055APR2 03/29/18 04/10/28    100.000     0.000     4.0900    164.30   0.131071   0.133752   0.136487   0.139278  0.142126     48.11    50.09 
GS FINANCE CORP          40054KT55 01/31/17 01/31/24    100.000     0.000     3.2500    171.88   0.104371   0.106067   0.107790   0.109542  0.111322     38.40    39.65 
GS FINANCE CORP          40054KT48 01/31/17 01/29/27    100.000     0.000     3.6999    197.67   0.121197   0.123439   0.125723   0.128049  0.130417     44.72    46.39 
GS FINANCE CORP          36257D808 07/03/19 01/03/24    100.000     0.000     2.6546     67.99   0.077733   0.078764   0.079810   0.080869  0.081943     28.54    29.30 
GS FINANCE CORP          40056FYV1 08/30/19 03/04/27    100.000     0.000     2.5733     61.57   0.075251   0.076219   0.077200   0.078193  0.079199     27.49    28.20 
GS FINANCE CORP          36256M858 02/05/19 02/05/24    100.000     0.000     3.5778    108.56   0.108597   0.110539   0.112517   0.114530  0.116578     40.02    41.46 
GS FINANCE CORP          40056EES3 11/30/18 09/02/25    100.000     0.000     4.3363    141.68   0.135575   0.138514   0.141518   0.144586  0.147721     50.04    52.24 
GS FINANCE CORP          40055APP6 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 
GS FINANCE CORP          40054KBT2 05/31/16 05/29/26    100.000     0.000     3.2989    200.57   0.109693   0.111503   0.113342   0.115211  0.117112     39.93    41.26 
GS FINANCE CORP          40056FYW9 08/30/19 09/02/25    100.000     0.000     2.4350     58.19   0.071004   0.071869   0.072744   0.073629  0.074526     25.92    26.56 
GS FINANCE CORP          40054KTB2 01/27/17 01/29/24    100.000     0.000     3.1998    169.35   0.102551   0.104191   0.105858   0.107552  0.109273     37.72    38.93 
GS FINANCE CORP          40057KAK9 12/31/21 01/03/29    100.000     0.000     2.2100             0.061388   0.061399   0.062078   0.062764  0.063457     22.29    22.72 
GS FINANCE CORP          40057KAJ2 12/31/21 01/03/29    100.000     0.000     2.2100             0.061388   0.061399   0.062078   0.062764  0.063457     22.29    22.72 
GS FINANCE CORP          40054KTD8 01/30/17 01/30/24    100.000     0.000     3.2500    171.88   0.104371   0.106067   0.107790   0.109542  0.111322     38.40    39.65 
GS FINANCE CORP          40054K2A3 02/29/16 02/27/26    100.000     0.000     3.6002    231.56   0.121653   0.123842   0.126072   0.128341  0.130651     44.74    46.36 
GS FINANCE CORP          40056XN77 11/29/19 12/01/27    100.000     0.000     2.7267     58.22   0.079969   0.081059   0.082164   0.083284  0.084420     29.05    29.85 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057HZB9 08/31/21 08/30/29    100.000     0.000     2.0160      6.78   0.056001   0.056560   0.057136   0.057706  0.058294     20.40    20.81 
GS FINANCE CORP          40057KAH6 12/31/21 07/02/26    100.000     0.000     1.8399             0.051109   0.051114   0.051584   0.052059  0.052538     18.54    18.83 
GS FINANCE CORP          40057EQ75 12/29/20 12/28/27    100.000     0.000     1.4339     14.47   0.040401   0.040690   0.040982   0.041276  0.041572     14.60    14.81 
GS FINANCE CORP          40057KRG0 02/03/22 02/05/29    100.000     0.000     2.7600             0.076667   0.076679   0.077737   0.078809  0.079897     25.30    28.49 
GS FINANCE CORP          40057L3F6 03/03/22 03/04/27    100.000     0.000     2.8099                        0.078060   0.079156   0.080269  0.081396     23.39    28.96 
GS FINANCE CORP          40056YQ56 03/31/20 03/30/28    100.000     0.000     3.3672     60.31   0.098336   0.099992   0.101675   0.103387  0.105127     36.00    37.23 
GS FINANCE CORP          40057FSX3 03/24/21 03/24/31    100.000    VARIES     2.5501     19.54   0.069969   0.069090   0.068465   0.067978  0.067909     24.88    24.51 
GS FINANCE CORP          40057FBU7 02/26/21 02/28/28    100.000     0.000     1.6601     14.11   0.046500   0.046886   0.047275   0.047667  0.048063     16.90    17.19 
GS FINANCE CORP          40056EWK0 03/05/19 09/06/22    100.000     0.000     3.3375     97.95   0.100716   0.102396                                     24.98          
GS FINANCE CORP          40055AQE0 03/29/18 03/31/25    100.000     0.000     3.8700    154.88   0.122949   0.125328   0.127753   0.130225  0.132745     45.13    46.89 
GS FINANCE CORP          40057KAQ6 12/31/21 01/12/29    100.000     0.000     2.2100             0.061390   0.061435   0.062114   0.062800  0.063494     22.29    22.72 
GS FINANCE CORP          40056EWJ3 03/05/19 09/06/22    100.000     0.000     3.3375     97.95   0.100716   0.102396                                     24.98          
GS FINANCE CORP          40054K2H8 02/26/16 08/28/23    100.000     0.000     3.2000    204.01   0.105865   0.107559   0.109280   0.111028               38.84    26.21 
GS FINANCE CORP          40057KAP8 12/31/21 01/12/29    100.000     0.000     2.2100             0.061390   0.061435   0.062114   0.062800  0.063494     22.29    22.72 
GS FINANCE CORP          40057KAN3 12/31/21 07/01/27    100.000     0.000     2.0000             0.055558   0.056114   0.056675   0.057242  0.057814     20.16    20.51 
GS FINANCE CORP          40057LUQ2 05/04/22 05/02/24    100.000     0.000     2.4980                        0.069389   0.070246   0.071124  0.072012     16.50    25.55 
GS FINANCE CORP          40057KAM5 12/31/21 01/03/29    100.000     0.000     2.2100             0.061388   0.061399   0.062078   0.062764  0.063457     22.29    22.72 
GS FINANCE CORP          40055AQA8 03/28/18 03/27/25    100.000     0.000     3.8492    154.12   0.122172   0.124524   0.126920   0.129363  0.131853     44.85    46.59 
GS FINANCE CORP          40057LUP4 05/04/22 05/02/25    100.000     0.000     3.8015                        0.105596   0.107581   0.109626  0.111709     25.14    39.34 
GS FINANCE CORP          40057KAL7 12/31/21 07/01/27    100.000     0.000     2.0000             0.055558   0.056114   0.056675   0.057242  0.057814     20.16    20.51 
GS FINANCE CORP          40055AQB6 03/28/18 03/26/26    100.000     0.000     3.9333    157.71   0.125190   0.127652   0.130163   0.132722  0.135333     45.98    47.81 
GS FINANCE CORP          40054LWV2 10/25/17 04/25/23    100.000     0.000     2.6502    116.45   0.081791   0.082875   0.083973                          29.78     9.57 
GS FINANCE CORP          40054KD29 06/29/16 06/27/24    100.000     0.000     2.7999    165.42   0.090614   0.091882   0.093168   0.094473  0.095795     32.86    33.79 
GS FINANCE CORP          40057HJ50 06/30/21 09/30/27    100.000     0.000     1.8350      9.25   0.051207   0.051677   0.052151   0.052629  0.053112     18.60    18.95 
GS FINANCE CORP          40055AQP5 03/29/18 04/10/28    100.000     0.000     4.0900    164.30   0.131071   0.133752   0.136487   0.139278  0.142126     48.11    50.09 
GS FINANCE CORP          40057HJ43 06/30/21 06/29/28    100.000     0.000     1.9816      9.96   0.055588   0.056139   0.056695   0.057257  0.057824     20.11    20.51 
GS FINANCE CORP          40055AQM2 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 
GS FINANCE CORP          40056XNH5 11/29/19 12/10/26    100.000     0.000     2.6400     56.33   0.077344   0.078365   0.079399   0.080447  0.081509     28.07    28.82 
GS FINANCE CORP          40056XNE2 12/02/19 12/04/24    100.000     0.000     2.4200     51.33   0.070546   0.071400   0.072264   0.073138  0.074023     25.60    26.22 
GS FINANCE CORP          40054LFP4 06/30/17 06/26/23    100.000     1.250     2.7083    125.61   0.080419   0.081038   0.081665                          29.07    14.29 
GS FINANCE CORP          40055AQK6 03/29/18 04/09/25    100.000     0.000     3.8700    154.89   0.123066   0.125447   0.127874   0.130349  0.132871     45.13    46.89 
GS FINANCE CORP          40056FZS7 08/30/19 09/04/24    100.000     0.000     2.3300     55.62   0.067808   0.068598   0.069397   0.070205  0.071023     24.74    25.32 
GS FINANCE CORP          40054KTP1 01/31/17 01/26/23    100.000     1.250     3.0595    156.79   0.092326   0.093207   0.094102                          33.67     2.35 
GS FINANCE CORP          40057L3V1 03/03/22 03/05/30    100.000     0.000     3.1233             0.086759   0.086774   0.088129   0.089506  0.090904     26.02    32.30 
GS FINANCE CORP          40054KD94 06/30/16 09/30/22    100.000     0.000     2.4488    143.36   0.077294   0.078241                                     20.96          
GS FINANCE CORP          40055QPC0 08/31/18 09/03/24    100.000     0.000     3.8250    134.79   0.119079   0.121357   0.123678   0.126043  0.128453     43.82    45.51 
GS FINANCE CORP          40056EFX1 12/05/18 12/05/23    100.000     0.000     4.1700    135.21   0.131100   0.133834   0.136624   0.139473               47.83    46.15 
GS FINANCE CORP          40057FD43 01/29/21 01/29/36    100.000    VARIES     2.3895     21.90   0.065508   0.064631   0.063057   0.061691  0.060600     23.05    22.08 
GS FINANCE CORP          40057LEB3 03/31/22 12/31/26    100.000     0.000     3.6314             0.100871   0.101787   0.103635   0.105516  0.107432     27.50    37.65 
GS FINANCE CORP          40055QPB2 08/31/18 09/02/26    100.000     0.000     4.0567    143.42   0.127142   0.129721   0.132352   0.135037  0.137776     46.86    48.78 
GS FINANCE CORP          40057LEA5 03/31/22 10/03/28    100.000     0.000     3.7725             0.104792   0.104825   0.106802   0.108817  0.110870     28.58    39.17 
GS FINANCE CORP          40057FU28 04/09/21 04/09/31    100.000    VARIES     2.4795     17.92   0.067318   0.065742   0.064240   0.063310  0.063282     23.70    22.88 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40055AR25 03/14/18 03/25/25    100.000     0.000     3.7899    153.29   0.120199   0.122477   0.124798   0.127163  0.129572     44.12    45.81 
GS FINANCE CORP          40054KD86 06/24/16 06/26/23    100.000     0.000     2.6499    156.39   0.085087   0.086214   0.087357                          30.85    15.29 
GS FINANCE CORP          40056XNL6 11/29/19 12/10/26    100.000     0.000     2.6400     56.33   0.077344   0.078365   0.079399   0.080447  0.081509     28.07    28.82 
GS FINANCE CORP          40057FUA0 03/31/21 03/31/28    100.000    VARIES     2.1198     15.93   0.058624   0.058362   0.058184   0.058023  0.058102     21.02    20.91 
GS FINANCE CORP          40054KDE3 06/30/16 07/02/24    100.000     0.000     2.7499    162.17   0.087576   0.088781   0.090001   0.091239  0.092493     32.18    33.07 
GS FINANCE CORP          40056EXC7 02/21/19 02/18/22    100.000     0.000     3.2181     95.67   0.096793                                                 4.55          
GS FINANCE CORP          40056EGA0 11/30/18 11/30/28    100.000     0.000     4.6200    151.42   0.147181   0.150581   0.154059   0.157618  0.161259     53.81    56.32 
GS FINANCE CORP          40057F2Y9 01/29/21 02/10/31    100.000     0.000     1.8800     17.42   0.052744   0.053240   0.053740   0.054246  0.054755     19.22    19.58 
GS FINANCE CORP          36264H107 03/16/22 03/14/25    100.000     0.000     3.0228                        0.083967   0.085222   0.086510  0.087818     24.06    31.19 
GS FINANCE CORP          40054LGG3 06/30/17 06/30/25    100.000     0.000     3.0999    148.56   0.098891   0.100423   0.101980   0.103561  0.105166     35.88    37.00 
GS FINANCE CORP          36264H131 03/16/22 03/16/27    100.000     0.000     3.4238                        0.095106   0.096735   0.098391  0.100075     27.28    35.47 
GS FINANCE CORP          36264H123 03/16/22 03/14/25    100.000     0.000     3.0228                        0.083967   0.085222   0.086510  0.087818     24.06    31.19 
GS FINANCE CORP          40057ER90 12/29/20 01/08/31    100.000     0.000     1.9000     19.20   0.053305   0.053811   0.054322   0.054838  0.055359     19.46    19.83 
GS FINANCE CORP          40057F2X1 01/29/21 02/10/31    100.000     0.000     1.8800     17.42   0.052744   0.053240   0.053740   0.054246  0.054755     19.22    19.58 
GS FINANCE CORP          40054KDA1 06/03/16 06/05/23    100.000     0.000     3.0002    180.71   0.098187   0.099660   0.101155                          35.69    15.58 
GS FINANCE CORP          40056XNS1 11/22/19 11/23/29    100.000     0.000     2.9800     64.37   0.087829   0.089137   0.090466   0.091814  0.093182     31.95    32.91 
GS FINANCE CORP          40055AQZ3 03/14/18 03/25/25    100.000     0.000     3.7899    153.29   0.120199   0.122477   0.124798   0.127163  0.129572     44.12    45.81 
GS FINANCE CORP          36264H149 03/16/22 03/16/27    100.000     0.000     3.4238                        0.095106   0.096735   0.098391  0.100075     27.28    35.47 
GS FINANCE CORP          40056XNT9 11/13/19 11/10/22    100.000     0.000     2.2750     49.46   0.066107   0.066859                                     20.56          
GS FINANCE CORP          40054KUL8 01/30/17 07/30/24    100.000     0.000     3.3302    176.45   0.107330   0.109117   0.110934   0.112781  0.114659     39.50    40.83 
GS FINANCE CORP          36260W405 04/20/21 04/20/26    100.000     0.000     0.8823      6.16   0.024616   0.024724   0.024833   0.024943  0.025053      8.90     8.98 
GS FINANCE CORP          40054KDJ2 06/30/16 06/28/23    100.000     1.250     2.6041    148.34   0.078076   0.078640   0.079212                          28.21    14.02 
GS FINANCE CORP          40054LXN9 10/31/17 10/31/24    100.000     0.000     2.9999    132.22   0.093872   0.095280   0.096709   0.098160  0.099632     34.22    35.25 
GS FINANCE CORP          40054LXR0 10/31/17 11/10/27    100.000     0.000     3.3499    148.61   0.106376   0.108158   0.109970   0.111811  0.113684     38.80    40.11 
GS FINANCE CORP          40057HJK7 06/16/21 06/16/31    100.000    VARIES     2.3104     12.51   0.063554   0.062923   0.062286   0.061641  0.061724     22.75    22.30 
GS FINANCE CORP          40054KDM5 06/30/16 07/12/23    100.000     0.000     2.6003    152.78   0.082261   0.083331   0.084414   0.085512               30.17    16.32 
GS FINANCE CORP          40054KDL7 06/30/16 09/30/22    100.000     0.000     2.4488    143.36   0.077294   0.078241                                     20.96          
GS FINANCE CORP          36260W421 05/06/21 05/04/28    100.000     0.000     1.9831     12.98   0.055625   0.056177   0.056734   0.057296  0.057864     20.19    20.59 
GS FINANCE CORP          40056EGG7 11/29/18 06/01/22    100.000     0.000     3.8525    125.13   0.120020                                                18.00          
GS FINANCE CORP          40057ERB5 12/29/20 06/28/28    100.000     0.000     1.5125     15.27   0.042651   0.042973   0.043298   0.043626  0.043956     15.41    15.65 
GS FINANCE CORP          40057KC27 12/31/21 07/05/29    100.000     0.000     2.3116             0.064212   0.064233   0.064976   0.065727  0.066486     23.32    23.79 
GS FINANCE CORP          40055ARE9 04/02/18 03/31/23    100.000     0.000     3.5367    140.43   0.111045   0.113008   0.115007                          40.69    10.24 
GS FINANCE CORP          40057HJH4 06/23/21 12/28/26    100.000     0.000     1.6224      8.48   0.045444   0.045813   0.046184   0.046559  0.046937     16.43    16.70 
GS FINANCE CORP          40054KDF0 06/30/16 07/02/26    100.000     0.000     3.0000    178.05   0.096728   0.098179   0.099651   0.101146  0.102663     35.61    36.68 
GS FINANCE CORP          40055AAD9 01/03/18 01/03/23    100.000     0.000     2.6999    113.08   0.082379   0.083491   0.084618                          30.26     0.17 
GS FINANCE CORP          40057ERA7 12/29/20 06/28/28    100.000     0.000     1.5125     15.27   0.042651   0.042973   0.043298   0.043626  0.043956     15.41    15.65 
GS FINANCE CORP          40057HJG6 06/23/21 06/26/28    100.000     0.000     1.9299     10.08   0.054136   0.054658   0.055186   0.055718  0.056256     19.59    19.97 
GS FINANCE CORP          40057JPN0 10/29/21 11/09/28    100.000     0.000     2.2300      3.84   0.061984   0.062675   0.063374   0.064080  0.064795     22.51    23.02 
GS FINANCE CORP          40057CKY6 09/03/20 09/06/24    100.000     0.000     0.9900     13.20   0.027776   0.027914   0.028052   0.028191  0.028330     10.06    10.16 
GS FINANCE CORP          40057LFA4 03/31/22 04/11/29    100.000     0.000     3.8100             0.105832   0.105955   0.107974   0.110031  0.112127     28.87    39.57 
GS FINANCE CORP          36257W178 08/05/19 08/05/24    100.000     0.000     2.7442     67.78   0.080499   0.081603   0.082723   0.083858  0.085008     29.50    30.32 
GS FINANCE CORP          40055ARR0 03/21/18 03/20/25    100.000     0.000     3.7991    152.83   0.120377   0.122663   0.124993   0.127368  0.129787     44.21    45.91 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40054KDT0 06/09/16 06/09/23    100.000     0.000     2.9998    180.10   0.098155   0.099628   0.101122                          35.67    15.98 
GS FINANCE CORP          40056FK46 06/17/19 06/26/26    100.000     0.000     3.2600     85.58   0.098261   0.099862   0.101490   0.103144  0.104826     35.68    36.85 
GS FINANCE CORP          40054LH31 07/31/17 05/01/23    100.000     0.000     2.6501    123.44   0.082337   0.083428   0.084534                          29.97    10.14 
GS FINANCE CORP          40054LH23 07/31/17 07/31/24    100.000     0.000     2.9499    138.18   0.092126   0.093485   0.094864   0.096263  0.097683     33.82    34.83 
GS FINANCE CORP          40057L4Z1 03/01/22 02/28/25    100.000     0.000     2.5668                        0.071301   0.072200   0.073127  0.074066     21.50    26.39 
GS FINANCE CORP          40057JQ82 10/07/21 10/07/27    100.000     0.000     1.8000      4.20   0.050000   0.050450   0.050904   0.051362  0.051825     18.16    18.49 
GS FINANCE CORP          40057JQ74 10/07/21 10/10/28    100.000     0.000     2.0200      4.71   0.056120   0.056687   0.057259   0.057837  0.058422     20.40    20.81 
GS FINANCE CORP          40057EAE7 05/29/20 06/01/27    100.000     0.000     2.2400     36.04   0.064345   0.065066   0.065795   0.066531  0.067277     23.34    23.86 
GS FINANCE CORP          40054KUQ7 02/01/17 06/02/22    100.000     0.000     2.8998    152.10   0.092585                                                13.98          
GS FINANCE CORP          40054LY57 11/09/17 05/11/23    100.000     0.000     2.5499    110.74   0.078398   0.079397   0.080410                          28.50    10.45 
GS FINANCE CORP          40054LXT6 10/31/17 11/12/24    100.000     0.000     3.0000    132.23   0.093969   0.095379   0.096810   0.098262  0.099736     34.22    35.26 
GS FINANCE CORP          40054KV29 02/27/17 08/26/24    100.000     0.000     3.2501    169.07   0.104365   0.106061   0.107785   0.109536  0.111316     38.30    39.56 
GS FINANCE CORP          40055ARW9 03/29/18 04/10/28    100.000     0.000     4.0900    164.30   0.131071   0.133752   0.136487   0.139278  0.142126     48.11    50.09 
GS FINANCE CORP          40056YS39 03/31/20 04/01/27    100.000     0.000     3.3000     59.08   0.096288   0.097876   0.099491   0.101133  0.102802     35.24    36.41 
GS FINANCE CORP          40057KCA9 12/10/21 12/10/26    100.000     0.000     1.9700      1.15   0.054721   0.055260   0.055804   0.056354  0.056909     19.82    20.21 
GS FINANCE CORP          40055ARV1 03/21/18 03/20/25    100.000     0.000     3.7991    152.83   0.120377   0.122663   0.124993   0.127368  0.129787     44.21    45.91 
GS FINANCE CORP          40057FE42 02/03/21 02/03/28    100.000     0.000     1.4700     13.44   0.041132   0.041434   0.041739   0.042046  0.042355     14.95    15.17 
GS FINANCE CORP          40054KDV5 06/17/16 06/15/23    100.000     2.000     2.6630    150.05   0.076843   0.077126   0.077413                          27.72    12.70 
GS FINANCE CORP          40056E6W3 11/05/18 11/03/23    100.000     0.000     3.9463    131.29   0.123229   0.125661   0.128140   0.130669               45.08    39.15 
GS FINANCE CORP          40055ART6 03/21/18 03/21/24    100.000     0.000     3.6850    147.96   0.116315   0.118459   0.120641   0.122864  0.125128     42.69    44.28 
GS FINANCE CORP          40054LHH0 07/28/17 07/28/23    100.000     0.000     2.7502    128.49   0.085213   0.086385   0.087573   0.088777               31.25    18.34 
GS FINANCE CORP          40054LHJ6 07/28/17 07/30/25    100.000     0.000     3.0997    145.82   0.097391   0.098900   0.100433   0.101990  0.103570     35.79    36.91 
GS FINANCE CORP          40057CM81 08/31/20 08/31/26    100.000     0.000     1.3750     18.48   0.038720   0.038984   0.039255   0.039522  0.039796     14.05    14.25 
GS FINANCE CORP          40057CM73 08/31/20 08/31/26    100.000     0.000     1.3750     18.48   0.038720   0.038984   0.039255   0.039522  0.039796     14.05    14.25 
GS FINANCE CORP          40054KVB9 02/27/17 02/27/25    100.000     0.000     3.3001    171.87   0.106218   0.107971   0.109752   0.111563  0.113404     38.99    40.29 
GS FINANCE CORP          40054LYD0 11/15/17 11/25/24    100.000     0.000     2.9499    128.51   0.092199   0.093559   0.094939   0.096339  0.097760     33.54    34.53 
GS FINANCE CORP          40056FKE4 07/03/19 07/03/24    100.000     0.000     2.7200     69.71   0.079749   0.080834   0.081933   0.083047  0.084177     29.29    30.10 
GS FINANCE CORP          40056FKB0 06/28/19 06/28/24    100.000     0.000     2.6900     69.32   0.079885   0.080959   0.082048   0.083151  0.084270     28.96    29.74 
GS FINANCE CORP          40054KVC7 02/27/17 02/27/24    100.000     0.000     3.1501    163.51   0.100718   0.102305   0.103916   0.105553  0.107215     36.94    38.11 
GS FINANCE CORP          40056FKC8 06/28/19 06/30/26    100.000     0.000     2.9700     76.75   0.088824   0.090143   0.091482   0.092840  0.094219     32.22    33.18 
GS FINANCE CORP          40055QR95 08/31/18 03/04/26    100.000     0.000     4.0083    141.62   0.125475   0.127990   0.130555   0.133172  0.135841     46.22    48.09 
GS FINANCE CORP          40057JR73 10/21/21 10/21/36    100.000    VARIES     2.8389      5.52   0.078858   0.077218   0.075554   0.073572  0.073176     27.86    26.68 
GS FINANCE CORP          40057LFX4 04/05/22 04/05/27    100.000     0.000     3.4801                        0.096669   0.098351   0.100062  0.101803     25.86    36.01 
GS FINANCE CORP          40057LG96 03/30/22 03/30/27    100.000     0.000     3.6901                        0.102502   0.104393   0.106319  0.108280     27.95    38.28 
GS FINANCE CORP          40055QR79 08/31/18 06/02/23    100.000     0.000     3.6500    128.32   0.114063   0.116145   0.118264                          41.56    17.86 
GS FINANCE CORP          40055QA69 05/24/18 08/26/25    100.000     0.000     4.1042    157.73   0.130132   0.132802   0.135527   0.138309  0.141147     48.00    49.99 
GS FINANCE CORP          40055QR87 08/31/18 06/02/25    100.000     0.000     3.8963    137.47   0.122724   0.125115   0.127552   0.130037  0.132570     44.75    46.51 
GS FINANCE CORP          40055ABF3 12/19/17 06/19/25    100.000     0.000     3.1000    132.11   0.097386   0.098895   0.100428   0.101985  0.103565     35.37    36.47 
GS FINANCE CORP          40057HKH2 07/06/21 07/06/28    100.000     0.000     1.9099      9.28   0.053054   0.053560   0.054072   0.054588  0.055110     19.37    19.74 
GS FINANCE CORP          40056FKY0 06/28/19 07/09/26    100.000     0.000     2.9701     76.77   0.087592   0.088893   0.090213   0.091552  0.092912     32.22    33.18 
GS FINANCE CORP          40057FW42 04/30/21 05/12/31    100.000     0.000     2.4800     16.66   0.069800   0.070665   0.071541   0.072428  0.073327     25.37    26.00 
GS FINANCE CORP          40057L6B2 03/02/22 03/02/27    100.000     0.000     2.9701                        0.082502   0.083727   0.084970  0.086232     24.81    30.66 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40054KW77 02/28/17 02/26/23    100.000     1.250     2.9063    146.00   0.085207   0.087376   0.086707                          31.69     4.86 
GS FINANCE CORP          40054KF50 07/29/16 08/09/23    100.000     0.000     2.5301    146.08   0.079750   0.080759   0.081781   0.082815               29.18    18.01 
GS FINANCE CORP          40056EYX0 03/29/19 12/29/23    100.000     0.000     3.2563     93.12   0.098857   0.100466   0.102102   0.103764               35.88    36.85 
GS FINANCE CORP          40054LZ98 11/30/17 12/03/24    100.000     0.000     2.9998    129.40   0.093892   0.095301   0.096730   0.098181  0.099653     34.13    35.17 
GS FINANCE CORP          40054KF84 07/29/16 07/31/23    100.000     0.000     2.6502    153.55   0.083987   0.085100   0.086228   0.087371               30.77    18.23 
GS FINANCE CORP          40056FL94 07/03/19 01/03/23    100.000     0.000     2.5175     64.39   0.073518   0.074444   0.075381                          26.96     0.15 
GS FINANCE CORP          40057CMG3 08/31/20 09/10/30    100.000     0.000     1.9400     26.15   0.054970   0.055503   0.056042   0.056585  0.057134     20.00    20.39 
GS FINANCE CORP          40056FL60 06/28/19 12/31/24    100.000     0.000     2.7600     71.18   0.082118   0.083251   0.084400   0.085565  0.086746     29.77    30.60 
GS FINANCE CORP          40054KVS2 02/28/17 02/28/24    100.000     0.000     3.0999    160.63   0.098893   0.100425   0.101982   0.103563  0.105168     36.26    37.39 
GS FINANCE CORP          40054LZ72 11/30/17 12/03/24    100.000     0.000     2.9998    129.40   0.093892   0.095301   0.096730   0.098181  0.099653     34.13    35.17 
GS FINANCE CORP          40054KF27 07/29/16 05/01/25    100.000     0.000     2.7700    160.92   0.088916   0.090147   0.091396   0.092662  0.093945     32.38    33.28 
GS FINANCE CORP          40056EYS1 03/29/19 03/31/25    100.000     0.000     3.4250     98.14   0.103578   0.105352   0.107156   0.108991  0.110858     37.93    39.24 
GS FINANCE CORP          40057JA89 09/03/21 09/05/31    100.000     0.000     2.2400      7.34   0.062230   0.062927   0.063632   0.064344  0.065065     22.69    23.20 
GS FINANCE CORP          40056EYT9 03/29/19 03/31/22    100.000     0.000     2.9501     84.07   0.088178                                                 7.85          
GS FINANCE CORP          40054KVT0 02/28/17 08/26/22    100.000     0.000     2.6997    138.50   0.084585   0.085727                                     20.08          
GS FINANCE CORP          40054LZ80 11/30/17 12/03/24    100.000     0.000     2.9998    129.40   0.093892   0.095301   0.096730   0.098181  0.099653     34.13    35.17 
GS FINANCE CORP          40054KF35 07/29/16 07/30/26    100.000     0.000     2.9298    170.84   0.094130   0.095509   0.096908   0.098328  0.099769     34.55    35.57 
GS FINANCE CORP          40057FEZ3 02/26/21 02/28/28    100.000     0.000     1.6601     14.11   0.046500   0.046886   0.047275   0.047667  0.048063     16.90    17.19 
GS FINANCE CORP          40057L6J5 02/24/22 03/06/29    100.000     0.000     3.1600             0.087778   0.087870   0.089259   0.090669  0.092102     27.13    32.71 
GS FINANCE CORP          40054LZC1 11/30/17 12/03/24    100.000     0.000     2.9998    129.40   0.093892   0.095301   0.096730   0.098181  0.099653     34.13    35.17 
GS FINANCE CORP          40054LZB3 11/30/17 08/31/23    100.000     0.000     2.7995    120.35   0.086312   0.087507   0.088745   0.089974               31.58    21.43 
GS FINANCE CORP          40056EZB7 03/29/19 12/31/25    100.000     0.000     3.5625    102.24   0.109065   0.111008   0.112985   0.114997  0.117046     39.62    41.04 
GS FINANCE CORP          40056EZA9 03/29/19 04/01/27    100.000     0.000     3.6700    105.45   0.111672   0.113721   0.115808   0.117933  0.120097     40.94    42.46 
GS FINANCE CORP          40057JAE6 08/31/21 09/12/28    100.000     0.000     1.9000      6.39   0.052813   0.053314   0.053821   0.054332  0.054848     19.21    19.58 
GS FINANCE CORP          40056FLC7 07/03/19 01/03/23    100.000     0.000     2.5175     64.39   0.073518   0.074444   0.075381                          26.96     0.15 
GS FINANCE CORP          40054LZE7 11/30/17 12/03/25    100.000     0.000     3.1001    133.96   0.097413   0.098923   0.100457   0.102014  0.103595     35.43    36.53 
GS FINANCE CORP          40057FW83 04/30/21 05/02/28    100.000     0.000     2.0200     13.56   0.056685   0.057258   0.057836   0.058420  0.059010     20.58    21.00 
GS FINANCE CORP          40055AC70 01/31/18 02/11/25    100.000     0.000     3.4199    142.18   0.107078   0.108909   0.110772   0.112666  0.114592     39.39    40.75 
GS FINANCE CORP          40057FF74 02/12/21 02/12/31    100.000    VARIES     1.9200     16.95   0.052913   0.052487   0.052473   0.052487  0.052560     18.91    18.90 
GS FINANCE CORP          40054KEY8 07/29/16 05/01/23    100.000     0.000     2.4799    143.02   0.078416   0.079388   0.080372                          28.52     9.64 
GS FINANCE CORP          40057FW75 04/30/21 05/02/28    100.000     0.000     2.0200     13.56   0.056685   0.057258   0.057836   0.058420  0.059010     20.58    21.00 
GS FINANCE CORP          40055AC88 01/31/18 01/30/25    100.000     0.000     3.4101    141.73   0.106624   0.108442   0.110291   0.112171  0.114084     39.27    40.62 
GS FINANCE CORP          40057FF66 02/26/21 02/28/28    100.000     0.000     1.6601     14.11   0.046500   0.046886   0.047275   0.047667  0.048063     16.90    17.19 
GS FINANCE CORP          40057FW67 04/30/21 10/30/26    100.000     0.000     1.6375     10.98   0.045858   0.046233   0.046612   0.046993  0.047378     16.62    16.90 
GS FINANCE CORP          40055QAB8 06/04/18 06/13/25    100.000     0.000     3.9400    149.71   0.125582   0.128056   0.130579   0.133151  0.135774     45.74    47.56 
GS FINANCE CORP          40055AC54 01/31/18 01/30/25    100.000     0.000     3.4101    141.73   0.106624   0.108442   0.110291   0.112171  0.114084     39.27    40.62 
GS FINANCE CORP          40057FF58 02/26/21 08/28/28    100.000     0.000     1.7417     14.81   0.048807   0.049232   0.049661   0.050093  0.050529     17.75    18.06 
GS FINANCE CORP          40057FW59 04/30/21 10/30/26    100.000     0.000     1.6375     10.98   0.045858   0.046233   0.046612   0.046993  0.047378     16.62    16.90 
GS FINANCE CORP          40057FF41 02/26/21 03/10/31    100.000     0.000     2.1500     18.30   0.060416   0.061065   0.061722   0.062385  0.063056     22.01    22.49 
GS FINANCE CORP          40055AC62 01/31/18 02/11/25    100.000     0.000     3.4199    142.18   0.107078   0.108909   0.110772   0.112666  0.114592     39.39    40.75 
GS FINANCE CORP          40055QRR5 08/31/18 09/12/25    100.000     0.000     3.9600    139.83   0.123896   0.126349   0.128851   0.131402  0.134004     45.58    47.41 
GS FINANCE CORP          40057JRM0 10/27/21 04/29/27    100.000     0.000     1.9850      3.53   0.055145   0.055692   0.056245   0.056803  0.057367     20.02    20.42 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057JRL2 10/27/21 10/30/28    100.000     0.000     2.2700      4.04   0.063066   0.063782   0.064506   0.065238  0.065979     22.92    23.44 
GS FINANCE CORP          40054KFB7 07/28/16 07/30/24    100.000     0.000     2.6502    153.55   0.083987   0.085100   0.086228   0.087370  0.088528     30.77    31.59 
GS FINANCE CORP          40056FLD5 07/03/19 07/15/24    100.000     0.000     2.7200     69.73   0.079823   0.080908   0.082009   0.083124  0.084254     29.29    30.10 
GS FINANCE CORP          40056FM44 06/28/19 03/30/22    100.000     0.000     2.3598     60.65   0.069115                                                 6.15          
GS FINANCE CORP          40054LJ39 07/31/17 08/09/24    100.000     0.000     2.9498    138.18   0.092188   0.093547   0.094927   0.096327  0.097748     33.82    34.83 
GS FINANCE CORP          40057E2G1 04/30/20 04/30/27    100.000     0.000     2.4600     41.68   0.070887   0.071759   0.072641   0.073535  0.074439     25.78    26.42 
GS FINANCE CORP          40056YCH5 01/24/20 01/25/30    100.000     0.000     2.7100     53.51   0.078385   0.079448   0.080524   0.081615  0.082721     28.74    29.53 
GS FINANCE CORP          40055QRZ7 08/31/18 09/12/25    100.000     0.000     3.9600    139.83   0.123896   0.126349   0.128851   0.131402  0.134004     45.58    47.41 
GS FINANCE CORP          40054LZS6 11/30/17 12/12/24    100.000     0.000     2.9999    129.40   0.093965   0.095375   0.096805   0.098257  0.099731     34.14    35.17 
GS FINANCE CORP          40055ACL9 01/31/18 01/30/25    100.000     0.000     3.3896    140.83   0.105911   0.107706   0.109531   0.111388  0.113276     39.00    40.33 
GS FINANCE CORP          40057FWL4 04/30/21 05/02/28    100.000     0.000     2.0200     13.56   0.056685   0.057258   0.057836   0.058420  0.059010     20.58    21.00 
GS FINANCE CORP          40057JS80 10/20/21 10/20/31    100.000    VARIES     2.6096      5.15   0.072489   0.071985   0.071474   0.070786  0.070282     25.93    25.52 
GS FINANCE CORP          40055QAV4 06/15/18 06/26/25    100.000     0.000     4.0700    153.53   0.130339   0.132992   0.135698   0.138460  0.141277     47.43    49.38 
GS FINANCE CORP          40055ATK3 04/17/18 04/28/25    100.000     0.000     3.7800    148.91   0.119844   0.122109   0.124417   0.126768  0.129164     43.84    45.51 
GS FINANCE CORP          40054LJ54 07/31/17 08/09/27    100.000     0.000     3.3497    158.17   0.106361   0.108142   0.109954   0.111795  0.113668     39.12    40.44 
GS FINANCE CORP          40055QS94 09/07/18 09/08/23    100.000     0.000     3.7000    129.34   0.114739   0.116862   0.119024   0.121225               42.17    29.80 
GS FINANCE CORP          40054LZU1 11/30/17 12/12/24    100.000     0.000     2.9999    129.40   0.093965   0.095375   0.096805   0.098257  0.099731     34.14    35.17 
GS FINANCE CORP          40055QB84 06/29/18 07/11/25    100.000     0.000     4.0800    152.13   0.128108   0.130721   0.133388   0.136109  0.138886     47.49    49.44 
GS FINANCE CORP          40054LJ47 07/31/17 08/09/24    100.000     0.000     2.9498    138.18   0.092188   0.093547   0.094927   0.096327  0.097748     33.82    34.83 
GS FINANCE CORP          40055ACK1 01/31/18 10/31/23    100.000     0.000     3.2433    134.47   0.101647   0.103296   0.104971   0.106673               37.09    31.69 
GS FINANCE CORP          40054LZT4 11/30/17 12/12/24    100.000     0.000     2.9999    129.40   0.093965   0.095375   0.096805   0.098257  0.099731     34.14    35.17 
GS FINANCE CORP          40054KWL6 02/17/17 08/19/24    100.000     0.000     3.2499    170.11   0.104388   0.106085   0.107808   0.109560  0.111341     38.34    39.59 
GS FINANCE CORP          40055ATJ6 04/17/18 04/28/25    100.000     0.000     3.7800    148.91   0.119844   0.122109   0.124417   0.126768  0.129164     43.84    45.51 
GS FINANCE CORP          40055ACE5 01/18/18 01/29/25    100.000     0.000     3.3498    140.36   0.104631   0.106384   0.108166   0.109977  0.111819     38.52    39.82 
GS FINANCE CORP          40055QAR3 06/15/18 06/26/25    100.000     0.000     4.0700    153.53   0.130339   0.132992   0.135698   0.138460  0.141277     47.43    49.38 
GS FINANCE CORP          40055ACF2 01/18/18 01/29/25    100.000     0.000     3.3498    140.36   0.104631   0.106384   0.108166   0.109977  0.111819     38.52    39.82 
GS FINANCE CORP          40055ATH0 04/17/18 04/28/25    100.000     0.000     3.7800    148.91   0.119844   0.122109   0.124417   0.126768  0.129164     43.84    45.51 
GS FINANCE CORP          40055QSC7 08/08/18 02/06/26    100.000     0.000     4.0319    145.27   0.126217   0.128761   0.131357   0.134005  0.136707     46.64    48.54 
GS FINANCE CORP          40055ATU1 04/02/18 10/03/24    100.000     0.000     3.7376    148.90   0.118200   0.120409   0.122659   0.124951  0.127286     43.34    44.98 
GS FINANCE CORP          40057KVD2 02/04/22 02/04/27    100.000     0.000     2.5400                        0.070556   0.071452   0.072359  0.073278     23.20    26.15 
GS FINANCE CORP          40055QBB7 06/29/18 07/11/25    100.000     0.000     4.0800    152.13   0.128108   0.130721   0.133388   0.136109  0.138886     47.49    49.44 
GS FINANCE CORP          40057FX58 04/05/21 10/03/24    100.000     0.000     1.0638      7.87   0.029704   0.029862   0.030021   0.030181  0.030341     10.75    10.86 
GS FINANCE CORP          40057FX41 04/05/21 04/02/26    100.000     0.000     1.5814     11.71   0.044268   0.044618   0.044971   0.045327  0.045685     16.06    16.32 
GS FINANCE CORP          40055AU47 04/30/18 05/09/25    100.000     0.000     4.0400    158.14   0.129215   0.131825   0.134488   0.137204  0.139976     47.26    49.19 
GS FINANCE CORP          40055AU54 04/30/18 05/09/28    100.000     0.000     4.3200    169.87   0.139513   0.142526   0.145605   0.148750  0.151963     51.08    53.31 
GS FINANCE CORP          40055QSB9 08/08/18 02/06/26    100.000     0.000     4.0319    145.27   0.126217   0.128761   0.131357   0.134005  0.136707     46.64    48.54 
GS FINANCE CORP          40056FM85 06/28/19 06/30/25    100.000     0.000     2.8299     73.03   0.084344   0.085537   0.086748   0.087975  0.089220     30.58    31.45 
GS FINANCE CORP          40056EZU5 04/03/19 04/04/24    100.000     0.000     3.3401     95.21   0.100800   0.102483   0.104195   0.105935  0.107704     36.89    38.13 
GS FINANCE CORP          40055AU39 04/30/18 05/09/25    100.000     0.000     4.0400    158.14   0.129215   0.131825   0.134488   0.137204  0.139976     47.26    49.19 
GS FINANCE CORP          40055AD20 01/30/18 02/08/23    100.000     0.000     3.1499    130.35   0.097681   0.099220   0.100782                          35.89     3.73 
GS FINANCE CORP          40054LZV9 11/30/17 12/13/27    100.000     0.000     3.3000    143.12   0.104613   0.106339   0.108094   0.109878  0.111691     38.03    39.30 
GS FINANCE CORP          40057K3Z4 12/03/21 12/05/28    100.000     0.000     2.2800      1.77   0.063341   0.064063   0.064793   0.065532  0.066279     22.97    23.50 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057E2H9 04/30/20 01/30/26    100.000     0.000     2.3100     39.11   0.066037   0.066799   0.067571   0.068351  0.069141     24.14    24.70 
GS FINANCE CORP          40055A2Z9 11/30/17 12/12/22    100.000     0.000     2.6499    113.58   0.081856   0.082940                                     28.11          
GS FINANCE CORP          40057L7L9 02/24/22 02/23/24    100.000     0.000     1.6034                        0.044539   0.044894   0.045254  0.045617     13.72    16.32 
GS FINANCE CORP          40056XQW9 12/04/19 02/03/22    100.000     0.000     1.5999     33.63   0.045635                                                 1.46          
GS FINANCE CORP          40057KVK6 02/03/22 02/05/30    100.000     0.000     2.8333             0.078702   0.078715   0.079830   0.080961  0.082108     25.98    29.27 
GS FINANCE CORP          40055QBK7 06/08/18 10/08/26    100.000     0.000     4.1144    156.32   0.130912   0.133605   0.136354   0.139159  0.142021     48.06    50.06 
GS FINANCE CORP          40057L7J4 03/02/22 03/12/29    100.000     0.000     3.1999             0.088887   0.088966   0.090390   0.091836  0.093305     26.76    33.12 
GS FINANCE CORP          40057FFY5 02/22/21 02/23/28    100.000     0.000     1.5700     13.52   0.043957   0.044302   0.044650   0.045000  0.045353     15.98    16.23 
GS FINANCE CORP          40057LHH7 03/28/22 04/06/29    100.000     0.000     3.6600             0.101666   0.101749   0.103611   0.105507  0.107438     27.93    37.97 
GS FINANCE CORP          40057FX82 04/30/21 05/02/29    100.000     0.000     2.1733     14.59   0.061032   0.061695   0.062366   0.063044  0.063729     22.17    22.65 
GS FINANCE CORP          40055AU88 04/30/18 05/09/25    100.000     0.000     4.0400    158.14   0.129215   0.131825   0.134488   0.137204  0.139976     47.26    49.19 
GS FINANCE CORP          40054LJA3 07/31/17 08/09/24    100.000     0.000     2.9498    138.18   0.092188   0.093547   0.094927   0.096327  0.097748     33.82    34.83 
GS FINANCE CORP          40057FWV2 04/30/21 05/12/31    100.000     0.000     2.4800     16.66   0.069800   0.070665   0.071541   0.072428  0.073327     25.37    26.00 
GS FINANCE CORP          40055ATX5 04/30/18 04/30/25    100.000     0.000     4.0400    158.14   0.129087   0.131694   0.134355   0.137069  0.139838     47.26    49.19 
GS FINANCE CORP          40055ACW5 01/30/18 01/29/26    100.000     0.000     3.4733    144.52   0.108829   0.110719   0.112642   0.114598  0.116588     40.10    41.50 
GS FINANCE CORP          40055ADF1 01/31/18 02/11/25    100.000     0.000     3.4199    142.18   0.107078   0.108909   0.110772   0.112666  0.114592     39.39    40.75 
GS FINANCE CORP          40055QC42 06/29/18 07/01/26    100.000     0.000     4.1733    155.80   0.133987   0.133987   0.139637   0.139637  0.145526     48.74    50.79 
GS FINANCE CORP          40055QSU7 08/09/18 08/13/25    100.000     0.000     3.9699    142.79   0.124134   0.126598   0.129111   0.131673  0.134287     45.82    47.66 
GS FINANCE CORP          40054KGK6 08/31/16 06/01/22    100.000     0.000     2.1998    123.86   0.068549                                                10.28          
GS FINANCE CORP          40055ADC8 01/31/18 02/11/25    100.000     0.000     3.4199    142.18   0.107078   0.108909   0.110772   0.112666  0.114592     39.39    40.75 
GS FINANCE CORP          40055A3B1 11/30/17 05/31/23    100.000     0.000     2.7000    115.83   0.083493   0.084620   0.085762                          30.33    12.78 
GS FINANCE CORP          40054KXL5 02/28/17 08/29/22    100.000     0.000     2.0900    105.92   0.062705   0.063709                                     15.23          
GS FINANCE CORP          40055ADD6 01/31/18 02/11/25    100.000     0.000     3.4199    142.18   0.107078   0.108909   0.110772   0.112666  0.114592     39.39    40.75 
GS FINANCE CORP          40055AUC9 04/30/18 05/09/28    100.000     0.000     4.3200    169.87   0.139513   0.142526   0.145605   0.148750  0.151963     51.08    53.31 
GS FINANCE CORP          40056FMH5 06/28/19 06/30/22    100.000     0.000     2.4001     61.67   0.070775                                                12.67          
GS FINANCE CORP          40054LJJ4 07/31/17 07/31/24    100.000     0.000     2.9499    138.18   0.092126   0.093485   0.094864   0.096263  0.097683     33.82    34.83 
GS FINANCE CORP          40057KVN0 02/04/22 02/04/27    100.000     0.000     2.5000                        0.069444   0.070312   0.071191  0.072081     22.84    25.73 
GS FINANCE CORP          40055QSN3 09/06/18 09/06/23    100.000     0.000     3.6500    127.61   0.113009   0.115072   0.117172   0.119310               41.53    29.09 
GS FINANCE CORP          40055AUA3 04/30/18 05/09/25    100.000     0.000     4.0400    158.14   0.129215   0.131825   0.134488   0.137204  0.139976     47.26    49.19 
GS FINANCE CORP          40055AUB1 04/30/18 05/09/25    100.000     0.000     4.0400    158.14   0.129215   0.131825   0.134488   0.137204  0.139976     47.26    49.19 
GS FINANCE CORP          40056XAG1 09/30/19 09/29/22    100.000     0.000     2.2654     52.07   0.065824   0.066570                                     17.78          
GS FINANCE CORP          40056EJS8 12/06/18 12/08/22    100.000     0.000     4.0067    129.52   0.125393   0.127905                                     42.71          
GS FINANCE CORP          40055AUP0 04/30/18 11/10/25    100.000     0.000     4.0867    160.09   0.130935   0.133610   0.136340   0.139126  0.141969     47.89    49.87 
GS FINANCE CORP          40056EJQ2 12/28/18 12/27/24    100.000     0.000     4.4909    142.95   0.142507   0.145707   0.148979   0.152324  0.155744     51.90    54.26 
GS FINANCE CORP          40054KGR1 08/04/16 08/06/26    100.000     0.000     2.8502    165.42   0.091222   0.092522   0.093841   0.095178  0.096535     33.45    34.41 
GS FINANCE CORP          40054LJP0 07/31/17 07/31/24    100.000     0.000     2.9499    138.18   0.092126   0.093485   0.094864   0.096263  0.097683     33.82    34.83 
GS FINANCE CORP          40054KGM2 08/31/16 05/30/25    100.000     0.000     2.6499    150.86   0.084520   0.085640   0.086774   0.087924  0.089089     30.70    31.52 
GS FINANCE CORP          40054KGL4 08/31/16 06/01/23    100.000     0.000     2.3999    135.79   0.075566   0.076473   0.077390                          27.42    11.61 
GS FINANCE CORP          40056FN27 06/28/19 12/31/26    100.000     0.000     3.0233     78.17   0.090539   0.091908   0.093297   0.094708  0.096139     32.84    33.84 
GS FINANCE CORP          40055ADK0 01/31/18 02/11/25    100.000     0.000     3.4199    142.18   0.107078   0.108909   0.110772   0.112666  0.114592     39.39    40.75 
GS FINANCE CORP          40055ADG9 01/31/18 02/11/28    100.000     0.000     3.6599    152.80   0.115554   0.117669   0.119822   0.122015  0.124247     42.58    44.15 
GS FINANCE CORP          40057JST4 11/03/21 11/02/28    100.000     0.000     2.2046      3.55   0.061239   0.061910   0.062592   0.063282  0.063980     22.25    22.74 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

GS FINANCE CORP          40057FGF5 02/11/21 02/11/24    100.000     0.000     0.6198      5.52   0.017271   0.017325   0.017378   0.017432  0.017486      6.24     6.28 
GS FINANCE CORP          40055A3G0 12/05/17 12/05/22    100.000     0.000     2.6501    113.18   0.081788   0.082872                                     27.51          
GS FINANCE CORP          40054KGN0 08/31/16 09/12/23    100.000     0.000     2.4502    138.80   0.076936   0.077878   0.078832   0.079798               28.07    19.96 
GS FINANCE CORP          36260W587 05/19/21 06/03/26    100.000     0.000     1.4218      8.78   0.039796   0.040079   0.040364   0.040651  0.040940     14.39    14.60 
GS FINANCE CORP          40055QBU5 06/29/18 07/01/24    100.000     0.000     3.9250    145.98   0.124942   0.124942   0.129894   0.129894  0.135043     45.42    47.22 
GS FINANCE CORP          36261Y566 01/20/22 02/05/29    100.000     0.000     2.6418             0.073385   0.073465   0.074436   0.075419  0.076415     25.19    27.26 
GS FINANCE CORP          40055AE78 02/05/18 02/03/23    100.000     0.000     3.2054    132.26   0.099503   0.101098   0.102718                          36.58     3.29 
GS FINANCE CORP          40056YE34 02/06/20 02/19/30    100.000     0.000     2.5700     49.81   0.074246   0.075200   0.076166   0.077145  0.078136     27.15    27.86 
GS FINANCE CORP          40055A3U9 11/22/17 05/31/23    100.000     0.000     2.7513    118.82   0.085303   0.086477   0.087666                          30.99    13.06 
GS FINANCE CORP          40057KFD0 12/07/21 12/06/29    100.000     0.000     2.4094      1.61   0.066929   0.067731   0.068547   0.069373  0.070208     24.28    24.87 
GS FINANCE CORP          40055ADU8 02/05/18 02/03/23    100.000     0.000     3.2054    132.26   0.099503   0.101098   0.102718                          36.58     3.29 
GS FINANCE CORP          40055A3P0 11/30/17 05/31/23    100.000     0.000     2.7499    118.08   0.085202   0.086374   0.087561                          30.96    13.05 
GS FINANCE CORP          40057FXR0 04/06/21 01/06/23    100.000     0.000     0.5194      3.83   0.014447   0.014484   0.014522                           5.22     0.07 
GS FINANCE CORP          40054KGT7 08/26/16 08/28/23    100.000     0.000     2.5001    142.11   0.078645   0.079628   0.080624   0.081631               28.73    19.29 
GS FINANCE CORP          40056FMW2 07/03/19 07/01/22    100.000     0.000     2.3820     60.85   0.070191                                                12.63          
GS FINANCE CORP          40054KXY7 03/30/17 04/01/24    100.000     0.000     3.1002    157.48   0.098911   0.100444   0.102001   0.103582  0.105188     36.16    37.29 
GS FINANCE CORP          40055AUQ8 04/30/18 11/10/25    100.000     0.000     4.0867    160.09   0.130935   0.133610   0.136340   0.139126  0.141969     47.89    49.87 
GS FINANCE CORP          40054KXX9 03/30/17 04/01/25    100.000     0.000     3.3001    168.36   0.106228   0.107981   0.109763   0.111574  0.113415     38.88    40.17 
GS FINANCE CORP          40057J2H8 08/31/21 08/31/28    100.000     0.000     1.9000      6.39   0.052777   0.053272   0.053784   0.054289  0.054811     19.21    19.58 
GS FINANCE CORP          40056XRY4 01/03/20 10/03/24    100.000     0.000     2.4313     49.42   0.070456   0.071312   0.072179   0.073056  0.073944     25.67    26.30 
GS FINANCE CORP          40056EKC1 12/27/18 12/27/28    100.000     0.000     4.7400    151.50   0.151535   0.155126   0.158803   0.162567  0.166419     55.23    57.88 
GS FINANCE CORP          40055QCM2 06/29/18 03/30/23    100.000     0.000     3.7238    138.17   0.116632   0.118804   0.121016                          42.78    10.77 
GS FINANCE CORP          40057J2G0 08/31/21 08/31/28    100.000     0.000     1.9000      6.39   0.052777   0.053272   0.053784   0.054289  0.054811     19.21    19.58 
GS FINANCE CORP          40056XRZ1 01/03/20 01/05/24    100.000     0.000     2.3449     47.60   0.067463   0.068254   0.069054   0.069864  0.070683     24.71    25.29 
GS FINANCE CORP          40054KYF7 03/31/17 04/02/24    100.000     0.000     3.1000    157.47   0.098912   0.100446   0.102002   0.103583  0.105189     36.16    37.29 
GS FINANCE CORP          40057J2F2 08/31/21 08/31/28    100.000     0.000     1.9000      6.39   0.052777   0.053272   0.053784   0.054289  0.054811     19.21    19.58 
GS FINANCE CORP          40055QCJ9 06/29/18 07/11/28    100.000     0.000     4.3600    163.26   0.138042   0.141051   0.144126   0.147268  0.150479     51.27    53.53 
GS FINANCE CORP          40057J2E5 08/31/21 08/31/27    100.000     0.000     1.7001      5.71   0.047224   0.047621   0.048030   0.048434  0.048850     17.17    17.46 
GS FINANCE CORP          40054KYE0 03/31/17 10/03/22    100.000     0.000     2.7999    141.31   0.088161   0.089395                                     24.20          
GS FINANCE CORP          40056XAT3 09/30/19 09/30/27    100.000     0.000     2.8633     66.17   0.084189   0.085394   0.086617   0.087857  0.089115     30.75    31.63 
GS FINANCE CORP          40057J2D7 08/31/21 08/31/27    100.000     0.000     1.7001      5.71   0.047224   0.047621   0.048030   0.048434  0.048850     17.17    17.46 
GS FINANCE CORP          40056XAS5 09/30/19 03/28/25    100.000     0.000     2.5900     59.71   0.075735   0.076715   0.077709   0.078715  0.079734     27.62    28.34 
GS FINANCE CORP          40057FXZ2 04/09/21 04/09/31    100.000    VARIES     2.4796     17.98   0.068010   0.067132   0.066730   0.066456  0.066544     24.22    23.96 
GS FINANCE CORP          40057J2C9 08/31/21 08/31/26    100.000     0.000     1.5000      5.04   0.041665   0.041974   0.042293   0.042606  0.042929     15.13    15.36 
GS FINANCE CORP          40055QTG7 09/04/18 09/08/25    100.000     0.000     3.9400    138.58   0.123088   0.125513   0.127986   0.130507  0.133078     45.30    47.10 
GS FINANCE CORP          40056XB39 10/03/19 10/05/22    100.000     0.000     2.2701     51.99   0.065979   0.066728                                     18.21          
General Cable Corp.      369300AL2 12/18/09 11/15/29    100.000    VARIES    12.5014   2658.46   1.068699   1.127185   1.189327   1.255353  1.325506    400.81   446.31 
Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26    100.000    VARIES     3.7570     38.18   0.018707   0.018831   0.018865   0.018900  0.018859      6.78     6.80 
Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23    100.000    VARIES     3.9815    330.33   0.111612   0.111399   0.111182   0.110893               40.11    31.75 
Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28    100.000    VARIES     4.8903    381.04   0.125429   0.126082   0.126751   0.127459  0.128185     45.47    45.97 
Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23    100.000     0.000     2.9999    218.91   0.101127   0.102644   0.104184                          36.84    13.23 
Goldman Sachs Group, Inc 38147QXQ4 03/27/15 09/27/22    100.000     0.000     2.9999    223.05   0.101124   0.102641                                     27.17          






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26    100.000     0.000     3.4990    231.49   0.117647   0.119705   0.121800   0.123930  0.126099     43.47    45.00 
Goldman Sachs Group, Inc 38147QY34 04/30/15 11/02/22    100.000     0.000     3.0000    219.72   0.101146   0.102663                                     30.72          
Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24    100.000     0.000     3.2988    217.03   0.109732   0.111542   0.113381   0.115252  0.117153     40.48    41.83 
Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23    100.000     0.000     2.5999    188.03   0.085434   0.086545   0.087670                          31.09    10.61 
Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23    100.000     0.000     3.2000    210.15   0.107521   0.109241   0.110989   0.112765               39.03    39.72 
Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25    100.000    VARIES     3.3914    228.94   0.094483   0.094495   0.094474   0.094454  0.094405     34.02    34.00 
Goldman Sachs Group, Inc 38147QH74 10/10/14 02/10/22    100.000     0.000     3.4944    284.47   0.122996                                                 4.80          
Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23    100.000     0.000     3.0000    195.82   0.099637   0.101131   0.102648   0.104188               36.14    37.03 
Goldman Sachs Group, Inc 38147QH58 10/10/14 02/10/22    100.000     0.000     3.4944    284.47   0.122996                                                 4.80          
Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28    100.000    VARIES     4.2924    349.56   0.108815   0.109432   0.110171   0.110925  0.111696     39.47    40.01 
Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23    100.000     0.000     3.0000    220.33   0.101131   0.102648   0.104188                          36.89    11.77 
Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28    100.000    VARIES     4.9007    383.42   0.125663   0.126307   0.126968   0.127674  0.128397     45.56    46.06 
Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29    100.000    VARIES     4.4103    310.87   0.112951   0.113424   0.113940   0.114467  0.115006     40.79    41.16 
Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28    100.000    VARIES     4.9491    354.13   0.119646   0.120609   0.121594   0.122605  0.123640     43.28    43.99 
Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28    100.000    VARIES     4.3421    355.32   0.109640   0.110278   0.111060   0.111859  0.112675     39.81    40.38 
Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23    100.000     0.000     3.1489    209.46   0.105495   0.107156   0.108843   0.110557               38.38    36.01 
Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25    100.000    VARIES     3.7095     17.06   0.008209   0.008144   0.008078   0.007962  0.007843      2.94     2.88 
Goldman Sachs Group, Inc 40055AHP5 03/05/18 03/03/23    100.000     0.000     3.4453    139.51   0.107838   0.109696   0.111585                          39.60     6.92 
Goldman Sachs Group, Inc 38147QVM5 03/31/15 09/29/22    100.000     0.000     2.8501    210.62   0.095151   0.096507                                     25.74          
Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28    100.000    VARIES     3.7824     22.73   0.016601   0.016914   0.017234   0.017560  0.017892      6.04     6.27 
Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30    100.000    VARIES     3.7644     11.80   0.008383   0.008541   0.008702   0.008865  0.009032      3.05     3.17 
Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23    100.000     0.000     3.1499    209.85   0.105564   0.107227   0.108915   0.110631               38.41    36.03 
Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26    100.000    VARIES     3.8760     23.71   0.011260   0.011268   0.011277   0.011242  0.011206      4.06     4.05 
Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23    100.000     0.000     3.1002    231.25   0.105178   0.106808   0.108464                          38.47     9.33 
Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23    100.000     0.000     2.8001    206.59   0.093190   0.094495   0.095818                          34.02     8.53 
Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23    100.000     0.000     3.2489    229.86   0.109518   0.111297   0.113105                          40.28     3.51 
Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23    100.000     0.000     3.2489    229.86   0.109518   0.111297   0.113105                          40.28     3.51 
Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23    100.000     0.000     3.3498    237.73   0.113586   0.115488   0.117422   0.119389               41.81    25.01 
Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23    100.000     0.000     3.1488    209.45   0.105482   0.107143   0.108830   0.110543               38.38    35.90 
Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25    100.000     0.000     3.4490    231.39   0.117603   0.119631   0.121694   0.123792  0.125927     42.84    44.33 
Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23    100.000     0.000     3.2500    229.95   0.109545   0.111325   0.113134                          40.30     3.28 
Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28    100.000    VARIES     3.7555      9.82   0.007610   0.007753   0.007898   0.008047  0.008198      2.79     2.90 
Goldman Sachs Group, Inc 40055AJF5 03/05/18 03/03/23    100.000     0.000     3.4453    139.51   0.107838   0.109696   0.111585                          39.60     6.92 
Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27    100.000    VARIES     3.9047     29.30   0.013697   0.013808   0.013921   0.013940  0.013960      4.97     5.02 
Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25    100.000    VARIES     3.6654     18.66   0.008825   0.008783   0.008740   0.008653  0.008565      3.16     3.12 
Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23    100.000     0.000     3.1500    212.92   0.105568   0.107231   0.108919   0.110635               38.51    32.88 
Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29    100.000    VARIES     4.6241    324.22   0.115264   0.115972   0.116727   0.117499  0.118289     41.77    42.32 
Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25    100.000     0.000     3.6499    264.29   0.125974   0.128273   0.130614   0.132997  0.135425     46.57    48.28 
Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23    100.000     0.000     3.3501    240.36   0.113587   0.115490   0.117425   0.119391               41.90    22.20 
Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26    100.000    VARIES     3.5868     16.38   0.014601   0.014863   0.015130   0.015401  0.015677      5.38     5.58 
Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28    100.000    VARIES     3.7010     17.35   0.013345   0.013592   0.013843   0.014100  0.014360      4.87     5.05 
Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28    100.000    VARIES     3.6601     10.14   0.008364   0.008517   0.008673   0.008832  0.008993      3.04     3.16 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25    100.000     0.000     3.4498    234.98   0.117659   0.119688   0.121753   0.123853  0.125989     42.97    44.47 
Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27    100.000    VARIES     3.8872    188.95   0.108321   0.108384   0.108449   0.108516  0.108486     39.02    39.06 
Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23    100.000     0.000     3.1491    212.63   0.105520   0.107182   0.108869   0.110584               38.49    32.97 
Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28    100.000    VARIES     4.6926    372.25   0.121039   0.121581   0.122221   0.122877  0.123548     43.69    44.13 
Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23    100.000     0.000     3.1502    212.71   0.105555   0.107218   0.108907   0.110622               38.50    32.87 
Goldman Sachs Group, Inc 38148TF46 09/24/15 09/24/22    100.000     0.500     3.2799    223.14   0.107753   0.109292                                     28.62          
Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29    100.000    VARIES     4.6202    330.90   0.117375   0.117949   0.118580   0.119226  0.119887     42.48    42.94 
Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28    100.000    VARIES     4.8590    363.35   0.122324   0.123067   0.123828   0.124607  0.125405     44.27    44.82 
Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25    100.000    VARIES     3.7872     23.17   0.010777   0.010676   0.010573   0.010419  0.010261      3.84     3.75 
Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27    100.000    VARIES     3.6989     17.35   0.010360   0.010495   0.010586   0.010678  0.010734      3.77     3.84 
Goldman Sachs Group, Inc 38148T4E6 06/30/15 12/30/22    100.000     0.000     3.2498    233.22   0.111316   0.113125                                     40.29          
Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23    100.000     0.000     3.2500    233.68   0.111323   0.113132   0.114970                          40.42    20.12 
Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27    100.000    VARIES     3.6688     16.65   0.009779   0.009924   0.010046   0.010169  0.010277      3.56     3.65 
Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27    100.000    VARIES     4.0948    348.04   0.106251   0.106833   0.107427   0.108033  0.108651     38.40    38.83 
Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27    100.000    VARIES     3.6160    160.73   0.100222   0.100349   0.100454   0.100539  0.100606     36.14    36.20 
Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27    100.000    VARIES     3.5643    156.26   0.098293   0.098455   0.098594   0.098713  0.098813     35.46    35.55 
Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25    100.000    VARIES     3.9250     30.34   0.013061   0.012924   0.012785   0.012642  0.012439      4.67     4.57 
Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24    100.000    VARIES     3.1510    138.33   0.088101   0.088087   0.088040   0.087956  0.087840     31.71    31.65 
Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23    100.000     0.000     3.3498    241.14   0.115467   0.117401   0.119367                          41.92    21.25 
Goldman Sachs Group, Inc 38148TDE6 09/08/15 09/07/22    100.000     0.000     3.1000    214.41   0.103556   0.105161                                     25.76          
Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27    100.000    VARIES     4.6427    396.01   0.120049   0.120770   0.121507   0.122261  0.123033     43.44    43.97 
Goldman Sachs Group, Inc 38148TDB2 09/29/15 09/28/23    100.000     0.000     3.3000    227.26   0.111548   0.113389   0.115260   0.117161               40.83    31.12 
Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25    100.000     0.000     3.6001    250.00   0.123876   0.126106   0.128375   0.130686  0.133039     45.41    47.06 
Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27    100.000    VARIES     3.5451    150.37   0.097485   0.097658   0.097809   0.097941  0.098055     35.16    35.26 
Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25    100.000     0.000     3.5000    256.88   0.121829   0.123960   0.126130   0.128337  0.130583     44.38    45.94 
Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27    100.000    VARIES     3.5757    150.50   0.099254   0.099384   0.099487   0.099560  0.099610     35.77    35.84 
Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27    100.000    VARIES     3.6040    152.34   0.099275   0.099442   0.099586   0.099710  0.099813     35.80    35.89 
Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27    100.000    VARIES     3.6048    151.47   0.098980   0.099170   0.099337   0.099485  0.099613     35.70    35.81 
Goldman Sachs Group, Inc 38147QQR0 01/30/15 08/01/22    100.000     0.000     2.5001    187.60   0.081624   0.082645                                     17.32          
Goldman Sachs Group, Inc 38147QQM1 01/30/15 08/01/22    100.000     0.000     2.4699    185.15   0.080484   0.081477                                     17.08          
Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29    100.000    VARIES     4.3665    308.25   0.113381   0.113745   0.114200   0.114665  0.115140     40.89    41.20 
Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23    100.000     0.000     3.2490    223.30   0.108657   0.110422   0.112216   0.114039               40.07    20.75 
Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23    100.000     0.000     3.2992    227.09   0.111505   0.113345   0.115215   0.117115               40.82    31.10 
Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23    100.000     0.000     3.2499    223.91   0.109539   0.111319   0.113128   0.114966               40.10    30.20 
Goldman Sachs Group, Inc 38147QQV1 01/29/15 07/29/22    100.000     0.000     2.4698    185.22   0.080475   0.081469                                     16.92          
Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27    100.000    VARIES     3.5339    143.90   0.097845   0.097921   0.097985   0.098036  0.098078     35.24    35.29 
Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27    100.000    VARIES     2.7977     13.69   0.009116   0.009244   0.009373   0.009504  0.009637      3.31     3.40 
Goldman Sachs Group, Inc 38148T2H1 05/29/15 12/01/22    100.000     0.000     3.1002    224.73   0.105199   0.106829                                     35.01          
Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28    100.000    VARIES     5.0554    378.20   0.124358   0.125086   0.125832   0.126854  0.127902     45.07    45.72 
Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25    100.000     2.000     3.6202    240.57   0.111353   0.112363   0.113392   0.114439  0.115504     40.51    41.26 
Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25    100.000    VARIES     3.7599     36.87   0.015603   0.015467   0.015291   0.015111  0.014895      5.58     5.45 
Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28    100.000    VARIES     3.1064     12.69   0.008557   0.008690   0.008825   0.008962  0.009101      3.14     3.24 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23    100.000     0.000     3.2499    236.68   0.111341   0.113151   0.114989                          40.52    17.25 
Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25    100.000    VARIES     3.9131     20.13   0.009185   0.009094   0.009002   0.008872  0.008740      3.27     3.18 
Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23    100.000    VARIES     4.5507    384.27   0.126052   0.125129   0.125577   0.124617               45.78    30.09 
Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27    100.000    VARIES     3.6188     18.87   0.011137   0.011304   0.011447   0.011592  0.011721      4.05     4.16 
Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28    100.000    VARIES     3.3846     19.56   0.013055   0.013276   0.013501   0.013729  0.013962      4.78     4.94 
Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27    100.000    VARIES     3.9238     23.68   0.010713   0.010740   0.010767   0.010761  0.010754      3.87     3.87 
Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23    100.000     0.000     3.1988    222.75   0.107512   0.109231   0.110978                          39.43     6.77 
Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23    100.000     0.000     3.1988    222.75   0.107512   0.109231   0.110978                          39.43     6.77 
Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25    100.000     0.000     3.5990    253.63   0.123819   0.126047   0.128315   0.130624  0.132975     45.52    47.18 
Goldman Sachs Group, Inc 38147QNY8 12/29/14 06/28/22    100.000     0.000     2.9499    227.71   0.100575                                                17.80          
Goldman Sachs Group, Inc 38148TAG4 07/22/15 07/21/22    100.000     0.000     3.1500    223.04   0.105538   0.107200                                     21.41          
Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25    100.000     0.000     3.7000    265.38   0.128066   0.130435   0.132848   0.135306  0.137809     47.25    49.02 
Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28    100.000    VARIES     4.4916    354.22   0.113898   0.114535   0.115298   0.116079  0.116877     41.17    41.71 
Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28    100.000    VARIES     4.4921    354.62   0.114860   0.115459   0.116165   0.116887  0.117625     41.49    41.99 
Goldman Sachs Group, Inc 38147QNU6 12/30/14 06/29/22    100.000     0.000     2.9500    227.62   0.100580                                                17.90          
Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28    100.000    VARIES     4.3920    347.45   0.111964   0.112545   0.113255   0.113982  0.114724     40.45    40.95 
Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28    100.000    VARIES     4.3925    353.19   0.112502   0.113030   0.113678   0.114340  0.115018     40.67    41.13 
Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26    100.000    VARIES     2.2302     14.40   0.008011   0.008100   0.008191   0.008282  0.008374      2.91     2.97 
Goldman Sachs Group, Inc 38147QLV6 11/28/14 05/27/22    100.000     0.000     3.1503    248.18   0.108902                                                15.90          
Goldman Sachs Group, Inc 38147QMC7 11/26/14 05/26/22    100.000     0.000     3.1499    248.36   0.108894                                                15.79          
Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26    100.000    VARIES     2.3290      8.08   0.004378   0.004429   0.004481   0.004533  0.004586      1.59     1.63 
Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28    100.000    VARIES     4.6888    377.45   0.118994   0.119692   0.120406   0.121136  0.121954     43.10    43.62 
Goldman Sachs Group, Inc 38150AM36 04/29/22 04/29/32    100.000    VARIES     4.0171                        0.017696   0.016526   0.015333  0.014115      4.21     5.59 
Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28    100.000    VARIES     4.9004    363.28   0.123268   0.124052   0.124854   0.125677  0.126519     44.59    45.18 
Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28    100.000    VARIES     4.6902    378.62   0.119056   0.119740   0.120440   0.121157  0.121968     43.12    43.64 
Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28    100.000    VARIES     4.1925    335.66   0.104623   0.105229   0.106045   0.106878  0.107728     37.94    38.52 
Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23    100.000     0.000     3.1502    228.49   0.107209   0.108897   0.110613                          39.00    16.48 
Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30    100.000    VARIES     3.7833     24.66   0.010144   0.010123   0.010401   0.010343  0.010539      3.71     3.79 
Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28    100.000    VARIES     4.2915    342.99   0.105584   0.104472   0.107076   0.106207  0.108279     38.52    39.07 
Great Plains Energy, Inc 391164AF7 03/22/12 06/15/22    103.480    VARIES     4.8564    484.63   0.133703                                                22.06          
HAMILTON OHIO CITY SCH   407774GJ1 09/10/20 12/01/25     93.492     0.000     1.2920     15.89   0.034087   0.034307   0.034528   0.034751  0.034976     12.32    12.48 
HENDERSON TEX INDPT SCH  425308PA5 11/12/20 08/15/26     92.809     0.000     1.3001     13.77   0.033848   0.034068   0.034289   0.034512  0.034737     12.29    12.45 
HENDERSON TEX INDPT SCH  425308NW9 11/12/20 08/15/22     98.865     0.000     0.6502      7.32   0.017943   0.018002                                      4.03          
HENDERSON TEX INDPT SCH  425308NZ2 11/12/20 08/15/25     95.364     0.000     1.0000     10.87   0.026692   0.026825   0.026959   0.027094  0.027230      9.67     9.77 
HENDERSON TEX INDPT SCH  425308NX7 11/12/20 08/15/23     97.956     0.000     0.7500      8.37   0.020525   0.020602   0.020679   0.020757                7.42     4.65 
HENDERSON TEX INDPT SCH  425308NY5 11/12/20 08/15/24     96.681     0.000     0.9000      9.92   0.024337   0.024446   0.024556   0.024667  0.024778      8.81     8.89 
HSBC USA INC             40441XPU8 10/20/22 10/20/25    100.000     0.000     5.0853                                   0.141258   0.144850  0.148533     10.03    52.02 
HSBC USA INC             40441X0Q7 08/23/22 08/25/25    100.000     0.000     3.9204                        0.108900   0.108924   0.111059  0.113236     13.94    40.14 
HSBC USA INC             40441XND8 09/23/22 09/23/25    100.000     0.000     4.1568                                   0.115467   0.117867  0.120316     11.32    42.48 
HSBC USA INC             40441XGN4 08/31/22 09/02/25    100.000     0.000     4.1176                        0.114378   0.114404   0.116759  0.119163     13.84    42.18 
HSBC USA INC             40441XUW8 01/17/22 05/17/24    100.000     0.000     5.4491             0.151364   0.154113   0.158312   0.162625  0.167056     52.87    58.15 
HSBC USA, INC            40441XQZ6 11/03/22 11/03/25    100.000     0.000     5.0247                                   0.139575   0.143082  0.146676      8.10    51.29 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC USA, INC            40441XSD3 11/03/22 05/03/24    100.000     0.000     5.2316                                   0.145322   0.149124  0.153024      8.43    53.45 
HSBC USA, INC            40441XSC5 10/31/22 04/30/24    100.000     0.000     5.2803                                   0.146675   0.150547  0.154522      8.95    53.98 
HSBC USA, INC            40441XSA9 11/08/22 12/08/23    100.000     0.000     5.5573                        0.154369   0.155084   0.159394                8.20    53.04 
HSBC USA, INC            40441XKU3 09/30/22 09/30/25    100.000     0.000     4.9585                                   0.137736   0.141151  0.144650     12.53    50.83 
HSBC USA, INC            40441XKT6 10/05/22 10/06/25    100.000     0.000     4.9075                                   0.136319   0.139683  0.143110     11.72    50.26 
HSBC USA, INC            40441B744 12/05/22 12/04/24    100.000     0.000     5.2019                                   0.144497   0.148235  0.152090      3.76    52.90 
HSBC USA, INC            40439J6A8 06/02/22 06/03/24    100.000     0.000     2.6129                        0.072581   0.073534   0.074495  0.075468     15.20    26.70 
HSBC USA, INC            40441B827 11/30/22 11/24/28    100.000     0.000     4.4700                                   0.124167   0.126849  0.129684      3.85    45.39 
HSBC USA, INC            40441XSJ0 11/08/22 11/10/25    100.000     0.000     5.3365                        0.148236   0.148280   0.152237  0.156299      7.86    54.50 
HSBC USA, INC            40441XTK6 11/25/22 05/28/24    100.000     0.000     5.5164                        0.153233   0.153304   0.157532  0.161877      5.52    56.23 
HSBC USA, INC            40441XTJ9 12/05/22 03/05/24    100.000     0.000     5.4457                                   0.151269   0.153329  0.157504      3.93    55.55 
HSBC USA, INC            40441XTH3 11/25/22 02/26/24    100.000     0.000     5.5803                                   0.155008   0.157195  0.161581      5.58    57.02 
HSBC USA, INC            40441XTL4 12/05/22 06/05/24    100.000     0.000     5.3407                                   0.148353   0.152314  0.156382      3.86    54.33 
HSBC USA, INC            40441XUY4 11/28/22 11/28/25    100.000     0.000     5.0853                                   0.141258   0.144850  0.148533      4.66    51.74 
HSBC USA, Inc.           40435U3T9 02/04/20 02/05/24    100.000     0.000     1.7442     33.70   0.049732   0.050166   0.050604   0.051045  0.051490     18.11    18.43 
HSBC USA, Inc.           40435U3S1 02/04/20 02/06/23    100.000     0.000     1.7448     33.72   0.049752   0.050186   0.050624                          18.12     1.77 
HSBC USA, Inc.           40435FZN0 05/02/18 05/02/23    100.000     0.000     3.6133    140.24   0.113770   0.115826   0.117918                          41.57    14.27 
HSBC USA, Inc.           40433UQV1 07/29/16 07/31/23    100.000     0.000     2.6252    152.00   0.083090   0.084181   0.085286   0.086405               30.44    18.03 
HSBC USA, Inc.           40435FJ99 07/27/18 07/28/25    100.000     0.000     3.7400    135.46   0.116115   0.118286   0.120498   0.122751  0.125047     42.86    44.48 
HSBC USA, Inc.           40435FJB4 10/31/17 04/28/23    100.000     0.000     2.7712    121.62   0.085923   0.087114   0.088321                          31.30    10.33 
HSBC USA, Inc.           40433UQZ2 07/29/16 07/31/23    100.000     0.000     2.6252    152.00   0.083091   0.084182   0.085287   0.086406               30.44    18.03 
HSBC USA, Inc.           40435UEW0 02/22/19 02/22/24    100.000     0.000     3.3153     98.57   0.099981   0.101639   0.103324   0.105036  0.106777     36.72    37.95 
HSBC USA, Inc.           40435FJL2 10/25/17 10/25/24    100.000     0.000     3.0894    136.87   0.097012   0.098511   0.100032   0.101578  0.103147     35.39    36.50 
HSBC USA, Inc.           40435UEV2 02/22/19 02/22/24    100.000     0.000     3.3153     98.57   0.099981   0.101639   0.103324   0.105036  0.106777     36.72    37.95 
HSBC USA, Inc.           40435FK22 07/27/18 07/27/23    100.000     0.000     3.5941    129.89   0.111097   0.113094   0.115126   0.117195               40.97    24.09 
HSBC USA, Inc.           40435FJQ1 10/30/17 10/30/24    100.000     0.500     3.1256    137.00   0.096469   0.097976   0.099073   0.100622  0.101760     35.16    36.11 
HSBC USA, Inc.           40433UTZ9 09/30/16 10/02/23    100.000     0.000     2.3972    133.36   0.075024   0.075923   0.076833   0.077754               27.33    20.99 
HSBC USA, Inc.           40433BEJ3 06/27/14 06/27/29    100.000    VARIES     4.0230    295.37   0.109720   0.109837   0.109957   0.110079  0.110204     39.52    39.61 
HSBC USA, Inc.           40432XKQ3 09/26/13 09/26/23    100.000    VARIES     3.9579    325.99   0.109789   0.109826   0.109864   0.109902               39.54    29.12 
HSBC USA, Inc.           40435FW60 08/30/18 08/30/23    100.000     0.000     3.5443    124.39   0.109396   0.111313   0.113307   0.115293               40.20    27.44 
HSBC USA, Inc.           40432XKX8 09/12/13 09/12/23     98.875    VARIES     1.6700     31.12   0.011017   0.011109   0.011202   0.011296                4.00     2.83 
HSBC USA, Inc.           40434N283 06/03/16 05/26/23    100.000     0.000     2.4858    147.76   0.079062   0.080045   0.081040                          28.71    11.75 
HSBC USA, Inc.           40435FVW4 03/06/18 03/06/26    100.000     0.000     3.5803    145.20   0.112606   0.114622   0.116673   0.118762  0.120888     41.37    42.86 
HSBC USA, Inc.           40435UAL8 11/16/18 11/16/23    100.000     2.000     3.7066    118.51   0.108482   0.109463   0.110462   0.111480               39.32    34.98 
HSBC USA, Inc.           40435UAK0 11/20/18 11/20/23    100.000     0.000     3.7182    121.59   0.115354   0.117499   0.119683   0.121909               42.09    38.58 
HSBC USA, Inc.           40432XLT6 09/30/13 10/02/23    100.000    VARIES     1.5394     22.07   0.007796   0.007856   0.007916   0.007977                2.83     2.16 
HSBC USA, Inc.           40435F5S2 10/23/18 10/23/23    100.000     0.000     3.8181    128.23   0.118801   0.121069   0.123381   0.125736               43.49    36.45 
HSBC USA, Inc.           40435F5R4 10/23/18 10/23/23    100.000     0.000     3.8181    128.23   0.118801   0.121069   0.123381   0.125736               43.49    36.45 
HSBC USA, Inc.           40435FG43 06/29/18 06/29/23    100.000     0.000     3.5351    130.71   0.111010   0.112972   0.114969                          40.32    20.46 
HSBC USA, Inc.           40435FG35 06/29/18 06/30/25    100.000     0.000     3.7007    137.17   0.116886   0.119049   0.121252   0.123495  0.125780     42.47    44.06 
HSBC USA, Inc.           40434C386 06/16/14 12/16/22    100.000     0.000     3.2386    274.17   0.114472   0.116325                                     39.83          
HSBC USA, Inc.           40435FH91 08/09/18 08/09/23    100.000    VARIES     3.6010    121.93   0.099820   0.099871   0.099923   0.099975               35.96    21.79 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC USA, Inc.           40435FXS1 04/30/18 05/01/23    100.000     0.000     3.7905    147.78   0.120092   0.122368   0.124687                          43.92    14.96 
HSBC USA, Inc.           40432XNT4 12/04/13 12/04/28    100.000    VARIES     3.4249    263.12   0.091610   0.091835   0.092064   0.092297  0.092533     33.03    33.20 
HSBC USA, Inc.           40435FZ34 09/28/18 09/28/23    100.000     0.000     3.7109    127.33   0.115103   0.117238   0.119414   0.121629               42.22    32.28 
HSBC USA, Inc.           40435FZ26 09/28/18 09/29/25    100.000     0.000     3.8667    132.96   0.120499   0.122829   0.125204   0.127625  0.130092     44.23    45.96 
HSBC USA, Inc.           40435FHY6 10/12/17 10/12/22    100.000     0.000     2.6944    119.58   0.083303   0.084425                                     23.61          
HSBC USA, Inc.           40436A347 02/28/19 02/24/23    100.000     0.000     3.2374     95.58   0.097410   0.098987   0.100589                          35.76     5.33 
HSBC USA, Inc.           40432X5T4 01/15/13 01/15/43    100.000     0.000     4.5776    500.20   0.186816   0.191092   0.195466   0.199940  0.204516     69.46    72.68 
HSBC USA, Inc.           40435FQZ3 12/29/17 12/31/24    100.000     0.000     2.1006     87.31   0.063442   0.064108   0.064781   0.065462  0.066149     22.96    23.45 
HSBC USA, Inc.           40435FR90 08/31/18 09/02/25    100.000     0.000     3.6706    129.06   0.113739   0.115827   0.117952   0.120117  0.122322     41.82    43.37 
HSBC USA, Inc.           40435FB48 05/24/18 05/27/25    100.000     0.000     2.6745    100.47   0.081550   0.082641   0.083746   0.084866  0.086001     29.63    30.43 
HSBC USA, Inc.           40435FRS8 02/02/18 02/02/23    100.000    VARIES     3.1727    123.94   0.088018   0.088055   0.088093                          31.70     2.73 
HSBC USA, Inc.           40435FAQ0 07/03/17 07/01/22    100.000     0.000     2.5570    120.97   0.079618                                                14.33          
HSBC USA, Inc.           40435FS24 08/31/18 08/31/23    100.000     0.000     3.5246    123.66   0.108723   0.110618   0.112589   0.114551               39.95    27.27 
HSBC USA, Inc.           40432X7E5 01/29/13 01/29/43    100.000     0.000     4.6460    506.55   0.190690   0.195119   0.199652   0.204290  0.209036     70.81    74.14 
HSBC USA, Inc.           40433UZY5 11/10/16 11/10/22    100.000     0.000     2.5056    136.60   0.078827   0.079814                                     24.54          
HSBC USA, Inc.           40435FBB2 07/27/17 07/27/22    100.000     0.000     2.6657    124.41   0.082321   0.083418                                     17.16          
HSBC USA, Inc.           40435UNY6 06/19/19 06/20/22    100.000     0.000     2.3706     61.52   0.069851                                                11.80          
HSBC USA, Inc.           40432XZ79 05/21/14 05/21/29    100.000    VARIES     3.9810    293.82   0.107874   0.108031   0.108191   0.108354  0.108520     38.88    38.99 
HSBC USA, Inc.           40432XHZ7 07/26/13 07/26/23    100.000    VARIES     1.5824     24.43   0.008410   0.008476   0.008543   0.008611                3.06     1.76 
HSBC USA, Inc.           40435FTA5 02/28/18 02/28/25    100.000     0.000     3.5313    143.98   0.110876   0.112834   0.114826   0.116853  0.118917     40.75    42.21 
HSBC USA, Inc.           40435FCC9 07/28/17 07/29/24    100.000     0.000     3.0414    142.92   0.095333   0.096782   0.098254   0.099748  0.101265     35.02    36.10 
HSBC USA, Inc.           40434V780 07/13/16 06/30/23    100.000     0.000     2.5156    146.52   0.080110   0.081118   0.082138                          29.02    14.70 
HSBC USA, Inc.           40433X316 08/12/13 08/14/23    100.000     0.000     3.8455    376.39   0.144906   0.147693   0.150532   0.153427               53.44    34.09 
HSBC USA, Inc.           40435FTN7 02/08/18 02/09/23    100.000     0.000     3.1077    127.73   0.096172   0.097667   0.099184                          35.32     3.77 
HSBC USA, Inc.           40435FTR8 02/13/18 02/13/23    100.000    VARIES     3.1734    122.99   0.088037   0.088074   0.088112                          31.71     3.70 
HSBC USA, Inc.           40433BUB2 12/03/14 12/04/23    100.000     0.000     2.9962    234.30   0.102498   0.104034   0.105592   0.107174               37.26    35.45 
HSBC USA, Inc.           40435FV46 07/31/18 08/01/23    100.000     0.000     3.6433    131.43   0.112792   0.114847   0.116939   0.119069               41.60    24.94 
HSBC USA, Inc.           40435G725 08/31/17 08/30/24    100.000     0.000     2.8720    131.64   0.089418   0.090688   0.092005   0.093311  0.094666     32.73    33.68 
HSBC USA, Inc.           40432XJY8 08/23/13 08/23/23     98.875    VARIES     1.6689     31.25   0.010988   0.011080   0.011172   0.011266                4.00     2.61 
HSBC USA, Inc.           40433UUA2 09/30/16 10/02/23    100.000     0.000     2.3972    133.36   0.075024   0.075923   0.076833   0.077754               27.33    20.99 
HSBC USA, Inc.           40435FN29 07/09/18 07/10/23    100.000     0.000     3.5252    129.23   0.108755   0.110672   0.112622   0.114608               40.16    21.64 
HSBC USA, Inc.           40435UJQ8 04/02/19 04/04/22    100.000     0.000     2.5379     71.76   0.075096                                                 6.98          
HSBC USA, Inc.           40434V293 09/02/16 08/25/23    100.000     0.000     2.5349    143.73   0.079827   0.080839   0.081863   0.082901               29.18    19.34 
HSBC USA, Inc.           40433UWA0 10/31/16 10/31/23    100.000     0.000     2.6044    143.14   0.082336   0.083408   0.084494   0.085594               29.97    25.46 
HSBC USA, Inc.           40435B247 12/30/16 12/22/23    100.000     0.000     3.3412    180.32   0.109456   0.111285   0.113144   0.115034               39.77    40.05 
HSBC USA, Inc.           40433UVZ6 10/31/16 10/31/23    100.000     0.000     2.6044    143.14   0.082337   0.083409   0.084495   0.085596               29.97    25.46 
HSBC USA, Inc.           40434E127 03/03/16 02/24/23    100.000     0.000     2.1215    130.88   0.066147   0.066849   0.067558                          24.12     3.58 
HSBC USA, Inc.           40434G775 04/30/15 05/02/22    100.000     0.000     2.2886    163.91   0.073716                                                 8.92          
HSBC USA, Inc.           40433UFF8 12/31/15 01/02/24    100.000     0.000     1.6730    105.18   0.050937   0.051363   0.051792   0.052225  0.052662     18.57    18.88 
HSBC USA, Inc.           40435B304 10/06/16 09/29/23    100.000     0.000     2.5061    139.31   0.078806   0.079793   0.080793   0.081806               28.73    21.83 
HSBC USA, Inc.           40441XDM9 07/05/22 07/05/24    100.000     0.000     3.6664                                   0.101844   0.103711  0.105613     17.92    37.66 
HSBC USA, Inc.           40435FPC5 12/18/17 06/18/25    100.000     0.000     2.0994     87.95   0.063399   0.064064   0.064737   0.065416  0.066103     22.96    23.45 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

HSBC USA, Inc.           40434K354 12/30/15 12/23/22    100.000     0.000     1.6731    105.19   0.051344   0.051774                                     18.15          
HSBC USA, Inc.           40441XDT4 07/07/22 07/08/24    100.000     0.000     3.8136                                   0.105933   0.107964  0.110023     18.43    39.21 
HSBC USA, Inc.           40435FPK7 12/27/17 12/29/25    100.000     0.000     3.2733    139.09   0.103552   0.105247   0.106969   0.108720  0.110499     37.59    38.83 
HSBC USA, Inc.           40435FPY7 01/31/18 01/31/25    100.000     0.000     3.4220    142.26   0.107043   0.108875   0.110738   0.112632  0.114560     39.42    40.78 
HSBC USA, Inc.           40435G295 09/14/17 09/14/23    100.000     0.000     1.9320     86.14   0.057956   0.058516   0.059081   0.059652               21.09    15.05 
HSBC USA, Inc.           40435G279 09/14/17 09/15/22    100.000     0.000     1.9322     86.16   0.057967   0.058527                                     14.82          
HSBC USA, Inc.           40434E267 02/04/16 01/27/23    100.000     0.000     1.8122    112.49   0.055572   0.056075   0.056583                          20.25     1.47 
HSBC USA, Inc.           40432X5F4 12/21/12 12/21/22    100.000    VARIES     1.3476     35.58   0.011444   0.011521                                      4.02          
HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27     92.155     0.000     1.4000      3.51   0.035839   0.036017   0.036269   0.036523  0.036779     13.00    13.18 
HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26     94.447     0.000     1.1800      3.03   0.030958   0.031088   0.031271   0.031456  0.031641     11.22    11.35 
HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25     96.116     0.000     1.0300      2.70   0.027501   0.027602   0.027744   0.027887  0.028030      9.95    10.06 
HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24     97.885     0.000     0.7500      2.00   0.020392   0.020446   0.020523   0.020600  0.020677      7.37     7.42 
HUTTO TEX INDPT SCH DIST 4484922U1 09/23/21 08/01/23     99.096     0.000     0.4900      1.32   0.013487   0.013511   0.013544   0.013577                4.87     2.85 
ILLINOIS FIN AUTH EDL FA 452029AH4 11/01/18 11/01/23     94.876     6.010     7.2500     30.33   0.029872   0.030955   0.032077   0.033240               11.08     9.83 
ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25     76.873     6.500    12.0451    128.15   0.285654   0.302857   0.321097   0.340435  0.360938    111.28   125.09 
ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25     76.873     6.500    11.1575    180.95   0.281175   0.296861   0.313422   0.330907  0.349367    108.92   121.41 
Illinois Student Asst Co 452281JD1 10/27/10 04/25/23     95.305    VARIES        N/A     46.37   0.002771   0.002062   0.000473                           0.53     0.04 
JACKSON PERRY & RANDOLPH 468687BU1 09/12/17 12/01/22    104.761     4.250     3.2383    144.32   0.090842   0.090401                                     29.90          
JACKSONVILLE TEX INDPT   469736PL0 12/09/21 02/15/24     98.015     0.000     0.9203      0.55   0.025057   0.025099   0.025214   0.025330  0.025447      9.05     9.13 
JACKSONVILLE TEX INDPT   469736PK2 12/09/21 02/15/23     99.363     0.000     0.5407      0.33   0.014923   0.014938   0.014979                           5.38     0.66 
JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28     90.653     0.000     1.3001     11.24   0.032982   0.033197   0.033413   0.033630  0.033848     11.97    12.13 
JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27     93.165     0.000     1.0801      9.59   0.028125   0.028277   0.028430   0.028583  0.028738     10.19    10.30 
JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25     96.591     0.000     0.7600      6.99   0.020481   0.020558   0.020637   0.020715  0.020794      7.41     7.46 
JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24     97.673     0.000     0.6602      6.14   0.017979   0.018039   0.018098   0.018158  0.018218      6.50     6.54 
JOHNSON & UN CNTYS ILL   478169AA3 07/19/17 12/01/27    100.000     5.700     5.6760    254.84   0.157856   0.157843   0.157829   0.157815  0.157800     56.82    56.81 
JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25     95.042     0.000     1.0381     12.77   0.027666   0.027809   0.027954   0.028099  0.028245     10.02    10.13 
JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24     96.406     0.000     0.9380     11.70   0.025334   0.025453   0.025572   0.025692  0.025813      9.17     9.26 
JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26     92.615     0.000     1.3020     15.63   0.033896   0.034116   0.034338   0.034562  0.034787     12.30    12.46 
JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27     90.795     0.000     1.4021     16.51   0.035815   0.036066   0.036319   0.036574  0.036830     13.01    13.19 
JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28     87.771     0.000     1.8099     17.85   0.044719   0.045124   0.045532   0.045944  0.046360     16.28    16.58 
JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25     95.255     0.000     1.1500     12.28   0.030688   0.030865   0.031042   0.031221  0.031400     11.13    11.26 
JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27     90.367     0.000     1.6300     16.54   0.041411   0.041748   0.042088   0.042431  0.042777     15.06    15.31 
JOURDANTON TEX INDPT SCH 481124FJ9 11/19/20 02/15/26     92.951     0.000     1.4001     14.60   0.036524   0.036779   0.037037   0.037296  0.037557     13.26    13.45 
JOURDANTON TEX INDPT SCH 481124FE0 11/19/20 02/15/22     99.260     0.000     0.6003      6.67   0.016626                                                 0.73          
JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24     96.976     0.000     0.9502     10.32   0.025777   0.025899   0.026022   0.026146  0.026270      9.34     9.42 
JOURDANTON TEX INDPT SCH 481124FF7 11/19/20 02/15/23     98.447     0.000     0.7002      7.72   0.019248   0.019316   0.019383                           6.96     0.85 
JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29     85.363     0.000     1.9300     18.52   0.046418   0.046866   0.047318   0.047775  0.048236     16.91    17.24 
JP MORGAN CHASE FIN COM  48133DJ68 06/23/22 06/23/25    100.000     0.000     3.4100                        0.094722   0.096337   0.097980  0.099650     17.82    35.00 
JP MORGAN CHASE FIN COM  48133GC92 07/06/22 07/03/25    100.000     0.000     4.8100                                   0.133611   0.136771  0.140060     23.38    49.82 
JP MORGAN CHASE FIN COM  48133GTK9 07/06/22 07/03/25    100.000     0.000     4.8100                                   0.133611   0.136771  0.140060     23.38    49.82 
JP MORGAN CHASE FIN COM  48133GTD5 06/30/22 07/01/27    100.000     0.000     5.0100                                   0.142672   0.142672  0.149910     25.19    52.01 
JP MORGAN CHASE FIN COM  48133GNZ2 07/06/22 07/06/26    100.000     0.000     4.9300                                   0.136944   0.140320  0.143779     23.97    51.10 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JP MORGAN CHASE FIN COM  48133GNR0 06/30/22 07/02/25    100.000     0.000     4.8100                        0.133611   0.133647   0.136861  0.140153     24.19    49.86 
JP MORGAN CHASE FIN COM  48133GNV1 07/06/22 07/03/25    100.000     0.000     4.8100                                   0.133611   0.136771  0.140060     23.38    49.82 
JP MORGAN CHASE FIN COM  48133GNX7 06/30/22 07/02/25    100.000     0.000     4.8100                        0.133611   0.133647   0.136861  0.140153     24.19    49.86 
JP MORGAN CHASE FIN COM  48133GPA5 07/06/22 07/06/27    100.000     0.000     5.0100                                   0.139167   0.142653  0.146226     24.35    51.96 
JP MORGAN CHASE FIN COM  48133GPC1 06/30/22 07/01/27    100.000     0.000     5.0100                                   0.142672   0.142672  0.149910     25.19    52.01 
JP MORGAN CHASE FIN COM  48133LHN5 07/11/22 07/11/24    100.000     0.000     4.6100                                   0.128056   0.131007  0.134027     21.77    47.65 
JP Morgan Chase & Co.    48125UUT7 08/31/15 08/31/25    100.000    VARIES     2.5712     18.81   0.008235   0.008205   0.008448   0.008418  0.008619      3.03     3.10 
JP Morgan Chase & Co.    48125UUL4 08/31/15 08/31/35    100.000    VARIES     4.2124    259.10   0.116986   0.118170   0.119379   0.120613  0.121874     42.62    43.50 
JP Morgan Chase & Co.    48125UTG7 06/30/15 06/30/30    100.000    VARIES     4.4810    267.50   0.111148   0.111320   0.111758   0.112205  0.112662     40.04    40.31 
JP Morgan Chase & Co.    48128GYV6 12/20/18 12/20/28    100.000    VARIES     3.6202     15.72   0.013078   0.013314   0.013555   0.013801  0.014051      4.76     4.93 
JP Morgan Chase & Co.    48128GYU8 12/19/18 11/10/36     47.489     0.000     4.2056     63.94   0.062574   0.063890   0.065233   0.066605  0.068006     22.90    23.87 
JP Morgan Chase & Co.    48128GYQ7 11/27/18 11/27/68     12.184     0.000     4.2547     16.96   0.016338   0.016686   0.017041   0.017403  0.017774      5.97     6.22 
JP Morgan Chase & Co.    48126NHJ9 07/31/13 07/31/23    100.000    VARIES     3.9757    348.83   0.122005   0.123194   0.124406   0.125643               44.50    26.22 
JP Morgan Chase & Co.    48125XKM7 04/08/11 04/08/22    100.000    VARIES     5.1602    564.69   0.143805                                                13.95          
JP Morgan Chase & Co.    48126DQL6 01/31/13 01/31/23    100.000    VARIES     3.1823    293.32   0.095494   0.096138   0.097667                          34.82     2.83 
JP Morgan Chase & Co.    48125UY71 09/18/15 09/18/30    100.000    VARIES     2.6025     27.76   0.011040   0.011183   0.011329   0.011476  0.011626      4.03     4.14 
JP Morgan Chase & Co.    48126NMH7 08/30/13 08/31/23    100.000    VARIES     4.2968    372.02   0.130786   0.129939   0.133428   0.132594               47.91    32.14 
JP Morgan Chase & Co.    46625HME7 07/31/15 07/31/35    100.000    VARIES     4.4624    282.32   0.126653   0.127565   0.128496   0.129449  0.130422     46.04    46.72 
JP Morgan Chase & Co.    48126DVG1 02/28/13 02/28/23    100.000    VARIES     3.2856    300.34   0.098324   0.097415   0.099784                          35.90     5.79 
JP Morgan Chase & Co.    48126D3X5 05/31/13 05/31/23    100.000    VARIES     3.5785    320.74   0.110056   0.110981   0.111922                          39.84    16.68 
JP Morgan Chase & Co.    48126DV89 05/17/13 05/17/28    100.000    VARIES     3.8747    300.84   0.096269   0.096959   0.097662   0.098378  0.099222     34.84    35.36 
JP Morgan Chase & Co.    48125XTB2 06/15/11 06/15/23    100.000    VARIES     5.0712    544.02   0.141821   0.141496   0.141186                          50.99    23.15 
JP Morgan Chase & Co.    48130WND9 01/31/19 02/02/26    100.000     0.000     3.7407    114.30   0.114019   0.116152   0.118324   0.120537  0.122792     42.07    43.66 
JP Morgan Chase & Co.    48126DS59 04/30/13 04/30/28    100.000    VARIES     3.8928    308.01   0.096525   0.097127   0.097741   0.098367  0.099190     34.93    35.39 
JP Morgan Chase & Co.    48126DJ91 04/30/13 04/28/23    100.000    VARIES     3.1390    282.81   0.095473   0.096197   0.096933                          34.59    11.34 
JP Morgan Chase & Co.    48126NWV5 10/31/13 10/31/23    100.000    VARIES     3.8580    326.30   0.117041   0.118039   0.119055   0.120092               42.44    35.78 
JP Morgan Chase & Co.    48126N5L7 03/28/14 03/28/29    100.000    VARIES     4.4199    326.75   0.115537   0.115645   0.115929   0.116219  0.116515     41.65    41.84 
JP Morgan Chase & Co.    48126DZQ5 03/28/13 03/31/23    100.000    VARIES     3.3453    306.19   0.102750   0.103569   0.104439                          37.29     9.30 
JP Morgan Chase & Co.    48130W5U1 03/29/19 03/31/26    100.000     0.000     3.2713     93.57   0.098558   0.100170   0.101808   0.103474  0.105166     36.07    37.26 
JP Morgan Chase & Co.    48128GF88 05/24/17 05/24/27    100.000    VARIES     2.5870     16.20   0.009671   0.009796   0.009923   0.010051  0.010181      3.51     3.60 
JP Morgan Chase & Co.    48127F731 04/30/14 04/30/24    100.000     0.000     3.8108    335.84   0.140500   0.143177   0.145905   0.148685  0.151518     51.39    53.37 
JP Morgan Chase & Co.    48130U2N4 10/31/18 10/31/25    100.000     0.000     4.1115    137.73   0.129039   0.131692   0.134399   0.137162  0.139982     47.26    49.22 
JP Morgan Chase & Co.    48130UU29 11/30/18 11/28/25    100.000     0.000     4.1207    134.18   0.129333   0.131998   0.134718   0.137493  0.140326     47.22    49.18 
JP Morgan Chase & Co.    48126NCW5 06/28/13 06/30/23    100.000    VARIES     4.3049    381.89   0.133421   0.134738   0.136083                          48.27    24.36 
JP Morgan Chase & Co.    48126NTC1 11/20/13 11/20/28    100.000    VARIES     4.6982    354.86   0.122436   0.123213   0.124009   0.124823  0.125657     44.28    44.86 
JP Morgan Chase & Co.    48126NSZ1 10/31/13 10/31/28    100.000    VARIES     4.4385    337.72   0.115399   0.116072   0.116760   0.117464  0.118182     41.75    42.25 
JPMORGAN CHASE FINANCIAL 48133NXZ6 10/12/22 04/11/24    100.000     0.000     4.7400                                   0.131667   0.134770  0.137964     10.40    48.46 
JPMORGAN CHASE FINANCIAL 48133ME71 09/30/22 10/02/29    100.000     0.000     5.2900                        0.146944   0.146988   0.150875  0.154866     13.38    54.32 
JPMORGAN CHASE FINANCIAL 48133MDX5 10/19/22 10/21/24    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374      9.70    49.56 
JPMORGAN CHASE FINANCIAL 48133MDL1 09/28/22 09/24/25    100.000     0.000     4.9800                                   0.138333   0.141701  0.145230     12.87    51.08 
JPMORGAN CHASE FINANCIAL 48133M5M8 10/05/22 10/05/27    100.000     0.000     5.1900                                   0.144167   0.147908  0.151746     12.40    53.23 
JPMORGAN CHASE FINANCIAL 48133M5B2 10/05/22 10/05/27    100.000     0.000     5.1900                                   0.144167   0.147908  0.151746     12.40    53.23 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48133M6A3 10/05/22 10/05/27    100.000     0.000     5.0100                                   0.139167   0.142653  0.146226     11.97    51.33 
JPMORGAN CHASE FINANCIAL 48133MC73 09/28/22 09/28/26    100.000     0.000     4.9300                                   0.136944   0.140320  0.143779     12.74    50.54 
JPMORGAN CHASE FINANCIAL 48133MC57 09/28/22 09/28/28    100.000     0.000     5.0800                                   0.141111   0.144695  0.148371     13.12    52.12 
JPMORGAN CHASE FINANCIAL 48133NEZ7 10/05/22 10/03/25    100.000     0.000     4.9800                                   0.138333   0.141740  0.145269     11.90    51.02 
JPMORGAN CHASE FINANCIAL 48133NRB6 10/26/22 10/26/28    100.000     0.000     5.2600                                   0.146111   0.149954  0.153898      9.50    53.80 
JPMORGAN CHASE FINANCIAL 48133NA32 10/14/22 04/16/24    100.000     0.000     4.7400                        0.131667   0.131701   0.134823  0.138018     10.14    48.45 
JPMORGAN CHASE FINANCIAL 48133NRE0 10/26/22 10/26/26    100.000     0.000     5.1000                                   0.141667   0.145279  0.148984      9.21    52.13 
JPMORGAN CHASE FINANCIAL 48133NAU2 09/27/22 09/17/27    100.000     0.000     5.1900                                   0.144167   0.147700  0.151533     13.55    53.30 
JPMORGAN CHASE FINANCIAL 48133M6X3 09/30/22 10/02/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348     12.59    51.05 
JPMORGAN CHASE FINANCIAL 48133MYT1 09/21/22 09/21/26    100.000     0.000     5.1000                                   0.141667   0.145279  0.148984     14.17    52.38 
JPMORGAN CHASE FINANCIAL 48133MQ60 09/30/22 09/30/27    100.000     0.000     5.1900                                   0.144167   0.147908  0.151746     13.12    53.26 
JPMORGAN CHASE FINANCIAL 48133LCE0 08/03/22 08/01/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     19.77    49.64 
JPMORGAN CHASE FINANCIAL 48133LCA8 08/03/22 08/01/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     19.77    49.64 
JPMORGAN CHASE FINANCIAL 48133MFW5 08/25/22 09/27/23    100.000     0.000     3.6100                        0.100278   0.100600   0.102415               12.67    27.09 
JPMORGAN CHASE FINANCIAL 48133MPW4 08/24/22 08/22/24    100.000     0.000     4.6100                                   0.128056   0.130974  0.133993     16.26    47.39 
JPMORGAN CHASE FINANCIAL 48133MPV6 08/24/22 08/22/24    100.000     0.000     4.6100                                   0.128056   0.130974  0.133993     16.26    47.39 
JPMORGAN CHASE FINANCIAL 48133MGT1 08/18/22 08/20/24    100.000     0.000     4.6100                        0.128056   0.128088   0.131041  0.134061     17.04    47.43 
JPMORGAN CHASE FINANCIAL 48133MHH6 08/18/22 08/20/24    100.000     0.000     4.6100                        0.128056   0.128088   0.131041  0.134061     17.04    47.43 
JPMORGAN CHASE FINANCIAL 48133MHT0 08/18/22 08/19/27    100.000     0.000     5.0100                                   0.139167   0.142672  0.146246     18.51    51.67 
JPMORGAN CHASE FINANCIAL 48133LF72 08/24/22 08/24/26    100.000     0.000     4.9300                                   0.136944   0.140320  0.143779     17.39    50.78 
JPMORGAN CHASE FINANCIAL 48133LF64 08/24/22 08/24/28    100.000     0.000     5.0800                                   0.141111   0.144695  0.148371     17.92    52.37 
JPMORGAN CHASE FINANCIAL 48133LCH3 08/03/22 08/03/26    100.000     0.000     4.9300                                   0.136944   0.140320  0.143779     20.27    50.92 
JPMORGAN CHASE FINANCIAL 48133LCJ9 08/03/22 08/03/27    100.000     0.000     5.0100                                   0.139167   0.142653  0.146226     20.60    51.77 
JPMORGAN CHASE FINANCIAL 48133L2U5 08/10/22 09/08/23    100.000     0.000     3.7400                        0.103889   0.104191   0.106139               14.68    26.09 
JPMORGAN CHASE FINANCIAL 48133LUQ3 08/03/22 08/01/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     19.77    49.64 
JPMORGAN CHASE FINANCIAL 48133E181 08/03/22 08/05/25    100.000     0.000     4.8100                        0.133611   0.133647   0.136861  0.140153     19.78    49.64 
JPMORGAN CHASE FINANCIAL 48133LX23 08/10/22 08/08/24    100.000     0.000     4.6100                                   0.128056   0.130974  0.133993     18.06    47.47 
JPMORGAN CHASE FINANCIAL 48133LX49 08/10/22 08/08/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     18.84    49.60 
JPMORGAN CHASE FINANCIAL 48133LFC1 08/03/22 08/01/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     19.77    49.64 
JPMORGAN CHASE FINANCIAL 48132HKM3 12/24/19 12/22/23    100.000     0.000     2.2002     45.18   0.063843   0.064545   0.065255   0.065973               23.12    23.03 
JPMORGAN CHASE FINANCIAL 48133DZS2 04/05/22 04/03/25    100.000     0.000     2.1708                        0.060300   0.060948   0.061609  0.062278     16.10    22.18 
JPMORGAN CHASE FINANCIAL 48133DZT0 04/05/22 04/05/27    100.000     0.000     2.6911                        0.074752   0.075758   0.076777  0.077810     19.97    27.63 
JPMORGAN CHASE FINANCIAL 48133DZZ6 04/05/22 04/03/25    100.000     0.000     2.1708                        0.060300   0.060948   0.061609  0.062278     16.10    22.18 
JPMORGAN CHASE FINANCIAL 48130UMA0 09/27/18 09/28/23    100.000     0.000     3.8719    133.27   0.120678   0.123014   0.125396   0.127824               44.30    33.92 
JPMORGAN CHASE FINANCIAL 48132K3E3 06/03/20 05/31/23    100.000     0.000     2.7309     43.74   0.078989   0.080068   0.081161                          28.70    12.09 
JPMORGAN CHASE FINANCIAL 48132K3G8 06/03/20 05/31/23    100.000     0.000     2.7309     43.74   0.078989   0.080068   0.081161                          28.70    12.09 
JPMORGAN CHASE FINANCIAL 48129MF84 07/31/18 07/31/25    100.000     0.000     3.8909    140.87   0.121325   0.123685   0.126091   0.128544  0.131045     44.82    46.58 
JPMORGAN CHASE FINANCIAL 48129MF27 07/31/18 07/31/25    100.000     0.000     3.8909    140.87   0.121325   0.123685   0.126091   0.128544  0.131045     44.82    46.58 
JPMORGAN CHASE FINANCIAL 48130WT50 05/03/19 04/30/24    100.000     0.000     3.1311     86.22   0.093977   0.095448   0.096943   0.098460  0.100002     34.28    35.36 
JPMORGAN CHASE FINANCIAL 48130W2J9 03/12/19 07/12/22    100.000     0.000     3.0703     89.19   0.091572   0.092977                                     17.74          
JPMORGAN CHASE FINANCIAL 48130WTC5 02/11/19 02/09/24    100.000     0.000     3.8413    116.22   0.117326   0.119579   0.121876   0.124217  0.126602     43.29    44.97 
JPMORGAN CHASE FINANCIAL 48132HLL4 01/15/20 01/15/25    100.000     0.000     2.3402     46.69   0.067316   0.068103   0.068900   0.069706  0.070522     24.64    25.22 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48128GJ27 08/31/17 08/31/27    100.000    VARIES     2.4049     11.35   0.006910   0.006993   0.007078   0.007162  0.007249      2.52     2.58 
JPMORGAN CHASE FINANCIAL 48129ME93 07/31/18 07/31/25    100.000     0.000     3.8909    140.87   0.121325   0.123685   0.126091   0.128544  0.131045     44.82    46.58 
JPMORGAN CHASE FINANCIAL 46647MRM7 04/25/18 04/25/23    100.000     0.000     3.6617    143.04   0.115488   0.117602   0.119756                          42.24    13.65 
JPMORGAN CHASE FINANCIAL 48132HMH2 02/05/20 01/31/23    100.000     0.000     2.1108     40.83   0.060492   0.061131   0.061776                          22.09     1.79 
JPMORGAN CHASE FINANCIAL 48132HMG4 02/05/20 10/31/22    100.000     0.000     2.1004     40.65   0.060501   0.061136                                     18.20          
JPMORGAN CHASE FINANCIAL 48132FFT8 09/30/19 09/30/25    100.000     0.000     2.7505     63.50   0.080692   0.081802   0.082927   0.084067  0.085223     29.45    30.27 
JPMORGAN CHASE FINANCIAL 48132FFS0 09/30/19 09/30/26    100.000     0.000     2.8905     66.81   0.085036   0.086265   0.087512   0.088777  0.090060     31.06    31.96 
JPMORGAN CHASE FINANCIAL 48132FFU5 09/30/19 09/30/24    100.000     0.000     2.5908     59.73   0.075770   0.076751   0.077746   0.078753  0.079773     27.63    28.35 
JPMORGAN CHASE FINANCIAL 48129M3J3 06/27/18 06/26/25    100.000     0.000     3.9304    146.45   0.125098   0.127557   0.130064   0.132620  0.135226     45.50    47.31 
JPMORGAN CHASE FINANCIAL 48132F5V4 12/03/19 05/31/22    100.000     0.000     2.0803     43.95   0.060218                                                 8.97          
JPMORGAN CHASE FINANCIAL 48132F6L5 12/03/19 11/29/24    100.000     0.000     2.3202     49.11   0.067475   0.068258   0.069050   0.069851  0.070661     24.48    25.05 
JPMORGAN CHASE FINANCIAL 48132HMV1 01/31/20 10/31/22    100.000     0.000     2.1002     40.94   0.060511   0.061146                                     18.21          
JPMORGAN CHASE FINANCIAL 48130WV24 05/03/19 01/31/22    100.000     0.000     2.7705     76.01   0.081856                                                 2.37          
JPMORGAN CHASE FINANCIAL 48130WV32 05/03/19 04/29/22    100.000     0.000     2.8015     76.87   0.083399                                                 9.84          
JPMORGAN CHASE FINANCIAL 48132HMX7 01/31/20 01/31/23    100.000     0.000     2.1102     41.12   0.060492   0.061130   0.061775                          22.09     1.79 
JPMORGAN CHASE FINANCIAL 48130WV40 05/03/19 04/29/22    100.000     0.000     2.8015     76.87   0.083399                                                 9.84          
JPMORGAN CHASE FINANCIAL 48132HML3 02/05/20 01/31/23    100.000     0.000     2.1108     40.83   0.060492   0.061131   0.061776                          22.09     1.79 
JPMORGAN CHASE FINANCIAL 48132HMK5 02/05/20 01/31/23    100.000     0.000     2.1108     40.83   0.060492   0.061131   0.061776                          22.09     1.79 
JPMORGAN CHASE FINANCIAL 48132F6F8 11/29/19 05/30/25    100.000     0.000     2.4004     51.12   0.069940   0.070780   0.071629   0.072489  0.073359     25.38    25.99 
JPMORGAN CHASE FINANCIAL 48132HMN9 02/05/20 01/31/25    100.000     0.000     2.3404     45.35   0.067300   0.068087   0.068884   0.069690  0.070506     24.61    25.19 
JPMORGAN CHASE FINANCIAL 48132F6E1 11/29/19 05/31/24    100.000     0.000     2.2505     47.87   0.065379   0.066114   0.066858   0.067610  0.068371     23.71    24.25 
JPMORGAN CHASE FINANCIAL 48132HMM1 02/05/20 01/31/25    100.000     0.000     2.3404     45.35   0.067300   0.068087   0.068884   0.069690  0.070506     24.61    25.19 
JPMORGAN CHASE FINANCIAL 48132F6H4 12/03/19 11/30/22    100.000     0.000     2.1009     44.39   0.060838   0.061477                                     20.13          
JPMORGAN CHASE FINANCIAL 48132F6G6 11/29/19 11/30/26    100.000     0.000     2.6400     56.33   0.077287   0.078308   0.079341   0.080389  0.081450     28.07    28.82 
JPMORGAN CHASE FINANCIAL 48132CP98 09/05/19 08/30/24    100.000     0.000     2.1403     50.70   0.062020   0.062676   0.063354   0.064025  0.064718     22.61    23.09 
JPMORGAN CHASE FINANCIAL 48130WV57 05/03/19 04/30/24    100.000     0.000     3.1311     86.22   0.093977   0.095448   0.096943   0.098460  0.100002     34.28    35.36 
JPMORGAN CHASE FINANCIAL 48130WV65 05/03/19 04/30/24    100.000     0.000     3.1311     86.22   0.093977   0.095448   0.096943   0.098460  0.100002     34.28    35.36 
JPMORGAN CHASE FINANCIAL 48132HMY5 01/31/20 01/31/25    100.000     0.000     2.3404     45.68   0.067321   0.068109   0.068906   0.069712  0.070528     24.62    25.20 
JPMORGAN CHASE FINANCIAL 48130WV73 04/18/19 04/20/26    100.000     0.000     3.2710     91.69   0.098558   0.100170   0.101808   0.103473  0.105166     36.00    37.19 
JPMORGAN CHASE FINANCIAL 48132F6U5 11/29/19 11/30/26    100.000     0.000     2.6400     56.33   0.077287   0.078308   0.079341   0.080389  0.081450     28.07    28.82 
JPMORGAN CHASE FINANCIAL 48132F6W1 12/03/19 11/29/24    100.000     0.000     2.3202     49.11   0.067475   0.068258   0.069050   0.069851  0.070661     24.48    25.05 
JPMORGAN CHASE FINANCIAL 48132F7L4 12/03/19 11/30/22    100.000     0.000     2.1009     44.39   0.060838   0.061477                                     20.13          
JPMORGAN CHASE FINANCIAL 48130WVN8 02/28/19 02/28/22    100.000     0.000     2.9919     88.08   0.089512                                                 5.10          
JPMORGAN CHASE FINANCIAL 48130W4K4 03/29/19 03/31/26    100.000     0.000     3.2713     93.57   0.098558   0.100170   0.101808   0.103474  0.105166     36.07    37.26 
JPMORGAN CHASE FINANCIAL 48130W4L2 03/29/19 03/31/26    100.000     0.000     3.2713     93.57   0.098558   0.100170   0.101808   0.103474  0.105166     36.07    37.26 
JPMORGAN CHASE FINANCIAL 48132F7K6 11/29/19 11/29/24    100.000     0.000     2.3202     49.38   0.067495   0.068278   0.069070   0.069871  0.070682     24.49    25.06 
JPMORGAN CHASE FINANCIAL 48132F7M2 12/03/19 11/30/22    100.000     0.000     2.1009     44.39   0.060838   0.061477                                     20.13          
JPMORGAN CHASE FINANCIAL 48133FBL8 05/04/22 05/02/25    100.000     0.000     3.4117                        0.094769   0.096368   0.098012  0.099684     22.55    35.18 
JPMORGAN CHASE FINANCIAL 48132F7E0 11/29/19 05/31/22    100.000     0.000     2.0810     44.20   0.060253                                                 8.98          
JPMORGAN CHASE FINANCIAL 48130W4J7 03/29/19 03/31/22    100.000     0.000     2.6812     76.17   0.079610                                                 7.09          
JPMORGAN CHASE FINANCIAL 48132CPW7 06/28/19 06/30/26    100.000     0.000     2.8100     72.50   0.083707   0.084883   0.086076   0.087285  0.088511     30.35    31.21 
JPMORGAN CHASE FINANCIAL 48129MBS4 03/29/18 04/01/25    100.000     0.000     2.5507     99.89   0.077436   0.078423   0.079423   0.080436  0.081462     28.23    28.96 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132CPV9 06/28/19 06/28/24    100.000     0.000     2.5102     64.57   0.074214   0.075146   0.076089   0.077044  0.078011     26.89    27.57 
JPMORGAN CHASE FINANCIAL 48129MSR8 06/04/18 06/02/23    100.000     0.000     3.7008    140.10   0.116854   0.119016   0.121218                          42.58    18.30 
JPMORGAN CHASE FINANCIAL 48132CPX5 06/28/19 03/31/23    100.000     0.000     2.2397     57.49   0.065420   0.066152   0.066893                          23.82     5.95 
JPMORGAN CHASE FINANCIAL 48132CPZ0 06/18/19 06/18/26    100.000     0.000     3.1201     81.69   0.093645   0.095106   0.096590   0.098097  0.099627     34.01    35.08 
JPMORGAN CHASE FINANCIAL 48130W5D9 03/18/19 03/18/26    100.000     0.000     3.5710    103.68   0.108373   0.110308   0.112277   0.114282  0.116322     39.76    41.20 
JPMORGAN CHASE FINANCIAL 48133FBM6 05/04/22 05/02/25    100.000     0.000     3.4117                        0.094769   0.096368   0.098012  0.099684     22.55    35.18 
JPMORGAN CHASE FINANCIAL 48133FBP9 05/04/22 05/02/25    100.000     0.000     3.4117                        0.094769   0.096368   0.098012  0.099684     22.55    35.18 
JPMORGAN CHASE FINANCIAL 48132FHZ2 09/30/19 09/30/24    100.000     0.000     2.1409     49.16   0.062056   0.062721   0.063392   0.064070  0.064756     22.58    23.07 
JPMORGAN CHASE FINANCIAL 48133FBR5 05/04/22 05/04/26    100.000     0.000     3.5721                        0.099224   0.100996   0.102800  0.104636     23.62    36.89 
JPMORGAN CHASE FINANCIAL 48132FHY5 09/30/19 03/31/22    100.000     0.000     2.0511     47.06   0.059348                                                 5.28          
JPMORGAN CHASE FINANCIAL 48132CPR8 06/28/19 06/30/22    100.000     0.000     2.5296     65.08   0.074835                                                13.40          
JPMORGAN CHASE FINANCIAL 48132CPU1 06/28/19 06/30/26    100.000     0.000     2.8100     72.50   0.083707   0.084883   0.086076   0.087285  0.088511     30.35    31.21 
JPMORGAN CHASE FINANCIAL 48132CPT4 06/28/19 06/30/26    100.000     0.000     2.8100     72.50   0.083707   0.084883   0.086076   0.087285  0.088511     30.35    31.21 
JPMORGAN CHASE FINANCIAL 48130UHY4 10/03/18 09/29/23    100.000     0.000     3.8721    132.56   0.120621   0.122956   0.125337   0.127763               44.28    34.03 
JPMORGAN CHASE FINANCIAL 48132CYY3 07/31/19 07/31/26    100.000     0.000     2.8103     69.87   0.082545   0.083705   0.084882   0.086074  0.087284     30.28    31.13 
JPMORGAN CHASE FINANCIAL 48132CYW7 07/31/19 07/31/26    100.000     0.000     2.8103     69.87   0.082545   0.083705   0.084882   0.086074  0.087284     30.28    31.13 
JPMORGAN CHASE FINANCIAL 48132KPF6 04/30/20 10/31/24    100.000     0.000     2.7908     47.38   0.080814   0.081941   0.083085   0.084244  0.085420     29.43    30.26 
JPMORGAN CHASE FINANCIAL 48130WNW7 01/31/19 01/31/22    100.000     0.000     3.1417     95.29   0.094342                                                 2.74          
JPMORGAN CHASE FINANCIAL 48132CHN6 06/05/19 02/28/22    100.000     0.000     2.5202     66.58   0.074030                                                 4.22          
JPMORGAN CHASE FINANCIAL 48132CHQ9 06/05/19 05/31/22    100.000     0.000     2.5307     66.84   0.074833                                                11.15          
JPMORGAN CHASE FINANCIAL 48130UZ65 12/05/18 11/30/23    100.000     0.000     3.8710    125.04   0.120572   0.122906   0.125284   0.127709               43.97    41.66 
JPMORGAN CHASE FINANCIAL 48132CHP1 06/05/19 05/31/22    100.000     0.000     2.5307     66.84   0.074833                                                11.15          
JPMORGAN CHASE FINANCIAL 48130UZ73 12/05/18 11/30/23    100.000     0.000     3.8710    125.04   0.120572   0.122906   0.125284   0.127709               43.97    41.66 
JPMORGAN CHASE FINANCIAL 48132CYS6 08/05/19 07/29/22    100.000     0.000     1.9004     46.56   0.054805   0.055326                                     11.49          
JPMORGAN CHASE FINANCIAL 48130UZ81 12/05/18 11/30/23    100.000     0.000     3.8710    125.04   0.120572   0.122906   0.125284   0.127709               43.97    41.66 
JPMORGAN CHASE FINANCIAL 48132CHR7 06/05/19 05/31/24    100.000     0.000     2.8505     75.54   0.084952   0.086162   0.087390   0.088636  0.089899     30.88    31.76 
JPMORGAN CHASE FINANCIAL 48132KPJ8 04/30/20 04/30/27    100.000     0.000     3.0407     51.70   0.088376   0.089720   0.091084   0.092469  0.093874     32.22    33.21 
JPMORGAN CHASE FINANCIAL 48130UZ99 12/05/18 11/30/23    100.000     0.000     3.8710    125.04   0.120572   0.122906   0.125284   0.127709               43.97    41.66 
JPMORGAN CHASE FINANCIAL 48132CHT3 06/05/19 05/31/24    100.000     0.000     2.8505     75.54   0.084952   0.086162   0.087390   0.088636  0.089899     30.88    31.76 
JPMORGAN CHASE FINANCIAL 48130UHX6 10/03/18 09/29/23    100.000     0.000     3.8721    132.56   0.120621   0.122956   0.125337   0.127763               44.28    34.03 
JPMORGAN CHASE FINANCIAL 48132KPW9 05/05/20 07/29/22    100.000     0.000     2.7205     45.79   0.078131   0.079194                                     16.44          
JPMORGAN CHASE FINANCIAL 48129MZX7 06/28/18 06/30/25    100.000     0.000     3.9300    146.30   0.125124   0.127583   0.130090   0.132646  0.135253     45.49    47.30 
JPMORGAN CHASE FINANCIAL 48132KPX7 05/05/20 01/31/23    100.000     0.000     1.7300     28.94   0.049091   0.049516   0.049944                          17.88     1.45 
JPMORGAN CHASE FINANCIAL 48132HXQ0 02/28/20 02/26/27    100.000     0.000     2.6405     49.52   0.076279   0.077286   0.078307   0.079340  0.080388     27.90    28.64 
JPMORGAN CHASE FINANCIAL 48132FSC1 10/31/19 04/30/25    100.000     0.000     2.5307     56.09   0.073925   0.074860   0.075807   0.076766  0.077738     26.90    27.58 
JPMORGAN CHASE FINANCIAL 48132FSB3 10/31/19 04/30/24    100.000     0.000     2.3812     52.71   0.069350   0.070176   0.071012   0.071857  0.072712     25.22    25.82 
JPMORGAN CHASE FINANCIAL 48132CZR7 07/19/19 07/21/26    100.000     0.000     2.9402     74.14   0.086597   0.087871   0.089162   0.090473  0.091803     31.81    32.76 
JPMORGAN CHASE FINANCIAL 48132CJ20 08/30/19 02/28/23    100.000     0.000     2.4808     59.31   0.072386   0.073284   0.074193                          26.44     4.23 
JPMORGAN CHASE FINANCIAL 48132CJ46 08/30/19 02/28/22    100.000     0.000     2.4410     58.33   0.071167                                                 4.06          
JPMORGAN CHASE FINANCIAL 48130UJ97 10/25/18 10/27/25    100.000     0.000     4.1113    138.37   0.129063   0.131716   0.134424   0.137187  0.140007     47.28    49.25 
JPMORGAN CHASE FINANCIAL 48132FSA5 10/31/19 10/30/26    100.000     0.000     2.7505     61.08   0.080693   0.081803   0.082928   0.084069  0.085225     29.39    30.20 
JPMORGAN CHASE FINANCIAL 48132KAB1 03/31/20 06/28/24    100.000     0.000     1.8698     33.17   0.053654   0.054155   0.054662   0.055173  0.055688     19.41    19.77 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132KAE5 03/31/20 03/31/27    100.000     0.000     2.2306     39.66   0.064057   0.064771   0.065493   0.066224  0.066962     23.32    23.84 
JPMORGAN CHASE FINANCIAL 48132KAD7 03/31/20 03/31/26    100.000     0.000     2.0908     37.14   0.059919   0.060545   0.061178   0.061818  0.062464     21.80    22.26 
JPMORGAN CHASE FINANCIAL 48130WPY1 02/05/19 01/31/22    100.000     0.000     3.1213     94.18   0.093642                                                 2.72          
JPMORGAN CHASE FINANCIAL 48132KAF2 03/31/20 12/31/24    100.000     0.000     1.9300     34.25   0.055445   0.055980   0.056520   0.057065  0.057616     20.06    20.45 
JPMORGAN CHASE FINANCIAL 48132HHV7 12/31/19 12/31/26    100.000     0.000     2.6398     53.93   0.077277   0.078297   0.079331   0.080378  0.081439     28.01    28.75 
JPMORGAN CHASE FINANCIAL 48130WQD6 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48130WQE4 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48132KAV7 03/31/20 03/31/26    100.000     0.000     2.0908     37.14   0.059919   0.060545   0.061178   0.061818  0.062464     21.80    22.26 
JPMORGAN CHASE FINANCIAL 48130WPZ8 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48129M7C4 07/31/18 07/31/25    100.000     0.000     3.8909    140.87   0.121325   0.123685   0.126091   0.128544  0.131045     44.82    46.58 
JPMORGAN CHASE FINANCIAL 48130WQA2 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48130WQB0 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48130WQC8 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48130WR78 04/30/19 04/30/26    100.000     0.000     3.2709     90.50   0.098535   0.100147   0.101785   0.103449  0.105141     35.96    37.15 
JPMORGAN CHASE FINANCIAL 48130WR86 04/30/19 04/30/26    100.000     0.000     3.2709     90.50   0.098535   0.100147   0.101785   0.103449  0.105141     35.96    37.15 
JPMORGAN CHASE FINANCIAL 48132F2T2 10/31/19 11/02/26    100.000     0.000     2.6406     58.58   0.077312   0.078333   0.079367   0.080415  0.081477     28.14    28.89 
JPMORGAN CHASE FINANCIAL 48130WR94 04/30/19 10/31/22    100.000     0.000     2.8813     79.38   0.085970   0.087208                                     25.93          
JPMORGAN CHASE FINANCIAL 48132FTZ9 11/05/19 10/31/24    100.000     0.000     2.4507     53.93   0.071451   0.072326   0.073213   0.074110  0.075018     25.99    26.63 
JPMORGAN CHASE FINANCIAL 48129MXY7 07/05/18 06/30/23    100.000     0.000     3.6903    136.08   0.116446   0.118594   0.120782                          42.31    21.62 
JPMORGAN CHASE FINANCIAL 48130WQZ7 02/05/19 01/31/22    100.000     0.000     3.1213     94.18   0.093642                                                 2.72          
JPMORGAN CHASE FINANCIAL 48132CL43 09/05/19 08/30/24    100.000     0.000     2.1403     50.70   0.062020   0.062676   0.063354   0.064025  0.064718     22.61    23.09 
JPMORGAN CHASE FINANCIAL 48132CL35 09/05/19 08/30/24    100.000     0.000     2.1403     50.70   0.062020   0.062676   0.063354   0.064025  0.064718     22.61    23.09 
JPMORGAN CHASE FINANCIAL 48129MH25 08/03/18 07/31/23    100.000     0.000     3.6608    131.76   0.113348   0.115423   0.117535   0.119687               41.81    24.95 
JPMORGAN CHASE FINANCIAL 48129MY34 09/06/18 08/31/23    100.000     0.000     3.7714    132.09   0.117115   0.119299   0.121574   0.123841               43.10    29.47 
JPMORGAN CHASE FINANCIAL 48130WR37 04/30/19 04/29/22    100.000     0.000     2.6815     73.72   0.079609                                                 9.39          
JPMORGAN CHASE FINANCIAL 48132FD37 11/29/19 11/30/22    100.000     0.000     2.1007     44.63   0.060846   0.061485                                     20.13          
JPMORGAN CHASE FINANCIAL 46647MSA2 06/20/18 06/20/23    100.000     0.000     3.7406    139.80   0.118295   0.120507   0.122761                          43.03    20.75 
JPMORGAN CHASE FINANCIAL 48132KBS3 04/03/20 12/30/22    100.000     0.000     1.7402     30.70   0.049820   0.050253                                     17.96          
JPMORGAN CHASE FINANCIAL 48132KBU8 04/03/20 03/31/23    100.000     0.000     1.7507     30.88   0.049910   0.050347   0.050788                          18.13     4.52 
JPMORGAN CHASE FINANCIAL 48132KBW4 04/03/20 03/31/25    100.000     0.000     1.9606     34.63   0.056069   0.056618   0.057174   0.057734  0.058300     20.38    20.79 
JPMORGAN CHASE FINANCIAL 48132KBX2 04/03/20 03/31/25    100.000     0.000     1.9606     34.63   0.056069   0.056618   0.057174   0.057734  0.058300     20.38    20.79 
JPMORGAN CHASE FINANCIAL 48132KBV6 04/03/20 03/31/23    100.000     0.000     1.7507     30.88   0.049910   0.050347   0.050788                          18.13     4.52 
JPMORGAN CHASE FINANCIAL 48132FDL7 08/28/19 08/26/22    100.000     0.000     2.4612     58.97   0.071785   0.072668                                     17.03          
JPMORGAN CHASE FINANCIAL 48132FUA2 11/05/19 10/31/24    100.000     0.000     2.4507     53.93   0.071451   0.072326   0.073213   0.074110  0.075018     25.99    26.63 
JPMORGAN CHASE FINANCIAL 48132CL92 08/30/19 02/29/24    100.000     0.000     2.5405     60.77   0.074220   0.075157   0.076117   0.077079  0.078063     27.12    27.81 
JPMORGAN CHASE FINANCIAL 48130WAB7 12/05/18 11/30/23    100.000     0.000     3.8710    125.04   0.120572   0.122906   0.125284   0.127709               43.97    41.66 
JPMORGAN CHASE FINANCIAL 48130WAC5 12/05/18 11/30/23    100.000     0.000     3.8710    125.04   0.120572   0.122906   0.125284   0.127709               43.97    41.66 
JPMORGAN CHASE FINANCIAL 48132K2C8 05/29/20 08/29/25    100.000     0.000     2.8498     46.04   0.082013   0.083176   0.084367   0.085563  0.086789     30.02    30.88 
JPMORGAN CHASE FINANCIAL 48132KCD5 04/03/20 03/31/22    100.000     0.000     1.7210     30.36   0.049044                                                 4.36          
JPMORGAN CHASE FINANCIAL 48132FUW4 10/31/19 05/03/27    100.000     0.000     2.6405     58.58   0.077316   0.078337   0.079371   0.080419  0.081481     28.14    28.88 
JPMORGAN CHASE FINANCIAL 48132CM26 08/30/19 02/28/25    100.000     0.000     2.6709     63.96   0.078222   0.079267   0.080325   0.081398  0.082485     28.61    29.38 
JPMORGAN CHASE FINANCIAL 48132KCF0 04/03/20 06/30/22    100.000     0.000     1.7300     30.52   0.049521                                                 8.86          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132KCH6 04/03/20 09/30/22    100.000     0.000     1.7309     30.53   0.049334   0.049761                                     13.35          
JPMORGAN CHASE FINANCIAL 48132CM34 08/30/19 08/31/26    100.000     0.000     2.8904     69.36   0.085033   0.086248   0.087508   0.088759  0.090056     31.13    32.04 
JPMORGAN CHASE FINANCIAL 48129MX92 09/06/18 08/31/23    100.000     0.000     3.7714    132.09   0.117115   0.119299   0.121574   0.123841               43.10    29.47 
JPMORGAN CHASE FINANCIAL 48129MG42 08/03/18 07/31/23    100.000     0.000     3.6608    131.76   0.113348   0.115423   0.117535   0.119687               41.81    24.95 
JPMORGAN CHASE FINANCIAL 48130WS28 04/30/19 04/30/24    100.000     0.000     3.1311     86.50   0.094001   0.095473   0.096967   0.098486  0.100027     34.29    35.37 
JPMORGAN CHASE FINANCIAL 48132KCA1 03/31/20 03/31/23    100.000     0.000     1.7509     31.04   0.049925   0.050362   0.050803                          18.13     4.52 
JPMORGAN CHASE FINANCIAL 48130WS44 04/30/19 04/30/26    100.000     0.000     3.4011     94.24   0.102786   0.104534   0.106312   0.108119  0.109958     37.53    38.82 
JPMORGAN CHASE FINANCIAL 48132K2A2 05/29/20 05/28/27    100.000     0.000     3.0405     49.13   0.088363   0.089706   0.091070   0.092454  0.093860     32.14    33.13 
JPMORGAN CHASE FINANCIAL 48132KCB9 03/31/20 03/31/25    100.000     0.000     1.9604     34.80   0.056073   0.056623   0.057178   0.057739  0.058305     20.39    20.79 
JPMORGAN CHASE FINANCIAL 48130WJW2 12/19/18 12/19/23    100.000     0.000     3.8702    123.32   0.120607   0.122941   0.125320   0.127745               43.90    44.05 
JPMORGAN CHASE FINANCIAL 48132C3R2 08/05/19 07/31/24    100.000     0.000     2.5905     63.89   0.075734   0.076715   0.077709   0.078715  0.079735     27.74    28.46 
JPMORGAN CHASE FINANCIAL 48132C3P6 08/05/19 04/29/22    100.000     0.000     2.4505     60.38   0.071877                                                 8.48          
JPMORGAN CHASE FINANCIAL 48132C3Q4 08/05/19 07/29/22    100.000     0.000     2.4606     60.61   0.071747   0.072630                                     15.08          
JPMORGAN CHASE FINANCIAL 48132C3S0 08/05/19 07/31/24    100.000     0.000     2.5905     63.89   0.075734   0.076715   0.077709   0.078715  0.079735     27.74    28.46 
JPMORGAN CHASE FINANCIAL 48130UE92 10/31/18 10/31/22    100.000     0.000     3.6920    122.98   0.114450   0.116563                                     34.60          
JPMORGAN CHASE FINANCIAL 48132H2M3 02/28/20 05/30/25    100.000     0.000     2.3804     44.57   0.068929   0.069749   0.070580   0.071420  0.072270     25.01    25.61 
JPMORGAN CHASE FINANCIAL 48130U4D4 11/05/18 10/31/23    100.000     0.000     3.8416    127.63   0.119553   0.121850   0.124190   0.126576               43.74    37.56 
JPMORGAN CHASE FINANCIAL 48132H2N1 02/28/20 02/27/26    100.000     0.000     2.5004     46.84   0.072087   0.072988   0.073901   0.074825  0.075760     26.34    27.00 
JPMORGAN CHASE FINANCIAL 48130U4E2 11/05/18 10/31/23    100.000     0.000     3.8416    127.63   0.119553   0.121850   0.124190   0.126576               43.74    37.56 
JPMORGAN CHASE FINANCIAL 48132H2Q4 02/28/20 02/26/27    100.000     0.000     2.6405     49.52   0.076279   0.077286   0.078307   0.079340  0.080388     27.90    28.64 
JPMORGAN CHASE FINANCIAL 48130U4F9 11/05/18 10/31/23    100.000     0.000     3.8416    127.63   0.119553   0.121850   0.124190   0.126576               43.74    37.56 
JPMORGAN CHASE FINANCIAL 48133F7C3 06/03/22 06/05/25    100.000     0.000     3.4100             0.094722   0.094740   0.096355   0.097998  0.099669     19.75    35.07 
JPMORGAN CHASE FINANCIAL 48132HTV4 01/31/20 01/31/22    100.000     0.000     2.1007     40.93   0.060210                                                 1.75          
JPMORGAN CHASE FINANCIAL 48130U4G7 11/05/18 10/31/23    100.000     0.000     3.8416    127.63   0.119553   0.121850   0.124190   0.126576               43.74    37.56 
JPMORGAN CHASE FINANCIAL 48132MSE2 07/31/20 08/02/27    100.000     0.000     3.0406     43.78   0.087064   0.088388   0.089732   0.091096  0.092481     31.98    32.96 
JPMORGAN CHASE FINANCIAL 48130U4H5 11/05/18 10/31/23    100.000     0.000     3.8416    127.63   0.119553   0.121850   0.124190   0.126576               43.74    37.56 
JPMORGAN CHASE FINANCIAL 48132HCE0 12/26/19 12/31/26    100.000     0.000     2.6396     54.23   0.077292   0.078312   0.079345   0.080393  0.081454     28.01    28.75 
JPMORGAN CHASE FINANCIAL 48133FYV1 06/03/22 06/04/26    100.000     0.000     3.5700                        0.099167   0.100947   0.102749  0.104583     20.67    36.76 
JPMORGAN CHASE FINANCIAL 48132H3B6 03/04/20 02/28/25    100.000     0.000     1.9604     36.26   0.056053   0.056603   0.057158   0.057718  0.058284     20.41    20.82 
JPMORGAN CHASE FINANCIAL 48132H3A8 03/04/20 02/28/25    100.000     0.000     1.9604     36.26   0.056053   0.056603   0.057158   0.057718  0.058284     20.41    20.82 
JPMORGAN CHASE FINANCIAL 48133GKM4 06/07/22 06/07/23    100.000     0.000     2.7700                        0.076944   0.078010                          15.72    12.17 
JPMORGAN CHASE FINANCIAL 48133F7H2 05/31/22 05/30/25    100.000     0.000     3.4100                        0.094722   0.096337   0.097980  0.099650     20.04    35.08 
JPMORGAN CHASE FINANCIAL 48130U4J1 11/05/18 10/31/23    100.000     0.000     3.8416    127.63   0.119553   0.121850   0.124190   0.126576               43.74    37.56 
JPMORGAN CHASE FINANCIAL 48132H2W1 03/04/20 11/30/22    100.000     0.000     1.7402     32.14   0.049818   0.050252                                     16.47          
JPMORGAN CHASE FINANCIAL 48130U4K8 10/10/18 10/10/23    100.000     0.000     3.8717    131.69   0.120660   0.122995   0.125376   0.127803               44.24    35.42 
JPMORGAN CHASE FINANCIAL 48133GKN2 06/07/22 06/05/25    100.000     0.000     3.4100                        0.094722   0.096319   0.097962  0.099632     19.36    35.06 
JPMORGAN CHASE FINANCIAL 48132MSH5 08/05/20 11/05/24    100.000     0.000     2.7803     39.62   0.079945   0.081057   0.082184   0.083326  0.084485     29.11    29.92 
JPMORGAN CHASE FINANCIAL 48132H2Y7 03/04/20 02/28/23    100.000     0.000     1.7504     32.33   0.049896   0.050333   0.050773                          18.15     2.89 
JPMORGAN CHASE FINANCIAL 48132H2X9 03/04/20 02/28/23    100.000     0.000     1.7536     32.39   0.049990   0.050428   0.050870                          18.18     2.90 
JPMORGAN CHASE FINANCIAL 48132MSJ1 07/31/20 08/02/27    100.000     0.000     3.0406     43.78   0.087064   0.088388   0.089732   0.091096  0.092481     31.98    32.96 
JPMORGAN CHASE FINANCIAL 48132H2Z4 03/04/20 02/28/25    100.000     0.000     1.9626     36.30   0.056118   0.056669   0.057225   0.057787  0.058354     20.44    20.84 
JPMORGAN CHASE FINANCIAL 48132CFB4 05/31/19 05/31/22    100.000     0.000     2.8011     74.60   0.083411                                                12.43          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132CFC2 06/05/19 05/31/24    100.000     0.000     2.8505     75.54   0.084952   0.086162   0.087390   0.088636  0.089899     30.88    31.76 
JPMORGAN CHASE FINANCIAL 48132CFD0 05/31/19 11/30/22    100.000     0.000     2.8805     76.78   0.085945   0.087182                                     28.50          
JPMORGAN CHASE FINANCIAL 48130WLN9 12/24/18 12/22/23    100.000     0.000     3.8705    122.73   0.120591   0.122924   0.125303   0.127728               43.88    44.42 
JPMORGAN CHASE FINANCIAL 48132CFG3 05/31/19 05/29/26    100.000     0.000     3.4005     91.14   0.102757   0.104504   0.106281   0.108088  0.109925     37.42    38.70 
JPMORGAN CHASE FINANCIAL 48132CFE8 05/31/19 05/31/24    100.000     0.000     3.1310     83.68   0.093995   0.095467   0.096961   0.098479  0.100021     34.20    35.27 
JPMORGAN CHASE FINANCIAL 48132MSW2 08/05/20 08/03/23    100.000     0.000     2.7311     38.88   0.077939   0.079003   0.080082   0.081176               28.57    17.17 
JPMORGAN CHASE FINANCIAL 48132HDH2 12/26/19 12/31/25    100.000     0.000     2.4900     51.10   0.072697   0.073602   0.074519   0.075446  0.076386     26.34    27.00 
JPMORGAN CHASE FINANCIAL 48132HDG4 12/26/19 12/31/26    100.000     0.000     2.6396     54.23   0.077292   0.078312   0.079345   0.080393  0.081454     28.01    28.75 
JPMORGAN CHASE FINANCIAL 48132H3H3 02/28/20 02/28/23    100.000     0.000     1.7503     32.62   0.049906   0.050343   0.050783                          18.15     2.89 
JPMORGAN CHASE FINANCIAL 48132HDJ8 12/26/19 09/30/24    100.000     0.000     2.2798     46.75   0.065910   0.066661   0.067421   0.068189  0.068967     24.00    24.55 
JPMORGAN CHASE FINANCIAL 48132C4Z3 07/17/19 01/18/22    100.000     0.000     2.1209     53.18   0.061455                                                 1.04          
JPMORGAN CHASE FINANCIAL 48132H3G5 02/28/20 11/30/22    100.000     0.000     1.7401     32.44   0.049830   0.050263                                     16.47          
JPMORGAN CHASE FINANCIAL 48132H3J9 02/28/20 02/28/25    100.000     0.000     1.9606     36.60   0.056079   0.056629   0.057184   0.057744  0.058310     20.42    20.83 
JPMORGAN CHASE FINANCIAL 48132MCQ2 06/30/20 06/30/27    100.000     0.000     3.0400     46.39   0.088355   0.089698   0.091061   0.092445  0.093850     32.05    33.03 
JPMORGAN CHASE FINANCIAL 48133FZW8 05/25/22 05/24/29    100.000     0.000     3.8000                        0.105556   0.107550   0.109593  0.111676     22.87    39.24 
JPMORGAN CHASE FINANCIAL 48129MM60 07/25/18 07/25/23    100.000     0.000     3.6610    132.67   0.113388   0.115464   0.117577   0.119730               41.85    24.37 
JPMORGAN CHASE FINANCIAL 48132MCS8 06/30/20 06/30/25    100.000     0.000     2.8198     42.98   0.081688   0.082839   0.084007   0.085192  0.086393     29.62    30.46 
JPMORGAN CHASE FINANCIAL 48132MCU3 06/30/20 06/30/25    100.000     0.000     2.8198     42.98   0.081688   0.082839   0.084007   0.085192  0.086393     29.62    30.46 
JPMORGAN CHASE FINANCIAL 48132M2E0 09/03/20 12/05/24    100.000     0.000     2.7805     37.38   0.079962   0.081074   0.082201   0.083344  0.084503     29.04    29.86 
JPMORGAN CHASE FINANCIAL 48132M2H3 08/31/20 08/31/27    100.000     0.000     3.0406     41.17   0.087049   0.088358   0.089716   0.091065  0.092465     31.90    32.88 
JPMORGAN CHASE FINANCIAL 48130UWQ4 06/29/21 06/29/28    100.000     0.000     1.0202      5.16   0.028483   0.028628   0.028774   0.028921  0.029069     10.28    10.39 
JPMORGAN CHASE FINANCIAL 48132M2F7 09/03/20 03/05/25    100.000     0.000     2.7911     37.51   0.079722   0.080835   0.081963   0.083107  0.084267     29.16    29.98 
JPMORGAN CHASE FINANCIAL 48130U5P6 10/11/18 10/12/23    100.000     0.000     3.8719    131.58   0.120678   0.123014   0.125396   0.127824               44.24    35.67 
JPMORGAN CHASE FINANCIAL 48132MCL3 06/30/20 06/30/27    100.000     0.000     3.0400     46.39   0.088355   0.089698   0.091061   0.092445  0.093850     32.05    33.03 
JPMORGAN CHASE FINANCIAL 48130WMQ1 12/31/18 12/29/23    100.000     0.000     3.8703    122.00   0.120599   0.122933   0.125312   0.127737               43.85    45.30 
JPMORGAN CHASE FINANCIAL 48132HF98 02/28/20 02/28/22    100.000     0.000     2.1016     39.27   0.060239                                                 3.43          
JPMORGAN CHASE FINANCIAL 48132FPT7 10/04/19 07/07/22    100.000     0.000     1.8407     41.94   0.052805   0.053291                                      9.91          
JPMORGAN CHASE FINANCIAL 48132FQ41 11/29/19 11/29/24    100.000     0.000     2.1904     46.57   0.063555   0.064251   0.064955   0.065666  0.066385     23.05    23.56 
JPMORGAN CHASE FINANCIAL 48132H4H2 02/28/20 11/30/22    100.000     0.000     2.1104     39.44   0.060825   0.061467                                     20.13          
JPMORGAN CHASE FINANCIAL 48133DD72 03/29/22 03/28/24    100.000     0.000     3.0930                        0.085917   0.087238   0.088587  0.089957     23.49    31.90 
JPMORGAN CHASE FINANCIAL 48132H4J8 02/28/20 11/30/23    100.000     0.000     2.1703     40.58   0.062615   0.063295   0.063982   0.064676               22.71    21.17 
JPMORGAN CHASE FINANCIAL 48132MCX7 07/06/20 06/30/23    100.000     0.000     2.7300     41.12   0.078946   0.080024   0.081116                          28.62    14.52 
JPMORGAN CHASE FINANCIAL 48132MCY5 07/06/20 06/30/23    100.000     0.000     2.7300     41.12   0.078946   0.080024   0.081116                          28.62    14.52 
JPMORGAN CHASE FINANCIAL 48132H4K5 02/28/20 05/30/25    100.000     0.000     2.3804     44.57   0.068929   0.069749   0.070580   0.071420  0.072270     25.01    25.61 
JPMORGAN CHASE FINANCIAL 48132HWD0 02/03/20 02/03/22    100.000     0.000     2.1007     40.75   0.060210                                                 1.93          
JPMORGAN CHASE FINANCIAL 48133DUS7 04/05/22 04/06/26    100.000     0.000     2.4607                        0.068359   0.069200   0.070051  0.070913     18.26    25.21 
JPMORGAN CHASE FINANCIAL 48132M3R0 08/27/20 08/29/22    100.000     0.000     2.7124     36.91   0.077413   0.078457                                     18.61          
JPMORGAN CHASE FINANCIAL 48130WNE7 01/31/19 02/02/22    100.000     0.000     3.1416     95.30   0.094357                                                 2.93          
JPMORGAN CHASE FINANCIAL 48132HEZ1 12/06/19 12/08/22    100.000     0.000     2.1104     44.41   0.061142   0.061788                                     20.72          
JPMORGAN CHASE FINANCIAL 48129MKK1 04/30/18 04/30/25    100.000     0.000     3.9714    155.28   0.126594   0.129108   0.131672   0.134286  0.136953     46.34    48.19 
JPMORGAN CHASE FINANCIAL 48132FPX8 10/31/19 10/30/26    100.000     0.000     2.7505     61.08   0.080693   0.081803   0.082928   0.084069  0.085225     29.39    30.20 
JPMORGAN CHASE FINANCIAL 48132CGN7 05/16/19 05/18/26    100.000     0.000     3.4010     92.59   0.102802   0.104550   0.106328   0.108136  0.109975     37.47    38.76 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132FPZ3 10/31/19 04/29/22    100.000     0.000     2.2311     49.33   0.064782                                                 7.64          
JPMORGAN CHASE FINANCIAL 48132CGQ0 05/31/19 05/29/26    100.000     0.000     3.4005     91.14   0.102757   0.104504   0.106281   0.108088  0.109925     37.42    38.70 
JPMORGAN CHASE FINANCIAL 48129MKH8 04/30/18 04/30/25    100.000     0.000     3.9714    155.28   0.126594   0.129108   0.131672   0.134286  0.136953     46.34    48.19 
JPMORGAN CHASE FINANCIAL 48129MKJ4 04/30/18 04/30/25    100.000     0.000     3.9714    155.28   0.126594   0.129108   0.131672   0.134286  0.136953     46.34    48.19 
JPMORGAN CHASE FINANCIAL 48132CGP2 05/31/19 05/29/26    100.000     0.000     3.4005     91.14   0.102757   0.104504   0.106281   0.108088  0.109925     37.42    38.70 
JPMORGAN CHASE FINANCIAL 48132HFA5 12/06/19 12/08/22    100.000     0.000     2.1104     44.41   0.061142   0.061788                                     20.72          
JPMORGAN CHASE FINANCIAL 48132CYH0 07/31/19 01/31/23    100.000     0.000     2.2402     55.39   0.065062   0.065791   0.066528                          23.77     1.93 
JPMORGAN CHASE FINANCIAL 48132FQP4 11/05/19 10/31/22    100.000     0.000     2.2406     49.22   0.065055   0.065784                                     19.58          
JPMORGAN CHASE FINANCIAL 48132FQN9 11/05/19 04/29/22    100.000     0.000     2.2312     49.01   0.064767                                                 7.64          
JPMORGAN CHASE FINANCIAL 48132CYG2 07/31/19 01/31/22    100.000     0.000     2.1006     51.87   0.060841                                                 1.76          
JPMORGAN CHASE FINANCIAL 48132FR24 11/21/19 11/23/26    100.000     0.000     2.6402     56.95   0.077301   0.078322   0.079356   0.080403  0.081465     28.09    28.84 
JPMORGAN CHASE FINANCIAL 48130WNF4 02/05/19 01/31/24    100.000     0.000     3.4409    104.23   0.104043   0.105833   0.107654   0.109506  0.111390     38.32    39.65 
JPMORGAN CHASE FINANCIAL 48132FQG4 10/31/19 10/31/24    100.000     0.000     2.4504     54.28   0.071464   0.072340   0.073226   0.074123  0.075031     25.99    26.63 
JPMORGAN CHASE FINANCIAL 48130WNG2 01/31/19 01/30/26    100.000     0.000     3.7407    114.29   0.113995   0.116127   0.118299   0.120512  0.122766     42.07    43.66 
JPMORGAN CHASE FINANCIAL 48130WNH0 01/31/19 01/30/26    100.000     0.000     3.7407    114.29   0.113995   0.116127   0.118299   0.120512  0.122766     42.07    43.66 
JPMORGAN CHASE FINANCIAL 48132CYB3 07/31/19 07/31/24    100.000     0.000     2.5104     62.23   0.073300   0.074220   0.075151   0.076095  0.077050     26.83    27.51 
JPMORGAN CHASE FINANCIAL 48130UHC2 10/03/18 09/29/23    100.000     0.000     3.8721    132.56   0.120621   0.122956   0.125337   0.127763               44.28    34.03 
JPMORGAN CHASE FINANCIAL 48132FQL3 11/05/19 10/31/24    100.000     0.000     2.3206     51.01   0.067483   0.068266   0.069058   0.069859  0.070670     24.53    25.10 
JPMORGAN CHASE FINANCIAL 48132CYC1 07/31/19 01/31/24    100.000     0.000     2.4204     59.95   0.070546   0.071400   0.072264   0.073139  0.074024     25.81    26.44 
JPMORGAN CHASE FINANCIAL 48130UHE8 09/28/18 09/30/25    100.000     0.000     4.1116    141.87   0.129071   0.131724   0.134432   0.137196  0.140016     47.43    49.40 
JPMORGAN CHASE FINANCIAL 48130UHF5 09/28/18 09/30/25    100.000     0.000     4.1116    141.87   0.129071   0.131724   0.134432   0.137196  0.140016     47.43    49.40 
JPMORGAN CHASE FINANCIAL 48130UHG3 09/28/18 09/30/25    100.000     0.000     4.1116    141.87   0.129071   0.131724   0.134432   0.137196  0.140016     47.43    49.40 
JPMORGAN CHASE FINANCIAL 48132CYE7 07/31/19 07/31/26    100.000     0.000     2.8103     69.87   0.082545   0.083705   0.084882   0.086074  0.087284     30.28    31.13 
JPMORGAN CHASE FINANCIAL 48130W5N7 04/03/19 03/28/24    100.000     0.000     3.0015     85.23   0.089785   0.091132   0.092500   0.093888  0.095297     32.82    33.81 
JPMORGAN CHASE FINANCIAL 48133F2H7 06/03/22 06/05/25    100.000     0.000     3.4100             0.094722   0.094740   0.096355   0.097998  0.099669     19.75    35.07 
JPMORGAN CHASE FINANCIAL 48130W5P2 04/03/19 03/28/24    100.000     0.000     3.0015     85.23   0.089785   0.091132   0.092500   0.093888  0.095297     32.82    33.81 
JPMORGAN CHASE FINANCIAL 48133F2K0 06/03/22 06/03/27    100.000     0.000     3.6700                        0.101944   0.103815   0.105720  0.107660     21.26    37.82 
JPMORGAN CHASE FINANCIAL 48130W5S6 04/03/19 03/28/24    100.000     0.000     3.0015     85.23   0.089785   0.091132   0.092500   0.093888  0.095297     32.82    33.81 
JPMORGAN CHASE FINANCIAL 48133F2L8 05/31/22 05/30/25    100.000     0.000     3.4100                        0.094722   0.096337   0.097980  0.099650     20.04    35.08 
JPMORGAN CHASE FINANCIAL 48130W5T4 03/29/19 03/31/22    100.000     0.000     2.6812     76.17   0.079610                                                 7.09          
JPMORGAN CHASE FINANCIAL 48130W5H0 04/03/19 03/31/22    100.000     0.000     2.6818     75.87   0.079606                                                 7.08          
JPMORGAN CHASE FINANCIAL 48130W5K3 04/03/19 03/31/22    100.000     0.000     2.6818     75.87   0.079606                                                 7.08          
JPMORGAN CHASE FINANCIAL 48133F2C8 05/25/22 05/25/27    100.000     0.000     3.6700                        0.101944   0.103815   0.105720  0.107660     22.09    37.85 
JPMORGAN CHASE FINANCIAL 46647MMB6 07/11/17 07/11/24    103.000     0.250     3.1279    152.65   0.100404   0.101866   0.103350   0.104858  0.106389     36.91    37.99 
JPMORGAN CHASE FINANCIAL 48132HPG1 01/31/20 01/29/27    100.000     0.000     2.6405     51.65   0.076286   0.077293   0.078313   0.079347  0.080395     27.95    28.70 
JPMORGAN CHASE FINANCIAL 48130W6A4 04/03/19 03/28/24    100.000     0.000     3.0015     85.23   0.089785   0.091132   0.092500   0.093888  0.095297     32.82    33.81 
JPMORGAN CHASE FINANCIAL 48132FJB3 10/03/19 03/31/22    100.000     0.000     2.2314     51.08   0.064785                                                 5.77          
JPMORGAN CHASE FINANCIAL 48130WXE6 02/28/19 05/31/22    100.000     0.000     3.0304     89.27   0.091452                                                13.63          
JPMORGAN CHASE FINANCIAL 48132FJC1 10/03/19 09/30/22    100.000     0.000     2.2406     51.30   0.065062   0.065791                                     17.63          
JPMORGAN CHASE FINANCIAL 48132FJE7 10/03/19 09/30/24    100.000     0.000     2.4507     56.21   0.071459   0.072335   0.073221   0.074119  0.075027     26.04    26.69 
JPMORGAN CHASE FINANCIAL 48130WXF3 02/28/19 02/27/26    100.000     0.000     3.5711    105.85   0.108364   0.110299   0.112268   0.114273  0.116313     39.84    41.28 
JPMORGAN CHASE FINANCIAL 48130W6C0 04/03/19 03/28/24    100.000     0.000     3.0015     85.23   0.089785   0.091132   0.092500   0.093888  0.095297     32.82    33.81 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132FJD9 10/03/19 09/30/24    100.000     0.000     2.4507     56.21   0.071459   0.072335   0.073221   0.074119  0.075027     26.04    26.69 
JPMORGAN CHASE FINANCIAL 48133F2M6 05/31/22 05/28/27    100.000     0.000     3.6700                        0.101944   0.103794   0.105699  0.107639     21.57    37.84 
JPMORGAN CHASE FINANCIAL 48132CR39 08/30/19 08/31/26    100.000     0.000     2.8904     69.36   0.085033   0.086248   0.087508   0.088759  0.090056     31.13    32.04 
JPMORGAN CHASE FINANCIAL 48130W5W7 04/03/19 03/28/24    100.000     0.000     3.0015     85.23   0.089785   0.091132   0.092500   0.093888  0.095297     32.82    33.81 
JPMORGAN CHASE FINANCIAL 48132CR47 08/30/19 08/31/26    100.000     0.000     2.8904     69.36   0.085033   0.086248   0.087508   0.088759  0.090056     31.13    32.04 
JPMORGAN CHASE FINANCIAL 48132HPE6 01/31/20 10/31/24    100.000     0.000     1.6800     32.65   0.048054   0.048458   0.048865   0.049275  0.049689     17.42    17.72 
JPMORGAN CHASE FINANCIAL 48132HPD8 01/31/20 07/31/23    100.000     0.000     1.6802     32.64   0.047858   0.048260   0.048666   0.049075               17.42    10.24 
JPMORGAN CHASE FINANCIAL 48130WXR7 03/05/19 02/29/24    100.000     0.000     3.2313     94.72   0.097196   0.098757   0.100362   0.101974  0.103631     35.66    36.82 
JPMORGAN CHASE FINANCIAL 48130WXS5 03/05/19 02/29/24    100.000     0.000     3.2313     94.72   0.097196   0.098757   0.100362   0.101974  0.103631     35.66    36.82 
JPMORGAN CHASE FINANCIAL 48130WXT3 03/05/19 02/28/22    100.000     0.000     2.9917     87.45   0.089457                                                 5.10          
JPMORGAN CHASE FINANCIAL 48132CRL9 07/03/19 03/31/22    100.000     0.000     2.3601     60.31   0.069100                                                 6.15          
JPMORGAN CHASE FINANCIAL 48130WXU0 03/05/19 02/29/24    100.000     0.000     3.3109     97.14   0.099785   0.101428   0.103116   0.104814  0.106559     36.63    37.85 
JPMORGAN CHASE FINANCIAL 48130WXV8 03/05/19 02/29/24    100.000     0.000     3.3109     97.14   0.099785   0.101428   0.103116   0.104814  0.106559     36.63    37.85 
JPMORGAN CHASE FINANCIAL 48132CRM7 07/03/19 06/30/22    100.000     0.000     2.3700     60.53   0.069813                                                12.50          
JPMORGAN CHASE FINANCIAL 48130UAC9 09/06/18 08/31/23    100.000     0.000     3.7714    132.09   0.117115   0.119299   0.121574   0.123841               43.10    29.47 
JPMORGAN CHASE FINANCIAL 48130UAD7 08/31/18 08/29/25    100.000     0.000     4.0210    142.09   0.125851   0.128367   0.130963   0.133581  0.136282     46.39    48.27 
JPMORGAN CHASE FINANCIAL 48130UAE5 08/31/18 08/29/25    100.000     0.000     4.0210    142.09   0.125851   0.128367   0.130963   0.133581  0.136282     46.39    48.27 
JPMORGAN CHASE FINANCIAL 46647MNK5 09/27/17 09/27/23    100.000     0.000     2.9208    131.54   0.091110   0.092441   0.093790   0.095160               33.29    25.19 
JPMORGAN CHASE FINANCIAL 48130UAG0 08/31/18 08/29/25    100.000     0.000     4.0210    142.09   0.125851   0.128367   0.130963   0.133581  0.136282     46.39    48.27 
JPMORGAN CHASE FINANCIAL 48130WXP1 03/05/19 02/29/24    100.000     0.000     3.2313     94.72   0.097196   0.098757   0.100362   0.101974  0.103631     35.66    36.82 
JPMORGAN CHASE FINANCIAL 48129MQS8 05/31/18 05/30/25    100.000     0.000     3.9611    151.07   0.126222   0.128722   0.131271   0.133871  0.136522     46.05    47.89 
JPMORGAN CHASE FINANCIAL 48132FJP2 09/09/19 09/09/22    100.000     0.000     2.0307     47.82   0.058736   0.059332                                     14.67          
JPMORGAN CHASE FINANCIAL 48130WXQ9 03/05/19 02/29/24    100.000     0.000     3.2313     94.72   0.097196   0.098757   0.100362   0.101974  0.103631     35.66    36.82 
JPMORGAN CHASE FINANCIAL 48130WHB0 01/02/19 12/29/23    100.000     0.000     3.8699    121.75   0.120559   0.122892   0.125270   0.127694               43.83    45.28 
JPMORGAN CHASE FINANCIAL 48133FDZ5 05/04/22 05/04/27    100.000     0.000     3.6712                        0.101978   0.103850   0.105756  0.107698     24.28    37.95 
JPMORGAN CHASE FINANCIAL 48132T2K1 05/10/21 05/08/31    100.000     0.000     2.1502     13.83   0.060363   0.061012   0.061668   0.062331  0.063001     21.92    22.39 
JPMORGAN CHASE FINANCIAL 48130WYG0 02/28/19 02/27/26    100.000     0.000     3.7408    111.11   0.113988   0.116120   0.118292   0.120505  0.122759     41.95    43.54 
JPMORGAN CHASE FINANCIAL 48130WYH8 02/28/19 02/27/26    100.000     0.000     3.7408    111.11   0.113988   0.116120   0.118292   0.120505  0.122759     41.95    43.54 
JPMORGAN CHASE FINANCIAL 48130WYK1 02/19/19 02/19/26    100.000     0.000     3.6910    110.57   0.112344   0.114417   0.116528   0.118679  0.120869     41.37    42.91 
JPMORGAN CHASE FINANCIAL 48130WXZ9 03/05/19 02/29/24    100.000     0.000     3.3109     97.14   0.099785   0.101428   0.103116   0.104814  0.106559     36.63    37.85 
JPMORGAN CHASE FINANCIAL 48132CRS4 07/03/19 06/28/24    100.000     0.000     2.3702     60.54   0.069812   0.070640   0.071477   0.072324  0.073181     25.29    25.89 
JPMORGAN CHASE FINANCIAL 48130WGY1 01/02/19 12/29/23    100.000     0.000     3.8699    121.75   0.120559   0.122892   0.125270   0.127694               43.83    45.28 
JPMORGAN CHASE FINANCIAL 48130WGZ8 01/02/19 12/29/23    100.000     0.000     3.8699    121.75   0.120559   0.122892   0.125270   0.127694               43.83    45.28 
JPMORGAN CHASE FINANCIAL 48132CRR6 07/03/19 06/30/22    100.000     0.000     2.3700     60.53   0.069813                                                12.50          
JPMORGAN CHASE FINANCIAL 48132CRT2 07/03/19 06/28/24    100.000     0.000     2.3702     60.54   0.069812   0.070640   0.071477   0.072324  0.073181     25.29    25.89 
JPMORGAN CHASE FINANCIAL 48130WHA2 01/02/19 12/29/23    100.000     0.000     3.8699    121.75   0.120559   0.122892   0.125270   0.127694               43.83    45.28 
JPMORGAN CHASE FINANCIAL 48130WYT2 03/05/19 02/28/22    100.000     0.000     2.9917     87.45   0.089457                                                 5.10          
JPMORGAN CHASE FINANCIAL 48133FEL5 04/29/22 05/01/25    100.000     0.000     3.4121             0.094781   0.094799   0.096416   0.098061  0.099734     23.04    35.21 
JPMORGAN CHASE FINANCIAL 48133FEN1 04/29/22 05/01/25    100.000     0.000     3.4121             0.094781   0.094799   0.096416   0.098061  0.099734     23.04    35.21 
JPMORGAN CHASE FINANCIAL 48133FEM3 04/29/22 05/01/25    100.000     0.000     3.4121             0.094781   0.094799   0.096416   0.098061  0.099734     23.04    35.21 
JPMORGAN CHASE FINANCIAL 48132FKU9 09/30/19 09/30/26    100.000     0.000     2.4202     55.71   0.070543   0.071396   0.072260   0.073135  0.074020     25.71    26.33 
JPMORGAN CHASE FINANCIAL 48133FEP6 04/29/22 04/29/27    100.000     0.000     3.6716                        0.101988   0.103860   0.105767  0.107708     24.80    37.97 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48132CT37 08/21/19 08/20/26    100.000     0.000     2.8906     70.13   0.085032   0.086261   0.087508   0.088772  0.090056     31.16    32.06 
JPMORGAN CHASE FINANCIAL 48129MQ74 07/30/18 07/28/23    100.000     0.000     3.6712    132.49   0.113715   0.115803   0.117928   0.120093               41.96    24.80 
JPMORGAN CHASE FINANCIAL 48130WHM6 01/02/19 12/29/23    100.000     0.000     3.8699    121.75   0.120559   0.122892   0.125270   0.127694               43.83    45.28 
JPMORGAN CHASE FINANCIAL 48130WHN4 01/02/19 12/29/23    100.000     0.000     3.8699    121.75   0.120559   0.122892   0.125270   0.127694               43.83    45.28 
JPMORGAN CHASE FINANCIAL 48130WZJ3 02/21/19 02/21/24    100.000     0.000     3.4413    102.58   0.104105   0.105896   0.107718   0.109572  0.111457     38.27    39.60 
JPMORGAN CHASE FINANCIAL 48129MPK6 05/31/18 05/30/25    100.000     0.000     3.9611    151.07   0.126222   0.128722   0.131271   0.133871  0.136522     46.05    47.89 
JPMORGAN CHASE FINANCIAL 48133FVU6 05/03/22 04/03/24    100.000     0.000     3.0925                        0.085902   0.087008   0.088354  0.089720     20.54    31.80 
JPMORGAN CHASE FINANCIAL 48132HAZ5 01/02/20 12/30/22    100.000     0.000     2.1100     42.81   0.061117   0.061762                                     22.06          
JPMORGAN CHASE FINANCIAL 48130UTP0 02/28/20 02/26/27    100.000     0.000     2.6405     49.52   0.076279   0.077286   0.078307   0.079340  0.080388     27.90    28.64 
JPMORGAN CHASE FINANCIAL 48132HAY8 01/02/20 12/30/22    100.000     0.000     2.1100     42.81   0.061117   0.061762                                     22.06          
JPMORGAN CHASE FINANCIAL 48130WZZ7 02/25/19 02/25/26    100.000     0.000     3.6909    109.90   0.112340   0.114413   0.116524   0.118675  0.120865     41.34    42.88 
JPMORGAN CHASE FINANCIAL 48130UD44 10/19/18 10/21/25    100.000     0.000     4.1114    139.15   0.129067   0.131720   0.134428   0.137192  0.140012     47.32    49.28 
JPMORGAN CHASE FINANCIAL 48130U2R5 10/31/18 10/31/25    100.000     0.000     4.1115    137.73   0.129039   0.131692   0.134399   0.137162  0.139982     47.26    49.22 
JPMORGAN CHASE FINANCIAL 48132HBB7 01/02/20 12/27/24    100.000     0.000     2.3399     47.56   0.068071   0.068867   0.069673   0.070488  0.071313     24.66    25.24 
JPMORGAN CHASE FINANCIAL 48132HBA9 01/02/20 12/27/24    100.000     0.000     2.3200     47.15   0.067466   0.068249   0.069041   0.069841  0.070652     24.43    25.01 
JPMORGAN CHASE FINANCIAL 48132HAW2 01/02/20 09/30/22    100.000     0.000     2.0804     42.23   0.059915   0.060539                                     16.23          
JPMORGAN CHASE FINANCIAL 48132HB92 01/31/20 10/31/24    100.000     0.000     2.3102     45.11   0.066806   0.067578   0.068359   0.069148  0.069947     24.28    24.85 
JPMORGAN CHASE FINANCIAL 48132HAX0 01/02/20 12/30/22    100.000     0.000     2.0900     42.40   0.060515   0.061147                                     21.84          
JPMORGAN CHASE FINANCIAL 48132HC34 01/31/20 01/29/27    100.000     0.000     2.6405     51.65   0.076286   0.077293   0.078313   0.079347  0.080395     27.95    28.70 
JPMORGAN CHASE FINANCIAL 48132HC26 01/31/20 01/30/26    100.000     0.000     2.5004     48.86   0.072092   0.072994   0.073906   0.074830  0.075766     26.39    27.05 
JPMORGAN CHASE FINANCIAL 48132HBC5 12/26/19 09/30/22    100.000     0.000     2.0996     42.99   0.060508   0.061144                                     16.39          
JPMORGAN CHASE FINANCIAL 48132CU76 09/05/19 08/31/22    100.000     0.000     2.0306     48.05   0.058716   0.059306                                     14.14          
JPMORGAN CHASE FINANCIAL 48132HBF8 12/26/19 12/27/24    100.000     0.000     2.3400     47.97   0.068101   0.068897   0.069704   0.070519  0.071344     24.67    25.25 
JPMORGAN CHASE FINANCIAL 48132HBE1 12/26/19 12/30/22    100.000     0.000     2.1096     43.17   0.061126   0.061771                                     22.06          
JPMORGAN CHASE FINANCIAL 48132CCY7 05/01/19 05/01/24    100.000     0.000     3.1313     86.41   0.094007   0.095479   0.096973   0.098492  0.100034     34.29    35.37 
JPMORGAN CHASE FINANCIAL 48133NX78 11/02/22 10/31/24    100.000     0.000     4.8500                                   0.134722   0.137953  0.141298      7.95    49.48 
JPMORGAN CHASE FINANCIAL 48133PMP5 11/28/22 11/28/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      4.57    50.65 
JPMORGAN CHASE FINANCIAL 48133PMT7 11/28/22 11/28/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      4.57    50.65 
JPMORGAN CHASE FINANCIAL 48133NXD5 10/31/22 10/29/27    100.000     0.000     5.1900                                   0.144167   0.147887  0.151725      8.79    53.04 
JPMORGAN CHASE FINANCIAL 48133PMV2 11/28/22 11/26/27    100.000     0.000     5.1900                                   0.144167   0.147866  0.151703      4.76    52.83 
JPMORGAN CHASE FINANCIAL 48133NZQ4 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133PHT3 12/05/22 12/05/24    100.000     0.000     4.8500                                   0.134722   0.137989  0.141335      3.50    49.26 
JPMORGAN CHASE FINANCIAL 48133NSK5 10/31/22 10/29/27    100.000     0.000     5.1900                                   0.144167   0.147887  0.151725      8.79    53.04 
JPMORGAN CHASE FINANCIAL 48133NC71 10/31/22 10/30/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      8.44    50.85 
JPMORGAN CHASE FINANCIAL 48133NTQ1 11/02/22 11/01/29    100.000     0.000     5.2900                                   0.146944   0.150810  0.154798      8.67    54.07 
JPMORGAN CHASE FINANCIAL 48133NTW8 10/31/22 10/31/28    100.000     0.000     5.2600                                   0.146111   0.149954  0.153898      8.91    53.77 
JPMORGAN CHASE FINANCIAL 48133NTP3 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133PKK8 12/05/22 12/04/25    100.000     0.000     4.9800                                   0.138333   0.141759  0.145288      3.60    50.60 
JPMORGAN CHASE FINANCIAL 48133PKQ5 12/05/22 06/04/24    100.000     0.000     4.7400                                   0.131667   0.134770  0.137964      3.42    48.13 
JPMORGAN CHASE FINANCIAL 48133PKX0 11/28/22 11/26/27    100.000     0.000     5.1900                                   0.144167   0.147866  0.151703      4.76    52.83 
JPMORGAN CHASE FINANCIAL 48133PLE1 12/05/22 12/03/27    100.000     0.000     5.1900                                   0.144167   0.147866  0.151703      3.75    52.78 
JPMORGAN CHASE FINANCIAL 48133PLJ0 11/28/22 11/28/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      4.57    50.65 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48133NPD4 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133NPE4 11/02/22 10/31/25    100.000     0.000     4.9800                                   0.138333   0.141740  0.145269      8.16    50.84 
JPMORGAN CHASE FINANCIAL 48133NQA9 10/31/22 10/30/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      8.44    50.85 
JPMORGAN CHASE FINANCIAL 48133P5C3 12/02/22 12/04/24    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374      3.91    49.28 
JPMORGAN CHASE FINANCIAL 48133NPT9 11/03/22 11/05/24    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374      7.82    49.47 
JPMORGAN CHASE FINANCIAL 48133NQB7 11/03/22 11/05/26    100.000     0.000     5.1000                        0.141667   0.141707   0.145320  0.149026      8.22    52.07 
JPMORGAN CHASE FINANCIAL 48133NQG6 10/31/22 10/31/28    100.000     0.000     5.2600                                   0.146111   0.149954  0.153898      8.91    53.77 
JPMORGAN CHASE FINANCIAL 48133NQJ0 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133PGH0 12/05/22 12/05/24    100.000     0.000     4.8500                                   0.134722   0.137989  0.141335      3.50    49.26 
JPMORGAN CHASE FINANCIAL 48133NQX9 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133NRN0 10/31/22 10/29/27    100.000     0.000     5.1900                                   0.144167   0.147887  0.151725      8.79    53.04 
JPMORGAN CHASE FINANCIAL 48133PGQ0 12/05/22 12/04/25    100.000     0.000     4.9800                                   0.138333   0.141759  0.145288      3.60    50.60 
JPMORGAN CHASE FINANCIAL 48133NRS9 10/31/22 10/29/27    100.000     0.000     5.1900                                   0.144167   0.147887  0.151725      8.79    53.04 
JPMORGAN CHASE FINANCIAL 48133NRF7 11/03/22 11/04/27    100.000     0.000     5.1900                                   0.144167   0.147929  0.151767      8.36    53.01 
JPMORGAN CHASE FINANCIAL 48133PGK3 12/05/22 12/04/25    100.000     0.000     4.9800                                   0.138333   0.141759  0.145288      3.60    50.60 
JPMORGAN CHASE FINANCIAL 48133PGN7 12/05/22 12/04/25    100.000     0.000     4.9800                                   0.138333   0.141759  0.145288      3.60    50.60 
JPMORGAN CHASE FINANCIAL 48133PGP2 12/05/22 12/05/24    100.000     0.000     4.8500                                   0.134722   0.137989  0.141335      3.50    49.26 
JPMORGAN CHASE FINANCIAL 48133NSD1 10/31/22 10/30/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      8.44    50.85 
JPMORGAN CHASE FINANCIAL 48133NSE9 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133NRU4 11/03/22 05/03/24    100.000     0.000     4.7400                                   0.131667   0.134787  0.137982      7.64    48.33 
JPMORGAN CHASE FINANCIAL 48133NRX8 10/31/22 10/30/25    100.000     0.000     4.9800                                   0.138333   0.141778  0.145308      8.44    50.85 
JPMORGAN CHASE FINANCIAL 48133PBQ5 12/02/22 12/04/24    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374      3.91    49.28 
JPMORGAN CHASE FINANCIAL 48133NNU8 10/31/22 10/29/26    100.000     0.000     5.1000                                   0.141667   0.145259  0.148963      8.64    52.10 
JPMORGAN CHASE FINANCIAL 48133NNZ7 11/03/22 11/05/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348      8.03    50.82 
JPMORGAN CHASE FINANCIAL 48133LR20 08/31/22 08/29/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140097     16.17    49.47 
JPMORGAN CHASE FINANCIAL 48133LR53 09/06/22 03/05/24    100.000     0.000     4.4000                                   0.122222   0.124896  0.127644     14.06    45.11 
JPMORGAN CHASE FINANCIAL 48133M2V1 09/30/22 10/01/26    100.000     0.000     5.1000                                   0.141667   0.145299  0.149004     12.89    52.31 
JPMORGAN CHASE FINANCIAL 48133LQN5 07/19/22 07/17/24    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     21.64    49.73 
JPMORGAN CHASE FINANCIAL 48133M2P4 10/05/22 10/03/24    100.000     0.000     4.8500                                   0.134722   0.137953  0.141298     11.59    49.66 
JPMORGAN CHASE FINANCIAL 48133MUF5 09/02/22 01/05/29    100.000     0.000     5.9000                                   0.163889   0.167193  0.172125     19.50    61.04 
JPMORGAN CHASE FINANCIAL 48133M3B4 10/04/22 10/02/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     11.62    49.25 
JPMORGAN CHASE FINANCIAL 48133LRJ3 07/27/22 07/27/27    100.000     0.000     5.0100                                   0.139167   0.142653  0.146226     21.43    51.81 
JPMORGAN CHASE FINANCIAL 48133M3A6 10/05/22 10/03/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     11.49    49.24 
JPMORGAN CHASE FINANCIAL 48133M3T5 10/05/22 10/03/25    100.000     0.000     4.9800                                   0.138333   0.141740  0.145269     11.90    51.02 
JPMORGAN CHASE FINANCIAL 48133M3V0 10/05/22 10/05/26    100.000     0.000     5.1000                                   0.141667   0.145279  0.148984     12.18    52.28 
JPMORGAN CHASE FINANCIAL 48133M3X6 09/30/22 10/02/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348     12.59    51.05 
JPMORGAN CHASE FINANCIAL 48133M3W8 10/05/22 10/05/27    100.000     0.000     5.1900                                   0.144167   0.147908  0.151746     12.40    53.23 
JPMORGAN CHASE FINANCIAL 48133M3Z1 09/30/22 09/30/27    100.000     0.000     5.1900                                   0.144167   0.147908  0.151746     13.12    53.26 
JPMORGAN CHASE FINANCIAL 48133LB92 09/06/22 09/03/26    100.000     0.000     4.9300                                   0.136944   0.140264  0.143721     15.75    50.70 
JPMORGAN CHASE FINANCIAL 48133M3Y4 09/30/22 10/02/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348     12.59    51.05 
JPMORGAN CHASE FINANCIAL 48133M3N8 10/05/22 10/03/25    100.000     0.000     4.9800                                   0.138333   0.141740  0.145269     11.90    51.02 
JPMORGAN CHASE FINANCIAL 48133PNQ2 11/08/22 11/07/24    100.000     0.000     4.8500                                   0.134722   0.137971  0.141317      7.14    49.44 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

JPMORGAN CHASE FINANCIAL 48133M4P2 10/05/22 04/04/24    100.000     0.000     4.7400                                   0.131667   0.134770  0.137964     11.32    48.51 
JPMORGAN CHASE FINANCIAL 48133LCM2 07/29/22 07/31/25    100.000     0.000     4.8100                        0.133611   0.133629   0.136843  0.140134     20.31    49.67 
JPMORGAN CHASE FINANCIAL 48133LCP5 07/29/22 07/31/25    100.000     0.000     4.8100                        0.133611   0.133629   0.136843  0.140134     20.31    49.67 
JPMORGAN CHASE FINANCIAL 48133MG87 09/07/22 09/05/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     15.23    49.42 
JPMORGAN CHASE FINANCIAL 48133PPW7 11/09/22 11/07/24    100.000     0.000     4.8500                                   0.134722   0.137953  0.141298      7.01    49.44 
JPMORGAN CHASE FINANCIAL 48133LN32 09/06/22 09/05/25    100.000     0.000     4.8100                                   0.133611   0.136807  0.140097     15.37    49.43 
JPMORGAN CHASE FINANCIAL 48133LN81 09/06/22 09/03/27    100.000     0.000     5.0100                                   0.139167   0.142595  0.146167     16.00    51.54 
JPMORGAN CHASE FINANCIAL 48133LNU2 07/20/22 07/18/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     21.51    49.73 
JPMORGAN CHASE FINANCIAL 48133MSU0 10/05/22 10/03/25    100.000     0.000     4.9800                                   0.138333   0.141740  0.145269     11.90    51.02 
JPMORGAN CHASE FINANCIAL 48133LQ21 08/31/22 08/31/27    100.000     0.000     5.0100                                   0.139167   0.142614  0.146226     16.84    51.58 
JPMORGAN CHASE FINANCIAL 48133LQ70 08/31/22 08/29/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140097     16.17    49.47 
JPMORGAN CHASE FINANCIAL 48133M2F6 09/30/22 10/02/25    100.000     0.000     4.9800                        0.138333   0.138372   0.141817  0.145348     12.59    51.05 
JPMORGAN CHASE FINANCIAL 48133MLL2 08/30/22 08/28/26    100.000     0.000     4.9300                                   0.136944   0.140283  0.143741     16.57    50.74 
JPMORGAN CHASE FINANCIAL 48133PET6 11/09/22 11/07/24    100.000     0.000     4.8500                                   0.134722   0.137953  0.141298      7.01    49.44 
JPMORGAN CHASE FINANCIAL 48133PWG4 11/23/22 11/24/23    100.000     0.000     4.0800                                   0.113333   0.115658                4.31    37.03 
JPMORGAN CHASE FINANCIAL 48133LKB7 07/13/22 07/11/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140079     22.45    49.77 
JPMORGAN CHASE FINANCIAL 48133MNW6 09/02/22 09/05/24    100.000     0.000     4.6100                        0.128056   0.128105   0.131058  0.134078     15.24    47.34 
JPMORGAN CHASE FINANCIAL 48133LM90 09/06/22 09/05/25    100.000     0.000     4.8100                                   0.133611   0.136807  0.140097     15.37    49.43 
JPMORGAN CHASE FINANCIAL 48133LVV1 08/31/22 08/29/25    100.000     0.000     4.8100                                   0.133611   0.136789  0.140097     16.17    49.47 
JPMORGAN CHASE FINANCIAL 48133LVU3 09/06/22 09/05/25    100.000     0.000     4.8100                                   0.133611   0.136807  0.140097     15.37    49.43 
JPMORGAN CHASE FINANCIAL 48133PRX3 11/16/22 05/15/25    100.000     0.000     4.9200                                   0.136667   0.140010  0.143454      6.15    50.11 
JPMORGAN CHASE FINANCIAL 48133PRY1 11/16/22 11/16/27    100.000     0.000     5.1900                                   0.144167   0.147908  0.151746      6.49    52.91 
JPMORGAN CHASE FINANCIAL 48133LFG2 07/29/22 07/31/25    100.000     0.000     4.8100                        0.133611   0.133629   0.136843  0.140134     20.31    49.67 
JPMORGAN CHASE FINANCIAL 48133PSB0 11/21/22 01/06/25    100.000     0.000     4.8500                                   0.134722   0.135539  0.138826      5.39    49.37 
JPMORGAN CHASE FINANCIAL 48133LGG1 07/27/22 07/27/28    100.000     0.000     5.0800                                   0.141111   0.144695  0.148371     21.73    52.56 
JPMORGAN CHASE FINANCIAL 48133LGJ5 07/27/22 07/27/26    100.000     0.000     5.0100                                   0.139167   0.142653  0.146226     21.43    51.81 
JPMORGAN CHASE FINANCIAL 48133PTX1 11/18/22 11/20/24    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374      5.79    49.37 
JPMORGAN CHASE FINANCIAL 48133PTY9 11/18/22 11/20/24    100.000     0.000     4.8500                        0.134722   0.134759   0.138026  0.141374      5.79    49.37 
JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39     57.665     0.000     3.0607     18.51   0.049963   0.050727   0.051504   0.052292  0.053092     18.36    18.92 
JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38     60.454     0.000     2.9608     18.77   0.050639   0.051389   0.052149   0.052921  0.053705     18.59    19.15 
Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27     28.707     0.000     6.3500    423.99   0.125070   0.129041   0.133138   0.137365  0.141726     45.87    48.83 
Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26     29.691     0.000     6.3498    438.54   0.129037   0.133134   0.137361   0.141722  0.146221     47.44    50.50 
Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25     31.890     0.000     6.2997    465.48   0.136543   0.140844   0.145280   0.149856  0.154577     50.19    53.40 
Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24     33.931     0.000     6.2996    495.26   0.145279   0.149855   0.154575   0.159444  0.164466     53.40    56.82 
Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23     36.102     0.000     6.2997    526.95   0.154576   0.159445   0.164467   0.169648               56.82    55.21 
Jackson CNTYS SD#165, IL 466484FG2 06/28/07 12/01/22     38.700     0.000     6.2498    558.21   0.163243   0.168344                                     54.79          
Jeferies Group LLC       47233JKK3 10/31/22 05/02/25    100.000     0.000     5.9500                        0.165278   0.165332   0.170251  0.175316     10.09    60.99 
Jeferies Group LLC       47233JKJ6 10/31/22 11/02/26    100.000     0.000     6.2900                        0.174722   0.174783   0.180280  0.185950     10.66    64.57 
Jeferies Group LLC       47233JKP2 10/28/22 10/29/25    100.000     0.000     6.0700                                   0.168611   0.173757  0.179030     10.62    62.27 
Jefferies Group LLC      47233JGS1 10/06/21 10/06/41    100.000    VARIES     3.6382      8.59   0.101060   0.097845   0.094572   0.093718  0.093352     35.25    33.79 
Jefferies Group LLC      47233JGU6 10/22/21 10/22/41    100.000    VARIES     3.7907      7.27   0.105297   0.102028   0.098697   0.098175  0.098226     36.86    35.40 
Jefferies Group LLC      47233JFH6 06/28/21 06/28/41    100.000    VARIES     3.7162     18.89   0.102565   0.101890   0.100533   0.099616  0.098976     36.80    36.02 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Jefferies Group LLC      47233JEB0 10/30/20 10/31/40    100.000    VARIES     3.6781     42.50   0.098743   0.096983   0.095191   0.094390  0.093692     35.01    34.03 
Jefferies Group LLC      47233JDF2 05/29/20 05/28/32    100.000    VARIES     3.1824     12.06   0.018189   0.016608   0.016873   0.017141  0.017414      6.22     6.14 
Jefferies Group LLC      47233JDQ8 08/21/20 08/28/35    100.000    VARIES     3.6012     48.72   0.098594   0.097869   0.097130   0.096570  0.096110     35.18    34.74 
Jefferies Group LLC      47233JCR7 11/29/19 11/29/34    100.000    VARIES     4.1288     85.63   0.112629   0.112087   0.111534   0.111623  0.111747     40.41    40.17 
Jefferies Group LLC      47233JCE6 08/30/19 08/31/39    100.000    VARIES     4.1514     94.35   0.108538   0.106730   0.104934   0.105339  0.105804     38.31    37.96 
Jefferies Group LLC      47233JBT4 03/21/19 03/21/31    100.000    VARIES     4.2780     14.89   0.012245   0.012507   0.012774   0.013047  0.013327      4.51     4.70 
Jefferies Group LLC      47233JBW7 05/31/19 05/31/39    100.000    VARIES     5.4586      9.65   0.007896   0.006990   0.006059   0.005103  0.005242      2.62     1.98 
Jefferies Group LLC      47233JBV9 04/30/19 04/30/34    100.000    VARIES     5.1653     13.84   0.012014   0.011112   0.010188   0.009239  0.009478      4.05     3.45 
Jefferies Group LLC      47233JBY3 06/26/19 06/26/39    100.000    VARIES     5.4862     14.38   0.013107   0.012113   0.011091   0.010042  0.008964      4.53     3.79 
Jefferies Group LLC      47233JBC1 10/31/17 10/31/37    100.000    VARIES     5.1265    204.48   0.131876   0.131416   0.131111   0.130947  0.130904     47.35    47.16 
Jefferies Group LLC      47233JBB3 10/31/17 10/31/37    100.000    VARIES     5.1557    203.13   0.130480   0.129901   0.129477   0.129180  0.128990     46.81    46.53 
Jefferies Group LLC      47233JBE7 12/28/17 12/28/37    100.000    VARIES     4.3011     25.93   0.013440   0.012359   0.011255   0.011497  0.011744      4.64     4.10 
Jefferies Group LLC      47233JBG2 01/31/18 01/31/38    100.000    VARIES     5.0271    186.35   0.129069   0.129345   0.129647   0.129979  0.130347     46.60    46.84 
Jefferies Group LLC      47233JBK3 03/29/18 03/29/38    100.000    VARIES     5.3355    194.79   0.140491   0.140711   0.140964   0.141245  0.141533     50.66    50.85 
Jefferies Group LLC      47233JBJ6 02/28/18 02/28/38    100.000    VARIES     4.1737     12.78   0.006404   0.006536   0.006674   0.006812  0.006956      2.36     2.46 
Jefferies Group LLC      47233JAL2 04/28/17 04/28/33    100.000    VARIES     5.1690    223.24   0.127772   0.127797   0.127823   0.127850  0.128193     46.01    46.04 
Jefferies Group LLC      47233JAQ1 06/30/17 06/30/37    100.000    VARIES     5.1829    213.16   0.123743   0.123552   0.123470   0.123489  0.123617     44.51    44.45 
Jefferies Group LLC      47233JAP3 05/31/17 05/31/34    100.000    VARIES     5.0961    219.83   0.128477   0.127991   0.128050   0.128110  0.128172     46.15    46.11 
Jefferies Group LLC      47233JAT5 07/31/17 07/31/37    100.000    VARIES     5.3560    225.22   0.136557   0.135890   0.135420   0.135127  0.134983     48.87    48.63 
Jefferies Group LLC      47233JAV0 08/31/17 08/31/37    100.000    VARIES     5.1572    210.59   0.125385   0.122849   0.120319   0.120238  0.120338     44.06    43.30 
Jefferies Group LLC      47233JAY4 09/29/17 09/30/37    100.000    VARIES     5.0451    202.76   0.125875   0.125510   0.125265   0.125115  0.125045     45.19    45.05 
Jefferies Group LLC      47233JAX6 08/31/17 08/31/37    100.000    VARIES     5.1565    209.14   0.127621   0.126929   0.126476   0.126093  0.125912     45.68    45.39 
Jefferies Group LLC      47233JAK4 02/28/17 02/28/24    100.000    VARIES     2.8488     12.68   0.007370   0.007475   0.007581   0.007689  0.007799      2.70     2.78 
Jefferies Group, LLC     47233JKF4 10/05/22 04/05/27    100.000     0.000     5.6900                                   0.158056   0.162552  0.167177     13.59    58.49 
Jefferies Group, LLC     47233WAB5 11/23/22 05/21/27    100.000     0.000     5.8800                                   0.163333   0.168082  0.173024      6.21    60.04 
Jefferies Group, LLC     47233WAA7 11/23/22 05/21/26    100.000     0.000     5.7300                                   0.159167   0.163676  0.168365      6.05    58.48 
Jefferies Group, LLC     47233WAD1 12/02/22 12/02/27    100.000     0.000     5.6100                                   0.155833   0.160204  0.164698      4.52    57.14 
Jefferies Group, LLC     47233WAC3 11/17/22 11/17/27    100.000     0.000     5.8400                                   0.162222   0.166959  0.171834      7.14    59.68 
Jefferson CNTYS #521, IL 474070HR3 05/30/13 12/01/22    107.317    VARIES     2.8895    259.56   0.080939   0.080604                                     26.65          
Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23    105.651    VARIES     3.0399    271.10   0.085434   0.085192   0.084946   0.084696               30.70    27.99 
Johnson CNTYS, IL        478167HK8 07/03/14 10/01/22    104.620    VARIES     3.5910    277.40   0.100389   0.100072                                     27.05          
Johnson CNTYS, IL        478167HL6 07/03/14 10/01/23    103.105    VARIES     3.8407    294.56   0.107520   0.107318   0.107111   0.106901               38.63    28.88 
K. HOVNANIAN ENTERPRISES 442488CH3 02/01/18 02/01/40     48.820     5.000    11.3861     26.66   0.022867   0.024169   0.025545   0.026999  0.028537      8.87     9.91 
KELLER TEX INDPT SCH DIS 487694TM3 10/14/20 02/15/25     95.895     0.000     0.9690     11.32   0.026020   0.026146   0.026273   0.026400  0.026528      9.42     9.52 
KEMP TEX INDPT SCH DIST  488386KG7 01/20/22 02/15/27     91.578     0.000     1.7429             0.044337   0.044391   0.044778   0.045168  0.045562     15.19    16.30 
KENEDY TEX INDPT SCH DIS 488836JE8 11/18/20 08/15/29     84.616     0.000     1.9200     18.31   0.045772   0.046211   0.046655   0.047103  0.047555     16.68    17.00 
KENEDY TEX INDPT SCH DIS 488836JD0 11/18/20 08/15/28     86.913     0.000     1.8199     17.82   0.044531   0.044937   0.045345   0.045758  0.046174     16.22    16.51 
KERMIT TEX INDPT SCH DIS 492224EX4 08/31/21 02/15/25     96.611     0.000     0.9994      3.25   0.026820   0.026943   0.027078   0.027213  0.027349      9.71     9.81 
KFW                      500769BR4 04/19/06 04/18/36     19.779     0.000     5.4760    264.16   0.069496   0.071399   0.073354   0.075362  0.077425     25.64    27.07 
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000     5.7800    232.62   0.066383   0.068302   0.070275   0.072306  0.074396     24.25    25.67 
KINGS LOC SCH DIST OHIO  496026MA0 01/29/20 12/01/31     68.518     0.000     3.2189     43.41   0.064971   0.066017   0.067079   0.068159  0.069256     23.64    24.41 
KINGSVILLE TEX INDPT SCH 496800QV8 08/18/21 02/15/33     76.454     0.000     2.3500      6.64   0.049907   0.050484   0.051077   0.051677  0.052285     18.23    18.66 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

KIRBYVILLE TEX CONS INDP 497332KB1 09/29/20 02/15/25     95.643     0.000     1.0201     12.30   0.027345   0.027485   0.027625   0.027766  0.027908      9.91    10.01 
KIRBYVILLE TEX CONS INDP 497332KC9 09/29/20 02/15/26     93.418     0.000     1.2700     14.97   0.033324   0.033536   0.033749   0.033963  0.034179     12.09    12.25 
KIRBYVILLE TEX CONS INDP 497332KD7 09/29/20 02/15/27     91.602     0.000     1.3800     15.96   0.035541   0.035787   0.036034   0.036282  0.036533     12.91    13.08 
Kansas City Southern     U24468AF4 12/09/15 05/15/23     95.360     3.000     3.7202     36.86   0.018930   0.019282   0.019640                           6.91     2.63 
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300     4.9136     11.28   0.006002   0.006149   0.006301   0.006455  0.006614      2.20     2.31 
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300     4.9136     11.28   0.006002   0.006149   0.006301   0.006455  0.006614      2.20     2.31 
Kansas City Southern     485170AV6 12/09/15 05/15/23     95.360     3.000     3.7202     36.86   0.018930   0.019282   0.019640                           6.91     2.63 
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300     4.9136     11.28   0.006002   0.006149   0.006301   0.006455  0.006614      2.20     2.31 
Kansas City Southern     485170AP9 12/09/15 05/15/23     95.360     3.000     3.7202     36.86   0.018930   0.019282   0.019640                           6.91     2.63 
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300     4.9136     11.28   0.006002   0.006149   0.006301   0.006455  0.006614      2.20     2.31 
LA PORTE TEX INDPT SCH   504102V76 03/09/21 02/15/26     95.563     0.000     0.9221      7.16   0.024574   0.024687   0.024801   0.024915  0.025030      8.90     8.98 
LA PORTE TEX INDPT SCH   504102V84 03/09/21 02/15/27     93.152     0.000     1.1991      9.08   0.031189   0.031376   0.031564   0.031754  0.031944     11.31    11.45 
LA PORTE TEX INDPT SCH   504102V92 03/09/21 02/15/28     91.162     0.000     1.3390      9.93   0.034105   0.034333   0.034563   0.034794  0.035027     12.38    12.55 
LA PORTE TEX INDPT SCH   504102V43 03/09/21 02/15/23     99.201     0.000     0.4154      3.34   0.011466   0.011490   0.011514                           4.14     0.51 
LA PORTE TEX INDPT SCH   504102V50 03/09/21 02/15/24     98.439     0.000     0.5371      4.29   0.014720   0.014759   0.014799   0.014839  0.014878      5.32     5.35 
LA PORTE TEX INDPT SCH   504102V68 03/09/21 02/15/25     97.014     0.000     0.7722      6.09   0.020879   0.020959   0.021040   0.021121  0.021203      7.55     7.61 
LA PORTE TEX INDPT SCH   504102W26 03/09/21 02/15/29     87.964     0.000     1.6230     11.62   0.039936   0.040260   0.040587   0.040916  0.041248     14.52    14.76 
LA SALLE BUREAU & LEE CN 504354DH1 06/30/17 12/01/22    104.232     3.750     2.8869    134.28   0.080868   0.080532                                     26.63          
LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24    104.424     3.875     3.1886    149.21   0.090299   0.090023   0.089742   0.089457  0.089167     32.44    32.24 
LA SALLE BUREAU & LEE CN 504354DJ7 06/30/17 12/01/23    103.755     3.750     3.0878    143.53   0.086867   0.086599   0.086328   0.086053               31.21    28.44 
LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25    104.194     3.875     3.2895    153.89   0.093364   0.093129   0.092891   0.092648  0.092402     33.55    33.38 
LAGO VISTA TEX SPL ASSMT 507081AZ0 08/19/20 09/01/23     88.023     0.000     4.2497     52.13   0.108526   0.110832   0.113187   0.115592               40.04    27.60 
LAGO VISTA TEX SPL ASSMT 507081AY3 08/19/20 09/01/22     91.895     0.000     4.1997     53.77   0.111910   0.114260                                     27.28          
LAKE TRAVIS TEX INDPT SC 511074VM5 10/28/20 02/15/24     97.139     0.000     0.8822     10.10   0.023973   0.024079   0.024185   0.024291  0.024399      8.68     8.75 
LEANDER TEX INDPT SCH DI 521841WW2 09/09/20 08/15/26     93.781     0.000     1.0851     13.40   0.028553   0.028708   0.028864   0.029020  0.029178     10.35    10.46 
LEANDER TEX INDPT SCH DI 521841WV4 09/09/20 08/15/25     95.817     0.000     0.8680     10.95   0.023290   0.023391   0.023493   0.023595  0.023697      8.43     8.50 
LEANDER TEX INDPT SCH DI 521841WU6 09/09/20 08/15/24     97.068     0.000     0.7580      9.68   0.020583   0.020661   0.020739   0.020817  0.020896      7.45     7.50 
LEANDER TEX INDPT SCH DI 521841E28 06/23/21 08/15/30     84.104     0.000     1.9020      8.37   0.044557   0.044981   0.045409   0.045841  0.046277     16.23    16.54 
LEANDER TEX INDPT SCH DI 521841E36 06/23/21 08/15/31     81.620     0.000     2.0120      8.59   0.045749   0.046209   0.046674   0.047144  0.047618     16.68    17.02 
LEANDER TEX INDPT SCH DI 521841D94 06/23/21 08/15/29     86.476     0.000     1.7920      8.11   0.043156   0.043543   0.043933   0.044327  0.044724     15.71    15.99 
LEANDER TEX INDPT SCH DI 521841D86 06/23/21 08/15/28     89.415     0.000     1.5721      7.35   0.039135   0.039442   0.039752   0.040065  0.040380     14.23    14.45 
LEANDER TEX INDPT SCH DI 521841D78 06/23/21 08/15/27     91.773     0.000     1.4020      6.73   0.035814   0.036065   0.036318   0.036572  0.036829     13.01    13.19 
LEANDER TEX INDPT SCH DI 521841D45 06/23/21 08/15/24     98.238     0.000     0.5661      2.91   0.015461   0.015505   0.015549   0.015593  0.015637      5.59     5.62 
LEANDER TEX INDPT SCH DI 521841D37 06/23/21 08/15/23     99.263     0.000     0.3452      1.79   0.009524   0.009540   0.009557   0.009573                3.44     2.14 
LEANDER TEX INDPT SCH DI 521841D60 06/23/21 08/15/26     94.300     0.000     1.1440      5.64   0.030016   0.030188   0.030361   0.030534  0.030709     10.88    11.01 
LEANDER TEX INDPT SCH DI 521841D52 06/23/21 08/15/25     96.410     0.000     0.8841      4.46   0.023706   0.023810   0.023916   0.024021  0.024128      8.58     8.66 
LEVELLAND TEX CONS INDPT 527318KY4 09/29/20 02/15/29     86.864     0.000     1.6880     18.54   0.041334   0.041683   0.042035   0.042390  0.042747     15.04    15.29 
LEVELLAND TEX CONS INDPT 527318KZ1 09/29/20 02/15/30     84.625     0.000     1.7880     19.14   0.042694   0.043075   0.043460   0.043849  0.044241     15.54    15.82 
LIBERTY TRIPADVISOR HOLD 531465AA0 03/25/21 06/30/51    100.000     0.500     6.0428     46.78   0.175036   0.179905   0.184921   0.190088  0.195412     63.90    67.51 
LITTLE ELM TEX INDPT SCH 5370962X6 12/19/19 08/15/24     89.879     0.000     2.3049     42.90   0.059771   0.060460   0.061156   0.061861  0.062574     21.83    22.34 
LITTLE ELM TEX INDPT SCH 5370962W8 12/19/19 08/15/23     92.463     0.000     2.1548     41.21   0.057345   0.057962   0.058587   0.059218               20.92    13.24 
LITTLE ELM TEX INDPT SCH 5370962Z1 12/19/19 08/15/26     83.845     0.000     2.6647     46.40   0.064844   0.065708   0.066583   0.067470  0.068369     23.74    24.37 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

LITTLE ELM TEX INDPT SCH 5370962Y4 12/19/19 08/15/25     86.818     0.000     2.5148     45.29   0.063210   0.064005   0.064810   0.065625  0.066450     23.12    23.70 
LITTLE ELM TEX INDPT SCH 5370962V0 12/19/19 08/15/22     95.004     0.000     1.9389     38.03   0.052830   0.053342                                     11.93          
LITTLE ELM TEX INDPT SCH 5370963A5 12/19/19 08/15/27     80.942     0.000     2.7808     46.78   0.065449   0.066359   0.067281   0.068217  0.069165     23.97    24.65 
LOCKHART TEX INDPT SCH   539770LC9 10/15/20 08/01/24     97.118     0.000     0.7721      9.11   0.020958   0.021039   0.021120   0.021202  0.021283      7.58     7.64 
LOCKHART TEX INDPT SCH   539770LD7 10/15/20 08/01/25     95.914     0.000     0.8720     10.16   0.023393   0.023495   0.023598   0.023701  0.023804      8.47     8.54 
LOCKHART TEX INDPT SCH   539770LE5 10/15/20 08/01/26     93.754     0.000     1.1161     12.73   0.029325   0.029488   0.029653   0.029818  0.029985     10.64    10.75 
LONDON TEX INDPT SCH DIS 542119HV7 11/18/20 08/15/28     86.846     0.000     1.8299     17.91   0.044746   0.045156   0.045569   0.045986  0.046406     16.29    16.59 
LONDON TEX INDPT SCH DIS 542119HW5 11/18/20 08/15/29     84.543     0.000     1.9299     18.39   0.045973   0.046417   0.046865   0.047317  0.047774     16.75    17.08 
LONDON TEX INDPT SCH DIS 542119HX3 11/18/20 08/15/30     82.138     0.000     2.0300     18.80   0.047016   0.047493   0.047975   0.048462  0.048954     17.14    17.49 
LORENA TEX INDPT SCH DIS 544061PG3 11/18/20 08/15/30     81.743     0.000     2.0800     19.18   0.047959   0.048458   0.048962   0.049471  0.049986     17.49    17.86 
LORENA TEX INDPT SCH DIS 544061PD0 11/18/20 08/15/27     89.513     0.000     1.6500     16.63   0.041529   0.041872   0.042217   0.042565  0.042916     15.11    15.36 
LORENA TEX INDPT SCH DIS 544061PC2 11/18/20 08/15/26     92.039     0.000     1.4500     15.02   0.037470   0.037741   0.038015   0.038291  0.038568     13.61    13.81 
LORENA TEX INDPT SCH DIS 544061PF5 11/18/20 08/15/29     84.178     0.000     1.9799     18.79   0.046977   0.047442   0.047912   0.048386  0.048865     17.12    17.46 
LORENA TEX INDPT SCH DIS 544061PE8 11/18/20 08/15/28     86.846     0.000     1.8299     17.91   0.044746   0.045156   0.045569   0.045986  0.046406     16.29    16.59 
LORENA TEX INDPT SCH DIS 544061PB4 11/18/20 08/15/25     94.574     0.000     1.1799     12.54   0.031269   0.031453   0.031639   0.031826  0.032013     11.34    11.47 
LUBBOCK COOPER TEX INDPT 549108VL9 07/28/20 02/15/22     98.717     0.000     0.8363     11.81   0.023134                                                 1.02          
LUBBOCK COOPER TEX INDPT 549108VM7 07/28/20 02/15/23     97.417     0.000     1.0300     14.37   0.028173   0.028318   0.028464                          10.21     1.25 
LUBBOCK COOPER TEX INDPT 549108VN5 07/28/20 02/15/24     95.669     0.000     1.2520     17.17   0.033710   0.033921   0.034134   0.034347  0.034563     12.23    12.39 
LUBBOCK COOPER TEX INDPT 549108VT2 07/28/20 02/15/29     84.101     0.000     2.0361     24.64   0.048585   0.049080   0.049580   0.050084  0.050594     17.71    18.08 
LUBBOCK COOPER TEX INDPT 549108VU9 07/28/20 02/15/30     82.026     0.000     2.0861     24.63   0.048575   0.049082   0.049594   0.050111  0.050634     17.72    18.09 
LUBBOCK COOPER TEX INDPT 549108VV7 07/28/20 02/15/31     78.683     0.000     2.2859     25.92   0.051165   0.051750   0.052341   0.052939  0.053545     18.68    19.11 
LUBBOCK COOPER TEX INDPT 549108VP0 07/28/20 02/15/25     94.014     0.000     1.3620     18.37   0.036079   0.036324   0.036572   0.036821  0.037072     13.10    13.28 
LUBBOCK COOPER TEX INDPT 549108VQ8 07/28/20 02/15/26     91.448     0.000     1.6181     21.25   0.041802   0.042140   0.042481   0.042825  0.043172     15.20    15.45 
LUBBOCK COOPER TEX INDPT 549108VR6 07/28/20 02/15/27     89.114     0.000     1.7681     22.65   0.044581   0.044975   0.045373   0.045774  0.046178     16.23    16.52 
LUBBOCK COOPER TEX INDPT 549108VS4 07/28/20 02/15/28     86.466     0.000     1.9360     24.08   0.047449   0.047908   0.048372   0.048840  0.049313     17.29    17.63 
LUBBOCK COOPER TEX INDPT 549108WF1 07/28/20 02/15/32     75.265     0.000     2.4759     26.88   0.053115   0.053772   0.054438   0.055112  0.055794     19.42    19.90 
LUBBOCK TEX INDPT SCH DI 5492203E9 12/03/19 02/15/22     95.718     0.000     1.9986     40.40   0.054969                                                 2.42          
LUBBOCK TEX INDPT SCH DI 5492203F6 12/03/19 02/15/23     93.211     0.000     2.2087     43.55   0.059363   0.060019   0.060682                          21.67     2.67 
Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750     5.2776    308.93   0.176443   0.179816   0.183279   0.186832  0.190480     64.75    67.28 
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750     9.4298   4747.28   1.249600   1.303606   1.360159   1.419378  1.481389    474.61   516.80 
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750     9.4298   4747.28   1.249600   1.303606   1.360159   1.419378  1.481389    474.61   516.80 
Liberty Media Corp.      531229AG7 03/06/18 03/31/48    100.000     2.125     4.8953    196.05   0.150474   0.152713   0.155007   0.157357  0.159764     54.99    56.66 
Liberty Media Corp.      531229AK8 11/12/20 12/01/50    100.000     0.500     3.8921     44.74   0.112020   0.113929   0.115876   0.117861  0.119884     40.79    42.19 
Liberty Media Corp.      531229AJ1 11/26/19 12/01/49    100.000     2.750     4.4630     94.91   0.128395   0.129556   0.130742   0.131955  0.133195     46.50    47.36 
Lloyds TSB Bank PLC      5394E8BB4 07/23/12 07/23/22    100.000    VARIES     2.8121     26.28   0.008431   0.008550                                      1.72          
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES     4.6791    413.98   0.119878   0.120977   0.122101   0.123251  0.124233     43.50    44.30 
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES     3.7159    238.41   0.080743   0.081283   0.082134   0.083001  0.083885     29.26    29.84 
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES     4.4797    312.86   0.102277   0.102895   0.103528   0.104175  0.104836     36.97    37.43 
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28*    97.000    VARIES     4.8307    347.02   0.120628   0.120836   0.121049   0.121266               43.48    39.50 
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES     5.0339    356.90   0.114156   0.114741   0.115342   0.115957  0.116588     41.28    41.72 
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES     4.1865    274.63   0.075484   0.076972   0.078490   0.080133  0.081810     27.90    29.06 
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES     4.0718    283.95   0.089302   0.090533   0.091790   0.093073  0.094381     32.76    33.68 
    -----------------------------
    *  Called in 2022; 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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES     4.1638    292.30   0.095205   0.096833   0.098495   0.100354  0.102252     35.15    36.45 
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES     3.6255    248.36   0.076819   0.078159   0.079576   0.081018  0.082487     28.08    29.10 
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES     3.6892    285.64   0.084284   0.084453   0.084626   0.084801  0.085214     30.42    30.57 
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES     3.6033    285.80   0.085138   0.085232   0.085589   0.085952  0.086321     30.73    30.99 
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000    VARIES     4.6384     29.53   0.010613   0.010859   0.011111   0.011369  0.011632      3.94     4.13 
MADISON OHIO LOC SCH DIS 558090KE5 12/30/19 12/01/30     70.024     0.000     3.2899     47.32   0.068129   0.069250   0.070389   0.071547  0.072724     24.80    25.62 
MADISON OHIO LOC SCH DIS 558090KF2 12/30/19 12/01/31     66.986     0.000     3.3899     46.68   0.067281   0.068422   0.069581   0.070761  0.071960     24.50    25.33 
MANSFIELD TEX INDPT SCH  564386RT9 10/29/20 02/15/24     97.062     0.000     0.9071     10.36   0.024635   0.024746   0.024859   0.024971  0.025085      8.92     9.00 
MARSHALL TEX INDPT SCH   572682RV6 02/11/21 02/15/25     96.566     0.000     0.8731      7.51   0.023523   0.023626   0.023729   0.023833  0.023937      8.52     8.59 
MARSHALL TEX INDPT SCH   572682RW4 02/11/21 02/15/26     95.015     0.000     1.0230      8.66   0.027142   0.027281   0.027421   0.027561  0.027702      9.83     9.93 
MARSHALL TEX INDPT SCH   572682RT1 02/11/21 02/15/23     99.173     0.000     0.4133      3.65   0.011411   0.011435   0.011458                           4.12     0.50 
MARSHALL TEX INDPT SCH   572682RU8 02/11/21 02/15/24     98.059     0.000     0.6520      5.69   0.017819   0.017877   0.017935   0.017994  0.018052      6.44     6.48 
MARSHALL TEX INDPT SCH   572682RS3 02/11/21 02/15/22     99.684     0.000     0.3133      2.78   0.008688                                                 0.38          
MC BRAZIL DOWNSTREAM TRA L626A6AA2 07/21/21 06/30/31    100.000     7.250     0.0000     32.81   0.206498   0.198946   0.191431   0.184612  0.176554     72.98    67.69 
MC BRAZIL DOWNSTREAM TRA 55292WAA8 07/21/21 06/30/31    100.000     7.250     0.0000     32.81   0.206498   0.198946   0.191431   0.184612  0.176554     72.98    67.69 
MC GREGOR TEX INDPT SCH  580730LR8 08/18/20 02/15/33     70.673     0.000     2.7980     27.42   0.056464   0.057254   0.058055   0.058867  0.059691     20.69    21.27 
MC GREGOR TEX INDPT SCH  580730LQ0 08/18/20 02/15/32     73.911     0.000     2.6480     27.12   0.055802   0.056540   0.057289   0.058047  0.058816     20.42    20.97 
MC LENNAN CNTY TEX JR CO 582188LF3 05/26/21 08/15/24     97.606     0.000     0.7540      4.40   0.020477   0.020554   0.020632   0.020710  0.020788      7.41     7.46 
MELISSA TEX INDPT SCH DI 585488VG1 11/24/20 02/01/24     96.927     0.000     0.9819     10.53   0.026616   0.026747   0.026878   0.027010  0.027143      9.64     9.74 
MELISSA TEX INDPT SCH DI 585488VH9 11/24/20 02/01/25     95.384     0.000     1.1321     11.95   0.030228   0.030399   0.030571   0.030744  0.030918     10.96    11.09 
MELISSA TEX INDPT SCH DI 585488VJ5 11/24/20 02/01/26     93.269     0.000     1.3481     13.93   0.035249   0.035487   0.035726   0.035967  0.036209     12.80    12.98 
MELISSA TEX INDPT SCH DI 585488VK2 11/24/20 02/01/27     91.181     0.000     1.4979     15.14   0.038330   0.038617   0.038906   0.039198  0.039491     13.94    14.15 
MESQUITE TEX INDPT SCH   590760UA0 09/30/21 08/15/28     90.002     0.000     1.5380      3.50   0.038451   0.038673   0.038970   0.039270  0.039572     13.95    14.16 
MESQUITE TEX INDPT SCH   590760UB8 09/30/21 08/15/33     76.847     0.000     2.2299      4.33   0.047600   0.047998   0.048533   0.049074  0.049621     17.33    17.72 
MESQUITE TEX INDPT SCH   590760TX2 09/30/21 08/15/25     96.330     0.000     0.9672      2.36   0.025880   0.025974   0.026100   0.026226  0.026353      9.36     9.45 
MESQUITE TEX INDPT SCH   590760TW4 09/30/21 08/15/24     98.160     0.000     0.6470      1.61   0.017641   0.017684   0.017741   0.017798  0.017856      6.37     6.41 
MESQUITE TEX INDPT SCH   590760TV6 09/30/21 08/15/23     99.273     0.000     0.3895      0.98   0.010741   0.010757   0.010778   0.010799                3.87     2.42 
MESQUITE TEX INDPT SCH   590760TZ7 09/30/21 08/15/27     92.195     0.000     1.3879      3.23   0.035545   0.035730   0.035978   0.036227  0.036479     12.89    13.07 
MESQUITE TEX INDPT SCH   590760TY0 09/30/21 08/15/26     94.668     0.000     1.1271      2.70   0.029639   0.029764   0.029932   0.030100  0.030270     10.73    10.85 
MESQUITE TEX INDPT SCH   590760TG9 09/30/21 08/15/30     85.371     0.000     1.7900      3.86   0.042448   0.042733   0.043116   0.043502  0.043891     15.42    15.70 
MESQUITE TEX INDPT SCH   590760TH7 09/30/21 08/15/31     82.561     0.000     1.9499      4.07   0.044719   0.045046   0.045485   0.045929  0.046377     16.26    16.58 
MESQUITE TEX INDPT SCH   590760TF1 09/30/21 08/15/23     99.273     0.000     0.3895      0.98   0.010741   0.010757   0.010778   0.010799                3.87     2.42 
MIAMI TEX INDPT SCH DIST 593745BR2 10/21/20 02/15/31     77.389     0.000     2.4998     23.33   0.054842   0.055527   0.056221   0.056924  0.057635     20.05    20.56 
MIAMI TEX INDPT SCH DIST 593745BQ4 10/21/20 02/15/30     80.069     0.000     2.4000     23.17   0.054429   0.055083   0.055744   0.056412  0.057089     19.89    20.37 
MIAMI TRACE OHIO LOC SCH 593779JR3 12/23/21 12/01/33     71.666     0.000     2.8100      0.45   0.055939   0.056628   0.057424   0.058231  0.059049     20.31    20.87 
MIAMI TRACE OHIO LOC SCH 593779JS1 12/23/21 12/01/34     68.373     0.000     2.9600      0.45   0.056217   0.056948   0.057790   0.058646  0.059514     20.42    21.01 
MIAMI TRACE OHIO LOC SCH 593779JT9 12/23/21 12/01/35     65.488     0.000     3.0599      0.45   0.055664   0.056411   0.057274   0.058151  0.059040     20.22    20.83 
MICHIGAN FIN AUTH REV    59447TJ20 10/15/20 06/01/45     20.693     0.000     6.4997     16.71   0.040159   0.041464   0.042812   0.044203  0.045640     14.77    15.75 
MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35     57.219     0.000     3.5309     42.23   0.060086   0.061147   0.062227   0.063325  0.064443     21.89    22.67 
MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36     55.067     0.000     3.5510     40.88   0.058177   0.059209   0.060261   0.061331  0.062420     21.19    21.95 
MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33     62.215     0.000     3.4310     44.58   0.063361   0.064448   0.065554   0.066678  0.067822     23.07    23.87 
MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34     59.694     0.000     3.4810     43.41   0.061739   0.062813   0.063907   0.065019  0.066150     22.48    23.27 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32     65.193     0.000     3.3310     45.32   0.064335   0.065407   0.066496   0.067604  0.068729     23.42    24.20 
MIDLOTHIAN TEX INDPT SCH 5978517L2 11/19/20 02/15/22     99.335     0.000     0.5392      5.99   0.014938                                                 0.66          
MIDLOTHIAN TEX INDPT SCH 5978517M0 11/19/20 02/15/23     98.612     0.000     0.6252      6.90   0.017205   0.017259   0.017313                           6.22     0.76 
MINERAL WELLS TEX INDPT  603109RL5 03/31/21 02/15/23     99.152     0.000     0.4547      3.40   0.012544   0.012573   0.012602                           4.53     0.55 
MINERAL WELLS TEX INDPT  603109RS0 03/31/21 02/15/29     85.552     0.000     1.9913     12.87   0.047675   0.048149   0.048629   0.049113  0.049602     17.38    17.73 
MINERAL WELLS TEX INDPT  603109RR2 03/31/21 02/15/28     88.981     0.000     1.7053     11.46   0.042419   0.042780   0.043145   0.043513  0.043884     15.43    15.70 
MINERAL WELLS TEX INDPT  603109RQ4 03/31/21 02/15/27     91.300     0.000     1.5552     10.72   0.039671   0.039980   0.040291   0.040604  0.040920     14.42    14.65 
MINERAL WELLS TEX INDPT  603109RP6 03/31/21 02/15/26     94.328     0.000     1.2013      8.55   0.031619   0.031809   0.032000   0.032192  0.032385     11.47    11.61 
MINERAL WELLS TEX INDPT  603109RN1 03/31/21 02/15/25     96.018     0.000     1.0513      7.61   0.028151   0.028299   0.028448   0.028597  0.028748     10.20    10.31 
MINERAL WELLS TEX INDPT  603109RM3 03/31/21 02/15/24     98.203     0.000     0.6317      4.68   0.017272   0.017327   0.017382   0.017437  0.017492      6.24     6.28 
MISSION CONS INDPT SCH   605041HZ8 12/30/20 02/15/25     95.901     0.000     1.0172      9.81   0.027269   0.027407   0.027547   0.027687  0.027828      9.88     9.98 
MOOD MEDIA BORROWER LLC  614875AD4 01/01/19 12/31/23    100.000    VARIES     0.0000    531.26   0.780014   0.859779   0.947702   1.044615              295.33   357.67 
MOOD MEDIA BORROWER LLC  614875AC6 06/28/19 12/31/23     84.250    VARIES    20.4523    531.26   0.780014   0.859779   0.947702   1.044615              295.33   357.67 
MOOD MEDIA BORROWER LLC  U55360AB4 06/28/19 12/31/23    100.000    VARIES    16.1998    531.26   0.780014   0.859779   0.947702   1.044615              295.33   357.67 
MORGAN STANLEY FINANCE   61774FAE2 09/29/22 10/01/24    100.000     0.000     4.9820                        0.138389   0.138427   0.141875  0.145410     12.74    51.08 
MORGAN STANLEY FINANCE   61773QZR3 05/04/22 05/04/27    100.000     0.000     4.1269                        0.114636   0.117002   0.119416  0.121880     27.30    42.83 
MORGAN STANLEY FINANCE   61773QJ34 04/27/22 04/26/29    100.000     0.000     4.3151                        0.119864   0.122436   0.125077  0.127776     29.41    44.90 
MORGAN STANLEY FINANCE   61773QZQ5 05/04/22 05/04/26    100.000     0.000     4.0095                        0.111375   0.113608   0.115885  0.118209     26.52    41.57 
MORGAN STANLEY FINANCE   61774DNM5 06/10/22 06/10/27    100.000     0.000     4.2071                        0.116864   0.119322   0.121832  0.124395     23.54    43.51 
MORGAN STANLEY FINANCE   61773QZT9 04/29/22 04/29/27    100.000     0.000     3.9369                        0.109358   0.111511   0.113706  0.115944     26.60    40.81 
MORGAN STANLEY FINANCE   61773QZU6 04/29/22 05/01/29    100.000     0.000     4.1304             0.114733   0.114760   0.117130   0.119549  0.122018     27.91    42.90 
MORGAN STANLEY FINANCE   61773QZD4 04/27/22 04/27/27    100.000     0.000     4.1211                        0.114475   0.116834   0.119241  0.121698     28.08    42.80 
MORGAN STANLEY FINANCE   61773Y359 04/22/22 05/05/26    100.000     0.000     3.9175             0.108819   0.108973   0.111108   0.113284  0.115503     27.25    40.64 
MORGAN STANLEY FINANCE   61773Y474 05/04/22 11/05/25    100.000     0.000     3.8947                        0.108186   0.110305   0.112453  0.114642     25.76    40.34 
MORGAN STANLEY FINANCE   61774DGB7 06/03/22 06/05/25    100.000     0.000     3.5556             0.098767   0.098786   0.100542   0.102330  0.104149     20.59    36.61 
MORGAN STANLEY FINANCE   61774DGQ4 06/08/22 06/08/27    100.000     0.000     4.1771                        0.116031   0.118454   0.120928  0.123454     23.61    43.20 
MORGAN STANLEY FINANCE   61773QG29 04/29/22 10/29/27    100.000     0.000     3.9912                        0.110867   0.113079   0.115336  0.117637     26.97    41.40 
MORGAN STANLEY FINANCE   61773QX27 04/29/22 05/01/29    100.000     0.000     4.1304             0.114733   0.114760   0.117130   0.119549  0.122018     27.91    42.90 
MORGAN STANLEY FINANCE   61773QWA3 06/14/22 09/14/23    100.000     0.000     3.1935                        0.088708   0.089417   0.090844               17.55    22.88 
MORGAN STANLEY FINANCE   61773QVF3 05/04/22 11/02/23    100.000     0.000     3.2368                        0.089911   0.091350   0.092828               21.39    27.76 
MORGAN STANLEY FINANCE   61773QVD8 05/04/22 08/01/24    100.000     0.000     3.2166                        0.089350   0.090045   0.091493  0.092964     21.28    33.11 
MORGAN STANLEY FINANCE   61773QVE6 04/28/22 05/31/24    100.000     0.000     3.3113             0.091981   0.092251   0.093779   0.095331  0.096910     22.46    34.14 
MORGAN STANLEY FINANCE   61773QUY3 04/25/22 10/25/23    100.000     0.000     3.0862                        0.085728   0.087051   0.088394               21.18    25.83 
MORGAN STANLEY FINANCE   61773QUZ0 04/27/22 10/26/23    100.000     0.000     3.2353                        0.089869   0.091315   0.092792               22.02    27.20 
MORGAN STANLEY FINANCE   61773QUX5 04/25/22 10/24/23    100.000     0.000     3.0862                        0.085728   0.087043   0.088386               21.18    25.75 
MORGAN STANLEY FINANCE   61773QE47 04/27/22 04/26/29    100.000     0.000     4.3151                        0.119864   0.122436   0.125077  0.127776     29.41    44.90 
MORGAN STANLEY FINANCE   61773QE39 04/27/22 04/27/27    100.000     0.000     4.1211                        0.114475   0.116834   0.119241  0.121698     28.08    42.80 
MORGAN STANLEY FINANCE   61773QVB2 04/29/22 08/30/24    100.000     0.000     3.5449                        0.098469   0.099643   0.101389  0.103206     23.97    36.62 
MORGAN STANLEY FINANCE   61773QVC0 04/29/22 04/30/25    100.000     0.000     3.8590                        0.107194   0.109274   0.111383  0.113532     26.07    39.98 
MORGAN STANLEY FINANCE   61773QVA4 04/29/22 11/29/24    100.000     0.000     3.9696             0.110267   0.110631   0.112827   0.115067  0.117350     26.83    41.17 
MORGAN STANLEY FINANCE   61773QYA1 05/04/22 05/04/27    100.000     0.000     4.1269                        0.114636   0.117002   0.119416  0.121880     27.30    42.83 
MORGAN STANLEY FINANCE   61773Q6U8 06/03/22 06/04/27    100.000     0.000     4.0488                        0.112467   0.114756   0.117079  0.119449     23.45    41.86 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61773QYD5 04/29/22 05/01/29    100.000     0.000     4.1304             0.114733   0.114760   0.117130   0.119549  0.122018     27.91    42.90 
MORGAN STANLEY FINANCE   61773QYB9 05/04/22 05/04/27    100.000     0.000     4.1269                        0.114636   0.117002   0.119416  0.121880     27.30    42.83 
MORGAN STANLEY FINANCE   61774HJT6 10/06/22 10/08/24    100.000     0.000     4.9491                        0.137475   0.137513   0.140916  0.144403     11.69    50.69 
MORGAN STANLEY FINANCE   61774DNB9 06/03/22 06/04/27    100.000     0.000     4.0488                        0.112467   0.114756   0.117079  0.119449     23.45    41.86 
MORGAN STANLEY FINANCE   61774DNL7 06/10/22 06/10/27    100.000     0.000     4.2071                        0.116864   0.119322   0.121832  0.124395     23.54    43.51 
MORGAN STANLEY FINANCE   61774FFY3 09/30/22 10/02/29    100.000     0.000     5.6163                        0.156008   0.156057   0.160439  0.164945     14.20    57.76 
MORGAN STANLEY FINANCE   61774FEW8 10/05/22 10/05/27    100.000     0.000     5.5476                                   0.154100   0.158374  0.162767     13.25    56.99 
MORGAN STANLEY FINANCE   61774FEE8 09/30/22 09/30/27    100.000     0.000     5.4789                                   0.152192   0.156361  0.160644     13.85    56.31 
MORGAN STANLEY FINANCE   61774D1A5 06/28/22 07/26/24    100.000     0.000     3.7340                        0.103722   0.104023   0.105966  0.107944     19.03    38.41 
MORGAN STANLEY FINANCE   61774E428 10/05/22 10/03/29    100.000     0.000     5.7054                                   0.158483   0.162954  0.167603     13.63    58.66 
MORGAN STANLEY FINANCE   61774FFZ0 10/05/22 10/05/27    100.000     0.000     5.5476                                   0.154100   0.158374  0.162767     13.25    56.99 
MORGAN STANLEY FINANCE   61773Y789 06/03/22 12/03/25    100.000     0.000     3.7094                        0.103039   0.104950   0.106896  0.108879     21.49    38.24 
MORGAN STANLEY FINANCE   61774DTP2 07/13/22 07/13/26    100.000     0.000     4.3472                                   0.120756   0.123380  0.126062     20.29    44.84 
MORGAN STANLEY FINANCE   61774D5R4 10/05/22 10/05/27    100.000     0.000     5.5476                                   0.154100   0.158374  0.162767     13.25    56.99 
MORGAN STANLEY FINANCE   61774D5S2 10/05/22 10/05/27    100.000     0.000     5.5476                                   0.154100   0.158374  0.162767     13.25    56.99 
MORGAN STANLEY FINANCE   61774D5P8 09/30/22 10/02/29    100.000     0.000     5.6163                        0.156008   0.156057   0.160439  0.164945     14.20    57.76 
MORGAN STANLEY FINANCE   61774D5Q6 10/05/22 10/05/27    100.000     0.000     5.5476                                   0.154100   0.158374  0.162767     13.25    56.99 
MORGAN STANLEY FINANCE   61774D5J2 09/30/22 10/02/29    100.000     0.000     5.6163                        0.156008   0.156057   0.160439  0.164945     14.20    57.76 
MORGAN STANLEY FINANCE   61774B283 07/06/22 07/05/29    100.000     0.000     4.7119                                   0.130886   0.133953  0.137108     22.91    48.77 
MORGAN STANLEY FINANCE   61774D7N1 10/05/22 10/03/25    100.000     0.000     5.2781                                   0.146614   0.150440  0.154410     12.61    54.16 
MORGAN STANLEY FINANCE   61774D7M3 09/30/22 09/30/27    100.000     0.000     5.4789                                   0.152192   0.156361  0.160644     13.85    56.31 
MORGAN STANLEY FINANCE   61774D7K7 09/30/22 10/02/25    100.000     0.000     5.2218                        0.145050   0.145092   0.148880  0.152767     13.20    53.60 
MORGAN STANLEY FINANCE   61774DGV3 06/03/22 06/04/27    100.000     0.000     4.0488                        0.112467   0.114756   0.117079  0.119449     23.45    41.86 
MORGAN STANLEY FINANCE   61773QWJ4 07/07/22 07/05/24    100.000     0.000     3.5515                                   0.098653   0.100385  0.102168     17.17    36.45 
MORGAN STANLEY FINANCE   61774HFR4 09/30/22 09/30/27    100.000     0.000     5.4789                                   0.152192   0.156361  0.160644     13.85    56.31 
MORGAN STANLEY FINANCE   61773QVY2 06/15/22 01/15/25    100.000     0.000     3.9475                        0.109653   0.110013   0.112185  0.114399     21.55    40.72 
MORGAN STANLEY FINANCE   61773QVZ9 06/09/22 12/11/24    100.000     0.000     3.5284             0.098011   0.098030   0.099760   0.101520  0.103311     19.84    36.30 
MORGAN STANLEY FINANCE   61774HF52 10/05/22 10/06/23    100.000     0.000     4.2222                                   0.117283   0.119773               10.09    32.70 
MORGAN STANLEY FINANCE   61773QVW6 06/07/22 10/07/24    100.000     0.000     3.5478                        0.098550   0.099715   0.101484  0.103285     20.20    36.52 
MORGAN STANLEY FINANCE   61774HEU8 09/29/22 10/01/24    100.000     0.000     4.9580                        0.137722   0.137760   0.141175  0.144675     12.67    50.83 
MORGAN STANLEY FINANCE   61773QVX4 06/21/22 06/20/25    100.000     0.000     4.3761                        0.121558   0.124203   0.126921  0.129698     23.13    45.26 
MORGAN STANLEY FINANCE   61773QVU0 06/08/22 12/07/23    100.000     0.000     2.9709                        0.082525   0.083744   0.084988               16.78    28.36 
MORGAN STANLEY FINANCE   61773QVV8 06/21/22 06/20/25    100.000     0.000     4.3761                        0.121558   0.124203   0.126921  0.129698     23.13    45.26 
MORGAN STANLEY FINANCE   61773QVR7 06/03/22 06/05/25    100.000     0.000     3.6428             0.101189   0.101209   0.103053   0.104930  0.106841     21.10    37.54 
MORGAN STANLEY FINANCE   61773QVS5 06/02/22 11/30/23    100.000     0.000     2.9497                        0.081936   0.083131   0.084357               17.16    27.57 
MORGAN STANLEY FINANCE   61774DMB0 06/30/22 07/02/29    100.000     0.000     4.7878                        0.132994   0.133030   0.136214  0.139475     24.08    49.62 
MORGAN STANLEY FINANCE   61774DML8 07/06/22 07/06/27    100.000     0.000     4.5507                                   0.126408   0.129285  0.132226     22.12    47.04 
MORGAN STANLEY FINANCE   61774DMJ3 06/06/22 06/04/27    100.000     0.000     4.1122                        0.114228   0.116550   0.118947  0.121392     23.48    42.52 
MORGAN STANLEY FINANCE   61774FAF9 10/05/22 08/04/25    100.000     0.000     5.2329                                   0.145358   0.147873  0.151742     12.50    53.72 
MORGAN STANLEY FINANCE   61774FAC6 09/30/22 10/02/25    100.000     0.000     5.2793                        0.146647   0.146690   0.150562  0.154537     13.35    54.20 
MORGAN STANLEY FINANCE   61774FAD4 09/21/22 09/19/24    100.000     0.000     4.5365                                   0.126014   0.128840  0.131763     12.60    46.46 
MORGAN STANLEY FINANCE   61774FAB8 09/14/22 09/12/24    100.000     0.000     4.1940                                   0.116500   0.118916  0.121410     12.47    42.91 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61774DLG0 06/30/22 07/02/29    100.000     0.000     4.7878                        0.132994   0.133030   0.136214  0.139475     24.08    49.62 
MORGAN STANLEY FINANCE   61774DLD7 06/23/22 12/22/25    100.000     0.000     4.3932                        0.122033   0.124699   0.127438  0.130237     22.97    45.43 
MORGAN STANLEY FINANCE   61773Q6B0 06/03/22 06/04/27    100.000     0.000     4.0488                        0.112467   0.114756   0.117079  0.119449     23.45    41.86 
Marion CNTY SD #133, IL  568870BN8 05/05/15 12/01/23    119.592    VARIES     3.7759    286.59   0.110342   0.109016   0.107666   0.106290               39.40    35.28 
Marion CNTY SD #133, IL  568870BM0 05/05/15 12/01/22    117.424    VARIES     3.5754    265.63   0.101905   0.100623                                     33.40          
Mashantucket Western     574754AM9 07/01/13 07/01/36     14.695    VARIES        N/A    550.52   0.331636   0.335314   0.339354   0.343791  0.348664    120.75   123.81 
Mashantucket Western     574754AL1 07/01/13 07/01/26     53.461     6.350        N/A    841.56   0.334636   0.343755   0.353578   0.364162  0.375565    123.83   131.19 
Mclean County, IL        582001FF5 06/30/14 12/01/22    111.828    VARIES     3.8797    313.25   0.109465   0.108625                                     35.97          
Mclean County, IL        582001FG3 06/30/14 12/01/23    110.876    VARIES     4.1300    333.31   0.117709   0.116985   0.116246   0.115491               42.20    38.23 
Mclean County, IL        582001FH1 06/30/14 12/01/24    109.553    VARIES     4.3801    351.90   0.125462   0.124864   0.124252   0.123628  0.122989     45.02    44.58 
Miami-Dade County, FL    59333MXE0 12/15/09 12/15/26     73.673     5.760     8.7676    144.47   0.054398   0.056783   0.059272   0.061871  0.064583     20.09    21.89 
MORGAN STANLEY FINANCE   61760QAK0 03/30/12 03/30/32    100.000    VARIES     5.8741    495.40   0.137526   0.138251   0.139209   0.140194  0.141209     49.79    50.47 
MORGAN STANLEY FINANCE   61761JXP9 03/03/15 03/03/25    100.000     0.000     3.5983    275.75   0.126030   0.128297   0.130606   0.132956  0.135348     46.32    48.00 
MORGAN STANLEY FINANCE   61766B259 05/04/16 11/03/23    100.000     0.000     3.0362    185.94   0.099535   0.101046   0.102580   0.104138               36.28    31.26 
MORGAN STANLEY FINANCE   61760QAG9 03/15/12 03/15/32    100.000    VARIES     5.5710    478.75   0.133260   0.133886   0.134530   0.135191  0.135940     48.22    48.70 
MORGAN STANLEY FINANCE   61761JGH6 05/30/13 05/31/33    100.000    VARIES     4.3438    351.32   0.109913   0.109421   0.110134   0.109646  0.109869     40.04    40.10 
MORGAN STANLEY FINANCE   61764V828 06/03/15 12/05/22    100.000     0.000     3.2131    233.29   0.109820   0.111584                                     37.00          
MORGAN STANLEY FINANCE   61760QAP9 03/30/12 03/30/27    100.000    VARIES     5.8451    505.28   0.145028   0.146139   0.147472   0.148844  0.150256     52.63    53.59 
MORGAN STANLEY FINANCE   61760QAN4 03/30/12 03/30/32    100.000    VARIES     6.0912    539.70   0.148332   0.148612   0.149269   0.149946  0.150644     53.54    53.98 
MORGAN STANLEY FINANCE   61761JGS2 05/24/13 05/24/33    100.000    VARIES     4.1821    335.32   0.105809   0.105944   0.106083   0.106224  0.106480     38.13    38.23 
MORGAN STANLEY FINANCE   61760QAW4 04/30/12 04/30/32    100.000    VARIES     5.9580    500.99   0.141328   0.142201   0.143089   0.144003  0.144945     51.14    51.79 
MORGAN STANLEY FINANCE   61745EN64 05/19/11 05/19/26    100.000    VARIES     5.5224    550.48   0.142408   0.140782   0.144098   0.142741  0.145342     51.75    52.40 
MORGAN STANLEY FINANCE   61745EN72 09/30/11 09/30/31    100.000    VARIES     6.1252    537.05   0.143568   0.144762   0.145994   0.147191  0.148425     52.12    52.99 
MORGAN STANLEY FINANCE   617482UH5 05/31/11 05/29/26    100.000    VARIES     5.3835    556.91   0.145009   0.145134   0.145502   0.145880  0.146269     52.24    52.47 
MORGAN STANLEY FINANCE   61761JHD4 06/28/13 06/28/33    100.000    VARIES     5.2916    419.85   0.133387   0.133528   0.133672   0.133821  0.134142     48.05    48.15 
MORGAN STANLEY FINANCE   617482VB7 06/30/11 06/30/31    100.000    VARIES     5.5330    541.50   0.139182   0.139257   0.139570   0.139891  0.140221     50.12    50.30 
MORGAN STANLEY FINANCE   61766B135 04/05/16 10/04/23    100.000     0.000     3.0621    190.57   0.100525   0.102064   0.103627   0.105214               36.74    28.58 
MORGAN STANLEY FINANCE   617482UY8 06/15/11 06/13/31    100.000    VARIES     5.5345    539.51   0.137997   0.138269   0.138549   0.138837  0.139339     49.74    49.94 
MORGAN STANLEY FINANCE   61766B168 04/05/16 10/04/23    100.000     0.000     3.0621    190.57   0.100525   0.102064   0.103627   0.105214               36.74    28.58 
MORGAN STANLEY FINANCE   61760S621 03/18/14 07/18/22    100.000     0.000     3.7451    335.04   0.136570   0.139128                                     27.36          
MORGAN STANLEY FINANCE   61765R669 11/04/15 05/05/23    100.000     0.000     3.3210    224.98   0.111795   0.111798   0.115538                          41.02    14.33 
MORGAN STANLEY FINANCE   61761JWZ8 02/24/15 02/24/23    100.000     0.000     3.1504    238.91   0.107225   0.108914   0.110630                          39.34     5.86 
MORGAN STANLEY FINANCE   6174824H4 04/30/13 04/28/23    100.000    VARIES     3.0093    253.75   0.082709   0.082987   0.083287                          29.86     9.74 
MORGAN STANLEY FINANCE   61760QAC8 02/29/12 02/29/32    100.000    VARIES     5.1025    475.88   0.132137   0.130325   0.132795   0.130942  0.132704     47.98    48.12 
MORGAN STANLEY FINANCE   61760QAB0 02/29/12 02/29/32    100.000    VARIES     5.1014    439.05   0.122444   0.121076   0.123738   0.122382  0.124465     44.60    45.00 
MORGAN STANLEY FINANCE   61761JGF0 05/08/13 05/06/33    100.000    VARIES     3.9967    326.55   0.102371   0.102440   0.102510   0.102582  0.102770     36.87    36.93 
MORGAN STANLEY FINANCE   61765U175 12/03/15 06/02/23    100.000     0.000     3.3916    226.82   0.115264   0.117219   0.119207                          41.96    18.00 
MORGAN STANLEY FINANCE   61760QCK8 02/28/13 03/01/23    100.000    VARIES     1.9099     30.00   0.010064   0.010161   0.010258                           3.66     0.62 
MORGAN STANLEY FINANCE   61760QCW2 06/28/13 06/28/28    100.000    VARIES     4.2811    338.72   0.112752   0.113454   0.114007   0.114572  0.115148     40.72    41.15 
MORGAN STANLEY FINANCE   61760QCV4 06/28/13 06/28/28    100.000    VARIES     4.3010    340.21   0.113185   0.113888   0.114446   0.115017  0.115600     40.88    41.31 
MORGAN STANLEY FINANCE   6174824W1 05/30/13 05/30/28    100.000    VARIES     3.5684    295.17   0.096134   0.096343   0.096556   0.096772  0.096988     34.66    34.81 
MORGAN STANLEY FINANCE   61762P476 08/09/13 08/09/23    100.000     0.000     4.3446    434.54   0.170210   0.173907   0.177685   0.181545               63.00    39.43 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61760QCT9 06/28/13 06/28/28    100.000    VARIES     4.5851    346.02   0.113701   0.114622   0.115565   0.116529  0.117508     41.10    41.78 
MORGAN STANLEY FINANCE   61760QCS1 06/07/13 06/07/28    100.000    VARIES     4.0272    309.13   0.098949   0.099697   0.100460   0.101238  0.102172     35.79    36.35 
MORGAN STANLEY FINANCE   61760QCQ5 06/28/13 06/28/28    100.000    VARIES     3.9696    305.44   0.100381   0.101071   0.101776   0.102494  0.103211     36.27    36.77 
MORGAN STANLEY FINANCE   61761JJB6 06/18/13 06/18/32    100.000    VARIES     4.7373    384.38   0.122673   0.122794   0.122918   0.123046  0.123298     44.19    44.28 
MORGAN STANLEY FINANCE   61760QCZ5 07/31/13 07/31/33    100.000    VARIES     4.4981    338.44   0.109697   0.110297   0.110910   0.111458  0.112018     39.78    40.19 
MORGAN STANLEY FINANCE   61760QCY8 07/31/13 07/31/28    100.000    VARIES     4.5084    350.99   0.116752   0.117464   0.118192   0.118821  0.119463     42.38    42.85 
MORGAN STANLEY FINANCE   61760QDE1 08/28/13 08/28/33    100.000    VARIES     4.4982    326.11   0.104188   0.104710   0.105244   0.105791  0.106349     37.73    38.12 
MORGAN STANLEY FINANCE   61760QDD3 08/19/13 08/19/33    100.000    VARIES     4.5466    333.88   0.107757   0.108352   0.108960   0.109583  0.110219     39.06    39.50 
MORGAN STANLEY FINANCE   61760QDB7 08/19/13 08/19/33    100.000    VARIES     4.7352    365.29   0.121715   0.122311   0.122922   0.123548  0.124188     44.08    44.53 
MORGAN STANLEY FINANCE   61760QBJ2 05/31/12 05/31/27    100.000    VARIES     6.1478    516.83   0.146354   0.147938   0.149571   0.151254  0.153393     53.07    54.27 
MORGAN STANLEY FINANCE   61766B366 06/03/16 12/05/23    100.000     0.000     3.0194    181.96   0.098920   0.100413   0.101929   0.103468               35.96    34.32 
MORGAN STANLEY FINANCE   61765G804 09/03/15 03/03/23    100.000     0.000     3.4969    245.33   0.119595   0.121686   0.123813                          43.93     7.68 
MORGAN STANLEY FINANCE   61760QBH6 05/31/12 05/31/27    100.000    VARIES     6.1478    516.83   0.146354   0.147938   0.149571   0.151254  0.153393     53.07    54.27 
MORGAN STANLEY FINANCE   61760QBG8 05/16/12 05/16/22    100.000    VARIES     3.9371     81.40   0.026378                                                 3.56          
MORGAN STANLEY FINANCE   61764C275 11/05/14 04/29/22    100.000     0.000     3.5062    282.43   0.124154                                                14.65          
MORGAN STANLEY FINANCE   61761JZB8 06/03/15 06/03/22    100.000     0.000     3.2133    233.31   0.109807                                                16.69          
MORGAN STANLEY FINANCE   61760QBZ6 10/10/12 10/10/24    100.000    VARIES     4.6395    427.33   0.128874   0.128876   0.128877   0.128878  0.128880     46.40    46.40 
MORGAN STANLEY FINANCE   61760QBY9 10/15/12 10/15/24    100.000    VARIES     4.4801    412.03   0.124456   0.124434   0.124412   0.124415  0.124418     44.80    44.79 
MORGAN STANLEY FINANCE   617482H23 03/16/12 03/16/27    100.000    VARIES     6.4024    600.28   0.167597   0.168095   0.168610   0.169141  0.169930     60.53    60.93 
MORGAN STANLEY FINANCE   61760QCG7 01/31/13 01/31/23    100.000    VARIES     2.1326     30.78   0.010295   0.010404   0.010515                           3.76     0.30 
MORGAN STANLEY FINANCE   61760QCD4 12/28/12 12/28/22    100.000    VARIES     2.1577     28.40   0.009507   0.009610                                      3.41          
MORGAN STANLEY FINANCE   61760QCB8 11/28/12 11/28/27    100.000    VARIES     4.4679    441.70   0.139460   0.139162   0.138858   0.138237  0.137602     50.13    49.84 
MORGAN STANLEY FINANCE   617482XG4 08/30/11 08/29/31    100.000    VARIES     6.1189    590.35   0.151159   0.152009   0.151198   0.152286  0.150894     55.33    55.35 
MORGAN STANLEY FINANCE   61765U381 01/05/16 07/06/23    100.000     0.000     3.3685    221.48   0.112451   0.114345   0.116271   0.118229               41.49    21.86 
MORGAN STANLEY FINANCE   61760QEZ3 09/17/14 09/17/34    100.000    VARIES     2.6675     29.99   0.010461   0.010601   0.010742   0.010885  0.011031      3.82     3.92 
MORGAN STANLEY FINANCE   61761JKY4 09/30/13 09/30/33    100.000    VARIES     4.8148    374.97   0.123725   0.123869   0.124017   0.124168  0.124324     44.59    44.70 
MORGAN STANLEY FINANCE   61760QFH2 10/30/14 10/30/24    100.000    VARIES     2.1052    145.59   0.057170   0.057382   0.057596   0.057813  0.058032     20.65    20.80 
MORGAN STANLEY FINANCE   61745ER60 05/31/11 05/31/31    100.000    VARIES     5.6682    543.76   0.138465   0.139007   0.139564   0.140137  0.140955     49.98    50.39 
MORGAN STANLEY FINANCE   61766F250 11/03/16 05/03/24    100.000     0.000     2.9896    165.53   0.096326   0.097766   0.099228   0.100711  0.102216     35.10    36.16 
MORGAN STANLEY FINANCE   61767BAA8 02/22/16 02/23/26    100.000    VARIES     3.7844    223.49   0.106802   0.106852   0.106903   0.106955  0.106876     38.47    38.49 
MORGAN STANLEY FINANCE   61766B598 07/06/16 01/04/22    100.000     0.000     2.5838    151.25   0.081591                                                 0.24          
MORGAN STANLEY FINANCE   61760QDL5 09/26/13 09/26/33    100.000    VARIES     4.6879    342.82   0.112267   0.112754   0.113253   0.113763  0.114285     40.60    40.96 
MORGAN STANLEY FINANCE   61761JJP5 07/31/13 07/29/33    100.000    VARIES     4.8133    380.80   0.122545   0.122634   0.122725   0.122818  0.122913     44.16    44.23 
MORGAN STANLEY FINANCE   61761JJY6 07/15/13 07/15/33     99.000    VARIES     4.8838    391.42   0.126590   0.126725   0.126863   0.127005  0.127150     45.64    45.74 
MORGAN STANLEY FINANCE   61760QDR2 11/27/13 11/27/33    100.000    VARIES     4.4302    312.66   0.102842   0.103568   0.104309   0.105066  0.105841     37.20    37.74 
MORGAN STANLEY FINANCE   61766B564 07/06/16 01/03/24    100.000     0.000     2.7558    162.01   0.087755   0.088964   0.090190   0.091433  0.092693     32.24    33.14 
MORGAN STANLEY FINANCE   61760QEC4 03/31/14 03/31/34    100.000    VARIES     4.3149    304.09   0.105779   0.106011   0.106314   0.106623  0.106939     38.17    38.39 
MORGAN STANLEY FINANCE   61761JKL2 08/30/13 08/30/33    100.000    VARIES     5.0532    396.68   0.127703   0.127139   0.127976   0.127417  0.127561     46.54    46.56 
MORGAN STANLEY FINANCE   61760QGW8 07/31/15 07/31/27    100.000    VARIES     2.7281     24.79   0.010596   0.010741   0.010887   0.011036  0.011186      3.88     3.99 
MORGAN STANLEY FINANCE   61760QGV0 07/31/15 07/31/27    100.000    VARIES     2.7160     22.22   0.009498   0.009627   0.009758   0.009890  0.010024      3.48     3.58 
MORGAN STANLEY FINANCE   61761JMZ9 12/26/13 06/27/22    100.000     0.000     3.9457    367.70   0.149837                                                26.37          
MORGAN STANLEY FINANCE   61761JMW6 11/29/13 03/29/22    100.000     0.000     3.7206    347.52   0.137953                                                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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61745ET27 05/31/11 05/31/26    100.000    VARIES     5.5394    572.30   0.150265   0.150440   0.150765   0.151099  0.151442     54.14    54.36 
MORGAN STANLEY FINANCE   61760QGP3 06/30/15 06/30/22    100.000    VARIES     1.5573     25.58   0.010750                                                 1.92          
MORGAN STANLEY FINANCE   61745E2F7 11/28/11 11/28/26    100.000    VARIES     6.0157    536.68   0.151820   0.153109   0.154437   0.155887  0.157380     54.97    55.96 
MORGAN STANLEY FINANCE   61745E2E0 07/11/11 07/11/23    100.000    VARIES     5.5160    583.01   0.154332   0.154071   0.153803   0.153517               55.42    29.17 
MORGAN STANLEY FINANCE   61760QHA5 08/28/15 08/28/25    100.000    VARIES     2.5293     18.28   0.008045   0.008147   0.008250   0.008355  0.008460      2.94     3.01 
MORGAN STANLEY FINANCE   61761JNF2 12/26/13 12/27/33    100.000    VARIES     4.7412    360.55   0.121189   0.120645   0.121430   0.120890  0.121018     44.14    44.22 
MORGAN STANLEY FINANCE   61760QHQ0 09/30/15 09/30/22    100.000    VARIES     1.6929     21.88   0.010049   0.010134                                      2.72          
MORGAN STANLEY FINANCE   61766F466 12/05/16 06/05/24    100.000     0.000     3.5039    192.68   0.115791   0.117820   0.119884   0.121984  0.124121     42.16    43.65 
MORGAN STANLEY FINANCE   61761JLY3 10/31/13 10/31/33    100.000    VARIES     4.7082    359.92   0.118829   0.118945   0.119065   0.119187  0.119312     42.81    42.90 
MORGAN STANLEY FINANCE   61745EU66 06/10/11 06/10/26    100.000    VARIES     5.3579    563.02   0.146927   0.146882   0.147034   0.147190  0.147351     52.89    52.97 
MORGAN STANLEY FINANCE   61761JLU1 09/30/13 09/30/33    100.000    VARIES     4.8742    385.50   0.127829   0.127939   0.128052   0.128167  0.128285     46.06    46.14 
MORGAN STANLEY FINANCE   61745E2S9 07/13/11 07/13/31    100.000    VARIES     5.5541    530.11   0.135894   0.136195   0.136505   0.137073  0.137658     49.08    49.44 
MORGAN STANLEY FINANCE   61745ED65 04/08/11 04/08/26    100.000    VARIES     5.9065    627.90   0.164806   0.165146   0.165172   0.165199  0.165227     59.42    59.47 
MORGAN STANLEY FINANCE   61745E2M2 11/30/11 11/30/31    100.000    VARIES     6.5857    600.82   0.161331   0.162045   0.162783   0.163545  0.164332     58.25    58.79 
MORGAN STANLEY FINANCE   61745E2K6 01/21/11 01/21/26    100.000    VARIES     5.7295    538.78   0.137769   0.139757   0.141802   0.143906  0.146275     50.60    52.14 
MORGAN STANLEY FINANCE   61760E341 06/29/11 06/24/26    100.000     1.000     5.3273    704.00   0.236398   0.241955   0.247660   0.253517  0.259530     86.18    90.30 
MORGAN STANLEY FINANCE   61745E3D1 02/14/11 02/14/31    100.000    VARIES     6.0719    567.46   0.142421   0.143750   0.145118   0.146529  0.148139     51.88    52.91 
MORGAN STANLEY FINANCE   61760QGA6 05/27/15 05/27/30    100.000    VARIES     2.7018     23.64   0.009135   0.009259   0.009384   0.009511  0.009639      3.32     3.41 
MORGAN STANLEY FINANCE   61760QGB4 05/20/15 05/20/25    100.000    VARIES     2.6352     19.64   0.008395   0.008505   0.008618   0.008731  0.008846      3.05     3.13 
MORGAN STANLEY FINANCE   61745E2Z3 11/30/11 11/30/31    100.000    VARIES     6.7334    592.98   0.159188   0.160101   0.161045   0.162147  0.163286     57.53    58.24 
MORGAN STANLEY FINANCE   61745E3Y5 07/29/11 07/29/26    100.000    VARIES     5.4529    487.89   0.131491   0.133057   0.134667   0.136498  0.138379     48.10    49.37 
MORGAN STANLEY FINANCE   61768CAV9 10/31/16 10/31/23    100.000     0.000     2.9263    162.07   0.093993   0.095368   0.096764   0.098180               34.25    29.19 
MORGAN STANLEY FINANCE   61745E3T6 12/27/11 12/27/26    100.000    VARIES     6.9292    616.05   0.172510   0.174245   0.176040   0.177896  0.179815     62.43    63.72 
MORGAN STANLEY FINANCE   61745EE49 04/15/11 04/15/26    100.000    VARIES     5.7613    590.24   0.155784   0.156377   0.156933   0.157504  0.158092     56.28    56.69 
MORGAN STANLEY FINANCE   61745EV65 01/20/09 01/20/24    100.000    VARIES     5.9022    697.84   0.159870   0.160607   0.161365   0.162146  0.163034     57.93    58.50 
MORGAN STANLEY FINANCE   61745E3S8 07/29/11 07/29/31    100.000    VARIES     5.6231    530.05   0.137688   0.138248   0.138824   0.139624  0.140447     49.84    50.37 
MORGAN STANLEY FINANCE   61760QJA3 11/25/15 11/25/25    100.000    VARIES     2.4581     19.38   0.008871   0.008980   0.009090   0.009202  0.009315      3.22     3.30 
MORGAN STANLEY FINANCE   61760QJK1 02/17/16 02/17/26    100.000    VARIES     2.3885     36.91   0.017337   0.017544   0.017754   0.017966  0.018180      6.33     6.49 
MORGAN STANLEY FINANCE   61760QJJ4 01/28/16 01/28/23    100.000    VARIES     2.2365     19.55   0.009550   0.009657   0.009765                           3.49     0.26 
MORGAN STANLEY FINANCE   61758S559 09/02/14 07/03/23    100.000     0.000     3.4567    285.65   0.121374   0.123472   0.125606   0.127777               44.83    23.25 
MORGAN STANLEY FINANCE   61745E4E8 07/29/11 07/29/26    100.000    VARIES     5.4933    518.99   0.141487   0.142618   0.143780   0.144829  0.145907     51.49    52.27 
MORGAN STANLEY FINANCE   61760QJT2 03/20/17 03/20/27    100.000    VARIES     2.5542     12.52   0.007200   0.007292   0.007385   0.007480  0.007575      2.63     2.69 
MORGAN STANLEY FINANCE   61760QJS4 02/24/17 02/24/27    100.000    VARIES     2.8869     25.16   0.013806   0.014006   0.014208   0.014413  0.014621      5.06     5.20 
MORGAN STANLEY FINANCE   61765U803 03/03/16 09/01/23    100.000     0.000     3.5888    230.39   0.121206   0.123381   0.125595   0.127849               44.55    30.55 
MORGAN STANLEY FINANCE   61745EF97 08/31/11 08/31/31    100.000    VARIES     5.6735    524.56   0.141495   0.139873   0.142907   0.141354  0.143715     51.52    51.97 
MORGAN STANLEY FINANCE   61760QHT4 10/07/15 10/07/25    100.000    VARIES     2.4403     22.20   0.009940   0.010061   0.010184   0.010308  0.010434      3.62     3.71 
MORGAN STANLEY FINANCE   61745E4T5 01/13/12 01/13/32    100.000    VARIES     6.1787    524.06   0.139824   0.140774   0.141754   0.142764  0.143987     50.83    51.59 
MORGAN STANLEY FINANCE   61745EF63 05/18/10 05/18/25    100.000    VARIES     6.0399    687.17   0.164504   0.164862   0.165231   0.165611  0.166128     59.32    59.59 
MORGAN STANLEY FINANCE   61745EW49 01/30/09 01/30/24    100.000    VARIES     6.4553    774.44   0.175452   0.176115   0.176800   0.177612  0.178450     63.49    64.04 
MORGAN STANLEY FINANCE   61745EW23 06/23/11 06/23/26    100.000    VARIES     5.4880    503.26   0.135101   0.136621   0.138345   0.140116  0.141936     48.94    50.15 
MORGAN STANLEY FINANCE   61745EW31 10/27/11 10/27/31    100.000    VARIES     6.4618    646.39   0.177037   0.177551   0.178082   0.178360  0.178647     63.89    64.20 
MORGAN STANLEY FINANCE   61745EF22 04/15/11 04/15/26    100.000    VARIES     5.8397    647.73   0.169365   0.168987   0.168192   0.167374  0.166533     60.81    60.28 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61745E4L2 07/29/11 07/29/26    100.000    VARIES     5.5117    496.95   0.134361   0.135837   0.137353   0.139084  0.140862     49.09    50.29 
MORGAN STANLEY FINANCE   61760QHZ0 11/10/15 11/10/25    100.000    VARIES     2.5656     19.68   0.008946   0.009061   0.009177   0.009295  0.009414      3.25     3.34 
MORGAN STANLEY FINANCE   61758S625 10/03/14 03/31/22    100.000     0.000     3.6906    303.53   0.132399                                                11.78          
MORGAN STANLEY FINANCE   61766F839 02/03/17 02/03/22    100.000     0.000     3.0758    161.74   0.098018                                                 3.14          
MORGAN STANLEY FINANCE   61745E5Z0 01/31/12 01/31/32    100.000    VARIES     5.6272    496.16   0.137561   0.138113   0.138681   0.139264  0.140022     49.79    50.23 
MORGAN STANLEY FINANCE   61745E5X5 03/22/11 03/22/31    100.000    VARIES     5.8739    621.18   0.160995   0.161394   0.161804   0.162226  0.162311     58.11    58.38 
MORGAN STANLEY FINANCE   61760QKZ6 03/22/18 03/22/28    100.000    VARIES     3.8651    146.14   0.107052   0.105368   0.107132   0.105424  0.106578     38.77    38.73 
MORGAN STANLEY FINANCE   61745EX63 06/30/11 06/30/31    100.000    VARIES     5.7759    544.01   0.139383   0.139979   0.140591   0.141222  0.142054     50.29    50.73 
MORGAN STANLEY FINANCE   61745E5S6 08/22/11 08/22/31    100.000    VARIES     5.6565    522.48   0.142368   0.143036   0.143724   0.144401  0.145096     51.55    52.04 
MORGAN STANLEY FINANCE   61745EG62 04/25/11 04/25/23    100.000    VARIES     5.6779    604.93   0.156149   0.155202   0.156021                          56.81    17.79 
MORGAN STANLEY FINANCE   61760QLC6 05/03/18 05/03/28    100.000    VARIES     3.4370     13.55   0.009683   0.009849   0.010018   0.010190  0.010366      3.54     3.66 
MORGAN STANLEY FINANCE   61760QLB8 04/03/18 04/03/28    100.000    VARIES     3.4407     20.73   0.014503   0.014752   0.015006   0.015264  0.015527      5.31     5.49 
MORGAN STANLEY FINANCE   61760QLA0 04/03/18 04/03/28    100.000    VARIES     3.1280      9.45   0.006652   0.006756   0.006861   0.006969  0.007078      2.43     2.51 
MORGAN STANLEY FINANCE   61761JB24 07/06/15 07/06/22    100.000     0.000     3.3973    244.22   0.115510   0.117472                                     21.72          
MORGAN STANLEY FINANCE   61760QLN2 07/31/18 07/31/23    100.000    VARIES     3.2828     10.21   0.008402   0.008540   0.008680   0.008823                3.09     1.84 
MORGAN STANLEY FINANCE   61760QLM4 06/29/18 06/29/23    100.000    VARIES     3.2564     10.69   0.008717   0.008859   0.009004                           3.16     1.60 
MORGAN STANLEY FINANCE   61760QLJ1 06/29/18 06/29/23    100.000    VARIES     3.3558     14.22   0.011332   0.011522   0.011716                           4.11     2.09 
MORGAN STANLEY FINANCE   61760QLX0 09/26/18 09/26/28    100.000    VARIES     3.8192      8.82   0.006824   0.006955   0.007087   0.007223  0.007361      2.51     2.60 
MORGAN STANLEY FINANCE   61745E6D8 03/23/11 03/23/26    100.000    VARIES     5.5647    593.61   0.154442   0.154614   0.154701   0.154789  0.154881     55.66    55.73 
MORGAN STANLEY FINANCE   61745E6E6 08/24/11 08/24/23    100.000    VARIES     4.5799    476.41   0.128014   0.127822   0.127626   0.127425               46.00    29.70 
MORGAN STANLEY FINANCE   61745E6Y2 08/12/11 08/12/23    100.000    VARIES     5.0167    523.04   0.139929   0.139791   0.139648   0.139502               50.31    30.84 
MORGAN STANLEY FINANCE   61760QJV7 03/31/17 03/31/27    100.000    VARIES     2.8769     20.18   0.011299   0.011461   0.011626   0.011793  0.011963      4.13     4.25 
MORGAN STANLEY FINANCE   61745E6V8 04/15/10 04/15/25    100.000    VARIES     5.5533    641.71   0.152855   0.153039   0.153229   0.153423  0.153624     55.09    55.23 
MORGAN STANLEY FINANCE   61766V578 04/05/17 10/04/23    100.000     0.000     3.3161    168.70   0.106799   0.108570   0.110370   0.112200               39.08    30.46 
MORGAN STANLEY FINANCE   61768CST5 12/08/17 06/10/24    100.000     0.000     3.1083    133.55   0.097695   0.099213   0.100755   0.102321  0.103911     35.51    36.62 
MORGAN STANLEY FINANCE   61760QKF0 12/30/16 12/30/26    100.000    VARIES     2.8667     23.11   0.012498   0.012677   0.012859   0.013043  0.013230      4.53     4.66 
MORGAN STANLEY FINANCE   61760QKE3 12/28/16 12/28/26    100.000    VARIES     2.2900     13.31   0.007232   0.007315   0.007399   0.007484  0.007569      2.62     2.68 
MORGAN STANLEY FINANCE   61745EH46 04/26/11 04/26/26    100.000    VARIES     5.7525    534.15   0.140336   0.141063   0.143661   0.144742  0.146661     51.58    52.84 
MORGAN STANLEY FINANCE   61745E6R7 03/25/11 03/25/31    100.000    VARIES     5.9463    570.15   0.149531   0.150596   0.151692   0.152821  0.153971     54.23    55.03 
MORGAN STANLEY FINANCE   61760QKA1 09/30/16 09/30/26    100.000    VARIES     2.5378     34.34   0.017769   0.017994   0.018223   0.018454  0.018688      6.48     6.64 
MORGAN STANLEY FINANCE   61745EY47 06/30/11 06/30/26    100.000    VARIES     5.5720    534.24   0.145905   0.146960   0.147955   0.148978  0.150030     52.72    53.45 
MORGAN STANLEY FINANCE   61762GBE3 03/11/14 03/04/24    100.000    VARIES     3.8517    307.86   0.108852   0.108497   0.108137   0.107770  0.107385     39.04    38.78 
MORGAN STANLEY FINANCE   61762GBF0 03/31/14 03/29/29    100.000    VARIES     4.2966    350.39   0.128099   0.128034   0.127687   0.127332  0.126971     46.07    45.84 
MORGAN STANLEY FINANCE   61760QKK9 06/30/17 06/30/27    100.000    VARIES     2.7385     19.24   0.011372   0.011528   0.011686   0.011846  0.012008      4.12     4.24 
MORGAN STANLEY FINANCE   61760QKH6 02/21/17 02/21/27    100.000    VARIES     2.7058     12.71   0.007183   0.007280   0.007379   0.007478  0.007580      2.63     2.70 
MORGAN STANLEY FINANCE   61760QKU7 09/29/17 09/29/27    100.000    VARIES     2.7477     17.51   0.010770   0.010917   0.011067   0.011220  0.011374      3.93     4.04 
MORGAN STANLEY FINANCE   61745E7E5 08/31/11 08/31/26    100.000    VARIES     5.5216    495.23   0.132113   0.131529   0.135350   0.135062  0.138539     48.51    49.74 
MORGAN STANLEY FINANCE   61760QKR4 09/15/17 09/15/27    100.000    VARIES     2.6232     17.34   0.010600   0.010739   0.010880   0.011022  0.011167      3.87     3.97 
MORGAN STANLEY FINANCE   61760QKQ6 08/02/17 08/02/27    100.000    VARIES     2.7106     20.06   0.011926   0.012088   0.012252   0.012418  0.012586      4.37     4.49 
MORGAN STANLEY FINANCE   61766YAN1 09/30/16 09/30/26    100.000    VARIES     2.2435     16.67   0.008840   0.008939   0.009039   0.009141  0.009243      3.22     3.29 
MORGAN STANLEY FINANCE   617482PU2 12/22/10 12/22/25    100.000    VARIES     6.2468    654.13   0.164672   0.165401   0.166153   0.167216  0.168312     59.43    60.03 
MORGAN STANLEY FINANCE   61765R271 09/18/15 03/20/23    100.000     0.000     3.6136    252.54   0.124467   0.126716   0.129005                          45.67    10.19 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61766YAD3 05/25/16 05/25/23    100.000    VARIES     1.9635     15.73   0.008010   0.008088   0.008168                           2.90     1.18 
MORGAN STANLEY FINANCE   61745EZ87 07/07/11 07/07/26    100.000    VARIES     5.7789    553.99   0.151701   0.152310   0.152937   0.153582  0.154245     54.94    55.40 
MORGAN STANLEY FINANCE   61745EJ28 04/29/11 04/29/26    100.000    VARIES     5.7372    561.48   0.145219   0.146447   0.147710   0.149010  0.150587     52.65    53.59 
MORGAN STANLEY FINANCE   61765G309 07/06/15 01/05/23    100.000     0.000     3.3974    244.22   0.115501   0.117463   0.119458                          42.63     0.48 
MORGAN STANLEY FINANCE   61764V364 04/06/15 04/05/22    100.000     0.000     2.9611    219.00   0.099564                                                 9.36          
MORGAN STANLEY FINANCE   61760QMF8 11/28/18 11/28/28    100.000    VARIES     3.9167     17.56   0.013374   0.013636   0.013903   0.014176  0.014453      4.88     5.07 
MORGAN STANLEY FINANCE   61745EJ93 09/09/11 09/09/26    100.000    VARIES     5.8527    542.86   0.148174   0.149393   0.150649   0.151940  0.153270     53.84    54.76 
MORGAN STANLEY FINANCE   617482RH9 02/28/11 02/27/26    100.000    VARIES     5.9551    621.25   0.158088   0.158511   0.159140   0.159787  0.160453     57.12    57.57 
MORGAN STANLEY FINANCE   61766YAB7 05/25/16 05/25/26    100.000    VARIES     2.2927     18.75   0.009430   0.009538   0.009647   0.009758  0.009870      3.42     3.50 
MORGAN STANLEY FINANCE   61760QMM3 02/25/19 02/25/29    100.000    VARIES     3.3395     15.76   0.013749   0.013979   0.014212   0.014449  0.014691      5.05     5.22 
MORGAN STANLEY FINANCE   61760QMZ4 06/19/20 06/19/30    100.000    VARIES     1.9060     28.91   0.051960   0.052139   0.052306   0.052456  0.052593     18.74    18.86 
MORGAN STANLEY FINANCE   61764V646 05/05/15 11/03/22    100.000     0.000     3.1620    232.23   0.107682   0.109384                                     32.83          
MORGAN STANLEY FINANCE   6174464Q9 03/20/08 03/20/23     78.350     2.624     4.6440    554.45   0.125266   0.126482   0.127726                          45.56    10.09 
MORGAN STANLEY FINANCE   61765G564 08/05/15 02/03/23    100.000     0.000     3.4449    244.60   0.117436   0.119459   0.121516                          43.24     3.89 
MORGAN STANLEY FINANCE   61745EL58 09/16/11 09/16/31    100.000    VARIES     5.8547    526.05   0.142532   0.143324   0.144139   0.144977  0.145841     51.62    52.22 
MORGAN STANLEY FINANCE   6174464P1 03/20/08 03/20/23     81.700     2.935     4.6422    567.47   0.125796   0.126823   0.127875                          45.68    10.10 
MORGAN STANLEY FINANCE   61764V570 04/01/15 11/07/25    100.000     0.000     3.4095    256.40   0.118385   0.120403   0.122456   0.124543  0.126667     43.20    44.69 
MORGAN STANLEY FINANCE   61762GFA7 10/30/15 10/30/23    100.000     0.000     3.5009    238.81   0.119759   0.121855   0.123988   0.126158               43.75    37.46 
MORGAN STANLEY FINANCE   61761JDB2 02/20/13 02/18/33    100.000    VARIES     4.5201    370.85   0.113178   0.113292   0.113407   0.113526  0.113794     40.80    40.90 
MORGAN STANLEY FINANCE   61765R438 10/05/15 04/04/23    100.000     0.000     3.3207    228.15   0.112384   0.114249   0.116146                          41.12    10.80 
MORGAN STANLEY FINANCE   61745EM81 05/17/11 05/17/23    100.000    VARIES     5.1511    550.28   0.143522   0.143376   0.143234                          51.63    19.48 
MORGAN STANLEY FINANCE   61745EM32 09/22/11 09/22/26    100.000    VARIES     5.5348    508.09   0.140035   0.141066   0.142125   0.143420  0.144750     50.81    51.66 
MORGAN STANLEY FINANCE   61773E700 10/05/21 10/04/28    100.000     0.000     2.0411      4.88   0.056698   0.057273   0.057858   0.058448  0.059045     20.62    21.04 
MORGAN STANLEY FINANCE   61771BJV7 07/06/20 07/03/25    100.000     0.000     1.2523     18.73   0.035220   0.035440   0.035662   0.035886  0.036110     12.80    12.96 
MORGAN STANLEY FINANCE   61768R583 08/15/18 08/14/25    100.000     0.000     3.9076    139.69   0.121895   0.124277   0.126705   0.129180  0.131704     44.97    46.74 
MORGAN STANLEY FINANCE   61771BJQ8 06/30/20 06/30/27    100.000     0.000     1.6297     24.69   0.046385   0.046763   0.047144   0.047528  0.047916     16.77    17.04 
MORGAN STANLEY FINANCE   61773Y110 03/21/22 09/21/26    100.000     0.000     3.2764                        0.091012   0.092503   0.094019  0.095559     25.63    33.88 
MORGAN STANLEY FINANCE   61771V3W8 06/30/21 06/29/28    100.000     0.000     1.9839      9.98   0.055652   0.056204   0.056762   0.057325  0.057893     20.14    20.54 
MORGAN STANLEY FINANCE   61771V3Q1 07/06/21 07/06/26    100.000     0.000     1.4969      7.28   0.041582   0.041893   0.042206   0.042522  0.042841     15.13    15.36 
MORGAN STANLEY FINANCE   61769HTA3 09/30/19 06/29/23    100.000     0.000     2.4287     55.91   0.071227   0.072092   0.072967                          25.80    12.99 
MORGAN STANLEY FINANCE   61766YFJ5 03/03/21 03/02/23    100.000     0.000     0.4795      3.97   0.013350   0.013382   0.013414                           4.82     0.82 
MORGAN STANLEY FINANCE   61770FLC8 02/19/20 02/19/25    100.000     0.000     2.1606     40.94   0.061982   0.062651   0.063328   0.064012  0.064704     22.61    23.10 
MORGAN STANLEY FINANCE   61773U548 03/03/22 03/04/26    100.000     0.000     2.5450                        0.070700   0.071599   0.072511  0.073433     21.17    26.15 
MORGAN STANLEY FINANCE   61771BJP0 06/30/20 06/30/27    100.000     0.000     1.6297     24.69   0.046385   0.046763   0.047144   0.047528  0.047916     16.77    17.04 
MORGAN STANLEY FINANCE   61768R591 08/15/18 08/15/24    100.000     0.000     3.7617    134.19   0.116853   0.119051   0.121290   0.123572  0.125896     43.07    44.70 
MORGAN STANLEY FINANCE   61768CZF7 02/28/18 02/27/25    100.000     0.000     3.6613    149.61   0.115462   0.117576   0.119728   0.121920  0.124152     42.48    44.05 
MORGAN STANLEY FINANCE   61770FKC9 02/28/20 08/29/24    100.000     0.000     1.8417     34.35   0.052588   0.053069   0.053560   0.054051  0.054551     19.14    19.49 
MORGAN STANLEY FINANCE   61769HAR6 06/05/19 06/05/24    100.000     0.000     2.9744     78.92   0.088952   0.090275   0.091618   0.092980  0.094363     32.33    33.30 
MORGAN STANLEY FINANCE   61769HAQ8 06/05/19 12/06/22    100.000     0.000     2.7658     73.22   0.082296   0.083434                                     27.77          
MORGAN STANLEY FINANCE   61769HAP0 05/31/19 05/31/24    100.000     0.000     3.0990     82.79   0.092961   0.094402   0.095865   0.097350  0.098858     33.82    34.87 
MORGAN STANLEY FINANCE   61768M576 03/05/18 03/05/25    100.000     0.000     3.7266    151.62   0.117799   0.119994   0.122229   0.124507  0.126827     43.32    44.95 
MORGAN STANLEY FINANCE   61768M592 03/05/18 03/03/22    100.000     0.000     3.3336    134.74   0.103941                                                 6.44          






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61770FL46 04/29/20 04/27/23    100.000     0.000     1.6712     28.23   0.047592   0.047989   0.048390                          17.26     5.61 
MORGAN STANLEY FINANCE   61768M584 03/05/18 03/03/23    100.000     0.000     3.4611    140.19   0.108391   0.110267   0.112175                          39.80     6.95 
MORGAN STANLEY FINANCE   61769HAH8 06/05/19 06/05/24    100.000     0.000     2.9744     78.92   0.088952   0.090275   0.091618   0.092980  0.094363     32.33    33.30 
MORGAN STANLEY FINANCE   61771VD49 05/26/21 05/25/28    100.000     0.000     1.9994     11.96   0.056091   0.056652   0.057219   0.057791  0.058368     20.33    20.74 
MORGAN STANLEY FINANCE   61770FJW7 03/04/20 09/01/22    100.000     0.000     1.5946     29.42   0.045355   0.045717                                     10.95          
MORGAN STANLEY FINANCE   61773QZF9 04/27/22 04/26/29    100.000     0.000     4.3166                        0.119906   0.122479   0.125123  0.127823     29.42    44.92 
MORGAN STANLEY FINANCE   61770C111 10/03/19 04/03/24    100.000     0.000     2.1674     49.59   0.062858   0.063540   0.064228   0.064924  0.065628     22.87    23.37 
MORGAN STANLEY FINANCE   61769HB87 10/30/19 05/02/24    100.000     0.000     2.3725     52.52   0.069094   0.069914   0.070743   0.071582  0.072431     25.12    25.72 
MORGAN STANLEY FINANCE   61768R781 10/03/18 10/04/23    100.000     0.000     3.8198    130.67   0.118874   0.121145   0.123458   0.125816               43.60    34.13 
MORGAN STANLEY FINANCE   61771VX54 05/28/21 05/31/28    100.000     0.000     1.9431     11.51   0.054505   0.055034   0.055569   0.056109  0.056654     19.75    20.14 
MORGAN STANLEY FINANCE   61769HE43 10/25/19 10/25/24    100.000     0.250     2.3773     52.86   0.068896   0.069633   0.070378   0.071132  0.071895     25.03    25.57 
MORGAN STANLEY FINANCE   61766X483 09/06/17 09/06/23    100.000     0.000     2.9385    134.31   0.091728   0.093076   0.094443   0.095831               33.58    23.39 
MORGAN STANLEY FINANCE   61766X459 09/06/17 03/05/24    100.000     0.000     3.0212    138.32   0.094609   0.096038   0.097489   0.098961  0.100456     34.65    35.71 
MORGAN STANLEY FINANCE   61773FLT8 08/31/21 08/31/28    100.000     0.000     1.9137      6.43   0.053158   0.053661   0.054180   0.054693  0.055222     19.35    19.72 
MORGAN STANLEY FINANCE   61768P157 04/05/18 04/03/25    100.000     0.000     3.8093    151.58   0.120727   0.123026   0.125369   0.127757  0.130191     44.28    45.99 
MORGAN STANLEY FINANCE   61768P124 04/04/18 04/05/22    100.000     0.000     3.4793    137.81   0.109061                                                10.25          
MORGAN STANLEY FINANCE   61773HBE8 11/29/21 11/29/28    100.000     0.000     2.4000      2.13   0.066666   0.067466   0.068276   0.069095  0.069924     24.20    24.78 
MORGAN STANLEY FINANCE   61773HBC2 11/08/21 11/06/26    100.000     0.000     1.8561      2.73   0.051560   0.052033   0.052516   0.053003  0.053495     18.70    19.05 
MORGAN STANLEY FINANCE   61772X691 06/03/21 06/05/28    100.000     0.000     1.9849     11.48   0.055690   0.056243   0.056801   0.057365  0.057934     20.18    20.58 
MORGAN STANLEY FINANCE   61769HUJ2 09/13/19 03/15/23    100.000     0.000     2.3832     56.02   0.069420   0.070247   0.071084                          25.32     5.26 
MORGAN STANLEY FINANCE   61771VFW5 03/31/21 03/30/28    100.000     0.000     2.1048     15.90   0.059082   0.059704   0.060332   0.060967  0.061609     21.50    21.95 
MORGAN STANLEY FINANCE   61771BMB7 06/26/20 12/29/25    100.000     0.000     1.3458     20.51   0.038147   0.038404   0.038663   0.038923  0.039185     13.78    13.97 
MORGAN STANLEY FINANCE   61771BMA9 06/26/20 06/28/27    100.000     0.000     1.6168     24.68   0.046014   0.046385   0.046760   0.047138  0.047520     16.63    16.90 
MORGAN STANLEY FINANCE   61772X659 06/03/21 06/05/28    100.000     0.000     1.9849     11.48   0.055690   0.056243   0.056801   0.057365  0.057934     20.18    20.58 
MORGAN STANLEY FINANCE   61773QLH0 03/17/22 03/12/26    100.000     0.000     3.0167                        0.083797   0.085026   0.086309  0.087611     23.93    31.12 
MORGAN STANLEY FINANCE   61771BLH5 07/06/20 07/03/25    100.000     0.000     1.2523     18.73   0.035220   0.035440   0.035662   0.035886  0.036110     12.80    12.96 
MORGAN STANLEY FINANCE   61773QLL1 03/09/22 03/09/27    100.000     0.000     2.7515                        0.076430   0.077482   0.078548  0.079628     22.44    28.33 
MORGAN STANLEY FINANCE   61773QLJ6 03/17/22 03/12/27    100.000     0.000     3.2312                        0.089756   0.091165   0.092638  0.094135     25.64    33.41 
MORGAN STANLEY FINANCE   61771BKY9 06/30/20 06/30/27    100.000     0.000     1.6297     24.69   0.046385   0.046763   0.047144   0.047528  0.047916     16.77    17.04 
MORGAN STANLEY FINANCE   61773QKV0 03/16/22 03/16/28    100.000     0.000     3.3682                        0.093560   0.095135   0.096738  0.098367     26.83    34.88 
MORGAN STANLEY FINANCE   61773HQY8 12/28/21 12/28/26    100.000     0.000     1.9271      0.16   0.053531   0.054047   0.054568   0.055093  0.055624     19.37    19.74 
MORGAN STANLEY FINANCE   61773HQZ5 12/28/21 12/28/28    100.000     0.000     2.1941      0.18   0.060948   0.061616   0.062292   0.062976  0.063667     22.07    22.55 
MORGAN STANLEY FINANCE   61771BKZ6 06/30/20 12/30/27    100.000     0.000     1.6965     25.71   0.048334   0.048744   0.049158   0.049575  0.049995     17.48    17.77 
MORGAN STANLEY FINANCE   61769H2T1 12/18/19 12/17/26    100.000     0.000     2.5573     53.11   0.074736   0.075691   0.076659   0.077639  0.078632     27.10    27.80 
MORGAN STANLEY FINANCE   61771V4K3 06/23/21 12/23/26    100.000     0.000     1.5784      8.25   0.044192   0.044540   0.044892   0.045246  0.045603     15.98    16.23 
MORGAN STANLEY FINANCE   61771V4J6 06/23/21 06/22/28    100.000     0.000     1.8975      9.91   0.053207   0.053712   0.054221   0.054736  0.055255     19.25    19.62 
MORGAN STANLEY FINANCE   61769HTU9 10/03/19 10/03/24    100.000     0.000     2.1901     50.12   0.063545   0.064241   0.064944   0.065655  0.066374     23.12    23.63 
MORGAN STANLEY FINANCE   61769H2F1 12/27/19 12/27/24    100.000     0.000     2.5252     51.76   0.073753   0.074684   0.075627   0.076582  0.077549     26.73    27.41 
MORGAN STANLEY FINANCE   61769HCK9 05/24/19 05/26/22    100.000     0.000     2.9183     78.34   0.087166                                                12.64          
MORGAN STANLEY FINANCE   61771VVY3 04/30/21 04/28/28    100.000     0.000     2.0160     13.53   0.056559   0.057129   0.057705   0.058286  0.058874     20.54    20.95 
MORGAN STANLEY FINANCE   61769HTM7 10/03/19 10/05/22    100.000     0.000     2.1500     49.19   0.062341   0.063011                                     17.20          
MORGAN STANLEY FINANCE   61772Y863 09/03/21 09/06/28    100.000     0.000     1.8357      6.02   0.051000   0.051468   0.051941   0.052417  0.052899     18.55    18.89 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61769HDG7 06/03/19 06/03/24    100.000     0.000     3.3497     89.43   0.101105   0.102799   0.104520   0.106271  0.108051     36.80    38.04 
MORGAN STANLEY FINANCE   61773N163 12/20/21 01/04/29    100.000     0.000     2.2783      0.70   0.063285   0.063341   0.064063   0.064792  0.065530     22.93    23.45 
MORGAN STANLEY FINANCE   61769H3D5 12/27/19 06/26/24    100.000     0.000     2.4842     50.91   0.072492   0.073393   0.074304   0.075227  0.076162     26.27    26.92 
MORGAN STANLEY FINANCE   61769H3B9 12/26/19 06/25/24    100.000     0.000     2.4842     50.98   0.072493   0.073393   0.074305   0.075228  0.076162     26.27    26.93 
MORGAN STANLEY FINANCE   61771BKP8 06/16/20 06/16/27    100.000     0.000     1.6181     25.16   0.046046   0.046419   0.046794   0.047173  0.047554     16.65    16.93 
MORGAN STANLEY FINANCE   61768CL47 03/29/18 03/30/23    100.000     0.000     3.6383    145.06   0.114670   0.116756   0.118880                          42.04    10.58 
MORGAN STANLEY FINANCE   61773HA33 01/26/22 01/26/27    100.000     0.000     2.3686                        0.065796   0.066575   0.067363  0.068161     22.16    24.35 
MORGAN STANLEY FINANCE   61773HA25 01/26/22 01/25/29    100.000     0.000     2.6702                        0.074172   0.075157   0.076160  0.077177     25.00    27.55 
MORGAN STANLEY FINANCE   61770C343 11/05/19 05/03/24    100.000     0.000     2.2919     50.36   0.066623   0.067386   0.068159   0.068940  0.069730     24.21    24.77 
MORGAN STANLEY FINANCE   61773QKF5 03/31/22 04/03/29    100.000     0.000     3.7117             0.103102   0.103134   0.105048   0.106998  0.108984     28.12    38.51 
MORGAN STANLEY FINANCE   61773QKG3 03/31/22 04/03/29    100.000     0.000     3.7117             0.103102   0.103134   0.105048   0.106998  0.108984     28.12    38.51 
MORGAN STANLEY FINANCE   61769H2Y0 12/26/19 12/24/26    100.000     0.000     2.7295     56.12   0.080031   0.081123   0.082230   0.083352  0.084490     29.02    29.82 
MORGAN STANLEY FINANCE   61769HFT7 07/03/19 01/03/23    100.000     0.000     2.4864     63.58   0.072565   0.073467   0.074380                          26.61     0.15 
MORGAN STANLEY FINANCE   61773H2Y4 02/24/22 02/23/27    100.000     0.000     2.8221                        0.078392   0.079492   0.080614  0.081751     24.21    29.11 
MORGAN STANLEY FINANCE   61770G203 03/04/20 09/03/25    100.000     0.000     1.8551     34.28   0.052975   0.053466   0.053962   0.054463  0.054968     19.28    19.64 
MORGAN STANLEY FINANCE   61770G211 03/04/20 03/04/27    100.000     0.000     2.0962     38.80   0.060077   0.060707   0.061343   0.061986  0.062636     21.89    22.35 
MORGAN STANLEY FINANCE   61768Q601 07/05/18 07/05/22    100.000     0.000     3.6810    135.71   0.114072   0.116172                                     21.37          
MORGAN STANLEY FINANCE   61769HFS9 07/03/19 07/03/24    100.000     0.000     2.6772     68.59   0.078428   0.079478   0.080542   0.081620  0.082712     28.80    29.58 
MORGAN STANLEY FINANCE   61773HDE6 11/24/21 05/24/27    100.000     0.000     2.0320      2.09   0.056444   0.057018   0.057597   0.058182  0.058773     20.47    20.88 
MORGAN STANLEY FINANCE   61773HDF3 11/24/21 11/24/28    100.000     0.000     2.2835      2.35   0.063431   0.064155   0.064887   0.065628  0.066377     23.02    23.55 
MORGAN STANLEY FINANCE   61766W352 06/05/17 12/05/23    100.000     0.000     3.0702    149.50   0.097816   0.099318   0.100843   0.102391               35.56    33.96 
MORGAN STANLEY FINANCE   61768Q619 07/05/18 07/05/22    100.000     0.000     3.6810    135.71   0.114072   0.116172                                     21.37          
MORGAN STANLEY FINANCE   61769HXH3 11/05/19 11/05/24    100.000     0.000     2.3221     51.04   0.067550   0.068334   0.069128   0.069930  0.070742     24.55    25.12 
MORGAN STANLEY FINANCE   61768K562 01/03/18 01/04/22    100.000     0.000     2.8170    118.22   0.086304                                                 0.26          
MORGAN STANLEY FINANCE   61770C640 12/04/19 12/04/24    100.000     0.000     2.3719     50.15   0.069068   0.069888   0.070716   0.071555  0.072404     25.06    25.65 
MORGAN STANLEY FINANCE   61773H2P3 02/24/22 02/23/29    100.000     0.000     3.0802                        0.085561   0.086871   0.088209  0.089568     26.43    31.86 
MORGAN STANLEY FINANCE   61769HET8 06/28/19 06/28/24    100.000     0.000     2.6301     67.74   0.077991   0.079017   0.080056   0.081109  0.082175     28.27    29.02 
MORGAN STANLEY FINANCE   61769HEN1 06/28/19 12/30/22    100.000     0.000     2.4358     62.61   0.071893   0.072768                                     25.97          
MORGAN STANLEY FINANCE   61773H2F5 02/28/22 02/28/29    100.000     0.000     3.1853                        0.088482   0.089891   0.091323  0.092777     26.98    32.97 
MORGAN STANLEY FINANCE   61773H2E8 02/28/22 02/28/29    100.000     0.000     3.1853                        0.088482   0.089891   0.091323  0.092777     26.98    32.97 
MORGAN STANLEY FINANCE   61773N437 01/05/22 01/04/29    100.000     0.000     2.2590                        0.062751   0.063455   0.064172  0.064897     22.46    23.23 
MORGAN STANLEY FINANCE   61769HER2 07/03/19 07/01/22    100.000     0.000     2.4284     62.06   0.071643                                                12.90          
MORGAN STANLEY FINANCE   61768CNA1 07/31/17 07/29/22    100.000     0.000     2.8126    131.39   0.087357   0.088585                                     18.39          
MORGAN STANLEY FINANCE   61771VXF2 06/02/21 06/01/26    100.000     0.000     1.4602      8.49   0.040857   0.041155   0.041455   0.041758  0.042063     14.78    15.00 
MORGAN STANLEY FINANCE   61768DQE8 12/05/18 12/05/23    100.000     0.000     4.0845    132.29   0.128090   0.130706   0.133376   0.136099               46.72    45.04 
MORGAN STANLEY FINANCE   61773FMJ9 09/03/21 09/03/26    100.000     0.000     1.3944      4.57   0.038734   0.039004   0.039276   0.039550  0.039826     14.06    14.25 
MORGAN STANLEY FINANCE   61768CNB9 08/01/17 02/01/22    100.000     0.000     2.7076    126.14   0.083753                                                 2.51          
MORGAN STANLEY FINANCE   61771VXK1 05/28/21 05/31/28    100.000     0.000     1.9431     11.51   0.054505   0.055034   0.055569   0.056109  0.056654     19.75    20.14 
MORGAN STANLEY FINANCE   61773HC23 01/12/22 01/11/29    100.000     0.000     2.5645                        0.071237   0.072145   0.073070  0.074007     25.02    26.46 
MORGAN STANLEY FINANCE   61768CMZ7 07/31/17 07/29/22    100.000     0.000     2.8125    131.39   0.087354   0.088582                                     18.39          
MORGAN STANLEY FINANCE   61768DBW4 08/09/18 08/11/25    100.000     0.000     3.9321    141.35   0.122787   0.125201   0.127663   0.130173  0.132732     45.32    47.12 
MORGAN STANLEY FINANCE   61768DBX2 08/29/18 08/29/23    100.000     0.000     3.6325    127.76   0.112412   0.114442   0.116532   0.118637               41.34    28.12 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61773N767 02/03/22 02/05/29    100.000     0.000     2.6759             0.074332   0.074343   0.075337   0.076345  0.077367     24.53    27.60 
MORGAN STANLEY FINANCE   61769Q212 08/05/19 02/05/25    100.000     0.000     2.8032     69.27   0.082326   0.083480   0.084650   0.085836  0.087039     30.18    31.04 
MORGAN STANLEY FINANCE   61769Q220 08/05/19 08/03/23    100.000     0.000     2.6268     64.80   0.076864   0.077874   0.078897   0.079933               28.15    16.91 
MORGAN STANLEY FINANCE   61770FAP1 01/23/20 01/22/27    100.000     0.000     2.5533     50.43   0.073673   0.074613   0.075566   0.076530  0.077507     26.99    27.69 
MORGAN STANLEY FINANCE   61769H7Q2 02/05/20 02/05/25    100.000     0.000     1.9970     38.60   0.057151   0.057722   0.058298   0.058880  0.059468     20.84    21.26 
MORGAN STANLEY FINANCE   61769HZ57 01/02/20 06/30/22    100.000     0.000     2.1271     43.17   0.061633                                                11.03          
MORGAN STANLEY FINANCE   61766X848 10/04/17 10/04/23    100.000     0.000     2.9409    131.86   0.091812   0.093162   0.094532   0.095922               33.53    26.06 
MORGAN STANLEY FINANCE   61769HHQ1 07/01/19 07/01/25    100.000     0.000     2.7490     70.64   0.081756   0.081756   0.084019   0.084019  0.086344     29.63    30.45 
MORGAN STANLEY FINANCE   61768DBS3 08/07/18 08/07/23    100.000     0.000     3.7613    135.10   0.116837   0.119034   0.121273   0.123553               43.10    26.61 
MORGAN STANLEY FINANCE   61770FB96 04/30/20 02/01/27    100.000     0.000     2.2244     37.65   0.063526   0.064233   0.064947   0.065670  0.066400     23.21    23.73 
MORGAN STANLEY FINANCE   61770FAB2 02/05/20 02/05/25    100.000     0.000     1.9970     38.60   0.057151   0.057722   0.058298   0.058880  0.059468     20.84    21.26 
MORGAN STANLEY FINANCE   61773H4Y2 02/28/22 02/28/29    100.000     0.000     3.1853                        0.088482   0.089891   0.091323  0.092777     26.98    32.97 
MORGAN STANLEY FINANCE   61768J441 11/03/17 11/03/23    100.000     0.000     2.9727    130.67   0.092920   0.094301   0.095703   0.097125               33.86    29.16 
MORGAN STANLEY FINANCE   61768J458 11/03/17 11/05/24    100.000     0.000     3.0987    136.53   0.097357   0.098866   0.100397   0.101953  0.103533     35.49    36.60 
MORGAN STANLEY FINANCE   61770FAJ5 02/05/20 02/05/24    100.000     0.000     1.9189     37.07   0.054851   0.055377   0.055908   0.056445  0.056986     20.00    20.38 
MORGAN STANLEY FINANCE   61773G234 11/03/21 11/03/28    100.000     0.000     2.2272      3.59   0.061868   0.062557   0.063253   0.063958  0.064670     22.48    22.98 
MORGAN STANLEY FINANCE   61769H6X8 01/31/20 01/31/25    100.000     0.000     2.1858     42.62   0.062730   0.063416   0.064109   0.064810  0.065518     22.91    23.42 
MORGAN STANLEY FINANCE   61769H6W0 01/31/20 01/31/25    100.000     0.000     2.1858     42.62   0.062730   0.063416   0.064109   0.064810  0.065518     22.91    23.42 
MORGAN STANLEY FINANCE   61769HXY6 10/31/19 05/04/23    100.000     0.000     2.3061     51.02   0.067081   0.067855   0.068637                          24.38     8.44 
MORGAN STANLEY FINANCE   61769HH32 11/27/19 08/27/24    100.000     0.000     2.3730     50.68   0.068695   0.069510   0.070335   0.071170  0.072014     25.08    25.68 
MORGAN STANLEY FINANCE   61769HXR1 10/31/19 10/31/25    100.000     0.000     2.5933     57.51   0.075846   0.076830   0.077826   0.078835  0.079857     27.60    28.32 
MORGAN STANLEY FINANCE   61769HXW0 11/05/19 08/04/22    100.000     0.000     2.1452     47.09   0.061854   0.062518                                     13.29          
MORGAN STANLEY FINANCE   61769H6T7 01/23/20 01/22/27    100.000     0.000     2.5533     50.43   0.073673   0.074613   0.075566   0.076530  0.077507     26.99    27.69 
MORGAN STANLEY FINANCE   61768DAR6 08/31/18 09/03/25    100.000     0.000     3.9373    138.97   0.122981   0.125402   0.127871   0.130388  0.132955     45.29    47.09 
MORGAN STANLEY FINANCE   61769HH40 11/27/19 02/26/26    100.000     0.000     2.5493     54.53   0.074022   0.074965   0.075921   0.076888  0.077868     27.06    27.75 
MORGAN STANLEY FINANCE   61771C136 06/03/20 06/03/26    100.000     0.000     1.6786     26.73   0.047813   0.048214   0.048619   0.049027  0.049438     17.31    17.60 
MORGAN STANLEY FINANCE   61769H7N9 01/31/20 02/02/27    100.000     0.000     2.4454     47.77   0.070459   0.071321   0.072193   0.073076  0.073969     25.78    26.41 
MORGAN STANLEY FINANCE   61769H7M1 01/31/20 02/02/27    100.000     0.000     2.4454     47.77   0.070459   0.071321   0.072193   0.073076  0.073969     25.78    26.41 
MORGAN STANLEY FINANCE   61769H7L3 01/31/20 02/02/27    100.000     0.000     2.4454     47.77   0.070459   0.071321   0.072193   0.073076  0.073969     25.78    26.41 
MORGAN STANLEY FINANCE   61769H7K5 01/31/20 02/02/27    100.000     0.000     2.4454     47.77   0.070459   0.071321   0.072193   0.073076  0.073969     25.78    26.41 
MORGAN STANLEY FINANCE   61766X822 10/04/17 10/04/23    100.000     0.000     2.9409    131.86   0.091812   0.093162   0.094532   0.095922               33.53    26.06 
MORGAN STANLEY FINANCE   61769HYC3 11/05/19 11/03/22    100.000     0.000     2.1789     47.84   0.063199   0.063888                                     19.21          
MORGAN STANLEY FINANCE   61773H3V9 03/03/22 03/04/27    100.000     0.000     2.7394                        0.076101   0.077144   0.078201  0.079272     22.80    28.21 
MORGAN STANLEY FINANCE   61773H3T4 03/03/22 03/04/27    100.000     0.000     2.7394                        0.076101   0.077144   0.078201  0.079272     22.80    28.21 
MORGAN STANLEY FINANCE   61768CRZ2 10/31/17 10/31/23    100.000     0.000     2.9977    132.11   0.093795   0.095201   0.096628   0.098076               34.19    29.15 
MORGAN STANLEY FINANCE   61768CB89 02/28/18 03/03/26    100.000     0.000     3.7712    154.39   0.119452   0.121704   0.123999   0.126337  0.128720     43.94    45.62 
MORGAN STANLEY FINANCE   61769HKB0 08/05/19 08/04/22    100.000     0.000     2.5169     62.03   0.073495   0.074420                                     15.82          
MORGAN STANLEY FINANCE   61769HJV8 08/05/19 08/05/24    100.000     0.000     2.7548     68.05   0.080826   0.081939   0.083068   0.084212  0.085372     29.63    30.45 
MORGAN STANLEY FINANCE   61773HZ28 02/09/22 02/09/26    100.000     0.000     2.3951                        0.066531   0.067328   0.068134  0.068950     21.54    24.61 
MORGAN STANLEY FINANCE   61769HJU0 07/02/19 07/03/24    100.000     0.000     2.6771     68.67   0.078433   0.079483   0.080547   0.081625  0.082718     28.80    29.58 
MORGAN STANLEY FINANCE   61774DFZ5 06/01/22 05/29/26    100.000     0.000     3.7654                        0.104594   0.106542   0.108548  0.110591     22.03    38.85 
MORGAN STANLEY FINANCE   61769HJY2 07/31/19 05/02/23    100.000     0.000     2.6026     64.60   0.076639   0.077636   0.078647                          27.89     9.52 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61768T381 11/05/18 11/05/25    100.000     0.000     4.2534    142.09   0.134050   0.136901   0.139813   0.142786  0.145823     49.09    51.20 
MORGAN STANLEY FINANCE   61773HY94 02/09/22 02/08/29    100.000     0.000     2.8839                        0.080108   0.081257   0.082428  0.083617     25.96    29.80 
MORGAN STANLEY FINANCE   61769HKS3 08/05/19 08/05/24    100.000     0.000     2.7548     68.05   0.080826   0.081939   0.083068   0.084212  0.085372     29.63    30.45 
MORGAN STANLEY FINANCE   61769HKR5 08/05/19 08/04/22    100.000     0.000     2.5169     62.03   0.073495   0.074420                                     15.82          
MORGAN STANLEY FINANCE   61770FCR5 01/29/20 01/28/27    100.000     0.000     2.4281     47.50   0.069928   0.070777   0.071636   0.072506  0.073386     25.59    26.21 
MORGAN STANLEY FINANCE   61770G641 04/03/20 04/06/26    100.000     0.000     2.6405     46.85   0.076306   0.077314   0.078334   0.079368  0.080416     27.82    28.56 
MORGAN STANLEY FINANCE   61770FCS3 01/30/20 02/01/24    100.000     0.000     2.0269     39.47   0.058034   0.058622   0.059216   0.059816  0.060422     21.18    21.61 
MORGAN STANLEY FINANCE   61768CSH1 10/30/17 10/28/32    100.000     0.000     3.7753    158.52   0.104903   0.106884   0.105378   0.107367  0.106057     38.15    38.34 
MORGAN STANLEY FINANCE   61771BRF3 07/31/20 08/02/27    100.000     0.000     1.3386     19.12   0.037685   0.037937   0.038191   0.038447  0.038704     13.69    13.87 
MORGAN STANLEY FINANCE   61771BRE6 07/31/20 08/04/27    100.000     0.000     1.3386     19.12   0.037688   0.037940   0.038194   0.038450  0.038707     13.69    13.87 
MORGAN STANLEY FINANCE   61773N858 02/03/22 02/05/29    100.000     0.000     2.6759             0.074332   0.074343   0.075337   0.076345  0.077367     24.53    27.60 
MORGAN STANLEY FINANCE   61770FC38 04/30/20 04/30/27    100.000     0.000     2.2634     38.30   0.065031   0.065767   0.066511   0.067264  0.068025     23.63    24.17 
MORGAN STANLEY FINANCE   61770FC46 04/30/20 04/30/27    100.000     0.000     2.2634     38.30   0.065031   0.065767   0.066511   0.067264  0.068025     23.63    24.17 
MORGAN STANLEY FINANCE   61770FST4 04/03/20 10/05/22    100.000     0.000     2.4324     43.10   0.070073   0.070925                                     19.35          
MORGAN STANLEY FINANCE   61771EJJ8 11/12/20 11/10/22    100.000     0.000     0.4618      5.26   0.012888   0.012918                                      3.99          
MORGAN STANLEY FINANCE   61770FBU9 01/31/20 08/01/24    100.000     0.000     2.1409     41.73   0.061402   0.062059   0.062724   0.063395  0.064074     22.42    22.90 
MORGAN STANLEY FINANCE   61769HZU2 10/23/19 10/21/22    100.000     0.000     2.2217     49.57   0.064496   0.065212                                     18.83          
MORGAN STANLEY FINANCE   61773FAG8 06/30/21 06/30/28    100.000     0.000     1.9839      9.98   0.055655   0.056207   0.056765   0.057328  0.057896     20.14    20.54 
MORGAN STANLEY FINANCE   61771C409 07/06/20 07/06/27    100.000     0.000     1.6108     24.13   0.045467   0.045833   0.046202   0.046574  0.046949     16.56    16.83 
MORGAN STANLEY FINANCE   61768CQT7 09/29/17 03/31/23    100.000     0.000     2.8669    128.81   0.089248   0.090527   0.091825                          32.59     8.17 
MORGAN STANLEY FINANCE   61773HXK0 01/31/22 01/31/29    100.000     0.000     2.7958                        0.077661   0.078746   0.079847  0.080963     25.87    28.88 
MORGAN STANLEY FINANCE   61773HXL8 02/03/22 02/04/27    100.000     0.000     2.4163                        0.067125   0.067936   0.068757  0.069587     22.14    24.85 
MORGAN STANLEY FINANCE   61773HX95 02/28/22 02/26/27    100.000     0.000     2.9302                        0.081395   0.082575   0.083784  0.085012     24.81    30.25 
MORGAN STANLEY FINANCE   61769HK38 12/02/19 12/02/24    100.000     0.000     2.3657     50.16   0.068878   0.069692   0.070517   0.071351  0.072195     24.99    25.58 
MORGAN STANLEY FINANCE   61768DDL6 09/28/18 09/30/25    100.000     0.000     4.1262    142.40   0.129586   0.132259   0.134988   0.137773  0.140615     47.62    49.61 
MORGAN STANLEY FINANCE   61773QA33 06/05/22 06/05/27    100.000     0.000     3.4184                        0.094956   0.096579   0.098229  0.099908     19.60    35.15 
MORGAN STANLEY FINANCE   61773FDC4 08/04/21 08/04/26    100.000     0.000     1.7696      7.23   0.049157   0.049592   0.050030   0.050473  0.050920     17.90    18.22 
MORGAN STANLEY FINANCE   61773QDP1 03/23/22 03/22/29    100.000     0.000     3.3861                        0.094059   0.095642   0.097261  0.098908     26.31    35.05 
MORGAN STANLEY FINANCE   61773QDM8 03/23/22 03/23/28    100.000     0.000     3.3224                        0.092290   0.093823   0.095382  0.096966     25.81    34.36 
MORGAN STANLEY FINANCE   61768Y307 06/05/19 03/05/24    100.000     0.000     2.9394     78.00   0.087192   0.088474   0.089774   0.091093  0.092432     31.92    32.86 
MORGAN STANLEY FINANCE   61773QDN6 03/23/22 03/23/27    100.000     0.000     3.2206                        0.089461   0.090901   0.092365  0.093852     25.01    33.28 
MORGAN STANLEY FINANCE   61770FFB7 02/28/20 02/28/25    100.000     0.000     1.9133     35.70   0.054687   0.055210   0.055738   0.056272  0.056810     19.91    20.29 
MORGAN STANLEY FINANCE   61773FUK7 09/30/21 10/02/28    100.000     0.000     2.0246      5.12   0.056244   0.056813   0.057388   0.057969  0.058556     20.45    20.87 
MORGAN STANLEY FINANCE   61768Y356 06/05/19 06/03/22    100.000     0.000     2.6952     71.30   0.080038                                                12.17          
MORGAN STANLEY FINANCE   61773FU84 11/03/21 11/03/26    100.000     0.000     1.8149      2.92   0.050413   0.050870   0.051332   0.051798  0.052268     18.28    18.62 
MORGAN STANLEY FINANCE   61773FCU5 07/30/21 08/01/28    100.000     0.000     1.7934      7.52   0.049818   0.050265   0.050715   0.051170  0.051629     18.15    18.48 
MORGAN STANLEY FINANCE   61768DH57 02/28/19 03/02/22    100.000     0.000     3.1591     93.19   0.094939                                                 5.79          
MORGAN STANLEY FINANCE   61768DH40 03/05/19 03/04/24    100.000     0.000     3.5292    103.81   0.106984   0.108872   0.110793   0.112748  0.114737     39.30    40.70 
MORGAN STANLEY FINANCE   61770FW77 05/21/20 05/21/27    100.000     0.000     2.1231     34.62   0.060872   0.061518   0.062172   0.062832  0.063498     22.08    22.55 
MORGAN STANLEY FINANCE   61770FW85 05/20/20 05/20/25    100.000     0.000     1.7889     29.17   0.051036   0.051493   0.051953   0.052418  0.052887     18.49    18.83 
MORGAN STANLEY FINANCE   61768J870 12/05/17 12/04/24    100.000     0.000     3.1714    136.72   0.099902   0.101486   0.103096   0.104730  0.106391     36.34    37.50 
MORGAN STANLEY FINANCE   61770FW93 05/21/20 05/21/27    100.000     0.000     2.1231     34.62   0.060872   0.061518   0.062172   0.062832  0.063498     22.08    22.55 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61770E232 01/03/20 01/05/27    100.000     0.000     2.6098     53.08   0.075379   0.076363   0.077359   0.078369  0.079391     27.66    28.39 
MORGAN STANLEY FINANCE   61768C3H8 06/29/18 07/01/25    100.000     0.000     4.0272    150.02   0.128648   0.128648   0.133882   0.133882  0.139328     46.78    48.68 
MORGAN STANLEY FINANCE   61770FW28 05/29/20 05/29/26    100.000     0.000     1.7764     28.50   0.050671   0.051121   0.051575   0.052033  0.052495     18.35    18.68 
MORGAN STANLEY FINANCE   61770FW36 05/29/20 06/01/27    100.000     0.000     1.9425     31.20   0.055551   0.056091   0.056636   0.057186  0.057741     20.13    20.52 
MORGAN STANLEY FINANCE   61768Y299 06/05/19 06/05/24    100.000     0.000     2.9744     78.92   0.088953   0.090275   0.091618   0.092981  0.094363     32.33    33.30 
MORGAN STANLEY FINANCE   61770FV86 05/29/20 06/01/27    100.000     0.000     1.9425     31.20   0.055551   0.056091   0.056636   0.057186  0.057741     20.13    20.52 
MORGAN STANLEY FINANCE   61770FV94 05/29/20 06/01/27    100.000     0.000     1.9425     31.20   0.055551   0.056091   0.056636   0.057186  0.057741     20.13    20.52 
MORGAN STANLEY FINANCE   61768CSS7 10/31/17 10/31/22    100.000     0.000     2.8463    125.09   0.088527   0.089787                                     26.70          
MORGAN STANLEY FINANCE   61770FED4 01/29/20 01/27/23    100.000     0.000     2.0128     39.26   0.057611   0.058190   0.058776                          21.02     1.53 
MORGAN STANLEY FINANCE   61769HL78 11/06/19 05/05/22    100.000     0.000     2.1373     46.84   0.061943                                                 7.68          
MORGAN STANLEY FINANCE   61769Q543 09/05/19 09/06/22    100.000     0.000     2.1338     50.54   0.061847   0.062507                                     15.27          
MORGAN STANLEY FINANCE   61768CSU2 11/30/17 11/29/24    100.000     0.000     3.1215    134.94   0.098136   0.099668   0.101223   0.102803  0.104407     35.70    36.83 
MORGAN STANLEY FINANCE   61769Q535 09/05/19 09/06/23    100.000     0.000     2.2400     53.11   0.065061   0.065790   0.066526   0.067272               23.72    16.43 
MORGAN STANLEY FINANCE   61768C2K2 05/30/18 05/29/26    100.000     0.000     4.0544    154.85   0.129595   0.132222   0.134903   0.137638  0.140428     47.30    49.23 
MORGAN STANLEY FINANCE   61773FT45 10/29/21 10/31/28    100.000     0.000     2.2359      3.85   0.062112   0.062806   0.063508   0.064218  0.064936     22.57    23.08 
MORGAN STANLEY FINANCE   61773QST7 03/30/22 03/31/27    100.000     0.000     3.6190                        0.100529   0.102348   0.104200  0.106085     27.41    37.52 
MORGAN STANLEY FINANCE   61768CTQ0 11/30/17 12/03/25    100.000     0.000     3.2697    141.73   0.103435   0.105126   0.106845   0.108591  0.110367     37.64    38.88 
MORGAN STANLEY FINANCE   61769HM77 12/02/19 12/02/24    100.000     0.000     2.3657     50.16   0.068878   0.069692   0.070517   0.071351  0.072195     24.99    25.58 
MORGAN STANLEY FINANCE   61774DGA9 06/01/22 06/01/27    100.000     0.000     3.9473                        0.109647   0.111811   0.114018  0.116268     23.09    40.78 
MORGAN STANLEY FINANCE   61769HM51 12/02/19 12/02/24    100.000     0.000     2.3657     50.16   0.068878   0.069692   0.070517   0.071351  0.072195     24.99    25.58 
MORGAN STANLEY FINANCE   61768DFQ3 10/31/18 10/30/25    100.000     0.000     4.1832    140.27   0.131566   0.134318   0.137128   0.139996  0.142924     48.20    50.24 
MORGAN STANLEY FINANCE   61770FE36 04/30/20 04/30/27    100.000     0.000     2.2634     38.30   0.065031   0.065767   0.066511   0.067264  0.068025     23.63    24.17 
MORGAN STANLEY FINANCE   61770FE69 05/05/20 11/03/22    100.000     0.000     1.4528     24.26   0.041239   0.041539                                     12.51          
MORGAN STANLEY FINANCE   61770FDU7 01/28/20 01/29/30    100.000     0.000     2.6694     52.38   0.077166   0.078196   0.079239   0.080297  0.081369     28.28    29.04 
MORGAN STANLEY FINANCE   61770G708 04/03/20 04/07/26    100.000     0.000     2.6405     46.85   0.076314   0.077321   0.078342   0.079376  0.080424     27.82    28.56 
MORGAN STANLEY FINANCE   61773QC64 04/29/22 05/01/29    100.000     0.000     4.1317             0.114770   0.114796   0.117168   0.119588  0.122059     27.92    42.91 
MORGAN STANLEY FINANCE   61773QFJ3 03/31/22 04/03/29    100.000     0.000     3.7117             0.103102   0.103134   0.105048   0.106998  0.108984     28.12    38.51 
MORGAN STANLEY FINANCE   61768D8A6 05/31/19 03/03/23    100.000     0.000     2.9097     77.62   0.086277   0.087532   0.088805                          31.58     5.51 
MORGAN STANLEY FINANCE   61773HLN7 12/23/21 12/26/28    100.000     0.000     2.2328      0.50   0.062035   0.062727   0.063428   0.064136  0.064852     22.46    22.97 
MORGAN STANLEY FINANCE   61773QFH7 03/31/22 04/03/29    100.000     0.000     3.7117             0.103102   0.103134   0.105048   0.106998  0.108984     28.12    38.51 
MORGAN STANLEY FINANCE   61773FWH2 09/07/21 09/08/22    100.000     0.000     0.1948      0.62   0.005412   0.005417                                      1.34          
MORGAN STANLEY FINANCE   61768CWE3 12/29/17 12/31/25    100.000     0.000     3.3131    140.68   0.104968   0.106706   0.108474   0.110271  0.112098     38.10    39.38 
MORGAN STANLEY FINANCE   61773Q5Q8 06/03/22 06/04/26    100.000     0.000     3.8630                        0.107306   0.109390   0.111503  0.113656     22.38    39.88 
MORGAN STANLEY FINANCE   61770FYL4 05/05/20 05/05/25    100.000     0.000     1.8350     30.71   0.052387   0.052867   0.053353   0.053842  0.054336     19.00    19.35 
MORGAN STANLEY FINANCE   61769Q881 10/03/19 04/03/25    100.000     0.000     2.2103     50.59   0.064156   0.064865   0.065582   0.066306  0.067039     23.35    23.87 
MORGAN STANLEY FINANCE   61773F5Q2 10/21/21 10/23/28    100.000     0.000     2.2503      4.38   0.062517   0.063220   0.063931   0.064651  0.065378     22.73    23.24 
MORGAN STANLEY FINANCE   61769P529 05/05/20 05/05/27    100.000     0.000     2.0902     35.04   0.059900   0.060526   0.061159   0.061798  0.062444     21.75    22.20 
MORGAN STANLEY FINANCE   61770FYH3 04/22/20 10/22/25    100.000     0.000     1.9271     32.99   0.055093   0.055624   0.056160   0.056701  0.057247     20.00    20.39 
MORGAN STANLEY FINANCE   61770FGP5 02/28/20 03/02/27    100.000     0.000     2.1748     40.65   0.062417   0.063096   0.063782   0.064476  0.065177     22.75    23.25 
MORGAN STANLEY FINANCE   61768DZW8 02/28/19 02/29/24    100.000     0.000     3.4964    103.55   0.105922   0.107764   0.109658   0.111564  0.113526     38.92    40.29 
MORGAN STANLEY FINANCE   61768CX28 05/30/18 05/30/25    100.000     0.000     3.9488    150.57   0.125776   0.128259   0.130792   0.133374  0.136007     45.88    47.71 
MORGAN STANLEY FINANCE   61769HP82 11/29/19 05/30/24    100.000     0.000     2.3629     50.30   0.068799   0.069612   0.070434   0.071266  0.072108     24.96    25.56 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61770FGS9 03/04/20 03/04/24    100.000     0.000     1.7557     32.43   0.050066   0.050506   0.050949   0.051396  0.051848     18.21    18.53 
MORGAN STANLEY FINANCE   61773QF61 04/11/22 04/10/25    100.000     0.000     3.3450                        0.092917   0.094462   0.096042  0.097648     24.28    34.55 
MORGAN STANLEY FINANCE   61773FVU4 09/22/21 03/22/27    100.000     0.000     1.5893      4.37   0.044147   0.044498   0.044851   0.045208  0.045567     16.03    16.28 
MORGAN STANLEY FINANCE   61768C5S2 07/31/18 07/31/25    100.000     0.000     4.0045    145.23   0.125286   0.127795   0.130354   0.132964  0.135626     46.32    48.19 
MORGAN STANLEY FINANCE   61774DJV0 05/31/22 06/01/29    100.000     0.000     4.1329                        0.114803   0.117188   0.119610  0.122082     24.29    42.77 
MORGAN STANLEY FINANCE   61773FFC2 03/24/22 03/25/27    100.000     0.000     3.3435                        0.092883   0.094436   0.096014  0.097620     25.88    34.59 
MORGAN STANLEY FINANCE   61770FXY7 04/01/20 05/28/27    100.000     0.000     2.8687     51.15   0.083541   0.084739   0.085955   0.087187  0.088438     30.37    31.25 
MORGAN STANLEY FINANCE   61768CWL7 12/18/17 06/18/25    100.000     0.000     3.2094    137.14   0.101259   0.102884   0.104535   0.106212  0.107917     36.79    37.98 
MORGAN STANLEY FINANCE   61773FFB4 03/24/22 03/26/25    100.000     0.000     3.1571             0.087698   0.087713   0.089098   0.090504  0.091933     24.43    32.60 
MORGAN STANLEY FINANCE   61768D8J7 06/05/19 06/03/22    100.000     0.000     2.6953     71.31   0.080041                                                12.17          
MORGAN STANLEY FINANCE   61773Q4Z9 06/03/22 06/04/27    100.000     0.000     4.0488                        0.112467   0.114756   0.117079  0.119449     23.45    41.86 
MORGAN STANLEY FINANCE   61773QVH9 05/05/22 05/02/25    100.000     0.000     3.8097                        0.105825   0.107807   0.109861  0.111953     25.09    39.42 
MORGAN STANLEY FINANCE   61769P495 05/05/20 05/05/26    100.000     0.000     1.9401     32.49   0.055474   0.056013   0.056556   0.057105  0.057658     20.13    20.52 
MORGAN STANLEY FINANCE   61773F4D2 10/27/21 04/27/27    100.000     0.000     1.9805      3.52   0.055014   0.055559   0.056109   0.056665  0.057226     19.97    20.37 
MORGAN STANLEY FINANCE   61773F4E0 10/27/21 10/26/28    100.000     0.000     2.2698      4.04   0.063050   0.063762   0.064486   0.065218  0.065958     22.92    23.44 
MORGAN STANLEY FINANCE   61768DHE8 10/31/18 05/01/23    100.000    VARIES     3.8571    127.38   0.116807   0.119060   0.120288                          42.67    14.44 
MORGAN STANLEY FINANCE   61768X101 03/05/19 03/03/23    100.000     0.000     3.3204     97.43   0.100131   0.101794   0.103484                          36.74     6.42 
MORGAN STANLEY FINANCE   61773QVQ9 05/31/22 05/29/25    100.000     0.000     3.5672                        0.099089   0.100846   0.102645  0.104476     20.96    36.74 
MORGAN STANLEY FINANCE   61770FGC4 03/04/20 03/03/23    100.000     0.000     1.6561     30.57   0.047153   0.047544   0.047938                          17.14     2.97 
MORGAN STANLEY FINANCE   61768CUZ8 12/27/17 12/27/24    100.000     0.000     3.2580    138.41   0.102987   0.104665   0.106370   0.108103  0.109864     37.39    38.62 
MORGAN STANLEY FINANCE   61768CVQ7 12/29/17 06/30/23    100.000     0.000     3.0395    128.44   0.095267   0.096714   0.098184                          34.56    17.57 
MORGAN STANLEY FINANCE   61769HNV3 09/05/19 09/05/24    100.000     0.000     2.3651     56.14   0.068862   0.069676   0.070500   0.071334  0.072177     25.13    25.72 
MORGAN STANLEY FINANCE   61768CVR5 12/08/17 06/10/24    100.000     0.000     3.1083    133.55   0.097695   0.099213   0.100755   0.102321  0.103911     35.51    36.62 
MORGAN STANLEY FINANCE   61766V867 05/03/17 11/03/23    100.000     0.000     3.2047    159.77   0.102713   0.104358   0.106031   0.107730               37.47    32.33 
MORGAN STANLEY FINANCE   61769HNU5 09/05/19 09/05/24    100.000     0.000     2.3651     56.14   0.068862   0.069676   0.070500   0.071334  0.072177     25.13    25.72 
MORGAN STANLEY FINANCE   61773QUW7 04/14/22 10/11/24    100.000     0.000     2.9922                        0.083117   0.084340   0.085602  0.086883     21.46    30.79 
MORGAN STANLEY FINANCE   61770FX27 05/21/20 05/21/26    100.000     0.000     1.9379     31.57   0.055410   0.055946   0.056489   0.057036  0.057589     20.09    20.48 
MORGAN STANLEY FINANCE   61773FDV2 07/28/21 01/28/27    100.000     0.000     1.4801      6.29   0.041115   0.041419   0.041725   0.042034  0.042345     14.95    15.17 
MORGAN STANLEY FINANCE   61768DHP3 10/16/18 10/14/22    100.000     0.000     3.7996    128.41   0.118138   0.120383                                     33.84          
MORGAN STANLEY FINANCE   61768CVP9 12/29/17 06/30/23    100.000     0.000     3.0395    128.44   0.095267   0.096714   0.098184                          34.56    17.57 
MORGAN STANLEY FINANCE   61772Y145 07/06/21 07/06/28    100.000     0.000     1.9323      9.39   0.053674   0.054193   0.054716   0.055245  0.055779     19.60    19.98 
MORGAN STANLEY FINANCE   61770FX35 05/21/20 05/21/27    100.000     0.000     2.1231     34.62   0.060872   0.061518   0.062172   0.062832  0.063498     22.08    22.55 
MORGAN STANLEY FINANCE   61770FFJ0 02/04/20 02/04/25    100.000     0.000     2.0787     40.26   0.059562   0.060181   0.060806   0.061438  0.062077     21.74    22.19 
MORGAN STANLEY FINANCE   61773FDU4 07/28/21 07/27/28    100.000     0.000     1.8084      7.69   0.050235   0.050686   0.051145   0.051607  0.052074     18.31    18.64 
MORGAN STANLEY FINANCE   61769HNY7 08/30/19 06/02/23    100.000     0.000     2.2160     52.86   0.064693   0.065409   0.066134                          23.46     9.99 
MORGAN STANLEY FINANCE   61773QDQ9 03/23/22 03/23/27    100.000     0.000     3.2206                        0.089461   0.090901   0.092365  0.093852     25.01    33.28 
MORGAN STANLEY FINANCE   61773FUT8 10/05/21 10/05/26    100.000     0.000     1.5992      3.82   0.044423   0.044778   0.045136   0.045497  0.045861     16.12    16.38 
MORGAN STANLEY FINANCE   61768C4Q7 06/29/18 06/30/23    100.000     0.000     3.7636    139.64   0.119130   0.121372   0.123656                          43.30    22.13 
MORGAN STANLEY FINANCE   61770FX84 06/03/20 06/02/23    100.000     0.000     1.1097     17.62   0.031341   0.031515   0.031690                          11.32     4.79 
MORGAN STANLEY FINANCE   61768DHK4 10/22/18 10/20/23    100.000     0.000     3.9969    134.69   0.124995   0.127493   0.130041   0.132640               45.81    38.05 
MORGAN STANLEY FINANCE   61770E307 01/03/20 01/03/25    100.000     0.000     2.3534     47.77   0.067707   0.068504   0.069310   0.070125  0.070950     24.80    25.39 
MORGAN STANLEY FINANCE   61770FX68 06/03/20 06/03/25    100.000     0.000     1.5338     24.40   0.043592   0.043926   0.044263   0.044603  0.044945     15.77    16.01 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61773Q3X5 06/03/22 06/04/27    100.000     0.000     4.0488                        0.112467   0.114756   0.117079  0.119449     23.45    41.86 
MORGAN STANLEY FINANCE   61768C7D3 07/17/18 07/17/23    100.000     2.500     3.7523    132.89   0.108398   0.110432   0.109905   0.111967               39.64    21.91 
MORGAN STANLEY FINANCE   61773F7L1 11/09/21 11/09/26    100.000     0.000     1.7857      2.58   0.049604   0.050046   0.050493   0.050944  0.051399     17.98    18.31 
MORGAN STANLEY FINANCE   61768DKG9 11/30/18 12/03/25    100.000     0.000     4.2632    139.08   0.134446   0.137312   0.140239   0.143229  0.146282     49.08    51.19 
MORGAN STANLEY FINANCE   61773Q7G8 05/25/22 05/23/24    100.000     0.000     3.3425                        0.092847   0.094382   0.095959  0.097563     20.11    34.38 
MORGAN STANLEY FINANCE   61771VSK7 04/28/21 10/28/26    100.000     0.000     1.6286     11.02   0.045606   0.045978   0.046352   0.046730  0.047110     16.53    16.80 
MORGAN STANLEY FINANCE   61773Q7H6 05/25/22 05/23/25    100.000     0.000     3.7175                        0.103264   0.105162   0.107117  0.109108     22.38    38.36 
MORGAN STANLEY FINANCE   61771VSJ0 04/28/21 04/27/28    100.000     0.000     1.9961     13.51   0.055998   0.056557   0.057121   0.057692  0.058267     20.33    20.74 
MORGAN STANLEY FINANCE   61770FJD9 02/07/20 08/09/23    100.000     0.000     1.9816     38.18   0.056702   0.057263   0.057831   0.058404               20.67    12.71 
MORGAN STANLEY FINANCE   61772X220 05/05/21 05/03/28    100.000     0.000     2.0240     13.30   0.056785   0.057360   0.057940   0.058527  0.059119     20.61    21.03 
MORGAN STANLEY FINANCE   61773E528 10/05/21 10/04/28    100.000     0.000     2.0411      4.88   0.056698   0.057273   0.057858   0.058448  0.059045     20.62    21.04 
MORGAN STANLEY FINANCE   61773QZ93 05/31/22 05/31/29    100.000     0.000     4.2085                        0.116903   0.119363   0.121874  0.124439     24.74    43.58 
MORGAN STANLEY FINANCE   61771BHX5 06/17/20 06/17/25    100.000     0.000     1.3734     21.29   0.038940   0.039208   0.039477   0.039748  0.040021     14.07    14.27 
MORGAN STANLEY FINANCE   61768CYW1 01/31/18 01/31/23    100.000     0.000     3.2187    133.34   0.099981   0.101590   0.103225                          36.77     2.99 
MORGAN STANLEY FINANCE   61770FZV1 04/30/20 04/30/27    100.000     0.000     2.2634     38.30   0.065031   0.065767   0.066511   0.067264  0.068025     23.63    24.17 
MORGAN STANLEY FINANCE   61770FZW9 05/05/20 11/03/22    100.000     0.000     1.4528     24.26   0.041239   0.041539                                     12.51          
MORGAN STANLEY FINANCE   61772Y475 08/04/21 08/03/28    100.000     0.000     1.7696      7.23   0.049156   0.049588   0.050027   0.050470  0.050916     17.90    18.22 
MORGAN STANLEY FINANCE   61769HRA5 08/30/19 09/01/26    100.000     0.000     2.4648     58.92   0.071909   0.072795   0.073692   0.074600  0.075520     26.26    26.91 
MORGAN STANLEY FINANCE   61773QGX1 04/05/22 04/05/27    100.000     0.000     3.4199                        0.094996   0.096620   0.098273  0.099953     25.41    35.37 
MORGAN STANLEY FINANCE   61773QHB8 04/05/22 04/05/27    100.000     1.750     3.4182                        0.094949   0.096572   0.096561  0.098211     25.40    34.90 
MORGAN STANLEY FINANCE   61768CZ59 05/31/18 11/30/23    100.000     0.000     3.6409    138.16   0.114751   0.116840   0.118967   0.121133               41.82    39.53 
MORGAN STANLEY FINANCE   61770FZZ2 05/05/20 05/05/25    100.000     0.000     1.8350     30.71   0.052387   0.052867   0.053353   0.053842  0.054336     19.00    19.35 
MORGAN STANLEY FINANCE   61773QHA0 04/05/22 04/05/27    100.000     0.000     3.4199                        0.094996   0.096620   0.098273  0.099953     25.41    35.37 
MORGAN STANLEY FINANCE   61773U266 02/16/22 03/05/29    100.000     0.000     3.0399             0.084441   0.084577   0.085862   0.087167  0.088492     26.79    31.45 
MORGAN STANLEY FINANCE   61768CXC6 01/31/18 01/30/25    100.000     0.000     3.4110    141.77   0.106656   0.108475   0.110325   0.112207  0.114121     39.28    40.63 
MORGAN STANLEY FINANCE   61773Q6G9 05/25/22 11/25/26    100.000     0.000     4.1277                        0.114658   0.117025   0.119440  0.121905     24.85    42.74 
MORGAN STANLEY FINANCE   61768CXJ1 01/31/18 07/31/23    100.000     0.000     3.3080    137.25   0.103070   0.104775   0.106508   0.108270               37.93    22.58 
MORGAN STANLEY FINANCE   61773Q6H7 05/25/22 11/25/25    100.000     0.000     3.8756                        0.107656   0.109742   0.111868  0.114036     23.33    40.04 
MORGAN STANLEY FINANCE   61769HPC3 09/05/19 09/02/22    100.000     0.000     2.1339     50.54   0.061836   0.062496                                     15.02          
MORGAN STANLEY FINANCE   61768Y687 07/03/19 07/06/23    100.000     0.000     2.5444     65.10   0.074360   0.075306   0.076264   0.077234               27.27    14.28 
MORGAN STANLEY FINANCE   61769HPA7 09/05/19 09/02/22    100.000     0.000     2.1339     50.54   0.061836   0.062496                                     15.02          
MORGAN STANLEY FINANCE   61768Y679 07/03/19 07/06/22    100.000     0.000     2.4288     62.07   0.070819   0.071679                                     13.26          
MORGAN STANLEY FINANCE   61773F6S7 11/01/21 11/01/28    100.000     0.000     2.1922      3.65   0.060894   0.061561   0.062236   0.062918  0.063608     22.12    22.61 
MORGAN STANLEY FINANCE   61768CH42 03/29/18 03/31/25    100.000     0.000     3.8850    155.52   0.123488   0.125887   0.128333   0.130825  0.133367     45.33    47.11 
MORGAN STANLEY FINANCE   61770FYU4 04/30/20 10/30/25    100.000     0.000     1.9442     32.84   0.055595   0.056136   0.056682   0.057233  0.057789     20.18    20.57 
MORGAN STANLEY FINANCE   61773Q5X3 05/31/22 05/31/29    100.000     0.000     4.2085                        0.116903   0.119363   0.121874  0.124439     24.74    43.58 
MORGAN STANLEY FINANCE   61773Q5Y1 05/31/22 05/31/29    100.000     0.000     4.2085                        0.116903   0.119363   0.121874  0.124439     24.74    43.58 
MORGAN STANLEY FINANCE   61768CXY8 01/31/18 02/01/24    100.000     0.000     3.3672    139.85   0.105137   0.106907   0.108707   0.110537  0.112398     38.70    40.02 
MORGAN STANLEY FINANCE   61773Q5U9 05/31/22 05/28/27    100.000     0.000     4.0281                        0.111892   0.114120   0.116419  0.118763     23.68    41.65 
MORGAN STANLEY FINANCE   61770FHN9 03/04/20 03/05/25    100.000     0.000     1.7527     32.37   0.049981   0.050419   0.050861   0.051307  0.051756     18.17    18.49 
MORGAN STANLEY FINANCE   61770FHP4 03/04/20 03/05/25    100.000     0.000     1.7527     32.37   0.049981   0.050419   0.050861   0.051307  0.051756     18.17    18.49 
MORGAN STANLEY FINANCE   61773Q5T2 05/31/22 05/31/29    100.000     0.000     4.2085                        0.116903   0.119363   0.121874  0.124439     24.74    43.58 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61768CXW2 01/31/18 07/31/25    100.000     0.000     3.4534    143.64   0.108139   0.110006   0.111906   0.113838  0.115803     39.83    41.22 
MORGAN STANLEY FINANCE   61771VQW3 04/30/21 05/02/28    100.000     0.000     2.0160     13.53   0.056571   0.057141   0.057717   0.058299  0.058887     20.54    20.95 
MORGAN STANLEY FINANCE   61770E588 02/05/20 02/05/25    100.000     0.000     1.9970     38.60   0.057152   0.057722   0.058299   0.058881  0.059469     20.84    21.26 
MORGAN STANLEY FINANCE   61770FYX8 04/30/20 04/30/27    100.000     0.000     2.2634     38.30   0.065031   0.065767   0.066511   0.067264  0.068025     23.63    24.17 
MORGAN STANLEY FINANCE   61774HK31 11/16/22 11/14/24    100.000     0.000     5.2055                                   0.144597   0.148319  0.152179      6.51    53.08 
MORGAN STANLEY FINANCE   61774HZY7 11/15/22 11/15/27    100.000     0.000     5.6531                                   0.157031   0.161469  0.166033      7.22    57.74 
MORGAN STANLEY FINANCE   61774HZZ4 11/16/22 11/14/25    100.000     0.000     5.2838                                   0.146772   0.150607  0.154586      6.60    53.90 
MORGAN STANLEY FINANCE   61774HJ33 11/29/22 11/29/27    100.000     0.000     5.2152                                   0.144867   0.148644  0.152520      4.64    53.08 
MORGAN STANLEY FINANCE   61774HJ41 11/22/22 11/22/27    100.000     0.000     5.3302                                   0.148061   0.152007  0.156058      5.77    54.32 
MORGAN STANLEY FINANCE   61774DMM6 07/06/22 07/06/27    100.000     0.000     4.5507                                   0.126408   0.129285  0.132226     22.12    47.04 
MORGAN STANLEY FINANCE   61774HYZ5 11/28/22 11/28/29    100.000     0.000     5.3723                                   0.149231   0.153239  0.157355      4.92    54.71 
MORGAN STANLEY FINANCE   617741ZU5 12/05/22 12/04/25    100.000     0.000     4.9291                                   0.136919   0.140275  0.143732      3.56    50.08 
MORGAN STANLEY FINANCE   61774DA23 07/29/22 07/29/27    100.000     0.000     4.3358                                   0.120439   0.123050  0.125717     18.31    44.63 
MORGAN STANLEY FINANCE   61774DPZ4 06/17/22 06/17/27    100.000     0.000     4.9268                        0.136856   0.140227   0.143681  0.147221     26.60    51.20 
MORGAN STANLEY FINANCE   61774HLB2 11/03/22 11/04/27    100.000     0.000     5.8023                                   0.161175   0.165877  0.170689      9.35    59.41 
MORGAN STANLEY FINANCE   61774DPD3 06/23/22 06/23/27    100.000     0.000     4.6901                        0.130281   0.133336   0.136462  0.139663     24.52    48.61 
MORGAN STANLEY FINANCE   61774HKX5 11/03/22 11/04/27    100.000     0.000     5.8023                                   0.161175   0.165877  0.170689      9.35    59.41 
MORGAN STANLEY FINANCE   61774DPN1 06/21/22 06/21/27    100.000     0.000     4.6797                        0.129992   0.133033   0.136146  0.139332     24.73    48.52 
MORGAN STANLEY FINANCE   61774HKW7 11/03/22 11/04/27    100.000     0.000     5.8023                                   0.161175   0.165877  0.170689      9.35    59.41 
MORGAN STANLEY FINANCE   61774HKC1 10/31/22 10/29/27    100.000     0.000     5.7935                                   0.160931   0.165566  0.170362      9.82    59.35 
MORGAN STANLEY FINANCE   61774HKA5 10/31/22 10/30/25    100.000     0.000     5.5515                                   0.154208   0.158489  0.162888      9.41    56.81 
MORGAN STANLEY FINANCE   61774HKB3 10/31/22 10/29/27    100.000     0.000     5.7935                                   0.160931   0.165566  0.170362      9.82    59.35 
MORGAN STANLEY FINANCE   61774HKL1 11/03/22 11/05/25    100.000     0.000     5.5897                        0.155269   0.155318   0.159659  0.164121      9.01    57.19 
MORGAN STANLEY FINANCE   61774HKH0 11/03/22 11/04/27    100.000     0.000     5.8023                                   0.161175   0.165877  0.170689      9.35    59.41 
MORGAN STANLEY FINANCE   617741LA4 10/31/22 10/31/29    100.000     0.000     5.9019                                   0.163942   0.168780  0.173760     10.00    60.49 
MORGAN STANLEY FINANCE   617741KZ0 10/31/22 10/31/29    100.000     0.000     5.9019                                   0.163942   0.168780  0.173760     10.00    60.49 
MORGAN STANLEY FINANCE   61774HNH7 10/31/22 10/31/29    100.000     0.000     5.9019                                   0.163942   0.168780  0.173760     10.00    60.49 
MORGAN STANLEY FINANCE   61774DB48 08/03/22 08/03/27    100.000     0.000     4.0342                                   0.112061   0.114321  0.116627     16.59    41.42 
MORGAN STANLEY FINANCE   61774DA64 08/03/22 08/03/27    100.000     0.000     4.0342                                   0.112061   0.114321  0.116627     16.59    41.42 
MORGAN STANLEY FINANCE   61774DUS4 07/29/22 07/31/29    100.000     0.000     4.4850                        0.124583   0.124599   0.127393  0.130250     18.94    46.21 
MORGAN STANLEY FINANCE   61774DUP0 08/03/22 08/03/27    100.000     0.000     4.0342                                   0.112061   0.114321  0.116627     16.59    41.42 
MORGAN STANLEY FINANCE   61774HQG6 10/31/22 10/29/27    100.000     0.000     5.7935                                   0.160931   0.165566  0.170362      9.82    59.35 
MORGAN STANLEY FINANCE   61774HQF8 10/31/22 10/29/27    100.000     0.000     5.7935                                   0.160931   0.165566  0.170362      9.82    59.35 
MORGAN STANLEY FINANCE   61774HQ27 11/10/22 05/07/26    100.000     0.000     5.6730                                   0.157583   0.161979  0.166573      8.04    58.01 
MORGAN STANLEY FINANCE   61774DD38 07/25/22 04/24/25    100.000     0.000     4.1367                        0.114908   0.116083   0.118484  0.120935     18.00    42.55 
MORGAN STANLEY FINANCE   61774DWU7 07/29/22 07/29/27    100.000     0.000     4.3358                                   0.120439   0.123050  0.125717     18.31    44.63 
MORGAN STANLEY FINANCE   61774DWT0 07/29/22 07/31/25    100.000     0.000     4.0373                        0.112147   0.112160   0.114424  0.116734     17.05    41.48 
MORGAN STANLEY FINANCE   61774HB23 11/23/22 05/21/27    100.000     0.000     5.3341                                   0.148169   0.152077  0.156133      5.63    54.36 
MORGAN STANLEY FINANCE   61774DWH6 08/03/22 08/03/27    100.000     0.000     4.0342                                   0.112061   0.114321  0.116627     16.59    41.42 
MORGAN STANLEY FINANCE   61774DWE3 07/29/22 07/31/29    100.000     0.000     4.4850                        0.124583   0.124599   0.127393  0.130250     18.94    46.21 
MORGAN STANLEY FINANCE   61774DWF0 07/29/22 07/31/29    100.000     0.000     4.4850                        0.124583   0.124599   0.127393  0.130250     18.94    46.21 
MORGAN STANLEY FINANCE   61774HB31 11/23/22 05/23/28    100.000     0.000     5.4757                                   0.152103   0.156267  0.160545      5.78    55.83 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MORGAN STANLEY FINANCE   61774DWJ2 07/06/22 07/06/26    100.000     0.000     4.3555                                   0.120986   0.123621  0.126313     21.17    44.96 
MORGAN STANLEY FINANCE   61774DF85 07/29/22 07/30/27    100.000     0.000     4.3358                                   0.120439   0.123064  0.125732     18.31    44.63 
MORGAN STANLEY FINANCE   61774HA73 12/05/22 12/03/27    100.000     0.000     5.0920                                   0.141444   0.145006  0.148697      3.68    51.76 
MORGAN STANLEY FINANCE   61774DYU5 07/20/22 07/20/27    100.000     0.000     4.4916                                   0.124767   0.127569  0.130434     20.09    46.33 
MORGAN STANLEY FINANCE   61774B275 07/06/22 01/06/26    100.000     0.000     4.2080                                   0.116889   0.119348  0.121859     20.46    43.39 
MORGAN STANLEY FINANCE   61774HD54 11/04/22 11/04/27    100.000     0.000     5.8518                                   0.162550   0.167306  0.172201      9.27    59.92 
MORGAN STANLEY FINANCE   61774H2U1 12/01/22 12/03/25    100.000     0.000     5.0815                        0.141153   0.141193   0.144780  0.148458      4.24    51.68 
MORGAN STANLEY FINANCE   61774H2K3 11/30/22 11/30/27    100.000     0.000     5.1973                                   0.144369   0.148121  0.151970      4.48    52.88 
MORGAN STANLEY FINANCE   61773QWL9 07/13/22 01/11/24    100.000     0.000     3.7773                                   0.104925   0.106885  0.108903     17.63    38.80 
MORGAN STANLEY FINANCE   61773QWM7 07/20/22 07/18/25    100.000     0.000     4.0774                                   0.113261   0.115545  0.117900     18.24    41.94 
MORGAN STANLEY FINANCE   61773QWK1 07/20/22 07/18/25    100.000     0.000     4.1950                                   0.116528   0.118945  0.121440     18.76    43.19 
MORGAN STANLEY FINANCE   61773QWH8 07/05/22 07/03/25    100.000     0.000     4.1999                                   0.116664   0.119087  0.121587     20.53    43.31 
MORGAN STANLEY FINANCE   61773QWF2 07/06/22 07/03/25    100.000     0.000     4.0520                                   0.112556   0.114798  0.117124     19.70    41.74 
MORGAN STANLEY FINANCE   61773QWG0 06/29/22 06/27/24    100.000     0.000     3.6988                        0.102744   0.104623   0.106558  0.108529     18.71    38.03 
MORGAN STANLEY FINANCE   61760QNL4 07/29/22 07/29/27    100.000    VARIES     4.1020                                   0.113944   0.113409  0.112910     17.32    40.77 
MORGAN STANLEY FINANCE   61773QWQ8 07/29/22 07/29/25    100.000     0.000     3.8215                                   0.106153   0.108181  0.110248     16.14    39.20 
MORGAN STANLEY FINANCE   61773QWN5 07/29/22 03/14/25    100.000     0.000     3.8193                        0.106092   0.106598   0.108634  0.110708     16.18    39.18 
MORGAN STANLEY FINANCE   61773QWD7 06/25/22 12/27/24    100.000     0.000     4.2371             0.117697   0.117725   0.120219   0.122766  0.125367     21.91    43.76 
MORGAN STANLEY FINANCE   61773QWE5 06/30/22 07/02/25    100.000     0.000     4.0382                        0.112172   0.112197   0.114463  0.116774     20.31    41.62 
MORGAN STANLEY FINANCE   61773QWB1 06/23/22 12/21/23    100.000     0.000     3.7562                        0.104339   0.106277   0.108273               19.64    37.56 
MORGAN STANLEY FINANCE   61774HUW6 11/03/22 11/04/27    100.000     0.000     5.8023                                   0.161175   0.165877  0.170689      9.35    59.41 
MORGAN STANLEY FINANCE   61774HUS5 11/09/22 11/09/27    100.000     0.000     5.8138                                   0.161494   0.166189  0.171020      8.40    59.48 
MORGAN STANLEY FINANCE   61774DMK0 07/06/22 07/06/27    100.000     0.000     4.5507                                   0.126408   0.129285  0.132226     22.12    47.04 
MORGAN STANLEY FINANCE   61774HYW2 11/28/22 11/28/29    100.000     0.000     5.3723                                   0.149231   0.153239  0.157355      4.92    54.71 
MORGAN STANLEY FINANCE   61774DME4 06/30/22 07/02/29    100.000     0.000     4.7878                        0.132994   0.133030   0.136214  0.139475     24.08    49.62 
MORGAN STANLEY FINANCE   61774HH84 11/29/22 11/29/27    100.000     0.000     5.2152                                   0.144867   0.148644  0.152520      4.64    53.08 
MORGAN STANLEY FINANCE   61774HXH6 12/05/22 12/03/27    100.000     0.000     5.0920                                   0.141444   0.145006  0.148697      3.68    51.76 
MORGAN STANLEY FINANCE   61774FAL6 11/03/22 11/05/25    100.000     0.000     5.6239                        0.156219   0.156268   0.160662  0.165180      9.06    57.55 
MORGAN STANLEY FINANCE   61774DLE5 06/23/22 12/22/26    100.000     0.000     4.6126                        0.128128   0.131066   0.134089  0.137182     24.11    47.78 
MORGAN STANLEY FINANCE   61774HXP8 12/28/22 11/26/27    100.000     0.000     5.2889                                   0.146914   0.150108  0.154078      0.44    53.71 
MORGAN STANLEY FINANCE   61774FAH5 10/31/22 10/29/25    100.000     0.000     5.5763                                   0.154897   0.159192  0.163631      9.45    57.08 
MORGAN STANLEY FINANCE   61774HG51 11/16/22 11/16/27    100.000     0.000     5.4032                                   0.150089   0.154144  0.158308      6.75    55.13 
MORGAN STANLEY FINANCE   61774HXB9 12/05/22 12/03/27    100.000     0.000     5.0920                                   0.141444   0.145006  0.148697      3.68    51.76 
MORGAN STANLEY FINANCE   61774HXD5 11/28/22 11/26/27    100.000     0.000     5.2889                                   0.146914   0.150756  0.154742      4.85    53.85 
Morgan Stanley Finance   61774B788 08/17/22 09/06/29    100.000     0.000     4.2693                        0.118592   0.118859   0.121396  0.123987     15.92    43.84 
Morgan Stanley Finance   61774FFW7 09/06/22 09/03/27    100.000     0.000     4.5585                                   0.126625   0.129463  0.132414     14.56    46.78 
Morgan Stanley Finance   61774DR33 09/06/22 09/03/27    100.000     0.000     4.5585                                   0.126625   0.129463  0.132414     14.56    46.78 
Morgan Stanley Finance   61774DQ91 08/31/22 08/30/29    100.000     0.000     3.8529                                   0.107025   0.109064  0.111188     12.95    39.40 
Morgan Stanley Finance   61774DQ83 08/31/22 08/30/29    100.000     0.000     3.8529                                   0.107025   0.109064  0.111188     12.95    39.40 
Morgan Stanley Finance   61774HL71 11/28/22 11/28/25    100.000     0.000     5.1721                                   0.143669   0.147385  0.151196      4.74    52.64 
Morgan Stanley Finance   61774DP76 09/06/22 09/05/25    100.000     0.000     4.2264                                   0.117400   0.119867  0.122400     13.50    43.29 
Morgan Stanley Finance   61774DP27 09/06/22 09/03/27    100.000     0.000     4.5585                                   0.126625   0.129463  0.132414     14.56    46.78 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Morgan Stanley Finance   61774DP35 08/31/22 08/31/27    100.000     0.000     3.6468                                   0.101300   0.103127  0.105028     12.26    37.25 
Morgan Stanley Finance   61774DT23 09/06/22 09/03/27    100.000     0.000     4.5585                                   0.126625   0.129463  0.132414     14.56    46.78 
Morgan Stanley Finance   61774DS57 08/31/22 08/30/29    100.000     0.000     3.8529                                   0.107025   0.109064  0.111188     12.95    39.40 
Morgan Stanley Finance   61774FGV8 09/16/22 09/18/24    100.000     0.000     4.3614                        0.121150   0.121179   0.123822  0.126522     12.72    44.65 
Morgan Stanley Finance   61774DA98 08/03/22 08/01/25    100.000     0.000     3.6630                                   0.101750   0.103593  0.105490     15.06    37.52 
Morgan Stanley Finance   61774DR90 09/06/22 09/03/27    100.000     0.000     4.5585                                   0.126625   0.129463  0.132414     14.56    46.78 
Morgan Stanley Finance   61774DR82 09/06/22 09/03/27    100.000     0.000     4.5585                                   0.126625   0.129463  0.132414     14.56    46.78 
Morgan Stanley Finance   61774DG35 08/03/22 08/03/27    100.000     0.000     4.0342                                   0.112061   0.114321  0.116627     16.59    41.42 
Morgan Stanley Finance   61774HSE9 10/27/22 10/29/25    100.000     0.000     5.7140                        0.158722   0.158773   0.163309  0.167974     10.16    58.55 
Morgan Stanley Finance   61774HB56 09/23/22 09/25/29    100.000     0.000     5.1656                        0.143489   0.143530   0.147237  0.151040     14.07    53.06 
Morgan Stanley Finance   61774HRA8 10/26/22 01/26/26    100.000     0.000     5.7002                                   0.158339   0.160595  0.165172     10.29    58.47 
Morgan Stanley Finance   61766YMJ7 11/29/22 11/28/25    100.000    VARIES     5.2840                                   0.146778   0.144763  0.142717      4.70    52.34 
Morgan Stanley Finance   61774HAG3 09/13/22 09/13/27    100.000     0.000     4.6526                                   0.129239   0.132245  0.135322     13.96    47.72 
Morgan Stanley Finance   61774HQK7 10/13/22 10/13/27    100.000     0.000     5.4140                                   0.150389   0.154460  0.158641     11.73    55.52 
Morgan Stanley Finance   61774HA32 11/28/22 11/28/29    100.000     0.000     5.3723                                   0.149231   0.153239  0.157355      4.92    54.71 
Morgan Stanley Finance   61774D4E4 09/02/22 09/03/26    100.000     0.000     4.3303                                   0.120286   0.122905  0.125566     14.31    44.40 
Morgan Stanley Finance   61774HUB2 11/02/22 11/02/27    100.000     0.000     5.7872                                   0.160756   0.165407  0.170193      9.48    59.27 
Morgan Stanley Finance   61774HDH8 09/23/22 09/25/24    100.000     0.000     4.6094                        0.128039   0.128072   0.131023  0.134043     12.55    47.21 
Morgan Stanley Finance   61774D7D3 09/02/22 07/06/28    100.000     0.000     4.5332                                   0.125922   0.127888  0.130787     14.98    46.54 
Morgan Stanley Finance   61774HSY5 10/28/22 10/28/27    100.000     0.000     5.8614                                   0.162817   0.167588  0.172500     10.26    60.08 
Morgan Stanley Finance   61774H256 12/01/22 12/04/24    100.000     0.000     5.1428                        0.142856   0.142917   0.146592  0.150361      4.29    52.31 
Morgan Stanley Finance   61774HWJ3 10/14/22 10/16/24    100.000     0.000     5.1050                        0.141806   0.141846   0.145466  0.149179     10.92    52.27 
Morgan Stanley Finance   61773QWU9 08/24/22 02/23/24    100.000     0.000     3.6443                                   0.101231   0.103065  0.104943     12.86    37.25 
Morgan Stanley Finance   61774HVS4 10/26/22 10/26/27    100.000     0.000     5.9864                                   0.166289   0.171266  0.176393     10.81    61.42 
Morgan Stanley Finance   61774HGY8 09/28/22 09/26/25    100.000     0.000     5.0419                                   0.140053   0.143544  0.147163     13.02    51.72 
Morgan Stanley Finance   61774DM61 08/31/22 08/29/25    100.000     0.000     3.0960                                   0.086000   0.087316  0.088676     10.41    31.52 
Morgan Stanley Finance   61774H6P8 12/02/22 12/02/27    100.000     0.000     5.0920                                   0.141444   0.145046  0.148738      4.10    51.78 
Morgan Stanley Finance   61774HWU8 10/26/22 10/24/24    100.000     0.000     5.4629                                   0.151747   0.155846  0.160103      9.86    55.93 
Morgan Stanley Finance   61773QWX3 08/31/22 02/28/25    100.000     0.000     4.1979                                   0.116608   0.119029  0.121527     14.11    43.02 
Morgan Stanley Finance   61774HXA1 12/05/22 12/03/27    100.000     0.000     5.0920                                   0.141444   0.145006  0.148697      3.68    51.76 
MORGAN STANLEY FINANCE   61774DM79 08/31/22 08/31/27    100.000     0.000     3.6468                                   0.101300   0.103127  0.105028     12.26    37.25 
NATIONAL BANK OF CANADA  63305LLR2 05/20/22 05/31/24    100.000     0.000     3.4031             0.094530   0.094620   0.096230   0.097867  0.099532     20.96    35.04 
NEW CANEY TEX INDPT SCH  643154GS0 09/24/20 02/15/26     93.251     0.000     1.3001     15.47   0.034069   0.034290   0.034513   0.034738  0.034963     12.36    12.53 
NEW CANEY TEX INDPT SCH  643154GR2 09/24/20 02/15/25     95.484     0.000     1.0550     12.84   0.028245   0.028394   0.028544   0.028695  0.028846     10.24    10.34 
NEW CANEY TEX INDPT SCH  643154GT8 09/24/20 02/15/27     91.352     0.000     1.4201     16.57   0.036493   0.036752   0.037013   0.037276  0.037540     13.25    13.44 
NEW CANEY TEX INDPT SCH  643154GQ4 09/24/20 02/15/24     96.820     0.000     0.9550     11.79   0.025904   0.026028   0.026152   0.026277  0.026403      9.38     9.47 
NEW CANEY TEX INDPT SCH  643154GP6 09/24/20 02/15/23     98.305     0.000     0.7160      8.96   0.019677   0.019748   0.019818                           7.12     0.87 
NEW SUMMERFIELD TEX INDP 648839DF2 12/10/21 08/15/24     97.361     0.000     1.0001      0.57   0.027048   0.027096   0.027232   0.027368  0.027505      9.77     9.87 
NEW SUMMERFIELD TEX INDP 648839DG0 12/10/21 08/15/25     95.168     0.000     1.3500      0.75   0.035688   0.035775   0.036017   0.036260  0.036505     12.91    13.08 
NEW SUMMERFIELD TEX INDP 648839DH8 12/10/21 08/15/26     93.331     0.000     1.4799      0.81   0.038366   0.038469   0.038753   0.039040  0.039329     13.88    14.08 
NEW SUMMERFIELD TEX INDP 648839DJ4 12/10/21 08/15/27     90.678     0.000     1.7299      0.92   0.043574   0.043710   0.044088   0.044469  0.044854     15.78    16.04 
NJ Econ Dev Auth         64578JAP1 09/07/07 07/01/23     36.303     0.000     6.5093    545.36   0.164248   0.169594   0.175114                          60.09    31.52 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

NJ Econ Dev Auth         64578JAN6 09/07/07 07/01/22     38.760     0.000     6.4993    580.93   0.174854                                                31.47          
NORTHMONT OHIO CITY SCH  666586LX8 07/22/20 11/01/27     86.846     0.000     1.9479     24.63   0.048167   0.048636   0.049109   0.049588  0.050071     17.48    17.82 
NORTHMONT OHIO CITY SCH  666586LY6 07/22/20 11/01/28     83.705     0.000     2.1609     26.37   0.051641   0.052199   0.052763   0.053333  0.053909     18.76    19.17 
NORTHMONT OHIO CITY SCH  666586LZ3 07/22/20 11/01/29     81.177     0.000     2.2609     26.77   0.052465   0.053058   0.053658   0.054264  0.054878     19.07    19.50 
NORTHMONT OHIO CITY SCH  666586MA7 07/22/20 11/01/30     78.570     0.000     2.3609     27.07   0.053093   0.053720   0.054354   0.054996  0.055645     19.30    19.76 
NORTHMONT OHIO CITY SCH  666586MB5 07/22/20 11/01/31     75.897     0.000     2.4609     27.27   0.053527   0.054185   0.054852   0.055527  0.056210     19.47    19.95 
NORTHRIDGE OHIO LOC SCH  666705GM4 02/10/21 12/01/35     64.917     0.000     2.9389     17.14   0.054262   0.055059   0.055868   0.056689  0.057522     19.73    20.31 
NORTHRIDGE OHIO LOC SCH  666705GN2 02/10/21 12/01/36     62.076     0.000     3.0389     16.95   0.053695   0.054511   0.055339   0.056180  0.057034     19.53    20.12 
NORTHRIDGE OHIO LOC SCH  666705GP7 02/10/21 12/01/37     59.656     0.000     3.0969     16.60   0.052611   0.053426   0.054253   0.055093  0.055946     19.14    19.73 
NORTHRIDGE OHIO LOC SCH  666705GQ5 02/10/21 12/01/38     57.346     0.000     3.1468     16.22   0.051410   0.052219   0.053041   0.053875  0.054723     18.70    19.30 
NORTHWEST OHIO LOC SCH   667712CP6 11/15/19 12/01/39     47.272     0.000     3.7730     39.15   0.053479   0.054488   0.055516   0.056564  0.057631     19.50    20.24 
NORTHWEST OHIO LOC SCH   667712CQ4 11/15/19 12/01/40     45.070     0.000     3.8230     37.84   0.051716   0.052704   0.053711   0.054738  0.055785     18.86    19.58 
NORTHWEST OHIO LOC SCH   667712CN1 11/15/19 12/01/38     49.534     0.000     3.7230     40.46   0.055239   0.056267   0.057315   0.058382  0.059468     20.13    20.89 
NORTHWEST TEX INDPT SCH  667826BS9 04/07/22 02/15/24     96.351     0.000     2.0128                        0.053871   0.054257   0.054803  0.055354     14.27    19.78 
NORWOOD OHIO CITY SCH DI 669674DL4 11/16/21 11/01/25     94.686     0.000     1.3842      1.64   0.036407   0.036638   0.036891   0.037146  0.037404     13.18    13.36 
NORWOOD OHIO CITY SCH DI 669674DK6 11/16/21 11/01/24     96.929     0.000     1.0571      1.28   0.028462   0.028600   0.028751   0.028903  0.029056     10.29    10.40 
NORWOOD OHIO CITY SCH DI 669674DJ9 11/16/21 11/01/23     98.714     0.000     0.6620      0.82   0.018153   0.018208   0.018268   0.018329                6.55     5.49 
NORWOOD OHIO CITY SCH DI 669674DP5 11/16/21 11/01/28     86.798     0.000     2.0451      2.22   0.049309   0.049771   0.050280   0.050794  0.051313     17.89    18.26 
NORWOOD OHIO CITY SCH DI 669674DN0 11/16/21 11/01/27     89.476     0.000     1.8750      2.10   0.046601   0.047002   0.047442   0.047887  0.048336     16.90    17.21 
NORWOOD OHIO CITY SCH DI 669674DM2 11/16/21 11/01/26     92.475     0.000     1.5840      1.83   0.040688   0.040984   0.041308   0.041636  0.041965     14.74    14.97 
NORWOOD OHIO CITY SCH DI 669674DT7 11/16/21 11/01/32     74.157     0.000     2.7470      2.55   0.056586   0.057299   0.058086   0.058884  0.059692     20.59    21.15 
NORWOOD OHIO CITY SCH DI 669674DS9 11/16/21 11/01/31     77.340     0.000     2.5970      2.51   0.055792   0.056456   0.057189   0.057932  0.058684     20.29    20.81 
NORWOOD OHIO CITY SCH DI 669674DR1 11/16/21 11/01/30     80.778     0.000     2.3971      2.42   0.053786   0.054377   0.055029   0.055688  0.056356     19.54    20.01 
NORWOOD OHIO CITY SCH DI 669674DQ3 11/16/21 11/01/29     83.708     0.000     2.2471      2.35   0.052249   0.052787   0.053380   0.053980  0.054586     18.97    19.40 
NUTRIEN LTD              67077MAD0 04/10/18 04/01/25     94.730     3.000     3.8693     26.40   0.021116   0.021525   0.021941   0.022366  0.022799      7.75     8.05 
NUTRIEN LTD              67077MAE8 04/10/18 12/15/26     97.410     4.000     4.3616      9.94   0.008095   0.008271   0.008451   0.008636  0.008824      2.95     3.08 
NUTRIEN LTD              67077MAJ7 04/10/18 10/01/22     98.300     3.150     3.5643     13.96   0.011110   0.011308                                      3.04          
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800     7.2575     89.60   0.030442   0.031546   0.032691   0.033877  0.035107     11.40    12.24 
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000     0.8138    105.09   0.022242   0.022333   0.022424   0.022515                8.03     7.73 
National Rural Utilities 637432LL7 02/06/08 12/15/22     88.108     0.000     0.8539    110.81   0.023518   0.023619                                      8.11          
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES     4.5708    327.14   0.107433   0.107964   0.108508   0.109262  0.110034     38.84    39.29 
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES     4.2409    291.60   0.103190   0.103477   0.103771   0.104071  0.104409     37.24    37.45 
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES     4.2606    323.53   0.107744   0.108497   0.109266   0.110052  0.110854     39.15    39.72 
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES     4.2419    290.29   0.102719   0.102986   0.103258   0.103537  0.103988     37.06    37.27 
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES     4.8026    343.37   0.119256   0.119979   0.120720   0.121441  0.122180     43.07    43.59 
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES     4.5649    333.50   0.113470   0.114125   0.114794   0.115473  0.116168     41.01    41.49 
Natixis US Medium        63873HLU6 07/31/14 07/31/34    100.000    VARIES     3.9932    279.22   0.104799   0.105028   0.105262   0.105500  0.105743     37.84    38.01 
Natixis US Medium Term   63873HLN2 08/29/13 08/29/33    100.000    VARIES     4.5781    350.13   0.116356   0.117711   0.117795   0.119130  0.118531     42.90    43.33 
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000     6.5900    361.76   0.092665   0.095719   0.098873   0.102130  0.105496     34.47    36.78 
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000     6.5899    339.05   0.086848   0.089709   0.092665   0.095718  0.098872     32.30    34.47 
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000     6.5700    439.38   0.112384   0.116076   0.119889   0.123828  0.127895     41.80    44.59 
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000     6.5800    411.87   0.105422   0.108891   0.112473   0.116174  0.119996     39.21    41.83 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000     6.5901    386.00   0.098873   0.102131   0.105496   0.108973  0.112563     36.78    39.24 
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000     6.4699    643.32   0.163349   0.168634   0.174089                          60.72    15.67 
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000     6.4900    604.32   0.153672   0.158659   0.163808   0.169123  0.174611     57.13    60.90 
Newark, NJ               6503667S0 04/10/03 04/01/22     30.037     0.000     6.4399    684.03   0.173307                                                15.60          
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000     6.5499    499.76   0.127640   0.131820   0.136137   0.140596  0.145200     47.47    50.63 
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000     6.5600    468.65   0.119782   0.123711   0.127768   0.131959  0.136287     44.55    47.52 
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000     6.5100    567.47   0.144511   0.149215   0.154071   0.159086  0.164265     53.73    57.29 
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000     6.5299    532.64   0.135841   0.140276   0.144856   0.149585  0.154469     50.51    53.86 
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES     5.5492    518.83   0.131835   0.133872   0.135965   0.138519  0.141144     47.98    49.60 
Nomura America Finance   65539ACG3 01/22/16 01/22/23    103.000     0.125     3.0300    200.88   0.101660   0.103148   0.104658                          37.34     2.20 
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES     4.5379    305.02   0.099780   0.101092   0.102435   0.103807  0.105211     36.16    37.13 
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES     4.5092    297.47   0.097567   0.096664   0.099465   0.099048  0.101383     35.68    36.46 
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES     3.7543    255.36   0.090785   0.090907   0.091173   0.091444  0.091720     32.72    32.89 
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES     4.2954    248.28   0.081677   0.082430   0.083200   0.084306  0.085437     29.77    30.49 
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES     2.8015    183.33   0.073582   0.073978   0.074380   0.074727  0.075078     26.57    26.84 
OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36     49.134     0.000     4.2087     49.13   0.062592   0.063909   0.065254   0.066627  0.068029     22.99    23.96 
Oregon Community College 68583RAU6 04/23/03 06/30/22     30.636     0.000     6.2613    663.45   0.168646                                                30.19          
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000     6.2713    624.21   0.158792   0.163771   0.168907                          58.07    30.23 
Oregon School Boards     686053CM9 04/21/03 06/30/22     30.636     0.000     6.2595    663.46   0.168598                                                30.18          
Oregon School Boards     686053CN7 04/21/03 06/30/23     28.748     0.000     6.2695    624.24   0.158752   0.163728   0.168861                          58.06    30.23 
PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25     95.500     0.000     0.9820     10.51   0.026230   0.026358   0.026488   0.026618  0.026749      9.50     9.60 
PALMER TEX INDPT SCH DIS 696888HJ8 11/19/20 08/01/24     96.974     0.000     0.8321      9.04   0.022546   0.022640   0.022734   0.022829  0.022924      8.16     8.23 
PALMER TEX INDPT SCH DIS 696888HM1 11/19/20 08/01/27     91.653     0.000     1.3051     13.42   0.033530   0.033749   0.033969   0.034191  0.034414     12.18    12.34 
PALMER TEX INDPT SCH DIS 696888HL3 11/19/20 08/01/26     93.646     0.000     1.1550     12.13   0.030288   0.030462   0.030638   0.030815  0.030993     10.99    11.12 
PAMPA TEX INDPT SCH DIST 697685FC4 02/16/21 08/15/29     87.041     0.000     1.6401     12.53   0.039977   0.040304   0.040635   0.040968  0.041304     14.54    14.78 
PAMPA TEX INDPT SCH DIST 697685FD2 02/16/21 08/15/30     84.430     0.000     1.7900     13.28   0.042355   0.042734   0.043116   0.043502  0.043892     15.42    15.70 
PAMPA TEX INDPT SCH DIST 697685FE0 02/16/21 08/15/31     81.485     0.000     1.9600     14.03   0.044797   0.045236   0.045679   0.046127  0.046579     16.33    16.65 
PARAMOUNT CALIF UNI SCH  699211PV4 12/10/20 08/01/47     36.281     0.000     3.8417     14.93   0.039675   0.040437   0.041214   0.042005  0.042812     14.65    15.22 
PARAMOUNT CALIF UNI SCH  699211PU6 12/10/20 08/01/41     46.709     0.000     3.7216     18.62   0.049445   0.050365   0.051302   0.052257  0.053229     18.24    18.93 
PARKER CNTY TEX          701060KM6 12/01/20 02/15/24     96.649     0.000     1.0660     11.20   0.028835   0.028988   0.029143   0.029298  0.029454     10.45    10.56 
PARKER CNTY TEX          701060KL8 12/01/20 02/15/23     98.200     0.000     0.8252      8.80   0.022640   0.022733   0.022827                           8.19     1.00 
PDL BIOPHARMA INC        69329YAJ3 09/17/19 12/01/24     97.190     2.750     5.5780     61.20   0.079560   0.081710   0.083917   0.086185  0.088514     29.16    30.74 
PHARR SAN JUAN ALAMO TEX 717146WV2 10/26/21 02/01/23     99.369     0.000     0.5014      0.90   0.013840   0.013858   0.013893                           4.99     0.42 
PHARR SAN JUAN ALAMO TEX 717146WY6 10/26/21 02/01/26     94.769     0.000     1.2639      2.16   0.033273   0.033384   0.033594   0.033807  0.034020     12.05    12.20 
PHOENIX INDUSTRIAL DEVEL 71885JAE9 01/31/22 12/15/57      1.025     0.000    13.1843             0.003752   0.003938   0.004198   0.004474  0.004769      1.28     1.57 
PIC AU HOLDINGS LLC      69291BAA6 01/29/21 12/31/24     91.510    10.000    12.8220     16.46   0.053993   0.057454   0.061137   0.065057  0.069228     20.07    22.72 
PIC AU HOLDINGS LLC      U7190BAA5 01/29/21 12/31/24     91.510    10.000    12.8220     16.46   0.053993   0.057454   0.061137   0.065057  0.069228     20.07    22.72 
PIQUA OHIO CITY SCH DIST 724190EX7 02/13/20 12/01/25     87.728     0.000     2.2699     38.12   0.057610   0.058264   0.058925   0.059594  0.060270     20.90    21.37 
PIQUA OHIO CITY SCH DIST 724190EW9 02/13/20 12/01/23     92.646     0.000     2.0199     35.76   0.053899   0.054443   0.054993   0.055548               19.53    18.25 
PORT ARTHUR TEX INDPT SC 733505UA7 10/29/20 02/15/30     83.881     0.000     1.9000     18.82   0.044941   0.045368   0.045799   0.046234  0.046673     16.37    16.68 
PORT ARTHUR TEX INDPT SC 733505TX9 10/29/20 02/15/27     91.730     0.000     1.3760     14.87   0.035446   0.035689   0.035935   0.036182  0.036431     12.87    13.05 
PORT ARTHUR TEX INDPT SC 733505TY7 10/29/20 02/15/28     88.383     0.000     1.7000     17.73   0.042302   0.042662   0.043024   0.043390  0.043759     15.39    15.65 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

PORT ARTHUR TEX INDPT SC 733505TZ4 10/29/20 02/15/29     86.188     0.000     1.8000     18.31   0.043712   0.044105   0.044502   0.044902  0.045306     15.91    16.20 
PORT ARTHUR TEX INDPT SC 733505TV3 10/29/20 02/15/25     95.741     0.000     1.0160     11.45   0.027238   0.027377   0.027516   0.027656  0.027796      9.87     9.97 
PORT ARTHUR TEX INDPT SC 733505TW1 10/29/20 02/15/26     93.487     0.000     1.2760     14.05   0.033473   0.033686   0.033901   0.034118  0.034335     12.15    12.30 
PORT ARTHUR TEX INDPT SC 733505UM1 10/29/20 02/15/31     81.475     0.000     2.0000     19.25   0.045985   0.046445   0.046909   0.047378  0.047852     16.76    17.10 
PRINCETON OHIO CITY SCH  742327FW4 11/16/21 12/01/31     76.907     0.000     2.6319      2.53   0.056288   0.057029   0.057779   0.058540  0.059310     20.44    20.98 
PRINCETON OHIO CITY SCH  742327FJ3 12/18/19 12/01/35     57.808     0.000     3.4650     41.90   0.059502   0.060532   0.061581   0.062648  0.063733     21.67    22.43 
PRINCETON OHIO CITY SCH  742327FK0 12/18/19 12/01/36     55.393     0.000     3.5149     40.75   0.057893   0.058910   0.059946   0.060999  0.062071     21.09    21.83 
PRINCETON TEX INDPT SCH  742395VV5 05/06/21 02/15/30     82.373     0.000     2.2219     11.99   0.051151   0.051719   0.052294   0.052875  0.053462     18.67    19.09 
PRINCETON TEX INDPT SCH  742395VU7 05/06/21 02/15/29     84.864     0.000     2.1219     11.79   0.050311   0.050845   0.051385   0.051930  0.052481     18.35    18.75 
PRINCETON TEX INDPT SCH  742395VW3 05/06/21 02/15/31     79.798     0.000     2.3219     12.14   0.051795   0.052397   0.053005   0.053620  0.054243     18.92    19.36 
PRINCETON TEX INDPT SCH  742395VQ6 05/06/21 02/15/25     95.336     0.000     1.2691      7.91   0.033726   0.033940   0.034156   0.034372  0.034591     12.24    12.39 
PRINCETON TEX INDPT SCH  742395VR4 05/06/21 02/15/26     93.692     0.000     1.3691      8.39   0.035766   0.036010   0.036257   0.036505  0.036755     12.99    13.16 
PRINCETON TEX INDPT SCH  742395VP8 05/06/21 02/15/24     97.733     0.000     0.8280      5.29   0.022529   0.022622   0.022716   0.022810  0.022904      8.15     8.22 
PRINCETON TEX INDPT SCH  742395VT0 05/06/21 02/15/28     87.768     0.000     1.9349     11.12   0.047425   0.047884   0.048347   0.048815  0.049287     17.28    17.62 
PRINCETON TEX INDPT SCH  742395VS2 05/06/21 02/15/27     90.505     0.000     1.7349     10.28   0.043823   0.044203   0.044586   0.044973  0.045363     15.95    16.23 
PRINCETON TEX INDPT SCH  742395VN3 05/06/21 02/15/23     99.024     0.000     0.5533      3.58   0.015242   0.015284   0.015326                           5.51     0.67 
PUBLIC FIN AUTH WIS ED   74442EHY9 02/24/22 06/15/29     98.000     8.375     8.7511             0.005585   0.005736   0.005987   0.006249  0.006522      1.75     2.21 
PUBLIC FIN AUTH WIS EDL  74443DGR6 09/24/21 09/01/31     94.000    10.000    11.0080      0.94   0.009673   0.010205   0.010767   0.011360  0.011985      3.68     4.09 
PUBLIC FIN AUTH WIS HEAL 74444KAM6 12/23/19 11/01/24     98.973     6.750     7.0031      3.87   0.005718   0.005919   0.006126   0.006340  0.006562      2.12     2.27 
Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25    100.000    VARIES     7.7501   2071.94   0.533670   0.550468   0.567894   0.585971  0.604725    198.77   211.60 
Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25    100.000    VARIES     7.7501   2071.94   0.533670   0.550468   0.567894   0.585971  0.604725    198.77   211.60 
Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53     81.968     4.750     5.9941      5.06   0.005378   0.005378   0.005705   0.005705  0.006052      1.96     2.08 
Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40     82.961     4.550     5.9712     12.52   0.013293   0.013293   0.014099   0.014099  0.014953      4.86     5.15 
Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58     83.618     5.000     6.1032      3.21   0.003415   0.003415   0.003626   0.003626  0.003851      1.25     1.33 
Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40     82.961     4.550     5.9712     12.52   0.013293   0.013293   0.014099   0.014099  0.014953      4.86     5.15 
QBE Funding Trust        G7303WAA9 04/15/02 04/15/22     59.358     0.000     2.6250    398.93   0.071972                                                 7.49          
Quicksilver Resources In 74837RAA2 11/01/04 11/01/24     98.500    VARIES     6.7503   1813.34   0.452717   0.465696   0.479093   0.492921  0.507196    166.90   176.65 
Quicksilver Resources In 74837RAB0 11/01/04 11/01/24     98.500    VARIES     6.7503   1813.34   0.452717   0.465696   0.479093   0.492921  0.507196    166.90   176.65 
RENO NEV 1999 SPL ASSMT  759830AT9 09/22/16 06/01/25     97.746     3.000     3.3004     12.91   0.007441   0.007564   0.007689   0.007815  0.007944      2.71     2.80 
RICE TEX CONS INDPT SCH  762825MH7 10/14/21 02/15/26     94.740     0.000     1.2499      2.53   0.032894   0.033032   0.033239   0.033446  0.033655     11.91    12.06 
RICE TEX CONS INDPT SCH  762825MJ3 10/14/21 02/15/27     92.580     0.000     1.4499      2.87   0.037288   0.037469   0.037741   0.038015  0.038290     13.52    13.71 
RICE TEX CONS INDPT SCH  762825MK0 10/14/21 02/15/28     90.395     0.000     1.6000      3.09   0.040175   0.040392   0.040715   0.041040  0.041369     14.58    14.80 
RICE TEX CONS INDPT SCH  762825MG9 10/14/21 02/15/25     96.406     0.000     1.1001      2.27   0.029459   0.029568   0.029730   0.029894  0.030058     10.66    10.78 
RIVERSIDE OHIO LOC SCH   769229CY9 12/30/19 10/01/39     46.260     0.000     3.9408     37.65   0.054227   0.055295   0.056385   0.057496  0.058629     19.91    20.70 
RIVERSIDE OHIO LOC SCH   769229CZ6 12/30/19 10/01/40     44.039     0.000     3.9908     36.32   0.052323   0.053367   0.054432   0.055518  0.056626     19.21    19.99 
RIVERSIDE OHIO LOC SCH   769229DB8 12/30/19 10/01/42     39.795     0.000     4.0908     33.66   0.048549   0.049542   0.050555   0.051590  0.052645     17.84    18.57 
RIVERSIDE OHIO LOC SCH   769229DA0 12/30/19 10/01/41     41.883     0.000     4.0409     34.98   0.050430   0.051449   0.052488   0.053548  0.054630     18.52    19.28 
ROBINSON TEX INDPT SCH   770842QF2 10/01/20 08/15/25     95.473     0.000     0.9531     11.42   0.025486   0.025607   0.025729   0.025852  0.025975      9.23     9.32 
ROBINSON TEX INDPT SCH   770842QG0 10/01/20 08/15/26     93.215     0.000     1.2000     14.05   0.031399   0.031587   0.031777   0.031967  0.032159     11.39    11.53 
ROBSTOWN TEX INDPT SCH   771146YW1 05/12/21 02/15/27     90.041     0.000     1.8299     10.51   0.045986   0.046406   0.046831   0.047259  0.047692     16.75    17.05 
ROBSTOWN TEX INDPT SCH   771146YV3 05/12/21 02/15/26     93.224     0.000     1.4799      8.80   0.038469   0.038753   0.039040   0.039329  0.039620     13.98    14.19 
ROBSTOWN TEX INDPT SCH   771146ZX8 12/22/21 02/15/37     64.173     0.000     2.9499      0.47   0.052584   0.052813   0.053592   0.054382  0.055184     19.11    19.65 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

ROBSTOWN TEX INDPT SCH   771146ZW0 12/22/21 02/15/36     67.008     0.000     2.8499      0.48   0.053046   0.053269   0.054028   0.054798  0.055579     19.27    19.80 
ROCKWALL TEX INDPT SCH   774286AR9 09/17/20 02/15/24     97.085     0.000     0.8691     10.92   0.023624   0.023727   0.023830   0.023933  0.024037      8.55     8.63 
ROCKWALL TEX INDPT SCH   774286AS7 09/17/20 02/15/25     95.825     0.000     0.9691     12.02   0.026024   0.026150   0.026277   0.026404  0.026532      9.43     9.52 
ROCKWALL TEX INDPT SCH   774286AP3 09/17/20 02/15/22     99.237     0.000     0.5435      6.97   0.015056                                                 0.66          
ROCKWALL TEX INDPT SCH   774286AQ1 09/17/20 02/15/23     98.414     0.000     0.6641      8.45   0.018265   0.018326   0.018387                           6.60     0.81 
ROCKWALL TEX INDPT SCH   774286AW8 09/17/20 02/15/32     78.736     0.000     2.1059     21.56   0.046947   0.047441   0.047941   0.048445  0.048956     17.12    17.49 
ROCKWALL TEX INDPT SCH   774286AT5 09/17/20 02/15/26     93.705     0.000     1.2051     14.63   0.031714   0.031905   0.032098   0.032291  0.032486     11.50    11.64 
ROCKWALL TEX INDPT SCH   774286AV0 09/17/20 02/15/31     81.236     0.000     2.0059     21.18   0.046095   0.046557   0.047024   0.047496  0.047972     16.80    17.14 
ROCKWALL TEX INDPT SCH   774286AU2 09/17/20 02/15/27     91.998     0.000     1.3051     15.56   0.033750   0.033970   0.034192   0.034415  0.034639     12.25    12.41 
ROYAL BANK OF CANADA     78016FM35 06/30/22 07/01/27    100.000     0.000     4.6500                                   0.132186   0.132186  0.138405     23.38    48.14 
ROYSE CITY TEX INDPT SCH 780869VS9 10/08/20 02/15/23     98.369     0.000     0.7001      8.50   0.019245   0.019312   0.019380                           6.96     0.85 
Randolph & Perry CNTYS   752368BC3 05/16/13 12/01/22    107.818    VARIES     3.5344    320.45   0.099101   0.098643                                     32.62          
Randolph County, IL      752535DQ4 01/30/13 12/01/22     68.391     0.000     3.8997    281.33   0.104221   0.106253                                     34.76          
Regal Beloit Corporation 758750AB9 04/05/04 03/15/24    100.000    VARIES     8.7500   2898.27   0.795580   0.826058   0.857828   0.890944  0.925465    298.49   321.95 
Regal Beloit Corporation 758750AA1 04/05/04 03/15/24    100.000    VARIES     8.7500   2898.27   0.795580   0.826058   0.857828   0.890944  0.925465    298.49   321.95 
Royal Bank of Canada     78016FG40 03/31/22 04/01/27    100.000     0.000     3.4090                        0.094704   0.096318   0.097960  0.099630     25.81    35.27 
Royal Bank of Canada     78013XLY2 06/29/18 06/30/22    100.000     0.000     3.4324    126.71   0.107415                                                19.23          
Royal Bank of Canada     78013XMP0 06/29/18 06/30/22    100.000     0.000     3.3884    125.01   0.105879                                                18.95          
Royal Bank of Canada     78010UVX2 06/30/14 06/30/29    100.000    VARIES     3.5597    260.17   0.096832   0.096953   0.097075   0.097200  0.097327     34.88    34.97 
Royal Bank of Canada     78014RDL1 04/30/21 04/30/41    100.000    VARIES     2.5777     17.20   0.070734   0.069856   0.068966   0.068065  0.067152     25.20    24.55 
Royal Bank of Canada     78013GJR7 10/18/17 10/18/23    100.000     0.000     2.1352     93.38   0.064571   0.065260   0.065957   0.066661               23.47    19.06 
Royal Bank of Canada     78014RDG2 03/15/21 03/15/41    100.000    VARIES     2.5737     20.24   0.069553   0.067589   0.067669   0.067750  0.067833     24.49    24.39 
Royal Bank of Canada     78013XL97 10/31/18 10/31/22    100.000     0.000     3.5349    117.50   0.109076   0.111004                                     32.96          
Royal Bank of Canada     78013XM62 10/31/18 11/02/22    100.000     0.000     3.5454    117.86   0.109455   0.111395                                     33.30          
Royal Bank of Canada     78010UDU8 02/28/14 02/28/34    100.000    VARIES     4.0700    289.52   0.101885   0.100547   0.102548   0.101211  0.102670     37.02    37.20 
Royal Bank of Canada     78016FHT4 04/29/22 04/29/27    100.000     0.000     3.8373                        0.106593   0.108638   0.110723  0.112847     25.92    39.75 
Royal Bank of Canada     78012KP84 05/18/17 02/21/23    100.000     0.000     2.4412    118.65   0.075193   0.076111   0.077040                          27.47     3.85 
Royal Bank of Canada     78008TLZ5 08/18/11 08/18/31    100.000    VARIES     4.0300    405.02   0.109165   0.109279   0.109396   0.109515  0.109636     39.35    39.44 
Royal Bank of Canada     78010UWR4 11/28/14 11/28/34    100.000    VARIES     3.3500    226.78   0.089082   0.089205   0.089331   0.089458  0.089587     32.10    32.19 
Royal Bank of Canada     78010UWU7 12/23/14 12/23/24    100.000    VARIES     2.8500    198.63   0.078835   0.078888   0.078942   0.078997  0.079053     28.39    28.43 
Royal Bank of Canada     78010UWN3 09/29/14 09/29/34    100.000    VARIES     3.6300    251.99   0.096713   0.096838   0.096966   0.097096  0.097228     34.86    34.96 
Royal Bank of Canada     78016FXU3 11/03/22 11/05/24    100.000     0.000     5.5183                        0.153286   0.153333   0.157564  0.161911      8.89    56.44 
Royal Bank of Canada     78013XNY0 07/31/18 07/29/22    100.000     0.000     3.5199    126.75   0.108554   0.110465                                     22.92          
Royal Bank of Canada     78013XYV4 02/28/19 03/02/23    100.000     0.000     3.1550     93.06   0.094807   0.096302   0.097821                          34.76     5.97 
Royal Bank of Canada     78016FC69 01/31/22 01/29/27    100.000     0.000     2.1539                        0.059830   0.060471   0.061122  0.061780     19.90    22.09 
Royal Bank of Canada     78016H6T2 12/05/22 12/04/24    100.000     0.000     5.1726                                   0.143683   0.147379  0.151190      3.74    52.59 
Royal Bank of Canada     78016H6R6 12/05/22 01/04/24    100.000     0.000     5.6419                                   0.156719   0.157432  0.161873      4.07    57.46 
Royal Bank of Canada     78013XGY8 03/29/18 03/30/23    100.000     0.000     3.2987    130.78   0.102758   0.104453   0.106176                          37.61     9.45 
Royal Bank of Canada     78013X6W3 05/31/19 06/01/23    100.000     0.000     2.5276     67.13   0.074768   0.075712   0.076669                          27.14    11.50 
Royal Bank of Canada     78016FAH7 12/28/21 12/28/26    100.000     0.000     1.7360      0.14   0.048222   0.048641   0.049063   0.049489  0.049918     17.44    17.74 
Royal Bank of Canada     78013XYA0 02/28/19 02/28/25    100.000     0.000     3.2010     94.47   0.096263   0.097803   0.099369   0.100959  0.102575     35.31    36.45 
Royal Bank of Canada     78016H6X3 11/29/22 11/28/25    100.000     0.000     5.4830                                   0.152306   0.156458  0.160747      4.87    55.86 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Royal Bank of Canada     78016FDV3 02/25/22 02/25/27    100.000     0.000     2.4504                        0.068066   0.068900   0.069745  0.070599     20.93    25.17 
Royal Bank of Canada     78016F3P7 11/26/21 11/27/26    100.000     0.000     1.7899      1.74   0.049721   0.050166   0.050615   0.051068  0.051525     18.01    18.33 
Royal Bank of Canada     78016FUQ5 09/21/22 09/18/24    100.000     0.000     4.6149                                   0.128192   0.131100  0.134125     12.82    47.28 
Royal Bank of Canada     78013XJZ2 05/31/18 06/03/22    100.000     0.000     3.1800    119.81   0.098673                                                15.00          
Royal Bank of Canada     78013XKR8 05/31/18 06/03/22    100.000     0.000     3.1798    119.80   0.098666                                                15.00          
Royal Bank of Canada     78014RCU2 05/06/20 05/06/22    100.000    VARIES     1.1322      4.70   0.007794                                                 0.97          
Royal Bank of Canada     78016FTS3 10/05/22 10/03/24    100.000     0.000     5.1064                                   0.141844   0.145426  0.149139     12.20    52.35 
Royal Bank of Canada     78014RBV1 12/27/19 12/27/34    100.000    VARIES     2.5623     50.96   0.069088   0.069156   0.069225   0.069295  0.069365     24.88    24.93 
Royal Bank of Canada     78014RBT6 11/27/19 11/27/34    100.000    VARIES     2.3582     48.83   0.063650   0.063711   0.063774   0.063836  0.063900     22.93    22.97 
Royal Bank of Canada     78013XJD1 04/30/18 07/28/22    100.000     0.000     3.5027    135.95   0.108903   0.110810                                     22.89          
Royal Bank of Canada     78013X3H9 03/29/19 03/30/23    100.000     0.000     2.8294     80.52   0.084321   0.085513   0.086723                          30.79     7.72 
Royal Bank of Canada     78016HEA4 12/07/22 12/04/26    100.000     0.000     4.9771                                   0.138253   0.141636  0.145161      3.32    50.57 
Royal Bank of Canada     78013XCS5 01/31/18 01/31/23    100.000     0.000     3.0653    126.65   0.094714   0.096165   0.097639                          34.80     2.83 
Royal Bank of Canada     78013XTK4 12/31/18 06/30/22    100.000     0.000     3.2158    100.53   0.098299                                                17.60          
Royal Bank of Canada     78013X3E6 03/29/19 03/31/22    100.000     0.000     2.7531     78.28   0.081891                                                 7.29          
Royal Bank of Canada     78012KDH7 06/29/15 06/29/35    100.000    VARIES     3.4100    207.92   0.088332   0.088520   0.088712   0.088906  0.089104     31.83    31.97 
Royal Bank of Canada     78016FQM9 08/08/22 08/06/27    100.000     0.000     4.2200                                   0.117222   0.119668  0.122193     16.76    43.36 
Royal Bank of Canada     78013XFK9 02/28/18 02/28/23    100.000     0.000     3.2254    130.82   0.100211   0.101827   0.103469                          36.77     5.90 
Royal Bank of Canada     78013X4T2 04/30/19 04/28/23    100.000     0.000     2.9042     80.04   0.086690   0.087948   0.089225                          31.59    10.44 
Royal Bank of Canada     78015KDC5 11/29/19 12/01/25    100.000     0.000     2.1621     45.95   0.062705   0.063383   0.064068   0.064761  0.065461     22.74    23.23 
Royal Bank of Canada     78013XF52 09/28/18 09/29/22    100.000     0.000     3.5746    122.42   0.110441   0.112415                                     29.95          
Royal Bank of Canada     78013XF45 09/28/18 09/29/22    100.000     0.000     3.5421    121.25   0.109333   0.111270                                     29.65          
Royal Bank of Canada     78013XWF1 01/31/19 08/02/22    100.000     0.000     3.5183    107.21   0.106655   0.108532                                     22.84          
Royal Bank of Canada     78013XWE4 01/31/19 02/01/24    100.000     0.000     3.6269    110.67   0.110230   0.112228   0.114264   0.116336  0.118445     40.65    42.14 
Royal Bank of Canada     78013X5E4 04/30/19 05/01/23    100.000     0.000     2.8548     78.63   0.085129   0.086344   0.087577                          31.01    10.51 
Royal Bank of Canada     78009Q489 09/26/13 09/26/22    100.000     0.000     3.5770    340.48   0.131947   0.134306                                     35.39          
Royal Bank of Canada     78016FKA1 05/27/22 05/27/27    100.000     0.000     4.0397                        0.112214   0.114480   0.116793  0.119152     24.09    41.79 
Royal Bank of Canada     78015B435 10/06/22 09/28/28    100.000     0.000     5.5234                                   0.153428   0.157477  0.161826     13.04    56.74 
Royal Bank of Canada     78013XPT9 07/31/18 07/31/22    100.000     0.000     3.5174    126.65   0.108481   0.110389                                     23.02          
Royal Bank of Canada     78012KT64 05/31/17 06/01/23    100.000     0.000     2.5535    123.42   0.079514   0.080529   0.081558                          28.87    12.23 
Royal Bank of Canada     78013XBL1 12/29/17 12/30/22    100.000     0.000     2.7655    116.29   0.085745   0.086931                                     31.00          
Royal Bank of Canada     78013XSJ8 08/31/18 09/01/22    100.000     0.000     3.4206    119.84   0.105204   0.107003                                     25.57          
Royal Bank of Canada     78013XS33 11/29/18 12/01/22    100.000     0.000     3.4997    113.14   0.107897   0.109785                                     35.95          
Royal Bank of Canada     78013XRM2 11/30/18 11/30/22    100.000     0.000     3.4756    112.22   0.107058   0.108919                                     35.56          
Royal Bank of Canada     78013XRF7 08/31/18 08/31/22    100.000     0.000     3.4339    120.32   0.105644   0.107438                                     25.58          
SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29     87.035     0.000     1.6799     17.33   0.041162   0.041508   0.041856   0.042208  0.042563     14.97    15.23 
SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28     89.146     0.000     1.5800     16.69   0.039621   0.039934   0.040250   0.040568  0.040888     14.41    14.63 
SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30     84.805     0.000     1.7800     17.90   0.042530   0.042909   0.043290   0.043676  0.044064     15.48    15.76 
SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24     97.404     0.000     0.9500      6.05   0.025771   0.025893   0.026016   0.026140  0.026264      9.33     9.42 
SAM RAYBURN TEX INDPT SC 795868EJ3 05/06/21 02/15/23     98.854     0.000     0.6503      4.20   0.017890   0.017948   0.018007                           6.47     0.79 
SAM RAYBURN TEX INDPT SC 795868EM6 05/06/21 02/15/26     93.333     0.000     1.4500      8.85   0.037744   0.038017   0.038293   0.038571  0.038850     13.71    13.91 
SAM RAYBURN TEX INDPT SC 795868EL8 05/06/21 02/15/25     95.047     0.000     1.3500      8.39   0.035776   0.036018   0.036261   0.036506  0.036752     12.99    13.16 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27     89.911     0.000     1.8499     10.89   0.046436   0.046866   0.047299   0.047737  0.048178     16.91    17.23 
SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28     87.094     0.000     2.0498     11.69   0.049871   0.050382   0.050898   0.051420  0.051947     18.19    18.56 
SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26     93.647     0.000     1.2111     14.98   0.031861   0.032054   0.032248   0.032444  0.032640     11.56    11.70 
SAN ELIZARIO TEX INDPT   797547FD3 12/21/21 05/01/28     89.114     0.000     1.8200      0.45   0.045051   0.045347   0.045760   0.046176  0.046596     16.31    16.60 
SAN MARCOS TEX CONS INDP 798781B25 12/18/19 08/01/24     89.978     0.000     2.2990     42.89   0.059627   0.060313   0.061006   0.061707  0.062417     21.80    22.30 
SAN MARCOS TEX CONS INDP 798781B41 12/18/19 08/01/26     84.619     0.000     2.5388     44.63   0.062165   0.062954   0.063753   0.064562  0.065382     22.76    23.34 
SAN MARCOS TEX CONS INDP 798781B33 12/18/19 08/01/25     87.215     0.000     2.4489     44.33   0.061715   0.062470   0.063235   0.064010  0.064793     22.58    23.14 
SCHERTZ-CIBOLO-UNVL CITY 806640G28 08/27/20 02/01/37     63.888     0.000     2.7458     23.88   0.049978   0.050664   0.051360   0.052065  0.052780     18.32    18.83 
SCHERTZ-CIBOLO-UNVL CITY 806640G36 08/27/20 02/01/38     61.743     0.000     2.7858     23.41   0.049022   0.049705   0.050398   0.051100  0.051811     17.98    18.48 
SEADRILL NEW FINANCE LTD 81173JAA7 07/02/18 07/15/26     44.667    VARIES    19.7568    395.66   0.432000   0.484111   0.543000   0.609556  0.684722    183.22   230.85 
SEGUIN TEX INDPT SCH DIS 815853TB2 10/28/20 08/15/26     93.995     0.000     1.0710     11.88   0.028204   0.028355   0.028507   0.028659  0.028813     10.22    10.33 
SEGUIN TEX INDPT SCH DIS 815853TC0 10/28/20 08/15/27     91.934     0.000     1.2410     13.47   0.032007   0.032205   0.032405   0.032606  0.032808     11.61    11.76 
SEGUIN TEX INDPT SCH DIS 815853TD8 10/28/20 08/15/28     88.829     0.000     1.5249     16.01   0.038086   0.038376   0.038669   0.038963  0.039260     13.84    14.05 
SEGUIN TEX INDPT SCH DIS 815853TE6 10/28/20 08/15/29     86.729     0.000     1.6250     16.66   0.039656   0.039978   0.040303   0.040631  0.040961     14.42    14.66 
SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24    100.000     0.000     3.6893    332.97   0.134807   0.137293   0.139826   0.142405  0.145032     49.63    51.48 
SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34     91.000    VARIES     4.0373    275.35   0.103381   0.103023   0.105947   0.105439  0.107856     37.98    38.81 
SG Structured Prods, Inc 83368WLG4 03/31/14 03/31/34     91.000    VARIES     4.4572    284.90   0.107187   0.108496   0.109640   0.110810  0.112005     39.05    39.90 
SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34    100.000    VARIES     4.4742    313.85   0.109524   0.109755   0.110140   0.110534  0.110936     39.53    39.79 
SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31    100.000    VARIES     4.1591    367.28   0.086424   0.085328   0.085638   0.085955  0.086278     30.87    30.93 
SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25    100.000    VARIES     2.7151    182.13   0.075323   0.075307   0.075307   0.075306  0.075324     27.11    27.11 
SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34    100.000    VARIES     4.4731    320.77   0.114666   0.115219   0.115775   0.116343  0.116924     41.48    41.89 
SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34    100.000    VARIES     3.0162    206.96   0.084682   0.085116   0.085557   0.085816  0.086079     30.56    30.85 
SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34    100.000    VARIES     4.0888    303.61   0.109343   0.110168   0.110847   0.111540  0.112248     39.74    40.24 
SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31    100.000    VARIES     4.2878    387.43   0.091547   0.090515   0.090028   0.089531  0.089022     32.63    32.23 
SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33     91.000    VARIES     4.0761    278.66   0.102550   0.103637   0.104577   0.105536  0.106514     37.42    38.11 
SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34    100.000    VARIES     3.6333    257.24   0.096493   0.097015   0.097460   0.097914  0.098376     34.84    35.17 
SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31    100.000    VARIES     4.0970    365.96   0.085717   0.083199   0.084730   0.083501  0.084577     30.79    30.70 
SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34     91.000    VARIES     3.6947    239.10   0.089387   0.089988   0.090522   0.091067  0.091622     32.33    32.73 
SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26    100.000    VARIES     4.1342    394.38   0.103972   0.104856   0.105971   0.107109  0.108271     37.71    38.49 
SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31    100.000    VARIES     4.1578    376.58   0.086247   0.084815   0.086194   0.084762  0.085665     31.21    31.13 
SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26    100.000    VARIES     3.9854    374.82   0.099032   0.098306   0.101064   0.100548  0.102820     36.02    36.80 
SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23    100.000    VARIES     3.9769    413.30   0.110603   0.110619   0.110546                          39.82    19.79 
SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31    100.000    VARIES     4.0073    344.51   0.079445   0.076945   0.079736   0.079958  0.082405     28.54    29.15 
SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31    100.000    VARIES     4.0040    339.37   0.079129   0.078280   0.079819   0.081388  0.082988     28.33    29.02 
SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33    100.000    VARIES     3.4646    281.36   0.090308   0.089624   0.091925   0.091242  0.092874     33.04    33.54 
SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34    100.000    VARIES     3.4025    236.93   0.088290   0.089019   0.088780   0.089533  0.088827     32.42    32.55 
SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33    100.000    VARIES     2.9028    234.01   0.075788   0.076263   0.076715   0.077174  0.077639     27.45    27.78 
SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33    100.000    VARIES     3.8966    335.13   0.109364   0.110297   0.111065   0.111847  0.112645     39.80    40.36 
SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33    100.000    VARIES     3.8943    321.71   0.099976   0.100480   0.101030   0.101590  0.102161     36.24    36.64 
SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23    100.000    VARIES     1.6708     31.73   0.010774   0.010864   0.010955                           3.91     1.31 
SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35    100.000    VARIES     3.7086    225.14   0.097247   0.097879   0.098512   0.099156  0.099812     35.12    35.58 
SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23    100.000    VARIES     3.1496    271.19   0.087272   0.087349   0.087419                          31.44    10.67 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33    100.000    VARIES     3.9684    318.19   0.103229   0.103842   0.104437   0.105044  0.105662     37.37    37.80 
SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29    100.000    VARIES     3.5292    253.14   0.097380   0.097507   0.097637   0.097769  0.097903     35.10    35.20 
SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33    100.000    VARIES     3.9499    316.92   0.104379   0.105088   0.105701   0.106326  0.106964     37.79    38.24 
SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31    100.000    VARIES     3.8133    314.21   0.074969   0.075181   0.075397   0.076835  0.078300     27.09    27.84 
SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23    100.000    VARIES     4.1100    426.48   0.112727   0.111122   0.113246                          40.87    16.87 
SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31    100.000    VARIES     4.1899    369.06   0.082151   0.081060   0.082758   0.084492  0.086262     29.47    30.63 
SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26    100.000    VARIES     4.1202    389.08   0.103060   0.102311   0.104973   0.104400  0.106721     37.54    38.27 
SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31    100.000    VARIES     3.8227    312.65   0.072714   0.074104   0.075521   0.076964  0.078435     26.85    27.89 
SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31    100.000    VARIES     3.8136    307.42   0.074747   0.075070   0.075400   0.076838  0.078303     27.07    27.84 
SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26    100.000    VARIES     1.6326     54.01   0.025882   0.026093   0.026306   0.026521  0.026737      9.40     9.55 
SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34    100.000    VARIES     3.4030    239.14   0.090393   0.091307   0.091230   0.092076  0.091422     33.26    33.48 
SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26    100.000    VARIES     4.0468    385.15   0.100019   0.100989   0.102269   0.103575  0.104908     36.46    37.38 
SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31    100.000    VARIES     3.8090    313.41   0.073832   0.074374   0.074105   0.075932  0.076537     27.08    27.68 
SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32    100.000    VARIES     2.3463    194.66   0.059271   0.059450   0.059630   0.059813  0.059997     21.39    21.52 
SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32    100.000    VARIES     2.3877    195.68   0.059094   0.059089   0.059084   0.059079  0.059074     21.27    21.27 
SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33    100.000    VARIES     4.4027    333.26   0.116298   0.116932   0.117580   0.118242  0.118919     42.02    42.49 
SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33    100.000    VARIES     4.2911    330.96   0.115756   0.116432   0.117122   0.117827  0.118548     41.88    42.38 
SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32    100.000    VARIES     2.3864    190.45   0.057160   0.057257   0.057356   0.057455  0.057556     20.60    20.67 
SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26    100.000    VARIES     3.9820    368.61   0.097417   0.098633   0.099874   0.101140  0.102624     35.51    36.43 
SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32     93.000    VARIES     4.4186    310.67   0.113857   0.114875   0.115915   0.116979  0.118066     41.17    41.92 
SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33    100.000    VARIES     4.4457    327.68   0.115067   0.115851   0.116652   0.117339  0.118041     41.57    42.12 
SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32     90.000    VARIES     4.3778    293.71   0.105820   0.106910   0.108024   0.109162  0.110325     38.36    39.17 
SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34    100.000    VARIES     3.3123    223.23   0.088833   0.089260   0.089694   0.090051  0.090413     32.09    32.38 
SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32     90.000    VARIES     4.3778    293.71   0.105818   0.106908   0.108022   0.109160  0.110323     38.36    39.17 
SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33    100.000    VARIES     4.5906    358.73   0.120311   0.121184   0.122077   0.122990  0.123924     43.74    44.39 
SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27    100.000    VARIES     2.2060    190.89   0.055519   0.054771   0.055840   0.055224  0.056132     20.17    20.30 
SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33    100.000    VARIES     4.5832    360.58   0.123952   0.125068   0.126210   0.127378  0.128572     45.16    46.00 
SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32    100.000    VARIES     2.2189    180.18   0.052432   0.051669   0.052618   0.051854  0.052518     19.02    19.05 
SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33    100.000    VARIES     4.5941    346.84   0.113274   0.114251   0.115249   0.116271  0.117316     41.25    41.99 
SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33    100.000    VARIES     4.6389    356.40   0.121157   0.120202   0.123257   0.122190  0.124508     44.30    44.95 
SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33    100.000    VARIES     4.6414    367.12   0.126772   0.125734   0.128888   0.127614  0.129873     46.34    46.93 
SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23    100.000     0.000     1.8500    106.99   0.056873   0.057399   0.057930                          20.57    10.14 
SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34    100.000    VARIES     3.5842    246.15   0.095379   0.095725   0.096078   0.096437  0.096802     34.46    34.72 
SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34    100.000    VARIES     3.5616    245.10   0.095065   0.095488   0.095918   0.096273  0.096635     34.38    34.66 
SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33    100.000    VARIES     4.7593    375.56   0.127815   0.128851   0.129710   0.130589  0.131490     46.21    46.86 
SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27    100.000    VARIES     4.2451    364.68   0.108637   0.109333   0.110044   0.110770  0.111512     39.37    39.88 
SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32    100.000    VARIES     2.1721    174.59   0.052067   0.052111   0.052156   0.052202  0.052248     18.76    18.79 
SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33    100.000    VARIES     4.2945    323.28   0.110660   0.111397   0.112150   0.112918  0.113704     40.06    40.61 
SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27    100.000    VARIES     2.3465    196.11   0.060560   0.060986   0.061417   0.061853  0.062294     21.93    22.24 
SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34    100.000    VARIES     3.4502    235.22   0.093341   0.093747   0.094161   0.094582  0.095010     33.73    34.03 
SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33    100.000    VARIES     4.5116    349.57   0.121043   0.121970   0.122918   0.123887  0.124879     43.91    44.60 
SHALLOWATER TEX INDPT SC 819309MH5 11/20/20 02/15/22     99.360     0.000     0.5200      5.77   0.014408                                                 0.63          






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

SHALLOWATER TEX INDPT SC 819309MJ1 11/20/20 02/15/23     98.515     0.000     0.6701      7.37   0.018429   0.018491   0.018553                           6.66     0.82 
SOCIETE GENERALE         83369NP38 07/14/22 07/14/37    100.000    VARIES     4.8000                                   0.133333   0.127867  0.122269     22.27    45.17 
SOCIETE GENERALE         83369NNM8 06/23/22 06/20/25    100.000     0.000     4.3300                        0.120278   0.122838   0.125498  0.128215     22.64    44.76 
SOCIETE GENERALE         83369NUQ1 06/21/22 12/18/24    100.000     0.000     4.8300                        0.134167   0.137353   0.140670  0.144067     25.53    50.13 
SOCIETE GENERALLE        83369NUJ7 04/26/22 04/24/37     97.000    VARIES     3.9100                        0.105353   0.102502   0.099618  0.096678     25.62    35.99 
SOCORRO TEX INDPT SCH DI 833715HG3 06/11/20 08/15/27     86.381     0.000     2.0499     27.86   0.050384   0.050900   0.051422   0.051949  0.052482     18.37    18.75 
SOCORRO TEX INDPT SCH DI 833715HD0 06/11/20 08/15/24     93.056     0.000     1.7299     25.28   0.045633   0.046027   0.046425   0.046827  0.047232     16.61    16.90 
SOCORRO TEX INDPT SCH DI 833715HE8 06/11/20 08/15/25     90.905     0.000     1.8499     26.43   0.047738   0.048180   0.048625   0.049075  0.049529     17.39    17.71 
SOCORRO TEX INDPT SCH DI 833715HB4 06/11/20 08/15/22     97.007     0.000     1.3999     21.29   0.038349   0.038617                                      8.64          
SOCORRO TEX INDPT SCH DI 833715HC2 06/11/20 08/15/23     95.211     0.000     1.5501     23.16   0.041748   0.042072   0.042398   0.042726               15.18     9.56 
SOUTH TEXAS CMNTY COLLEG 84055QGN4 07/23/20 08/15/25     90.800     0.000     1.9159     25.27   0.049312   0.049784   0.050261   0.050743  0.051229     17.97    18.31 
STEPHENVILLE TEX INDPT   859128HW3 06/25/20 02/15/23     96.808     0.000     1.2330     18.22   0.033623   0.033831   0.034039                          12.20     1.50 
STEPHENVILLE TEX INDPT   859128HX1 06/25/20 02/15/24     94.854     0.000     1.4570     21.13   0.039029   0.039314   0.039600   0.039889  0.040179     14.18    14.39 
San Luis Obispo County   798703BB9 07/02/03 09/01/29     22.806     0.000     5.7298    420.49   0.101289   0.104190   0.107175   0.110246  0.113404     37.69    39.88 
San Luis Obispo County   798703BC7 07/02/03 09/01/30     21.553     0.000     5.7298    397.39   0.095726   0.098468   0.101289   0.104191  0.107176     35.62    37.69 
San Luis Obispo County   798703BA1 07/02/03 09/01/28     24.132     0.000     5.7297    444.92   0.107174   0.110245   0.113403   0.116652  0.119994     39.88    42.20 
San Luis Obispo County   798703AU8 07/02/03 09/01/22     34.700     0.000     5.5996    616.93   0.147186   0.151307                                     36.07          
San Luis Obispo County   798703AV6 07/02/03 09/01/23     32.578     0.000     5.6397    585.77   0.140167   0.144120   0.148184   0.152362               52.13    36.32 
San Luis Obispo County   798703AY0 07/02/03 09/01/26     27.018     0.000     5.7298    498.15   0.119995   0.123433   0.126969   0.130606  0.134348     44.65    47.25 
San Luis Obispo County   798703AZ7 07/02/03 09/01/27     25.534     0.000     5.7298    470.78   0.113404   0.116653   0.119995   0.123433  0.126969     42.20    44.65 
San Luis Obispo County   798703AW4 07/02/03 09/01/24     30.563     0.000     5.6797    555.71   0.133369   0.137156   0.141051   0.145057  0.149176     49.62    52.47 
San Luis Obispo County   798703AX2 07/02/03 09/01/25     28.774     0.000     5.6997    526.11   0.126451   0.130054   0.133761   0.137572  0.141493     47.05    49.77 
Santa Monica School, CA  802498PT6 10/11/16 07/01/32     95.746     3.000     3.3503     11.75   0.006864   0.006979   0.007096   0.007215  0.007335      2.49     2.58 
Seacor Holdings, Inc.    811904AN1 05/15/18 05/15/30    100.000     3.250     7.6251    296.97   0.248199   0.254219   0.260470   0.266959  0.273695     91.00    95.55 
Societe General          83369NMB3 05/17/22 05/17/29    100.000     0.000     4.0200                        0.111667   0.113911   0.116201  0.118536     25.11    41.62 
Societe Generale         83369NT59 11/25/22 11/28/25    100.000     0.000     5.3450                        0.148472   0.148538   0.152508  0.156584      5.35    54.45 
Societe Generale         83369NQA1 08/31/22 08/29/25    100.000     0.000     4.3230                                   0.120083   0.122650  0.125316     14.53    44.33 
Societe Generale         83369NRA0 09/30/22 10/02/25    100.000     0.000     5.1500                        0.143056   0.143096   0.146781  0.150561     13.02    52.84 
Societe Generale         83369NUY4 10/17/22 10/15/27    100.000     0.000     3.0001                                   0.083336   0.084572  0.085841      6.17    30.41 
Societe Generale Medium  83369EG95 11/15/17 11/14/22    100.000    VARIES     2.7307    118.48   0.084538   0.085693                                     26.67          
Societe Generale SA      83369NKA7 03/14/22 03/14/34    100.000    VARIES     3.6098                        0.100273   0.098573   0.096843  0.097682     28.60    35.08 
Societe Generale SA      83369ER51 01/31/18 07/31/23    100.000     0.000     3.1299    129.46   0.096926   0.098443   0.099984   0.101549               35.63    21.18 
Societe Generale SA      83369FCD7 11/07/18 11/07/22    100.000    VARIES     3.3999    106.39   0.093851   0.094144                                     28.77          
Societe Generale SA      83369F3S4 02/28/18 02/27/25    100.000     0.000     3.2782    133.09   0.102028   0.103701   0.105400   0.107128  0.108884     37.45    38.69 
Societe Generale SA      83369FE86 03/11/19 03/11/22    100.000    VARIES     3.0803     86.18   0.085584                                                 5.99          
Societe Generale SA      83369FUX3 06/05/19 06/03/22    100.000     0.000     2.4706     65.21   0.072963                                                11.09          
Societe Generale SA      83369F3F2 01/31/18 01/30/25    100.000     0.000     3.2105    132.98   0.099698   0.101298   0.102924   0.104576  0.106255     36.67    37.85 
Societe Generale SA      83369FAD9 06/13/18 06/13/22    100.000    VARIES     3.2002    113.90   0.089076                                                14.43          
Societe Generale SA      83369FAF4 06/20/18 06/20/22    100.000    VARIES     3.2003    113.28   0.089081                                                15.05          
Societe Generale SA      83369FA72 06/04/18 06/06/22    100.000    VARIES     2.9511    105.49   0.082085   0.083296                                     12.73          
Societe Generale SA      83369FSM0 04/24/19 04/21/22    100.000     0.000     2.8816     79.91   0.085958                                                 9.46          
Societe Generale SA      83369FBT3 09/25/18 09/25/23    100.000     0.000     3.7818    130.24   0.117545   0.119768   0.122033   0.124340               43.15    32.63 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Societe Generale SA      83369M5J7 04/06/21 04/06/36    100.000    VARIES     2.6792     19.56   0.072475   0.070990   0.069880   0.069112  0.068631     25.60    24.91 
Societe Generale SA      83369M5M0 04/16/21 04/19/36    100.000    VARIES     2.6494     18.65   0.071896   0.070587   0.069629   0.068974  0.068568     25.48    24.87 
Societe Generale SA      83369M5T5 04/30/21 04/30/31    100.000    VARIES     2.3695     15.79   0.064676   0.063781   0.063132   0.062712  0.062484     23.03    22.61 
Societe Generale SA      83369FXR3 08/05/19 08/05/25    100.000     0.000     2.3103     56.82   0.067194   0.067970   0.068755   0.069549  0.070353     24.56    25.13 
Societe Generale SA      83369MMN9 02/10/20 02/03/22    100.000     0.000     1.8806     36.05   0.053708                                                 1.72          
Societe Generale SA      83369FHE0 12/04/19 02/03/22    100.000     0.000     2.1751     45.94   0.062636                                                 2.00          
Societe Generale SA      83369FHF7 11/29/19 03/29/22    100.000     0.000     2.1604     45.94   0.062424                                                 5.49          
Societe Generale SA      83369F7H4 05/23/18 05/23/22    100.000    VARIES     2.8699    103.10   0.079653                                                11.31          
Societe Generale SA      83369F7M3 05/30/18 05/31/22    100.000    VARIES     3.3928    121.90   0.094403                                                14.07          
Societe Generale SA      83369FF44 05/08/19 05/09/22    100.000    VARIES     2.7601     73.02   0.076627                                                 9.81          
Societe Generale SA      83369FF51 05/15/19 05/16/22    100.000    VARIES     2.6399     69.23   0.073163                                                 9.88          
Societe Generale SA      83369F4R5 03/02/18 03/04/25    100.000     0.000     3.3609    136.22   0.104929   0.106692   0.108485   0.110308  0.112162     38.51    39.81 
Societe Generale SA      83369MJK9 12/16/19 12/16/22    100.000     0.000     2.2503     46.75   0.065370   0.066105                                     22.68          
Societe Generale SA      83369FUZ8 06/05/19 06/03/22    100.000     0.000     2.4706     65.21   0.072963                                                11.09          
Societe Generale SA      83369MJQ6 12/20/19 12/21/26    100.000     0.100     2.4730     51.14   0.072015   0.072872   0.073738   0.074616  0.075504     26.10    26.72 
Societe Generale SA      83369MJR4 12/18/19 12/21/23    100.000     2.100     2.2723     46.34   0.063361   0.063418   0.063476   0.063534               22.82    22.23 
Societe Generale SA      83369FFK8 06/19/19 06/20/22    100.000    VARIES     2.4001     60.98   0.066701                                                11.27          
Societe Generale SA      83369N2F6 05/28/21 05/28/31    100.000    VARIES     2.3296     13.75   0.063750   0.062989   0.062460   0.062092  0.061895     22.77    22.40 
Societe Generale SA      83369NAX8 08/25/21 08/25/26    100.000    VARIES     1.2819      4.49   0.035608   0.035836   0.035496   0.035724  0.035508     12.85    12.82 
Societe Generale SA      83369FP84 03/06/19 03/04/22    100.000     0.000     2.9316     85.54   0.087565                                                 5.52          
Societe Generale SA      83369M3N0 02/26/21 02/26/41    100.000    VARIES     2.4596     20.77   0.067796   0.067264   0.066273   0.065345  0.064569     24.12    23.48 
Societe Generale SA      83369N3U2 06/22/21 06/22/26    100.000     0.000     1.3580      7.13   0.037978   0.038236   0.038496   0.038757  0.039020     13.72    13.91 
Societe Generale SA      83369NUE8 03/28/22 03/29/32    100.000    VARIES     3.7300                        0.103622   0.102964   0.102294  0.102812     28.23    36.93 
Societe Generale SA      83369NDP2 10/20/21 10/20/31    100.000    VARIES     2.1499      4.24   0.059719   0.059167   0.058609   0.058551  0.058547     21.32    21.08 
Societe Generale SA      83369NEQ9 11/17/21 11/17/31    100.000    VARIES     2.2499      2.75   0.062497   0.061950   0.061397   0.061318  0.061325     22.35    22.09 
Societe Generalle        83369NNV8 07/06/22 07/05/24    100.000     0.000     4.1100                                   0.114167   0.116500  0.118894     19.98    42.35 
Societe Generalle       83369NPJ36 07/29/22 07/29/37    100.000    VARIES     4.5700                                   0.126944   0.122863  0.118689     19.30    43.71 
Societe Generalle        83369NPB0 07/14/22 07/14/25    100.000     0.000     4.2500                                   0.118056   0.120564  0.123126     19.72    43.80 
Societe Generalle       883369NNW6 07/06/22 07/03/25    100.000     0.000     4.1200                                   0.114444   0.116763  0.119168     20.03    42.46 
Sprint Capital Corporati 852060AD4 05/18/18 11/15/28     96.500     6.875     7.3596      9.23   0.008117   0.008415   0.008725   0.009046  0.009379      3.00     3.23 
St. Clair County, IL     788553GU3 04/13/17 12/01/27    101.642     4.000     3.8108    182.19   0.106920   0.106840   0.106758   0.106676  0.106591     38.47    38.41 
St. Clair County, IL     788553GS8 04/13/17 12/01/23    101.777     3.500     3.2006    152.84   0.089416   0.089292   0.089165   0.089036               32.16    29.40 
St. Clair County, IL     788553GT6 04/13/17 12/01/26    102.645     4.000     3.6716    176.87   0.103505   0.103366   0.103223   0.103079  0.102931     37.23    37.13 
St. Clair County, IL     788553GR0 04/13/17 12/01/22     99.225     2.850     3.0005      6.40   0.004059   0.004120                                      1.35          
TARKINGTON TEX INDPT SCH 876162HU5 03/09/21 02/15/23     99.211     0.000     0.4101      3.30   0.011323   0.011346   0.011369                           4.09     0.50 
TAYLOR TEX INDPT SCH DIS 877299QX8 06/30/21 02/15/39     58.349     0.000     3.0800      9.06   0.050112   0.050884   0.051668   0.052463  0.053271     18.39    18.96 
TAYLOR TEX INDPT SCH DIS 877299QW0 06/30/21 02/15/38     60.655     0.000     3.0299      9.27   0.051243   0.052020   0.052808   0.053608  0.054420     18.80    19.37 
THE BANK OF NOVA SCOTIA  06418B397 08/25/22 08/25/28    100.000     0.000     4.5710                                   0.126972   0.129874  0.132842     16.00    46.97 
TITUS CNTY TEX           888514JX5 11/27/19 03/01/23     91.737     0.000     2.6615     52.27   0.071056   0.072002   0.072960                          25.98     4.38 
TITUS CNTY TEX           888514JY3 11/27/19 03/01/24     88.968     0.000     2.7616     52.65   0.071628   0.072617   0.073619   0.074636  0.075666     26.20    26.93 
TITUS CNTY TEX           888514JW7 11/27/19 03/01/22     94.459     0.000     2.5361     51.24   0.069566                                                 4.17          
TOLAR TEX INDPT SCH DIST 889154FQ8 05/05/21 02/15/23     99.168     0.000     0.4705      3.06   0.012977   0.013007   0.013038                           4.69     0.57 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

TOLAR TEX INDPT SCH DIST 889154FR6 05/05/21 02/15/24     98.186     0.000     0.6601      4.25   0.018036   0.018095   0.018155   0.018215  0.018275      6.52     6.56 
TOLAR TEX INDPT SCH DIST 889154FS4 05/05/21 02/15/25     96.120     0.000     1.0502      6.63   0.028121   0.028269   0.028418   0.028567  0.028717     10.19    10.30 
TOLAR TEX INDPT SCH DIST 889154FT2 05/05/21 02/15/26     93.773     0.000     1.3501      8.32   0.035299   0.035537   0.035777   0.036019  0.036262     12.82    12.99 
TOLAR TEX INDPT SCH DIST 889154FU9 05/05/21 02/15/27     90.734     0.000     1.6899     10.08   0.042792   0.043154   0.043519   0.043886  0.044257     15.57    15.83 
TOM BEAN TEX INDPT SCH   889608DJ1 11/06/20 02/15/26     93.785     0.000     1.2200     13.25   0.032084   0.032280   0.032477   0.032675  0.032875     11.64    11.78 
TOM BEAN TEX INDPT SCH   889608DH5 11/06/20 02/15/25     96.111     0.000     0.9300     10.34   0.025007   0.025123   0.025240   0.025357  0.025475      9.06     9.14 
TOM BEAN TEX INDPT SCH   889608DG7 11/06/20 02/15/24     97.323     0.000     0.8302      9.34   0.022588   0.022682   0.022776   0.022871  0.022966      8.17     8.24 
TOM BEAN TEX INDPT SCH   889608DK8 11/06/20 02/15/27     92.075     0.000     1.3201     14.08   0.034108   0.034334   0.034560   0.034788  0.035018     12.38    12.54 
TULOSO-MIDWAY TEX INDPT  899474WH9 12/16/20 08/15/23     97.895     0.000     0.8002      8.18   0.021875   0.021962   0.022050   0.022138                7.91     4.96 
The Toronto Dominion Ban 89114YDW8 10/05/22 10/02/25    100.000     0.000     5.4200                                   0.150556   0.154568  0.158756     12.95    55.65 
The Toronto Dominion Ban 89114YDS7 10/04/22 10/01/27    100.000     0.000     5.5900                                   0.155278   0.159545  0.164005     13.51    57.45 
The Toronto Dominion Ban 89114YDX6 10/05/22 10/04/27    100.000     0.000     5.5900                                   0.155278   0.159594  0.164054     13.35    57.44 
The Toronto-Dominion Ban 89114YB59 08/18/22 08/18/23    100.000     0.000     4.0800                                   0.113333   0.115645               15.07    26.14 
The Toronto-Dominion Ban 89114YCX7 09/27/22 09/27/27    100.000     0.000     4.3000                                   0.119444   0.122013  0.124636     11.23    43.95 
The Toronto-Dominion Ban 89114YC90 09/09/22 09/11/23    100.000     0.000     4.3000                        0.119444   0.119473   0.122042               13.38    30.33 
Toronto-Dominion Bank    89114RLC8 05/22/20 05/22/22    100.000    VARIES     0.9998      4.16   0.007182                                                 1.01          
Toronto-Dominion Bank    89114V6L6 03/17/22 03/12/27    100.000     0.000     2.7306                        0.075849   0.076856   0.077905  0.078968     21.65    28.09 
Toronto-Dominion Bank    89114TRA2 09/09/21 09/09/24    100.000    VARIES     0.6023      1.87   0.016731   0.016751   0.016771   0.016776  0.016780      6.03     6.04 
Toronto-Dominion Bank    89114Y3Z2 06/03/22 06/04/26    100.000     0.000     4.0000                        0.111111   0.113346   0.115613  0.117925     23.17    41.34 
Toronto-Dominion Bank    89114TKW1 06/10/21 06/10/24    100.000    VARIES     0.5100      2.85   0.014179   0.014192   0.014193   0.014194  0.014180      5.11     5.11 
Toronto-Dominion Bank    89114QS41 05/24/19 05/18/22    100.000     0.000     2.6800     71.77   0.079533                                                10.90          
Toronto-Dominion Bank    89114QS33 05/24/19 05/18/22    100.000     0.000     2.6800     71.77   0.079533                                                10.90          
Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38     24.099     0.000     4.8000    221.87   0.060959   0.062422   0.063921   0.065455  0.067026     22.48    23.58 
Trenton, City of         895130K35 03/13/03 04/01/22     31.423     0.000     6.1698    670.81   0.166255                                                14.96          
UBS AG                   90279FGU9 06/15/22 12/14/23    100.000     0.000     3.4000                        0.094444   0.096041   0.097674               18.54    33.24 
UBS AG                   90261XDU3 07/20/07 07/20/27    100.000    VARIES     5.7801    653.78   0.115934   0.118310   0.120754   0.124244  0.127835     42.94    45.24 
UBS AG                   90279FDZ1 05/25/22 11/24/23    100.000     0.000     2.5700                        0.071389   0.072301   0.073230               15.45    23.52 
UBS AG                   90279FEQ0 05/27/22 11/29/23    100.000     0.000     2.4400             0.067778   0.067787   0.068614   0.069451               14.53    22.66 
UBS AG                   90279FGH8 06/15/22 12/15/23    100.000     0.000     3.4000                        0.094444   0.096050   0.097683               18.54    33.34 
UBS AG                   90279FBV2 05/18/22 05/16/24    100.000     0.000     2.6700                        0.074167   0.075146   0.076149  0.077166     16.58    27.32 
UBS AG London Branch     90279DZA7 02/24/22 02/22/24    100.000     0.000     1.4007                        0.038908   0.039178   0.039452  0.039728     11.98    14.22 
UBS AG London Branch     90281B684 01/04/19 08/02/22    100.000     0.000     3.2800    102.27   0.099083   0.100708                                     21.20          
UBS AG London Branch     90279DE77 02/28/22 09/04/24    100.000     0.000     1.1977             0.033271   0.033277   0.033477   0.033677  0.033879     10.11    12.13 
UBS AG London Branch     90290V846 03/25/22 09/26/24    100.000     0.000     2.1890                        0.060809   0.061474   0.062147  0.062827     16.85    22.38 
UBS AG London Branch     90279FBA8 05/05/22 11/03/23    100.000     0.000     2.6625                        0.073959   0.074933   0.075930               17.51    22.81 
UBS AG London Branch     90279FAR2 05/12/22 05/14/24    100.000     0.000     2.7119             0.075330   0.075342   0.076363   0.077399  0.078448     17.30    27.78 
UBS AG London Branch     90279FCA7 05/11/22 11/09/23    100.000     0.000     2.5223                        0.070064   0.070938   0.071832               16.16    22.01 
UBS AG London Branch     90276BZH9 05/26/21 05/25/28    100.000     0.000     1.7723     10.60   0.049665   0.050105   0.050549   0.050997  0.051449     17.99    18.31 
UBS AG London Branch     90279FBW0 05/10/22 11/09/23    100.000     0.000     2.5222                        0.070061   0.070939   0.071834               16.23    22.01 
ULTRA RESOURCES INC      90400GAE1 12/21/18 07/12/24    100.000     9.000     9.0000    170.67   0.187722   0.202556   0.218833   0.236556  0.255944     75.39    88.09 
USB AG                   90279FJQ5 06/29/22 12/29/23    100.000     0.000     3.1800                        0.088333   0.089738   0.091165               16.08    32.38 
USB AG                   90279FKP5 07/07/22 12/29/23    100.000     0.000     2.9000                        0.080556   0.081672   0.082856               14.02    29.45 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000     5.4001     69.76   0.037534   0.038548   0.039588   0.040657  0.041755     13.76    14.51 
Uruguay, Republic        917288BA9 05/29/03 01/15/33     61.000     3.875        N/A    905.53   0.158582   0.160782   0.163118   0.165600  0.168237     58.24    60.02 
VALLEY VIEW TEX INDPT SC 92021PAB2 10/23/20 08/15/23     98.385     0.000     0.5800      6.80   0.015926   0.015972   0.016018   0.016065                5.75     3.60 
VALLEY VIEW TEX INDPT SC 92021PAA4 10/23/20 08/15/22     99.045     0.000     0.5305      6.26   0.014658   0.014697                                      3.29          
VAN TEX INDPT SCH DIST   921254LS5 02/24/22 02/15/36     63.291     0.000     3.3000                        0.058017   0.058927   0.059899  0.060887     17.93    21.66 
VAN TEX INDPT SCH DIST   921254LU0 02/24/22 02/15/37     60.358     0.000     3.3999                        0.057004   0.057925   0.058909  0.059911     17.63    21.30 
Virginia Pub School Auth 92817SPA0 11/13/09 09/15/26     90.643     6.050     7.0050     55.86   0.018801   0.019460   0.020141   0.020847  0.021577      7.03     7.53 
WACO TEX INDPT SCH DIST  929845UM5 03/02/21 08/15/23     98.881     0.000     0.4593      3.78   0.012642   0.012671   0.012700   0.012729                4.56     2.85 
WACO TEX INDPT SCH DIST  929845UN3 03/02/21 08/15/24     98.121     0.000     0.5501      4.49   0.015031   0.015073   0.015114   0.015156  0.015197      5.43     5.46 
WACO TEX INDPT SCH DIST  929845UP8 03/02/21 08/15/25     96.816     0.000     0.7280      5.86   0.019643   0.019714   0.019786   0.019858  0.019930      7.10     7.16 
WASHINGTON COURT HOUSE   938769FN1 10/21/21 12/01/30     81.926     0.000     2.1999      3.51   0.050187   0.050739   0.051297   0.051861  0.052431     18.20    18.60 
WELLMAN-UNION TEX CONS   94990AAZ5 08/26/20 08/15/22     98.407     0.000     0.8170     10.87   0.022510   0.022602                                      5.06          
WELLMAN-UNION TEX CONS   94990ABC5 08/26/20 08/15/25     94.037     0.000     1.2410     15.81   0.032808   0.033012   0.033217   0.033423  0.033630     11.90    12.05 
WELLMAN-UNION TEX CONS   94990ABD3 08/26/20 08/15/26     91.400     0.000     1.5121     18.75   0.038955   0.039249   0.039546   0.039845  0.040146     14.16    14.37 
WELLMAN-UNION TEX CONS   94990ABA9 08/26/20 08/15/23     97.296     0.000     0.9253     12.18   0.025231   0.025348   0.025465   0.025583                9.14     5.73 
WELLMAN-UNION TEX CONS   94990ABB7 08/26/20 08/15/24     95.697     0.000     1.1111     14.40   0.029855   0.030021   0.030187   0.030355  0.030524     10.82    10.94 
WELLMAN-UNION TEX CONS   94990ABG6 08/26/20 08/15/29     83.556     0.000     2.0130     22.86   0.047637   0.048117   0.048601   0.049090  0.049584     17.37    17.72 
WELLMAN-UNION TEX CONS   94990ABE1 08/26/20 08/15/27     88.797     0.000     1.7121     20.64   0.042934   0.043301   0.043672   0.044046  0.044423     15.62    15.89 
WELLMAN-UNION TEX CONS   94990ABF8 08/26/20 08/15/28     85.921     0.000     1.9131     22.33   0.046511   0.046956   0.047405   0.047858  0.048316     16.95    17.27 
WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26    100.000     0.000     1.5302     34.81   0.043827   0.044163   0.044501   0.044841  0.045184     15.90    16.14 
WESTMONT ILL PK DIST     96081RBB5 03/17/21 12/01/29     81.532     0.000     2.3589     15.25   0.054316   0.054957   0.055605   0.056261  0.056925     19.71    20.18 
WESTMONT ILL PK DIST     96081RBC3 03/17/21 12/01/30     78.883     0.000     2.4587     15.38   0.054813   0.055486   0.056169   0.056859  0.057558     19.89    20.39 
WESTMONT ILL PK DIST     96081RBA7 03/17/21 12/01/28     84.924     0.000     2.1318     14.34   0.051049   0.051593   0.052143   0.052698  0.053260     18.51    18.91 
WESTMONT ILL PK DIST     96081RBF6 03/17/21 12/01/33     70.158     0.000     2.8086     15.63   0.055825   0.056609   0.057404   0.058210  0.059027     20.29    20.86 
WESTMONT ILL PK DIST     96081RBG4 03/17/21 12/01/34     67.312     0.000     2.9086     15.54   0.055506   0.056313   0.057132   0.057963  0.058806     20.18    20.77 
WESTMONT ILL PK DIST     96081RBD1 03/17/21 12/01/31     76.168     0.000     2.5588     15.46   0.055119   0.055824   0.056538   0.057262  0.057994     20.01    20.53 
WESTMONT ILL PK DIST     96081RBE9 03/17/21 12/01/32     72.980     0.000     2.7087     15.68   0.055966   0.056724   0.057492   0.058270  0.059060     20.33    20.88 
WESTMONT ILL PK DIST     96081RBJ8 03/17/21 12/01/36     61.598     0.000     3.1087     15.20   0.054363   0.055208   0.056066   0.056938  0.057823     19.77    20.39 
WESTMONT ILL PK DIST     96081RBK5 03/17/21 12/01/37     58.753     0.000     3.2086     14.97   0.053555   0.054415   0.055288   0.056175  0.057076     19.49    20.12 
WESTMONT ILL PK DIST     96081RBH2 03/17/21 12/01/35     64.455     0.000     3.0087     15.39   0.055016   0.055844   0.056684   0.057537  0.058402     20.00    20.61 
WEX INC                  96208TAB0 07/01/20 07/15/27     96.500     6.500     7.0234    105.27   0.202252   0.209355   0.216706   0.224316  0.232194     76.49    81.96 
WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25    104.477     4.250     3.5381    162.26   0.100256   0.099941   0.099621   0.099295  0.098963     36.02    35.79 
WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24    103.054     3.875     3.3896    153.76   0.095448   0.095241   0.095031   0.094817  0.094600     34.31    34.16 
WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23    103.545     3.875     3.2387    147.21   0.091064   0.090795   0.090523   0.090245               32.72    29.82 
WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26    103.497     4.250     3.6875    167.92   0.104053   0.103795   0.103532   0.103264  0.102991     37.40    37.21 
WHITE SETTLEMENT TEX IND 964559X94 11/25/20 08/15/32     75.028     0.000     2.4658     20.53   0.052309   0.052954   0.053606   0.054267  0.054936     19.12    19.60 
WHITE SETTLEMENT TEX IND 964559X86 11/25/20 08/15/31     77.791     0.000     2.3558     20.32   0.051775   0.052385   0.053002   0.053626  0.054258     18.92    19.36 
WHITE SETTLEMENT TEX IND 964559X78 11/25/20 08/15/30     80.636     0.000     2.2259     19.90   0.050662   0.051225   0.051795   0.052372  0.052955     18.49    18.91 
WHITE SETTLEMENT TEX IND 964559X60 11/25/20 08/15/29     83.371     0.000     2.0959     19.36   0.049275   0.049791   0.050313   0.050840  0.051373     17.97    18.35 
WHITE SETTLEMENT TEX IND 964559X52 11/25/20 08/15/28     85.781     0.000     1.9959     18.96   0.048245   0.048726   0.049213   0.049704  0.050200     17.59    17.94 
WHITE SETTLEMENT TEX IND 964559X45 11/25/20 08/15/27     89.949     0.000     1.5819     15.74   0.039977   0.040294   0.040612   0.040934  0.041257     14.54    14.77 
WHITE SETTLEMENT TEX IND 964559Y44 11/25/20 08/15/35     66.639     0.000     2.7757     20.54   0.052415   0.053143   0.053880   0.054628  0.055386     19.20    19.74 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

WHITE SETTLEMENT TEX IND 964559Y36 11/25/20 08/15/34     69.435     0.000     2.6758     20.63   0.052610   0.053314   0.054027   0.054750  0.055483     19.26    19.78 
WHITE SETTLEMENT TEX IND 964559Y28 11/25/20 08/15/33     72.207     0.000     2.5757     20.64   0.052627   0.053305   0.053992   0.054687  0.055391     19.25    19.75 
WHITE SETTLEMENT TEX IND 964559W95 11/25/20 08/15/24     96.169     0.000     1.0521     11.17   0.028320   0.028469   0.028619   0.028769  0.028921     10.26    10.37 
WHITE SETTLEMENT TEX IND 964559W87 11/25/20 08/15/23     97.900     0.000     0.7811      8.43   0.021361   0.021445   0.021529   0.021613                7.73     4.84 
WHITE SETTLEMENT TEX IND 964559X37 11/25/20 08/15/26     91.950     0.000     1.4719     14.96   0.037996   0.038276   0.038557   0.038841  0.039127     13.81    14.01 
WHITE SETTLEMENT TEX IND 964559X29 11/25/20 08/15/25     94.498     0.000     1.2019     12.55   0.031824   0.032015   0.032208   0.032401  0.032596     11.54    11.68 
WIMBERLEY TEX INDPT SCH  972631ML6 07/21/20 08/15/40     54.518     0.000     3.0460     24.35   0.047641   0.048366   0.049103   0.049851  0.050610     17.48    18.02 
WIMBERLEY TEX INDPT SCH  972631MK8 07/21/20 08/15/39     57.268     0.000     2.9450     24.72   0.048333   0.049044   0.049767   0.050499  0.051243     17.72    18.25 
WIMBERLEY TEX INDPT SCH  972631MJ1 07/21/20 08/15/38     59.494     0.000     2.8950     25.24   0.049333   0.050048   0.050772   0.051507  0.052252     18.08    18.61 
WINDTHORST TEX INDPT SCH 973814BZ8 11/24/20 08/01/24     95.931     0.000     1.1300     12.00   0.030347   0.030518   0.030690   0.030864  0.031038     11.01    11.13 
WOODFORD & MARSHALL CNTY 979293BL0 08/07/18 12/01/22    106.949     5.250     3.4778    124.85   0.098274   0.097447                                     32.28          
WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24    110.347     5.500     3.6329    134.75   0.106225   0.105379   0.104518   0.103642  0.102749     38.04    37.42 
WOODFORD & MARSHALL CNTY 979293BM8 08/07/18 12/01/23    109.113     5.500     3.5804    131.11   0.103110   0.102221   0.101316   0.100394               36.91    33.27 
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES     2.1558     21.11   0.010235   0.010345   0.010457   0.010569  0.010683      3.72     3.80 
Wells Fargo & Company    95001B2K9 02/14/18 02/14/25    105.000     0.125     3.5350    152.67   0.116104   0.118095   0.120121   0.122183  0.124281     42.71    44.18 
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES     2.4455     19.99   0.008739   0.008846   0.008954   0.009064  0.009175      3.18     3.25 
Wells Fargo & Company    94986RMK4 12/27/12 12/28/22    100.000    VARIES     1.2833     36.10   0.011609   0.011683                                      4.16          
Wells Fargo & Company    94986RLY5 11/07/12 11/07/22    100.000    VARIES     1.1530     29.53   0.009338   0.009391                                      2.87          
Wells Fargo & Company    94986RLR0 10/03/12 10/03/22    100.000    VARIES     1.2945     38.12   0.011940   0.012017                                      3.26          
Wells Fargo & Company    95001H6Q9 07/02/19 07/01/22    100.000     0.000     2.3500     60.08   0.069200                                                12.46          
Wells Fargo & Company    95000E3U1 10/20/17 10/22/24    100.000     0.250     1.8358     79.36   0.054339   0.054774   0.055213   0.055656  0.056103     19.70    20.02 
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES     1.3587     34.22   0.011234   0.011311   0.011388   0.011465  0.011543      4.07     4.13 
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES     1.1812     33.35   0.010864   0.010929   0.010993                           3.94     0.71 
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES     1.1863     31.96   0.010241   0.010302   0.010363   0.010425  0.010487      3.72     3.76 
Wells Fargo & Company    95000N2D0 02/24/17 02/24/27    100.000    VARIES     2.7668    133.84   0.076595   0.076617   0.076639   0.076662  0.076685     27.58    27.60 
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES     2.3691     21.34   0.009640   0.009754   0.009870   0.009987  0.010105      3.50     3.58 
Wells Fargo & Company    95000N2A6 02/23/17 02/23/22    100.000    VARIES     1.8572     14.26   0.008392                                                 0.44          
Wells Fargo & Company    95000N2K4 06/23/17 06/23/27    100.000    VARIES     2.5340     16.48   0.010012   0.010138   0.010267   0.010397  0.010529      3.63     3.72 
Wells Fargo & Company    95000N2J7 05/19/17 05/19/27    100.000    VARIES     2.6993     21.36   0.012304   0.012470   0.012639   0.012809  0.012982      4.47     4.60 
Wells Fargo & Company    95000N2T5 08/16/17 08/16/27    100.000    VARIES     2.5861     14.38   0.008907   0.009022   0.009138   0.009257  0.009376      3.26     3.34 
Wells Fargo & Company    95000N2V0 08/31/17 08/31/29    100.000    VARIES     2.4309     13.04   0.008033   0.008130   0.008230   0.008329  0.008431      2.93     3.00 
Wells Fargo & Company    95000N2P3 07/25/17 07/25/29    100.000    VARIES     2.6059     12.51   0.007517   0.007615   0.007714   0.007814  0.007916      2.75     2.83 
Wells Fargo & Company    95000N2Y4 09/15/17 09/15/27    100.000    VARIES     2.8997     22.90   0.013458   0.013653   0.013851   0.014052  0.014255      4.92     5.07 
Wells Fargo & Company    95000N2Z1 09/20/17 09/20/27    100.000    VARIES     2.5328     12.74   0.008187   0.008290   0.008395   0.008502  0.008609      2.99     3.06 
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES     1.3234     24.23   0.008084   0.008138   0.008191                           2.93     0.93 
Wells Fargo & Company    95000N3F4 10/25/17 10/25/27    100.000    VARIES     2.7552     12.02   0.007761   0.007867   0.007976   0.008086  0.008197      2.83     2.91 
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES     2.3798     19.80   0.009367   0.009479   0.009592   0.009706  0.009821      3.39     3.48 
Wells Fargo & Company    95000N3G2 10/20/17 10/20/27    100.000    VARIES     2.7158     13.20   0.008501   0.008617   0.008734   0.008853  0.008973      3.10     3.18 
Wells Fargo & Company    95000N3B3 09/21/17 09/21/27    100.000    VARIES     2.5668     12.83   0.008123   0.008227   0.008332   0.008439  0.008548      2.96     3.04 
Wells Fargo & Company    95000N3N7 01/31/18 01/31/38    100.000    VARIES     3.2610     11.31   0.006646   0.006755   0.006865   0.006977  0.007091      2.45     2.53 
Wells Fargo & Company    95000N3M9 01/31/18 01/31/28    100.000    VARIES     3.2008      9.80   0.006593   0.006699   0.006806   0.006915  0.007025      2.42     2.50 
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES     2.5508     22.47   0.009980   0.010107   0.010236   0.010366  0.010499      3.62     3.71 






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     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES     2.4986     20.94   0.009551   0.009670   0.009791   0.009914  0.010037      3.46     3.55 
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES     1.9880     24.43   0.011383   0.011496   0.011610   0.011725  0.011842      4.15     4.23 
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES     2.5651     18.39   0.007483   0.007579   0.007676   0.007774  0.007874      2.73     2.80 
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES     2.5155     18.39   0.007497   0.007592   0.007687   0.007784  0.007882      2.73     2.80 
Wells Fargo & Company    95001D2G4 04/20/18 04/20/28    100.000    VARIES     3.4399     14.71   0.010413   0.010592   0.010774   0.010960  0.011148      3.81     3.94 
Wells Fargo & Company    95001D2D1 03/21/18 03/21/30    100.000    VARIES     3.3176     11.58   0.007846   0.007976   0.008108   0.008243  0.008380      2.87     2.97 
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES     2.1764     20.69   0.009813   0.009920   0.010028   0.010137  0.010248      3.59     3.66 
Wells Fargo & Company    95001D2N9 07/03/18 07/03/28    100.000    VARIES     3.5475     19.67   0.013692   0.013935   0.014182   0.014433  0.014689      5.06     5.24 
Wells Fargo & Company    95001D2X7 09/26/18 09/26/28    100.000    VARIES     3.7928      9.59   0.007427   0.007568   0.007711   0.007857  0.008006      2.73     2.83 
Wells Fargo & Company    95001D2R0 08/24/18 08/24/28    100.000    VARIES     3.6466     22.40   0.016105   0.016398   0.016697   0.017002  0.017312      5.93     6.14 
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000     3.5789    316.98   0.129714   0.132035   0.134398                          47.56    11.56 
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES     2.2895     24.68   0.010393   0.010512   0.010632   0.010754  0.010877      3.77     3.86 
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES     2.0659    137.39   0.056654   0.056756   0.056858   0.056961  0.057066     20.43    20.51 
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES     2.2005     22.39   0.010912   0.011032   0.011154   0.011276  0.011400      3.97     4.06 
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES     2.2225    143.91   0.059191   0.059328   0.059466   0.059606  0.059748     21.35    21.45 
Wells Fargo & Company    94986RX30 10/18/16 10/18/26    100.000    VARIES     2.2447     17.24   0.009031   0.009133   0.009235   0.009339  0.009444      3.28     3.36 
Wells Fargo & Company    94986RVZ1 02/27/15 02/27/25    100.000    VARIES     2.1821     25.48   0.010494   0.010608   0.010724   0.010841  0.010959      3.83     3.91 
Wells Fargo & Company    94986RF71 02/29/16 03/01/23    100.000    VARIES     1.9956     20.01   0.009773   0.009871   0.009969                           3.56     0.60 
Wells Fargo & Company    94986RWD9 04/06/15 04/06/22    100.000     0.000     2.0104    144.26   0.063597                                                 6.04          
Wells Fargo & Company    94986RZB0 10/05/15 10/05/27    100.000    VARIES     2.2452     24.12   0.010640   0.010760   0.010880   0.011002  0.011126      3.87     3.96 
Wells Fargo & Company    94986RZN4 10/26/15 10/26/27    100.000    VARIES     2.3226    140.62   0.063025   0.063142   0.063260   0.063379  0.063500     22.73    22.81 
Wells Fargo & Company    94986RZL8 10/09/15 10/09/27    100.000    VARIES     2.3811     27.59   0.012182   0.012327   0.012474   0.012623  0.012773      4.44     4.54 
Wells Fargo & Company    95001BBT0 02/05/19 02/03/22    100.000     0.000     2.8110     84.50   0.083713                                                 2.68          
Wells Fargo & Company    94986RZJ3 10/09/15 10/09/25    100.000    VARIES     2.2547     21.48   0.009626   0.009735   0.009845   0.009955  0.010068      3.50     3.58 
Wells Fargo & Company    94986RZ46 10/20/16 10/20/26    100.000    VARIES     2.2262     23.72   0.012439   0.012578   0.012718   0.012859  0.013003      4.52     4.62 
Wells Fargo & Company    94986RYP0 09/03/15 09/03/27    100.000    VARIES     2.4323     20.29   0.008815   0.008922   0.009031   0.009141  0.009252      3.22     3.30 
Wells Fargo & Company    94986RZ79 11/04/16 11/06/23    100.000     0.250     2.8285    155.04   0.089380   0.090546   0.091729   0.092928               32.52    28.19 
Wells Fargo & Company    95001BAQ7 12/07/18 12/05/23    100.000     0.000     3.0505     97.31   0.092778   0.094193   0.095629   0.097088               33.73    32.20 
Wells Fargo & Company    94986RXR7 06/24/15 06/24/22    100.000     0.250     2.4237    168.83   0.077561                                                13.42          
Wells Fargo & Company    94986RXQ9 06/30/15 06/30/27    100.000    VARIES     2.5017     23.89   0.009991   0.010116   0.010242   0.010370  0.010500      3.62     3.71 
Wells Fargo & Company    94986RXZ9 07/29/15 07/29/27    100.000    VARIES     2.4666     21.34   0.009135   0.009248   0.009362   0.009478  0.009595      3.34     3.43 
Wells Fargo & Company    95001BBB9 01/03/19 01/03/22    100.000     0.000     3.1102     96.82   0.093325                                                 0.19          
Wells Fargo & Company    94986RH53 03/16/16 03/16/22    100.000     0.000     2.2405    137.75   0.070350                                                 5.28          
Wells Fargo Finance LLC  95001HFH9 02/28/20 02/28/22    100.000     0.000     1.8710     34.90   0.053443                                                 3.05          
Wells Fargo Finance LLC  95001HFJ5 02/28/20 02/28/22    100.000     0.000     1.6007     29.80   0.045540                                                 2.60          
Wells Fargo Finance LLC  95001H5U1 05/30/19 06/03/22    100.000     0.000     2.3606     62.58   0.069547                                                10.57          
Wells Fargo Finance LLC  95001H4M0 05/02/19 05/02/24    100.000     0.000     2.9409     80.90   0.087878   0.089171   0.090482   0.091812  0.093162     32.02    32.97 
Wells Fargo Finance LLC  95001H6S5 08/07/19 02/06/23    100.000     0.000     1.8604     45.45   0.053625   0.054123   0.054627                          19.54     1.91 
Wells Fargo Finance LLC  95001H6T3 08/07/19 02/06/25    100.000     0.000     1.8602     45.45   0.053620   0.054119   0.054622   0.055131  0.055643     19.54    19.90 
Wells Fargo Finance LLC  95001H6P1 07/02/19 07/03/23    100.000     0.000     2.3900     61.13   0.069625   0.070457   0.071299   0.072151               25.51    13.13 
Wells Fargo Finance LLC  95001HC41 10/31/19 11/01/24    100.000     0.250     2.3100     51.00   0.066861   0.067553   0.068253   0.068961  0.069677     24.28    24.78 
Wells Fargo Finance LLC  95001HB26 11/07/19 05/07/24    100.000     0.000     1.5803     34.43   0.045301   0.045659   0.046020   0.046383  0.046750     16.41    16.67 






SECTION I-B
                                                                                                                                                            OID per    
                                                                                                                Daily OID Per $1,000                       $1,000 of   
                                                                                                                  of Maturity Value                        Maturity    
                                                      Issue Price  Annual                                      for Each Accrual Period                     Value for   
                                                      (Percent of  Stated             TOTAL      ---------------------------------------------------     Calendar Year 
                                    Issue   Maturity  Principal   Interest   Yield    OID to     2022 1st   2022 2nd   2022 3rd   2023 2nd  2023 3rd    ---------------
Name of Issuer           CUSIP No.   Date     Date     Amount)      Rate              1/1/22      Period     Period    2023 1st    Period    Period      2022     2023 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Wells Fargo Finance LLC  95001H3A7 02/11/19 09/28/23     96.600     0.000     3.5621    103.81   0.104889   0.106757   0.108658   0.110594               38.45    29.36 
Will CNTY SD #365, IL    969078QM9 03/17/09 11/01/27     23.731     0.000     7.8744    400.09   0.137614   0.143032   0.148663   0.154516  0.160600     51.18    55.29 
Will CNTY SD #365, IL    969078QN7 03/17/09 11/01/28     21.864     0.000     7.8993    370.42   0.127574   0.132613   0.137851   0.143295  0.148955     47.45    51.27 
Will County SD #122, IL  968852WM1 04/02/09 10/01/28     24.364     0.000     7.3751    369.79   0.123394   0.127944   0.132662   0.137554  0.142626     46.07    49.54 
Will County, IL          968852TP8 03/15/07 10/01/26     32.402     0.000     5.8498    436.48   0.121797   0.125359   0.129026   0.132800  0.136684     45.14    47.82 
Will County, IL          968852TN3 03/15/07 10/01/25     34.635     0.000     5.8000    460.75   0.128174   0.131891   0.135716   0.139652  0.143702     47.49    50.28 
Williamson Jackson , IL  970013EN4 11/20/14 12/01/22    100.000    VARIES     2.9965    213.45   0.083240   0.083239                                     27.47          
XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31     76.938     0.000     2.3800     21.50   0.052182   0.052803   0.053432   0.054067  0.054711     18.93    19.39 
XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28     84.602     0.000     2.0800     20.64   0.049986   0.050506   0.051031   0.051562  0.052098     18.12    18.50 
XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29     82.128     0.000     2.1800     21.00   0.050912   0.051467   0.052028   0.052595  0.053168     18.46    18.87 
XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30     79.569     0.000     2.2800     21.29   0.051644   0.052233   0.052828   0.053430  0.054040     18.73    19.16 
YPF SA                   984245AU4 02/12/21 02/12/26     84.050    VARIES    11.5342     51.73   0.167303   0.176952   0.187157   0.181852  0.152748     64.73    61.64 
YPF SA                   984245AV2 02/12/21 06/30/29     62.500    VARIES    15.6363     66.65   0.230870   0.248919   0.268380   0.275247  0.282650     86.40    97.87 
YPF SA                   984245AW0 02/12/21 09/30/33     51.824    VARIES    14.1442     53.55   0.176670   0.189164   0.202542   0.211464  0.215614     68.20    75.71 
YPF SA                   P989MJBR1 02/12/21 02/12/26     84.050    VARIES    11.5342     51.73   0.167303   0.176952   0.187157   0.181852  0.152748     64.73    61.64 
YPF SA                   P989MJBS9 02/12/21 06/30/29     62.500    VARIES    15.6363     66.65   0.230870   0.248919   0.268380   0.275247  0.282650     86.40    97.87 
YPF SA                   P989MJBT7 02/12/21 09/30/33     51.824    VARIES    14.1442     53.55   0.176670   0.189164   0.202542   0.211464  0.215614     68.20    75.71 
YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32     74.040     0.000     2.5069     27.09   0.052944   0.053608   0.054280   0.054960  0.055649     19.36    19.85 
YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33     70.834     0.000     2.6570     27.49   0.053768   0.054482   0.055206   0.055940  0.056683     19.68    20.21 
YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28     85.466     0.000     1.9570     24.35   0.047434   0.047898   0.048367   0.048840  0.049318     17.29    17.63 
YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29     83.069     0.000     2.0570     24.89   0.048510   0.049009   0.049513   0.050022  0.050537     17.69    18.06 
YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30     80.420     0.000     2.1769     25.51   0.049764   0.050306   0.050853   0.051407  0.051966     18.16    18.56 
YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31     76.994     0.000     2.3769     26.70   0.052130   0.052750   0.053377   0.054011  0.054653     19.05    19.50 
YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25     93.296     0.000     1.3750     18.62   0.036157   0.036406   0.036656   0.036908  0.037162     13.13    13.31 
YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26     90.614     0.000     1.6319     21.49   0.041794   0.042135   0.042478   0.042825  0.043174     15.20    15.45 
YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27     88.221     0.000     1.7820     22.87   0.044502   0.044898   0.045298   0.045702  0.046109     16.20    16.49 
YSLETA TEX INDPT SCH DIS 98816PDL3 07/22/20 08/15/22     98.183     0.000     0.8904     12.66   0.024514   0.024624                                      5.51          
YSLETA TEX INDPT SCH DIS 98816PDM1 07/22/20 08/15/23     96.824     0.000     1.0561     14.82   0.028726   0.028877   0.029030   0.029183               10.41     6.53 
YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24     95.004     0.000     1.2651     17.44   0.033836   0.034050   0.034266   0.034482  0.034700     12.28    12.43 






SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2022 1st   2022 2nd   2022 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/22     Period     Period     Period         2022     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912810FD5   04/15/98   04/15/28     100.000       3.625      710.08     0.342308   0.469016   0.141410      132.46 
U.S. Treasury        912810FH6   04/15/99   04/15/29     100.000       3.875      682.48     0.336827   0.461421   0.139103      130.32 
U.S. Treasury        912810FQ6   10/15/01   04/15/32     100.000       3.375      558.25     0.311827   0.427377   0.128846      120.69 
U.S. Treasury        912810FR4   07/15/04   01/15/25     100.000       2.375      467.34     0.232857   0.391160   0.232882      113.65 
U.S. Treasury        912810FS2   01/15/06   01/15/26     100.000       2.000      393.55     0.221429   0.371492   0.221176      107.94 
U.S. Treasury        912810PS1   01/15/07   01/15/27     100.000       2.375      371.53     0.217143   0.365635   0.217706      106.23 
U.S. Treasury        912810PV4   01/15/08   01/15/28     100.000       1.750      320.26     0.209286   0.351934   0.209588      102.26 
U.S. Treasury        912810PZ5   01/15/09   01/15/29     100.000       2.500      288.26     0.204286   0.343425   0.204471       99.78 
U.S. Treasury        912810QF8   02/15/10   02/15/40     100.000       2.125      279.68     0.183556   0.402210   0.129856       99.11 
U.S. Treasury        912810QP6   02/15/11   02/15/41     100.000       2.125      263.02     0.181111   0.396961   0.128201       97.82 
U.S. Treasury        912810QV3   02/15/12   02/15/42     100.000       0.750      224.06     0.175556   0.384751   0.124245       94.81 
U.S. Treasury        912810RA8   02/15/13   02/15/43     100.000       0.625      203.03     0.172444   0.378122   0.122158       93.18 
U.S. Treasury        912810RF7   02/15/14   02/15/44     100.000       1.375      186.78     0.170222   0.372983   0.120504       91.92 
U.S. Treasury        912810RL4   02/15/15   02/15/45     100.000       0.750      174.57     0.168444   0.369171   0.119209       90.97 
U.S. Treasury        912810RR1   02/15/16   02/15/46     100.000       1.000      167.32     0.167333   0.366906   0.118489       90.41 
U.S. Treasury        912810RW0   02/15/17   02/15/47     100.000       0.875      145.81     0.164222   0.360166   0.116259       88.74 
U.S. Treasury        912810SB5   02/15/18   02/15/48     100.000       1.000      121.63     0.160889   0.352486   0.113885       86.87 
U.S. Treasury        912810SG4   02/15/19   02/15/49     100.000       1.000       99.17     0.157556   0.345470   0.111583       85.13 
U.S. Treasury        912810SM1   02/15/20   02/15/50     100.000       0.250       75.82     0.154444   0.338122   0.109209       83.33 
U.S. Treasury        912810SV1   02/15/21   02/15/51     100.000       0.125       62.37     0.152444   0.333867   0.107842       82.28 
U.S. Treasury        9128282L3   07/15/17   07/15/27     100.000       0.375      130.70     0.178571   0.301989   0.179471       87.57 
U.S. Treasury        9128283R9   01/15/18   01/15/28     100.000       0.500      121.31     0.177857   0.298895   0.178000       86.85 
U.S. Treasury        9128284H0   04/15/18   04/15/23     100.000       0.625      113.52     0.222885   0.305410   0.092051       86.25 
U.S. Treasury        9128285W6   01/15/19   01/15/29     100.000       0.875       95.39     0.173571   0.291989   0.173882       84.84 
U.S. Treasury        9128286N5   04/15/19   04/15/24     100.000       0.500       96.67     0.219519   0.300765   0.090641       84.94 
U.S. Treasury        9128287D6   07/15/19   07/15/29     100.000       0.250       81.30     0.171429   0.288232   0.171647       83.75 
U.S. Treasury        912828B25   01/15/14   01/15/24     100.000       0.625      185.40     0.187857   0.315967   0.188176       91.81 
U.S. Treasury        912828H45   01/15/15   01/15/25     100.000       0.250      167.76     0.185000   0.311326   0.185353       90.45 
U.S. Treasury        912828N71   01/15/16   01/15/26     100.000       0.625      164.04     0.184286   0.310331   0.184765       90.16 
U.S. Treasury        912828S50   07/15/16   07/15/26     100.000       0.125      153.89     0.182857   0.307624   0.183118       89.37 
U.S. Treasury        912828SA9   01/15/12   01/15/22     100.000       0.125      150.46    -0.022857   0.188066   0.222706       71.58 
U.S. Treasury        912828TE0   07/15/12   07/15/22     100.000       0.125      202.75     0.190714   0.320663                  60.71 
U.S. Treasury        912828UH1   01/15/13   01/15/23     100.000       0.125      198.28     0.190000   0.319392   0.190235       92.81 
U.S. Treasury        912828V49   01/15/17   01/15/27     100.000       0.375      145.02     0.181429   0.305193   0.181765       88.68 
U.S. Treasury        912828VM9   07/15/13   07/15/23     100.000       0.375      188.52     0.187857   0.316851   0.188647       92.05 
U.S. Treasury        912828WU0   07/15/14   07/15/24     100.000       0.125      164.85     0.185000   0.310497   0.184882       90.22 






SECTION I-C Inflation Indexed Debt Instruments


                                                       Inflation-Adj   Stated
                                  Issue     Maturity    Principal on  Interest  Total OID    2022 1st   2022 2nd   2022 3rd    Calendar Year
Name of Issuer       CUSIP No.     Date      Date       Issue Date      Rate    to 1/1/22     Period     Period     Period         2022     
______________       _________   ________   ________   ____________   ________  _________    ________   ________   ________    _____________
U.S. Treasury        912828X39   04/15/17   04/15/22     100.000       0.125      137.31     0.227692                             23.68 
U.S. Treasury        912828XL9   07/15/15   07/15/25     100.000       0.375      166.34     0.184286   0.310939   0.185118       90.33 
U.S. Treasury        912828Y38   07/15/18   07/15/28     100.000       0.750      101.88     0.174286   0.293757   0.174882       85.34 
U.S. Treasury        912828YL8   10/15/19   10/15/24     100.000       0.125       14.90     0.069808   0.234426   0.166538       63.15 
U.S. Treasury        912828Z37   01/15/20   01/15/30     100.000       0.125       75.04     0.170000   0.286575   0.170647       83.26 
U.S. Treasury        912828ZJ2   04/15/20   04/15/25     100.000       0.125       70.80     0.214327   0.293716   0.088462       82.94 
U.S. Treasury        912828ZZ6   07/15/20   07/15/30     100.000       0.125       78.78     0.170714   0.287569   0.171235       83.55 
U.S. Treasury        91282CAQ4   10/15/20   10/15/25     100.000       0.125       65.98     0.213365   0.292350   0.088077       82.56 
U.S. Treasury        91282CBF7   01/15/21   01/15/31     100.000       0.125       62.51     0.168571   0.283260   0.168647       82.30 
U.S. Treasury        91282CCA7   04/15/21   04/15/26     100.000       0.125       54.68     0.211058   0.289235   0.087179       81.68 
U.S. Treasury        91282CCM1   07/15/21   07/15/31     100.000       0.125       31.97     0.163571   0.275083   0.163824       79.93 
U.S. Treasury        91282CDC2   10/15/21   10/15/26     100.000       0.125       12.19     0.202596   0.277596   0.083718       78.40 
U.S. Treasury        91282CDX6   01/15/22   01/15/32     100.000       0.125        0.00                0.265967   0.158412       75.07 
U.S. Treasury        912810TE8   02/15/22   02/15/52     100.000       0.125        0.00                0.312265   0.100863       70.54 
U.S. Treasury        91282CEJ6   04/15/22   04/15/27     100.000       0.125        0.00                0.268689   0.080897       55.48 
U.S. Treasury        91282CEZ0   07/15/22   07/15/32     100.000       0.625        0.00                           0.151118       25.69 
U.S. Treasury        91282CFR7   10/15/22   10/15/27     100.000       1.625        0.00                           0.077179        6.02 






                                       Section II

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


   FOR BROKERS & MIDDLEMEN ONLY: Original Issue Discount (OID) to be reported for stripped
   interest & principal components per $1000 Maturity Value (for calendar year 2022).

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/22    03/31/22       0.15          07/01/42    09/30/42      13.28 
     04/01/22    06/30/22       0.95          10/01/42    12/31/42      13.21 
     07/01/22    09/30/22       2.16          01/01/43    03/31/43      13.14 
     10/01/22    12/31/22       3.89          04/01/43    06/30/43      13.07 
     01/01/23    03/31/23       4.78          07/01/43    09/30/43      13.01 
     04/01/23    06/30/23       5.77          10/01/43    12/31/43      12.94 
     07/01/23    09/30/23       6.55          01/01/44    03/31/44      12.87 
     10/01/23    12/31/23       7.22          04/01/44    06/30/44      12.81 
     01/01/24    03/31/24       7.89          07/01/44    09/30/44      12.74 
     04/01/24    06/30/24       8.46          10/01/44    12/31/44      12.68 
     07/01/24    09/30/24       9.02          01/01/45    03/31/45      12.61 
     10/01/24    12/31/24       9.48          04/01/45    06/30/45      12.55 
     01/01/25    03/31/25       9.84          07/01/45    09/30/45      12.49 
     04/01/25    06/30/25      10.19          10/01/45    12/31/45      12.42 
     07/01/25    09/30/25      10.64          01/01/46    03/31/46      12.36 
     10/01/25    12/31/25      10.98          04/01/46    06/30/46      12.30 
     01/01/26    03/31/26      11.23          07/01/46    09/30/46      12.19 
     04/01/26    06/30/26      11.47          10/01/46    12/31/46      12.13 
     07/01/26    09/30/26      11.71          01/01/47    03/31/47      12.07 
     10/01/26    12/31/26      11.95          04/01/47    06/30/47      12.01 
     01/01/27    03/31/27      12.18          07/01/47    09/30/47      11.95 
     04/01/27    06/30/27      12.41          10/01/47    12/31/47      11.89 
     07/01/27    09/30/27      12.54          01/01/48    03/31/48      11.83 
     10/01/27    12/31/27      12.68          04/01/48    06/30/48      11.73 
     01/01/28    03/31/28      12.90          07/01/48    09/30/48      11.68 
     04/01/28    06/30/28      12.94          10/01/48    12/31/48      11.62 
     07/01/28    09/30/28      13.06          01/01/49    03/31/49      11.56 
     10/01/28    12/31/28      13.19          04/01/49    06/30/49      11.50 
     01/01/29    03/31/29      13.22          07/01/49    09/30/49      11.41 
     04/01/29    06/30/29      13.25          10/01/49    12/31/49      11.35 
     07/01/29    09/30/29      13.20          01/01/50    03/31/50      11.30 
     10/01/29    12/31/29      13.23          04/01/50    06/30/50      11.24 
     01/01/30    03/31/30      13.27          07/01/50    09/30/50      11.19 
     04/01/30    06/30/30      13.21          10/01/50    12/31/50      11.14 
     07/01/30    09/30/30      13.24          01/01/51    03/31/51      11.05 
     10/01/30    12/31/30      13.19          04/01/51    06/30/51      10.99 






                                       Section II
                                      (continued)

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     01/01/31    03/31/31      13.14          07/01/51    09/30/51      10.94 
     04/01/31    06/30/31      13.17          10/01/51    12/31/51      10.89 
     07/01/31    09/30/31      13.20          01/01/52    03/31/52      10.84 
     10/01/31    12/31/31      13.22          04/01/52    06/30/52      10.78 
     01/01/32    03/31/32      13.25          07/01/52    09/30/52      10.73 
     04/01/32    06/30/32      13.28          10/01/52    12/31/52      10.68 
     07/01/32    09/30/32      13.30          01/01/53    03/31/53      10.63 
     10/01/32    12/31/32      13.40          04/01/53    06/30/53      10.58 
     01/01/33    03/31/33      13.42          07/01/53    09/30/53      10.53 
     04/01/33    06/30/33      13.52          10/01/53    12/31/53      10.47 
     07/01/33    09/30/33      13.53          01/01/54    03/31/54      10.42 
     10/01/33    12/31/33      13.63          04/01/54    06/30/54      10.37 
     01/01/34    03/31/34      13.71          07/01/54    09/30/54      10.32 
     04/01/34    06/30/34      13.73          10/01/54    12/31/54      10.27 
     07/01/34    09/30/34      13.81          01/01/55    03/31/55      10.23 
     10/01/34    12/31/34      13.89          04/01/55    06/30/55      10.18 
     01/01/35    03/31/35      13.90          07/01/55    09/30/55      10.13 
     04/01/35    06/30/35      13.98          10/01/55    12/31/55      10.08 
     07/01/35    09/30/35      13.98          01/01/56    03/31/56      10.03 
     10/01/35    12/31/35      14.05          04/01/56    06/30/56       9.98 
     01/01/36    03/31/36      14.05          07/01/56    09/30/56       9.93 
     04/01/36    06/30/36      14.05          10/01/56    12/31/56       9.89 
     07/01/36    09/30/36      14.05          01/01/57    03/31/57       9.84 
     10/01/36    12/31/36      14.12          04/01/57    06/30/57       9.79 
     01/01/37    03/31/37      14.11          07/01/57    09/30/57       9.75 
     04/01/37    06/30/37      14.11          10/01/57    12/31/57       9.70 
     07/01/37    09/30/37      14.10          01/01/58    03/31/58       9.65 
     10/01/37    12/31/37      14.09          04/01/58    06/30/58       9.61 
     01/01/38    03/31/38      14.09          07/01/58    09/30/58       9.56 
     04/01/38    06/30/38      14.07          10/01/58    12/31/58       9.51 
     07/01/38    09/30/38      14.07          01/01/59    03/31/59       9.47 
     10/01/38    12/31/38      13.99          04/01/59    06/30/59       9.42 
     01/01/39    03/31/39      13.98          07/01/59    09/30/59       9.38 
     04/01/39    06/30/39      13.97          10/01/59    12/31/59       9.33 
     07/01/39    09/30/39      13.90          01/01/60    03/31/60       9.29 
     10/01/39    12/31/39      13.88          04/01/60    06/30/60       9.24 
     01/01/40    03/31/40      13.81          07/01/60    09/30/60       9.20 
     04/01/40    06/30/40      13.80          10/01/60    12/31/60       9.16 
     07/01/40    09/30/40      13.73          01/01/61    03/31/61       9.11 
     10/01/40    12/31/40      13.71          04/01/61    06/30/61       9.07 
     01/01/41    03/31/41      13.64          07/01/61    09/30/61       9.03 
     04/01/41    06/30/41      13.57          10/01/61    12/31/61       8.98 






                                       Section II
                                      (continued)

          Strips                                   Strips
          Maturing             OID                 Maturing             OID
      From       Through    per $1000          From       Through    per $1000
     --------    --------   ---------         --------    --------   ---------
     07/01/41    09/30/41      13.55          01/01/62    03/31/62       8.94 
     10/01/41    12/31/41      13.48          04/01/62    06/30/62       8.90 
     01/01/42    03/31/42      13.41          07/01/62    09/30/62       8.85 
     04/01/42    06/30/42      13.34          10/01/62    12/31/62       8.81 






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

                      Short Term U.S. Treasury Bills
                    Issued at a Discount and Maturing
                      January 2022 - December 2023

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796Q51  01/04/22  09/07/21      99.985                 0.15 
912796K65  01/06/22  07/08/21      99.975                 0.25 
912796Q69  01/11/22  09/14/21      99.985                 0.15 
912796K73  01/13/22  07/15/21      99.975                 0.25 
912796Q77  01/18/22  09/21/21      99.985                 0.15 
912796K81  01/20/22  07/22/21      99.975                 0.25 
912796Q85  01/25/22  09/28/21      99.988                 0.12 
912796C31  01/27/22  01/28/21      99.909                 0.91 
912796Q93  02/01/22  10/05/21      99.983                 0.17 
912796K99  02/03/22  08/05/21      99.972                 0.28 
912796R76  02/08/22  10/12/21      99.982                 0.18 
912796L72  02/10/22  08/12/21      99.975                 0.25 
912796R84  02/15/22  10/19/21      99.983                 0.17 
912796L80  02/17/22  08/19/21      99.975                 0.25 
912796R92  02/22/22  10/26/21      99.982                 0.18 
912796D30  02/24/22  02/25/21      99.929                 0.71 
912796S26  03/01/22  11/02/21      99.982                 0.18 
912796L98  03/03/22  09/02/21      99.972                 0.28 
912796S75  03/08/22  11/09/21      99.982                 0.18 
912796M97  03/10/22  09/09/21      99.975                 0.25 
912796S83  03/15/22  11/16/21      99.982                 0.18 
912796N21  03/17/22  09/16/21      99.975                 0.25 
912796S91  03/22/22  11/23/21      99.982                 0.18 
912796F38  03/24/22  03/25/21      99.929                 0.71 
912796T25  03/29/22  11/30/21      99.977                 0.23 
912796N39  03/31/22  09/30/21      99.975                 0.25 
912796T74  04/05/22  12/07/21      99.975                 0.25 
912796N47  04/07/22  10/07/21      99.972                 0.28 
912796T82  04/12/22  12/14/21      99.970                 0.30 
912796P29  04/14/22  10/14/21      99.972                 0.28 
912796T90  04/19/22  12/21/21      99.970                 0.30 
912796G45  04/21/22  04/22/21      99.934                 0.66 
912796U23  04/26/22  12/28/21      99.964                 0.36 
912796P37  04/28/22  10/28/21      99.970                 0.30 
912796U72  05/03/22  01/04/22      99.959                 0.41 
912796P45  05/05/22  11/04/21      99.967                 0.33 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796U80  05/10/22  01/11/22      99.950                 0.50 
912796Q28  05/12/22  11/12/21      99.967                 0.33 
912796U98  05/17/22  01/18/22      99.934                 0.66 
912796H44  05/19/22  05/20/21      99.944                 0.56 
912796V22  05/24/22  01/25/22      99.909                 0.91 
912796Q36  05/26/22  11/26/21      99.965                 0.35 
912796V30  05/31/22  02/01/22      99.907                 0.93 
912796Q44  06/02/22  12/02/21      99.954                 0.46 
912796V89  06/07/22  02/08/22      99.888                 1.12 
912796R35  06/09/22  12/09/21      99.947                 0.53 
912796V97  06/14/22  02/15/22      99.858                 1.42 
912796J42  06/16/22  06/17/21      99.929                 0.71 
912796W21  06/21/22  02/22/22      99.818                 1.82 
912796R43  06/23/22  12/23/21      99.919                 0.81 
912796W39  06/28/22  03/01/22      99.812                 1.88 
912796R50  06/30/22  12/30/21      99.894                 1.06 
912796W88  07/05/22  03/08/22      99.823                 1.77 
912796R68  07/07/22  01/06/22      99.889                 1.11 
912796W96  07/12/22  03/15/22      99.818                 1.82 
912796K57  07/14/22  07/15/21      99.924                 0.76 
912796X20  07/19/22  03/22/22      99.780                 2.20 
912796S42  07/21/22  01/20/22      99.815                 1.85 
912796X38  07/26/22  03/29/22      99.765                 2.35 
912796S59  07/28/22  01/27/22      99.808                 1.92 
912796X46  08/02/22  04/05/22      99.734                 2.66 
912796S67  08/04/22  02/03/22      99.747                 2.53 
912796XL8  08/09/22  04/12/22      99.699                 3.01 
912796L64  08/11/22  08/12/21      99.919                 0.81 
912796XM6  08/16/22  04/19/22      99.681                 3.19 
912796T41  08/18/22  02/17/22      99.611                 3.89 
912796XN4  08/23/22  04/26/22      99.646                 3.54 
912796T58  08/25/22  02/24/22      99.641                 3.59 
912796XP9  08/30/22  05/03/22      99.633                 3.67 
912796T66  09/01/22  03/03/22      99.661                 3.39 
912796XU8  09/06/22  05/10/22      99.595                 4.05 
912796M71  09/08/22  09/09/21      99.924                 0.76 
912796XV6  09/13/22  05/17/22      99.617                 3.83 
912796U49  09/15/22  03/17/22      99.585                 4.15 
912796XW4  09/20/22  05/24/22      99.587                 4.13 
912796U56  09/22/22  03/24/22      99.560                 4.40 
912796XX2  09/27/22  05/31/22      99.577                 4.23 
912796U64  09/29/22  03/31/22      99.469                 5.31 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796YC7  10/04/22  06/07/22      99.541                 4.59 
912796M89  10/06/22  10/07/21      99.909                 0.91 
912796YD5  10/11/22  06/14/22      99.501                 4.99 
912796V55  10/13/22  04/14/22      99.383                 6.17 
912796YE3  10/18/22  06/21/22      99.309                 6.91 
912796V63  10/20/22  04/21/22      99.368                 6.32 
912796YF0  10/25/22  06/28/22      99.319                 6.81 
912796V71  10/27/22  04/28/22      99.307                 6.93 
912796YG8  11/01/22  07/05/22      99.278                 7.22 
912796N96  11/03/22  11/04/21      99.838                 1.62 
912796YP8  11/08/22  07/12/22      99.263                 7.37 
912796W54  11/10/22  05/12/22      99.300                 7.00 
912796YQ6  11/15/22  07/19/22      99.141                 8.59 
912796W62  11/17/22  05/19/22      99.247                 7.53 
912796YR4  11/22/22  07/26/22      99.101                 8.99 
912796W70  11/25/22  05/26/22      99.222                 7.78 
912796YS2  11/29/22  08/02/22      99.111                 8.89 
912796P94  12/01/22  12/02/21      99.757                 2.43 
912796YX1  12/06/22  08/09/22      99.098                 9.02 
912796X61  12/08/22  06/09/22      99.135                 8.65 
912796YY9  12/13/22  08/16/22      99.081                 9.19 
912796X79  12/15/22  06/16/22      98.908                10.92 
912796YZ6  12/20/22  08/23/22      99.045                 9.55 
912796X87  12/22/22  06/23/22      98.792                12.08 
912796ZA0  12/27/22  08/30/22      99.018                 9.82 
912796R27  12/29/22  12/30/21      99.606                 3.94 
912796ZH5  01/03/23  09/06/22      98.975                10.25 
912796X95  01/05/23  07/07/22      98.736                12.64 
912796ZJ1  01/10/23  09/13/22      98.944                10.56 
912796XR5  01/12/23  07/14/22      98.643                13.57 
912796ZK8  01/17/23  09/20/22      98.827                11.73 
912796XS3  01/19/23  07/21/22      98.529                14.71 
912796ZL6  01/24/23  09/27/22      98.813                11.87 
912796S34  01/26/23  01/27/22      99.363                 6.37 
912796ZM4  01/31/23  10/04/22      98.813                11.87 
912796XT1  02/02/23  08/04/22      98.559                14.41 
912796ZT9  02/07/23  10/11/22      98.777                12.23 
912796XZ7  02/09/23  08/11/22      98.463                15.37 
912796ZU6  02/14/23  10/18/22      98.714                12.86 
912796YA1  02/16/23  08/18/22      98.473                15.27 
912796Y60  02/21/23  10/25/22      98.632                13.68 
912796T33  02/23/23  02/24/22      98.842                11.58 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796Y78  02/28/23  11/01/22      98.618                13.82 
912796YB9  03/02/23  09/01/22      98.365                16.35 
912796Y86  03/07/23  11/08/22      98.585                14.15 
912796YK9  03/09/23  09/08/22      98.322                16.78 
912796Z69  03/14/23  11/15/22      98.579                14.21 
912796YL7  03/16/23  09/15/22      98.248                17.52 
912796Z77  03/21/23  11/22/22      98.572                14.28 
912796U31  03/23/23  03/24/22      98.392                16.08 
912796Z85  03/28/23  11/29/22      98.546                14.54 
912796YM5  03/30/23  09/29/22      98.054                19.46 
912796Z93  04/04/23  12/06/22      98.536                14.64 
912796YN3  04/06/23  10/06/22      98.054                19.46 
912796CT4  04/11/23  12/13/22      98.546                14.54 
912796YU7  04/13/23  10/13/22      97.963                20.37 
912796CU1  04/18/23  12/20/22      98.532                14.68 
912796V48  04/20/23  04/21/22      98.109                18.91 
912796CV9  04/25/23  12/27/22      98.537                14.63 
912796YV5  04/27/23  10/27/22      97.781                22.19 
912796CW7  05/02/23  01/03/23      98.496                15.04 
912796YW3  05/04/23  11/03/22      97.755                22.45 
912797FD4  05/09/23  01/10/23      98.489                15.11 
912796ZE2  05/11/23  11/10/22      97.730                22.70 
912797FE2  05/16/23  01/17/23      98.453                15.47 
912796W47  05/18/23  05/19/22      97.877                21.23 
912797FF9  05/23/23  01/24/23      98.476                15.24 
912796ZF9  05/25/23  11/25/22      97.727                22.73 
912797FG7  05/30/23  01/31/23      98.473                15.27 
912796ZG7  06/01/23  12/01/22      97.700                23.00 
912797FM4  06/06/23  02/07/23      98.471                15.29 
912796ZP7  06/08/23  12/08/22      97.690                23.10 
912797FN2  06/13/23  02/14/23      98.446                15.54 
912796X53  06/15/23  06/16/22      96.946                30.54 
912797FP7  06/20/23  02/21/23      98.413                15.87 
912796ZQ5  06/22/23  12/22/22      97.700                23.00 
912796ZR3  06/29/23  12/29/22      97.674                23.26 
912796ZS1  07/06/23  01/05/23      97.657                23.43 
912796XQ7  07/13/23  07/14/22      97.007                29.93 
912796ZZ5  07/20/23  01/19/23      97.631                23.69 
912796Y29  07/27/23  01/26/23      97.631                23.69 
912796Y37  08/03/23  02/02/23      97.634                23.66 
912796XY0  08/10/23  08/11/22      96.764                32.36 
912796Z36  08/17/23  02/16/23      97.553                24.47 






                               Section III-A
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
912796Z44  08/24/23  02/23/23      97.515                24.85 
912796YH6  09/07/23  09/08/22      96.502                34.98 
912796YJ2  10/05/23  10/06/22      96.001                39.99 
912796YT0  11/02/23  11/03/22      95.445                45.55 
912796ZD4  11/30/23  12/01/22      95.394                46.06 
912796ZN2  12/28/23  12/29/22      95.435                45.65 
                               Section III-B

                            FEDERAL HOME LOAN BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2022

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385RH1  01/03/22  01/05/21      99.950                 0.50 
313385RJ7  01/04/22  02/02/21      99.944                 0.56 
313385RK4  01/05/22  03/03/21      99.966                 0.34 
313385RL2  01/06/22  03/03/21      99.966                 0.34 
313385RM0  01/07/22  02/16/21      99.982                 0.18 
313385RQ1  01/10/22  03/04/21      99.965                 0.35 
313385RR9  01/11/22  07/01/21      99.984                 0.16 
313385RS7  01/12/22  07/01/21      99.984                 0.16 
313385RT5  01/13/22  07/01/21      99.984                 0.16 
313385RU2  01/14/22  01/28/21      99.961                 0.39 
313385RY4  01/18/22  06/25/21      99.983                 0.17 
313385RZ1  01/19/22  06/25/21      99.983                 0.17 
313385SA5  01/20/22  06/25/21      99.983                 0.17 
313385SB3  01/21/22  06/25/21      99.983                 0.17 
313385SE7  01/24/22  07/20/21      99.979                 0.21 
313385SF4  01/25/22  07/20/21      99.979                 0.21 
313385SG2  01/26/22  03/01/21      99.982                 0.18 
313385SH0  01/27/22  03/01/21      99.982                 0.18 
313385SJ6  01/28/22  03/15/21      99.956                 0.44 
313385SM9  01/31/22  02/26/21      99.981                 0.19 
313385SN7  02/01/22  03/01/21      99.981                 0.19 
313385SP2  02/02/22  08/04/21      99.975                 0.25 
313385SQ0  02/03/22  02/08/21      99.940                 0.60 
313385SR8  02/04/22  02/08/21      99.940                 0.60 
313385SU1  02/07/22  02/11/21      99.940                 0.60 
313385SV9  02/08/22  02/17/21      99.941                 0.59 
313385SW7  02/09/22  10/21/21      99.991                 0.09 
313385SX5  02/10/22  02/17/21      99.940                 0.60 
313385SY3  02/11/22  02/17/21      99.940                 0.60 
313385TB2  02/14/22  08/02/21      99.978                 0.22 
313385TC0  02/15/22  07/23/21      99.977                 0.23 
313385TD8  02/16/22  04/16/21      99.958                 0.43 
313385TE6  02/17/22  08/02/21      99.978                 0.22 
313385TF3  02/18/22  09/01/21      99.979                 0.21 
313385TK2  02/22/22  09/20/21      99.985                 0.15 
313385TL0  02/23/22  06/10/21      99.982                 0.18 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385TM8  02/24/22  06/15/21      99.982                 0.18 
313385TN6  02/25/22  07/01/21      99.977                 0.23 
313385TR7  02/28/22  03/30/21      99.991                 0.09 
313385TS5  03/01/22  09/01/21      99.990                 0.10 
313385TT3  03/02/22  09/01/21      99.977                 0.23 
313385TU0  03/03/22  06/25/21      99.979                 0.21 
313385TV8  03/04/22  08/31/21      99.985                 0.15 
313385TY2  03/07/22  10/05/21      99.983                 0.17 
313385TZ9  03/08/22  10/06/21      99.983                 0.17 
313385UA2  03/09/22  09/08/21      99.977                 0.23 
313385UB0  03/10/22  10/06/21      99.983                 0.17 
313385UC8  03/11/22  09/10/21      99.977                 0.23 
313385UF1  03/14/22  08/31/21      99.982                 0.18 
313385UG9  03/15/22  09/15/21      99.982                 0.18 
313385UH7  03/16/22  09/15/21      99.977                 0.23 
313385UJ3  03/17/22  03/17/21      99.929                 0.71 
313385UK0  03/18/22  03/18/21      99.929                 0.71 
313385UN4  03/21/22  09/30/21      99.981                 0.19 
313385UP9  03/22/22  09/20/21      99.975                 0.25 
313385UQ7  03/23/22  09/22/21      99.980                 0.20 
313385UR5  03/24/22  11/10/21      99.983                 0.17 
313385US3  03/25/22  09/24/21      99.979                 0.21 
313385UV6  03/28/22  09/20/21      99.979                 0.21 
313385UW4  03/29/22  09/20/21      99.979                 0.21 
313385UX2  03/30/22  09/03/21      99.986                 0.14 
313385UY0  03/31/22  08/30/21      99.979                 0.21 
313385UZ7  04/01/22  09/14/21      99.986                 0.14 
313385VC7  04/04/22  11/17/21      99.987                 0.13 
313385VD5  04/05/22  01/07/22      99.988                 0.12 
313385VE3  04/06/22  10/06/21      99.973                 0.27 
313385VF0  04/07/22  01/13/22      99.979                 0.21 
313385VG8  04/08/22  08/31/21      99.988                 0.12 
313385VK9  04/11/22  10/27/21      99.979                 0.21 
313385VL7  04/12/22  09/20/21      99.975                 0.25 
313385VM5  04/13/22  10/15/21      99.985                 0.15 
313385VN3  04/14/22  04/16/21      99.942                 0.58 
313385VS2  04/18/22  04/20/21      99.955                 0.45 
313385VT0  04/19/22  10/27/21      99.978                 0.22 
313385VU7  04/20/22  10/20/21      99.973                 0.27 
313385VV5  04/21/22  10/26/21      99.980                 0.20 
313385VW3  04/22/22  10/22/21      99.972                 0.28 
313385VZ6  04/25/22  06/23/21      99.962                 0.38 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385WA0  04/26/22  10/18/21      99.984                 0.16 
313385WB8  04/27/22  09/30/21      99.974                 0.26 
313385WC6  04/28/22  09/03/21      99.984                 0.16 
313385WD4  04/29/22  06/22/21      99.961                 0.39 
313385WG7  05/02/22  05/05/21      99.955                 0.45 
313385WH5  05/03/22  05/04/21      99.955                 0.45 
313385WJ1  05/04/22  05/04/21      99.954                 0.46 
313385WK8  05/05/22  05/05/21      99.954                 0.46 
313385WL6  05/06/22  05/06/21      99.944                 0.56 
313385WP7  05/09/22  11/02/21      99.977                 0.23 
313385WQ5  05/10/22  05/10/21      99.949                 0.51 
313385WR3  05/11/22  11/17/21      99.983                 0.17 
313385WS1  05/12/22  05/12/21      99.954                 0.46 
313385WT9  05/13/22  10/29/21      99.984                 0.16 
313385WW2  05/16/22  05/17/21      99.944                 0.56 
313385WX0  05/17/22  05/17/21      99.948                 0.52 
313385WY8  05/18/22  05/20/21      99.955                 0.45 
313385WZ5  05/19/22  10/20/21      99.982                 0.18 
313385XA9  05/20/22  05/20/21      99.954                 0.46 
313385XD3  05/23/22  10/20/21      99.982                 0.18 
313385XE1  05/24/22  12/10/21      99.975                 0.25 
313385XF8  05/25/22  11/24/21      99.965                 0.35 
313385XG6  05/26/22  09/22/21      99.973                 0.27 
313385XH4  05/27/22  05/28/21      99.955                 0.45 
313385XM3  05/31/22  07/22/21      99.957                 0.43 
313385XN1  06/01/22  06/01/21      99.949                 0.51 
313385XP6  06/02/22  02/02/22      99.918                 0.82 
313385XQ4  06/03/22  11/09/21      99.980                 0.20 
313385XT8  06/06/22  02/01/22      99.917                 0.83 
313385XU5  06/07/22  12/03/21      99.951                 0.49 
313385XV3  06/08/22  12/08/21      99.935                 0.65 
313385XW1  06/09/22  06/25/21      99.971                 0.29 
313385XX9  06/10/22  06/14/21      99.950                 0.50 
313385YA8  06/13/22  06/14/21      99.949                 0.51 
313385YB6  06/14/22  06/15/21      99.949                 0.51 
313385YC4  06/15/22  06/15/21      99.949                 0.51 
313385YD2  06/16/22  06/16/21      99.949                 0.51 
313385YE0  06/17/22  06/18/21      99.944                 0.56 
313385YJ9  06/21/22  06/24/21      99.935                 0.65 
313385YK6  06/22/22  06/23/21      99.934                 0.66 
313385YL4  06/23/22  06/25/21      99.934                 0.66 
313385YM2  06/24/22  12/21/21      99.969                 0.31 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385YQ3  06/27/22  01/13/22      99.904                 0.96 
313385YR1  06/28/22  03/02/22      99.895                 1.05 
313385YS9  06/29/22  01/25/22      99.895                 1.05 
313385YT7  06/30/22  11/04/21      99.964                 0.36 
313385YU4  07/01/22  07/01/21      99.934                 0.66 
313385YY6  07/05/22  12/08/21      99.954                 0.46 
313385YZ3  07/06/22  07/06/21      99.934                 0.66 
313385ZA7  07/07/22  10/27/21      99.979                 0.21 
313385ZB5  07/08/22  11/08/21      99.963                 0.37 
313385ZE9  07/11/22  12/13/21      99.953                 0.47 
313385ZF6  07/12/22  12/13/21      99.953                 0.47 
313385ZG4  07/13/22  12/13/21      99.953                 0.47 
313385ZH2  07/14/22  07/15/21      99.970                 0.30 
313385ZJ8  07/15/22  07/16/21      99.924                 0.76 
313385ZM1  07/18/22  12/23/21      99.960                 0.40 
313385ZN9  07/19/22  07/19/21      99.924                 0.76 
313385ZP4  07/20/22  12/08/21      99.950                 0.50 
313385ZQ2  07/21/22  12/03/21      99.968                 0.32 
313385ZR0  07/22/22  12/03/21      99.968                 0.32 
313385ZU3  07/25/22  01/14/22      99.861                 1.39 
313385ZV1  07/26/22  01/26/22      99.849                 1.51 
313385ZW9  07/27/22  12/07/21      99.955                 0.45 
313385ZX7  07/28/22  12/01/21      99.980                 0.20 
313385ZY5  07/29/22  12/09/21      99.929                 0.71 
313385A30  08/01/22  08/04/21      99.935                 0.65 
313385A48  08/02/22  08/03/21      99.934                 0.66 
313385A55  08/03/22  08/04/21      99.934                 0.66 
313385A63  08/04/22  08/04/21      99.934                 0.66 
313385A71  08/05/22  08/05/21      99.934                 0.66 
313385B21  08/08/22  12/23/21      99.956                 0.44 
313385B39  08/09/22  12/23/21      99.955                 0.45 
313385B47  08/10/22  04/20/22      99.720                 2.80 
313385B54  08/11/22  04/08/22      99.733                 2.67 
313385B62  08/12/22  12/29/21      99.956                 0.44 
313385B96  08/15/22  12/30/21      99.956                 0.44 
313385C20  08/16/22  12/30/21      99.955                 0.45 
313385C38  08/17/22  12/30/21      99.955                 0.45 
313385C46  08/18/22  01/28/22      99.798                 2.02 
313385C53  08/19/22  12/30/21      99.955                 0.45 
313385C87  08/22/22  08/27/21      99.935                 0.65 
313385C95  08/23/22  01/03/22      99.955                 0.45 
313385D29  08/24/22  01/03/22      99.955                 0.45 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385D37  08/25/22  08/27/21      99.934                 0.66 
313385D45  08/26/22  12/28/21      99.953                 0.47 
313385D78  08/29/22  12/01/21      99.898                 1.02 
313385D86  08/30/22  12/01/21      99.977                 0.23 
313385D94  08/31/22  12/07/21      99.963                 0.37 
313385E28  09/01/22  09/07/21      99.935                 0.65 
313385E36  09/02/22  09/07/21      99.935                 0.65 
313385E77  09/06/22  11/16/21      99.951                 0.49 
313385E85  09/07/22  11/16/21      99.951                 0.49 
313385E93  09/08/22  11/16/21      99.951                 0.49 
313385F27  09/09/22  11/17/21      99.951                 0.49 
313385F50  09/12/22  09/15/21      99.975                 0.25 
313385F68  09/13/22  04/05/22      99.580                 4.20 
313385F76  09/14/22  11/17/21      99.950                 0.50 
313385F84  09/15/22  01/27/22      99.766                 2.34 
313385F92  09/16/22  09/17/21      99.934                 0.66 
313385G42  09/19/22  11/30/21      99.947                 0.53 
313385G59  09/20/22  11/19/21      99.932                 0.68 
313385G67  09/21/22  01/07/22      99.929                 0.71 
313385G75  09/22/22  03/23/22      99.535                 4.65 
313385G83  09/23/22  11/19/21      99.932                 0.68 
313385H33  09/26/22  11/19/21      99.931                 0.69 
313385H41  09/27/22  09/28/21      99.934                 0.66 
313385H58  09/28/22  11/19/21      99.930                 0.70 
313385H66  09/29/22  02/16/22      99.563                 4.38 
313385H74  09/30/22  10/08/21      99.931                 0.69 
313385J23  10/03/22  11/15/21      99.946                 0.54 
313385J31  10/04/22  11/30/21      99.944                 0.56 
313385J49  10/05/22  12/02/21      99.915                 0.85 
313385J56  10/06/22  11/18/21      99.946                 0.54 
313385J64  10/07/22  12/02/21      99.914                 0.86 
313385K21  10/11/22  12/03/21      99.913                 0.87 
313385K39  10/12/22  12/03/21      99.913                 0.87 
313385K47  10/13/22  12/03/21      99.913                 0.87 
313385K54  10/14/22  11/29/21      99.938                 0.62 
313385K88  10/17/22  11/24/21      99.941                 0.59 
313385K96  10/18/22  10/19/21      99.909                 0.91 
313385L20  10/19/22  11/24/21      99.941                 0.59 
313385L38  10/20/22  11/24/21      99.940                 0.60 
313385L46  10/21/22  01/07/22      99.920                 0.80 
313385L79  10/24/22  12/13/21      99.878                 1.23 
313385L87  10/25/22  12/13/21      99.877                 1.23 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385L95  10/26/22  04/25/22      99.284                 7.16 
313385M29  10/27/22  12/13/21      99.876                 1.24 
313385M37  10/28/22  12/14/21      99.903                 0.97 
313385M60  10/31/22  12/01/21      99.884                 1.16 
313385M78  11/01/22  11/23/21      99.871                 1.29 
313385M86  11/02/22  12/13/21      99.874                 1.26 
313385M94  11/03/22  01/10/22      99.835                 1.65 
313385N28  11/04/22  11/22/21      99.875                 1.25 
313385N51  11/07/22  01/10/22      99.833                 1.67 
313385N69  11/08/22  01/07/22      99.716                 2.84 
313385N77  11/09/22  01/10/22      99.832                 1.68 
313385N85  11/10/22  11/22/21      99.863                 1.37 
313385P42  11/14/22  12/08/21      99.839                 1.61 
313385P59  11/15/22  12/14/21      99.869                 1.31 
313385P67  11/16/22  12/14/21      99.869                 1.31 
313385P75  11/17/22  12/14/21      99.869                 1.31 
313385P83  11/18/22  11/19/21      99.858                 1.42 
313385Q33  11/21/22  11/24/21      99.819                 1.81 
313385Q41  11/22/22  11/24/21      99.819                 1.81 
313385Q58  11/23/22  11/30/21      99.821                 1.79 
313385Q74  11/25/22  04/14/22      99.216                 7.84 
313385R24  11/28/22  11/29/21      99.818                 1.82 
313385R32  11/29/22  11/30/21      99.869                 1.31 
313385R40  11/30/22  12/09/21      99.832                 1.68 
313385R57  12/01/22  12/23/21      99.738                 2.62 
313385R65  12/02/22  02/03/22      99.497                 5.03 
313385R99  12/05/22  05/06/22      99.083                 9.17 
313385S23  12/06/22  01/07/22      99.871                 1.30 
313385S31  12/07/22  05/24/22      99.157                 8.43 
313385S49  12/08/22  05/05/22      99.024                 9.76 
313385S56  12/09/22  12/09/21      99.807                 1.93 
313385S80  12/12/22  12/22/21      99.714                 2.86 
313385S98  12/13/22  04/14/22      99.102                 8.98 
313385T22  12/14/22  12/22/21      99.712                 2.88 
313385T30  12/15/22  12/17/21      99.758                 2.42 
313385T48  12/16/22  12/20/21      99.739                 2.61 
313385T71  12/19/22  12/23/21      99.709                 2.91 
313385T89  12/20/22  12/22/21      99.698                 3.02 
313385T97  12/21/22  01/03/22      99.863                 1.37 
313385U20  12/22/22  12/23/21      99.707                 2.93 
313385U38  12/23/22  12/31/21      99.703                 2.97 
313385U79  12/27/22  04/07/22      99.017                 9.83 






                               Section III-B
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313385U87  12/28/22  04/08/22      99.083                 9.17 
313385U95  12/29/22  04/14/22      99.014                 9.86 
313385V29  12/30/22  03/10/22      99.263                 7.37 






                               Section III-C

                    FEDERAL NATIONAL MORTGAGE ASSOCIATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2022

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313589RK1  01/05/22  10/06/21      99.992                 0.08 
313589RS4  01/12/22  10/13/21      99.991                 0.09 
313589RU9  01/14/22  01/13/22     100.000                 0.00 
313589RZ8  01/19/22  10/20/21      99.990                 0.10 
313589SG9  01/26/22  10/27/21      99.990                 0.10 
313589SJ3  01/28/22  01/27/22     100.000                 0.00 
313589SM6  01/31/22  01/27/22     100.000                 0.00 
313589SP9  02/02/22  11/03/21      99.991                 0.09 
313589SW4  02/09/22  11/10/21      99.991                 0.09 
313589TD5  02/16/22  11/17/21      99.991                 0.09 
313589TF0  02/18/22  02/17/22     100.000                 0.00 
313589TR4  02/28/22  02/25/22     100.000                 0.00 
313589TT0  03/02/22  12/01/21      99.989                 0.11 
313589TV5  03/04/22  03/03/22     100.000                 0.00 
313589UA9  03/09/22  12/08/21      99.987                 0.13 
313589UC5  03/11/22  03/10/22     100.000                 0.00 
313589UH4  03/16/22  12/15/21      99.988                 0.12 
313589UK7  03/18/22  03/17/22      99.999                 0.01 
313589UQ4  03/23/22  02/23/22      99.998                 0.02 
313589UX9  03/30/22  03/02/22      99.993                 0.07 
313589VE0  04/06/22  01/05/22      99.983                 0.17 
313589VM2  04/13/22  01/12/22      99.972                 0.28 
313589VU4  04/20/22  01/19/22      99.957                 0.43 
313589WD1  04/29/22  04/28/22      99.999                 0.01 
313589WG4  05/02/22  11/01/21      99.990                 0.10 
313589WJ8  05/04/22  02/02/22      99.949                 0.51 
313589WR0  05/11/22  02/09/22      99.933                 0.67 
313589WW9  05/16/22  11/15/21      99.977                 0.23 
313589WY5  05/18/22  03/23/22      99.961                 0.39 
313589XF5  05/25/22  03/30/22      99.954                 0.46 
313589XN8  06/01/22  04/06/22      99.938                 0.62 
313589XV0  06/08/22  04/13/22      99.922                 0.78 
313589YC1  06/15/22  04/20/22      99.916                 0.84 
313589YK3  06/22/22  04/27/22      99.903                 0.97 
313589YU1  07/01/22  01/03/22      99.926                 0.74 
313589ZJ5  07/15/22  07/14/22      99.996                 0.04 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313589ZP1  07/20/22  05/25/22      99.855                 1.45 
313589ZY2  07/29/22  07/28/22      99.995                 0.05 
313589B44  08/10/22  05/11/22      99.748                 2.52 
313589C35  08/17/22  05/18/22      99.727                 2.73 
313589D91  08/31/22  06/01/22      99.702                 2.98 
313589E82  09/07/22  06/08/22      99.671                 3.29 
313589E90  09/08/22  07/29/22      99.756                 2.44 
313589F73  09/14/22  07/20/22      99.661                 3.39 
313589G64  09/21/22  06/22/22      99.532                 4.68 
313589H55  09/28/22  06/29/22      99.532                 4.68 
313589H71  09/30/22  09/29/22      99.993                 0.07 
313589J20  10/03/22  04/01/22      99.327                 6.73 
313589J46  10/05/22  09/07/22      99.806                 1.94 
313589J61  10/07/22  09/22/22      99.885                 1.15 
313589K36  10/12/22  08/17/22      99.629                 3.71 
313589K51  10/14/22  10/13/22      99.992                 0.08 
313589L27  10/19/22  08/24/22      99.610                 3.90 
313589M75  11/01/22  05/02/22      99.126                 8.74 
313589N74  11/09/22  09/14/22      99.549                 4.51 
313589P49  11/14/22  11/08/22      99.944                 0.56 
313589P56  11/15/22  05/16/22      99.066                 9.34 
313589P64  11/16/22  11/08/22      99.926                 0.74 
313589P72  11/17/22  11/08/22      99.916                 0.84 
313589Q30  11/21/22  11/15/22      99.944                 0.56 
313589Q55  11/23/22  09/28/22      99.510                 4.90 
313589R21  11/28/22  11/08/22      99.811                 1.89 
313589R47  11/30/22  10/05/22      99.496                 5.04 
313589R54  12/01/22  11/08/22      99.780                 2.20 
313589R62  12/02/22  11/09/22      99.780                 2.20 
313589R96  12/05/22  11/22/22      99.874                 1.26 
313589S20  12/06/22  11/28/22      99.922                 0.78 
313589S38  12/07/22  10/12/22      99.487                 5.13 
313589S46  12/08/22  11/09/22      99.722                 2.78 
313589S53  12/09/22  11/08/22      99.703                 2.97 
313589S87  12/12/22  11/10/22      99.693                 3.07 
313589S95  12/13/22  11/10/22      99.684                 3.16 
313589T29  12/14/22  11/30/22      99.864                 1.36 
313589T37  12/15/22  11/15/22      99.717                 2.83 
313589T45  12/16/22  11/14/22      99.689                 3.11 
313589T78  12/19/22  11/17/22      99.680                 3.20 
313589T86  12/20/22  11/15/22      99.660                 3.40 
313589T94  12/21/22  12/07/22      99.858                 1.42 






                               Section III-C
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313589U27  12/22/22  11/18/22      99.660                 3.40 
313589U84  12/28/22  11/08/22      99.507                 4.93 
313589U92  12/29/22  11/23/22      99.625                 3.75 
313589V26  12/30/22  11/17/22      99.552                 4.48 






                               Section III-D

                          FEDERAL FARM CREDIT BANKS
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2022

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313RH3  01/03/22  01/19/21      99.940                 0.60 
313313RJ9  01/04/22  01/03/22      99.990                 0.10 
313313RK6  01/05/22  03/30/21      99.940                 0.60 
313313RL4  01/06/22  01/15/21      99.900                 1.00 
313313RM2  01/07/22  02/11/21      99.920                 0.80 
313313RQ3  01/10/22  08/30/21      99.950                 0.50 
313313RR1  01/11/22  01/10/22      99.970                 0.30 
313313RS9  01/12/22  12/08/21      99.970                 0.30 
313313RT7  01/13/22  10/29/21      99.960                 0.40 
313313RU4  01/14/22  07/19/21      99.950                 0.50 
313313RY6  01/18/22  09/01/21      99.950                 0.50 
313313RZ3  01/19/22  02/17/21      99.920                 0.80 
313313SA7  01/20/22  05/24/21      99.970                 0.30 
313313SB5  01/21/22  09/02/21      99.950                 0.50 
313313SE9  01/24/22  09/02/21      99.950                 0.50 
313313SF6  01/25/22  03/25/21      99.940                 0.60 
313313SG4  01/26/22  09/17/21      99.960                 0.40 
313313SH2  01/27/22  01/28/21      99.910                 0.90 
313313SJ8  01/28/22  02/17/21      99.920                 0.80 
313313SM1  01/31/22  09/02/21      99.960                 0.40 
313313SN9  02/01/22  09/27/21      99.960                 0.40 
313313SP4  02/02/22  07/29/21      99.960                 0.40 
313313SQ2  02/03/22  10/28/21      99.950                 0.50 
313313SR0  02/04/22  04/30/21      99.950                 0.50 
313313SU3  02/07/22  04/30/21      99.950                 0.50 
313313SV1  02/08/22  06/03/21      99.970                 0.30 
313313SW9  02/09/22  01/05/22      99.960                 0.40 
313313SX7  02/10/22  09/01/21      99.950                 0.50 
313313SY5  02/11/22  09/16/21      99.960                 0.40 
313313TB4  02/14/22  02/11/22      99.990                 0.10 
313313TC2  02/15/22  02/16/21      99.920                 0.80 
313313TD0  02/16/22  05/11/21      99.950                 0.50 
313313TE8  02/17/22  12/16/21      99.970                 0.30 
313313TF5  02/18/22  12/27/21      99.950                 0.50 
313313TK4  02/22/22  05/11/21      99.950                 0.50 
313313TL2  02/23/22  10/29/21      99.950                 0.50 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313TM0  02/24/22  02/23/22      99.970                 0.30 
313313TN8  02/25/22  04/26/21      99.940                 0.60 
313313TR9  02/28/22  05/07/21      99.950                 0.50 
313313TS7  03/01/22  06/22/21      99.940                 0.60 
313313TT5  03/02/22  04/08/21      99.940                 0.60 
313313TU2  03/03/22  10/28/21      99.950                 0.50 
313313TV0  03/04/22  11/10/21      99.950                 0.50 
313313TY4  03/07/22  09/28/21      99.960                 0.40 
313313TZ1  03/08/22  03/07/22      99.980                 0.20 
313313UA4  03/09/22  02/02/22      99.960                 0.40 
313313UB2  03/10/22  03/09/22      99.980                 0.20 
313313UC0  03/11/22  04/27/21      99.940                 0.60 
313313UF3  03/14/22  09/29/21      99.960                 0.40 
313313UG1  03/15/22  03/14/22      99.990                 0.10 
313313UH9  03/16/22  08/30/21      99.950                 0.50 
313313UJ5  03/17/22  05/07/21      99.950                 0.50 
313313UK2  03/18/22  03/17/22      99.750                 2.50 
313313UN6  03/21/22  04/21/21      99.930                 0.70 
313313UP1  03/22/22  07/30/21      99.950                 0.50 
313313UQ9  03/23/22  04/26/21      99.930                 0.70 
313313UR7  03/24/22  03/23/22      99.820                 1.80 
313313US5  03/25/22  04/28/21      99.950                 0.50 
313313UV8  03/28/22  10/04/21      99.950                 0.50 
313313UW6  03/29/22  03/28/22      99.840                 1.60 
313313UX4  03/30/22  02/23/22      99.920                 0.80 
313313UY2  03/31/22  06/02/21      99.970                 0.30 
313313UZ9  04/01/22  11/18/21      99.960                 0.40 
313313VC9  04/04/22  10/04/21      99.950                 0.50 
313313VD7  04/05/22  02/25/22      99.920                 0.80 
313313VE5  04/06/22  08/04/21      99.950                 0.50 
313313VF2  04/07/22  03/03/22      99.860                 1.40 
313313VG0  04/08/22  07/09/21      99.940                 0.60 
313313VK1  04/11/22  08/27/21      99.950                 0.50 
313313VL9  04/12/22  02/23/22      99.860                 1.40 
313313VM7  04/13/22  10/15/21      99.950                 0.50 
313313VN5  04/14/22  06/24/21      99.960                 0.40 
313313VS4  04/18/22  10/18/21      99.940                 0.60 
313313VT2  04/19/22  09/10/21      99.950                 0.50 
313313VU9  04/20/22  10/19/21      99.950                 0.50 
313313VV7  04/21/22  10/05/21      99.950                 0.50 
313313VW5  04/22/22  09/21/21      99.960                 0.40 
313313VZ8  04/25/22  10/20/21      99.950                 0.50 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313WA2  04/26/22  02/24/22      99.780                 2.20 
313313WB0  04/27/22  06/23/21      99.950                 0.50 
313313WC8  04/28/22  10/01/21      99.950                 0.50 
313313WD6  04/29/22  10/25/21      99.940                 0.60 
313313WG9  05/02/22  09/17/21      99.950                 0.50 
313313WH7  05/03/22  05/03/21      99.950                 0.50 
313313WJ3  05/04/22  03/23/22      99.800                 2.00 
313313WK0  05/05/22  05/04/22      99.820                 1.80 
313313WL8  05/06/22  03/09/22      99.760                 2.40 
313313WP9  05/09/22  08/17/21      99.930                 0.70 
313313WQ7  05/10/22  03/29/22      99.800                 2.00 
313313WR5  05/11/22  10/29/21      99.930                 0.70 
313313WS3  05/12/22  05/26/21      99.960                 0.40 
313313WT1  05/13/22  05/12/22      99.400                 6.00 
313313WW4  05/16/22  11/03/21      99.930                 0.70 
313313WX2  05/17/22  03/21/22      99.670                 3.30 
313313WY0  05/18/22  09/21/21      99.950                 0.50 
313313WZ7  05/19/22  05/25/21      99.960                 0.40 
313313XA1  05/20/22  11/01/21      99.930                 0.70 
313313XD5  05/23/22  11/08/21      99.930                 0.70 
313313XE3  05/24/22  03/16/22      99.700                 3.00 
313313XF0  05/25/22  05/28/21      99.960                 0.40 
313313XG8  05/26/22  04/12/22      99.590                 4.10 
313313XH6  05/27/22  09/01/21      99.940                 0.60 
313313XM5  05/31/22  11/17/21      99.940                 0.60 
313313XN3  06/01/22  08/20/21      99.950                 0.50 
313313XP8  06/02/22  11/24/21      99.930                 0.70 
313313XQ6  06/03/22  10/29/21      99.920                 0.80 
313313XT0  06/06/22  10/12/21      99.940                 0.60 
313313XU7  06/07/22  08/20/21      99.940                 0.60 
313313XV5  06/08/22  11/19/21      99.940                 0.60 
313313XW3  06/09/22  06/08/22      99.400                 6.00 
313313XX1  06/10/22  10/12/21      99.940                 0.60 
313313YA0  06/13/22  10/28/21      99.920                 0.80 
313313YB8  06/14/22  04/14/22      99.400                 6.00 
313313YC6  06/15/22  11/04/21      99.940                 0.60 
313313YD4  06/16/22  07/16/21      99.930                 0.70 
313313YE2  06/17/22  04/19/22      99.440                 5.60 
313313YJ1  06/21/22  08/12/21      99.940                 0.60 
313313YK8  06/22/22  05/20/22      99.280                 7.20 
313313YL6  06/23/22  09/15/21      99.940                 0.60 
313313YM4  06/24/22  12/09/21      99.890                 1.10 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313YQ5  06/27/22  11/01/21      99.920                 0.80 
313313YR3  06/28/22  10/04/21      99.940                 0.60 
313313YS1  06/29/22  11/15/21      99.920                 0.80 
313313YT9  06/30/22  05/27/22      99.190                 8.10 
313313YU6  07/01/22  08/16/21      99.950                 0.50 
313313YY8  07/05/22  11/24/21      99.900                 1.00 
313313YZ5  07/06/22  08/26/21      99.930                 0.70 
313313ZA9  07/07/22  12/16/21      99.870                 1.30 
313313ZB7  07/08/22  07/07/22      98.620                13.80 
313313ZE1  07/11/22  07/08/22      98.620                13.80 
313313ZF8  07/12/22  01/10/22      99.740                 2.60 
313313ZG6  07/13/22  06/21/22      98.650                13.50 
313313ZH4  07/14/22  12/28/21      99.810                 1.90 
313313ZJ0  07/15/22  05/06/22      99.200                 8.00 
313313ZM3  07/18/22  12/17/21      99.870                 1.30 
313313ZN1  07/19/22  09/28/21      99.930                 0.70 
313313ZP6  07/20/22  12/20/21      99.860                 1.40 
313313ZQ4  07/21/22  04/27/22      99.150                 8.50 
313313ZR2  07/22/22  12/20/21      99.860                 1.40 
313313ZU5  07/25/22  09/24/21      99.940                 0.60 
313313ZV3  07/26/22  11/15/21      99.910                 0.90 
313313ZW1  07/27/22  05/09/22      99.150                 8.50 
313313ZX9  07/28/22  07/27/22      98.620                13.80 
313313ZY7  07/29/22  06/08/22      99.060                 9.40 
313313A32  08/01/22  12/21/21      99.840                 1.60 
313313A40  08/02/22  03/11/22      99.330                 6.70 
313313A57  08/03/22  06/10/22      98.850                11.50 
313313A65  08/04/22  08/03/22      97.950                20.50 
313313A73  08/05/22  12/23/21      99.820                 1.80 
313313B23  08/08/22  11/24/21      99.870                 1.30 
313313B31  08/09/22  12/28/21      99.770                 2.30 
313313B49  08/10/22  11/04/21      99.900                 1.00 
313313B56  08/11/22  05/16/22      98.980                10.20 
313313B64  08/12/22  08/11/22      97.900                21.00 
313313B98  08/15/22  12/29/21      99.780                 2.20 
313313C22  08/16/22  02/07/22      99.420                 5.80 
313313C30  08/17/22  12/28/21      99.760                 2.40 
313313C48  08/18/22  10/19/21      99.910                 0.90 
313313C55  08/19/22  12/30/21      99.780                 2.20 
313313C89  08/22/22  12/31/21      99.770                 2.30 
313313C97  08/23/22  07/18/22      98.050                19.50 
313313D21  08/24/22  12/29/21      99.770                 2.30 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313D39  08/25/22  08/24/22      97.870                21.30 
313313D47  08/26/22  02/24/22      99.300                 7.00 
313313D70  08/29/22  12/17/21      99.830                 1.70 
313313D88  08/30/22  08/01/22      97.850                21.50 
313313D96  08/31/22  10/29/21      99.890                 1.10 
313313E20  09/01/22  12/23/21      99.790                 2.10 
313313E38  09/02/22  03/25/22      99.090                 9.10 
313313E79  09/06/22  01/26/22      99.560                 4.40 
313313E87  09/07/22  08/03/22      97.840                21.60 
313313E95  09/08/22  08/05/22      97.870                21.30 
313313F29  09/09/22  09/08/22      97.850                21.50 
313313F52  09/12/22  01/31/22      99.510                 4.90 
313313F60  09/13/22  11/03/21      99.870                 1.30 
313313F78  09/14/22  10/04/21      99.910                 0.90 
313313F86  09/15/22  05/20/22      98.820                11.80 
313313F94  09/16/22  02/07/22      99.340                 6.60 
313313G44  09/19/22  10/18/21      99.900                 1.00 
313313G51  09/20/22  12/28/21      99.740                 2.60 
313313G69  09/21/22  02/22/22      99.220                 7.80 
313313G77  09/22/22  10/14/21      99.910                 0.90 
313313G85  09/23/22  11/29/21      99.840                 1.60 
313313H35  09/26/22  02/17/22      99.190                 8.10 
313313H43  09/27/22  09/26/22      97.100                29.00 
313313H50  09/28/22  02/15/22      99.140                 8.60 
313313H68  09/29/22  02/18/22      99.250                 7.50 
313313H76  09/30/22  12/30/21      99.750                 2.50 
313313J25  10/03/22  10/08/21      99.930                 0.70 
313313J33  10/04/22  06/08/22      98.620                13.80 
313313J41  10/05/22  03/11/22      99.110                 8.90 
313313J58  10/06/22  11/04/21      99.850                 1.50 
313313J66  10/07/22  06/30/22      98.150                18.50 
313313K23  10/11/22  03/23/22      99.020                 9.80 
313313K31  10/12/22  03/24/22      99.000                10.00 
313313K49  10/13/22  04/13/22      98.800                12.00 
313313K56  10/14/22  08/17/22      97.630                23.70 
313313K80  10/17/22  12/27/21      99.730                 2.70 
313313K98  10/18/22  12/29/21      99.720                 2.80 
313313L22  10/19/22  04/18/22      98.740                12.60 
313313L30  10/20/22  12/29/21      99.710                 2.90 
313313L48  10/21/22  02/07/22      99.280                 7.20 
313313L71  10/24/22  12/16/21      99.750                 2.50 
313313L89  10/25/22  12/17/21      99.760                 2.40 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313L97  10/26/22  12/01/21      99.750                 2.50 
313313M21  10/27/22  07/29/22      97.560                24.40 
313313M39  10/28/22  01/03/22      99.690                 3.10 
313313M62  10/31/22  04/25/22      98.700                13.00 
313313M70  11/01/22  12/28/21      99.710                 2.90 
313313M88  11/02/22  09/07/22      97.240                27.60 
313313M96  11/03/22  07/08/22      97.780                22.20 
313313N20  11/04/22  04/13/22      98.750                12.50 
313313N53  11/07/22  11/04/22      96.500                35.00 
313313N61  11/08/22  12/01/21      99.750                 2.50 
313313N79  11/09/22  07/15/22      97.400                26.00 
313313N87  11/10/22  04/27/22      98.590                14.10 
313313P44  11/14/22  04/13/22      98.700                13.00 
313313P51  11/15/22  12/20/21      99.740                 2.60 
313313P69  11/16/22  10/12/22      96.950                30.50 
313313P77  11/17/22  02/28/22      99.050                 9.50 
313313P85  11/18/22  05/16/22      98.550                14.50 
313313Q35  11/21/22  05/16/22      98.530                14.70 
313313Q50  11/23/22  09/30/22      96.870                31.30 
313313Q76  11/25/22  05/17/22      98.500                15.00 
313313R26  11/28/22  05/17/22      98.500                15.00 
313313R34  11/29/22  05/18/22      98.430                15.70 
313313R42  11/30/22  10/14/22      96.650                33.50 
313313R59  12/01/22  01/20/22      99.500                 5.00 
313313R67  12/02/22  06/03/22      98.350                16.50 
313313R91  12/05/22  01/20/22      99.470                 5.30 
313313S25  12/06/22  01/19/22      99.470                 5.30 
313313S33  12/07/22  05/31/22      98.280                17.20 
313313S41  12/08/22  09/01/22      97.000                30.00 
313313S58  12/09/22  05/31/22      98.280                17.20 
313313S82  12/12/22  04/01/22      98.650                13.50 
313313S90  12/13/22  12/29/21      99.620                 3.80 
313313T24  12/14/22  10/20/22      96.500                35.00 
313313T32  12/15/22  02/02/22      99.250                 7.50 
313313T40  12/16/22  02/11/22      98.970                10.30 
313313T73  12/19/22  06/15/22      97.520                24.80 
313313T81  12/20/22  09/21/22      96.650                33.50 
313313T99  12/21/22  02/02/22      99.240                 7.60 
313313U22  12/22/22  11/08/22      96.210                37.90 
313313U30  12/23/22  06/23/22      97.560                24.40 
313313U71  12/27/22  02/28/22      98.950                10.50 
313313U89  12/28/22  03/28/22      98.600                14.00 






                               Section III-D
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313313U97  12/29/22  06/27/22      97.540                24.60 
313313V21  12/30/22  11/07/22      96.070                39.30 






                               Section III-E

                    FEDERAL HOME LOAN MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2022

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313397E23  09/01/22  06/01/22      99.704                 2.96 
313397E31  09/02/22  07/28/22      99.795                 2.05 
313397E72  09/06/22  06/06/22      99.686                 3.14 
313397E80  09/07/22  07/05/22      99.689                 3.11 
313397E98  09/08/22  08/15/22      99.862                 1.38 
313397A35  08/01/22  07/27/22      99.980                 0.20 
313397A43  08/02/22  07/28/22      99.980                 0.20 
313397A50  08/03/22  07/21/22      99.951                 0.49 
313397A68  08/04/22  08/03/22      99.995                 0.05 
313397A76  08/05/22  08/04/22      99.995                 0.05 
313397B34  08/09/22  08/03/22      99.966                 0.34 
313397B42  08/10/22  08/09/22      99.994                 0.06 
313397B59  08/11/22  08/01/22      99.943                 0.57 
313397B67  08/12/22  07/25/22      99.910                 0.90 
313397B91  08/15/22  08/11/22      99.978                 0.22 
313397C25  08/16/22  07/29/22      99.899                 1.01 
313397C33  08/17/22  05/16/22      99.737                 2.63 
313397C41  08/18/22  07/25/22      99.877                 1.23 
313397C58  08/19/22  08/03/22      99.909                 0.91 
313397C82  08/22/22  07/21/22      99.834                 1.66 
313397C90  08/23/22  07/20/22      99.825                 1.75 
313397D24  08/24/22  05/24/22      99.714                 2.86 
313397D32  08/25/22  07/25/22      99.830                 1.70 
313397D40  08/26/22  07/26/22      99.828                 1.72 
313397D73  08/29/22  06/27/22      99.717                 2.83 
313397D81  08/30/22  08/16/22      99.920                 0.80 
313397D99  08/31/22  07/26/22      99.799                 2.01 
313397F55  09/12/22  07/11/22      99.673                 3.27 
313397F63  09/13/22  09/07/22      99.966                 0.34 
313397F71  09/14/22  08/18/22      99.851                 1.49 
313397F89  09/15/22  08/16/22      99.831                 1.69 
313397F97  09/16/22  09/15/22      99.994                 0.06 
313397G47  09/19/22  09/16/22      99.983                 0.17 
313397G54  09/20/22  09/08/22      99.933                 0.67 
313397G62  09/21/22  09/15/22      99.966                 0.34 
313397G70  09/22/22  09/09/22      99.927                 0.73 






                               Section III-E
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
313397G88  09/23/22  08/25/22      99.837                 1.63 
313397H38  09/26/22  08/17/22      99.774                 2.26 
313397H46  09/27/22  09/07/22      99.879                 1.21 
313397H53  09/28/22  09/06/22      99.867                 1.33 
313397H61  09/29/22  09/07/22      99.867                 1.33 
313397H79  09/30/22  09/06/22      99.855                 1.45 
313397J28  10/03/22  09/13/22      99.869                 1.31 
313397J36  10/04/22  09/06/22      99.821                 1.79 
313397J44  10/05/22  09/06/22      99.815                 1.85 
313397J51  10/06/22  09/06/22      99.808                 1.92 
313397J69  10/07/22  09/06/22      99.802                 1.98 
313397K26  10/11/22  09/16/22      99.833                 1.67 
313397K34  10/12/22  09/23/22      99.854                 1.46 
313397K42  10/13/22  09/16/22      99.820                 1.80 
313397K59  10/14/22  09/22/22      99.859                 1.41 
313397K83  10/17/22  09/09/22      99.735                 2.65 
313397K91  10/18/22  09/13/22      99.748                 2.52 
313397L41  10/21/22  09/26/22      99.821                 1.79 
313397L74  10/24/22  09/08/22      99.675                 3.25 
313397L90  10/26/22  09/27/22      99.791                 2.09 
313397M24  10/27/22  09/12/22      99.675                 3.25 
313397M65  10/31/22  09/08/22      99.623                 3.77 
313397P54  11/15/22  09/14/22      99.504                 4.96 
313397T35  12/15/22  01/26/22      99.551                 4.49 
313397UJ8  03/17/22  01/19/22      99.995                 0.05 
313397VF5  04/07/22  01/26/22      99.975                 0.25 
313397VV0  04/21/22  01/25/22      99.959                 0.41 
313397WC1  04/28/22  01/13/22      99.962                 0.38 
313397WQ0  05/10/22  01/14/22      99.948                 0.52 
313397ZY0  07/29/22  07/28/22      99.994                 0.06 






                               Section III-F

                  FEDERAL AGRICULTURAL MORTGAGE CORPORATION
                      Short-Term Obligations Issued at a
                        Discount and Maturing in 2022

                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LRH3  01/03/22  08/26/21      99.989                 0.11 
31315LRJ9  01/04/22  10/01/21      99.991                 0.09 
31315LRK6  01/05/22  11/02/21      99.996                 0.04 
31315LRL4  01/06/22  01/05/22     100.000                 0.00 
31315LRM2  01/07/22  01/06/22     100.000                 0.00 
31315LRQ3  01/10/22  01/07/22     100.000                 0.00 
31315LRR1  01/11/22  01/10/22     100.000                 0.00 
31315LRS9  01/12/22  08/26/21      99.985                 0.15 
31315LRT7  01/13/22  01/12/22     100.000                 0.00 
31315LRU4  01/14/22  04/08/21      99.961                 0.39 
31315LRY6  01/18/22  09/16/21      99.986                 0.14 
31315LRZ3  01/19/22  01/18/22     100.000                 0.00 
31315LSA7  01/20/22  01/19/22     100.000                 0.00 
31315LSB5  01/21/22  01/25/21      99.900                 1.00 
31315LSE9  01/24/22  01/21/22     100.000                 0.00 
31315LSF6  01/25/22  10/21/21      99.987                 0.13 
31315LSG4  01/26/22  08/26/21      99.983                 0.17 
31315LSH2  01/27/22  01/26/22     100.000                 0.00 
31315LSJ8  01/28/22  12/20/21      99.996                 0.04 
31315LSM1  01/31/22  11/23/21      99.992                 0.08 
31315LSN9  02/01/22  11/03/21      99.988                 0.12 
31315LSP4  02/02/22  11/04/21      99.988                 0.12 
31315LSQ2  02/03/22  01/25/22      99.999                 0.01 
31315LSR0  02/04/22  07/09/21      99.971                 0.29 
31315LSU3  02/07/22  02/04/22     100.000                 0.00 
31315LSV1  02/08/22  02/07/22     100.000                 0.00 
31315LSW9  02/09/22  02/08/22     100.000                 0.00 
31315LSX7  02/10/22  02/09/22     100.000                 0.00 
31315LSY5  02/11/22  02/10/22     100.000                 0.00 
31315LTB4  02/14/22  12/03/21      99.990                 0.10 
31315LTC2  02/15/22  07/08/21      99.969                 0.31 
31315LTD0  02/16/22  11/19/21      99.988                 0.12 
31315LTE8  02/17/22  02/16/22     100.000                 0.00 
31315LTF5  02/18/22  02/17/22     100.000                 0.00 
31315LTK4  02/22/22  02/18/22     100.000                 0.00 
31315LTL2  02/23/22  02/22/22     100.000                 0.00 






                               Section III-F
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LTM0  02/24/22  11/18/21      99.986                 0.14 
31315LTN8  02/25/22  12/14/21      99.990                 0.10 
31315LTR9  02/28/22  10/29/21      99.991                 0.09 
31315LTS7  03/01/22  11/26/21      99.985                 0.15 
31315LTT5  03/02/22  12/15/21      99.988                 0.12 
31315LTU2  03/03/22  03/02/22     100.000                 0.00 
31315LTY4  03/07/22  03/04/22     100.000                 0.00 
31315LTZ1  03/08/22  02/22/22      99.999                 0.01 
31315LUA4  03/09/22  03/01/22      99.999                 0.01 
31315LUB2  03/10/22  03/09/22     100.000                 0.00 
31315LUC0  03/11/22  02/22/22      99.998                 0.02 
31315LUF3  03/14/22  12/15/21      99.986                 0.14 
31315LUG1  03/15/22  06/02/21      99.976                 0.24 
31315LUH9  03/16/22  12/09/21      99.985                 0.15 
31315LTV0  03/04/22  03/03/22     100.000                 0.00 
31315LUJ5  03/17/22  02/11/22      99.997                 0.03 
31315LUK2  03/18/22  03/17/22      99.999                 0.01 
31315LUN6  03/21/22  03/18/22      99.998                 0.02 
31315LUP1  03/22/22  08/18/21      99.970                 0.30 
31315LUQ9  03/23/22  03/22/22      99.999                 0.01 
31315LUR7  03/24/22  06/02/21      99.975                 0.25 
31315LUS5  03/25/22  03/24/22     100.000                 0.00 
31315LUV8  03/28/22  12/10/21      99.984                 0.16 
31315LUW6  03/29/22  03/28/22     100.000                 0.00 
31315LUX4  03/30/22  01/31/22      99.977                 0.23 
31315LUY2  03/31/22  01/31/22      99.976                 0.24 
31315LUZ9  04/01/22  11/17/21      99.983                 0.17 
31315LVC9  04/04/22  01/04/22      99.985                 0.15 
31315LVD7  04/05/22  04/04/22     100.000                 0.00 
31315LVE5  04/06/22  04/05/22     100.000                 0.00 
31315LVF2  04/07/22  04/06/22     100.000                 0.00 
31315LVG0  04/08/22  04/07/22      99.999                 0.01 
31315LVK1  04/11/22  04/13/21      99.909                 0.91 
31315LVL9  04/12/22  04/04/22      99.996                 0.04 
31315LVM7  04/13/22  04/12/22      99.999                 0.01 
31315LVN5  04/14/22  01/31/22      99.959                 0.41 
31315LVS4  04/18/22  04/04/22      99.993                 0.07 
31315LVT2  04/19/22  04/18/22      99.999                 0.01 
31315LVU9  04/20/22  03/18/22      99.977                 0.23 
31315LVV7  04/21/22  04/20/22      99.999                 0.01 
31315LVW5  04/22/22  04/21/22      99.999                 0.01 
31315LVZ8  04/25/22  04/04/22      99.990                 0.10 






                               Section III-F
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LWA2  04/26/22  04/25/22      99.999                 0.01 
31315LWB0  04/27/22  01/28/22      99.951                 0.49 
31315LWC8  04/28/22  04/29/21      99.965                 0.35 
31315LWD6  04/29/22  01/27/22      99.951                 0.49 
31315LWG9  05/02/22  04/04/22      99.985                 0.15 
31315LWH7  05/03/22  03/31/22      99.982                 0.18 
31315LWJ3  05/04/22  05/03/22     100.000                 0.00 
31315LWK0  05/05/22  05/04/22     100.000                 0.00 
31315LWL8  05/06/22  05/05/22      99.998                 0.02 
31315LWP9  05/09/22  05/06/22      99.995                 0.05 
31315LWQ7  05/10/22  03/31/22      99.978                 0.22 
31315LWR5  05/11/22  03/02/22      99.948                 0.52 
31315LWS3  05/12/22  12/17/21      99.972                 0.28 
31315LWT1  05/13/22  05/12/22      99.998                 0.02 
31315LWW4  05/16/22  05/13/22      99.995                 0.05 
31315LWX2  05/17/22  05/16/22      99.998                 0.02 
31315LWY0  05/18/22  05/17/22      99.998                 0.02 
31315LWZ7  05/19/22  05/20/21      99.949                 0.51 
31315LXA1  05/20/22  05/19/22      99.998                 0.02 
31315LXD5  05/23/22  05/20/22      99.995                 0.05 
31315LXE3  05/24/22  11/24/21      99.970                 0.30 
31315LXF0  05/25/22  05/28/21      99.965                 0.35 
31315LXG8  05/26/22  03/03/22      99.925                 0.75 
31315LXH6  05/27/22  05/26/22      99.998                 0.02 
31315LXM5  05/31/22  11/19/21      99.968                 0.32 
31315LXN3  06/01/22  05/31/22      99.999                 0.01 
31315LXP8  06/02/22  03/01/22      99.910                 0.90 
31315LXQ6  06/03/22  06/02/22      99.998                 0.02 
31315LXT0  06/06/22  06/03/22      99.995                 0.05 
31315LXU7  06/07/22  06/06/22      99.998                 0.02 
31315LXV5  06/08/22  06/07/22      99.998                 0.02 
31315LXW3  06/09/22  06/02/22      99.988                 0.12 
31315LXX1  06/10/22  06/09/22      99.998                 0.02 
31315LYA0  06/13/22  12/08/21      99.948                 0.52 
31315LYB8  06/14/22  06/13/22      99.998                 0.02 
31315LYC6  06/15/22  12/08/21      99.948                 0.52 
31315LYD4  06/16/22  03/18/22      99.888                 1.12 
31315LYE2  06/17/22  12/08/21      99.947                 0.53 
31315LYJ1  06/21/22  06/17/22      99.984                 0.16 
31315LYK8  06/22/22  06/21/22      99.996                 0.04 
31315LYL6  06/23/22  06/22/22      99.996                 0.04 
31315LYM4  06/24/22  06/30/21      99.920                 0.80 






                               Section III-F
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LYQ5  06/27/22  06/24/22      99.988                 0.12 
31315LYR3  06/28/22  03/01/22      99.845                 1.55 
31315LYS1  06/29/22  06/28/22      99.996                 0.04 
31315LYT9  06/30/22  12/20/21      99.968                 0.32 
31315LYU6  07/01/22  10/22/21      99.965                 0.35 
31315LYY8  07/05/22  03/02/22      99.826                 1.74 
31315LYZ5  07/06/22  06/21/22      99.944                 0.56 
31315LZA9  07/07/22  07/06/22      99.996                 0.04 
31315LZB7  07/08/22  06/23/22      99.947                 0.53 
31315LZE1  07/11/22  07/08/22      99.989                 0.11 
31315LZF8  07/12/22  07/11/22      99.996                 0.04 
31315LZG6  07/13/22  07/12/22      99.996                 0.04 
31315LZH4  07/14/22  06/21/22      99.912                 0.88 
31315LZJ0  07/15/22  07/14/22      99.996                 0.04 
31315LZM3  07/18/22  06/24/22      99.910                 0.90 
31315LZN1  07/19/22  07/18/22      99.996                 0.04 
31315LZP6  07/20/22  07/19/22      99.996                 0.04 
31315LZQ4  07/21/22  07/20/22      99.996                 0.04 
31315LZR2  07/22/22  07/15/22      99.973                 0.27 
31315LZU5  07/25/22  07/06/22      99.929                 0.71 
31315LZV3  07/26/22  06/27/22      99.894                 1.06 
31315LZW1  07/27/22  07/18/22      99.966                 0.34 
31315LZX9  07/28/22  06/30/22      99.903                 0.97 
31315LZY7  07/29/22  03/30/22      99.745                 2.55 
31315LA32  08/01/22  04/27/22      99.760                 2.40 
31315LA40  08/02/22  03/02/22      99.766                 2.34 
31315LA57  08/03/22  08/02/22      99.994                 0.06 
31315LA65  08/04/22  08/03/22      99.994                 0.06 
31315LA73  08/05/22  07/28/22      99.957                 0.43 
31315LB23  08/08/22  08/05/22      99.983                 0.17 
31315LB31  08/09/22  08/02/22      99.960                 0.40 
31315LB49  08/10/22  08/05/22      99.972                 0.28 
31315LB56  08/11/22  07/25/22      99.915                 0.85 
31315LB64  08/12/22  07/25/22      99.910                 0.90 
31315LB98  08/15/22  08/11/22      99.977                 0.23 
31315LC22  08/16/22  08/15/22      99.994                 0.06 
31315LC30  08/17/22  08/16/22      99.994                 0.06 
31315LC48  08/18/22  01/28/22      99.801                 1.99 
31315LC55  08/19/22  07/29/22      99.880                 1.20 
31315LC89  08/22/22  08/19/22      99.982                 0.18 
31315LC97  08/23/22  08/22/22      99.994                 0.06 
31315LD21  08/24/22  08/23/22      99.994                 0.06 






                               Section III-F
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LD39  08/25/22  08/24/22      99.994                 0.06 
31315LD47  08/26/22  08/27/21      99.924                 0.76 
31315LD70  08/29/22  08/10/22      99.885                 1.15 
31315LD88  08/30/22  08/29/22      99.994                 0.06 
31315LD96  08/31/22  01/28/22      99.695                 3.05 
31315LE20  09/01/22  07/29/22      99.788                 2.12 
31315LE38  09/02/22  03/02/22      99.652                 3.48 
31315LE79  09/06/22  09/02/22      99.976                 0.24 
31315LE87  09/07/22  08/18/22      99.881                 1.19 
31315LE95  09/08/22  08/17/22      99.872                 1.28 
31315LF29  09/09/22  09/08/22      99.994                 0.06 
31315LF52  09/12/22  09/09/22      99.982                 0.18 
31315LF60  09/13/22  09/12/22      99.994                 0.06 
31315LF78  09/14/22  09/13/22      99.994                 0.06 
31315LF86  09/15/22  09/14/22      99.994                 0.06 
31315LF94  09/16/22  09/15/22      99.994                 0.06 
31315LG44  09/19/22  09/16/22      99.982                 0.18 
31315LG51  09/20/22  09/19/22      99.994                 0.06 
31315LG69  09/21/22  09/08/22      99.922                 0.78 
31315LG77  09/22/22  09/21/22      99.994                 0.06 
31315LG85  09/23/22  09/22/22      99.992                 0.08 
31315LH35  09/26/22  09/23/22      99.976                 0.24 
31315LH43  09/27/22  09/26/22      99.992                 0.08 
31315LH50  09/28/22  09/27/22      99.992                 0.08 
31315LH68  09/29/22  04/29/22      99.490                 5.10 
31315LH76  09/30/22  08/05/22      99.650                 3.50 
31315LJ25  10/03/22  06/14/22      99.460                 5.40 
31315LJ33  10/04/22  10/03/22      99.992                 0.08 
31315LJ41  10/05/22  09/21/22      99.906                 0.94 
31315LJ58  10/06/22  07/05/22      99.491                 5.09 
31315LJ66  10/07/22  09/28/22      99.931                 0.69 
31315LK23  10/11/22  09/29/22      99.910                 0.90 
31315LK31  10/12/22  10/11/22      99.992                 0.08 
31315LK49  10/13/22  10/12/22      99.992                 0.08 
31315LK56  10/14/22  09/14/22      99.775                 2.25 
31315LK80  10/17/22  10/13/22      99.968                 0.32 
31315LK98  10/18/22  10/05/22      99.897                 1.03 
31315LL22  10/19/22  10/18/22      99.992                 0.08 
31315LL30  10/20/22  09/29/22      99.843                 1.57 
31315LL48  10/21/22  10/19/22      99.984                 0.16 
31315LL71  10/24/22  10/21/22      99.976                 0.24 
31315LL89  10/25/22  10/24/22      99.992                 0.08 






                               Section III-F
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LL97  10/26/22  10/25/22      99.992                 0.08 
31315LM21  10/27/22  09/30/22      99.793                 2.07 
31315LM39  10/28/22  10/27/22      99.992                 0.08 
31315LM62  10/31/22  03/30/22      99.277                 7.23 
31315LM70  11/01/22  07/29/22      99.356                 6.44 
31315LM88  11/02/22  11/01/22      99.992                 0.08 
31315LM96  11/03/22  11/02/22      99.992                 0.08 
31315LN20  11/04/22  11/03/22      99.990                 0.10 
31315LN53  11/07/22  11/04/22      99.971                 0.29 
31315LN61  11/08/22  11/07/22      99.990                 0.10 
31315LN79  11/09/22  11/08/22      99.990                 0.10 
31315LN87  11/10/22  11/09/22      99.990                 0.10 
31315LP44  11/14/22  10/17/22      99.761                 2.39 
31315LP51  11/15/22  11/14/22      99.990                 0.10 
31315LP69  11/16/22  11/30/21      99.820                 1.80 
31315LP77  11/17/22  11/16/22      99.990                 0.10 
31315LP85  11/18/22  11/17/22      99.990                 0.10 
31315LQ35  11/21/22  11/18/22      99.970                 0.30 
31315LQ43  11/22/22  08/18/22      99.288                 7.12 
31315LQ50  11/23/22  11/22/22      99.990                 0.10 
31315LQ76  11/25/22  11/23/22      99.981                 0.19 
31315LR26  11/28/22  11/23/22      99.949                 0.51 
31315LR34  11/29/22  11/28/22      99.990                 0.10 
31315LR42  11/30/22  11/28/22      99.980                 0.20 
31315LR59  12/01/22  11/30/22      99.991                 0.09 
31315LR67  12/02/22  12/01/22      99.990                 0.10 
31315LR91  12/05/22  11/14/22      99.790                 2.10 
31315LS25  12/06/22  12/05/22      99.990                 0.10 
31315LS33  12/07/22  12/06/22      99.990                 0.10 
31315LS41  12/08/22  12/07/22      99.990                 0.10 
31315LS58  12/09/22  12/08/22      99.990                 0.10 
31315LS82  12/12/22  11/18/22      99.757                 2.43 
31315LS90  12/13/22  12/12/22      99.990                 0.10 
31315LT24  12/14/22  12/01/22      99.872                 1.28 
31315LT32  12/15/22  02/25/22      99.190                 8.10 
31315LT73  12/19/22  06/14/22      98.815                11.85 
31315LV21  12/30/22  06/28/22      98.787                12.13 
31315LT99  12/21/22  12/02/22      99.802                 1.98 
31315LT81  12/20/22  12/12/22      99.917                 0.83 
31315LT40  12/16/22  12/15/22      99.989                 0.11 
31315LU71  12/27/22  12/16/22      99.878                 1.22 
31315LU89  12/28/22  12/16/22      99.867                 1.33 






                               Section III-F
                                (continued)
                                                   Discount to be   
                                 Issue Price      Reported as 2022  
 CUSIP     Maturity    Issue   (% of Principal   Interest(Per $1,000
 Number      Date      Date        Amount)         Maturity Value)  
---------  --------  --------  ---------------   -------------------
31315LU22  12/22/22  12/21/22      99.989                 0.11 
31315LU30  12/23/22  12/22/22      99.989                 0.11 
31315LU97  12/29/22  12/28/22      99.989                 0.11 






