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. However, no OID information is available to report this year for any such debt instruments. See Section I-B for corporate discount debt instruments issued after 1984. OID per Daily OID per $1,000 $1,000 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 2023 1st 2023 2nd 2024 2nd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period 2024 1st Period 2023 2024 ______________ _________ ________ ________ ___________ _______ _________ ________ ________ ________ ______ ______ 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 2023 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ ABILENE TEX INDPT SCH DI 003464MH4 07/23/20 02/15/26 91.448 0.000 1.6140 36.57 0.042381 0.042723 0.043067 0.043415 0.043765 15.41 15.66 ABILENE TEX INDPT SCH DI 003464MG6 07/23/20 02/15/25 94.017 0.000 1.3572 31.54 0.036445 0.036693 0.036942 0.037192 0.037445 13.23 13.41 ACADEMY TEX INDPT SCH DI 004014GQ3 05/05/21 08/15/28 85.895 0.000 2.0999 30.25 0.051460 0.052000 0.052546 0.053098 0.053655 18.77 19.17 ACADEMY TEX INDPT SCH DI 004014GR1 05/05/21 08/15/29 83.776 0.000 2.1498 30.21 0.051416 0.051968 0.052527 0.053092 0.053662 18.76 19.17 ALEDO TEX INDPT SCH DIST 014464XP1 02/04/21 02/15/25 96.817 0.000 0.8042 14.94 0.021894 0.021982 0.022070 0.022159 0.022248 7.92 7.99 ALEDO TEX INDPT SCH DIST 014464XQ9 02/04/21 02/15/26 94.773 0.000 1.0700 19.50 0.028633 0.028786 0.028940 0.029095 0.029251 10.38 10.49 ALEDO TEX INDPT SCH DIST 014464XS5 02/04/21 02/15/27 93.206 0.000 1.1701 20.99 0.030840 0.031020 0.031202 0.031384 0.031568 11.18 11.32 ALEDO TEX INDPT SCH DIST 014464XM8 02/04/21 02/15/23 99.169 0.000 0.4114 7.81 0.011404 0.50 ALEDO TEX INDPT SCH DIST 014464XN6 02/04/21 02/15/24 98.040 0.000 0.6542 12.30 0.017996 0.018055 0.018114 6.51 0.80 ALLEN TEX INDPT SCH DIST 018106UW2 05/27/21 02/15/27 91.292 0.000 1.5999 23.51 0.041367 0.041698 0.042032 0.042368 0.042707 15.04 15.28 ALLEN TEX INDPT SCH DIST 018106UV4 05/27/21 02/15/26 94.159 0.000 1.2800 19.36 0.034002 0.034220 0.034439 0.034659 0.034881 12.34 12.50 ALTERYX INC 02156BAA1 05/18/18 06/01/23 98.000 0.500 0.9072 18.31 0.011259 1.69 ALTERYX INC 02156BAB9 05/18/18 06/01/23 98.000 0.500 0.9072 18.31 0.011259 1.69 ALVARADO TEX INDPT SCH 022357H67 10/28/20 02/15/29 87.333 0.000 1.6390 31.57 0.040944 0.041279 0.041618 0.041959 0.042302 14.89 15.14 ALVARADO TEX INDPT SCH 022357H75 10/28/20 02/15/30 85.130 0.000 1.7390 32.69 0.042423 0.042792 0.043164 0.043539 0.043918 15.44 15.71 ALVARADO TEX INDPT SCH 022357H42 10/28/20 02/15/27 92.609 0.000 1.2230 24.89 0.032158 0.032355 0.032553 0.032752 0.032952 11.67 11.81 ALVARADO TEX INDPT SCH 022357H59 10/28/20 02/15/28 89.415 0.000 1.5390 30.33 0.039293 0.039596 0.039900 0.040207 0.040517 14.28 14.50 ALVARADO TEX INDPT SCH 022357H26 10/28/20 02/15/25 96.321 0.000 0.8741 18.45 0.023758 0.023862 0.023966 0.024071 0.024176 8.60 8.68 ALVARADO TEX INDPT SCH 022357H34 10/28/20 02/15/26 94.240 0.000 1.1230 23.24 0.029996 0.030164 0.030333 0.030504 0.030675 10.87 11.00 AMARILLO TEX INDPT SCH 023051YV1 10/14/20 02/01/24 97.347 0.000 0.8171 17.74 0.022421 0.022513 0.022604 8.12 0.68 AMARILLO TEX INDPT SCH 023051YW9 10/14/20 02/01/25 96.350 0.000 0.8671 18.64 0.023571 0.023673 0.023775 0.023879 0.023982 8.53 8.61 AMARILLO TEX INDPT SCH 023051YU3 10/14/20 02/01/23 98.612 0.000 0.6093 13.37 0.016874 0.51 ANHEUSER-BUSCH COMPANIES U00323AE2 11/13/18 02/01/36 93.636 4.700 5.2667 10.55 0.007803 0.008009 0.008220 0.008436 0.008658 2.91 3.06 ANHEUSER-BUSCH COMPANIES U00323AD4 11/13/18 02/01/26 96.122 3.650 4.2802 20.76 0.015094 0.015417 0.015747 0.016084 0.016428 5.59 5.83 ANHEUSER-BUSCH COMPANIES 03522AAD2 11/13/18 02/01/26 96.122 3.650 4.2802 20.76 0.015094 0.015417 0.015747 0.016084 0.016428 5.59 5.83 ANHEUSER-BUSCH COMPANIES 03522AAE0 11/13/18 02/01/36 93.636 4.700 5.2667 10.55 0.007803 0.008009 0.008220 0.008436 0.008658 2.91 3.06 ARGYLE TEX INDPT SCH DIS 040319L52 10/14/20 08/15/30 84.028 0.000 1.7770 33.58 0.042846 0.043227 0.043611 0.043998 0.044389 15.60 15.88 ARGYLE TEX INDPT SCH DIS 040319L29 10/14/20 08/15/25 95.120 0.000 1.0371 22.04 0.027929 0.028074 0.028220 0.028366 0.028513 10.12 10.23 ARGYLE TEX INDPT SCH DIS 040319L45 10/14/20 08/15/27 91.280 0.000 1.3390 27.38 0.034795 0.035028 0.035262 0.035498 0.035736 12.63 12.80 ARGYLE TEX INDPT SCH DIS 040319L37 10/14/20 08/15/26 92.991 0.000 1.2489 26.00 0.033007 0.033214 0.033421 0.033630 0.033840 11.98 12.13 ARLINGTON TEX INDPT SCH 0418265M6 07/30/20 02/15/24 95.925 0.000 1.1781 27.66 0.032154 0.032343 0.032534 11.66 1.43 Amgen Inc. 031162AK6 03/01/05 03/01/32 72.947 VARIES 4.4730 873.62 0.194071 0.198191 0.202402 0.206708 0.211085 71.61 74.68 Anywhere Real Estate Gro 75606DAS0 08/24/23 04/15/30 91.110 7.000 8.8000 0.028235 0.028500 0.029778 0.031056 3.60 10.68 Argentina, Republic 040114GB0 07/21/00 07/21/30 80.144 10.250 12.8670 74.46 0.026807 0.028531 0.030367 0.032320 0.034400 10.53 11.93 Azul Secured Finance LLP 05501WABB 07/14/23 05/28/30 83.250 10.875 14.8400 0.042813 0.042916 0.045598 0.049792 7.29 16.43 Azul Secured Finance LLP 05501WAA0 07/14/23 05/28/29 93.950 11.500 13.0000 0.021990 0.020551 0.021648 0.023437 3.69 7.82 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BANK OF AMERICA CORPORAT 06084WY46 09/28/22 09/28/27 100.000 VARIES 5.9700 15.08 0.163873 0.163792 0.163705 0.163613 0.164346 58.96 58.98 BANK OF MONTREAL 06368GZ83 08/31/22 02/28/30 100.000 0.000 4.0770 13.70 0.113250 0.115533 0.117888 0.120291 0.122743 41.75 43.47 BANK OF MONTREAL 06368GYR2 09/06/22 09/08/26 100.000 0.000 4.2130 13.46 0.117055 0.119521 0.122039 0.124609 0.127234 43.15 44.98 BANK OF MONTREAL 06368GYS0 08/31/22 08/31/26 100.000 0.000 4.1370 13.90 0.114917 0.117267 0.119720 0.122183 0.124724 42.38 44.15 BANK OF MONTREAL 06368GYT8 09/06/22 09/08/26 100.000 0.000 4.2130 13.46 0.117055 0.119521 0.122039 0.124609 0.127234 43.15 44.98 BANK OF MONTREAL 06368GYQ4 08/31/22 08/31/26 100.000 0.000 4.1370 13.90 0.114917 0.117267 0.119720 0.122183 0.124724 42.38 44.15 BANK OF MONTREAL 06374VAK2 10/31/22 04/30/24 100.000 0.000 5.4470 9.23 0.151306 0.155426 0.159659 55.72 19.00 BANK OF MONTREAL 06374VAL0 10/31/22 04/30/24 100.000 0.000 5.4470 9.23 0.151306 0.155426 0.159659 55.72 19.00 BANK OF MONTREAL 06374VSD4 09/22/22 09/23/24 100.000 0.000 4.1550 11.43 0.115417 0.117828 0.120276 0.122774 42.46 31.96 BANK OF MONTREAL 06374VAV8 11/01/22 05/01/24 100.000 0.000 5.3340 8.89 0.148167 0.152118 0.156175 54.53 18.74 BANK OF MONTREAL 06374VAW6 11/01/22 05/01/24 100.000 0.000 5.3340 8.89 0.148167 0.152118 0.156175 54.53 18.74 BANK OF MONTREAL 06374VAX4 10/31/22 10/30/26 100.000 0.000 5.4140 9.17 0.150389 0.154460 0.158641 0.162936 0.167346 55.38 58.41 BANK OF MONTREAL 06374VBR6 11/02/22 12/04/23 100.000 0.000 5.3340 8.76 0.148869 0.152840 50.29 BANK OF MONTREAL 06374V3V6 09/06/22 09/13/23 100.000 0.000 4.3830 14.01 0.121854 0.124524 31.19 BANK OF MONTREAL 06374V4T0 09/07/22 09/05/25 100.000 0.000 4.2850 13.57 0.119028 0.121550 0.124154 0.126814 0.129531 43.90 45.80 BANK OF MONTREAL 06374V4S2 09/20/22 09/22/25 100.000 0.000 4.0706 11.42 0.113098 0.115400 0.117748 0.120145 0.122590 41.59 43.30 BARCLAYS BANK PLC 06748XSU6 09/15/22 09/15/25 100.000 VARIES 3.2900 1.65 0.015556 0.015778 0.015944 0.015833 0.015722 5.69 5.70 BARCLAYS BANK PLC 06748XQP9 09/02/22 09/02/25 100.000 VARIES 3.3800 1.31 0.010944 0.011167 0.011278 0.011167 0.011111 4.02 4.02 BARCLAYS BANK PLC 06748XV81 09/23/22 09/25/25 100.000 0.000 5.6800 15.47 0.157828 0.162310 0.166919 0.171660 0.176535 58.50 61.87 BBVA GLOBAL SECURITIES 05552WLK4 11/22/22 11/22/24 100.000 0.000 5.5616 6.03 0.154489 0.158785 0.163200 0.167739 56.73 53.20 BEMIS COMPANY INC 081437AQ8 06/13/19 09/15/26 95.210 3.100 3.8632 21.79 0.018192 0.018543 0.018902 0.019267 0.019639 6.69 6.95 BETHEL OHIO LOC SCH DIST 086851DE9 07/28/20 11/01/25 92.621 0.000 1.4630 33.34 0.038899 0.039184 0.039470 0.039759 0.040050 14.09 14.30 BETHEL OHIO LOC SCH DIST 086851DD1 07/28/20 11/01/24 94.579 0.000 1.3130 30.51 0.035530 0.035763 0.035998 0.036234 12.86 10.84 BETHEL OHIO LOC SCH DIST 086851DC3 07/28/20 11/01/23 96.513 0.000 1.0921 25.84 0.030009 0.030172 9.03 BIOMARIN PHARMACEUTICAL 09061GAH4 08/11/17 08/01/24 98.000 0.599 0.8955 15.35 0.008091 0.008128 0.008164 0.008201 2.93 1.72 BLACKSTONE MORTGAGE TRUS 09257WAC4 03/27/18 03/15/23 98.500 4.750 5.0956 14.31 0.009362 0.69 BOFA Finance LLC 09709T5W7 07/30/21 07/30/31 100.000 VARIES 2.1299 30.11 0.058648 0.058385 0.058119 0.058179 0.058240 20.99 20.95 BOFA Finance LLC 09709T5V9 07/29/21 07/29/36 100.000 VARIES 2.5499 35.76 0.068727 0.068790 0.068853 0.068918 0.068983 24.77 24.82 BOFA Finance LLC 09709T5X5 08/03/21 08/03/31 100.000 VARIES 2.1400 30.00 0.058630 0.058672 0.058713 0.058755 0.058798 21.13 21.16 BOFA Finance LLC 09709T6D8 10/19/21 10/19/41 100.000 VARIES 2.9997 35.46 0.079968 0.080034 0.080101 0.080170 0.080239 28.81 28.86 BOFA Finance LLC 09709T6F3 11/17/21 11/17/31 100.000 VARIES 2.6999 30.17 0.074017 0.074065 0.074115 0.074164 0.074215 26.66 26.69 BOFA Finance LLC 09709TGH8 09/28/18 03/28/23 100.000 0.000 3.6451 166.33 0.116994 10.18 BOFA Finance LLC 09709T6E6 11/12/21 11/12/36 100.000 VARIES 2.6670 30.06 0.072344 0.072396 0.072448 0.072502 0.072555 26.06 26.10 BOFA Finance LLC 09709T6B2 09/24/21 09/24/31 100.000 VARIES 2.3499 29.63 0.064192 0.064247 0.064302 0.064357 0.064414 23.13 23.17 BOFA Finance LLC 09709T6A4 09/30/21 09/30/41 100.000 VARIES 3.0153 37.25 0.080819 0.080877 0.080935 0.080995 0.081056 29.12 29.16 BOFA Finance LLC 09709TXD8 11/27/19 11/28/24 100.000 0.000 2.3000 73.34 0.068430 0.069217 0.070013 0.070818 24.83 23.04 BOFA Finance LLC 09709T6N6 05/18/22 05/18/32 100.000 VARIES 4.7335 29.36 0.132494 0.133526 0.134582 0.135664 0.135446 47.97 48.68 BOFA Finance LLC 09709TGZ8 06/20/19 06/18/24 100.000 0.000 2.5962 95.35 0.078919 0.079944 0.080981 28.62 13.52 BOFA Finance LLC 09709TYU9 01/31/20 01/31/23 100.000 0.000 1.7000 50.67 0.049264 1.43 BOFA Finance LLC 09709TZV6 02/28/20 03/02/23 100.000 0.000 1.7400 50.47 0.050482 3.08 BOFA Finance LLC 09709TJL6 12/27/18 12/27/23 100.000 0.000 3.6325 155.35 0.116531 0.118648 41.87 BOFA Finance LLC 09709TJM4 01/31/19 01/26/24 100.000 0.000 3.3706 140.00 0.105209 0.106982 0.108785 38.75 2.72 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ BOFA Finance LLC 09709TJS1 09/28/18 09/28/23 100.000 0.000 3.7178 169.88 0.119666 0.121890 32.35 BOFA Finance LLC 09709TKK6 11/30/18 11/30/23 100.000 0.000 3.7226 162.69 0.119844 0.122075 39.83 BOFA Finance LLC 09709TKW0 10/31/18 10/31/23 100.000 0.000 3.7689 168.50 0.121556 0.123846 36.76 BOFA Finance LLC 09709TMV0 09/28/18 09/28/23 100.000 0.000 3.6449 166.32 0.116986 0.119118 31.62 BOFA Finance LLC 09710F496 04/29/22 04/17/25 100.000 0.000 3.6593 24.73 0.103384 0.105275 0.107202 0.109163 0.111160 37.84 39.24 BOFA Finance LLC 09709UTW8 10/25/21 10/27/28 100.000 0.000 1.9500 23.24 0.055234 0.055772 0.056316 0.056865 0.057419 20.05 20.44 BOFA Finance LLC 09709TTC5 08/30/19 03/02/23 100.000 0.000 2.0808 71.51 0.061509 3.75 BOFA Finance LLC 09709TTW1 07/31/19 01/31/23 100.000 0.000 2.2849 80.80 0.067946 1.97 BOFA Finance LLC 09709TUA7 07/31/19 01/31/24 100.000 0.000 2.3707 83.93 0.070677 0.071515 0.072363 25.85 2.10 BOFA Finance LLC 097098297 02/28/19 02/28/25 100.000 0.000 3.3423 135.84 0.104264 0.106006 0.107778 0.109579 0.111410 38.28 39.57 BOFA Finance LLC 09709TED9 04/10/18 05/01/23 100.000 0.250 3.1425 157.93 0.099562 11.95 BP CAPITAL MARKETS AMERI 10373QAZ3 12/14/18 04/14/27 97.935 3.588 3.8804 9.21 0.006831 0.006964 0.007099 0.007237 0.007377 2.50 2.60 BP CAPITAL MARKETS AMERI 10373QAV2 12/14/18 01/16/27 94.278 3.017 3.8468 26.43 0.019418 0.019792 0.020173 0.020561 0.020956 7.18 7.46 BP CAPITAL MARKETS AMERI 10373QAT7 12/14/18 05/04/26 95.741 3.119 3.7851 21.87 0.016227 0.016534 0.016847 0.017166 0.017491 5.93 6.16 BRAZOS TEX INDPT SCH DIS 106239FA9 03/23/21 02/15/23 99.058 0.000 0.5002 8.81 0.013860 0.61 BRENHAM TEX INDPT SCH DI 107133PH7 11/06/20 02/15/23 98.422 0.000 0.7003 14.93 0.019385 0.85 BRENHAM TEX INDPT SCH DI 107133PL8 11/06/20 02/15/26 93.491 0.000 1.2799 26.04 0.034000 0.034218 0.034437 0.034657 0.034879 12.34 12.50 BRENHAM TEX INDPT SCH DI 107133PM6 11/06/20 02/15/27 91.617 0.000 1.4001 27.94 0.036524 0.036779 0.037037 0.037296 0.037557 13.26 13.45 BRENHAM TEX INDPT SCH DI 107133PN4 11/06/20 02/15/28 88.094 0.000 1.7500 33.69 0.044168 0.044555 0.044944 0.045338 0.045734 16.08 16.36 BRENHAM TEX INDPT SCH DI 107133PJ3 11/06/20 02/15/24 96.943 0.000 0.9502 19.99 0.026021 0.026144 0.026269 9.42 1.16 BRENHAM TEX INDPT SCH DI 107133PK0 11/06/20 02/15/25 95.621 0.000 1.0501 21.81 0.028416 0.028565 0.028715 0.028866 0.029017 10.30 10.41 BROOKHAVEN N Y LOC DEV 113168BH0 10/29/20 10/01/25 98.910 4.500 4.7509 4.51 0.006054 0.006198 0.006345 0.006496 0.006650 2.23 2.34 BROOKS CNTY TEX INDPT SC 114385FS1 11/26/19 08/15/23 91.893 0.000 2.2856 67.04 0.062062 0.062771 14.03 BRYAN OHIO CITY SCH DIST 117529ER4 02/27/20 01/01/24 92.363 0.000 2.0769 55.92 0.056511 0.056511 20.45 BRYAN OHIO CITY SCH DIST 117529EQ6 02/27/20 01/01/23 94.597 0.000 1.9619 54.03 BURLESON TEX INDPT SCH 1214034B2 07/01/20 08/01/25 90.706 0.000 1.9281 44.59 0.050561 0.051049 0.051541 0.052038 0.052539 18.44 18.79 BURLESON TEX INDPT SCH 1214034A4 07/01/20 08/01/24 92.838 0.000 1.8281 43.22 0.048966 0.049413 0.049865 0.050321 17.84 10.55 BURLESON TEX INDPT SCH 1214033Z0 07/01/20 08/01/23 95.342 0.000 1.5529 37.60 0.042473 0.042803 8.98 BURLESON TEX INDPT SCH 1214034C0 07/01/20 08/01/26 87.833 0.000 2.1439 48.11 0.054683 0.055269 0.055862 0.056460 0.057066 19.97 20.40 BURLESON TEX INDPT SCH 1214034E6 07/01/20 08/01/28 82.817 0.000 2.3459 49.74 0.056655 0.057320 0.057992 0.058673 0.059361 20.72 21.21 BURLESON TEX INDPT SCH 1214034D8 07/01/20 08/01/27 85.379 0.000 2.2439 49.00 0.055751 0.056377 0.057009 0.057649 0.058296 20.37 20.83 BURLESON TEX INDPT SCH 1214034F3 07/01/20 08/01/29 80.401 0.000 2.4159 49.77 0.056726 0.057411 0.058104 0.058806 0.059517 20.75 21.26 Banco de Galicia 059538AR9 07/19/16 07/19/26 100.000 VARIES 8.7499 573.47 0.249233 0.248571 0.247881 0.247160 0.246407 89.39 88.87 Banco de Galicia y Bueno P0R66CAA6 07/19/16 07/19/26 100.000 VARIES 0.0000 573.47 0.249233 0.248571 0.247881 0.247160 0.246407 89.39 88.87 Bank Of Montreal 06374V3D6 09/09/22 06/06/25 100.000 0.000 4.2780 13.34 0.120062 0.122630 0.125253 0.127932 0.130669 43.81 45.71 Bank Of Montreal 06374VF43 12/27/22 12/28/26 100.000 0.000 4.8310 0.54 0.134194 0.137454 0.140774 0.144175 0.147657 48.92 51.31 Bank Of Montreal 06374VFG6 12/28/22 01/29/24 100.000 0.000 5.5200 0.46 0.153333 0.154062 0.158314 56.09 4.43 Bank Of Montreal 06374VFH4 12/28/22 06/28/24 100.000 0.000 5.2960 0.44 0.147111 0.151007 0.155005 53.68 27.44 Bank Of Montreal 06374VFE1 12/27/22 01/29/24 100.000 0.000 5.4600 0.61 0.151667 0.152403 0.156563 55.48 4.38 Bank Of Montreal 06374VFF8 12/27/22 06/27/24 100.000 0.000 5.2200 0.58 0.145000 0.148784 0.152668 52.91 26.87 Bank Of Montreal 06374VH25 12/20/22 12/18/25 100.000 0.000 4.8960 1.50 0.136000 0.139292 0.142702 0.146196 0.149774 49.64 52.09 Bank Of Montreal 06374VGA8 12/28/22 12/29/25 100.000 0.000 4.8850 0.41 0.135694 0.139027 0.142423 0.145902 0.149465 49.46 51.91 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank Of Montreal 06374VGZ3 12/20/22 12/18/25 100.000 0.000 4.8960 1.50 0.136000 0.139292 0.142702 0.146196 0.149774 49.64 52.09 Bank Of Montreal 06374VHM1 01/31/23 01/29/27 100.000 0.000 4.8961 0.136003 0.139314 0.142724 0.146218 45.52 51.82 Bank Of Montreal 06374VJ23 01/31/23 07/31/24 100.000 0.000 5.5803 0.155008 0.159333 0.163779 51.96 34.10 Bank Of Montreal 06374VJ31 01/31/23 10/31/24 100.000 0.000 5.4607 0.151686 0.153757 0.157955 0.162268 50.96 48.00 Bank Of Montreal 06374VJ56 02/03/23 10/31/24 100.000 0.000 5.3926 0.149794 0.151747 0.155838 0.160040 49.85 47.35 Bank Of Montreal 06374VJ49 02/03/23 07/31/24 100.000 0.000 5.4964 0.152678 0.156804 0.161113 50.70 33.55 Bank of America Corp 09709T6Z9 05/11/23 05/14/24 100.000 0.000 5.1500 0.143056 0.143117 0.146802 33.09 19.52 Bank of America Corp 09709T7B1 05/09/23 05/10/24 100.000 0.000 5.2200 0.145000 0.148806 33.83 19.20 Bank of America Corp 09709T7A3 05/09/23 05/10/24 100.000 0.000 5.2200 0.145000 0.148806 33.83 19.20 Bank of America Corp 06048WZ52 10/20/22 10/20/27 100.000 0.000 5.3793 10.61 0.149425 0.153444 0.157571 0.161809 0.166161 55.09 58.10 Bank of America Corp 09709V6D3 10/21/22 10/20/25 100.000 0.000 5.4000 10.50 0.150000 0.154028 0.158186 0.162457 0.166844 55.31 58.33 Bank of America Corp. 06048WHN3 09/30/11 09/30/31 100.000 VARIES 5.3142 562.17 0.140759 0.141061 0.141371 0.141689 0.142016 50.78 51.01 Bank of America Corp. 06048WZE3 02/06/19 02/06/39 100.000 0.000 4.7730 202.18 0.156384 0.160116 0.163937 0.167850 0.171856 58.07 60.87 Bank of America Corp. 06048WGR5 07/14/11 07/14/23 100.000 VARIES 5.1475 588.31 0.142894 0.142940 27.59 Bank of America Corp. 06048WHF0 08/26/11 08/26/31 100.000 VARIES 5.0293 537.69 0.133467 0.133745 0.134030 0.134323 0.134623 48.17 48.38 Bank of America Corp. 06048WHA1 08/15/11 08/15/23 100.000 VARIES 4.7457 538.77 0.131763 0.131793 29.52 Bank of America Corp. 06048WG61 12/23/19 12/23/49 100.000 0.000 3.6664 116.07 0.113572 0.115654 0.117775 0.119934 0.122132 41.29 42.82 Bank of America Corp. 06048WWY2 06/27/18 06/27/28 100.000 VARIES 3.6179 26.57 0.015438 0.015717 0.016002 0.016291 0.016586 5.61 5.82 Bank of America Corp. 06048WWX4 06/13/18 06/13/28 100.000 VARIES 3.6250 22.92 0.013747 0.013996 0.014250 0.014508 0.014771 5.00 5.19 Bank of America Corp. 06048WFJ4 03/04/11 03/04/31 100.000 VARIES 5.6399 639.22 0.151747 0.151976 0.152212 0.152454 0.152704 54.72 54.90 Bank of America Corp. 06048WGF1 06/16/11 06/16/23 100.000 VARIES 4.8974 564.75 0.136026 22.44 Bank of America Corp. 06048WET3 12/15/10 12/15/30 100.000 VARIES 5.9911 665.44 0.156392 0.156890 0.157402 0.157930 0.158474 56.41 56.78 Bank of America Corp. 06048WEJ5 11/19/10 11/19/30 100.000 VARIES 5.6999 644.84 0.150244 0.150649 0.151067 0.151496 0.151938 54.20 54.50 Bank of America Corp. 06048WVM9 01/30/18 01/30/28 100.000 VARIES 3.1591 18.01 0.010031 0.010190 0.010351 0.010514 0.010680 3.69 3.81 Bank of America Corp. 06048WWA4 03/27/18 03/27/28 100.000 VARIES 3.7904 180.85 0.105491 0.105474 0.105457 0.105440 0.105423 37.97 37.96 Bank of America Corp. 06048WUR9 08/25/17 08/25/29 100.000 VARIES 1.6609 14.90 0.007692 0.007755 0.007820 0.007885 0.007950 2.80 2.84 Bank of America Corp. 06048WUT5 08/28/17 08/28/27 100.000 VARIES 1.7157 19.36 0.010092 0.010178 0.010266 0.010354 0.010443 3.67 3.73 Bank of America Corp. 06048WEE6 10/14/10 10/15/30 100.000 VARIES 5.2017 588.84 0.136427 0.136840 0.137264 0.137698 0.138144 49.25 49.56 Bank of America Corp. 06051GHN2 08/29/18 12/15/37 43.329 0.000 4.3817 89.69 0.063530 0.064922 0.066344 0.067798 0.069283 23.17 24.19 Bank of America Corp. 06048WTR1 10/28/16 10/28/26 100.000 VARIES 2.1950 16.87 0.007763 0.007848 0.007934 0.008021 0.008109 2.82 2.88 Bank of America Corp. 06048WB74 08/02/19 08/02/49 100.000 0.000 4.1568 150.83 0.130635 0.133350 0.136122 0.138951 0.141839 48.34 50.37 Bank of America Corp. 06048WRV4 10/30/15 10/30/25 100.000 VARIES 2.4485 23.25 0.009258 0.009371 0.009486 0.009602 0.009720 3.37 3.45 Bank of America Corp. 06048WRU6 09/30/15 09/30/30 100.000 VARIES 2.8047 45.66 0.016332 0.016561 0.016793 0.017029 0.017268 5.96 6.13 Bank of America Corp. 06048WPF1 10/10/13 10/10/33 100.000 VARIES 4.7034 415.52 0.125871 0.126040 0.126212 0.126388 0.126569 45.37 45.50 Bank of America Corp. 06048WPE4 09/23/13 09/23/33 100.000 VARIES 4.8735 432.42 0.130320 0.130496 0.130677 0.130862 0.131052 46.98 47.11 Bank of America Corp. 06048WPJ3 12/23/13 12/23/33 100.000 VARIES 4.8649 420.81 0.130319 0.130487 0.130659 0.130835 0.131016 46.95 47.07 Bank of America Corp. 06048WPD6 08/30/13 08/30/33 100.000 VARIES 4.9958 447.93 0.132461 0.131902 0.132071 0.132244 0.133150 48.20 48.50 Bank of America Corp. 06048WPB0 08/06/13 08/06/33 100.000 VARIES 4.8453 436.83 0.129779 0.129947 0.130119 0.130296 0.130476 46.80 46.93 Bank of America Corp. 06048WPN4 03/20/14 03/20/34 100.000 VARIES 4.4527 373.59 0.118822 0.118987 0.119155 0.119326 0.119502 42.84 42.96 Bank of America Corp. 06048WPM6 02/28/14 02/29/24 100.000 VARIES 3.7879 326.59 0.103787 0.102369 0.103775 37.62 6.12 Bank of America Corp. 06048WNZ9 07/11/13 07/11/33 100.000 VARIES 5.0043 454.12 0.133925 0.134101 0.134281 0.134466 0.134656 48.31 48.44 Bank of America Corp. 06053M864 02/12/15 02/26/27 100.000 0.000 3.3492 299.49 0.119506 0.121507 0.123542 0.125611 0.127714 43.89 45.37 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of America Corporat 06055JAF6 02/28/23 03/28/24 100.000 VARIES 6.2400 0.017333 0.014778 0.024138 4.86 6.47 Bank of America Corporat 09709T6G1 04/13/22 10/17/24 100.000 0.000 3.1000 22.32 0.087476 0.088832 0.090209 0.091607 31.94 26.05 Bank of America Corporat 09709T6P1 05/31/22 10/02/24 100.000 0.000 3.3400 19.67 0.093828 0.095395 0.096988 0.098608 34.34 26.58 Bank of America Corporat 09709T6Q9 07/28/22 07/28/32 100.000 0.000 4.5700 19.42 0.126944 0.129845 0.132812 0.135847 0.138951 47.12 49.30 Bank of America Corporat 06048WZ78 11/10/22 11/10/25 100.000 VARIES 4.1100 0.99 0.019011 0.019185 0.019780 0.019402 0.019558 7.01 7.16 Bank of America Corporat 06048WW30 07/06/22 07/06/27 100.000 0.000 4.5900 22.31 0.127500 0.130426 0.133419 0.136481 0.139614 47.46 49.67 Bank of America Corporat 09709VCZ7 12/20/22 12/18/25 100.000 0.000 4.5500 1.39 0.126389 0.129232 0.132172 0.135179 0.138255 46.09 48.20 Bank of America Corporat 06048W2C3 11/15/22 11/15/27 100.000 VARIES 5.4300 6.71 0.149359 0.147400 0.146739 0.146808 0.147114 53.19 52.81 Bank of America Corporat 06048W2F6 11/10/22 11/09/29 100.000 VARIES 5.3600 0.83 0.015989 0.013696 0.011648 0.011793 0.012376 5.20 4.33 Bank of America Corporat 09711AAU2 07/12/23 07/09/26 115.000 3.500 5.3000 0.148345 0.170637 0.172583 24.73 61.75 Bank of America Corporat 09710F660 07/01/22 06/24/25 100.000 0.000 4.3100 21.57 0.122202 0.124835 0.127526 0.130274 0.133081 44.50 46.44 Bank of America Corporat 09709UV70 05/25/22 05/25/27 100.000 0.600 3.9100 23.41 0.110409 0.112241 0.114109 0.116014 0.117957 40.21 41.56 Bank of America Corporat 09711A5U8 07/06/23 07/02/26 115.000 4.000 5.2600 0.168028 0.169427 0.170960 29.24 61.26 Bank of America Corporat 09709VLA2 03/23/23 03/25/25 100.000 0.000 4.7300 0.131389 0.131423 0.134532 0.137713 0.140970 36.83 49.62 Bank of Montreal 06374VM86 02/28/23 11/29/24 100.000 0.000 5.7347 0.159297 0.161606 0.166240 0.171007 48.90 55.38 Bank of Montreal 06374VM78 03/01/23 09/03/24 100.000 0.000 5.8987 0.163853 0.163906 0.168741 0.173717 49.74 41.73 Bank of Montreal 06374VM94 03/01/23 12/02/24 100.000 0.000 5.8383 0.162175 0.164568 0.169372 0.174317 49.29 56.95 Bank of Montreal 06374VLP9 02/28/23 02/26/27 100.000 0.000 5.3613 0.148925 0.152873 0.156971 0.161179 45.62 56.81 Bank of Montreal 06374VMA1 02/28/23 02/29/28 100.000 0.000 5.3772 0.149367 0.153405 0.157529 0.161765 45.75 56.99 Bank of Montreal 06374VPA8 03/31/23 03/31/27 100.000 0.000 5.1052 0.141811 0.145431 0.149143 0.152950 38.76 53.71 Bank of Montreal 06374VP75 02/28/23 02/28/25 100.000 0.000 5.6621 0.157281 0.161733 0.166312 0.171020 48.20 60.19 Bank of Montreal 06368GZZ3 08/22/22 08/22/25 100.000 0.000 4.0150 14.39 0.111528 0.113767 0.116051 0.118380 0.120757 41.14 42.80 Bank of Montreal 06368GZK6 08/09/22 08/11/25 100.000 0.000 3.7530 14.81 0.104272 0.106228 0.108222 0.110253 0.112321 38.44 39.90 Bank of Montreal 06368GZG5 08/16/22 08/16/27 100.000 0.000 3.9460 14.80 0.109611 0.111774 0.113979 0.116228 0.118521 40.44 42.05 Bank of Montreal 06374VPW0 03/31/23 09/30/24 100.000 0.000 5.4726 0.152017 0.156176 0.160450 41.58 42.78 Bank of Montreal 06374VQ82 04/05/23 10/07/24 100.000 0.000 5.4887 0.152464 0.152510 0.156696 0.160996 40.92 44.02 Bank of Montreal 06374VQ74 04/05/23 01/06/25 100.000 0.000 5.3699 0.149164 0.151189 0.155248 0.159416 40.03 56.60 Bank of Montreal 06374VQ90 04/05/23 04/06/26 100.000 0.000 5.0618 0.140606 0.144184 0.147833 0.151575 37.71 53.19 Bank of Montreal 06374VPX8 03/31/23 03/31/28 100.000 0.000 5.1355 0.142653 0.146316 0.150073 0.153926 38.99 54.04 Bank of Montreal 06374VR32 03/29/23 03/31/25 100.000 0.000 4.9773 0.138258 0.138277 0.141719 0.145246 0.148860 37.92 52.30 Bank of Montreal 06374VQF6 04/05/23 04/06/26 100.000 0.000 5.0618 0.140606 0.144184 0.147833 0.151575 37.71 53.19 Bank of Montreal 06374VAD8 10/19/22 04/22/30 100.000 0.000 5.1600 10.32 0.143395 0.147095 0.150890 0.154783 0.158776 52.81 55.57 Bank of Montreal 06375MA39 08/29/23 08/22/28 100.000 0.000 5.2577 0.146047 0.149737 0.153674 17.82 54.23 Bank of Montreal 06368GXV4 07/29/22 07/31/25 100.000 0.000 3.8040 16.06 0.105678 0.107688 0.109736 0.111823 0.113950 39.02 40.52 Bank of Montreal 06368GY27 07/29/22 07/29/25 100.000 VARIES 3.7700 15.88 0.104422 0.103770 0.103352 0.103673 0.103998 37.30 37.36 Bank of Montreal 06374VAS5 10/13/22 04/03/25 100.000 0.000 5.2430 11.36 0.145639 0.149245 0.153157 0.157172 0.161292 53.74 56.58 Bank of Montreal 06368GXH5 07/20/22 07/22/24 100.000 0.000 3.9580 17.70 0.109969 0.112145 0.114364 0.116628 40.68 23.39 Bank of Montreal 06368GWT0 07/29/22 07/31/26 100.000 0.000 3.8220 16.14 0.106178 0.108207 0.110275 0.112382 0.114530 39.21 40.72 Bank of Montreal 06368GWU7 08/01/22 08/03/26 100.000 0.000 3.8040 15.85 0.105689 0.107699 0.109748 0.111835 0.113962 39.01 40.51 Bank of Montreal 06368GWG8 07/06/22 07/05/24 100.000 0.000 3.7490 18.22 0.104139 0.106080 0.108069 0.110094 38.53 20.25 Bank of Montreal 06375M2B0 08/02/23 08/03/26 100.000 0.000 5.6200 0.156111 0.160522 0.165033 23.26 58.31 Bank of Montreal 06375M2D6 07/31/23 07/31/26 100.000 0.000 5.5367 0.153797 0.158055 0.162430 23.22 57.44 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Bank of Montreal 06368GW78 07/11/22 07/11/25 100.000 VARIES 3.8970 18.38 0.108101 0.107498 0.107112 0.107407 0.107709 38.64 38.71 Bank of Montreal 06374VTS5 05/31/23 05/28/27 100.000 0.000 5.3109 0.147525 0.151399 0.155419 0.159546 31.26 55.50 Bank of Montreal 06374VU95 05/31/23 02/28/25 100.000 0.000 5.7877 0.160769 0.163044 0.167762 0.172617 34.20 60.72 Bank of Montreal 06374VCY0 11/28/22 11/28/25 100.000 0.000 5.3110 4.87 0.147528 0.151445 0.155467 0.159595 0.163833 54.08 56.99 Bank of Montreal 06374VUE4 05/31/23 05/31/28 100.000 0.000 5.2471 0.145753 0.149577 0.153501 0.157528 30.87 54.80 Bank of Montreal 06374VUF1 06/05/23 06/05/26 100.000 0.000 5.2623 0.146175 0.150021 0.153968 0.158020 30.21 54.93 Bank of Montreal 06374VCZ7 11/30/22 11/30/26 100.000 0.000 5.0620 4.36 0.140611 0.144170 0.147819 0.151560 0.155396 51.48 54.12 Bank of Montreal 06374V2Z8 08/24/22 08/24/27 100.000 0.000 4.0600 14.32 0.112778 0.115067 0.117403 0.119786 0.122218 41.60 43.31 Bank of Montreal 06374VUA2 06/05/23 03/05/25 100.000 0.000 5.6563 0.157119 0.159341 0.163848 0.168481 32.62 59.23 Bank of Montreal 06374VUB0 05/31/23 11/29/24 100.000 0.000 5.9154 0.164317 0.169150 0.174153 34.83 56.38 Bank of Montreal 06374VUC8 06/05/23 12/05/24 100.000 0.000 5.7806 0.160572 0.165213 0.169988 33.20 56.04 Bank of Montreal 06368GV20 07/01/22 07/01/26 100.000 0.000 4.0508 20.25 0.114801 0.114801 0.119499 0.119499 0.124388 41.75 43.46 Bank of Montreal 06374VDT0 12/02/22 12/02/27 100.000 0.500 4.9700 4.00 0.134918 0.142499 0.145728 0.147372 0.152432 50.91 53.25 Bank of Montreal 06374VE85 11/16/22 11/16/26 100.000 0.000 5.4710 6.84 0.151972 0.156129 0.160400 0.164788 0.169296 55.84 58.93 Bank of Montreal 06374VDY9 11/28/22 11/28/25 100.000 0.000 5.3110 4.87 0.147528 0.151445 0.155467 0.159595 0.163833 54.08 56.99 Bank of Montreal 06374VDL7 11/30/22 05/31/24 100.000 0.000 5.5490 4.78 0.154139 0.158415 0.162811 56.53 24.26 Bank of Montreal 06374VDN3 12/02/22 01/02/24 100.000 0.000 5.6820 4.58 0.157833 0.158581 0.163086 57.89 0.16 Bank of Montreal 06374VDM5 11/30/22 12/29/23 100.000 0.000 5.6840 4.90 0.158612 0.163120 57.59 Bank of Montreal 06374VDP8 12/02/22 12/02/26 100.000 0.434 5.0600 4.08 0.141864 0.145120 0.148460 0.151885 0.155398 51.85 54.26 Bank of Montreal 06374V4D5 10/03/22 10/05/26 100.000 0.000 4.9900 12.20 0.138650 0.142109 0.145654 0.149289 0.153013 51.14 53.72 Bank of Montreal 06374V4E3 09/30/22 09/30/26 100.000 0.000 5.2120 13.17 0.144778 0.148551 0.152422 0.156394 0.160470 53.49 56.32 Bank of Montreal 06374V4F0 10/03/22 10/05/26 100.000 0.000 4.9900 12.20 0.138650 0.142109 0.145654 0.149289 0.153013 51.14 53.72 Bank of Montreal 06374VVL7 06/05/23 06/05/26 100.000 0.000 5.2623 0.146175 0.150021 0.153968 0.158020 30.21 54.93 Bank of Montreal 06374VEC6 11/23/22 11/21/25 100.000 0.000 5.3400 5.64 0.148333 0.152250 0.156315 0.160489 0.164774 54.42 57.36 Bank of Montreal 06374V4C7 09/30/22 09/30/26 100.000 0.000 5.2120 13.17 0.144778 0.148551 0.152422 0.156394 0.160470 53.49 56.32 Bank of Montreal 06374VED4 11/23/22 11/23/27 100.000 0.000 5.1440 5.43 0.142889 0.146564 0.150334 0.154200 0.158166 52.38 55.11 Bank of Montreal 06375M4R3 08/31/23 08/31/27 100.000 0.000 5.7618 0.160050 0.164635 0.169405 19.37 59.58 Bank of Montreal 06374V5G7 09/30/22 09/30/26 100.000 0.000 5.2120 13.17 0.144778 0.148551 0.152422 0.156394 0.160470 53.49 56.32 Bank of Montreal 06374V5W2 10/13/22 10/14/25 100.000 0.000 5.2400 11.35 0.145556 0.149390 0.153304 0.157321 0.161443 53.69 56.54 Bank of Montreal 06374V5R3 09/20/22 09/22/25 100.000 0.000 4.7090 13.21 0.130840 0.133920 0.137074 0.140301 0.143604 48.27 50.57 Bank of Montreal 06374V7J9 10/12/22 04/14/25 100.000 0.000 5.2430 11.51 0.145681 0.149500 0.153419 0.157441 0.161569 53.73 56.58 Bank of Montreal 06374V7A8 10/04/22 10/05/26 100.000 0.000 5.1600 12.47 0.143333 0.147052 0.150846 0.154738 0.158730 52.92 55.68 Bank of Montreal 06374VYJ9 07/31/23 07/30/27 100.000 0.000 5.4014 0.150039 0.154091 0.158253 22.66 55.98 Bank of Nova Scotia 06417P819 11/01/18 10/25/24 100.000 0.000 3.9550 177.31 0.128409 0.130948 0.133538 0.136179 47.02 39.74 Bank of Nova Scotia 06417P611 12/28/18 12/20/24 100.000 0.000 3.9396 169.29 0.127806 0.130324 0.132891 0.135509 46.52 46.85 Bank of Nova Scotia 064159X92 06/16/21 06/16/36 100.000 VARIES 2.3423 35.61 0.063035 0.062867 0.062791 0.062763 0.062759 22.66 22.60 Bank of Nova Scotia 06417P124 08/01/19 07/26/24 100.000 0.000 2.5003 88.62 0.074803 0.075738 0.076685 0.077643 27.39 15.89 Bank of Nova Scotia 06417P538 01/31/19 01/27/23 100.000 0.000 3.6098 150.56 0.113615 2.95 Bank of Nova Scotia 06417P330 06/06/19 05/30/25 100.000 0.000 3.0038 112.31 0.092572 0.093963 0.095374 0.096806 0.098260 33.66 34.68 Barclay Bank PLC 06748C362 12/20/22 12/18/25 100.000 0.000 5.3400 1.63 0.148333 0.152250 0.156315 0.160489 0.164774 54.21 57.13 Barclay Bank PLC 06749NDP4 12/27/22 12/29/25 100.000 0.000 5.5000 0.61 0.152824 0.157027 0.161345 0.165782 0.170341 55.79 58.90 Barclay Bank PLC 06749NDD1 12/30/22 12/30/27 100.000 0.000 5.2500 0.15 0.145833 0.149661 0.153590 0.157622 0.161759 53.20 56.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclay Bank PLC 06749NBW1 01/05/23 01/03/25 100.000 0.000 5.5900 0.155278 0.159570 0.164030 0.168614 56.04 59.86 Barclay Bank PLC 06749NBL5 01/05/23 01/05/26 100.000 0.000 5.5000 0.152778 0.156979 0.161296 0.165732 55.13 58.83 Barclay Bank PLC 06749NBM3 01/05/23 01/04/28 100.000 0.000 5.4800 0.152222 0.156370 0.160654 0.165056 54.93 58.60 Barclay Bank PLC 06749NAW2 12/30/22 12/29/25 100.000 0.000 5.5400 0.15 0.153889 0.158128 0.162508 0.167010 0.171636 56.18 59.33 Barclay Bank PLC 06749NB50 12/27/22 12/27/26 100.000 0.000 5.5600 0.62 0.154444 0.158738 0.163151 0.167687 0.172348 56.41 59.59 Barclay Bank PLC 06749NB68 12/27/22 12/24/27 100.000 0.000 5.5300 0.61 0.153611 0.157788 0.162150 0.166634 0.171241 56.11 59.24 Barclay Bank PLC 06749N7J5 01/03/23 07/03/25 100.000 0.000 5.5000 0.152778 0.156979 0.161296 0.165732 55.44 58.85 Barclay Bank PLC 06749N7K2 01/03/23 01/04/27 100.000 0.000 5.5500 0.154167 0.158469 0.162866 0.167386 55.95 59.42 Barclay Bank PLC 06749N7F3 12/28/22 12/27/24 100.000 0.000 5.5800 0.47 0.155000 0.159300 0.163745 0.168313 56.61 59.12 Barclay Bank PLC 06749N7G1 12/28/22 12/26/25 100.000 0.000 5.5100 0.46 0.153056 0.157225 0.161557 0.166008 0.170581 55.89 59.01 Barclay Bank PLC 06749NFL1 01/06/23 01/09/24 100.000 0.000 5.6900 0.158056 0.158131 0.162629 56.91 1.30 Barclays Bank PLC 06741TRR0 04/09/13 04/09/28 100.000 VARIES 3.5338 285.50 0.083389 0.084863 0.086347 0.087857 0.089394 30.53 31.61 Barclays Bank PLC 06745M5A2 05/03/23 05/03/28 100.000 0.000 4.8400 0.134444 0.137698 0.141030 0.144443 32.19 50.56 Barclays Bank PLC 06741TRP4 03/28/13 03/28/33 100.000 VARIES 3.9300 256.01 0.072546 0.073972 0.075426 0.076908 0.078419 26.64 27.70 Barclays Bank PLC 06746XQ63 10/03/18 06/30/23 100.000 0.000 3.9789 182.08 0.130637 23.38 Barclays Bank PLC 06748X3E9 02/03/22 02/03/27 100.000 0.000 2.2900 20.97 0.064340 0.065076 0.065821 0.066575 0.067337 23.51 24.06 Barclays Bank PLC 06747PSV2 06/03/20 06/01/23 100.000 0.000 1.5201 39.81 0.043850 6.58 Barclays Bank PLC 06738G8A1 01/30/20 02/04/25 104.000 0.000 2.1300 66.37 0.064895 0.065586 0.066285 0.066991 0.067704 23.69 24.20 Barclays Bank PLC 06747MJP2 03/14/19 03/14/29 100.000 VARIES 3.5244 19.70 0.013577 0.013817 0.014060 0.014308 0.014560 4.98 5.16 Barclays Bank PLC 06748XDD0 02/28/22 02/28/28 100.000 0.000 2.5100 21.23 0.070597 0.071483 0.072380 0.073288 0.074208 25.79 26.44 Barclays Bank PLC 06748XDE8 02/22/22 02/22/27 100.000 VARIES 0.7226 2.75 0.008834 0.008706 0.008738 0.008769 0.008801 3.14 3.16 Barclays Bank PLC 06748X3D1 01/31/22 01/25/29 100.000 0.000 2.4390 22.55 0.068552 0.069388 0.070235 0.071091 0.071958 25.09 25.71 Barclays Bank PLC 06745MF86 07/05/23 04/05/27 100.000 0.000 5.5600 0.154444 0.156591 0.160944 0.165419 27.37 57.92 Barclays Bank PLC 06748X3A7 01/26/22 01/25/29 100.000 0.000 2.5200 23.59 0.070877 0.071770 0.072674 0.073590 0.074517 25.96 26.62 Barclays Bank PLC 06747NML5 11/29/19 11/27/24 100.000 0.000 2.4500 78.13 0.073203 0.074100 0.075007 0.075926 26.58 24.62 Barclays Bank PLC 06748XDC2 03/03/22 03/04/27 100.000 0.000 2.4799 20.63 0.069745 0.070610 0.071485 0.072372 0.073269 25.47 26.10 Barclays Bank PLC 06747NMK7 11/29/19 05/27/25 100.000 0.000 2.3900 76.16 0.071284 0.072136 0.072998 0.073870 0.074753 25.87 26.50 Barclays Bank PLC 06748X2Z3 01/26/22 01/26/27 100.000 0.000 2.2400 20.95 0.062919 0.063624 0.064336 0.065057 0.065785 23.00 23.52 Barclays Bank PLC 06747PBH1 02/28/20 02/26/27 100.000 0.000 1.8200 52.84 0.052893 0.053374 0.053860 0.054350 0.054844 19.25 19.60 Barclays Bank PLC 06747PBK4 03/04/20 03/04/24 100.000 0.000 1.5201 43.71 0.043853 0.044186 0.044522 15.93 2.80 Barclays Bank PLC 06747PBJ7 02/28/20 02/28/25 100.000 0.000 1.6100 46.63 0.046552 0.046927 0.047304 0.047685 0.048069 16.92 17.19 Barclays Bank PLC 06741UDA9 05/30/14 05/30/34 100.000 VARIES 3.8795 276.74 0.085289 0.086157 0.087041 0.087942 0.089071 30.91 31.56 Barclays Bank PLC 06745MEK0 06/01/23 11/30/26 100.000 0.000 5.3700 0.149167 0.153150 0.157262 0.161484 31.45 56.13 Barclays Bank PLC 06748XTR2 10/05/22 10/05/27 100.000 0.000 5.8000 13.86 0.161111 0.165783 0.170591 0.175538 0.180629 59.66 63.17 Barclays Bank PLC 06747QVE4 01/27/21 01/27/28 100.000 0.000 1.4100 27.46 0.040001 0.040283 0.040567 0.040853 0.041141 14.54 14.74 Barclays Bank PLC 06748XTP6 10/05/22 10/03/25 100.000 0.000 5.7600 13.76 0.160000 0.164557 0.169296 0.174172 0.179188 59.24 62.69 Barclays Bank PLC 06749NQL9 02/23/23 02/22/27 100.000 0.000 5.8300 0.161944 0.166639 0.171496 0.176496 50.48 62.14 Barclays Bank PLC 06747QVF1 01/27/21 06/26/26 100.000 0.000 1.2699 24.71 0.036142 0.036371 0.036602 0.036834 0.037068 13.05 13.22 Barclays Bank PLC 06748XTQ4 10/05/22 10/03/25 100.000 0.000 5.8100 13.88 0.161389 0.166025 0.170848 0.175811 0.180919 59.77 63.28 Barclays Bank PLC 06747QVA2 01/29/21 01/31/28 100.000 0.000 1.4406 27.98 0.040888 0.041183 0.041480 0.041778 0.042079 14.86 15.08 Barclays Bank PLC 06741VXB3 06/30/17 06/28/23 100.000 0.000 2.8299 167.23 0.091734 16.24 Barclays Bank PLC 06747MJ72 03/11/19 03/11/26 100.000 VARIES 3.1873 15.83 0.011695 0.011881 0.012070 0.012263 0.012458 4.29 4.42 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741VXA5 06/30/17 06/27/24 100.000 0.000 2.9300 173.59 0.095487 0.096886 0.098305 34.64 17.30 Barclays Bank PLC 06745MVG0 08/21/23 09/03/27 100.000 0.000 5.8000 0.161111 0.161423 0.166104 0.170921 20.98 60.08 Barclays Bank PLC 06745N7G5 08/17/23 08/29/24 100.000 0.000 6.0000 0.166667 0.167000 0.172010 22.37 40.65 Barclays Bank PLC 06747Q3Z8 07/31/20 07/30/27 100.000 0.000 1.8100 44.57 0.052123 0.052594 0.053070 0.053551 0.054035 18.99 19.34 Barclays Bank PLC 06747PAX7 03/04/20 08/31/23 100.000 0.000 1.5212 43.75 0.043880 0.044210 10.55 Barclays Bank PLC 06747PB57 02/07/20 08/08/23 100.000 0.000 1.8700 55.47 0.054421 0.054930 11.90 Barclays Bank PLC 06745NGX8 10/04/23 10/04/28 100.000 0.000 5.9300 0.164722 0.169606 0.174635 14.33 61.04 Barclays Bank PLC 06745MUY2 08/02/23 10/01/24 100.000 0.000 5.9400 0.165000 0.166606 0.171554 24.73 45.87 Barclays Bank PLC 06746P795 02/05/18 02/03/23 100.000 0.000 3.3800 178.74 0.109152 3.49 Barclays Bank PLC 06747MZK5 06/14/19 06/15/23 100.000 0.000 2.9300 108.70 0.090118 14.78 Barclays Bank PLC 06741VG30 01/27/17 01/25/23 100.000 0.000 3.1501 203.57 0.103896 2.49 Barclays Bank PLC 06749NPY2 02/21/23 01/21/26 100.000 0.000 5.6400 0.156667 0.160348 0.164870 0.169519 49.16 60.01 Barclays Bank PLC 06747PAM1 03/04/20 03/03/23 100.000 0.000 1.4900 42.83 0.042952 2.66 Barclays Bank PLC 06747QDJ3 08/26/20 08/26/26 100.000 0.000 1.4200 33.78 0.040577 0.040865 0.041155 0.041447 0.041741 14.73 14.94 Barclays Bank PLC 06745MDM7 06/02/23 06/03/27 100.000 0.000 5.4400 0.151111 0.155244 0.159467 0.163804 31.70 56.89 Barclays Bank PLC 06747PRH4 05/20/20 05/20/27 100.000 0.000 2.3700 63.53 0.069828 0.070655 0.071493 0.072340 0.073197 25.36 25.96 Barclays Bank PLC 06748XBT7 02/24/22 02/24/28 100.000 0.000 2.6500 22.72 0.074587 0.075575 0.076576 0.077591 0.078619 27.28 28.01 Barclays Bank PLC 06748XBU4 02/24/22 02/24/27 100.000 0.000 2.4700 21.17 0.069458 0.070316 0.071185 0.072064 0.072954 25.38 26.01 Barclays Bank PLC 06746T250 09/06/18 09/04/25 100.000 0.000 3.8400 178.61 0.124168 0.126552 0.128982 0.131458 0.133982 45.69 47.46 Barclays Bank PLC 06745MDJ4 05/16/23 11/15/24 100.000 5.005 5.7100 0.004605 0.004687 0.004622 1.04 1.46 Barclays Bank PLC 06744CN72 12/29/17 12/27/24 100.000 0.000 3.2100 172.81 0.104538 0.106216 0.107921 0.109653 37.95 38.73 Barclays Bank PLC 06747MHY5 03/29/19 12/29/23 100.000 0.000 3.3592 133.31 0.105730 0.107506 38.17 Barclays Bank PLC 06747QDH7 08/26/20 08/26/27 100.000 0.000 1.5300 36.43 0.043815 0.044151 0.044488 0.044829 0.045172 15.92 16.16 Barclays Bank PLC 06744CN80 12/29/17 12/27/23 100.000 0.000 3.1400 168.78 0.101907 0.103507 36.57 Barclays Bank PLC 06741WZK9 03/02/23 03/02/26 100.000 0.000 5.8200 0.161667 0.166371 0.171213 0.176195 48.90 61.93 Barclays Bank PLC 06745NGH3 09/29/23 10/01/26 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 14.72 59.29 Barclays Bank PLC 06747W518 08/04/21 08/03/28 100.000 0.000 1.6100 22.85 0.045443 0.045809 0.046177 0.046549 0.046924 16.53 16.80 Barclays Bank PLC 06741UBX1 04/30/14 04/30/24 100.000 VARIES 3.4912 310.07 0.098157 0.097790 0.097387 35.22 11.59 Barclays Bank PLC 06747NKX1 10/31/19 04/28/23 100.000 VARIES 2.4511 15.84 0.014164 1.66 Barclays Bank PLC 06745NGJ9 10/04/23 10/02/26 100.000 0.000 5.7300 0.159167 0.163676 0.168365 13.85 58.93 Barclays Bank PLC 06745NGK6 09/29/23 10/01/30 100.000 0.000 6.0600 0.168333 0.168390 0.173492 0.178749 15.49 62.47 Barclays Bank PLC 06738KTB7 09/30/11 09/30/31 100.000 VARIES 5.4570 570.80 0.150115 0.150893 0.151691 0.152512 0.153355 54.32 54.91 Barclays Bank PLC 06747NKZ6 10/31/19 10/30/26 100.000 0.000 2.6300 86.36 0.079013 0.080052 0.081104 0.082171 0.083251 28.76 29.52 Barclays Bank PLC 06745NGD2 10/04/23 10/02/25 100.000 0.000 5.9300 0.164722 0.169552 0.174579 14.33 61.05 Barclays Bank PLC 06745NGE0 10/04/23 10/02/26 100.000 0.000 5.7300 0.159167 0.163676 0.168365 13.85 58.93 Barclays Bank PLC 06745NGF7 09/29/23 10/01/25 100.000 0.000 6.0900 0.169167 0.169224 0.174377 0.179687 15.57 62.79 Barclays Bank PLC 06747MYV2 06/28/19 06/30/25 100.000 0.000 3.2000 117.82 0.099352 0.100942 0.102557 0.104198 0.105865 36.06 37.22 Barclays Bank PLC 06745MUD8 08/03/23 08/05/30 100.000 0.000 5.5900 0.155278 0.155326 0.159667 0.164130 22.99 57.98 Barclays Bank PLC 06749NPF3 02/13/23 02/13/25 100.000 0.000 5.6800 0.157778 0.162259 0.166867 0.171606 50.79 60.53 Barclays Bank PLC 06747MYU4 07/03/19 07/03/24 100.000 0.000 2.9900 109.28 0.090789 0.092147 0.093524 0.094922 33.42 17.27 Barclays Bank PLC 06745NGG5 10/04/23 10/02/25 100.000 0.000 6.0500 0.168056 0.173083 0.178319 14.62 62.32 Barclays Bank PLC 06747NL28 10/31/19 10/31/23 100.000 0.000 2.3400 76.54 0.069699 0.070514 20.99 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747NL36 11/05/19 11/05/24 100.000 0.000 2.4900 81.24 0.074497 0.075425 0.076364 0.077314 27.09 23.39 Barclays Bank PLC 06745NGC4 10/04/23 07/03/25 100.000 0.000 6.0500 0.168056 0.170569 0.175729 14.62 62.32 Barclays Bank PLC 06747MYK6 06/28/19 12/27/24 100.000 0.000 3.1200 114.74 0.096577 0.098083 0.099613 0.101167 35.05 35.74 Barclays Bank PLC 06741TPR2 03/21/13 03/21/33 100.000 VARIES 3.9299 256.89 0.072546 0.073971 0.075425 0.076907 0.078418 26.66 27.72 Barclays Bank PLC 06747MYJ9 06/28/19 12/27/24 100.000 0.000 3.1200 114.74 0.096577 0.098083 0.099614 0.101167 35.05 35.74 Barclays Bank PLC 06741VEJ7 12/30/16 12/29/23 100.000 0.000 3.3400 219.99 0.113167 0.115057 40.85 Barclays Bank PLC 06749NP97 03/14/23 03/13/25 100.000 0.000 6.0200 0.167222 0.172228 0.177412 0.182752 48.53 64.07 Barclays Bank PLC 067387HW3 03/28/14 03/28/24 100.000 0.000 3.5500 361.02 0.132993 0.135354 0.137756 48.75 11.98 Barclays Bank PLC 06741WZ52 02/09/23 02/12/26 100.000 0.000 5.3300 0.148056 0.148121 0.152069 0.156121 0.160282 48.24 56.62 Barclays Bank PLC 06745N5P7 08/17/23 08/19/25 100.000 0.000 5.9300 0.164722 0.164776 0.169662 0.174693 22.08 61.51 Barclays Bank PLC 067387HZ6 04/10/14 04/10/24 100.000 0.000 3.6100 366.43 0.135919 0.138372 0.140870 49.77 13.95 Barclays Bank PLC 06747PQL6 05/19/20 05/19/23 100.000 VARIES 1.6262 19.17 0.020534 2.83 Barclays Bank PLC 06746XNG4 08/31/18 08/31/23 100.000 0.000 3.7100 172.85 0.119380 0.121570 28.93 Barclays Bank PLC 06745M2E7 05/03/23 05/01/25 100.000 0.000 5.0600 0.140556 0.144072 0.147717 0.151454 33.66 52.96 Barclays Bank PLC 06745M2F4 04/26/23 10/26/27 100.000 0.000 5.1500 0.143056 0.146739 0.150518 0.154394 35.29 54.00 Barclays Bank PLC 06745M2G2 04/26/23 10/26/26 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 34.81 53.24 Barclays Bank PLC 06741UBA1 04/25/14 04/25/34 100.000 VARIES 3.4516 232.42 0.071265 0.072495 0.073746 0.075019 0.076313 26.04 26.95 Barclays Bank PLC 06747M6S0 01/31/19 01/31/24 100.000 0.000 3.6200 151.01 0.114009 0.116072 0.118173 42.04 3.43 Barclays Bank PLC 06745M2C1 04/28/23 01/29/26 100.000 0.000 4.9800 0.138333 0.140075 0.143563 0.147137 33.88 52.13 Barclays Bank PLC 06746U448 10/03/18 10/03/23 100.000 0.000 3.9800 182.13 0.129432 0.132008 35.67 Barclays Bank PLC 06746V776 12/06/18 11/29/24 100.000 0.000 3.9099 170.71 0.126708 0.129185 0.131710 0.134285 46.22 43.66 Barclays Bank PLC 06745N5F9 08/18/23 08/20/25 100.000 0.000 5.9200 0.164444 0.164499 0.169368 0.174381 21.88 61.39 Barclays Bank PLC 06745M2D9 05/03/23 10/31/25 100.000 0.000 4.8800 0.135556 0.138808 0.142195 0.145664 32.46 51.00 Barclays Bank PLC 06747B704 06/06/19 05/26/23 100.000 0.000 2.8899 107.87 0.088684 12.86 Barclays Bank PLC 06745NFB7 09/29/23 09/29/28 100.000 0.000 5.9300 0.164722 0.169606 0.174635 15.15 61.09 Barclays Bank PLC 06745NFC5 09/29/23 10/01/26 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 14.72 59.29 Barclays Bank PLC 06741VUR1 05/19/17 05/19/27 100.000 VARIES 2.5708 20.71 0.010394 0.010528 0.010663 0.010800 0.010939 3.78 3.88 Barclays Bank PLC 06745NF92 09/29/23 03/31/26 100.000 0.000 5.9200 0.164444 0.169339 0.174351 15.13 60.98 Barclays Bank PLC 06745MSX7 07/26/23 07/25/30 100.000 0.000 5.4900 0.152500 0.156663 0.160963 23.64 56.97 Barclays Bank PLC 06741VDS8 11/28/16 11/24/23 100.000 0.000 3.0999 206.12 0.103528 0.105132 33.73 Barclays Bank PLC 06747NJG0 10/25/19 04/24/25 100.000 0.000 2.6100 86.07 0.078359 0.079382 0.080418 0.081467 0.082531 28.53 29.28 Barclays Bank PLC 06745NET9 09/29/23 09/30/27 100.000 0.000 5.9700 0.165833 0.170811 0.175910 15.26 61.51 Barclays Bank PLC 06747NJH8 10/25/19 10/23/24 100.000 0.000 2.5400 83.68 0.076094 0.077061 0.078039 0.079030 27.70 22.97 Barclays Bank PLC 06747MGE0 03/29/19 03/31/23 100.000 0.000 3.2800 130.00 0.102107 9.09 Barclays Bank PLC 06738KAM3 02/25/11 02/25/31 100.000 VARIES 5.5651 558.45 0.135640 0.137050 0.138499 0.139988 0.141131 49.44 50.46 Barclays Bank PLC 06747PPH6 04/28/20 04/28/25 100.000 0.000 2.2600 61.97 0.066406 0.067156 0.067915 0.068683 0.069459 24.14 24.68 Barclays Bank PLC 06747PPJ2 04/30/20 04/30/25 100.000 VARIES 2.4441 17.60 0.017884 0.018103 0.018324 0.018548 0.018774 6.50 6.66 Barclays Bank PLC 06749NNS7 02/09/23 02/06/25 100.000 0.000 5.6400 0.156667 0.161011 0.165552 0.170220 51.08 60.12 Barclays Bank PLC 06747QSH1 12/29/20 12/29/27 100.000 0.000 1.4500 29.40 0.041459 0.041759 0.042062 0.042367 0.042674 14.98 15.20 Barclays Bank PLC 06745MSJ8 08/03/23 08/04/27 100.000 0.000 5.6200 0.156111 0.160522 0.165033 23.10 58.31 Barclays Bank PLC 06748XQU8 09/06/22 09/06/24 100.000 0.000 4.9600 15.84 0.137778 0.141195 0.144696 0.148285 51.01 36.10 Barclays Bank PLC 06738KQS3 08/31/11 08/31/31 100.000 VARIES 6.1336 617.26 0.158742 0.157306 0.160235 0.159718 0.163647 57.86 58.97 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06749NNQ1 02/28/23 02/28/28 100.000 0.000 5.5500 0.154167 0.158445 0.162842 0.167360 47.24 58.93 Barclays Bank PLC 06746XME0 08/31/18 08/31/23 100.000 0.000 3.7100 172.85 0.119380 0.121570 28.93 Barclays Bank PLC 06749NNN8 02/28/23 02/28/30 100.000 0.000 5.5700 0.154722 0.159031 0.163460 0.168013 47.41 59.15 Barclays Bank PLC 06749NNL2 02/28/23 02/28/25 100.000 0.000 5.8700 0.163056 0.167841 0.172767 0.177838 49.99 62.54 Barclays Bank PLC 06749NNM0 03/02/23 09/03/25 100.000 0.000 5.9100 0.164167 0.169045 0.174040 0.179183 49.66 62.95 Barclays Bank PLC 06748XQN4 09/02/22 07/06/29 100.000 0.000 4.8500 16.03 0.134722 0.136973 0.140294 0.143697 0.147181 49.88 52.32 Barclays Bank PLC 06748D667 02/03/23 02/04/26 100.000 0.000 5.3200 0.147778 0.151731 0.155767 0.159910 49.05 56.55 Barclays Bank PLC 06745NEK8 09/15/23 09/17/26 100.000 0.000 5.6500 0.156944 0.156994 0.161429 0.165989 16.64 58.25 Barclays Bank PLC 06748EJ53 04/28/21 04/27/28 100.000 0.000 1.9000 32.19 0.054293 0.054809 0.055330 0.055855 0.056386 19.70 20.08 Barclays Bank PLC 06747MG59 03/29/19 03/29/24 100.000 0.000 3.3800 134.18 0.105575 0.107359 0.109174 38.66 9.61 Barclays Bank PLC 06741VTW2 05/31/17 05/30/24 100.000 0.000 3.0612 184.96 0.099933 0.099808 0.102449 36.53 15.37 Barclays Bank PLC 06741VU83 05/26/17 05/23/24 100.000 0.000 3.0400 184.00 0.099662 0.101177 0.102715 36.27 14.59 Barclays Bank PLC 06748EJ61 04/28/21 10/28/26 100.000 0.000 1.5300 25.87 0.043483 0.043815 0.044151 0.044488 0.044829 15.76 16.00 Barclays Bank PLC 06748XQK0 09/06/22 09/05/25 100.000 0.000 5.0200 16.04 0.139444 0.142925 0.146512 0.150190 0.153960 51.65 54.27 Barclays Bank PLC 06740PZ33 01/27/11 01/27/31 100.000 VARIES 5.5228 595.77 0.142885 0.144079 0.145305 0.146565 0.147396 52.03 52.86 Barclays Bank PLC 06749NEN8 02/03/23 08/05/25 100.000 0.000 5.3700 0.149167 0.149211 0.153217 0.157331 0.161556 49.53 57.12 Barclays Bank PLC 06748XZ38 11/02/22 11/02/27 100.000 0.000 6.1700 10.11 0.171389 0.176676 0.182127 0.187745 0.193537 63.29 67.25 Barclays Bank PLC 06749NEM0 01/31/23 07/31/25 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 49.23 56.24 Barclays Bank PLC 06749N4H2 11/28/22 11/26/27 100.000 0.000 5.6100 5.14 0.155833 0.160156 0.164648 0.169267 0.174015 57.19 60.43 Barclays Bank PLC 06746T805 07/05/18 07/03/25 100.000 0.000 3.8500 186.71 0.124540 0.126937 0.129381 0.131872 0.134410 46.13 47.92 Barclays Bank PLC 06744CT50 01/26/18 01/26/28 100.000 VARIES 3.1964 17.56 0.009761 0.009917 0.010076 0.010237 0.010400 3.59 3.71 Barclays Bank PLC 06746XCW1 05/30/18 05/30/23 100.000 VARIES 2.9247 13.10 0.007748 1.15 Barclays Bank PLC 06749NED0 01/31/23 01/31/28 100.000 0.000 5.1800 0.143889 0.147616 0.151439 0.155361 48.19 55.00 Barclays Bank PLC 06749NVE9 04/05/23 10/03/25 100.000 0.000 5.0500 0.140278 0.143780 0.147411 0.151133 37.62 53.06 Barclays Bank PLC 06749NVF6 03/31/23 10/02/25 100.000 0.000 5.1200 0.142222 0.142263 0.145905 0.149640 0.153471 38.88 53.87 Barclays Bank PLC 06747NQV9 12/02/19 06/02/23 100.000 VARIES 2.3648 13.64 0.012541 1.89 Barclays Bank PLC 06749NVC3 04/05/23 04/03/25 100.000 0.000 5.1700 0.143611 0.147282 0.151089 0.154995 38.52 54.39 Barclays Bank PLC 06747PWW5 07/06/20 06/28/24 100.000 0.000 1.3600 34.27 0.039068 0.039333 0.039601 14.11 7.01 Barclays Bank PLC 06748X7E5 02/03/22 08/04/27 100.000 0.000 2.3900 21.89 0.067187 0.067989 0.068802 0.069624 0.070456 24.57 25.16 Barclays Bank PLC 06746XD34 06/29/18 06/27/24 100.000 0.000 3.8100 185.37 0.125397 0.127785 0.130220 45.59 22.92 Barclays Bank PLC 06747PWV7 06/30/20 06/30/25 100.000 0.000 1.7400 44.31 0.050474 0.050913 0.051356 0.051803 0.052253 18.25 18.57 Barclays Bank PLC 06746XD42 06/29/18 06/27/23 100.000 0.000 3.7300 181.18 0.122331 21.53 Barclays Bank PLC 06746XD75 05/31/18 05/31/23 100.000 VARIES 3.1075 16.08 0.009502 1.42 Barclays Bank PLC 06741J7V5 09/27/18 09/26/23 100.000 0.000 3.8900 178.46 0.126045 0.128497 33.84 Barclays Bank PLC 06744CBB6 07/28/17 07/25/24 100.000 0.000 3.0200 176.60 0.097428 0.098899 0.100393 0.101909 35.80 20.75 Barclays Bank PLC 06741TVK0 05/31/13 05/31/33 100.000 VARIES 3.5100 234.40 0.067660 0.068848 0.070056 0.071285 0.072537 24.65 25.52 Barclays Bank PLC 06749NDZ2 02/02/23 08/04/25 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 0.144802 44.82 51.29 Barclays Bank PLC 06748XYA3 10/18/22 10/17/24 100.000 0.000 6.0900 12.35 0.169167 0.174289 0.179596 0.185065 62.59 52.35 Barclays Bank PLC 06749N3Z3 12/05/22 12/04/24 100.000 0.000 5.6300 4.07 0.156389 0.160767 0.165292 0.169945 57.33 55.88 Barclays Bank PLC 06749NUZ3 03/31/23 04/02/26 100.000 0.000 5.0200 0.139444 0.139483 0.142984 0.146573 0.150252 38.11 52.77 Barclays Bank PLC 06749NDV1 02/03/23 02/03/28 100.000 0.000 5.2400 0.145556 0.149369 0.153283 0.157299 48.31 55.65 Barclays Bank PLC 06749NUX8 03/31/23 10/03/24 100.000 0.000 5.1600 0.143333 0.143395 0.147095 0.150890 39.19 40.69 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06745NM94 09/29/23 09/29/26 100.000 0.000 5.8300 0.161944 0.166665 0.171523 14.90 60.03 Barclays Bank PLC 06749NV90 03/20/23 03/19/26 100.000 0.000 4.7400 0.131667 0.134770 0.137964 0.141234 37.31 49.75 Barclays Bank PLC 06749NUY6 03/31/23 10/02/25 100.000 0.000 5.1200 0.142222 0.142263 0.145905 0.149640 0.153471 38.88 53.87 Barclays Bank PLC 06749NDT6 01/31/23 01/29/26 100.000 0.000 5.2400 0.145556 0.149348 0.153261 0.157276 48.76 55.67 Barclays Bank PLC 06745NLR5 10/04/23 10/02/25 100.000 0.000 6.0500 0.168056 0.173083 0.178319 14.62 62.32 Barclays Bank PLC 06745MZP6 09/06/23 03/05/26 100.000 0.000 5.6600 0.157222 0.161647 0.166221 18.08 58.44 Barclays Bank PLC 06749NUV2 03/31/23 03/31/26 100.000 0.000 4.8000 0.133333 0.136533 0.139810 0.143166 36.42 50.35 Barclays Bank PLC 06749NDU3 02/03/23 02/05/26 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 0.159934 49.06 56.55 Barclays Bank PLC 06749NV58 04/05/23 04/05/28 100.000 0.000 4.9000 0.136111 0.139446 0.142862 0.146362 36.49 51.41 Barclays Bank PLC 06749NDS8 01/31/23 01/30/25 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 49.60 56.69 Barclays Bank PLC 06749NV25 04/05/23 10/03/24 100.000 0.000 5.1600 0.143333 0.146990 0.150783 38.45 40.66 Barclays Bank PLC 06749NV33 04/05/23 04/03/25 100.000 0.000 5.1700 0.143611 0.147282 0.151089 0.154995 38.52 54.39 Barclays Bank PLC 06746XCC5 05/25/18 05/21/26 100.000 0.000 3.9200 195.55 0.129616 0.132157 0.134747 0.137388 0.140081 47.32 49.20 Barclays Bank PLC 06749NE24 02/02/23 02/02/27 100.000 0.000 4.7500 0.131944 0.135078 0.138286 0.141571 43.88 50.17 Barclays Bank PLC 06745MZM3 09/06/23 09/04/25 100.000 0.000 5.8500 0.162500 0.167200 0.172091 18.69 60.47 Barclays Bank PLC 06749NV41 04/05/23 04/03/26 100.000 0.000 4.9300 0.136944 0.140283 0.143741 0.147284 36.72 51.74 Barclays Bank PLC 06747PWE5 06/30/20 06/30/27 100.000 0.000 2.0600 52.63 0.060231 0.060851 0.061478 0.062111 0.062751 21.80 22.25 Barclays Bank PLC 06745MZN1 08/31/23 03/05/26 100.000 0.000 5.8100 0.161389 0.161519 0.166211 0.171040 19.54 60.10 Barclays Bank PLC 06746XTF0 11/05/18 08/03/23 100.000 0.000 3.9789 177.98 0.128102 0.130650 27.62 Barclays Bank PLC 06748W3L5 08/04/21 07/31/26 100.000 0.000 1.2107 17.15 0.034033 0.034239 0.034446 0.034655 0.034865 12.35 12.50 Barclays Bank PLC 06748XY47 11/03/22 11/03/27 100.000 0.000 6.2100 10.01 0.172500 0.177856 0.183379 0.189072 0.194943 63.70 67.71 Barclays Bank PLC 06747J400 07/06/20 07/06/27 100.000 0.000 1.8800 47.62 0.054214 0.054723 0.055238 0.055757 0.056281 19.79 20.16 Barclays Bank PLC 06748XY21 11/03/22 11/05/25 100.000 0.000 6.3100 10.17 0.175339 0.180871 0.186578 0.192464 0.198536 64.75 68.90 Barclays Bank PLC 06745MZD3 08/23/23 11/21/24 100.000 0.000 5.9600 0.165556 0.167968 0.172973 21.29 54.65 Barclays Bank PLC 06745MZE1 08/09/23 08/21/24 100.000 0.000 5.7100 0.158611 0.158913 0.163450 22.56 37.37 Barclays Bank PLC 06748W3C5 07/28/21 01/28/27 100.000 0.000 1.3700 19.65 0.038579 0.038843 0.039109 0.039377 0.039647 14.02 14.21 Barclays Bank PLC 06748W3D3 07/30/21 07/31/28 100.000 0.000 1.6500 23.60 0.046593 0.046977 0.047365 0.047756 0.048150 16.96 17.24 Barclays Bank PLC 06748XXK2 11/03/22 05/05/25 100.000 0.000 6.1100 9.85 0.169780 0.174967 0.180312 0.185820 0.191497 62.64 66.53 Barclays Bank PLC 06748W3B7 07/28/21 07/27/28 100.000 0.000 1.6500 23.70 0.046591 0.046975 0.047362 0.047753 0.048147 16.96 17.24 Barclays Bank PLC 06745NLD6 09/29/23 09/29/28 100.000 6.900 5.9800 0.167444 0.163056 0.163111 15.15 59.01 Barclays Bank PLC 06744CAL5 07/31/17 07/31/24 100.000 0.000 3.0701 179.55 0.099312 0.100837 0.102384 0.103956 36.49 21.68 Barclays Bank PLC 06749N3A8 12/02/22 12/02/26 100.000 0.000 5.7000 4.59 0.158333 0.162846 0.167487 0.172260 0.177170 58.08 61.44 Barclays Bank PLC 06748XXE6 10/31/22 10/29/26 100.000 0.000 6.0800 10.30 0.168889 0.173995 0.179284 0.184734 0.190350 62.36 66.21 Barclays Bank PLC 06749NUB6 03/31/23 03/31/28 100.000 0.000 5.0100 0.139167 0.142653 0.146226 0.149889 38.03 52.66 Barclays Bank PLC 06747PEU9 03/27/20 03/25/25 100.000 0.000 2.6800 76.30 0.079556 0.080622 0.081702 0.082797 0.083907 29.04 29.82 Barclays Bank PLC 06747PET2 03/27/20 03/25/26 100.000 0.000 2.8100 80.12 0.083682 0.084857 0.086050 0.087259 0.088485 30.56 31.43 Barclays Bank PLC 06745MYW2 09/06/23 09/05/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 18.69 60.47 Barclays Bank PLC 06744CRB9 12/29/17 06/30/23 100.000 0.000 3.0800 165.32 0.099691 17.84 Barclays Bank PLC 06746XBL6 05/30/18 05/31/23 100.000 1.750 3.6101 172.85 0.110251 16.43 Barclays Bank PLC 06748EPH0 06/03/21 06/02/26 100.000 0.000 1.4100 22.42 0.039999 0.040281 0.040565 0.040851 0.041139 14.47 14.67 Barclays Bank PLC 06749N2Z4 12/02/22 06/02/25 100.000 0.000 5.8000 4.67 0.161111 0.165783 0.170591 0.175538 0.180629 59.12 62.59 Barclays Bank PLC 06747P4P1 02/11/20 02/11/25 100.000 0.000 1.9400 57.37 0.056554 0.057102 0.057656 0.058216 0.058780 20.61 21.01 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06745MYY8 09/06/23 09/03/26 100.000 0.000 5.4700 0.151944 0.156031 0.160298 17.47 56.42 Barclays Bank PLC 06749NTZ5 04/04/23 10/05/26 100.000 0.000 4.6300 0.128611 0.131605 0.134652 0.137769 34.60 48.46 Barclays Bank PLC 06746M206 09/14/17 09/14/23 100.000 0.000 2.9700 169.06 0.095603 0.097023 24.44 Barclays Bank PLC 06741VJJ2 02/28/17 08/28/23 100.000 0.000 3.1900 203.10 0.105458 0.107140 25.30 Barclays Bank PLC 06745MYZ5 09/06/23 09/06/28 100.000 0.000 5.5800 0.155000 0.159325 0.163770 17.83 57.59 Barclays Bank PLC 06749NCV2 12/16/22 12/18/25 100.000 0.000 5.3100 2.21 0.147544 0.151461 0.155482 0.159610 0.163848 53.92 56.83 Barclays Bank PLC 06749N2U5 12/05/22 12/03/27 100.000 0.000 5.3800 3.89 0.149444 0.153420 0.157547 0.161785 0.166137 54.74 57.72 Barclays Bank PLC 06747NPF5 11/29/19 11/30/26 100.000 0.000 2.6500 84.73 0.079666 0.080722 0.081791 0.082875 0.083973 28.94 29.71 Barclays Bank PLC 06749NTY8 04/04/23 10/06/25 100.000 0.000 4.7800 0.132778 0.132813 0.135987 0.139237 0.142565 35.73 50.10 Barclays Bank PLC 06745NL61 09/29/23 09/29/28 100.000 8.250 5.9300 0.164722 0.160889 0.157111 14.91 57.61 Barclays Bank PLC 06748WCU5 08/27/21 08/27/36 100.000 VARIES 2.1838 28.93 0.058638 0.058063 0.057667 0.057424 0.057288 20.89 20.67 Barclays Bank PLC 06745MYT9 09/06/23 06/04/25 100.000 0.000 5.8800 0.163333 0.165681 0.170552 0.175566 18.85 60.79 Barclays Bank PLC 06748EPG2 05/28/21 05/31/28 100.000 0.000 1.9300 31.05 0.055184 0.055716 0.056254 0.056797 0.057345 20.00 20.38 Barclays Bank PLC 06745MHS0 06/30/23 07/02/25 100.000 0.000 5.7300 0.159167 0.159217 0.163779 0.168471 28.82 59.80 Barclays Bank PLC 06745MHT8 07/06/23 07/03/25 100.000 0.000 5.8500 0.162500 0.167174 0.172064 28.44 61.04 Barclays Bank PLC 06747NPH1 11/29/19 11/30/23 100.000 0.000 2.3400 74.51 0.069702 0.070518 23.08 Barclays Bank PLC 06749N2T8 12/05/22 12/04/25 100.000 0.000 5.5000 3.97 0.152778 0.156956 0.161272 0.165707 0.170264 55.98 59.10 Barclays Bank PLC 06749N2Q4 11/28/22 11/27/24 100.000 0.000 5.8300 5.34 0.161944 0.166639 0.171496 0.176496 59.47 56.81 Barclays Bank PLC 06749NTU6 03/31/23 04/01/27 100.000 0.000 5.0400 0.140000 0.143548 0.147165 0.150874 38.26 52.99 Barclays Bank PLC 06744CQZ7 01/26/18 01/24/25 100.000 0.000 3.2700 173.44 0.105088 0.106806 0.108553 0.110328 0.112131 38.68 39.96 Barclays Bank PLC 06745MYP7 08/31/23 08/31/28 100.000 0.000 5.7200 0.158889 0.163408 0.168107 19.23 59.13 Barclays Bank PLC 06745MYQ8 08/31/23 09/02/26 100.000 0.000 5.6300 0.156389 0.156438 0.160842 0.165369 18.93 58.17 Barclays Bank PLC 06746XBF9 06/05/18 06/05/23 100.000 0.000 3.6901 181.99 0.120834 18.61 Barclays Bank PLC 06749N2N1 11/28/22 11/28/25 100.000 0.000 5.7000 5.22 0.158333 0.162846 0.167487 0.172260 0.177170 58.11 61.47 Barclays Bank PLC 06748XWU1 10/04/22 10/03/24 100.000 0.000 5.6900 13.75 0.158056 0.162527 0.167151 0.171907 58.51 46.32 Barclays Bank PLC 06741TUA3 05/10/13 05/10/28 100.000 VARIES 3.2563 251.16 0.075731 0.076964 0.078217 0.079490 0.080785 27.61 28.52 Barclays Bank PLC 06745MYM4 08/31/23 03/05/26 100.000 0.000 5.8100 0.161389 0.161519 0.166211 0.171040 19.54 60.10 Barclays Bank PLC 06741TUB1 05/03/13 05/03/33 100.000 VARIES 3.4200 232.58 0.066541 0.067678 0.068836 0.070013 0.071210 24.29 25.13 Barclays Bank PLC 06744CR29 01/26/18 01/24/24 100.000 0.000 3.2100 170.03 0.102887 0.104538 0.106216 37.86 2.44 Barclays Bank PLC 06747QYE1 01/29/21 01/31/41 100.000 VARIES 2.0890 36.71 0.047608 0.044753 0.042751 0.041628 0.041289 15.89 14.97 Barclays Bank PLC 06741T2W6 12/23/13 12/23/33 100.000 VARIES 4.3876 320.48 0.098260 0.099658 0.101087 0.102381 0.103702 35.65 36.65 Barclays Bank PLC 06747PUY3 05/28/20 05/28/25 100.000 0.000 2.2200 58.90 0.065166 0.065889 0.066621 0.067360 0.068108 23.64 24.17 Barclays Bank PLC 06744CQJ3 02/05/18 02/03/23 100.000 1.000 3.3800 175.34 0.105134 3.36 Barclays Bank PLC 06738KWX5 10/31/11 11/01/31 100.000 VARIES 4.5597 483.68 0.127225 0.125550 0.127343 0.126377 0.128907 46.14 46.53 Barclays Bank PLC 06741UFM1 07/31/14 07/31/34 100.000 VARIES 3.8919 278.19 0.088108 0.089266 0.090447 0.091650 0.092877 32.28 33.14 Barclays Bank PLC 06748XFB2 02/24/22 02/23/29 100.000 0.000 2.7100 23.24 0.076292 0.077326 0.078373 0.079435 0.080512 27.92 28.68 Barclays Bank PLC 06746XRP0 10/31/18 10/31/23 100.000 0.000 3.9400 176.71 0.127930 0.130450 38.70 Barclays Bank PLC 06744CQE4 01/31/18 01/31/23 100.000 1.000 3.0900 159.73 0.094881 2.75 Barclays Bank PLC 06745MGX0 06/30/23 07/01/27 100.000 0.000 5.4700 0.156123 0.156123 0.164780 27.50 56.97 Barclays Bank PLC 06748XFC0 03/03/22 09/02/27 100.000 0.000 2.5700 21.38 0.072301 0.073230 0.074171 0.075124 0.076089 26.42 27.10 Barclays Bank PLC 06746N451 01/03/18 01/03/25 100.000 0.000 3.2700 175.86 0.105108 0.106826 0.108573 0.110348 0.112152 38.76 40.04 Barclays Bank PLC 06745M6Y9 05/17/23 06/05/28 100.000 0.000 4.8100 0.133611 0.133932 0.137154 0.140452 0.143830 30.08 50.14 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747QGU5 09/03/20 09/03/27 100.000 0.000 1.3000 30.63 0.037059 0.037300 0.037542 0.037786 0.038032 13.44 13.62 Barclays Bank PLC 06745MXU7 08/31/23 08/29/25 100.000 0.000 6.0000 0.166667 0.171639 0.176788 20.17 62.13 Barclays Bank PLC 06746XAM5 05/02/18 05/02/23 100.000 1.000 3.7100 183.71 0.117154 14.18 Barclays Bank PLC 06744CQB0 01/31/18 01/30/25 100.000 0.000 3.2700 173.02 0.105108 0.106826 0.108573 0.110348 0.112152 38.67 39.95 Barclays Bank PLC 06741UFK5 07/28/14 07/28/34 100.000 VARIES 3.8226 245.38 0.067409 0.068698 0.070011 0.071349 0.072713 24.90 25.86 Barclays Bank PLC 06745MXR4 09/05/23 06/05/26 100.000 0.000 5.6800 0.157778 0.160018 0.164563 0.169236 18.36 58.66 Barclays Bank PLC 06746XAF0 05/25/18 05/23/23 100.000 0.000 3.6900 183.20 0.120806 17.15 Barclays Bank PLC 06745MXT0 09/05/23 03/05/27 100.000 0.000 5.5000 0.152778 0.156979 0.161296 17.72 56.74 Barclays Bank PLC 06745MGK8 06/30/23 01/02/26 100.000 0.000 5.5400 0.153889 0.153936 0.158200 0.162582 27.86 57.73 Barclays Bank PLC 06745MGL6 07/06/23 01/05/26 100.000 0.000 5.6600 0.157222 0.161647 0.166221 27.51 58.98 Barclays Bank PLC 06746XAE3 05/25/18 05/23/24 100.000 0.000 3.8000 189.09 0.125013 0.127388 0.129808 45.61 18.43 Barclays Bank PLC 06749NSP8 03/02/23 03/04/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 48.90 61.93 Barclays Bank PLC 06745MGG7 07/06/23 01/05/26 100.000 0.000 5.6600 0.157222 0.161647 0.166221 27.51 58.98 Barclays Bank PLC 06745M6E3 06/02/23 03/02/26 100.000 0.000 5.3200 0.147778 0.149743 0.153726 0.157816 31.12 55.59 Barclays Bank PLC 06748ENY5 05/26/21 05/25/28 100.000 0.000 1.9000 30.67 0.054293 0.054809 0.055330 0.055855 0.056386 19.68 20.05 Barclays Bank PLC 06745MGH5 07/06/23 07/03/26 100.000 0.000 5.4800 0.152222 0.156324 0.160607 26.64 57.03 Barclays Bank PLC 06745MGJ1 07/06/23 07/06/28 100.000 0.000 5.4900 0.152500 0.156686 0.160987 26.69 57.14 Barclays Bank PLC 06747A862 05/03/19 05/05/26 100.000 0.000 3.2600 125.72 0.101425 0.103078 0.104758 0.106466 0.108201 37.00 38.21 Barclays Bank PLC 06745NJM9 10/04/23 10/05/27 100.000 0.000 5.9500 0.165278 0.170222 0.175286 14.38 61.25 Barclays Bank PLC 06745M6H6 06/02/23 06/04/29 100.000 0.000 5.3400 0.148333 0.148377 0.152339 0.156406 0.160583 31.12 55.80 Barclays Bank PLC 06747MKT2 04/30/19 04/28/23 100.000 0.000 3.2800 126.83 0.102080 11.94 Barclays Bank PLC 06748X4K4 01/18/22 01/15/27 100.000 0.000 2.2100 21.17 0.062055 0.062741 0.063434 0.064135 0.064844 22.69 23.20 Barclays Bank PLC 06747P2Z1 01/23/20 01/20/23 100.000 0.000 2.1600 65.18 0.063299 1.20 Barclays Bank PLC 06747MKS4 04/30/19 04/30/24 100.000 0.000 3.3800 130.91 0.105575 0.107359 0.109173 38.55 12.99 Barclays Bank PLC 06745MGD4 06/30/23 06/30/28 100.000 0.000 5.4800 0.152222 0.156393 0.160678 0.165081 27.56 57.08 Barclays Bank PLC 06748ENX7 05/26/21 11/27/26 100.000 0.000 1.5200 24.49 0.043194 0.043522 0.043853 0.044186 0.044522 15.63 15.87 Barclays Bank PLC 06749NSG8 03/03/23 04/02/24 100.000 0.000 5.8000 0.161111 0.161864 0.166558 48.63 15.16 Barclays Bank PLC 06745MGE2 07/06/23 04/03/25 100.000 0.000 5.8300 0.161944 0.164226 0.169013 0.173940 28.54 60.84 Barclays Bank PLC 06747MKU9 05/03/19 01/31/23 100.000 0.000 2.9015 111.27 0.088487 2.57 Barclays Bank PLC 06745MGF9 07/06/23 07/03/25 100.000 0.000 5.8500 0.162500 0.167174 0.172064 28.44 61.04 Barclays Bank PLC 06747PD89 02/27/20 02/26/24 100.000 0.000 1.6500 47.86 0.047753 0.048147 0.048544 17.36 2.67 Barclays Bank PLC 06741VHQ8 02/10/17 02/08/23 100.000 0.000 3.1499 202.21 0.103891 3.84 Barclays Bank PLC 06748WBA0 08/25/21 08/24/28 100.000 0.000 1.7700 24.08 0.050038 0.050481 0.050928 0.051379 0.051833 18.21 18.53 Barclays Bank PLC 06746XR62 09/26/18 09/26/24 100.000 0.000 3.9700 182.54 0.129056 0.131618 0.134231 0.136895 47.41 36.05 Barclays Bank PLC 06745MWW4 08/31/23 09/02/27 100.000 0.000 5.8000 0.161111 0.161163 0.165837 0.170646 19.50 59.99 Barclays Bank PLC 06745MG69 06/30/23 01/02/26 100.000 0.000 5.5400 0.153889 0.153936 0.158200 0.162582 27.86 57.73 Barclays Bank PLC 06744CPC9 01/05/18 01/06/23 100.000 1.300 3.0300 157.80 0.091720 0.46 Barclays Bank PLC 06745MG77 06/30/23 01/02/26 100.000 0.000 5.5400 0.153889 0.153936 0.158200 0.162582 27.86 57.73 Barclays Bank PLC 06749NRZ7 02/15/23 05/13/26 100.000 0.000 5.3800 0.149444 0.151410 0.155483 0.159665 0.163960 47.87 57.13 Barclays Bank PLC 06746Y325 04/04/19 03/28/25 100.000 0.000 3.5099 139.09 0.110061 0.111993 0.113958 0.115958 0.117993 40.33 41.76 Barclays Bank PLC 06745MG93 06/30/23 07/02/26 100.000 0.000 5.3500 0.148611 0.148655 0.152632 0.156715 26.91 55.67 Barclays Bank PLC 06748WB93 08/25/21 02/25/27 100.000 0.000 1.5000 20.39 0.042294 0.042611 0.042931 0.043253 0.043577 15.36 15.59 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741VHH8 01/27/17 01/27/27 100.000 VARIES 2.3799 18.72 0.008892 0.008998 0.009105 0.009213 0.009323 3.25 3.33 Barclays Bank PLC 06739GCF4 02/20/20 02/18/25 104.000 0.000 3.2800 101.59 0.102765 0.104450 0.106163 0.107905 0.109674 37.75 39.00 Barclays Bank PLC 06749NRY0 02/15/23 02/13/26 100.000 0.000 5.5500 0.154167 0.158397 0.162793 0.167310 49.30 59.04 Barclays Bank PLC 06748WB69 08/31/21 08/31/28 100.000 0.000 1.7400 23.43 0.049178 0.049601 0.050037 0.050470 0.050912 17.89 18.20 Barclays Bank PLC 06749NRV6 02/28/23 02/29/28 100.000 0.000 5.4900 0.152500 0.156709 0.161011 0.165431 46.72 58.25 Barclays Bank PLC 06748WB77 09/03/21 09/03/26 100.000 0.000 1.3100 17.49 0.036867 0.037109 0.037352 0.037597 0.037843 13.37 13.55 Barclays Bank PLC 06749NRT1 02/28/23 02/27/26 100.000 0.000 5.5700 0.154722 0.159007 0.163436 0.167987 47.41 59.15 Barclays Bank PLC 06749NS29 02/15/23 02/18/26 100.000 0.000 5.5500 0.154167 0.154238 0.158518 0.162917 0.167438 49.31 59.04 Barclays Bank PLC 06741TSE8 04/19/13 04/19/33 100.000 VARIES 3.7861 281.20 0.079291 0.080792 0.082321 0.083879 0.085467 29.03 30.14 Barclays Bank PLC 06745NJ49 09/26/23 09/26/28 100.000 8.800 5.9800 0.164167 0.161667 0.156111 15.42 57.39 Barclays Bank PLC 06747QFK8 09/30/20 09/30/27 100.000 0.000 1.3300 30.32 0.037937 0.038189 0.038443 0.038699 0.038956 13.75 13.93 Barclays Bank PLC 06748WRQ8 12/03/21 12/03/26 100.000 0.000 1.9100 20.71 0.054074 0.054590 0.055111 0.055638 0.056169 19.59 19.96 Barclays Bank PLC 06745MWL8 08/07/23 08/07/28 100.000 7.000 5.5700 0.154278 0.151389 0.151000 21.97 54.37 Barclays Bank PLC 06738KVE8 09/29/11 09/30/31 100.000 VARIES 5.2986 559.43 0.144534 0.145356 0.146201 0.147068 0.147957 52.33 52.95 Barclays Bank PLC 06748WRN5 11/29/21 11/29/28 100.000 0.000 2.3000 25.22 0.065367 0.066118 0.066879 0.067648 0.068426 23.72 24.26 Barclays Bank PLC 06749NRJ3 02/28/23 02/28/28 100.000 7.500 5.5500 0.151778 0.151056 0.147778 0.149389 45.35 53.40 Barclays Bank PLC 06748EVE0 07/06/21 06/30/26 100.000 0.000 1.3100 19.59 0.037100 0.037343 0.037588 0.037834 0.038082 13.40 13.58 Barclays Bank PLC 06746XHH9 07/31/18 07/31/23 100.000 1.750 3.7399 172.70 0.112738 0.114846 23.96 Barclays Bank PLC 06746XHJ5 07/31/18 07/31/23 100.000 1.000 3.7400 174.97 0.116090 0.118261 24.65 Barclays Bank PLC 06745MNN4 07/31/23 07/29/27 100.000 0.000 5.5800 0.155000 0.159300 0.163745 23.41 57.90 Barclays Bank PLC 06746X7E7 05/30/18 05/30/23 100.000 1.000 3.6100 175.20 0.113483 16.91 Barclays Bank PLC 06741TZX8 08/01/13 08/01/23 100.000 0.250 3.5547 389.37 0.132998 0.135238 28.33 Barclays Bank PLC 06745NQH2 10/06/23 10/05/28 100.000 0.000 5.9300 0.164722 0.169579 0.174607 14.00 61.02 Barclays Bank PLC 06745MNF1 08/02/23 02/02/27 100.000 0.000 5.5600 0.154444 0.158738 0.163151 23.01 57.67 Barclays Bank PLC 06747N3U6 08/05/19 04/28/23 100.000 0.000 2.4695 87.22 0.074259 8.69 Barclays Bank PLC 06748EUZ4 06/30/21 06/30/28 100.000 0.000 1.8500 28.06 0.052828 0.053317 0.053810 0.054308 0.054810 19.11 19.46 Barclays Bank PLC 06749NZG0 05/03/23 05/01/25 100.000 0.000 5.0600 0.140556 0.144072 0.147717 0.151454 33.66 52.96 Barclays Bank PLC 06746XH89 07/27/18 04/25/23 100.000 0.000 3.7791 180.40 0.123059 14.03 Barclays Bank PLC 06749NZH8 05/03/23 05/05/26 100.000 0.000 4.7000 0.130556 0.130590 0.133659 0.136799 0.140014 31.25 49.04 Barclays Bank PLC 06749NZF2 05/03/23 10/31/24 100.000 0.000 4.8400 0.134444 0.137644 0.140975 32.19 41.76 Barclays Bank PLC 06741TZW0 08/15/13 08/15/33 100.000 VARIES 4.2320 283.16 0.077138 0.078741 0.080407 0.082108 0.083846 28.50 29.72 Barclays Bank PLC 06749NZC9 05/03/23 05/03/28 100.000 0.000 4.8400 0.134444 0.137698 0.141030 0.144443 32.19 50.56 Barclays Bank PLC 06746X6Q1 04/30/18 04/28/23 100.000 0.000 3.7000 186.76 0.121187 14.18 Barclays Bank PLC 06747NUS1 01/03/20 01/03/25 100.000 0.000 2.3200 71.51 0.068270 0.069062 0.069863 0.070673 0.071493 25.00 25.59 Barclays Bank PLC 06746XH71 07/27/18 07/25/24 100.000 0.000 3.8699 185.00 0.125284 0.127709 0.130180 0.132699 46.30 27.01 Barclays Bank PLC 06749NZA3 04/28/23 04/30/26 100.000 0.000 4.6300 0.128611 0.128644 0.131622 0.134669 0.137787 31.44 48.31 Barclays Bank PLC 06749NZB1 04/28/23 04/28/28 100.000 0.000 4.7800 0.132778 0.135951 0.139200 0.142527 32.46 49.94 Barclays Bank PLC 06738KLP4 06/28/11 06/28/23 100.000 VARIES 4.8717 572.68 0.135726 24.02 Barclays Bank PLC 06745MMZ8 07/19/23 08/04/27 100.000 0.000 5.4900 0.152500 0.152849 0.157045 0.161355 24.76 57.03 Barclays Bank PLC 06747N3J1 07/31/19 07/31/24 100.000 0.000 2.5801 91.63 0.077398 0.078397 0.079408 0.080432 28.35 16.78 Barclays Bank PLC 06749NZ88 04/28/23 10/30/24 100.000 0.000 5.1200 0.142222 0.142263 0.145905 0.149640 34.79 44.30 Barclays Bank PLC 06749NZ96 04/28/23 10/30/25 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 0.144802 32.95 50.71 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06746XXN8 12/05/18 09/05/23 100.000 0.000 3.7791 164.79 0.120801 0.123084 29.89 Barclays Bank PLC 06746X6A6 04/25/18 04/25/28 100.000 VARIES 3.6446 24.36 0.013654 0.013903 0.014157 0.014415 0.014677 4.99 5.18 Barclays Bank PLC 06744CEV9 08/31/17 08/30/24 100.000 0.000 2.9100 166.71 0.093394 0.094738 0.096132 0.097523 34.20 23.23 Barclays Bank PLC 06749NHN5 01/31/23 04/29/26 100.000 0.000 5.2900 0.146944 0.148866 0.152804 0.156845 0.160994 49.35 56.24 Barclays Bank PLC 06744CVY4 02/14/18 02/14/23 100.000 0.000 3.5600 187.97 0.115907 4.98 Barclays Bank PLC 06748E2W2 02/24/21 07/23/26 100.000 0.000 1.2999 24.30 0.036777 0.037016 0.037257 0.037499 0.037743 13.36 13.53 Barclays Bank PLC 06740PC38 11/29/10 11/29/30 100.000 VARIES 4.9296 494.75 0.116106 0.117526 0.118981 0.120333 0.121718 42.15 43.16 Barclays Bank PLC 06748E2V4 02/24/21 02/25/28 100.000 0.000 1.6800 31.49 0.047855 0.048257 0.048662 0.049071 0.049483 17.40 17.70 Barclays Bank PLC 06741TYX9 07/24/13 07/24/28 100.000 VARIES 3.9848 294.71 0.087356 0.089097 0.090872 0.092682 0.094529 32.31 33.61 Barclays Bank PLC 06747MQZ2 06/05/19 02/28/23 100.000 0.000 2.8993 108.35 0.088387 5.04 Barclays Bank PLC 06747N2Y9 07/31/19 07/31/23 100.000 0.000 2.6600 94.58 0.079985 0.081049 16.91 Barclays Bank PLC 06749NHK1 01/31/23 01/31/28 100.000 0.000 5.2000 0.144444 0.148200 0.152053 0.156007 48.38 55.22 Barclays Bank PLC 06747N2T0 07/26/19 07/31/24 100.000 0.000 2.9716 106.51 0.090212 0.091552 0.092912 0.094293 33.13 19.67 Barclays Bank PLC 06747MQT6 05/31/19 05/30/24 100.000 0.000 3.0400 114.29 0.093849 0.095276 0.096724 34.13 14.41 Barclays Bank PLC 06747MR57 05/31/19 05/31/23 100.000 0.000 2.9400 110.35 0.090450 13.48 Barclays Bank PLC 06747N2S2 07/26/19 07/31/24 100.000 0.000 2.9716 106.51 0.090213 0.091553 0.092913 0.094294 33.13 19.67 Barclays Bank PLC 06747NTV6 12/30/19 12/26/24 100.000 0.000 2.4100 74.59 0.071913 0.072779 0.073656 0.074544 26.05 26.31 Barclays Bank PLC 06747NU77 01/03/20 01/04/27 100.000 0.000 2.5300 78.19 0.074842 0.075789 0.076747 0.077718 0.078701 27.45 28.15 Barclays Bank PLC 06748ED42 03/31/21 03/30/28 100.000 0.000 2.0000 35.51 0.057239 0.057811 0.058389 0.058973 0.059563 20.81 21.23 Barclays Bank PLC 06747MQS8 05/31/19 05/31/24 100.000 0.000 3.0400 114.29 0.093849 0.095276 0.096724 34.13 14.41 Barclays Bank PLC 06748EU92 06/23/21 06/22/28 100.000 0.000 1.8700 28.74 0.053412 0.053912 0.054416 0.054925 0.055438 19.33 19.69 Barclays Bank PLC 06748EU84 06/23/21 12/23/26 100.000 0.000 1.5600 23.94 0.044355 0.044701 0.045049 0.045401 0.045755 16.04 16.29 Barclays Bank PLC 06747MQR0 05/31/19 05/30/24 100.000 0.000 3.0400 114.28 0.093848 0.095275 0.096723 34.13 14.41 Barclays Bank PLC 06747NU69 12/24/19 12/22/23 100.000 0.000 2.4600 76.62 0.073523 0.074428 25.97 Barclays Bank PLC 06741UKP8 10/30/14 10/30/34 100.000 VARIES 3.5915 258.58 0.086140 0.086593 0.087054 0.087659 0.088275 31.15 31.52 Barclays Bank PLC 06747NTU8 12/30/19 06/25/25 100.000 0.000 2.5700 79.70 0.077044 0.078034 0.079037 0.080053 0.081081 27.93 28.65 Barclays Bank PLC 06747NU51 12/24/19 12/24/26 100.000 0.000 2.7900 87.26 0.084217 0.085392 0.086583 0.087791 0.089016 30.55 31.40 Barclays Bank PLC 06746XX40 11/30/18 11/30/23 100.000 0.000 3.7600 164.43 0.121226 0.123505 40.29 Barclays Bank PLC 06744C4C2 09/15/17 09/15/27 100.000 VARIES 2.4839 16.24 0.008543 0.008649 0.008756 0.008865 0.008975 3.12 3.19 Barclays Bank PLC 06746XG31 07/23/18 01/23/26 100.000 VARIES 3.8703 170.71 0.108531 0.108756 0.108806 0.108737 0.108554 39.16 39.12 Barclays Bank PLC 06747QLW5 10/30/20 10/29/27 100.000 0.000 1.4500 31.85 0.041457 0.041758 0.042060 0.042365 0.042673 15.02 15.23 Barclays Bank PLC 06747QM87 11/04/20 10/31/23 100.000 0.000 0.6907 14.99 0.019451 0.019518 5.83 Barclays Bank PLC 06748ECG6 03/24/21 09/24/26 100.000 0.000 1.4700 26.26 0.041740 0.042047 0.042356 0.042667 0.042981 15.14 15.36 Barclays Bank PLC 06749N6Z0 11/29/22 11/28/25 100.000 0.000 5.7400 5.10 0.159444 0.163995 0.168702 0.173543 0.178524 58.52 61.93 Barclays Bank PLC 06749NXW7 03/31/23 03/31/26 100.000 0.000 4.8000 0.133333 0.136533 0.139810 0.143166 36.42 50.35 Barclays Bank PLC 06748ECE1 03/24/21 03/23/28 100.000 0.000 1.8500 33.13 0.052825 0.053314 0.053807 0.054305 0.054807 19.20 19.56 Barclays Bank PLC 06746XFE8 06/29/18 06/29/23 100.000 VARIES 3.3273 17.42 0.011129 1.98 Barclays Bank PLC 06747NCC6 09/05/19 09/05/24 100.000 0.000 2.3100 79.31 0.068744 0.069538 0.070342 0.071154 25.08 17.31 Barclays Bank PLC 06748ESX2 06/03/21 06/03/36 100.000 VARIES 2.5612 39.59 0.067158 0.065831 0.064836 0.064210 0.063857 23.87 23.20 Barclays Bank PLC 06744CUP4 03/05/18 03/03/23 100.000 1.000 3.5700 182.63 0.112000 6.94 Barclays Bank PLC 06749N6H0 11/29/22 11/29/24 100.000 0.000 5.8600 5.21 0.162778 0.167547 0.172456 0.177509 59.77 57.48 Barclays Bank PLC 06741UJW5 09/29/14 09/29/34 100.000 VARIES 3.7464 269.29 0.087602 0.088464 0.089343 0.090238 0.091150 31.85 32.49 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06744CUQ2 03/05/18 03/03/23 100.000 0.000 3.5700 186.10 0.116260 7.21 Barclays Bank PLC 06747MQ66 05/13/19 11/12/26 100.000 0.000 2.3000 86.65 0.069208 0.070004 0.070809 0.071624 0.072447 25.14 25.72 Barclays Bank PLC 06741T6S1 03/28/14 03/28/34 100.000 VARIES 4.1532 281.92 0.079836 0.081494 0.083186 0.084914 0.086677 29.35 30.58 Barclays Bank PLC 06749N6F4 11/25/22 11/24/23 100.000 0.000 5.6300 5.63 0.156389 0.160767 51.30 Barclays Bank PLC 06746X4X8 04/27/18 07/25/24 100.000 0.000 3.8193 193.68 0.124576 0.126955 0.129379 0.131850 46.02 26.84 Barclays Bank PLC 06746X4W0 04/27/18 04/25/23 100.000 0.000 3.7000 187.13 0.121187 13.82 Barclays Bank PLC 06741T6U6 03/04/14 03/04/24 100.000 0.250 3.4337 347.06 0.125060 0.127088 0.129151 45.87 8.14 Barclays Bank PLC 06749N6A5 11/29/22 02/26/26 100.000 0.000 5.7400 5.10 0.159444 0.161656 0.166296 0.171068 0.175978 58.65 61.94 Barclays Bank PLC 06749NXA5 03/22/23 03/22/28 100.000 0.000 4.8800 0.135556 0.138863 0.142251 0.145722 38.15 51.28 Barclays Bank PLC 06749NXB3 04/05/23 04/03/26 100.000 0.000 4.9300 0.136944 0.140283 0.143741 0.147284 36.72 51.74 Barclays Bank PLC 06744C3B5 09/29/17 09/30/24 100.000 0.000 3.1200 176.73 0.101185 0.102763 0.104366 0.105994 37.00 28.37 Barclays Bank PLC 06746X4M2 05/03/18 05/03/23 100.000 0.000 3.7000 186.40 0.121213 14.79 Barclays Bank PLC 06741T6B8 02/28/14 02/28/34 100.000 VARIES 4.0797 307.15 0.095900 0.095428 0.097603 0.097678 0.100300 35.13 36.07 Barclays Bank PLC 06744CUB5 02/28/18 02/28/25 100.000 0.000 3.7300 195.98 0.122358 0.124640 0.126964 0.129332 0.131744 45.03 46.72 Barclays Bank PLC 06745NNY8 10/05/23 10/04/28 100.000 0.000 5.9300 0.164722 0.169579 0.174607 14.17 61.03 Barclays Bank PLC 06748WWZ2 12/28/21 06/25/27 100.000 0.000 1.8800 19.05 0.053200 0.053700 0.054205 0.054714 0.055229 19.25 19.61 Barclays Bank PLC 06744CUC3 02/28/18 02/28/23 100.000 1.100 3.5359 181.19 0.110362 6.29 Barclays Bank PLC 06747P7G8 02/28/20 02/26/25 100.000 0.000 1.6100 46.63 0.046547 0.046922 0.047300 0.047680 0.048064 16.92 17.19 Barclays Bank PLC 06747PHJ1 04/03/20 03/29/24 100.000 0.000 3.5299 100.84 0.106975 0.108863 0.110784 39.20 9.75 Barclays Bank PLC 06745NNU6 10/11/23 04/10/25 100.000 0.000 6.0500 0.168056 0.173111 0.178348 13.44 62.24 Barclays Bank PLC 06749NWU2 03/30/23 03/30/28 100.000 VARIES 4.9200 0.137444 0.131333 0.130444 0.126556 36.23 46.70 Barclays Bank PLC 06748WFQ1 09/22/21 09/21/28 100.000 0.000 1.7900 22.99 0.050614 0.051067 0.051524 0.051985 0.052450 18.39 18.72 Barclays Bank PLC 06747PHE2 03/31/20 03/31/27 100.000 0.000 3.7900 108.93 0.115639 0.117830 0.120063 0.122338 0.124656 42.43 44.05 Barclays Bank PLC 06745MKK3 06/23/23 06/23/25 100.000 0.000 5.6300 0.156389 0.160791 0.165318 0.169971 29.44 58.77 Barclays Bank PLC 06749NX31 03/21/23 03/20/25 100.000 0.000 5.2600 0.146111 0.149932 0.153876 0.157923 41.30 55.49 Barclays Bank PLC 06748XZV6 11/09/22 11/07/25 100.000 0.000 6.1500 8.88 0.170833 0.176028 0.181441 0.187020 0.192771 63.01 66.93 Barclays Bank PLC 06744CD65 10/25/17 10/24/24 100.000 0.000 3.2400 181.31 0.105680 0.107392 0.109132 0.110900 38.58 32.29 Barclays Bank PLC 06748WX40 01/03/22 01/04/27 100.000 0.000 1.8700 18.68 0.052432 0.052922 0.053417 0.053917 0.054421 19.14 19.50 Barclays Bank PLC 06744CD73 10/25/17 10/24/24 100.000 0.000 3.2400 181.31 0.105681 0.107393 0.109132 0.110900 38.58 32.29 Barclays Bank PLC 06748WFR9 09/22/21 03/22/27 100.000 0.000 1.5300 19.63 0.043153 0.043483 0.043815 0.044151 0.044488 15.66 15.90 Barclays Bank PLC 06747PHD4 03/31/20 03/31/26 100.000 0.000 3.8100 109.53 0.116305 0.118520 0.120778 0.123079 0.125424 42.68 44.32 Barclays Bank PLC 06747P7E3 02/28/20 08/26/25 100.000 0.000 1.6900 48.99 0.048957 0.049371 0.049788 0.050209 0.050633 17.80 18.11 Barclays Bank PLC 06749NWP3 03/22/23 06/21/24 100.000 0.000 4.7700 0.132500 0.134063 0.137260 37.30 23.33 Barclays Bank PLC 06748WX32 12/28/21 12/28/28 100.000 0.000 2.0600 20.88 0.058407 0.059009 0.059616 0.060231 0.060851 21.14 21.58 Barclays Bank PLC 06744CTR2 02/26/18 02/21/25 100.000 0.000 3.3199 173.08 0.106901 0.108676 0.110480 0.112314 0.114178 39.27 40.58 Barclays Bank PLC 06749NWM0 04/06/23 04/08/25 100.000 0.000 5.1100 0.141944 0.141985 0.145612 0.149333 0.153148 37.93 53.72 Barclays Bank PLC 06745W7A2 08/31/23 08/28/26 100.000 4.010 5.6300 0.169333 0.172944 0.171722 20.44 62.01 Barclays Bank PLC 06744CTS0 02/26/18 11/21/23 100.000 0.000 3.2994 171.96 0.107019 0.108784 34.56 Barclays Bank PLC 06747PYD5 07/06/20 07/06/23 100.000 0.000 1.2599 31.72 0.035887 0.036113 6.68 Barclays Bank PLC 06741VLY6 03/31/17 09/29/23 100.000 0.000 3.2100 201.09 0.106228 0.107933 28.78 Barclays Bank PLC 06746X3X9 05/03/18 05/03/23 100.000 0.000 3.7000 186.40 0.121213 14.79 Barclays Bank PLC 06746X3W1 04/30/18 04/28/23 100.000 1.250 3.7000 182.58 0.115679 13.53 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06741VLW0 03/31/17 03/28/24 100.000 0.000 3.2600 204.49 0.108161 0.109924 0.111716 39.59 9.72 Barclays Bank PLC 06747NAQ7 08/30/19 08/30/24 100.000 0.000 2.2798 78.58 0.067785 0.068549 0.069339 0.070125 24.73 16.71 Barclays Bank PLC 06746XE58 06/29/18 06/29/23 100.000 1.000 3.7100 177.04 0.117154 20.85 Barclays Bank PLC 06746X3V3 04/30/18 04/30/25 100.000 0.000 3.8700 196.05 0.127738 0.130209 0.132729 0.135297 0.137915 46.73 48.56 Barclays Bank PLC 06747NB45 08/30/19 08/30/24 100.000 0.000 2.2800 78.58 0.067792 0.068557 0.069347 0.070133 24.73 16.72 Barclays Bank PLC 06744CTM3 03/05/18 03/05/25 100.000 VARIES 3.7200 179.11 0.103722 0.103626 0.103541 0.103472 0.103391 37.30 37.24 Barclays Bank PLC 06747NB37 08/30/19 08/31/23 100.000 0.000 2.2000 75.74 0.065256 0.065966 15.73 Barclays Bank PLC 06749NWA6 03/10/23 03/12/26 100.000 0.000 5.8900 0.163611 0.163665 0.168485 0.173446 0.178554 48.15 62.65 Barclays Bank PLC 06747PH36 04/03/20 03/31/23 100.000 0.000 3.4131 97.37 0.103151 9.18 Barclays Bank PLC 06746XE41 06/29/18 06/29/23 100.000 1.750 3.7100 174.71 0.113825 20.26 Barclays Bank PLC 06744CTC5 02/14/18 02/12/25 100.000 0.000 3.7700 199.99 0.123862 0.126197 0.128576 0.130999 0.133468 45.67 47.40 Barclays Bank PLC 06749N4Z2 11/21/22 11/20/25 100.000 0.000 5.8500 6.50 0.162500 0.167227 0.172118 0.177153 0.182334 59.75 63.29 Barclays Bank PLC 06747T259 07/06/21 07/06/28 100.000 0.000 1.7400 26.08 0.049178 0.049606 0.050037 0.050473 0.050912 17.93 18.24 Barclays Bank PLC 06747NAD6 08/30/19 08/28/24 100.000 0.000 2.2800 78.58 0.067782 0.068555 0.069336 0.070127 24.73 16.58 Barclays Bank PLC 06745MJR0 06/22/23 06/22/26 100.000 0.000 5.2900 0.146944 0.150831 0.154821 0.158916 27.81 55.09 Barclays Bank PLC 06748WF65 10/05/21 09/30/26 100.000 0.000 1.4900 18.57 0.041998 0.042311 0.042626 0.042944 0.043264 15.23 15.46 Barclays Bank PLC 06748WF57 09/30/21 09/29/28 100.000 0.000 1.9200 24.24 0.054359 0.054881 0.055408 0.055940 0.056477 19.76 20.14 Barclays Bank PLC 06741TWH6 06/17/13 06/17/33 100.000 VARIES 3.6856 250.57 0.071286 0.072600 0.073938 0.075300 0.076688 25.94 26.90 Barclays Bank PLC 06749NW24 03/29/23 03/29/28 100.000 0.000 4.7600 0.132222 0.135369 0.138591 0.141889 36.25 49.91 Barclays Bank PLC 06747NAC8 08/30/19 08/28/24 100.000 0.000 2.2800 78.58 0.067782 0.068554 0.069336 0.070126 24.73 16.57 Barclays Bank PLC 06749NW32 03/29/23 03/29/27 100.000 0.000 4.7800 0.132778 0.135951 0.139200 0.142527 36.41 50.13 Barclays Bank PLC 06749NVR0 03/22/23 03/20/25 100.000 0.000 4.9100 0.136389 0.139700 0.143130 0.146644 38.39 51.61 Barclays Bank PLC 06749NEP3 01/31/23 01/31/30 100.000 0.000 5.0700 0.140833 0.144403 0.148064 0.151818 47.15 53.76 Barclays Bank PLC 06745MAZ1 05/24/23 05/24/28 100.000 0.000 5.0600 0.140556 0.144112 0.147758 0.151496 30.63 52.81 Barclays Bank PLC 06740PYE0 12/30/10 12/30/30 100.000 VARIES 5.6003 572.02 0.143158 0.145117 0.147132 0.148103 0.149101 51.89 53.14 Barclays Bank PLC 06746XM34 08/31/18 08/31/23 100.000 VARIES 3.7102 160.81 0.104053 0.103624 24.79 Barclays Bank PLC 06747PP52 04/22/20 04/22/27 100.000 0.000 2.4000 66.34 0.070764 0.071613 0.072472 0.073342 0.074222 25.75 26.37 Barclays Bank PLC 06749NMX7 03/03/23 03/05/26 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 0.174282 48.23 61.25 Barclays Bank PLC 06745MB72 05/31/23 03/02/26 100.000 0.000 5.2100 0.144722 0.146649 0.150469 0.154389 30.77 54.40 Barclays Bank PLC 06747MWH5 07/03/19 03/31/23 100.000 0.000 2.8815 105.20 0.087821 7.82 Barclays Bank PLC 06749NMY5 03/03/23 03/02/28 100.000 0.000 5.6100 0.155833 0.160180 0.164673 0.169292 46.96 59.56 Barclays Bank PLC 06741VCG5 10/31/16 10/31/23 100.000 0.000 2.5499 169.22 0.082462 0.083513 24.85 Barclays Bank PLC 06748XPZ8 09/01/22 09/03/26 100.000 0.000 5.0300 16.77 0.139761 0.143276 0.146880 0.150574 0.154361 51.79 54.42 Barclays Bank PLC 06747NZF4 01/31/20 01/29/25 100.000 0.000 1.9400 57.99 0.056550 0.057099 0.057653 0.058212 0.058777 20.62 21.03 Barclays Bank PLC 06747NZE7 01/31/20 07/29/25 100.000 0.000 2.0100 60.13 0.058692 0.059282 0.059878 0.060480 0.061088 21.42 21.85 Barclays Bank PLC 06745NE44 10/03/23 07/06/26 100.000 0.000 5.9625 0.165625 0.168176 0.173190 14.58 61.41 Barclays Bank PLC 06745NE51 10/03/23 04/05/27 100.000 0.000 5.9500 0.165278 0.165332 0.170251 0.175316 14.55 61.26 Barclays Bank PLC 06745MB23 05/24/23 05/24/27 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 32.27 55.75 Barclays Bank PLC 06745MAK4 05/31/23 05/30/28 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 31.07 55.16 Barclays Bank PLC 06746XLE1 08/31/18 06/01/23 100.000 1.000 3.6891 168.63 0.115303 17.30 Barclays Bank PLC 06749NMR0 02/28/23 02/27/25 100.000 0.000 6.0100 0.166944 0.171933 0.177100 0.182422 51.20 64.13 Barclays Bank PLC 06745MAL2 05/31/23 02/28/25 100.000 0.000 5.6500 0.156944 0.159112 0.163607 0.168229 33.38 59.21 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06745MAM0 06/05/23 03/06/25 100.000 0.000 5.5400 0.153889 0.156044 0.160366 0.164808 31.95 57.96 Barclays Bank PLC 06747MWA0 06/28/19 06/30/23 100.000 0.000 2.9300 107.44 0.090127 16.13 Barclays Bank PLC 06745MAN8 05/04/23 05/06/25 100.000 0.000 5.1900 0.144167 0.144208 0.147950 0.151790 0.155729 34.38 54.38 Barclays Bank PLC 06744CJZ5 11/30/17 11/29/24 100.000 0.000 3.1200 170.56 0.101167 0.102745 0.104348 0.105976 36.81 34.52 Barclays Bank PLC 06745NDQ6 08/31/23 08/31/26 100.000 5.750 5.6300 0.155500 0.157111 0.155556 18.76 56.38 Barclays Bank PLC 06746XLB7 08/31/18 06/01/23 100.000 0.000 3.6892 171.84 0.119718 17.96 Barclays Bank PLC 06741RGQ8 04/18/13 04/18/30 100.000 VARIES 3.0513 307.35 0.089910 0.090010 0.089900 0.089788 0.089675 32.38 32.33 Barclays Bank PLC 06748D527 02/17/23 03/04/26 100.000 0.000 5.5200 0.153333 0.153733 0.157976 0.162336 0.166817 48.76 58.69 Barclays Bank PLC 06745NDH6 09/20/23 10/05/27 100.000 0.000 5.8500 0.162500 0.162896 0.167661 0.172565 16.45 60.33 Barclays Bank PLC 06744CJQ5 11/27/17 11/21/24 100.000 0.000 3.1199 170.86 0.101122 0.102700 0.104302 0.105929 36.82 33.67 Barclays Bank PLC 06747MW85 06/28/19 06/28/24 100.000 0.000 3.0400 111.66 0.093850 0.095277 0.096725 34.05 17.12 Barclays Bank PLC 06747NHX5 10/02/19 10/02/24 100.000 0.000 2.3500 78.84 0.070017 0.070840 0.071672 0.072514 25.50 19.57 Barclays Bank PLC 06744CJR3 11/27/17 11/22/23 100.000 0.000 3.0299 165.59 0.097781 0.099262 31.65 Barclays Bank PLC 06747B506 06/05/19 06/04/25 100.000 0.000 3.2000 120.11 0.099326 0.100915 0.102530 0.104170 0.105837 36.13 37.30 Barclays Bank PLC 06746XKX0 09/06/18 06/05/23 100.000 0.000 3.7091 172.11 0.120440 18.55 Barclays Bank PLC 06747NHT4 10/02/19 10/02/24 100.000 0.000 2.3500 78.84 0.070017 0.070840 0.071672 0.072514 25.50 19.57 Barclays Bank PLC 06747PNU9 04/30/20 04/30/25 100.000 0.000 2.2800 62.40 0.067027 0.067791 0.068564 0.069345 0.070136 24.36 24.92 Barclays Bank PLC 06749NMB5 02/28/23 02/26/26 100.000 0.000 5.6000 0.155556 0.159863 0.164339 0.168940 47.67 59.49 Barclays Bank PLC 06747MVL7 05/29/19 05/29/29 100.000 VARIES 3.3999 121.00 0.091890 0.091606 0.091428 0.091359 0.091382 33.01 32.90 Barclays Bank PLC 06747PNV7 05/05/20 04/30/24 100.000 0.000 2.1000 57.06 0.061442 0.062088 0.062739 22.31 7.47 Barclays Bank PLC 06745MA65 05/31/23 11/28/25 100.000 0.000 5.3200 0.147778 0.151665 0.155699 0.159841 31.31 55.60 Barclays Bank PLC 06745MA73 05/31/23 05/29/26 100.000 0.000 5.1400 0.142778 0.146427 0.150190 0.154050 30.24 53.63 Barclays Bank PLC 06747QA56 07/29/20 07/29/27 100.000 0.000 1.8100 44.62 0.052123 0.052594 0.053070 0.053550 0.054035 18.99 19.34 Barclays Bank PLC 06741WEM8 12/26/18 12/26/23 100.000 0.000 2.8900 122.07 0.090042 0.091343 32.20 Barclays Bank PLC 06747QA49 07/29/20 07/29/25 100.000 0.000 1.4600 35.87 0.041753 0.042058 0.042365 0.042674 0.042985 15.18 15.40 Barclays Bank PLC 06748WLY7 10/27/21 10/26/28 100.000 0.000 2.2700 26.96 0.064491 0.065223 0.065963 0.066712 0.067469 23.44 23.98 Barclays Bank PLC 06748WLZ4 10/27/21 04/29/27 100.000 0.000 1.9100 22.65 0.054079 0.054596 0.055117 0.055643 0.056175 19.63 20.00 Barclays Bank PLC 06747H636 06/03/20 06/03/27 100.000 0.000 2.1700 57.22 0.063620 0.064310 0.065008 0.065713 0.066426 23.07 23.57 Barclays Bank PLC 06747NHF4 10/03/19 10/05/26 100.000 0.000 2.4700 82.93 0.073865 0.074777 0.075700 0.076635 0.077582 26.91 27.58 Barclays Bank PLC 06747NYG3 02/05/20 07/31/23 100.000 0.000 1.8715 55.62 0.054450 0.054960 11.47 Barclays Bank PLC 06747G331 04/22/20 05/05/27 100.000 0.000 2.3999 66.34 0.070823 0.071673 0.072533 0.073403 0.074284 25.75 26.37 Barclays Bank PLC 06745NCP9 08/30/23 09/11/24 100.000 0.000 6.0300 0.167500 0.167809 0.172868 20.30 42.86 Barclays Bank PLC 06749NLT7 02/28/23 02/26/26 100.000 0.000 5.7200 0.158889 0.163383 0.168055 0.172862 48.71 60.84 Barclays Bank PLC 06748XP70 08/30/22 02/28/25 100.000 0.000 4.8900 16.44 0.135833 0.139118 0.142519 0.146004 0.149573 50.31 52.80 Barclays Bank PLC 06747NYF5 02/05/20 01/26/23 100.000 0.000 1.8499 54.97 0.053783 1.34 Barclays Bank PLC 06747PNC9 04/24/20 04/26/27 100.000 0.000 2.3700 65.35 0.069836 0.070664 0.071501 0.072349 0.073206 25.40 26.00 Barclays Bank PLC 06747M3U8 12/26/18 09/25/23 100.000 0.000 2.8095 118.55 0.086644 0.087861 23.09 Barclays Bank PLC 06749NLL4 03/02/23 09/02/25 100.000 0.000 5.8900 0.163611 0.168429 0.173390 0.178496 49.49 62.73 Barclays Bank PLC 06749NLM2 03/02/23 09/02/26 100.000 0.000 5.8400 0.162222 0.166959 0.171834 0.176852 49.07 62.16 Barclays Bank PLC 06747N6Z2 08/02/19 02/02/23 100.000 VARIES 2.7753 14.48 0.011945 0.37 Barclays Bank PLC 06747B449 07/03/19 07/06/26 100.000 0.000 3.2200 118.10 0.098466 0.100051 0.101662 0.103298 0.104961 36.29 37.47 Barclays Bank PLC 06747QQA8 11/30/20 11/30/27 100.000 0.000 1.4300 30.18 0.040871 0.041163 0.041457 0.041754 0.042052 14.78 15.00 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06747NXT6 02/05/20 02/05/25 100.000 0.000 1.9400 57.71 0.056554 0.057103 0.057657 0.058216 0.058781 20.62 21.02 Barclays Bank PLC 06747NXS8 01/31/20 01/31/24 100.000 0.000 1.8800 56.16 0.054724 0.055238 0.055757 19.95 1.62 Barclays Bank PLC 06747NGL2 09/18/19 09/18/24 100.000 0.000 2.5500 86.85 0.076428 0.077402 0.078389 0.079388 27.89 20.33 Barclays Bank PLC 06748EGK3 05/05/21 05/05/26 100.000 0.000 1.3500 22.53 0.038264 0.038523 0.038783 0.039045 0.039308 13.85 14.04 Barclays Bank PLC 06741W3X6 04/18/23 04/17/25 100.000 0.000 5.1200 0.142222 0.145843 0.149576 0.153406 36.25 53.74 Barclays Bank PLC 06747PN39 04/22/20 04/22/27 100.000 0.000 2.4000 66.34 0.070764 0.071613 0.072472 0.073342 0.074222 25.75 26.37 Barclays Bank PLC 06748EGJ6 04/30/21 04/28/28 100.000 0.000 1.9100 32.25 0.054584 0.055105 0.055632 0.056163 0.056699 19.81 20.19 Barclays Bank PLC 06747NXQ2 01/31/20 01/29/27 100.000 0.000 2.1400 64.12 0.062690 0.063361 0.064039 0.064724 0.065416 22.89 23.39 Barclays Bank PLC 06745MPU6 08/03/23 08/05/26 100.000 0.000 5.4700 0.151944 0.151991 0.156148 0.160418 22.49 56.70 Barclays Bank PLC 06739FJF9 03/11/16 03/13/23 100.000 0.125 2.2608 164.70 0.072143 5.19 Barclays Bank PLC 06745MPV4 08/03/23 08/05/25 100.000 0.000 5.8300 0.161944 0.161997 0.166719 0.171579 23.98 60.57 Barclays Bank PLC 06745MPW2 07/31/23 07/31/25 100.000 0.000 5.8100 0.161389 0.166077 0.170902 24.37 60.38 Barclays Bank PLC 06747NGJ7 10/03/19 10/03/24 100.000 0.000 2.2800 76.34 0.067790 0.068563 0.069345 0.070135 24.68 19.00 Barclays Bank PLC 06745MQ92 07/19/23 10/17/24 100.000 0.000 5.8300 0.161944 0.164252 0.169040 26.41 47.84 Barclays Bank PLC 06745MPQ5 08/03/23 05/05/25 100.000 0.000 5.8500 0.162500 0.164929 0.169754 0.174719 24.19 60.79 Barclays Bank PLC 06745MPR3 08/03/23 08/05/25 100.000 0.000 5.8300 0.161944 0.161997 0.166719 0.171579 23.98 60.57 Barclays Bank PLC 06745MQ43 07/11/23 07/11/24 100.000 0.000 5.9600 0.165556 0.170489 28.14 32.34 Barclays Bank PLC 06746XJK0 07/31/18 07/31/23 100.000 VARIES 3.8007 168.69 0.107206 0.106490 22.28 Barclays Bank PLC 06745MPS1 08/03/23 02/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 23.19 58.52 Barclays Bank PLC 06741VAN2 09/30/16 09/29/23 100.000 0.000 2.2200 148.05 0.070397 0.071178 19.01 Barclays Bank PLC 06745MPT9 08/03/23 08/03/28 100.000 0.000 5.5200 0.153333 0.157565 0.161914 22.69 57.23 Barclays Bank PLC 06745MPM4 07/31/23 07/31/28 100.000 0.000 5.4700 0.151944 0.156100 0.160369 22.94 56.72 Barclays Bank PLC 06749NKR2 02/23/23 02/23/28 100.000 0.000 5.4900 0.152500 0.156686 0.160987 0.165406 47.51 58.30 Barclays Bank PLC 06748XNW7 08/24/22 02/23/24 100.000 0.000 4.5900 16.19 0.127500 0.130410 0.133403 47.18 6.94 Barclays Bank PLC 06749NKS0 02/23/23 02/22/27 100.000 0.000 5.8300 0.161944 0.166639 0.171496 0.176496 50.48 62.14 Barclays Bank PLC 06739FJQ5 10/30/18 10/30/23 100.000 0.000 3.9200 175.75 0.127181 0.129674 38.48 Barclays Bank PLC 06747NGC2 10/03/19 03/31/23 100.000 0.000 2.1416 71.58 0.063405 5.64 Barclays Bank PLC 06745MPJ1 07/31/23 07/31/25 100.000 0.000 5.8100 0.161389 0.166077 0.170902 24.37 60.38 Barclays Bank PLC 06741WDG2 12/04/17 06/02/23 100.000 1.000 3.0301 161.63 0.093352 14.10 Barclays Bank PLC 06744CYW5 03/09/18 03/09/28 100.000 VARIES 3.4394 20.80 0.011822 0.012025 0.012232 0.012442 0.012656 4.34 4.49 Barclays Bank PLC 06745MPL6 07/31/23 07/30/26 100.000 0.000 5.4500 0.151389 0.155514 0.159752 22.86 56.51 Barclays Bank PLC 06745MPK8 07/31/23 01/29/26 100.000 0.000 5.6300 0.156389 0.160767 0.165292 23.61 58.44 Barclays Bank PLC 06748WKK8 11/03/21 11/03/26 100.000 0.000 1.9400 22.68 0.054940 0.055473 0.056011 0.056554 0.057103 19.94 20.33 Barclays Bank PLC 06747C686 09/05/19 09/03/26 100.000 0.000 2.5000 86.06 0.074808 0.075743 0.076689 0.077648 0.078619 27.32 28.01 Barclays Bank PLC 06748XNM9 09/06/22 09/05/24 100.000 0.000 4.9600 15.84 0.137778 0.141176 0.144677 0.148265 51.01 35.95 Barclays Bank PLC 06748WKJ1 10/29/21 10/31/28 100.000 0.000 2.2700 26.83 0.064499 0.065231 0.065971 0.066720 0.067477 23.44 23.98 Barclays Bank PLC 06747PM97 04/08/20 04/08/27 100.000 0.000 3.7900 108.01 0.115638 0.117829 0.120062 0.122338 0.124656 42.39 44.01 Barclays Bank PLC 06747NG32 10/03/19 06/30/23 100.000 0.000 2.1595 72.19 0.064311 11.51 Barclays Bank PLC 06741VQR6 04/28/17 10/30/23 100.000 0.000 3.1299 192.77 0.103154 0.104769 31.13 Barclays Bank PLC 06741VQQ8 04/28/17 04/25/24 100.000 0.000 3.0900 190.11 0.101576 0.103146 0.104739 37.06 11.94 Barclays Bank PLC 06740PVH6 10/20/10 10/20/25 100.000 VARIES 4.6203 564.64 0.129436 0.129264 0.129088 0.128908 0.128723 46.54 46.41 Barclays Bank PLC 06744CYE5 04/03/18 04/05/23 100.000 0.000 3.5300 180.64 0.114799 10.79 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Barclays Bank PLC 06744C7B1 10/27/17 10/24/24 100.000 0.000 3.2400 181.10 0.105661 0.107372 0.109112 0.110879 38.58 32.29 Barclays Bank PLC 06744CYF2 03/29/18 03/31/23 100.000 1.250 3.5081 175.77 0.108727 0.110634 9.68 Barclays Bank PLC 06747N5K6 08/05/19 07/31/24 100.000 0.000 2.5814 91.29 0.077414 0.078413 0.079425 0.080450 28.35 16.78 Barclays Bank PLC 06744C7C9 10/27/17 10/25/23 100.000 0.000 3.1300 174.49 0.101532 0.103121 30.14 Barclays Bank PLC 06747N5J9 07/31/19 07/31/25 100.000 0.000 2.4500 86.85 0.073215 0.074112 0.075020 0.075939 0.076869 26.79 27.45 Barclays Bank PLC 06747PLM9 04/20/20 04/21/25 100.000 0.000 2.2700 62.79 0.066720 0.067477 0.068243 0.069017 0.069801 24.26 24.82 Barclays Bank PLC 06749NJW3 02/15/23 02/14/30 100.000 0.000 5.4500 0.151389 0.155491 0.159728 0.164081 48.40 57.92 Barclays Bank PLC 06747PLN7 04/17/20 04/18/24 100.000 0.000 2.1600 59.87 0.063316 0.064000 0.064691 23.02 6.92 Barclays Bank PLC 06746XZK2 12/24/18 12/22/23 100.000 0.000 3.5300 151.03 0.112764 0.114754 39.94 Barclays Bank PLC 06748XN80 08/17/22 08/14/25 100.000 0.000 4.6700 17.38 0.129722 0.132701 0.135799 0.138970 0.142215 48.07 50.34 Barclays Bank PLC 06747NWE0 01/02/20 01/02/25 100.000 0.000 2.4000 74.12 0.070764 0.071613 0.072472 0.073342 0.074222 25.93 26.56 Barclays Bank PLC 06744CY70 03/29/18 09/26/24 100.000 0.000 3.6400 187.19 0.118894 0.121058 0.123261 0.125505 43.61 33.07 Barclays Bank PLC 06748XN31 09/06/22 09/05/24 100.000 0.000 4.9600 15.84 0.137778 0.141176 0.144677 0.148265 51.01 35.95 Barclays Bank PLC 06745NRP3 10/13/23 10/15/25 100.000 0.000 5.9500 0.165278 0.165332 0.170251 0.175316 12.90 61.16 Barclays Bank PLC 06748XN23 09/06/22 09/03/27 100.000 0.000 5.0800 16.23 0.141111 0.144636 0.148309 0.152076 0.155939 52.28 54.97 Barclays Bank PLC 06744CY62 03/29/18 03/28/23 100.000 0.000 3.5100 179.99 0.114015 9.92 Barclays Bank PLC 06747RAA3 04/16/21 04/14/28 100.000 0.000 1.8600 32.14 0.053116 0.053610 0.054109 0.054612 0.055120 19.29 19.65 Barclays Bank PLC 06747D882 11/05/19 11/04/26 100.000 0.000 2.7100 88.68 0.081603 0.082708 0.083829 0.084965 0.086116 29.70 30.51 Barclays Bank PLC 06747MC38 02/28/19 02/29/24 100.000 0.000 3.6879 150.76 0.116432 0.118567 0.120766 42.83 7.00 Barclays Bank PLC 06747C546 09/06/19 08/29/24 100.000 0.000 2.3000 78.88 0.068394 0.069176 0.069976 0.070781 24.96 16.80 Barclays Bank PLC 06740PV29 12/30/10 12/30/30 100.000 VARIES 5.2624 567.31 0.137914 0.139109 0.140336 0.140961 0.141602 49.87 50.63 Barclays Bank PLC 06745NAF3 08/23/23 09/05/24 100.000 0.000 5.9700 0.165833 0.166163 0.171123 21.26 41.44 Barclays Bank PLC 06744C6N6 10/31/17 10/31/24 100.000 0.000 3.2400 180.78 0.105690 0.107402 0.109142 0.110910 38.57 32.95 Barclays Bank PLC 06748F829 02/15/23 02/13/26 100.000 0.000 5.3900 0.149722 0.153712 0.157855 0.162109 47.86 57.24 Barclays Bank PLC 06747NEP5 09/27/19 09/25/24 100.000 0.000 2.4600 83.02 0.073523 0.074428 0.075343 0.076270 26.81 20.06 Barclays Bank PLC 06748F845 02/15/23 02/18/26 100.000 0.000 5.4100 0.150278 0.150346 0.154412 0.158589 0.162879 48.05 57.47 Barclays Bank PLC 06744CGK1 08/25/17 08/22/24 100.000 0.000 2.9600 170.25 0.095210 0.096619 0.098049 0.099500 34.90 22.91 Barclays Bank PLC 06747NVN1 12/11/19 12/11/29 100.000 VARIES 2.4256 11.69 0.009987 0.010108 0.010231 0.010355 0.010480 3.62 3.71 Barclays Bank PLC 06748E4K6 02/26/21 02/28/28 100.000 0.000 1.7600 32.91 0.050196 0.050637 0.051083 0.051532 0.051986 18.26 18.58 Barclays Bank PLC 06747NEN0 09/27/19 03/25/25 100.000 0.000 2.5300 85.47 0.075772 0.076731 0.077702 0.078685 0.079680 27.64 28.34 BellSouth 079867AS6 12/13/95 12/15/95 25.235 VARIES 6.8500 1187.12 0.184763 0.184764 0.184766 0.184767 0.184769 66.51 66.52 Bureau County SD #502 121133CK6 10/10/13 12/01/23 100.125 VARIES 4.9874 461.36 0.138555 0.138547 45.72 Bureau County, SD #205 121133CL4 10/10/13 12/01/29 100.148 VARIES 5.8866 545.02 0.163642 0.163634 0.163627 0.163619 0.163611 58.91 58.90 CANUTILLO TEX INDPT SCH 138735YN9 07/29/20 02/15/30 81.977 0.000 2.0930 42.42 0.049733 0.050254 0.050780 0.051311 0.051848 18.14 18.52 CANUTILLO TEX INDPT SCH 138735YL3 07/29/20 02/15/28 86.749 0.000 1.8930 40.52 0.047408 0.047857 0.048310 0.048767 0.049229 17.27 17.60 CANUTILLO TEX INDPT SCH 138735YK5 07/29/20 02/15/27 89.327 0.000 1.7320 38.11 0.044519 0.044905 0.045294 0.045686 0.046082 16.20 16.48 CANUTILLO TEX INDPT SCH 138735YM1 07/29/20 02/15/29 84.413 0.000 1.9930 41.55 0.048665 0.049150 0.049640 0.050134 0.050634 17.74 18.09 CAREY OHIO EXMP VLG SCH 141771BW4 03/04/20 11/01/36 57.028 0.000 3.3998 57.02 0.058909 0.059910 0.060928 0.061964 0.063018 21.51 22.25 CAREY OHIO EXMP VLG SCH 141771BU8 03/04/20 11/01/34 61.892 0.000 3.2998 59.99 0.061890 0.062911 0.063949 0.065004 0.066076 22.59 23.34 CAREY OHIO EXMP VLG SCH 141771BV6 03/04/20 11/01/35 59.439 0.000 3.3499 58.52 0.060418 0.061430 0.062459 0.063505 0.064568 22.06 22.80 CAREY OHIO EXMP VLG SCH 141771BT1 03/04/20 11/01/33 64.382 0.000 3.2499 61.43 0.063322 0.064351 0.065397 0.066459 0.067539 23.11 23.86 CAREY OHIO EXMP VLG SCH 141771BR5 03/04/20 11/01/31 69.862 0.000 3.0999 63.47 0.065284 0.066296 0.067324 0.068367 0.069427 23.81 24.55 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CAREY OHIO EXMP VLG SCH 141771BS3 03/04/20 11/01/32 67.325 0.000 3.1499 62.18 0.064011 0.065020 0.066044 0.067084 0.068140 23.35 24.09 CBIZ, Inc. 124805AA0 05/30/06 06/01/26 100.000 VARIES 8.9994 2641.76 0.759964 0.789170 0.819460 0.851113 0.884189 280.63 302.64 CBIZ, Inc. 124805AB8 05/30/06 06/01/26 100.000 VARIES 8.9994 2641.76 0.759964 0.789170 0.819460 0.851113 0.884189 280.63 302.64 CHINA SPRING TEX INDPT 169412RQ8 07/22/20 08/15/34 68.731 0.000 2.6840 46.25 0.054141 0.054868 0.055604 0.056350 0.057107 19.82 20.36 CHINA SPRING TEX INDPT 169412RP0 07/22/20 08/15/33 71.045 0.000 2.6339 46.89 0.054865 0.055587 0.056319 0.057061 0.057813 20.08 20.61 CITIGROUP GLBL MKTS HOLD 17330RGV1 11/03/22 11/05/24 100.000 0.000 5.8450 9.42 0.162414 0.167160 0.172046 0.177074 59.86 53.21 CITIGROUP GLBL MKTS HOLD 17330RFK6 11/03/22 11/05/26 100.000 0.000 5.8740 9.47 0.163220 0.168014 0.172948 0.178028 0.183256 60.17 63.75 CITIGROUP GLBL MKTS HOLD 17330RFN0 11/03/22 05/03/24 100.000 0.000 5.8640 9.45 0.162889 0.167665 0.172581 60.06 21.05 CITIGROUP GLBL MKTS HOLD 17330RW76 11/03/22 12/05/23 100.000 0.000 6.3880 10.32 0.178452 0.184152 60.63 CITIGROUP GLBL MKTS HOLD 17330RV69 11/02/22 11/04/27 100.000 0.000 5.8830 9.64 0.163470 0.168279 0.173228 0.178324 0.183569 60.27 63.87 CITIGROUP GLBL MKTS HOLD 17330RUW3 10/31/22 05/01/24 100.000 0.000 5.9510 10.08 0.165306 0.170252 0.175317 61.00 21.04 CITIGROUP GLBL MKTS HOLD 17330RHN8 10/31/22 10/29/27 100.000 0.000 6.0870 10.31 0.169083 0.174201 0.179503 0.184966 0.190595 62.44 66.29 CITIGROUP GLBL MKTS HOLD 17330RZ57 10/25/22 10/23/25 100.000 0.000 6.0190 11.03 0.167194 0.172170 0.177352 0.182689 0.188187 61.78 65.54 CITIGROUP GLBL MKTS HOLD 17330YLW8 11/17/22 11/19/24 100.000 0.000 5.5240 6.75 0.153492 0.157731 0.162088 0.166564 56.38 52.35 CITIGROUP GLBL MKTS HOLD 17330R6G5 09/30/22 10/02/28 100.000 0.000 5.7960 14.66 0.161052 0.165719 0.170522 0.175463 0.180548 59.66 63.17 CITIGROUP GLBL MKTS HOLD 17330RFT7 11/03/22 11/05/26 100.000 0.000 5.8740 9.47 0.163220 0.168014 0.172948 0.178028 0.183256 60.17 63.75 CITIGROUP GLBL MKTS HOLD 17330Y5L0 10/26/22 10/24/25 100.000 0.000 6.1160 11.04 0.169889 0.175026 0.180379 0.185895 0.191579 62.79 66.68 CITIGROUP GLBL MKTS HOLD 17330Y5V8 10/26/22 10/25/25 100.000 0.000 6.1160 11.04 0.169889 0.175055 0.180408 0.185925 0.191611 62.78 66.68 CITIGROUP GLBL MKTS HOLD 17330Y5C0 11/04/22 05/06/24 100.000 0.000 5.7860 9.16 0.160774 0.165425 0.170211 59.23 21.28 CITIGROUP GLBL MKTS HOLD 17330RS55 10/26/22 04/24/26 100.000 0.000 6.1260 11.06 0.170167 0.175321 0.180691 0.186226 0.191930 62.89 66.80 CITIGROUP GLBL MKTS HOLD 17330Y4Q0 10/26/22 04/25/24 100.000 0.000 6.0580 10.94 0.168278 0.173347 0.178597 62.17 20.36 CITIGROUP GLBL MKTS HOLD 17330YHR4 11/02/22 05/01/25 100.000 0.000 5.7570 9.44 0.159917 0.164494 0.169229 0.174101 0.179112 58.95 62.39 CITIGROUP GLBL MKTS HOLD 17330RST3 11/03/22 11/05/25 100.000 0.000 5.8740 9.47 0.163220 0.168014 0.172948 0.178028 0.183256 60.17 63.75 CITIGROUP GLBL MKTS HOLD 17330RNY7 11/03/22 11/04/27 100.000 0.000 5.9420 9.57 0.165056 0.169987 0.175037 0.180237 0.185592 60.88 64.55 CITIGROUP GLBL MKTS HOLD 17330YRU6 11/08/22 11/08/29 100.000 0.000 5.9130 8.71 0.164250 0.169106 0.174106 0.179253 0.184553 60.53 64.16 CITIGROUP GLBL MKTS HOLD 17330YB74 10/31/22 05/01/24 100.000 0.000 5.9510 10.08 0.165306 0.170252 0.175317 61.00 21.04 CITIGROUP GLBL MKTS HOLD 17330YAX8 10/28/22 10/30/24 100.000 0.000 5.9710 10.45 0.165916 0.170870 0.175971 0.181224 61.23 53.56 CITIGROUP GLBL MKTS HOLD 17330YAD2 11/04/22 11/04/24 100.000 0.000 5.7570 9.12 0.159917 0.164520 0.169256 0.174128 58.93 52.16 CITIGROUP GLBL MKTS HOLD 17330YRG7 11/03/22 11/04/27 100.000 0.000 5.9420 9.57 0.165056 0.169987 0.175037 0.180237 0.185592 60.88 64.55 CITIGROUP GLBL MKTS HOLD 17330YAQ3 10/26/22 10/26/27 100.000 0.000 6.2330 11.25 0.173139 0.178535 0.184099 0.189836 0.195752 64.01 68.07 CITIGROUP GLBL MKTS HOLD 17330RMG7 10/31/22 10/31/24 100.000 0.000 5.9420 10.07 0.165056 0.169959 0.175009 0.180208 60.91 53.26 CITIGROUP GLBL MKTS HOLD 17330YDL1 11/18/22 12/20/23 100.000 0.000 6.0970 7.29 0.170279 0.175470 60.36 CITIGROUP GLBL MKTS HOLD 17330RQE8 10/26/22 04/26/27 100.000 0.000 6.2810 11.34 0.174472 0.179952 0.185603 0.191432 0.197444 64.52 68.64 CITIGROUP GLBL MKTS HOLD 17330Y2Y5 10/31/22 10/31/24 100.000 0.000 5.9420 10.07 0.165056 0.169959 0.175009 0.180208 60.91 53.26 CITIGROUP GLBL MKTS HOLD 17330YUE8 11/16/22 11/16/27 100.000 0.000 5.8060 7.26 0.161278 0.165960 0.170777 0.175735 0.180837 59.33 62.82 CITIGROUP GLBL MKTS HOLD 17330YDE7 11/17/22 11/19/25 100.000 0.000 5.5040 6.73 0.152936 0.157144 0.161469 0.165913 0.170479 56.17 59.31 CITIGROUP GLBL MKTS HOLD 17330Y2H2 10/25/22 10/25/27 100.000 0.000 6.1260 11.23 0.170167 0.175379 0.180751 0.186287 0.191993 62.90 66.81 CITIGROUP GLBL MKTS HOLD 17330YTT7 11/17/22 11/20/23 100.000 0.000 5.6020 6.85 0.155684 0.160044 50.45 CITIGROUP GLBL MKTS HOLD 17330YCR9 11/14/22 11/12/27 100.000 0.000 5.9510 7.77 0.165306 0.170170 0.175233 0.180447 0.185816 60.87 64.54 CITIGROUP GLBL MKTS HOLD 17330YTW0 11/17/22 11/19/24 100.000 0.000 5.5240 6.75 0.153492 0.157731 0.162088 0.166564 56.38 52.35 CITIGROUP GLBL MKTS HOLD 17330YSY7 11/02/22 11/02/28 100.000 0.000 5.9030 9.67 0.163972 0.168812 0.173794 0.178924 0.184205 60.48 64.10 CITIGROUP GLBL MKTS HOLD 17330RJD8 10/31/22 05/01/25 100.000 0.000 5.9510 10.08 0.165306 0.170252 0.175317 0.180534 0.185906 61.00 64.69 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330RJ30 10/31/22 11/30/23 100.000 0.000 6.4460 10.95 0.180017 0.185819 60.27 CITIGROUP GLBL MKTS HOLD 17330RZR9 10/20/22 10/21/27 100.000 0.000 6.0290 11.89 0.167472 0.172549 0.177750 0.183108 0.188628 61.92 65.72 CITIGROUP GLBL MKTS HOLD 17330RM36 10/31/22 10/29/27 100.000 0.000 6.0870 10.31 0.169083 0.174201 0.179503 0.184966 0.190595 62.44 66.29 CITIGROUP GLBL MKTS HOLD 17330RM69 10/31/22 05/01/25 100.000 0.000 5.9510 10.08 0.165306 0.170252 0.175317 0.180534 0.185906 61.00 64.69 CITIGROUP GLBL MKTS HOLD 17330YPQ7 11/16/22 11/19/25 100.000 0.000 5.5140 6.90 0.153237 0.157462 0.161803 0.166264 0.170848 56.29 59.43 CITIGROUP GLBL MKTS HOLD 17330Y4E7 11/09/22 11/07/25 100.000 0.000 6.0780 8.78 0.168833 0.173907 0.179192 0.184638 0.190249 62.25 66.09 CITIGROUP GLBL MKTS HOLD 17330YJT8 11/28/22 05/28/24 100.000 0.000 5.6790 5.21 0.157750 0.162229 0.166836 57.90 24.52 CITIGROUP GLBL MKTS HOLD 17330YKB5 11/28/22 11/26/27 100.000 0.000 5.4560 5.00 0.151556 0.155644 0.159890 0.164252 0.168733 55.59 58.66 CITIGROUP GLBL MKTS HOLD 17330YJF8 11/02/22 10/31/24 100.000 0.000 5.8740 9.63 0.163167 0.167906 0.172837 0.177913 60.18 52.59 CITIGROUP GLBL MKTS HOLD 17330YJE1 11/28/22 11/28/25 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330RVY8 10/31/22 10/29/27 100.000 0.000 6.0870 10.31 0.169083 0.174201 0.179503 0.184966 0.190595 62.44 66.29 CITIGROUP GLBL MKTS HOLD 17330YJQ4 11/30/22 11/28/25 100.000 0.000 5.3780 4.63 0.149389 0.153361 0.157485 0.161720 0.166069 54.76 57.74 CITIGROUP GLBL MKTS HOLD 17330RUZ6 10/31/22 10/29/27 100.000 0.000 6.0870 10.31 0.169083 0.174201 0.179503 0.184966 0.190595 62.44 66.29 CITIGROUP GLBL MKTS HOLD 17330YLY4 11/28/22 11/28/25 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330RYH2 10/20/22 10/22/25 100.000 0.000 5.9420 11.72 0.165110 0.170015 0.175067 0.180268 0.185624 61.01 64.69 CITIGROUP GLBL MKTS HOLD 17330YME7 11/23/22 12/21/23 100.000 0.000 6.1840 6.54 0.172604 0.177941 61.37 CITIGROUP GLBL MKTS HOLD 17330RY58 10/14/22 10/16/25 100.000 0.000 5.6500 12.09 0.156994 0.161429 0.165989 0.170678 0.175500 57.99 61.31 CITIGROUP GLBL MKTS HOLD 17330RYD1 10/20/22 04/23/25 100.000 0.000 5.9220 11.69 0.164581 0.169454 0.174472 0.179638 0.184957 60.80 64.45 CITIGROUP GLBL MKTS HOLD 17330RXJ9 10/14/22 10/16/25 100.000 0.000 5.6500 12.09 0.156994 0.161429 0.165989 0.170678 0.175500 57.99 61.31 CITIGROUP GLBL MKTS HOLD 17330RXM2 10/14/22 10/14/27 100.000 0.000 5.7960 12.40 0.161000 0.165666 0.170467 0.175407 0.180490 59.53 63.03 CITIGROUP GLBL MKTS HOLD 17330RXN0 10/13/22 10/10/24 100.000 0.000 5.4260 11.76 0.150722 0.154743 0.158941 0.163253 55.65 45.12 CITIGROUP GLBL MKTS HOLD 17330YG53 11/28/22 05/28/25 100.000 0.000 5.5140 5.05 0.153167 0.157389 0.161729 0.166188 0.170769 56.18 59.32 CITIGROUP GLBL MKTS HOLD 17330Y5Y2 10/21/22 10/21/27 100.000 0.000 5.9710 11.61 0.165861 0.170813 0.175913 0.181164 0.186573 61.30 65.02 CITIGROUP GLBL MKTS HOLD 17330RSH9 11/01/22 04/30/26 100.000 0.000 5.8930 9.82 0.163694 0.168491 0.173455 0.178566 0.183828 60.39 64.00 CITIGROUP GLBL MKTS HOLD 17330Y5F3 11/01/22 11/30/23 100.000 0.000 6.3880 10.67 0.178358 0.184054 59.71 CITIGROUP GLBL MKTS HOLD 17330RQW8 10/31/22 10/29/27 100.000 0.000 6.0870 10.31 0.169083 0.174201 0.179503 0.184966 0.190595 62.44 66.29 CITIGROUP GLBL MKTS HOLD 17330YER7 11/28/22 11/26/27 100.000 0.000 4.4560 4.08 0.123778 0.126505 0.129323 0.132205 0.135150 45.24 47.28 CITIGROUP GLBL MKTS HOLD 17330YF62 11/23/22 11/21/24 100.000 0.000 5.4850 5.79 0.152361 0.156493 0.160785 0.165195 55.93 52.24 CITIGROUP GLBL MKTS HOLD 17330YEW6 11/28/22 11/28/25 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330YEC0 11/29/22 12/01/25 100.000 0.000 5.4650 4.86 0.151852 0.156001 0.160264 0.164643 0.169142 55.67 58.75 CITIGROUP GLBL MKTS HOLD 17330RR31 10/31/22 10/29/27 100.000 0.000 6.0870 10.31 0.169083 0.174201 0.179503 0.184966 0.190595 62.44 66.29 CITIGROUP GLBL MKTS HOLD 17330YHC7 11/07/22 12/07/23 100.000 0.000 6.4170 9.65 0.179203 0.184953 61.25 CITIGROUP GLBL MKTS HOLD 17330YHJ2 11/28/22 11/28/25 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330YHN3 11/28/22 12/28/23 100.000 0.000 6.2130 5.70 0.173477 0.178866 62.90 CITIGROUP GLBL MKTS HOLD 17330Y6P0 12/05/22 12/04/25 100.000 0.000 5.4070 3.91 0.150194 0.154232 0.158402 0.162684 0.167083 55.02 58.03 CITIGROUP GLBL MKTS HOLD 17330YH52 11/25/22 12/27/23 100.000 0.000 6.1840 6.19 0.172722 0.178063 62.45 CITIGROUP GLBL MKTS HOLD 17330YH78 11/28/22 05/28/25 100.000 0.000 5.5140 5.05 0.153167 0.157389 0.161729 0.166188 0.170769 56.18 59.32 CITIGROUP GLBL MKTS HOLD 17330Y6D7 11/01/22 11/01/27 100.000 0.000 5.9900 9.98 0.166389 0.171372 0.176505 0.181791 0.187236 61.40 65.14 CITIGROUP GLBL MKTS HOLD 17330YGK0 11/28/22 11/27/24 100.000 0.000 5.5630 5.10 0.154528 0.158802 0.163219 0.167759 56.69 54.03 CITIGROUP GLBL MKTS HOLD 17330Y6H8 11/28/22 11/26/27 100.000 0.000 5.4560 5.00 0.151556 0.155644 0.159890 0.164252 0.168733 55.59 58.66 CITIGROUP GLBL MKTS HOLD 17330YSJ0 11/28/22 11/28/25 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330YSL5 12/05/22 12/04/25 100.000 0.000 5.4070 3.91 0.150194 0.154232 0.158402 0.162684 0.167083 55.02 58.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330YC24 12/02/22 12/02/27 100.000 0.000 5.3390 4.30 0.148306 0.152265 0.156329 0.160502 0.164787 54.34 57.27 CITIGROUP GLBL MKTS HOLD 17330YRT9 12/06/22 01/05/24 100.000 0.000 6.1650 4.28 0.171250 0.172100 0.177405 62.89 0.71 CITIGROUP GLBL MKTS HOLD 17330YB82 10/20/22 10/21/27 100.000 0.000 6.0290 11.89 0.167472 0.172549 0.177750 0.183108 0.188628 61.92 65.72 CITIGROUP GLBL MKTS HOLD 17330YS84 11/29/22 11/29/27 100.000 0.000 5.3870 4.79 0.149639 0.153669 0.157808 0.162059 0.166424 54.86 57.85 CITIGROUP GLBL MKTS HOLD 17330YRY8 11/07/22 11/06/25 100.000 0.000 5.9220 8.88 0.164500 0.169344 0.174358 0.179521 0.184836 60.63 64.27 CITIGROUP GLBL MKTS HOLD 17330YSB7 11/28/22 11/27/24 100.000 0.000 5.5630 5.10 0.154528 0.158802 0.163219 0.167759 56.69 54.03 CITIGROUP GLBL MKTS HOLD 17330YSC5 11/28/22 05/28/25 100.000 0.000 5.5140 5.05 0.153167 0.157389 0.161729 0.166188 0.170769 56.18 59.32 CITIGROUP GLBL MKTS HOLD 17330YRC6 11/23/22 11/23/27 100.000 0.000 5.3780 5.68 0.149389 0.153406 0.157531 0.161767 0.166117 54.81 57.80 CITIGROUP GLBL MKTS HOLD 17330YAG5 10/21/22 10/21/27 100.000 0.000 5.9710 11.61 0.165861 0.170813 0.175913 0.181164 0.186573 61.30 65.02 CITIGROUP GLBL MKTS HOLD 17330YB25 12/05/22 12/04/25 100.000 0.000 5.4070 3.91 0.150194 0.154232 0.158402 0.162684 0.167083 55.02 58.03 CITIGROUP GLBL MKTS HOLD 17330YQR4 12/05/22 12/05/24 100.000 0.000 5.4650 3.95 0.151806 0.155954 0.160215 0.164593 55.62 54.30 CITIGROUP GLBL MKTS HOLD 17330YR28 11/28/22 11/28/29 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330YQQ6 12/05/22 12/04/25 100.000 0.000 5.4070 3.91 0.150194 0.154232 0.158402 0.162684 0.167083 55.02 58.03 CITIGROUP GLBL MKTS HOLD 17330YR44 12/05/22 06/04/25 100.000 0.000 5.4170 3.91 0.150472 0.154525 0.158710 0.163009 0.167424 55.12 58.14 CITIGROUP GLBL MKTS HOLD 17330YR93 11/22/22 05/22/24 100.000 0.000 5.5430 6.00 0.153972 0.158240 0.162625 56.54 22.93 CITIGROUP GLBL MKTS HOLD 17330RMK8 10/31/22 05/01/25 100.000 0.000 5.9510 10.08 0.165306 0.170252 0.175317 0.180534 0.185906 61.00 64.69 CITIGROUP GLBL MKTS HOLD 17330Y3M0 10/20/22 10/22/24 100.000 0.000 5.9130 11.67 0.164304 0.169162 0.174163 0.179312 60.70 51.61 CITIGROUP GLBL MKTS HOLD 17330YE22 12/05/22 06/04/24 100.000 0.000 5.5820 4.03 0.155056 0.159359 0.163807 56.83 25.06 CITIGROUP GLBL MKTS HOLD 17330Y3B4 11/28/22 11/27/26 100.000 0.000 5.4260 4.97 0.150722 0.154789 0.158988 0.163301 0.167732 55.27 58.31 CITIGROUP GLBL MKTS HOLD 17330YDF4 11/07/22 11/07/24 100.000 0.000 5.8740 8.81 0.163167 0.167959 0.172892 0.177970 60.13 53.82 CITIGROUP GLBL MKTS HOLD 17330Y2J8 11/28/22 11/27/26 100.000 0.000 5.4260 4.97 0.150722 0.154789 0.158988 0.163301 0.167732 55.27 58.31 CITIGROUP GLBL MKTS HOLD 17330YU32 11/28/22 11/26/27 100.000 0.000 5.4560 5.00 0.151556 0.155644 0.159890 0.164252 0.168733 55.59 58.66 CITIGROUP GLBL MKTS HOLD 17330YU40 11/28/22 11/28/25 100.000 0.000 5.4950 5.04 0.152639 0.156833 0.161142 0.165569 0.170118 55.99 59.10 CITIGROUP GLBL MKTS HOLD 17330YU73 11/28/22 05/28/24 100.000 0.000 5.6790 5.21 0.157750 0.162229 0.166836 57.90 24.52 CITIGROUP GLBL MKTS HOLD 17330YCT5 11/07/22 11/06/25 100.000 0.000 5.9220 8.88 0.164500 0.169344 0.174358 0.179521 0.184836 60.63 64.27 CITIGROUP GLBL MKTS HOLD 17330YBV1 12/05/22 06/04/25 100.000 0.000 5.4170 3.91 0.150472 0.154525 0.158710 0.163009 0.167424 55.12 58.14 CITIGROUP GLBL MKTS HOLD 17330RZK4 10/20/22 10/22/24 100.000 0.000 5.9130 11.67 0.164304 0.169162 0.174163 0.179312 60.70 51.61 CITIGROUP GLBL MKTS HOLD 17330YNB2 11/30/22 11/28/25 100.000 0.000 5.3780 4.63 0.149389 0.153361 0.157485 0.161720 0.166069 54.76 57.74 CITIGROUP GLBL MKTS HOLD 17330YN63 12/12/22 06/12/25 100.000 0.000 5.2510 2.77 0.145861 0.149691 0.153621 0.157654 0.161793 53.35 56.18 CITIGROUP GLBL MKTS HOLD 17330RZA6 10/21/22 10/23/25 100.000 0.000 5.8740 11.43 0.163220 0.168014 0.172948 0.178028 0.183256 60.28 63.88 CITIGROUP GLBL MKTS HOLD 17330RZF5 10/13/22 10/10/24 100.000 0.000 5.4260 11.76 0.150722 0.154743 0.158941 0.163253 55.65 45.12 CITIGROUP GLBL MKTS HOLD 17330YQJ2 11/22/22 11/22/27 100.000 0.000 5.3290 5.77 0.148028 0.151972 0.156021 0.160178 0.164446 54.31 57.24 CITIGROUP GLBL MKTS HOLD 17330YQN3 11/30/22 12/01/27 100.000 0.000 5.3100 4.57 0.147500 0.151438 0.155459 0.159586 0.163823 54.05 56.96 CITIGROUP GLBL MKTS HOLD 17330RKL8 10/14/22 10/17/24 100.000 0.000 5.5720 11.92 0.154850 0.159164 0.163598 0.168156 57.17 47.61 CITIGROUP GLBL MKTS HOLD 17330RF59 08/26/22 08/28/24 100.000 0.000 4.2450 14.74 0.117944 0.120448 0.123004 0.125615 43.53 29.62 CITIGROUP GLBL MKTS HOLD 17330R4L6 09/30/22 10/02/29 100.000 0.000 5.8540 14.80 0.162664 0.167425 0.172326 0.177370 0.182561 60.28 63.86 CITIGROUP GLBL MKTS HOLD 17330RDV4 09/30/22 10/02/25 100.000 0.000 5.7960 14.66 0.161052 0.165719 0.170522 0.175463 0.180548 59.66 63.17 CITIGROUP GLBL MKTS HOLD 17330RE76 09/30/22 10/02/25 100.000 0.000 5.6210 14.21 0.156188 0.160577 0.165090 0.169730 0.174500 57.81 61.11 CITIGROUP GLBL MKTS HOLD 17330RDY8 09/30/22 04/01/26 100.000 0.000 5.6500 14.28 0.156944 0.161403 0.165962 0.170651 0.175472 58.11 61.45 CITIGROUP GLBL MKTS HOLD 17330PSC4 08/31/22 08/31/27 100.000 0.000 4.5390 15.26 0.126083 0.128913 0.131871 0.134847 0.137925 46.61 48.74 CITIGROUP GLBL MKTS HOLD 17330RH40 09/30/22 09/30/27 100.000 0.000 5.7960 14.65 0.161000 0.165666 0.170467 0.175407 0.180490 59.66 63.17 CITIGROUP GLBL MKTS HOLD 17330YM23 11/03/22 11/04/27 100.000 0.000 5.9420 9.57 0.165056 0.169987 0.175037 0.180237 0.185592 60.88 64.55 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330RBG9 08/24/22 08/24/27 100.000 0.000 4.4410 15.67 0.123361 0.126100 0.128900 0.131763 0.134688 45.61 47.65 CITIGROUP GLBL MKTS HOLD 17330RRN7 10/28/22 10/30/24 100.000 0.000 5.9710 10.45 0.165916 0.170870 0.175971 0.181224 61.23 53.56 CITIGROUP GLBL MKTS HOLD 17330YFD7 11/15/22 11/13/26 100.000 0.000 5.8830 7.52 0.163417 0.168170 0.173117 0.178209 0.183451 60.15 63.73 CITIGROUP GLBL MKTS HOLD 17330RB38 08/29/22 08/29/24 100.000 0.000 4.2160 14.29 0.117111 0.119566 0.122101 0.124674 43.21 29.52 CITIGROUP GLBL MKTS HOLD 17330YFE5 11/15/22 11/15/27 100.000 0.000 5.8830 7.52 0.163417 0.168224 0.173172 0.178266 0.183509 60.14 63.73 CITIGROUP GLBL MKTS HOLD 17330RAU9 09/30/22 09/30/27 100.000 0.000 5.7960 14.65 0.161000 0.165666 0.170467 0.175407 0.180490 59.66 63.17 CITIGROUP GLBL MKTS HOLD 17330Y4R8 10/31/22 10/30/25 100.000 0.000 5.9710 10.12 0.165861 0.170813 0.175913 0.181164 0.186573 61.21 64.92 CITIGROUP GLBL MKTS HOLD 17330RAD7 09/30/22 04/01/25 100.000 0.000 5.5430 14.01 0.153972 0.158263 0.162650 0.167157 0.171790 56.98 60.19 CITIGROUP GLBL MKTS HOLD 17330RDD4 08/24/22 08/22/26 100.000 0.000 4.3330 15.29 0.120361 0.122940 0.125603 0.128324 0.131105 44.47 46.42 CITIGROUP GLBL MKTS HOLD 17330R3E3 08/31/22 08/31/27 100.000 0.000 4.5390 15.26 0.126083 0.128913 0.131871 0.134847 0.137925 46.61 48.74 CITIGROUP GLBL MKTS HOLD 17330R3J2 09/30/22 09/30/27 100.000 0.000 5.7960 14.65 0.161000 0.165666 0.170467 0.175407 0.180490 59.66 63.17 CITIGROUP GLBL MKTS HOLD 17330RD28 09/30/22 10/02/24 100.000 0.000 5.4560 13.80 0.151601 0.155737 0.159986 0.164350 56.07 44.14 CITIGROUP GLBL MKTS HOLD 17330RD51 09/30/22 09/30/25 100.000 0.000 5.6210 14.21 0.156139 0.160527 0.165039 0.169677 0.174446 57.81 61.10 CITIGROUP GLBL MKTS HOLD 17330RD93 08/25/22 08/27/24 100.000 0.000 4.1060 14.37 0.114082 0.116424 0.118814 0.121253 42.08 28.48 CITIGROUP GLBL MKTS HOLD 17330R2X2 09/30/22 04/01/25 100.000 0.000 5.5430 14.01 0.153972 0.158263 0.162650 0.167157 0.171790 56.98 60.19 CITIGROUP GLBL MKTS HOLD 17330YH94 11/17/22 11/19/24 100.000 0.000 5.5240 6.75 0.153492 0.157731 0.162088 0.166564 56.38 52.35 CITIGROUP GLBL MKTS HOLD 17330R2G9 09/30/22 09/30/27 100.000 0.000 5.7960 14.65 0.161000 0.165666 0.170467 0.175407 0.180490 59.66 63.17 CITIGROUP GLBL MKTS HOLD 17330RC94 09/30/22 04/01/25 100.000 0.000 5.5430 14.01 0.153972 0.158263 0.162650 0.167157 0.171790 56.98 60.19 CITIGROUP GLBL MKTS HOLD 17330PGK9 08/31/22 08/31/28 100.000 0.000 4.5870 15.42 0.127417 0.130306 0.133328 0.136369 0.139514 47.11 49.30 CITIGROUP GLBL MKTS HOLD 17330PY45 08/31/22 03/03/25 100.000 0.000 4.3430 14.60 0.120683 0.123303 0.125981 0.128716 0.131511 44.54 46.50 CITIGROUP GLBL MKTS HOLD 17330PH69 08/31/22 08/31/27 100.000 0.000 4.5390 15.26 0.126083 0.128913 0.131871 0.134847 0.137925 46.61 48.74 CITIGROUP GLBL MKTS HOLD 17330PX95 08/31/22 03/03/25 100.000 0.000 4.3430 14.60 0.120683 0.123303 0.125981 0.128716 0.131511 44.54 46.50 CITIGROUP GLBL MKTS HOLD 17330RMF9 09/30/22 10/02/25 100.000 0.000 5.6210 14.21 0.156188 0.160577 0.165090 0.169730 0.174500 57.81 61.11 CITIGROUP GLBL MKTS HOLD 17330PK81 08/31/22 08/29/25 100.000 0.000 4.4210 14.86 0.122806 0.125490 0.128279 0.131115 0.134013 45.36 47.39 CITIGROUP GLBL MKTS HOLD 17330RPS8 10/31/22 10/30/25 100.000 0.000 5.9710 10.12 0.165861 0.170813 0.175913 0.181164 0.186573 61.21 64.92 CITIGROUP GLBL MKTS HOLD 17330RP33 10/31/22 10/31/29 100.000 0.000 6.1260 10.38 0.170167 0.175379 0.180751 0.186287 0.191993 62.84 66.75 CITIGROUP GLBL MKTS HOLD 17330PZM4 08/30/22 03/02/26 100.000 0.000 4.4700 15.03 0.124198 0.126973 0.129811 0.132712 0.135679 45.88 47.95 CITIGROUP GLBL MKTS HOLD 17330RJN6 11/03/22 05/05/25 100.000 0.000 5.8450 9.42 0.162414 0.167160 0.172046 0.177074 0.182249 59.86 63.41 CITIGROUP GLBL MKTS HOLD 17330PUS6 08/31/22 08/31/28 100.000 0.000 4.5870 15.42 0.127417 0.130306 0.133328 0.136369 0.139514 47.11 49.30 CITIGROUP GLBL MKTS HOLD 17330YNF3 11/17/22 11/18/27 100.000 0.000 5.4850 6.70 0.152361 0.156563 0.160857 0.165268 0.169801 55.97 59.09 CITIGROUP GLBL MKTS HOLD 17330RLM5 09/30/22 10/02/25 100.000 0.000 5.6210 14.21 0.156188 0.160577 0.165090 0.169730 0.174500 57.81 61.11 CITIGROUP GLBL MKTS HOLD 17330PWQ8 08/31/22 08/31/27 100.000 0.000 4.5390 15.26 0.126083 0.128913 0.131871 0.134847 0.137925 46.61 48.74 CITIGROUP GLBL MKTS HOLD 17330RM93 11/03/22 05/05/25 100.000 0.000 5.8450 9.42 0.162414 0.167160 0.172046 0.177074 0.182249 59.86 63.41 CITIGROUP GLBL MKTS HOLD 17330PVY2 08/26/22 08/28/24 100.000 0.000 4.2450 14.74 0.117944 0.120448 0.123004 0.125615 43.53 29.62 CITIGROUP GLBL MKTS HOLD 17330PWE5 08/24/22 08/22/25 100.000 0.000 4.2650 15.05 0.118472 0.120971 0.123550 0.126185 0.128876 43.75 45.64 CITIGROUP GLBL MKTS HOLD 17330PVK2 08/31/22 08/30/29 100.000 0.000 4.6480 15.62 0.129111 0.132078 0.135182 0.138306 0.141538 47.75 50.00 CITIGROUP GLBL MKTS HOLD 17330PEN5 08/31/22 03/03/25 100.000 0.000 4.3430 14.60 0.120683 0.123303 0.125981 0.128716 0.131511 44.54 46.50 CITIGROUP GLBL MKTS HOLD 17330RAB2 08/25/22 08/27/25 100.000 0.000 4.3330 15.17 0.120390 0.122998 0.125663 0.128386 0.131167 44.46 46.41 CITIGROUP GLBL MKTS HOLD 17330YSU5 11/09/22 11/07/24 100.000 0.000 6.0290 8.71 0.167472 0.172465 0.177664 0.183019 61.74 55.33 CITIGROUP GLBL MKTS HOLD 17330FTE1 05/26/22 05/27/27 100.000 0.000 4.3720 26.20 0.124114 0.126827 0.129600 0.132433 0.135328 45.36 47.36 CITIGROUP GLBL MKTS HOLD 17330FTM3 06/02/22 05/31/24 100.000 0.000 3.7150 21.63 0.105090 0.107042 0.109030 38.31 16.25 CITIGROUP GLBL MKTS HOLD 17330PPJ2 07/13/22 07/11/24 100.000 0.000 4.3230 20.17 0.120083 0.122650 0.125301 0.128010 44.58 24.29 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330FT43 06/03/22 06/05/24 100.000 0.000 3.7250 21.58 0.105421 0.107385 0.109385 38.41 16.85 CITIGROUP GLBL MKTS HOLD 17330FBT7 05/31/22 05/29/26 100.000 0.000 4.2350 24.90 0.120116 0.122660 0.125257 0.127909 0.130618 43.86 45.74 CITIGROUP GLBL MKTS HOLD 17330PPT0 07/13/22 07/13/27 100.000 0.000 4.6460 21.68 0.129056 0.132054 0.135121 0.138260 0.141472 48.02 50.28 CITIGROUP GLBL MKTS HOLD 17330REA9 08/12/22 08/14/24 100.000 0.000 4.2160 16.28 0.117139 0.119608 0.122129 0.124704 43.30 27.70 CITIGROUP GLBL MKTS HOLD 17330FSE2 05/31/22 05/28/27 100.000 0.000 4.2940 25.25 0.121810 0.124425 0.127097 0.129826 0.132613 44.50 46.43 CITIGROUP GLBL MKTS HOLD 17330REJ0 08/10/22 08/08/24 100.000 0.000 4.1270 16.16 0.114639 0.116978 0.119392 0.121856 42.37 26.35 CITIGROUP GLBL MKTS HOLD 17330PPF0 07/12/22 07/12/27 100.000 0.000 4.5870 21.53 0.127417 0.130339 0.133328 0.136386 0.139514 47.40 49.59 CITIGROUP GLBL MKTS HOLD 17330FRM5 06/03/22 06/04/27 100.000 0.000 4.1570 24.08 0.117886 0.120336 0.122837 0.125390 0.127996 43.01 44.82 CITIGROUP GLBL MKTS HOLD 17330FRR4 05/24/22 05/27/25 100.000 0.000 4.1570 25.15 0.117913 0.120364 0.122866 0.125419 0.128026 43.06 44.87 CITIGROUP GLBL MKTS HOLD 17330FRT0 07/06/22 01/03/25 100.000 0.000 4.5190 21.97 0.125528 0.128317 0.131216 0.134181 0.137213 46.70 48.84 CITIGROUP GLBL MKTS HOLD 17330PP78 08/03/22 02/03/25 100.000 0.000 4.1180 16.93 0.114389 0.116744 0.119148 0.121601 0.124105 42.31 44.07 CITIGROUP GLBL MKTS HOLD 17330FVF5 05/31/22 05/28/27 100.000 0.000 4.1960 24.67 0.118974 0.121470 0.124018 0.126620 0.129277 43.45 45.29 CITIGROUP GLBL MKTS HOLD 17330PBM0 06/23/22 06/23/25 100.000 0.000 4.6850 24.49 0.133187 0.136307 0.139500 0.142768 0.146112 48.56 50.86 CITIGROUP GLBL MKTS HOLD 17330FV40 05/16/22 04/17/28 100.000 0.000 4.4600 28.05 0.126207 0.129021 0.131898 0.134839 0.137846 46.36 48.45 CITIGROUP GLBL MKTS HOLD 17330FE49 06/01/22 05/29/26 100.000 0.000 4.0980 23.98 0.116140 0.118520 0.120948 0.123426 0.125955 42.39 44.15 CITIGROUP GLBL MKTS HOLD 17330FV73 05/26/22 11/29/24 100.000 0.000 4.0980 24.56 0.116205 0.118586 0.121016 0.123496 42.42 40.14 CITIGROUP GLBL MKTS HOLD 17330FUZ2 05/17/22 05/15/25 100.000 0.000 4.1670 26.04 0.118135 0.120596 0.123109 0.125674 0.128292 43.20 45.02 CITIGROUP GLBL MKTS HOLD 17330PS91 07/06/22 07/06/27 100.000 0.000 4.8320 23.49 0.134222 0.137465 0.140786 0.144188 0.147671 50.05 52.50 CITIGROUP GLBL MKTS HOLD 17330PAY5 06/21/22 06/21/27 100.000 0.000 5.0850 26.87 0.144841 0.148524 0.152300 0.156172 0.160143 52.88 55.60 CITIGROUP GLBL MKTS HOLD 17330PRA9 07/14/22 07/15/27 100.000 0.000 4.7140 21.87 0.130944 0.134048 0.137207 0.140441 0.143752 48.74 51.06 CITIGROUP GLBL MKTS HOLD 17330PRE1 07/29/22 07/30/27 100.000 0.000 4.4500 18.79 0.123611 0.126377 0.129189 0.132063 0.135001 45.84 47.90 CITIGROUP GLBL MKTS HOLD 17330PAD1 06/09/22 06/11/25 100.000 0.000 4.0780 22.93 0.115614 0.117971 0.120376 0.122831 0.125335 42.14 43.88 CITIGROUP GLBL MKTS HOLD 17330FUL3 07/06/22 07/06/27 100.000 0.000 4.8320 23.49 0.134222 0.137465 0.140786 0.144188 0.147671 50.05 52.50 CITIGROUP GLBL MKTS HOLD 17330FU25 06/07/22 06/05/25 100.000 0.000 4.0690 23.12 0.115302 0.117648 0.120041 0.122483 0.124975 42.05 43.78 CITIGROUP GLBL MKTS HOLD 17330PQS1 08/03/22 02/03/25 100.000 0.000 4.1180 16.93 0.114389 0.116744 0.119148 0.121601 0.124105 42.31 44.07 CITIGROUP GLBL MKTS HOLD 17330PQR3 07/29/22 07/31/29 100.000 0.000 4.6260 19.53 0.128517 0.131489 0.134530 0.137642 0.140826 47.71 49.94 CITIGROUP GLBL MKTS HOLD 17330FTZ4 06/30/22 07/02/26 100.000 0.000 4.6460 23.37 0.129089 0.132088 0.135156 0.138296 0.141508 48.10 50.36 CITIGROUP GLBL MKTS HOLD 17330PM63 08/03/22 08/01/24 100.000 0.000 4.0980 16.85 0.113833 0.116140 0.118520 0.120948 42.10 25.33 CITIGROUP GLBL MKTS HOLD 17330PM89 07/13/22 07/11/25 100.000 0.000 4.4500 20.77 0.123611 0.126331 0.129142 0.132015 0.134953 45.93 48.00 CITIGROUP GLBL MKTS HOLD 17330PLV9 08/03/22 08/03/27 100.000 0.000 4.3040 17.69 0.119556 0.122128 0.124757 0.127441 0.130184 44.27 46.20 CITIGROUP GLBL MKTS HOLD 17330N641 08/03/22 05/07/26 100.000 0.000 4.2450 17.52 0.119224 0.121754 0.124338 0.126978 0.129673 43.65 45.52 CITIGROUP GLBL MKTS HOLD 17330PMC0 08/03/22 08/01/24 100.000 0.000 4.0980 16.85 0.113833 0.116140 0.118520 0.120948 42.10 25.33 CITIGROUP GLBL MKTS HOLD 17330PLJ6 07/13/22 08/11/23 100.000 0.000 4.5390 21.24 0.126528 0.129400 28.35 CITIGROUP GLBL MKTS HOLD 17330PM22 06/22/22 06/20/25 100.000 0.000 4.7240 24.83 0.134287 0.137459 0.140706 0.144029 0.147431 48.98 51.33 CITIGROUP GLBL MKTS HOLD 17330FNU1 05/25/22 05/26/26 100.000 0.000 4.3230 26.03 0.122693 0.125345 0.128055 0.130823 0.133650 44.83 46.79 CITIGROUP GLBL MKTS HOLD 17330FNX5 06/01/22 05/30/25 100.000 0.000 4.0100 23.46 0.113610 0.115888 0.118211 0.120581 0.122999 41.45 43.13 CITIGROUP GLBL MKTS HOLD 17330PKX6 07/06/22 07/03/25 100.000 0.000 4.6360 22.54 0.128778 0.131713 0.134766 0.137890 0.141086 47.95 50.20 CITIGROUP GLBL MKTS HOLD 17330PLA5 08/03/22 08/01/25 100.000 0.000 4.1570 17.09 0.115472 0.117846 0.120295 0.122795 0.125348 42.72 44.51 CITIGROUP GLBL MKTS HOLD 17330PNH8 07/12/22 07/10/25 100.000 0.000 4.3820 20.57 0.121722 0.124360 0.127084 0.129869 0.132714 45.21 47.21 CITIGROUP GLBL MKTS HOLD 17330PNL9 07/06/22 07/06/27 100.000 0.000 4.8320 23.49 0.134222 0.137465 0.140786 0.144188 0.147671 50.05 52.50 CITIGROUP GLBL MKTS HOLD 17330PNN5 08/02/22 02/02/26 100.000 0.000 4.3130 17.85 0.119806 0.122389 0.125028 0.127725 0.130479 44.37 46.31 CITIGROUP GLBL MKTS HOLD 17330FQR5 06/30/22 06/30/28 100.000 0.000 4.8410 24.34 0.137727 0.141061 0.144475 0.147972 0.151554 50.19 52.65 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330FQY0 05/25/22 05/25/27 100.000 0.000 4.4210 26.62 0.125520 0.128295 0.131131 0.134029 0.136992 45.89 47.94 CITIGROUP GLBL MKTS HOLD 17330FQD6 05/20/22 05/22/25 100.000 0.000 4.1470 25.56 0.117610 0.120049 0.122538 0.125079 0.127672 42.97 44.77 CITIGROUP GLBL MKTS HOLD 17330PNE5 07/21/22 07/23/25 100.000 0.000 4.5680 20.31 0.126921 0.129820 0.132785 0.135818 0.138920 47.14 49.32 CITIGROUP GLBL MKTS HOLD 17330FPK1 05/20/22 06/15/23 100.000 0.000 3.5490 21.86 0.100580 16.50 CITIGROUP GLBL MKTS HOLD 17330FPS4 05/18/22 05/18/27 100.000 0.000 4.2550 26.47 0.120709 0.123277 0.125900 0.128578 0.131314 44.14 46.04 CITIGROUP GLBL MKTS HOLD 17330FPU9 06/01/22 12/02/24 100.000 0.000 3.8820 22.71 0.109938 0.112072 0.114247 0.116465 40.09 38.21 CITIGROUP GLBL MKTS HOLD 17330PHM4 08/03/22 08/03/27 100.000 0.000 4.3040 17.69 0.119556 0.122128 0.124757 0.127441 0.130184 44.27 46.20 CITIGROUP GLBL MKTS HOLD 17330P7K9 06/22/22 12/21/23 100.000 0.000 4.3330 22.77 0.122954 0.125618 43.51 CITIGROUP GLBL MKTS HOLD 17330PHN2 07/21/22 07/23/25 100.000 0.000 4.5680 20.31 0.126921 0.129820 0.132785 0.135818 0.138920 47.14 49.32 CITIGROUP GLBL MKTS HOLD 17330PHP7 07/21/22 07/23/25 100.000 0.000 4.5680 20.31 0.126921 0.129820 0.132785 0.135818 0.138920 47.14 49.32 CITIGROUP GLBL MKTS HOLD 17330PHS1 07/15/22 07/15/27 100.000 0.000 4.6660 21.52 0.129611 0.132635 0.135729 0.138896 0.142136 48.22 50.50 CITIGROUP GLBL MKTS HOLD 17330FKY6 05/31/22 12/01/25 100.000 0.000 4.1270 24.26 0.117018 0.119432 0.121897 0.124412 0.126979 42.71 44.49 CITIGROUP GLBL MKTS HOLD 17330PHX0 07/29/22 07/31/28 100.000 0.000 4.5870 19.37 0.127433 0.130356 0.133345 0.136404 0.139532 47.29 49.49 CITIGROUP GLBL MKTS HOLD 17330N138 06/15/22 06/15/26 100.000 0.000 4.4020 24.01 0.124969 0.127720 0.130531 0.133404 0.136340 45.57 47.60 CITIGROUP GLBL MKTS HOLD 17330N153 06/15/22 06/13/25 100.000 0.000 4.2450 23.16 0.120392 0.122947 0.125557 0.128221 0.130943 43.89 45.78 CITIGROUP GLBL MKTS HOLD 17330FKF7 06/14/22 07/10/25 100.000 0.000 4.3430 23.83 0.121017 0.123645 0.126330 0.129073 0.131876 44.95 46.92 CITIGROUP GLBL MKTS HOLD 17330PHG7 08/10/22 02/10/28 100.000 0.000 4.3720 17.12 0.121444 0.124099 0.126812 0.129584 0.132417 44.95 46.94 CITIGROUP GLBL MKTS HOLD 17330PHH5 08/03/22 08/03/26 100.000 0.000 4.2160 17.33 0.117111 0.119580 0.122101 0.124674 0.127303 43.34 45.19 CITIGROUP GLBL MKTS HOLD 17330PXK0 08/08/22 08/06/27 100.000 0.000 4.4210 17.56 0.122806 0.125490 0.128264 0.131099 0.133997 45.48 47.52 CITIGROUP GLBL MKTS HOLD 17330FJR3 05/31/22 05/31/29 100.000 0.000 4.4210 26.00 0.125520 0.128295 0.131131 0.134029 0.136992 45.86 47.91 CITIGROUP GLBL MKTS HOLD 17330PGP8 06/29/22 06/29/27 100.000 0.000 4.7630 24.09 0.135456 0.138682 0.141985 0.145366 0.148828 49.36 51.74 CITIGROUP GLBL MKTS HOLD 17330PXW4 08/09/22 08/09/27 100.000 0.000 4.4410 17.52 0.123361 0.126100 0.128900 0.131763 0.134688 45.69 47.74 CITIGROUP GLBL MKTS HOLD 17330PG94 06/22/22 07/22/27 100.000 0.000 5.0170 26.43 0.139944 0.143454 0.147053 0.150742 0.154523 52.14 54.79 CITIGROUP GLBL MKTS HOLD 17330PG86 06/24/22 06/26/24 100.000 0.000 4.4500 23.13 0.126393 0.129205 0.132080 46.04 23.11 CITIGROUP GLBL MKTS HOLD 17330PXA2 08/11/22 08/13/25 100.000 0.000 4.4020 17.12 0.122308 0.125000 0.127751 0.130563 0.133436 45.27 47.28 CITIGROUP GLBL MKTS HOLD 17330FJG7 05/31/22 05/30/25 100.000 0.000 4.0780 23.97 0.115588 0.117944 0.120349 0.122803 0.125307 42.18 43.92 CITIGROUP GLBL MKTS HOLD 17330P6C8 06/13/22 06/11/27 100.000 0.000 4.4110 24.31 0.125200 0.127961 0.130784 0.133668 0.136616 45.68 47.72 CITIGROUP GLBL MKTS HOLD 17330P6F1 06/08/22 06/08/27 100.000 0.000 4.3330 24.49 0.122969 0.125633 0.128355 0.131135 0.133977 44.87 46.84 CITIGROUP GLBL MKTS HOLD 17330FJJ1 06/01/22 06/01/27 100.000 0.000 4.1960 24.55 0.119001 0.121498 0.124047 0.126649 0.129306 43.44 45.28 CITIGROUP GLBL MKTS HOLD 17330P6E4 06/27/22 12/28/23 100.000 0.000 4.3330 22.15 0.122983 0.125648 44.38 CITIGROUP GLBL MKTS HOLD 17330FN64 06/01/22 05/30/25 100.000 0.000 4.0100 23.46 0.113610 0.115888 0.118211 0.120581 0.122999 41.45 43.13 CITIGROUP GLBL MKTS HOLD 17330PJX8 08/03/22 08/03/27 100.000 0.000 4.3040 17.69 0.119556 0.122128 0.124757 0.127441 0.130184 44.27 46.20 CITIGROUP GLBL MKTS HOLD 17330FMB4 05/18/22 06/16/28 100.000 0.000 4.5780 28.49 0.130541 0.133529 0.136585 0.139712 0.142910 47.62 49.83 CITIGROUP GLBL MKTS HOLD 17330PJA8 08/03/22 08/01/25 100.000 0.000 4.1570 17.09 0.115472 0.117846 0.120295 0.122795 0.125348 42.72 44.51 CITIGROUP GLBL MKTS HOLD 17330FMD0 06/03/22 06/05/24 100.000 0.000 3.7250 21.58 0.105421 0.107385 0.109385 38.41 16.85 CITIGROUP GLBL MKTS HOLD 17330PJC4 06/27/22 06/25/27 100.000 0.000 4.9590 25.37 0.141128 0.144627 0.148213 0.151888 0.155654 51.48 54.06 CITIGROUP GLBL MKTS HOLD 17330FLQ2 05/19/22 05/20/27 100.000 0.000 4.3620 27.01 0.123824 0.126525 0.129284 0.132104 0.134985 45.29 47.28 CITIGROUP GLBL MKTS HOLD 17330FLR0 06/03/22 06/04/27 100.000 0.000 4.1570 24.08 0.117886 0.120336 0.122837 0.125390 0.127996 43.01 44.82 CITIGROUP GLBL MKTS HOLD 17330FM57 05/18/22 05/18/27 100.000 0.000 4.2550 26.47 0.120709 0.123277 0.125900 0.128578 0.131314 44.14 46.04 CITIGROUP GLBL MKTS HOLD 17330FM73 05/25/22 05/24/29 100.000 0.000 4.5780 27.58 0.130061 0.133038 0.136084 0.139199 0.142385 47.58 49.78 CITIGROUP GLBL MKTS HOLD 17330PJ34 07/29/22 07/29/27 100.000 0.000 4.5480 19.20 0.126333 0.129206 0.132144 0.135149 0.138223 46.88 49.04 CITIGROUP GLBL MKTS HOLD 17330N310 08/03/22 08/03/29 100.000 0.000 4.3820 18.01 0.121722 0.124389 0.127115 0.129900 0.132746 45.10 47.10 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330PZB8 08/05/22 08/07/24 100.000 0.000 4.0780 16.54 0.113303 0.115614 0.117971 0.120376 41.88 25.91 CITIGROUP GLBL MKTS HOLD 17330PZD4 08/05/22 08/07/25 100.000 0.000 4.1370 16.78 0.114943 0.117321 0.119747 0.122224 0.124753 42.50 44.28 CITIGROUP GLBL MKTS HOLD 17330FLJ8 05/24/22 11/24/23 100.000 0.000 3.7350 22.59 0.105688 0.107661 34.49 CITIGROUP GLBL MKTS HOLD 17330PZK8 08/03/22 08/03/27 100.000 0.000 4.3040 17.69 0.119556 0.122128 0.124757 0.127441 0.130184 44.27 46.20 CITIGROUP GLBL MKTS HOLD 17330F6D8 05/31/22 05/31/28 100.000 0.000 4.3620 25.65 0.123809 0.126510 0.129269 0.132088 0.134969 45.23 47.22 CITIGROUP GLBL MKTS HOLD 17330P3F4 06/28/22 06/27/24 100.000 0.000 4.4210 22.48 0.125505 0.128279 0.131115 45.70 23.08 CITIGROUP GLBL MKTS HOLD 17330FXN6 05/31/22 11/29/24 100.000 0.000 3.9710 23.34 0.112484 0.114717 0.116995 0.119317 41.04 38.79 CITIGROUP GLBL MKTS HOLD 17330P3G2 06/23/22 06/23/25 100.000 0.000 4.6850 24.49 0.133187 0.136307 0.139500 0.142768 0.146112 48.56 50.86 CITIGROUP GLBL MKTS HOLD 17330P3N7 06/10/22 06/10/27 100.000 0.000 4.4700 25.02 0.126942 0.129779 0.132680 0.135645 0.138677 46.33 48.42 CITIGROUP GLBL MKTS HOLD 17330PDQ9 07/29/22 01/31/24 100.000 0.000 4.1470 17.51 0.115194 0.117596 0.120035 42.63 3.48 CITIGROUP GLBL MKTS HOLD 17330FXV8 06/01/22 05/30/25 100.000 0.000 4.0100 23.46 0.113610 0.115888 0.118211 0.120581 0.122999 41.45 43.13 CITIGROUP GLBL MKTS HOLD 17330FX89 06/03/22 12/05/23 100.000 0.000 3.4800 20.15 0.098368 0.100079 33.16 CITIGROUP GLBL MKTS HOLD 17330PTU3 06/23/22 06/23/27 100.000 0.000 4.9100 25.67 0.139737 0.143168 0.146683 0.150284 0.153973 50.98 53.51 CITIGROUP GLBL MKTS HOLD 17330PCT4 08/03/22 08/03/27 100.000 0.000 4.3040 17.69 0.119556 0.122128 0.124757 0.127441 0.130184 44.27 46.20 CITIGROUP GLBL MKTS HOLD 17330PTT6 07/29/22 07/29/27 100.000 0.000 4.5480 19.20 0.126333 0.129206 0.132144 0.135149 0.138223 46.88 49.04 CITIGROUP GLBL MKTS HOLD 17330F5Z0 06/01/22 06/01/27 100.000 0.000 4.1960 24.55 0.119001 0.121498 0.124047 0.126649 0.129306 43.44 45.28 CITIGROUP GLBL MKTS HOLD 17330FXB2 06/30/22 07/01/27 100.000 0.000 4.7830 24.05 0.136056 0.136056 0.142642 0.142642 0.149546 49.57 51.96 CITIGROUP GLBL MKTS HOLD 17330PDA4 06/30/22 06/30/27 100.000 0.000 4.8610 24.44 0.138310 0.141671 0.145115 0.148642 0.152254 50.40 52.88 CITIGROUP GLBL MKTS HOLD 17330FXE6 05/23/22 05/21/27 100.000 0.000 4.4700 27.18 0.126911 0.129747 0.132647 0.135612 0.138643 46.43 48.53 CITIGROUP GLBL MKTS HOLD 17330PCB3 06/30/22 06/30/27 100.000 0.000 4.8610 24.44 0.138310 0.141671 0.145115 0.148642 0.152254 50.40 52.88 CITIGROUP GLBL MKTS HOLD 17330FFH9 05/31/22 05/31/28 100.000 0.000 4.3620 25.65 0.123809 0.126510 0.129269 0.132088 0.134969 45.23 47.22 CITIGROUP GLBL MKTS HOLD 17330F5H0 05/31/22 05/28/27 100.000 0.000 4.2940 25.25 0.121810 0.124425 0.127097 0.129826 0.132613 44.50 46.43 CITIGROUP GLBL MKTS HOLD 17330FX48 05/25/22 05/23/24 100.000 0.000 4.0290 24.26 0.114146 0.116446 0.118791 41.68 16.87 CITIGROUP GLBL MKTS HOLD 17330PCN7 06/23/22 06/21/24 100.000 0.000 4.4500 23.27 0.126331 0.129142 0.132015 46.04 22.44 CITIGROUP GLBL MKTS HOLD 17330PSP5 07/06/22 07/03/25 100.000 0.000 4.6360 22.54 0.128778 0.131713 0.134766 0.137890 0.141086 47.95 50.20 CITIGROUP GLBL MKTS HOLD 17330PC31 06/24/22 06/25/26 100.000 0.000 4.7630 24.76 0.135474 0.138700 0.142003 0.145385 0.148848 49.39 51.77 CITIGROUP GLBL MKTS HOLD 17330FW72 05/19/22 05/20/27 100.000 0.000 4.3620 27.01 0.123824 0.126525 0.129284 0.132104 0.134985 45.29 47.28 CITIGROUP GLBL MKTS HOLD 17330PT66 06/27/22 06/26/25 100.000 0.000 4.7340 24.21 0.134595 0.137781 0.141042 0.144381 0.147798 49.06 51.41 CITIGROUP GLBL MKTS HOLD 17330PC49 07/01/22 07/01/27 100.000 0.000 4.8610 24.30 0.138310 0.138310 0.145115 0.145115 0.152254 50.40 52.88 CITIGROUP GLBL MKTS HOLD 17330PC56 06/23/22 06/23/26 100.000 0.000 4.7930 25.06 0.136330 0.139597 0.142942 0.146368 0.149875 49.72 52.13 CITIGROUP GLBL MKTS HOLD 17330PSV2 08/03/22 08/03/27 100.000 0.000 4.3040 17.69 0.119556 0.122128 0.124757 0.127441 0.130184 44.27 46.20 CITIGROUP GLBL MKTS HOLD 17330PC98 06/03/22 06/05/25 100.000 0.000 3.9610 22.95 0.112232 0.114454 0.116721 0.119033 0.121390 40.92 42.56 CITIGROUP GLBL MKTS HOLD 17330PC80 06/15/22 06/13/25 100.000 0.000 4.2450 23.16 0.120392 0.122947 0.125557 0.128221 0.130943 43.89 45.78 CITIGROUP GLBL MKTS HOLD 17330FWA5 05/24/22 05/22/25 100.000 0.000 4.3040 26.04 0.122100 0.124727 0.127412 0.130153 0.132954 44.64 46.58 CITIGROUP GLBL MKTS HOLD 17330P5H8 06/09/22 06/10/27 100.000 0.000 4.3530 24.48 0.123563 0.126252 0.129000 0.131808 0.134677 45.08 47.06 CITIGROUP GLBL MKTS HOLD 17330FZQ7 06/03/22 12/04/28 100.000 0.000 4.3040 24.94 0.122143 0.124771 0.127456 0.130199 0.133001 44.59 46.53 CITIGROUP GLBL MKTS HOLD 17330PWS4 08/08/22 08/08/24 100.000 0.000 4.2160 16.75 0.117111 0.119580 0.122101 0.124674 43.32 26.96 CITIGROUP GLBL MKTS HOLD 17330PX61 08/05/22 08/07/28 100.000 0.000 4.2940 17.42 0.119306 0.121868 0.124484 0.127157 0.129887 44.16 46.07 CITIGROUP GLBL MKTS HOLD 17330PWT2 07/29/22 07/29/27 100.000 0.000 4.5480 19.20 0.126333 0.129206 0.132144 0.135149 0.138223 46.88 49.04 CITIGROUP GLBL MKTS HOLD 17330FZZ7 07/06/22 07/06/27 100.000 0.000 4.8320 23.49 0.134222 0.137465 0.140786 0.144188 0.147671 50.05 52.50 CITIGROUP GLBL MKTS HOLD 17330FZF1 06/03/22 06/05/25 100.000 0.000 3.9610 22.95 0.112232 0.114454 0.116721 0.119033 0.121390 40.92 42.56 CITIGROUP GLBL MKTS HOLD 17330FZE4 05/18/22 05/18/27 100.000 0.000 4.2550 26.47 0.120709 0.123277 0.125900 0.128578 0.131314 44.14 46.04 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330P5C9 06/10/22 06/12/24 100.000 0.000 3.9020 21.83 0.110528 0.112684 0.114882 40.26 18.50 CITIGROUP GLBL MKTS HOLD 17330PVG1 07/21/22 07/22/27 100.000 0.000 4.6950 20.87 0.130417 0.133495 0.136629 0.139836 0.143119 48.49 50.80 CITIGROUP GLBL MKTS HOLD 17330P4C0 06/17/22 06/12/24 100.000 0.000 4.0000 21.60 0.113272 0.115537 0.117848 41.27 18.97 CITIGROUP GLBL MKTS HOLD 17330FYN5 05/17/22 05/17/29 100.000 0.000 4.6170 28.86 0.131211 0.134240 0.137339 0.140509 0.143753 48.05 50.29 CITIGROUP GLBL MKTS HOLD 17330P4G1 06/21/22 10/18/24 100.000 0.000 9.9190 53.00 0.284410 0.298515 0.313320 0.328859 107.04 92.72 CITIGROUP GLBL MKTS HOLD 17330PVM8 06/23/22 06/23/27 100.000 0.000 4.9100 25.67 0.139737 0.143168 0.146683 0.150284 0.153973 50.98 53.51 CITIGROUP GLBL MKTS HOLD 17330FYQ8 05/25/22 05/23/25 100.000 0.000 4.2450 25.56 0.120392 0.122947 0.125557 0.128221 0.130943 44.00 45.88 CITIGROUP GLBL MKTS HOLD 17330FZ87 06/01/22 06/01/27 100.000 0.000 4.1960 24.55 0.119001 0.121498 0.124047 0.126649 0.129306 43.44 45.28 CITIGROUP GLBL MKTS HOLD 17330PW62 08/10/22 08/10/27 100.000 0.000 4.3430 17.01 0.120639 0.123259 0.125935 0.128670 0.131464 44.65 46.61 CITIGROUP GLBL MKTS HOLD 17330P4Q9 06/21/22 06/21/27 100.000 0.000 5.0850 26.87 0.144841 0.148524 0.152300 0.156172 0.160143 52.88 55.60 CITIGROUP GLBL MKTS HOLD 17330PDS5 06/30/22 01/02/26 100.000 0.000 4.6170 23.22 0.128283 0.131244 0.134274 0.137374 0.140545 47.79 50.02 CITIGROUP GLBL MKTS HOLD 17330FY96 06/01/22 05/29/26 100.000 0.000 4.0980 23.98 0.116140 0.118520 0.120948 0.123426 0.125955 42.39 44.15 CITIGROUP GLBL MKTS HOLD 17330P3Z0 06/10/22 06/12/24 100.000 0.000 3.9020 21.83 0.110528 0.112684 0.114882 40.26 18.50 CITIGROUP GLBL MKTS HOLD 17331CUN5 04/05/23 04/05/28 100.000 0.000 4.8410 0.134472 0.137727 0.141061 0.144475 36.05 50.76 CITIGROUP GLBL MKTS HOLD 17331CDP9 02/28/23 02/28/28 100.000 0.000 5.2510 0.145861 0.149691 0.153621 0.157654 44.67 55.58 CITIGROUP GLBL MKTS HOLD 17331CCJ4 02/28/23 02/28/30 100.000 0.000 5.3680 0.149111 0.153113 0.157223 0.161443 45.67 56.89 CITIGROUP GLBL MKTS HOLD 17331CWR4 03/31/23 03/31/28 100.000 0.000 4.8320 0.134222 0.137465 0.140786 0.144188 36.67 50.70 CITIGROUP GLBL MKTS HOLD 17331CGA9 02/28/23 03/05/26 100.000 0.000 5.0950 0.141528 0.141668 0.145277 0.148978 0.152773 43.34 53.84 CITIGROUP GLBL MKTS HOLD 17331CWB9 04/05/23 04/03/25 100.000 0.000 5.0850 0.141250 0.144801 0.148483 0.152258 37.89 53.45 CITIGROUP GLBL MKTS HOLD 17331HDQ6 03/27/23 12/27/24 100.000 0.000 5.2510 0.145861 0.147776 0.151656 0.155637 40.33 54.71 CITIGROUP GLBL MKTS HOLD 17331CFK8 03/03/23 03/02/28 100.000 0.000 5.2710 0.146417 0.150254 0.154214 0.158278 44.09 55.76 CITIGROUP GLBL MKTS HOLD 17331CVR5 04/05/23 04/03/25 100.000 0.000 5.0850 0.141250 0.144801 0.148483 0.152258 37.89 53.45 CITIGROUP GLBL MKTS HOLD 17331CVZ7 03/08/23 03/06/26 100.000 0.000 5.3680 0.149111 0.153069 0.157177 0.161396 44.14 56.80 CITIGROUP GLBL MKTS HOLD 17331CF85 03/03/23 03/05/26 100.000 0.000 5.2220 0.145056 0.145098 0.148886 0.152774 0.156762 43.68 55.21 CITIGROUP GLBL MKTS HOLD 17331HCW4 03/21/23 03/21/28 100.000 0.000 5.0660 0.140722 0.144287 0.147941 0.151689 39.76 53.34 CITIGROUP GLBL MKTS HOLD 17331CVK0 04/05/23 04/05/28 100.000 0.000 4.8410 0.134472 0.137727 0.141061 0.144475 36.05 50.76 CITIGROUP GLBL MKTS HOLD 17331CVL8 04/05/23 10/03/24 100.000 0.000 5.1630 0.143417 0.147078 0.150875 38.47 40.69 CITIGROUP GLBL MKTS HOLD 17331CQG5 02/28/23 02/28/25 100.000 0.000 5.2710 0.146417 0.150275 0.154236 0.158301 44.84 55.80 CITIGROUP GLBL MKTS HOLD 17331CPG6 03/03/23 03/05/26 100.000 0.000 5.2220 0.145056 0.145098 0.148886 0.152774 0.156762 43.68 55.21 CITIGROUP GLBL MKTS HOLD 17331CPN1 02/24/23 02/25/28 100.000 0.000 5.0850 0.141250 0.144861 0.148544 0.152321 43.82 53.75 CITIGROUP GLBL MKTS HOLD 17331CPR2 02/24/23 08/26/26 100.000 0.000 4.9590 0.137750 0.137788 0.141204 0.144706 0.148294 42.73 52.35 CITIGROUP GLBL MKTS HOLD 17331CP43 03/02/23 03/04/26 100.000 0.000 5.2410 0.145583 0.145626 0.149442 0.153358 0.157377 43.99 55.43 CITIGROUP GLBL MKTS HOLD 17331CBK2 02/23/23 02/23/29 100.000 0.000 5.1630 0.143417 0.147119 0.150917 0.154813 44.65 54.63 CITIGROUP GLBL MKTS HOLD 17331CBM8 02/28/23 02/26/26 100.000 0.000 5.1240 0.142333 0.145939 0.149678 0.153513 43.58 54.16 CITIGROUP GLBL MKTS HOLD 17331CSS7 03/01/23 02/28/30 100.000 0.000 5.3290 0.148028 0.151906 0.155954 0.160109 44.89 56.42 CITIGROUP GLBL MKTS HOLD 17331CLW5 02/15/23 05/15/24 100.000 0.000 5.2261 0.145169 0.147066 0.150909 46.48 20.22 CITIGROUP GLBL MKTS HOLD 17331CM87 02/15/23 02/13/25 100.000 0.000 5.0170 0.139361 0.142818 0.146401 0.150073 44.52 53.06 CITIGROUP GLBL MKTS HOLD 17331CL54 02/14/23 02/13/25 100.000 0.000 5.0170 0.139361 0.142838 0.146421 0.150094 44.66 53.07 CITIGROUP GLBL MKTS HOLD 17331CNU7 03/01/23 02/27/26 100.000 0.000 5.1340 0.142611 0.146191 0.149943 0.153792 43.23 54.25 CITIGROUP GLBL MKTS HOLD 17331CNL7 02/28/23 02/27/26 100.000 0.000 5.1340 0.142611 0.146252 0.150006 0.153857 43.66 54.27 CITIGROUP GLBL MKTS HOLD 17331C7D3 02/15/23 08/15/24 100.000 0.000 5.1240 0.142333 0.145980 0.149720 45.47 33.37 CITIGROUP GLBL MKTS HOLD 17331CYK7 03/29/23 03/27/26 100.000 0.000 4.7930 0.133139 0.136294 0.139560 0.142905 36.51 50.28 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331CYJ0 03/29/23 03/29/28 100.000 0.000 4.8220 0.133944 0.137174 0.140481 0.143868 36.73 50.59 CITIGROUP GLBL MKTS HOLD 17331CYP6 03/20/23 03/20/28 100.000 0.000 5.3290 0.148028 0.151972 0.156021 0.160178 41.99 56.27 CITIGROUP GLBL MKTS HOLD 17331CGT8 02/28/23 02/26/26 100.000 0.000 5.1240 0.142333 0.145939 0.149678 0.153513 43.58 54.16 CITIGROUP GLBL MKTS HOLD 17331H5A0 03/22/23 03/22/27 100.000 0.000 5.1050 0.141806 0.145425 0.149137 0.152944 39.92 53.77 CITIGROUP GLBL MKTS HOLD 17331CGV3 03/03/23 03/02/28 100.000 0.000 5.2710 0.146417 0.150254 0.154214 0.158278 44.09 55.76 CITIGROUP GLBL MKTS HOLD 17331CY76 03/28/23 03/26/26 100.000 0.000 4.8510 0.134750 0.137982 0.141329 0.144757 37.09 50.92 CITIGROUP GLBL MKTS HOLD 17331C6V4 02/23/23 02/23/28 100.000 0.000 5.1150 0.142083 0.145717 0.149444 0.153266 44.23 54.10 CITIGROUP GLBL MKTS HOLD 17331CXY8 04/05/23 05/03/24 100.000 0.000 5.8540 0.162611 0.163351 0.168133 43.71 20.51 CITIGROUP GLBL MKTS HOLD 17331CGH4 03/03/23 03/05/26 100.000 0.000 5.2220 0.145056 0.145098 0.148886 0.152774 0.156762 43.68 55.21 CITIGROUP GLBL MKTS HOLD 17331CGN1 03/03/23 09/03/25 100.000 0.000 5.2710 0.146417 0.150275 0.154236 0.158301 44.09 55.76 CITIGROUP GLBL MKTS HOLD 17331H7M2 03/29/23 03/27/25 100.000 0.000 4.4500 0.123611 0.126331 0.129142 0.132015 33.88 46.52 CITIGROUP GLBL MKTS HOLD 17331CZM2 03/22/23 03/25/24 100.000 0.000 5.2610 0.146139 0.146203 0.150049 41.16 12.60 CITIGROUP GLBL MKTS HOLD 17331CZQ3 03/29/23 03/29/29 100.000 0.000 4.8900 0.135833 0.139154 0.142557 0.146042 37.25 51.34 CITIGROUP GLBL MKTS HOLD 17330RWM3 09/21/22 09/19/25 100.000 0.000 5.0560 14.04 0.140444 0.143955 0.147595 0.151326 0.155151 51.92 54.58 CITIGROUP GLBL MKTS HOLD 17330RFJ9 09/27/22 09/25/26 100.000 0.000 5.2020 13.58 0.144500 0.148217 0.152072 0.156027 0.160085 53.42 56.23 CITIGROUP GLBL MKTS HOLD 17330RWL5 09/28/22 03/26/26 100.000 0.000 5.3970 13.94 0.149917 0.153917 0.158071 0.162336 0.166717 55.46 58.49 CITIGROUP GLBL MKTS HOLD 17330R4T9 09/02/22 09/02/27 100.000 0.000 4.6460 15.36 0.129056 0.132054 0.135121 0.138260 0.141472 47.72 49.96 CITIGROUP GLBL MKTS HOLD 17330REL5 09/21/22 09/21/27 100.000 0.000 5.2020 14.45 0.144500 0.148258 0.152115 0.156071 0.160131 53.46 56.28 CITIGROUP GLBL MKTS HOLD 17330RDL6 09/28/22 03/26/26 100.000 0.000 5.3970 13.94 0.149917 0.153917 0.158071 0.162336 0.166717 55.46 58.49 CITIGROUP GLBL MKTS HOLD 17330RUU7 09/22/22 09/24/25 100.000 0.000 5.0560 13.91 0.140484 0.144035 0.147677 0.151410 0.155237 51.91 54.57 CITIGROUP GLBL MKTS HOLD 17330RUY9 09/28/22 03/27/25 100.000 0.000 5.3000 13.69 0.147222 0.151102 0.155106 0.159216 0.163436 54.44 57.36 CITIGROUP GLBL MKTS HOLD 17330RHM0 09/21/22 09/21/27 100.000 0.000 5.2020 14.45 0.144500 0.148258 0.152115 0.156071 0.160131 53.46 56.28 CITIGROUP GLBL MKTS HOLD 17330R6F7 09/02/22 09/03/26 100.000 0.000 4.5580 15.07 0.126611 0.129513 0.132464 0.135483 0.138571 46.79 48.95 CITIGROUP GLBL MKTS HOLD 17330RX42 09/22/22 12/22/23 100.000 0.000 4.8710 13.41 0.136953 0.140289 48.67 CITIGROUP GLBL MKTS HOLD 17330RAK1 09/02/22 09/03/26 100.000 0.000 4.5580 15.07 0.126611 0.129513 0.132464 0.135483 0.138571 46.79 48.95 CITIGROUP GLBL MKTS HOLD 17330RAQ8 09/28/22 03/29/27 100.000 0.000 5.5920 14.45 0.155333 0.159701 0.164166 0.168756 0.173474 57.52 60.78 CITIGROUP GLBL MKTS HOLD 17330RAT2 08/18/22 08/20/24 100.000 0.000 4.0980 15.14 0.113859 0.116192 0.118573 0.121003 42.03 27.59 CITIGROUP GLBL MKTS HOLD 17330RCW3 08/17/22 08/17/27 100.000 0.000 4.4110 16.42 0.122528 0.125230 0.127992 0.130815 0.133700 45.33 47.35 CITIGROUP GLBL MKTS HOLD 17330PY37 09/02/22 09/02/27 100.000 0.000 5.6460 18.66 0.156833 0.161261 0.165813 0.170494 0.175307 58.33 61.67 CITIGROUP GLBL MKTS HOLD 17330RPT6 09/28/22 09/28/27 100.000 0.000 5.5330 14.29 0.153694 0.157946 0.162316 0.166806 0.171421 56.90 60.09 CITIGROUP GLBL MKTS HOLD 17330PZR3 09/01/22 09/02/27 100.000 0.000 4.5780 15.26 0.127167 0.130094 0.133072 0.136118 0.139233 47.01 49.19 CITIGROUP GLBL MKTS HOLD 17330RHW8 09/23/22 09/24/26 100.000 0.000 5.1730 14.08 0.143694 0.147432 0.151245 0.155157 0.159170 53.14 55.92 CITIGROUP GLBL MKTS HOLD 17330RLH6 09/02/22 03/31/25 100.000 0.000 5.4260 17.99 0.151358 0.155465 0.159682 0.164015 0.168464 55.99 59.06 CITIGROUP GLBL MKTS HOLD 17330RL29 09/23/22 09/23/27 100.000 0.000 5.2710 14.35 0.146417 0.150275 0.154236 0.158301 0.162473 54.17 57.06 CITIGROUP GLBL MKTS HOLD 17331CE45 03/03/23 09/03/25 100.000 0.000 5.2710 0.146417 0.150275 0.154236 0.158301 44.09 55.76 CITIGROUP GLBL MKTS HOLD 17330R5M3 08/24/22 08/22/25 100.000 0.000 4.2650 15.05 0.118472 0.120971 0.123550 0.126185 0.128876 43.75 45.64 CITIGROUP GLBL MKTS HOLD 17330R4M4 08/24/22 08/24/26 100.000 0.000 4.3330 15.29 0.120361 0.122969 0.125633 0.128355 0.131135 44.47 46.42 CITIGROUP GLBL MKTS HOLD 17330REP6 08/24/22 08/24/27 100.000 0.000 4.4410 15.67 0.123361 0.126100 0.128900 0.131763 0.134688 45.61 47.65 CITIGROUP GLBL MKTS HOLD 17331CDJ3 02/21/23 02/20/26 100.000 0.000 4.9680 0.138000 0.141409 0.144921 0.148521 43.23 52.47 CITIGROUP GLBL MKTS HOLD 17331CDL8 02/28/23 02/26/27 100.000 0.000 5.1440 0.142889 0.146523 0.150292 0.154157 43.75 54.38 CITIGROUP GLBL MKTS HOLD 17330X631 02/01/23 01/30/26 100.000 0.000 4.8320 0.134222 0.137447 0.140768 0.144169 44.78 51.09 CITIGROUP GLBL MKTS HOLD 17331C2S5 02/03/23 02/03/28 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 44.77 51.40 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331C2R7 01/31/23 01/31/28 100.000 0.000 4.7930 0.133139 0.136330 0.139597 0.142942 44.55 50.67 CITIGROUP GLBL MKTS HOLD 17330RVK8 09/29/22 10/01/24 100.000 0.000 5.3680 13.72 0.149156 0.153159 0.157270 0.161491 55.15 43.22 CITIGROUP GLBL MKTS HOLD 17331C2X4 02/03/23 02/05/26 100.000 0.000 4.8710 0.135306 0.135342 0.138638 0.142015 0.145474 44.87 51.52 CITIGROUP GLBL MKTS HOLD 17330RUQ6 09/28/22 09/26/25 100.000 0.000 5.3680 13.87 0.149111 0.153069 0.157177 0.161396 0.165728 55.16 58.16 CITIGROUP GLBL MKTS HOLD 17331C2D8 02/03/23 08/05/25 100.000 0.000 4.9190 0.136639 0.136676 0.140038 0.143482 0.147011 45.32 52.05 CITIGROUP GLBL MKTS HOLD 17331CCH8 03/03/23 03/05/25 100.000 0.000 5.3580 0.148833 0.148878 0.152866 0.156961 0.161166 44.83 56.73 CITIGROUP GLBL MKTS HOLD 17330R3Z6 08/15/22 08/13/27 100.000 0.000 4.4900 16.96 0.124722 0.127491 0.130353 0.133280 0.136272 46.18 48.27 CITIGROUP GLBL MKTS HOLD 17331C2H9 02/03/23 08/05/25 100.000 0.000 4.9190 0.136639 0.136676 0.140038 0.143482 0.147011 45.32 52.05 CITIGROUP GLBL MKTS HOLD 17331C5P8 01/23/23 01/23/26 100.000 0.000 4.9880 0.138556 0.142011 0.145553 0.149183 47.38 52.89 CITIGROUP GLBL MKTS HOLD 17331CG50 02/28/23 11/28/25 100.000 0.000 5.2120 0.144778 0.146664 0.150486 0.154408 0.158432 44.40 55.14 CITIGROUP GLBL MKTS HOLD 17331CFE2 02/28/23 03/28/24 100.000 0.000 5.9710 0.165861 0.166686 0.171663 50.94 14.93 CITIGROUP GLBL MKTS HOLD 17331C4N4 02/03/23 02/05/25 100.000 0.000 5.0270 0.139639 0.139678 0.143189 0.146788 0.150477 46.33 53.26 CITIGROUP GLBL MKTS HOLD 17330R6E0 08/24/22 08/22/25 100.000 0.000 4.2650 15.05 0.118472 0.120971 0.123550 0.126185 0.128876 43.75 45.64 CITIGROUP GLBL MKTS HOLD 17331CEW3 02/08/23 02/08/27 100.000 0.000 4.5480 0.126333 0.129206 0.132144 0.135149 41.22 47.89 CITIGROUP GLBL MKTS HOLD 17331CEZ6 01/31/23 01/30/26 100.000 0.000 4.8220 0.133944 0.137174 0.140481 0.143868 44.82 50.99 CITIGROUP GLBL MKTS HOLD 17331C4X2 02/02/23 02/03/28 100.000 0.000 4.8510 0.134750 0.138037 0.141385 0.144814 44.82 51.30 CITIGROUP GLBL MKTS HOLD 17331CEK9 01/24/23 01/24/25 100.000 0.000 4.9880 0.138556 0.142011 0.145553 0.149183 47.24 52.89 CITIGROUP GLBL MKTS HOLD 17330RRW7 10/03/22 10/03/24 100.000 0.000 5.5140 13.48 0.153167 0.157389 0.161729 0.166188 56.65 44.79 CITIGROUP GLBL MKTS HOLD 17330RA96 09/02/22 01/04/28 100.000 0.000 4.8120 15.91 0.133667 0.135846 0.139115 0.142462 0.145890 49.48 51.88 CITIGROUP GLBL MKTS HOLD 17331CB89 01/27/23 02/29/24 100.000 0.000 5.8060 0.161278 0.162084 0.166816 54.69 9.68 CITIGROUP GLBL MKTS HOLD 17330R2M6 08/15/22 08/13/27 100.000 0.000 4.4900 16.96 0.124722 0.127491 0.130353 0.133280 0.136272 46.18 48.27 CITIGROUP GLBL MKTS HOLD 17330RCU7 09/01/22 09/04/24 100.000 0.000 4.2840 14.28 0.119042 0.121592 0.124197 0.126857 43.92 30.66 CITIGROUP GLBL MKTS HOLD 17331CAJ6 01/31/23 01/30/26 100.000 0.000 4.8220 0.133944 0.137174 0.140481 0.143868 44.82 50.99 CITIGROUP GLBL MKTS HOLD 17330R2C8 10/03/22 10/01/27 100.000 0.000 5.9130 14.45 0.164250 0.169052 0.174050 0.179196 0.184494 60.88 64.52 CITIGROUP GLBL MKTS HOLD 17331CAT4 01/31/23 01/29/26 100.000 0.000 4.8220 0.133944 0.137156 0.140463 0.143849 44.82 50.99 CITIGROUP GLBL MKTS HOLD 17331CKP1 02/03/23 05/03/24 100.000 0.000 5.2610 0.146139 0.148061 0.151956 48.62 18.54 CITIGROUP GLBL MKTS HOLD 17330YUW8 02/03/23 02/03/28 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 44.77 51.40 CITIGROUP GLBL MKTS HOLD 17331cEA1 02/28/23 08/28/25 100.000 0.000 5.1730 0.143694 0.147411 0.151224 0.155135 44.00 54.70 CITIGROUP GLBL MKTS HOLD 17331C7H4 02/01/23 02/01/28 100.000 0.000 4.8120 0.133667 0.136883 0.140176 0.143549 44.59 50.87 CITIGROUP GLBL MKTS HOLD 17331CGR2 02/28/23 08/28/24 100.000 0.000 5.3780 0.149389 0.153406 0.157531 45.76 37.10 CITIGROUP GLBL MKTS HOLD 17330PW21 08/24/22 08/24/26 100.000 0.000 4.3330 15.29 0.120361 0.122969 0.125633 0.128355 0.131135 44.47 46.42 CITIGROUP GLBL MKTS HOLD 17330RL60 09/27/22 03/27/24 100.000 0.000 5.0070 13.07 0.139083 0.142565 0.146134 51.36 12.57 CITIGROUP GLBL MKTS HOLD 17331HCE4 05/02/23 02/02/26 100.000 0.000 4.6360 0.128778 0.130270 0.133290 0.136380 31.00 48.35 CITIGROUP GLBL MKTS HOLD 17331C3W5 02/03/23 08/25/24 100.000 0.000 5.1050 0.141806 0.142248 0.145879 0.149602 47.11 34.81 CITIGROUP GLBL MKTS HOLD 17291RP97 07/31/23 01/29/26 100.000 0.000 5.3290 0.148028 0.151950 0.155999 22.35 55.21 CITIGROUP GLBL MKTS HOLD 17331C3V7 02/03/23 03/05/24 100.000 0.000 5.7090 0.158583 0.159388 0.163938 52.78 10.49 CITIGROUP GLBL MKTS HOLD 17331CE86 02/28/23 02/27/25 100.000 0.000 5.2710 0.146417 0.150254 0.154214 0.158278 44.84 55.80 CITIGROUP GLBL MKTS HOLD 17331HSR8 05/10/23 05/08/26 100.000 0.000 4.4210 0.122806 0.125490 0.128264 0.131099 28.51 45.97 CITIGROUP GLBL MKTS HOLD 17331C3D7 02/03/23 02/03/28 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 44.77 51.40 CITIGROUP GLBL MKTS HOLD 17331HSX5 04/19/23 04/17/25 100.000 0.000 4.8000 0.133333 0.136498 0.139774 0.143128 33.83 50.22 CITIGROUP GLBL MKTS HOLD 17331CCM7 03/03/23 04/03/24 100.000 0.000 6.0190 0.167194 0.168033 0.173090 50.49 15.92 CITIGROUP GLBL MKTS HOLD 17291RQE5 07/31/23 07/30/26 100.000 0.000 5.2610 0.146139 0.149983 0.153928 22.07 54.48 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331HSA5 05/31/23 05/28/27 100.000 0.000 4.9100 0.136389 0.139700 0.143130 0.146644 28.89 51.14 CITIGROUP GLBL MKTS HOLD 17291RPH9 07/31/23 04/30/26 100.000 0.000 5.3480 0.148556 0.150542 0.154567 0.158700 22.55 55.42 CITIGROUP GLBL MKTS HOLD 17331C2E6 02/03/23 02/05/26 100.000 0.000 4.8710 0.135306 0.135342 0.138638 0.142015 0.145474 44.87 51.52 CITIGROUP GLBL MKTS HOLD 17331HRX6 06/05/23 12/05/24 100.000 0.000 5.2410 0.145583 0.149398 0.153313 30.09 50.60 CITIGROUP GLBL MKTS HOLD 17291RN99 08/03/23 02/05/25 100.000 0.000 5.5420 0.153944 0.153992 0.158259 0.162644 22.79 57.47 CITIGROUP GLBL MKTS HOLD 17291RMY5 07/20/23 07/22/25 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 23.66 54.87 CITIGROUP GLBL MKTS HOLD 17291RMN9 07/31/23 01/29/26 100.000 0.000 5.3290 0.148028 0.151950 0.155999 22.35 55.21 CITIGROUP GLBL MKTS HOLD 17331HDJ2 04/13/23 04/15/26 100.000 0.000 4.5390 0.126083 0.126115 0.128977 0.131904 0.134898 32.76 47.41 CITIGROUP GLBL MKTS HOLD 17331HTZ9 05/31/23 11/29/24 100.000 0.000 5.2020 0.144500 0.148238 0.152093 30.61 49.32 CITIGROUP GLBL MKTS HOLD 17291RBZ4 06/22/23 09/19/24 100.000 0.000 5.6210 0.156139 0.158260 0.162708 29.73 41.63 CITIGROUP GLBL MKTS HOLD 17291RST0 07/31/23 07/29/27 100.000 0.000 5.1930 0.144250 0.147975 0.151817 21.78 53.75 CITIGROUP GLBL MKTS HOLD 17291RUD2 08/07/23 08/07/25 100.000 0.000 5.3970 0.149917 0.153962 0.158117 21.59 55.88 CITIGROUP GLBL MKTS HOLD 17291R2U5 06/06/23 06/04/27 100.000 0.000 4.8510 0.134750 0.137982 0.141329 0.144757 27.71 50.46 CITIGROUP GLBL MKTS HOLD 17291RD41 06/09/23 06/11/25 100.000 0.000 5.0270 0.139639 0.139678 0.143189 0.146788 0.150477 28.29 52.34 CITIGROUP GLBL MKTS HOLD 17291RU67 08/03/23 02/04/27 100.000 0.000 5.1730 0.143694 0.147432 0.151245 21.27 53.51 CITIGROUP GLBL MKTS HOLD 17331HNN2 05/31/23 08/29/24 100.000 0.000 5.3870 0.149639 0.151632 0.155716 31.82 36.82 CITIGROUP GLBL MKTS HOLD 17330YVG2 01/31/23 01/29/27 100.000 0.000 4.7830 0.132861 0.136021 0.139274 0.142605 44.46 50.55 CITIGROUP GLBL MKTS HOLD 17331HR99 06/05/23 06/04/26 100.000 0.000 4.9100 0.136389 0.139719 0.143149 0.146663 28.19 51.10 CITIGROUP GLBL MKTS HOLD 17291RRF1 08/03/23 08/05/25 100.000 0.000 5.7800 0.160556 0.160607 0.165249 0.170024 23.77 60.03 CITIGROUP GLBL MKTS HOLD 17291RAA0 07/31/23 07/31/28 100.000 0.000 5.1540 0.143167 0.146856 0.150641 21.62 53.33 CITIGROUP GLBL MKTS HOLD 17331CSU2 03/01/23 08/28/25 100.000 0.000 5.1730 0.143694 0.147349 0.151160 0.155070 43.56 54.68 CITIGROUP GLBL MKTS HOLD 17331HRF5 05/31/23 05/31/30 100.000 0.000 5.0460 0.140167 0.143703 0.147329 0.151046 29.68 52.61 CITIGROUP GLBL MKTS HOLD 17291RQL9 08/03/23 11/05/26 100.000 0.000 5.2710 0.146417 0.148389 0.152300 0.156314 21.78 54.57 CITIGROUP GLBL MKTS HOLD 17331HQ82 05/31/23 12/01/25 100.000 0.000 4.9290 0.136917 0.140310 0.143768 0.147311 28.99 51.34 CITIGROUP GLBL MKTS HOLD 17331HPV2 06/05/23 09/06/24 100.000 0.000 5.4260 0.150722 0.152789 0.156935 31.29 38.18 CITIGROUP GLBL MKTS HOLD 17331HQC3 05/31/23 12/01/25 100.000 0.000 4.9290 0.136917 0.140310 0.143768 0.147311 28.99 51.34 CITIGROUP GLBL MKTS HOLD 17331HPJ9 06/05/23 06/05/25 100.000 0.000 5.0370 0.139917 0.143440 0.147053 0.150757 28.91 52.48 CITIGROUP GLBL MKTS HOLD 17291RRH7 08/03/23 11/05/24 100.000 0.000 5.6600 0.157222 0.159496 0.164010 23.40 49.30 CITIGROUP GLBL MKTS HOLD 17331HPU4 05/31/23 08/28/26 100.000 0.000 4.9490 0.137472 0.139135 0.142578 0.146106 29.21 51.57 CITIGROUP GLBL MKTS HOLD 17331HKN5 05/03/23 05/01/25 100.000 0.000 5.8410 0.162250 0.166936 0.171811 0.176829 38.90 61.57 CITIGROUP GLBL MKTS HOLD 17192R2D3 06/09/23 06/11/30 100.000 0.000 3.5310 0.098083 0.098103 0.099835 0.101597 0.103391 19.85 36.33 CITIGROUP GLBL MKTS HOLD 17291RG48 07/31/23 01/30/25 100.000 0.000 5.5720 0.154778 0.159090 0.163522 23.37 57.82 CITIGROUP GLBL MKTS HOLD 17331HK62 05/31/23 05/31/28 100.000 0.000 5.0270 0.139639 0.143149 0.146747 0.150435 29.57 52.41 CITIGROUP GLBL MKTS HOLD 17291RHK1 08/03/23 02/05/25 100.000 0.000 5.5240 0.153444 0.153492 0.157731 0.162088 22.72 57.28 CITIGROUP GLBL MKTS HOLD 17331CLF2 03/01/23 02/29/28 100.000 0.000 5.2220 0.145056 0.148801 0.152686 0.156673 43.97 55.23 CITIGROUP GLBL MKTS HOLD 17331HK54 05/31/23 05/31/28 100.000 0.000 5.0270 0.139639 0.143149 0.146747 0.150435 29.57 52.41 CITIGROUP GLBL MKTS HOLD 17331HJA5 06/05/23 06/05/28 100.000 0.000 5.0170 0.139361 0.142857 0.146441 0.150114 28.80 52.26 CITIGROUP GLBL MKTS HOLD 17291RH62 08/03/23 08/05/26 100.000 0.000 5.2320 0.145333 0.145376 0.149179 0.153081 21.52 54.14 CITIGROUP GLBL MKTS HOLD 17331HN51 05/02/23 04/30/26 100.000 0.000 4.5680 0.126889 0.129755 0.132718 0.135750 30.50 47.61 CITIGROUP GLBL MKTS HOLD 17331HN93 05/22/23 05/22/25 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 29.70 50.66 CITIGROUP GLBL MKTS HOLD 17331HMZ6 06/05/23 06/05/25 100.000 0.000 5.0370 0.139917 0.143440 0.147053 0.150757 28.91 52.48 CITIGROUP GLBL MKTS HOLD 17291RDY5 06/06/23 08/06/24 100.000 0.000 5.4360 0.151000 0.152368 0.156509 31.15 33.50 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17291R3M2 06/06/23 06/04/26 100.000 0.000 4.8320 0.134222 0.137429 0.140749 0.144150 27.60 50.25 CITIGROUP GLBL MKTS HOLD 17331HM37 05/22/23 05/22/25 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 29.70 50.66 CITIGROUP GLBL MKTS HOLD 17291RFJ6 07/31/23 07/31/25 100.000 0.000 5.4170 0.150472 0.154548 0.158734 22.72 56.15 CITIGROUP GLBL MKTS HOLD 17331HLV6 05/31/23 03/02/26 100.000 0.000 4.9590 0.137750 0.139496 0.142955 0.146499 29.27 51.67 CITIGROUP GLBL MKTS HOLD 17291RF80 07/31/23 07/31/30 100.000 0.000 5.1340 0.142611 0.146272 0.150027 21.53 53.12 CITIGROUP GLBL MKTS HOLD 17291RL75 07/31/23 10/31/24 100.000 0.000 5.7090 0.158583 0.160847 0.165438 24.08 48.92 CITIGROUP GLBL MKTS HOLD 17331HXN1 06/05/23 09/06/24 100.000 0.000 5.4260 0.150722 0.152789 0.156935 31.29 38.18 CITIGROUP GLBL MKTS HOLD 17331HGQ3 05/31/23 05/30/25 100.000 0.000 4.9980 0.138833 0.142303 0.145859 0.149504 29.40 52.09 CITIGROUP GLBL MKTS HOLD 17331HY34 06/07/23 09/06/24 100.000 0.000 5.3000 0.147222 0.149151 0.153104 30.26 37.25 CITIGROUP GLBL MKTS HOLD 17331CHN0 03/03/23 09/03/24 100.000 0.000 5.4560 0.151556 0.155690 0.159937 45.65 38.44 CITIGROUP GLBL MKTS HOLD 17291RM66 08/03/23 08/03/28 100.000 0.000 5.1050 0.141806 0.145425 0.149137 20.99 52.79 CITIGROUP GLBL MKTS HOLD 17331CGW1 02/03/23 02/05/25 100.000 0.000 5.0270 0.139639 0.139678 0.143189 0.146788 0.150477 46.33 53.26 CITIGROUP GLBL MKTS HOLD 17331C7B7 02/28/23 08/28/25 100.000 0.000 5.1730 0.143694 0.147411 0.151224 0.155135 44.00 54.70 CITIGROUP GLBL MKTS HOLD 17331CHD2 01/31/23 01/29/26 100.000 0.000 4.8220 0.133944 0.137156 0.140463 0.143849 44.82 50.99 CITIGROUP GLBL MKTS HOLD 17291RLH3 07/21/23 01/24/25 100.000 0.000 5.4460 0.151278 0.151346 0.155468 0.159701 24.22 56.54 CITIGROUP GLBL MKTS HOLD 17331HF27 06/05/23 12/04/25 100.000 0.000 4.9490 0.137472 0.140855 0.144341 0.147912 28.41 51.53 CITIGROUP GLBL MKTS HOLD 17331C6A0 02/28/23 08/28/24 100.000 0.000 5.3780 0.149389 0.153406 0.157531 45.76 37.10 CITIGROUP GLBL MKTS HOLD 17331HW51 06/05/23 06/05/25 100.000 0.000 5.0370 0.139917 0.143440 0.147053 0.150757 28.91 52.48 CITIGROUP GLBL MKTS HOLD 17331HVV5 06/05/23 12/05/24 100.000 0.000 5.2410 0.145583 0.149398 0.153313 30.09 50.60 CITIGROUP GLBL MKTS HOLD 17291RLG5 08/03/23 02/05/26 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 21.75 54.77 CITIGROUP GLBL MKTS HOLD 17331C6J1 02/08/23 08/10/26 100.000 0.000 4.5390 0.126083 0.126115 0.128977 0.131904 0.134898 41.14 47.79 CITIGROUP GLBL MKTS HOLD 17291RZN5 08/02/23 07/31/25 100.000 0.000 5.4600 0.151667 0.155761 0.160013 22.60 56.60 CITIGROUP GLBL MKTS HOLD 17291RZJ4 08/09/23 08/05/25 100.000 0.000 5.3780 0.149389 0.153317 0.157439 21.21 55.66 CITIGROUP GLBL MKTS HOLD 17331HYY6 06/02/23 03/04/27 100.000 0.000 5.1240 0.142333 0.144197 0.147891 0.151680 29.97 53.45 CITIGROUP GLBL MKTS HOLD 17291RYW6 08/02/23 09/03/25 100.000 0.000 5.7470 0.159639 0.160429 0.165039 0.169781 23.88 59.69 CITIGROUP GLBL MKTS HOLD 17291RHW5 07/14/23 07/14/28 100.000 0.000 5.2610 0.146139 0.149983 0.153928 24.41 54.60 CITIGROUP GLBL MKTS HOLD 17291RK68 07/26/23 01/24/25 100.000 0.000 5.5530 0.154250 0.158485 0.162886 23.91 57.65 CITIGROUP GLBL MKTS HOLD 17291RJT0 07/14/23 01/16/25 100.000 0.000 5.6600 0.157222 0.157272 0.161722 0.166299 26.26 58.91 CITIGROUP GLBL MKTS HOLD 17331HGZ3 05/31/23 08/29/24 100.000 0.000 5.3870 0.149639 0.151632 0.155716 31.82 36.82 CITIGROUP GLBL MKTS HOLD 17330RW92 09/19/22 03/19/24 100.000 0.000 4.7140 13.36 0.130944 0.134031 0.137190 48.33 10.70 CITIGROUP GLBL MKTS HOLD 17330R4F9 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330R3N3 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330RV51 10/05/22 10/03/25 100.000 0.000 5.5530 13.27 0.154250 0.158485 0.162886 0.167408 0.172056 57.05 60.26 CITIGROUP GLBL MKTS HOLD 17330RDS1 10/05/22 11/02/23 100.000 0.000 5.6790 13.61 0.158422 0.162920 48.49 CITIGROUP GLBL MKTS HOLD 17330RV93 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330R7A7 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330RGJ8 10/05/22 10/03/24 100.000 0.000 5.3870 12.87 0.149639 0.153625 0.157763 0.162012 55.30 43.68 CITIGROUP GLBL MKTS HOLD 17330R6L4 10/05/22 04/03/25 100.000 0.000 5.4560 13.03 0.151556 0.155644 0.159890 0.164252 0.168733 56.03 59.12 CITIGROUP GLBL MKTS HOLD 17330RFQ3 10/05/22 10/03/25 100.000 0.000 5.5530 13.27 0.154250 0.158485 0.162886 0.167408 0.172056 57.05 60.26 CITIGROUP GLBL MKTS HOLD 17330RFR1 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330RS97 09/16/22 09/18/25 100.000 0.000 4.7540 13.87 0.132090 0.135230 0.138445 0.141735 0.145105 48.77 51.12 CITIGROUP GLBL MKTS HOLD 17330RAZ8 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330RA54 10/05/22 10/03/25 100.000 0.000 5.5530 13.27 0.154250 0.158485 0.162886 0.167408 0.172056 57.05 60.26 CITIGROUP GLBL MKTS HOLD 17330RDE2 09/13/22 09/11/26 100.000 0.000 4.7540 14.26 0.132056 0.135160 0.138372 0.141661 0.145029 48.79 51.14 CITIGROUP GLBL MKTS HOLD 17330RCV5 10/05/22 10/03/24 100.000 0.000 5.3870 12.87 0.149639 0.153625 0.157763 0.162012 55.30 43.68 CITIGROUP GLBL MKTS HOLD 17330N773 09/06/22 09/06/28 100.000 0.000 4.7440 15.15 0.131778 0.134904 0.138103 0.141379 0.144733 48.73 51.07 CITIGROUP GLBL MKTS HOLD 17330R2B0 09/14/22 12/14/23 100.000 0.000 4.4600 13.28 0.125270 0.128064 43.47 CITIGROUP GLBL MKTS HOLD 17330RSK2 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330RBP9 10/05/22 04/03/25 100.000 0.000 5.4560 13.03 0.151556 0.155644 0.159890 0.164252 0.168733 56.03 59.12 CITIGROUP GLBL MKTS HOLD 17330RSW6 10/05/22 04/03/25 100.000 0.000 5.4560 13.03 0.151556 0.155644 0.159890 0.164252 0.168733 56.03 59.12 CITIGROUP GLBL MKTS HOLD 17330PMP1 09/06/22 09/03/27 100.000 0.000 4.6850 14.97 0.130139 0.133137 0.136255 0.139447 0.142714 48.11 50.39 CITIGROUP GLBL MKTS HOLD 17330PHY8 09/06/22 09/03/27 100.000 0.000 4.6850 14.97 0.130139 0.133137 0.136255 0.139447 0.142714 48.11 50.39 CITIGROUP GLBL MKTS HOLD 17330PXM6 09/06/22 03/05/25 100.000 0.000 4.4700 14.28 0.124167 0.126926 0.129763 0.132663 0.135628 45.85 47.92 CITIGROUP GLBL MKTS HOLD 17330RMD4 10/05/22 10/03/25 100.000 0.000 5.5530 13.27 0.154250 0.158485 0.162886 0.167408 0.172056 57.05 60.26 CITIGROUP GLBL MKTS HOLD 17330PXD6 09/06/22 09/05/25 100.000 0.000 4.5680 14.59 0.126889 0.129771 0.132735 0.135767 0.138867 46.88 49.04 CITIGROUP GLBL MKTS HOLD 17330RQ99 10/05/22 10/03/25 100.000 0.000 5.5530 13.27 0.154250 0.158485 0.162886 0.167408 0.172056 57.05 60.26 CITIGROUP GLBL MKTS HOLD 17330RQA6 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17330PUM9 09/06/22 09/06/24 100.000 0.000 4.4020 14.06 0.122278 0.124969 0.127720 0.130531 45.13 31.80 CITIGROUP GLBL MKTS HOLD 17330PCQ0 09/06/22 09/03/27 100.000 0.000 4.6850 14.97 0.130139 0.133137 0.136255 0.139447 0.142714 48.11 50.39 CITIGROUP GLBL MKTS HOLD 17330PD63 09/06/22 03/05/25 100.000 0.000 4.4700 14.28 0.124167 0.126926 0.129763 0.132663 0.135628 45.85 47.92 CITIGROUP GLBL MKTS HOLD 17330RJF3 09/15/22 12/15/23 100.000 0.000 4.5190 13.33 0.126946 0.129814 44.19 CITIGROUP GLBL MKTS HOLD 17330RJ55 10/07/22 10/09/24 100.000 0.000 5.2900 12.35 0.146988 0.150875 0.154866 0.158962 54.26 43.79 CITIGROUP GLBL MKTS HOLD 17330RLK9 10/05/22 10/05/27 100.000 0.000 5.7180 13.66 0.158833 0.163374 0.168045 0.172850 0.177791 58.79 62.20 CITIGROUP GLBL MKTS HOLD 17331HTL0 04/28/23 10/30/24 100.000 0.000 4.9290 0.136917 0.136954 0.140329 0.143788 33.49 42.58 CITIGROUP GLBL MKTS HOLD 17331HRZ1 05/03/23 05/01/25 100.000 0.000 4.8410 0.134472 0.137691 0.141024 0.144437 32.20 50.57 CITIGROUP GLBL MKTS HOLD 17331HB47 05/03/23 10/31/24 100.000 0.000 4.9100 0.136389 0.139681 0.143111 32.66 42.38 CITIGROUP GLBL MKTS HOLD 17331HS72 05/03/23 05/31/24 100.000 0.000 5.6700 0.157500 0.158170 0.162654 37.77 24.24 CITIGROUP GLBL MKTS HOLD 17331HUW4 04/28/23 04/30/25 100.000 0.000 4.8510 0.134750 0.134786 0.138056 0.141404 0.144834 32.95 50.72 CITIGROUP GLBL MKTS HOLD 17331HU20 04/28/23 04/28/28 100.000 0.000 4.6560 0.129333 0.132344 0.135425 0.138578 31.62 48.59 CITIGROUP GLBL MKTS HOLD 17331HCX2 04/28/23 04/29/24 100.000 0.000 4.6260 0.128500 0.131489 31.41 15.52 CITIGROUP GLBL MKTS HOLD 17331HPC4 04/28/23 04/30/26 100.000 0.000 4.6850 0.130139 0.130173 0.133222 0.136343 0.139537 31.82 48.91 CITIGROUP GLBL MKTS HOLD 17331HQH2 05/03/23 10/31/25 100.000 0.000 4.7730 0.132583 0.135695 0.138933 0.142249 31.74 49.83 CITIGROUP GLBL MKTS HOLD 17331HQJ8 04/28/23 05/31/24 100.000 0.000 5.6400 0.156667 0.157452 0.161892 38.37 24.12 CITIGROUP GLBL MKTS HOLD 17331HQN9 05/03/23 05/01/26 100.000 0.000 4.7240 0.131222 0.134287 0.137459 0.140706 31.41 49.30 CITIGROUP GLBL MKTS HOLD 17331HQU3 04/28/23 04/28/28 100.000 0.000 4.6560 0.129333 0.132344 0.135425 0.138578 31.62 48.59 CITIGROUP GLBL MKTS HOLD 17331HMF0 04/28/23 01/29/26 100.000 0.000 4.8000 0.133333 0.134951 0.138190 0.141506 32.65 50.16 CITIGROUP GLBL MKTS HOLD 17331HGS9 05/03/23 10/31/24 100.000 0.000 4.9100 0.136389 0.139681 0.143111 32.66 42.38 CITIGROUP GLBL MKTS HOLD 17331HG91 04/28/23 10/30/25 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 0.143204 32.60 50.16 CITIGROUP GLBL MKTS HOLD 17331HGB6 04/28/23 04/30/30 100.000 0.000 4.1100 0.114167 0.114193 0.116539 0.118934 0.121378 27.89 42.68 CITIGROUP GLBL MKTS HOLD 17331HFH4 04/28/23 04/28/28 100.000 0.000 4.6560 0.129333 0.132344 0.135425 0.138578 31.62 48.59 CITIGROUP GLBL MKTS HOLD 17331HW69 04/28/23 10/30/25 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 0.143204 32.60 50.16 CITIGROUP GLBL MKTS HOLD 17331HW85 05/03/23 10/31/25 100.000 0.000 4.7730 0.132583 0.135695 0.138933 0.142249 31.74 49.83 CITIGROUP GLBL MKTS HOLD 17331HEY8 05/01/23 04/28/25 100.000 0.000 4.8900 0.135833 0.139099 0.142500 0.145984 32.81 51.12 CITIGROUP GLBL MKTS HOLD 17331CY43 03/31/23 07/03/24 100.000 0.000 5.2510 0.145861 0.147840 0.151721 39.88 27.61 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331HHQ2 05/03/23 05/03/28 100.000 0.000 4.7140 0.130944 0.134031 0.137190 0.140423 31.34 49.19 CITIGROUP GLBL MKTS HOLD 17331HHR0 05/02/23 10/31/24 100.000 0.000 4.8020 0.133389 0.136556 0.139835 32.07 41.42 CITIGROUP GLBL MKTS HOLD 17331HHU3 05/03/23 05/01/26 100.000 0.000 4.7240 0.131222 0.134287 0.137459 0.140706 31.41 49.30 CITIGROUP GLBL MKTS HOLD 17331H6W1 03/27/23 09/25/25 100.000 0.000 5.0370 0.139917 0.143401 0.147013 0.150715 38.67 52.98 CITIGROUP GLBL MKTS HOLD 17331CUQ8 04/05/23 04/06/26 100.000 0.000 4.8900 0.135833 0.139173 0.142576 0.146062 36.42 51.30 CITIGROUP GLBL MKTS HOLD 17331CUU9 03/31/23 10/02/25 100.000 0.000 4.9780 0.138278 0.138316 0.141759 0.145287 0.148903 37.79 52.30 CITIGROUP GLBL MKTS HOLD 17331CV95 03/31/23 10/03/24 100.000 0.000 5.0950 0.141528 0.141588 0.145195 0.148894 38.69 40.16 CITIGROUP GLBL MKTS HOLD 17331CUA3 03/31/23 01/02/26 100.000 0.000 4.9980 0.138833 0.140607 0.144120 0.147722 37.94 52.52 CITIGROUP GLBL MKTS HOLD 17331CUE5 03/31/23 04/02/26 100.000 0.000 4.9390 0.137194 0.137232 0.140621 0.144094 0.147652 37.49 51.87 CITIGROUP GLBL MKTS HOLD 17331CUG0 04/05/23 10/03/25 100.000 0.000 4.9780 0.138278 0.141681 0.145208 0.148822 37.08 52.27 CITIGROUP GLBL MKTS HOLD 17331CUH8 03/31/23 10/02/25 100.000 0.000 4.9780 0.138278 0.138316 0.141759 0.145287 0.148903 37.79 52.30 CITIGROUP GLBL MKTS HOLD 17331CUJ4 03/31/23 05/02/24 100.000 0.000 5.8350 0.162083 0.162924 0.167677 44.41 20.29 CITIGROUP GLBL MKTS HOLD 17331CTR8 03/31/23 10/03/24 100.000 0.000 5.0950 0.141528 0.141588 0.145195 0.148894 38.69 40.16 CITIGROUP GLBL MKTS HOLD 17331CTY3 03/20/23 03/20/28 100.000 0.000 5.3290 0.148028 0.151972 0.156021 0.160178 41.99 56.27 CITIGROUP GLBL MKTS HOLD 17331CWC7 04/05/23 04/06/26 100.000 0.000 4.8900 0.135833 0.139173 0.142576 0.146062 36.42 51.30 CITIGROUP GLBL MKTS HOLD 17331CVT1 03/31/23 03/31/28 100.000 0.000 4.8320 0.134222 0.137465 0.140786 0.144188 36.67 50.70 CITIGROUP GLBL MKTS HOLD 17331CW52 04/05/23 10/03/25 100.000 0.000 4.9780 0.138278 0.141681 0.145208 0.148822 37.08 52.27 CITIGROUP GLBL MKTS HOLD 17331CVW4 03/31/23 04/01/27 100.000 0.000 4.8410 0.134472 0.137745 0.141079 0.144494 36.74 50.80 CITIGROUP GLBL MKTS HOLD 17331CVA2 03/31/23 04/02/30 100.000 0.000 4.9780 0.138278 0.138316 0.141759 0.145287 0.148903 37.79 52.30 CITIGROUP GLBL MKTS HOLD 17331CVC8 03/31/23 04/02/25 100.000 0.000 5.0460 0.140167 0.140206 0.143743 0.147370 0.151088 38.31 53.05 CITIGROUP GLBL MKTS HOLD 17331CVG9 04/05/23 10/03/24 100.000 0.000 5.1630 0.143417 0.147078 0.150875 38.47 40.69 CITIGROUP GLBL MKTS HOLD 17331CVM6 04/05/23 05/03/24 100.000 0.000 5.8540 0.162611 0.163351 0.168133 43.71 20.51 CITIGROUP GLBL MKTS HOLD 17331CZB6 04/05/23 05/03/24 100.000 0.000 5.8540 0.162611 0.163351 0.168133 43.71 20.51 CITIGROUP GLBL MKTS HOLD 17331CYF8 03/29/23 03/27/26 100.000 0.000 4.7930 0.133139 0.136294 0.139560 0.142905 36.51 50.28 CITIGROUP GLBL MKTS HOLD 17331CYS0 04/05/23 10/03/25 100.000 0.000 4.9780 0.138278 0.141681 0.145208 0.148822 37.08 52.27 CITIGROUP GLBL MKTS HOLD 17331CZX8 04/03/23 04/03/28 100.000 0.000 4.8800 0.135556 0.138863 0.142251 0.145722 36.62 51.20 CITIGROUP GLBL MKTS HOLD 17331CZS9 03/15/23 03/15/28 100.000 0.000 5.3580 0.148833 0.152821 0.156915 0.161118 42.99 56.63 CITIGROUP GLBL MKTS HOLD 17291R2F8 07/06/23 01/05/26 100.000 0.000 5.3870 0.149639 0.153647 0.157786 26.19 56.03 CITIGROUP GLBL MKTS HOLD 17291RTA0 06/30/23 05/03/27 100.000 0.000 5.2510 0.145861 0.148478 0.152376 0.156377 26.55 54.61 CITIGROUP GLBL MKTS HOLD 17291R2Q4 07/06/23 01/03/25 100.000 0.000 5.7570 0.159917 0.164443 0.169177 27.99 60.03 CITIGROUP GLBL MKTS HOLD 17291RCN0 07/05/23 07/05/28 100.000 0.000 4.9880 0.138556 0.142011 0.145553 24.39 51.73 CITIGROUP GLBL MKTS HOLD 17291RBD3 06/29/23 07/01/26 100.000 0.000 5.1150 0.142083 0.145759 0.145759 0.153309 25.87 53.14 CITIGROUP GLBL MKTS HOLD 17291RGP1 06/29/23 12/31/24 100.000 0.000 5.5530 0.154250 0.158557 0.162959 28.08 57.71 CITIGROUP GLBL MKTS HOLD 17291R6B3 07/06/23 07/06/28 100.000 0.000 5.1340 0.142611 0.146272 0.150027 24.96 53.30 CITIGROUP GLBL MKTS HOLD 17291R5U2 07/06/23 07/03/25 100.000 0.000 5.5330 0.153694 0.157876 0.162243 26.90 57.60 CITIGROUP GLBL MKTS HOLD 17291R6R8 07/06/23 07/06/28 100.000 0.000 5.1340 0.142611 0.146272 0.150027 24.96 53.30 CITIGROUP GLBL MKTS HOLD 17291RDQ2 06/26/23 06/27/24 100.000 0.000 5.6990 0.158306 0.162842 29.30 28.66 CITIGROUP GLBL MKTS HOLD 17291RFM9 06/30/23 07/01/27 100.000 0.000 5.0370 0.143460 0.143460 0.150777 25.32 52.30 CITIGROUP GLBL MKTS HOLD 17291R4T6 07/06/23 07/03/25 100.000 0.000 5.5330 0.153694 0.157876 0.162243 26.90 57.60 CITIGROUP GLBL MKTS HOLD 17291R4N9 07/06/23 07/06/26 100.000 0.000 5.2800 0.146667 0.150539 0.154513 25.67 54.87 CITIGROUP GLBL MKTS HOLD 17331HXQ4 07/06/23 10/03/24 100.000 0.000 5.8930 0.163694 0.166026 0.170918 28.85 46.04 CITIGROUP GLBL MKTS HOLD 17331HWT9 06/30/23 07/03/30 100.000 0.000 5.0660 0.140722 0.140782 0.144348 0.148004 25.48 52.61 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331HWE2 06/30/23 04/01/26 100.000 0.000 5.1930 0.144250 0.146144 0.149938 0.153831 26.28 53.99 CITIGROUP GLBL MKTS HOLD 17331HWL6 06/30/23 10/02/24 100.000 0.000 5.7280 0.159111 0.161440 0.166064 29.01 44.58 CITIGROUP GLBL MKTS HOLD 17331HZR0 06/30/23 01/02/25 100.000 0.000 5.5720 0.154778 0.154826 0.159139 0.163573 28.02 58.08 CITIGROUP GLBL MKTS HOLD 17291RJR4 07/03/23 08/01/24 100.000 0.000 6.3880 0.177444 0.178326 0.184022 31.72 38.47 CITIGROUP GLBL MKTS HOLD 17331HYU4 06/30/23 01/02/26 100.000 0.000 5.2020 0.144500 0.144542 0.148301 0.152159 26.16 54.08 CITIGROUP GLBL MKTS HOLD 17331HYV2 06/30/23 06/30/28 100.000 0.000 5.0370 0.139917 0.143440 0.147053 0.150757 25.33 52.30 CITIGROUP GLBL MKTS HOLD 17331HY75 06/30/23 07/02/25 100.000 0.000 5.3390 0.148306 0.148350 0.152310 0.156376 26.85 55.56 CITIGROUP GLBL MKTS HOLD 17331HYD2 06/30/23 01/02/26 100.000 0.000 5.2020 0.144500 0.144542 0.148301 0.152159 26.16 54.08 CITIGROUP GLBL MKTS HOLD 17331HYF7 07/06/23 01/03/25 100.000 0.000 5.7470 0.159639 0.164150 0.168866 27.94 59.92 CITIGROUP GLBL MKTS HOLD 17330PPS2 06/22/22 06/22/27 100.000 0.000 5.0170 26.37 0.142857 0.146441 0.150114 0.153880 0.157740 52.14 54.79 CITIGROUP GLBL MKTS HOLD 17330PPY9 06/23/22 06/23/25 100.000 0.000 4.6850 24.49 0.133187 0.136307 0.139500 0.142768 0.146112 48.56 50.86 CITIGROUP GLBL MKTS HOLD 17330FSB8 06/30/22 07/02/25 100.000 0.000 4.5970 23.12 0.127727 0.130663 0.133666 0.136738 0.139881 47.57 49.79 CITIGROUP GLBL MKTS HOLD 17330AXE7 05/04/22 05/04/27 100.000 0.000 4.3130 28.54 0.122389 0.125028 0.127725 0.130479 0.133293 44.84 46.79 CITIGROUP GLBL MKTS HOLD 17330FUP4 06/30/22 06/30/28 100.000 0.000 4.8410 24.34 0.137727 0.141061 0.144475 0.147972 0.151554 50.19 52.65 CITIGROUP GLBL MKTS HOLD 17330PKU2 06/29/22 06/29/27 100.000 0.000 4.7630 24.09 0.135456 0.138682 0.141985 0.145366 0.148828 49.36 51.74 CITIGROUP GLBL MKTS HOLD 17330PKB4 06/30/22 06/30/27 100.000 0.000 4.7830 24.05 0.136038 0.139292 0.142623 0.146034 0.149526 49.57 51.97 CITIGROUP GLBL MKTS HOLD 17330P7J2 07/06/22 07/05/24 100.000 0.000 4.4310 21.54 0.123083 0.125795 0.128582 0.131431 45.77 24.17 CITIGROUP GLBL MKTS HOLD 17330P7E3 06/30/22 01/02/25 100.000 0.000 4.4800 22.53 0.124475 0.127264 0.130114 0.133029 0.136009 46.32 48.42 CITIGROUP GLBL MKTS HOLD 17330PK32 07/06/22 07/06/27 100.000 0.000 4.8320 23.49 0.134222 0.137465 0.140786 0.144188 0.147671 50.05 52.50 CITIGROUP GLBL MKTS HOLD 17330PJW0 07/15/22 01/16/25 100.000 0.000 4.4110 20.34 0.122528 0.125245 0.128007 0.130831 0.133716 45.50 47.53 CITIGROUP GLBL MKTS HOLD 17330FMN8 06/30/22 07/02/29 100.000 0.000 4.8900 24.59 0.135870 0.139192 0.142596 0.146082 0.149654 50.72 53.23 CITIGROUP GLBL MKTS HOLD 17330PJ42 06/29/22 06/29/27 100.000 0.000 4.7630 24.09 0.135456 0.138682 0.141985 0.145366 0.148828 49.36 51.74 CITIGROUP GLBL MKTS HOLD 17330PDG1 06/28/22 06/27/24 100.000 0.000 4.4210 22.48 0.125505 0.128279 0.131115 45.70 23.08 CITIGROUP GLBL MKTS HOLD 17330PU49 07/15/22 01/18/24 100.000 0.000 4.2160 19.45 0.117152 0.119622 0.122143 43.43 2.08 CITIGROUP GLBL MKTS HOLD 17330PD22 06/30/22 07/02/25 100.000 0.000 4.5970 23.12 0.127727 0.130663 0.133666 0.136738 0.139881 47.57 49.79 CITIGROUP GLBL MKTS HOLD 17330AYK2 05/04/22 05/04/27 100.000 0.000 4.3130 28.54 0.122389 0.125028 0.127725 0.130479 0.133293 44.84 46.79 CITIGROUP GLBL MKTS HOLD 17330FWP2 06/30/22 07/01/27 100.000 0.000 4.7830 24.05 0.136056 0.136056 0.142642 0.142642 0.149546 49.57 51.96 CITIGROUP GLBL MKTS HOLD 17330PTQ2 06/23/22 06/23/26 100.000 0.000 4.7930 25.06 0.136330 0.139597 0.142942 0.146368 0.149875 49.72 52.13 CITIGROUP GLBL MKTS HOLD 17330FZS3 06/30/22 01/02/25 100.000 0.000 4.4800 22.53 0.124475 0.127264 0.130114 0.133029 0.136009 46.32 48.42 CITIGROUP GLBL MKTS HOLD 17330P5M7 06/30/22 06/30/25 100.000 0.000 4.5970 23.12 0.130630 0.133632 0.136704 0.139846 0.143060 47.57 49.79 CITIGROUP GLBL MKTS HOLD 17330FZ61 06/30/22 07/02/29 100.000 0.000 4.8900 24.59 0.135870 0.139192 0.142596 0.146082 0.149654 50.72 53.23 CITIGROUP GLBL MKTS HOLD 17330P4N6 06/30/22 07/02/26 100.000 0.000 4.6750 23.51 0.129895 0.132931 0.136038 0.139218 0.142473 48.41 50.70 CITIGROUP GLBL MKTS HOLD 17330FHR5 05/03/22 11/03/28 100.000 0.000 4.4800 29.78 0.127232 0.130082 0.132996 0.135975 0.139021 46.65 48.76 CITIGROUP GLBL MKTS HOLD 17330PVP1 07/08/22 01/10/24 100.000 0.000 4.1180 19.79 0.114415 0.116771 0.119175 42.43 1.07 CITIGROUP GLBL MKTS HOLD 17330PF46 06/23/22 06/21/24 100.000 0.000 4.4500 23.27 0.126331 0.129142 0.132015 46.04 22.44 CITIGROUP GLBL MKTS HOLD 17330PV89 07/12/22 07/10/25 100.000 0.000 4.3820 20.57 0.121722 0.124360 0.127084 0.129869 0.132714 45.21 47.21 CITIGROUP GLBL MKTS HOLD 17330PVC0 06/29/22 06/27/25 100.000 0.000 4.5780 23.16 0.130045 0.133022 0.136067 0.139181 0.142367 47.38 49.57 CITIGROUP GLBL MKTS HOLD 17330AZX3 05/04/22 05/04/27 100.000 0.000 4.3130 28.54 0.122389 0.125028 0.127725 0.130479 0.133293 44.84 46.79 CITIGROUP GLBL MKTS HOLD 17290AFJ4 09/22/22 09/22/37 42.925 0.000 5.7120 6.74 0.068108 0.070054 0.072054 0.074112 0.076229 25.26 26.72 CLEVELAND-CLIFFS INC 185899AE1 03/16/20 03/15/27 81.330 7.000 10.8801 58.56 0.066910 0.070550 0.074388 0.078435 0.082702 25.54 28.39 CLEVELAND-CLIFFS INC U1852LAD9 03/16/20 03/15/27 81.330 7.000 10.8801 58.56 0.066910 0.070550 0.074388 0.078435 0.082702 25.54 28.39 CLINT TEX INDPT SCH DIST 187270G23 09/29/20 02/15/23 98.431 0.000 0.6662 14.88 0.018443 0.81 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CLINT TEX INDPT SCH DIST 187270G31 09/29/20 02/15/24 97.067 0.000 0.8832 19.49 0.024211 0.024318 0.024426 8.76 1.07 CLINT TEX INDPT SCH DIST 187270G64 09/29/20 02/15/27 91.776 0.000 1.3501 28.29 0.035299 0.035537 0.035777 0.036018 0.036261 12.82 12.99 CLINT TEX INDPT SCH DIST 187270G72 09/29/20 02/15/28 88.641 0.000 1.6409 33.29 0.041663 0.042005 0.042349 0.042697 0.043047 15.15 15.40 CLINT TEX INDPT SCH DIST 187270G49 09/29/20 02/15/25 95.506 0.000 1.0530 22.90 0.028493 0.028643 0.028794 0.028945 0.029098 10.33 10.43 CLINT TEX INDPT SCH DIST 187270G56 09/29/20 02/15/26 93.518 0.000 1.2500 26.66 0.033240 0.033448 0.033657 0.033867 0.034079 12.06 12.21 CLINT TEX INDPT SCH DIST 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--------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CORSICANA TEX INDPT SCH 220435RY9 07/21/20 02/15/23 97.171 0.000 1.1212 26.93 0.030970 1.36 CORSICANA TEX INDPT SCH 220435RZ6 07/21/20 02/15/24 95.338 0.000 1.3430 31.72 0.036563 0.036809 0.037056 13.27 1.63 CREDIT AGRICOLE CORP 22533AK63 06/21/23 06/20/28 100.000 0.000 4.1100 0.114167 0.116500 0.118894 0.121337 21.72 42.42 CREDIT AGRICOLE CORPORAT 22533AES2 10/20/21 10/20/31 100.000 VARIES 1.8471 21.94 0.050199 0.050256 0.050313 0.050371 0.050430 18.09 18.13 CREDIT AGRICOLE CORPORAT 22533ADU8 05/26/21 05/26/36 100.000 VARIES 2.1485 34.32 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 32.11 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 67.64 0.063046 0.063718 20.80 CREDIT SUISSE AG LONDON 22551N4R4 11/07/19 11/07/29 100.000 0.000 2.4600 80.08 0.073533 0.074438 0.075354 0.076280 0.077219 26.73 27.39 CREDIT SUISSE AG LONDON 22553PPZ6 03/30/22 03/30/26 100.000 0.000 3.4399 26.04 0.097196 0.098868 0.100568 0.102298 0.104058 35.60 36.83 CREDIT SUISSE AG LONDON 22551NWN2 04/07/20 04/07/25 100.000 0.000 2.4500 68.85 0.072328 0.073214 0.074111 0.075019 0.075938 26.35 27.00 CREDIT SUISSE AG LONDON 22552FZM7 10/31/19 08/02/23 100.000 0.000 2.1196 69.13 0.062402 0.063063 13.29 CREDIT SUISSE AG LONDON 22553PR43 04/07/22 04/09/25 100.000 0.000 3.4699 25.59 0.098076 0.099777 0.101508 0.103270 0.105061 35.89 37.15 CREDIT SUISSE AG LONDON 22553PR76 04/07/22 04/09/25 100.000 0.000 3.4699 25.59 0.098076 0.099777 0.101508 0.103270 0.105061 35.89 37.15 CREDIT SUISSE AG LONDON 22552XNX7 07/01/21 07/03/28 100.000 0.000 1.8775 28.43 0.053141 0.053640 0.054144 0.054652 0.055165 19.40 19.77 CREDIT SUISSE AG LONDON 22551N6J0 11/29/19 08/30/23 100.000 0.000 2.0196 64.06 0.059291 0.059883 14.28 CREDIT SUISSE AG LONDON 22551NH41 01/31/20 11/02/23 100.000 0.000 1.7996 53.72 0.052520 0.052993 15.89 CREDIT SUISSE AG LONDON 22551NY67 04/21/20 04/21/25 100.000 0.000 2.6886 74.63 0.079840 0.080913 0.082001 0.083103 0.084220 29.09 29.87 CREDIT SUISSE AG LONDON 22551NH58 01/31/20 05/02/24 100.000 0.000 1.8197 54.33 0.053136 0.053619 0.054107 19.27 6.55 CREDIT SUISSE AG LONDON 22551NXV3 04/24/20 10/22/25 100.000 0.000 1.8700 51.28 0.054412 0.054921 0.055435 0.055953 0.056476 19.75 20.12 CREDIT SUISSE AG LONDON 22553PRR2 05/04/22 05/02/25 100.000 0.000 4.0400 26.73 0.114464 0.116776 0.119135 0.121542 0.123997 41.90 43.61 CREDIT SUISSE AG LONDON 22553PRP6 04/28/22 04/29/27 100.000 0.000 3.9900 27.07 0.113056 0.115311 0.117612 0.119958 0.122351 41.39 43.06 CREDIT SUISSE AG LONDON 22551NHA7 01/31/20 07/31/25 100.000 0.000 2.0500 61.36 0.059923 0.060538 0.061158 0.061785 0.062418 21.87 22.32 CREDIT SUISSE AG LONDON 22551NHB5 01/31/20 01/31/24 100.000 0.000 1.7401 51.89 0.050475 0.050914 0.051357 18.38 1.49 CREDIT SUISSE AG LONDON 22552WLX1 09/24/20 09/24/27 100.000 0.000 1.2420 28.50 0.035366 0.035585 0.035806 0.036029 0.036252 12.81 12.97 CREDIT SUISSE AG LONDON 22550V521 03/31/20 03/31/25 100.000 0.000 3.1499 89.88 0.094608 0.096098 0.097612 0.099149 0.100711 34.60 35.70 CREDIT SUISSE AG LONDON 22551NAX4 12/02/19 12/01/26 100.000 0.000 2.2800 72.35 0.067787 0.068559 0.069341 0.070131 0.070931 24.59 25.15 CREDIT SUISSE AG LONDON 22551NCE4 12/30/19 06/27/25 100.000 0.000 2.3800 73.63 0.070960 0.071805 0.072659 0.073524 0.074399 25.70 26.32 CREDIT SUISSE AG LONDON 22551NCF1 12/30/19 12/28/23 100.000 0.000 2.0500 63.16 0.060530 0.061151 21.72 CREDIT SUISSE AG LONDON 22552FY97 10/25/19 04/28/25 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100.000 0.000 1.6030 29.67 0.045608 0.045974 0.046342 0.046713 0.047088 16.57 16.84 CREDIT SUISSE AG LONDON 22551NMV5 02/28/20 03/02/26 100.000 0.000 1.7500 50.77 0.050786 0.051230 0.051678 0.052130 0.052587 18.47 18.79 CREDIT SUISSE AG LONDON 22551NMX1 02/28/20 02/28/24 100.000 0.000 1.5699 45.45 0.045348 0.045704 0.046063 16.48 2.63 CREDIT SUISSE AG LONDON 22553PYE3 05/26/22 05/27/25 100.000 0.000 4.0300 24.15 0.114213 0.116514 0.118862 0.121257 0.123700 41.69 43.39 CREDIT SUISSE AG LONDON 22553QNV5 12/05/22 06/04/24 100.000 0.000 8.2700 5.97 0.229722 0.239168 0.249058 84.92 38.11 CREDIT SUISSE AG LONDON 22553PV89 05/18/22 05/18/27 100.000 0.000 4.3100 26.81 0.122302 0.124938 0.127630 0.130381 0.133190 44.73 46.68 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 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0.148946 0.156456 51.68 54.29 CREDIT SUISSE AG, LON BR 22553Q5J2 06/15/22 06/13/25 100.000 0.000 4.4100 24.06 0.125171 0.127931 0.130752 0.133635 0.136582 45.66 47.69 CREDIT SUISSE AG, LON BR 22553PZM4 06/13/22 06/13/24 100.000 0.000 3.8900 21.43 0.110157 0.112300 0.114484 40.12 18.55 CREDIT SUISSE AG, LON BR 22552J856 06/29/22 06/29/27 100.000 0.000 4.7600 24.07 0.135369 0.138591 0.141889 0.145266 0.148724 49.33 51.70 CREDIT SUISSE AG, LON BR 22553PVE6 05/31/22 05/28/27 100.000 0.000 4.2800 25.17 0.121405 0.124003 0.126657 0.129367 0.132135 44.35 46.27 CREDIT SUISSE AG, LON BR 22553PVF3 06/03/22 06/04/25 100.000 0.000 3.7100 21.49 0.104978 0.106925 0.108909 0.110929 0.112987 38.25 39.68 CREDIT SUISSE AG, LONDON 22553QBX4 08/03/22 08/01/25 100.000 0.000 4.1800 17.18 0.116111 0.118511 0.120988 0.123516 0.126098 42.96 44.78 CREDIT SUISSE AG, LONDON 22553QCG0 08/04/22 08/05/27 100.000 0.000 4.9500 20.21 0.137500 0.140922 0.144410 0.147984 0.151647 51.12 53.69 CREDIT SUISSE AG, LONDON 22553QDE4 08/03/22 08/01/25 100.000 0.000 4.6000 18.91 0.127778 0.130684 0.133690 0.136765 0.139910 47.41 49.61 CREDIT SUISSE AG, LONDON 22553QDQ7 08/04/22 02/04/26 100.000 0.000 4.3500 17.76 0.120833 0.123461 0.126147 0.128890 0.131694 44.75 46.72 CREDIT SUISSE AG, LONDON 22553QEE3 08/03/22 08/01/25 100.000 0.000 4.6000 18.91 0.127778 0.130684 0.133690 0.136765 0.139910 47.41 49.61 CREDIT SUISSE AG, LONDON 22553QEQ6 08/03/22 08/03/27 100.000 0.000 4.7200 19.40 0.131111 0.134205 0.137373 0.140615 0.143933 48.68 51.01 CREDIT SUISSE AG, LONDON 22553QAL1 08/02/22 08/02/27 100.000 0.000 4.4300 18.34 0.123056 0.125781 0.128567 0.131415 0.134326 45.61 47.65 CREDIT SUISSE AG, LONDON 22553QAW7 07/06/22 07/06/26 100.000 0.000 4.4800 21.78 0.124444 0.127232 0.130082 0.132996 0.135975 46.29 48.39 CREDIT SUISSE AG, LONDON 22553QFL6 08/17/22 02/18/25 100.000 0.000 4.3800 16.30 0.121667 0.124346 0.127069 0.129852 0.132696 45.00 46.99 CREDIT SUISSE AG, LONDON 22553QGH4 08/18/22 08/20/26 100.000 0.000 4.3700 16.15 0.121418 0.124071 0.126782 0.129553 0.132383 44.89 46.87 CREDIT SUISSE AG, LONDON 22553QGG6 08/18/22 08/20/25 100.000 0.000 4.3800 16.19 0.121696 0.124361 0.127085 0.129868 0.132712 45.00 46.99 CREDIT SUISSE AG, LONDON 22553QGJ0 08/18/22 08/19/27 100.000 0.000 4.3800 16.18 0.121667 0.124346 0.127069 0.129852 0.132696 45.00 46.99 CREDIT SUISSE AG, LONDON 22553QGR2 08/31/22 08/29/25 100.000 0.000 5.1800 17.41 0.143889 0.147574 0.151418 0.155339 0.159363 53.39 56.19 CREDIT SUISSE AG, LONDON 22553QEW2 08/17/22 08/17/27 100.000 0.125 4.4400 17.72 0.133200 0.136080 0.139024 0.142033 0.145109 49.24 51.40 CREDIT SUISSE AG, LONDON 22553QQK6 02/14/23 02/14/28 100.000 VARIES 6.4337 0.023872 0.021103 0.019099 0.019728 0.020376 7.28 7.13 CREDIT SUISSE AG, LONDON 22553QR66 03/03/23 03/03/25 100.000 0.000 7.3800 0.205000 0.212565 0.220408 0.228541 61.98 79.82 CREDIT SUISSE AG, LONDON 22553QR58 03/03/23 06/03/24 100.000 0.000 7.3500 0.204167 0.207918 0.215559 61.84 32.77 CREDIT SUISSE AG, LONDON 22553QRD1 03/03/23 06/03/24 100.000 0.000 7.3500 0.204167 0.207918 0.215559 61.84 32.77 CREDIT SUISSE AG, LONDON 22553QRR0 03/09/23 06/13/24 100.000 0.000 7.7000 0.213889 0.218189 0.226590 63.46 36.71 CREDIT SUISSE AG, LONDON 22553QNT0 11/28/22 05/28/26 100.000 0.000 7.2500 6.65 0.201389 0.208689 0.216254 0.224093 0.232217 74.30 79.79 CREDIT SUISSE AG,LONDON 22553QEW3 09/02/22 06/02/27 100.000 0.000 4.9800 16.51 0.140056 0.143543 0.147117 0.150780 0.154535 51.25 53.84 CREDIT SUISSE AG,LONDON 22553QFJ1 08/31/22 08/29/25 100.000 0.000 5.1800 17.41 0.143889 0.147574 0.151418 0.155339 0.159363 53.39 56.19 CREDIT SUISSE AG,LONDON 22553QPB7 01/05/23 10/03/25 100.000 0.000 7.8500 0.218056 0.222240 0.230963 0.240028 0.249449 79.52 86.41 CREDIT SUISSE AG,LONDON 22553QPD3 01/05/23 07/03/24 100.000 0.000 7.9600 0.221111 0.229814 0.238960 80.26 43.47 CREDIT SUISSE AG,LONDON 22553QPC5 01/05/23 01/05/26 100.000 0.000 7.3900 0.205278 0.212863 0.220728 0.228884 74.41 80.87 CREDIT SUISSE AG,LONDON 22553QG84 09/07/22 10/06/27 100.000 0.000 5.2700 16.74 0.147010 0.150884 0.154860 0.158940 0.163129 54.29 57.19 CREDIT SUISSE AG,LONDON 22553QFU6 08/31/22 08/31/27 100.000 0.000 5.3000 17.81 0.147222 0.151080 0.155128 0.159216 0.163459 54.66 57.59 CREDIT SUISSE AG,LONDON 22553QGCS 08/12/22 08/14/24 100.000 0.000 4.5500 17.57 0.126421 0.129297 0.132238 0.135247 46.83 30.03 CREDIT SUISSE AG,LONDON 22553QGM3 08/19/22 08/20/26 100.000 0.000 4.6300 16.98 0.128611 0.131605 0.134652 0.137769 0.140958 47.63 49.86 CREDIT SUISSE AG,LONDON 22553QGL5 08/19/22 08/21/25 100.000 0.000 4.6000 16.87 0.127810 0.130750 0.133757 0.136834 0.139981 47.31 49.52 CREDIT SUISSE AG,LONDON 22553QH26 08/19/22 08/17/27 100.000 0.000 4.5200 16.57 0.125556 0.128362 0.131263 0.134229 0.137263 46.47 48.59 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CREDIT SUISSE AG,LONDON 22553QHK6 09/06/22 09/05/24 100.000 0.000 4.9600 15.84 0.137778 0.141176 0.144677 0.148265 51.01 35.95 CREDIT SUISSE AG,LONDON 22553QHJ9 08/23/22 08/23/27 100.000 0.000 4.7700 16.96 0.132500 0.135660 0.138896 0.142208 0.145600 49.09 51.46 CREDIT SUSSE AG LONDON 22553QKQ9 10/06/22 10/08/26 100.000 0.000 6.7400 15.92 0.187292 0.193604 0.200129 0.206873 0.213844 69.63 74.40 CROSBY TEX INDPT SCH DIS 227381VA5 12/17/20 02/15/29 85.602 0.000 1.9139 33.91 0.046972 0.047422 0.047876 0.048334 0.048796 17.11 17.44 CROSBY TEX INDPT SCH DIS 227381VB3 12/17/20 02/15/30 83.152 0.000 2.0240 34.87 0.048341 0.048830 0.049324 0.049823 0.050327 17.62 17.98 CROSBY TEX INDPT SCH DIS 227381UV0 12/17/20 02/15/24 96.792 0.000 1.0340 20.57 0.028282 0.028429 0.028576 10.25 1.26 CROSBY TEX INDPT SCH DIS 227381UW8 12/17/20 02/15/25 95.206 0.000 1.1840 23.20 0.031933 0.032122 0.032312 0.032504 0.032696 11.58 11.72 CROSBY TEX INDPT SCH DIS 227381UX6 12/17/20 02/15/26 92.947 0.000 1.4221 27.26 0.037591 0.037858 0.038127 0.038398 0.038671 13.65 13.85 CROSBY TEX INDPT SCH DIS 227381UY4 12/17/20 02/15/27 90.747 0.000 1.5820 29.64 0.040937 0.041261 0.041588 0.041916 0.042248 14.88 15.12 CROSBY TEX INDPT SCH DIS 227381UZ1 12/17/20 02/15/28 87.931 0.000 1.8040 32.81 0.045399 0.045808 0.046221 0.046638 0.047059 16.53 16.83 CROWLEY TEX INDPT SCH DI 228130HM5 10/22/20 08/01/23 98.408 0.000 0.5791 12.55 0.015994 0.016040 3.37 CROWLEY TEX INDPT SCH DI 228130HN3 10/22/20 08/01/24 97.246 0.000 0.7411 15.90 0.020284 0.020359 0.020434 0.020510 7.34 4.30 CROWLEY TEX INDPT SCH DI 228130HQ6 10/22/20 08/01/26 93.899 0.000 1.0930 22.71 0.029065 0.029224 0.029383 0.029544 0.029705 10.54 10.66 CROWLEY TEX INDPT SCH DI 228130HP8 10/22/20 08/01/25 95.934 0.000 0.8712 18.46 0.023576 0.023679 0.023782 0.023885 0.023989 8.54 8.61 Canadian Imperial Bank 13607G302 05/02/19 04/28/23 100.000 0.000 2.9112 111.73 0.089448 10.47 Canadian Imperial Bank 13607Y352 08/24/23 08/28/26 100.000 0.000 5.5140 0.153167 0.153261 0.157486 0.161828 19.46 56.99 Canadian Imperial Bank 13607Y469 07/20/23 08/31/26 100.000 0.000 5.3500 0.148611 0.149495 0.153471 0.157599 24.03 55.52 Canadian Imperial Bank 13607Y493 06/30/23 06/26/26 100.000 0.000 5.2700 0.146389 0.150161 0.154117 0.158178 26.52 54.81 Canadian Imperial Bank 13607Y592 05/18/23 05/29/26 100.000 0.000 4.6265 0.128514 0.128696 0.131673 0.134719 0.137835 28.79 48.15 Canadian Imperial Bank 13607XLK1 08/06/23 09/05/29 100.000 0.000 5.4848 0.152356 0.153029 0.157225 0.161537 22.17 56.83 Canadian Imperial Bank 13607XM87 08/16/23 08/16/28 100.000 VARIES 6.4714 0.147757 0.151687 0.155722 22.02 55.09 Canadian Imperial Bank 13607XLX3 08/02/23 08/02/27 100.000 0.000 5.3193 0.147758 0.151688 0.155723 22.02 55.09 Canadian Imperial Bank 13607XMK0 08/31/23 09/02/25 100.000 VARIES 6.2586 0.008211 0.008468 0.008386 0.99 3.02 Canadian Imperial Bank 13607XN60 09/15/23 09/15/28 100.000 VARIES 6.4657 0.010076 0.010046 0.010013 1.07 3.62 Canadian Imperial Bank 13607Y105 02/02/23 01/26/29 100.000 0.000 4.5776 0.127156 0.129969 0.132944 0.135986 42.27 48.26 Canadian Imperial Bank 13607W513 08/04/22 07/28/28 100.000 0.000 4.0510 16.54 0.112528 0.114731 0.117055 0.119426 0.121845 41.60 43.30 Canadian Imperial Bank 13607XK22 06/27/23 06/27/26 100.000 VARIES 6.2300 0.009371 0.007414 0.005397 0.005564 1.72 2.30 Canadian Imperial Bank 13607XKF3 08/02/23 05/04/26 100.000 0.000 5.3193 0.147758 0.149767 0.153750 0.157839 22.13 55.09 Canadian Imperial Bank 13607XKG1 08/02/23 08/02/29 100.000 0.000 5.3059 0.147386 0.151296 0.155310 21.96 54.94 Canadian Imperial Bank 13607Y774 03/23/23 03/27/26 100.000 0.000 5.0268 0.139633 0.139711 0.143223 0.146823 0.150513 39.17 52.89 Canadian Imperial Bank 13607Y873 03/09/23 02/23/29 100.000 0.000 5.1633 0.143425 0.146799 0.150588 0.154476 42.31 54.51 Canadian Imperial Bank 13607Y808 02/16/23 02/27/26 100.000 0.000 4.7340 0.131500 0.131690 0.134807 0.137998 0.141265 41.87 49.91 Canadian Imperial Bank 13607XF85 02/01/23 08/06/24 100.000 0.000 4.8707 0.135297 0.135389 0.138686 0.142063 45.16 30.43 Canadian Imperial Bank 13607XFC6 03/02/23 03/02/27 100.000 0.000 5.1926 0.144239 0.147984 0.151826 0.155768 43.57 54.89 Canadian Imperial Bank 13607W349 11/03/22 10/27/28 100.000 0.000 5.6745 9.14 0.157625 0.161948 0.166543 0.171268 0.176128 58.09 61.42 Canadian Imperial Bank 13607XGX9 05/02/23 05/03/27 100.000 0.000 4.6265 0.128514 0.131503 0.134545 0.137658 30.89 48.25 Canadian Pacific Railway 13648TAD9 04/19/23 05/15/43 86.549 4.300 5.4100 0.010100 0.010556 0.010833 0.011167 0.011444 2.67 3.99 Canadian Pacific Railway 13648TAC1 04/19/23 11/15/29 89.925 4.670 2.8750 0.036154 0.037000 0.037833 0.038722 0.039667 9.34 13.87 Canadian Pacific Railway 13648TAB3 04/19/23 06/01/26 95.979 4.520 3.1250 0.033333 0.033944 0.034722 0.035500 0.036333 8.55 12.69 Canadian Pacific Railway 13648TAH0 04/19/23 11/15/69 79.755 4.200 5.3900 0.002308 0.002778 0.002889 0.002944 0.003000 0.70 1.05 Canadian Pacific Railway 13648TAG2 04/19/23 05/01/50 74.921 3.500 5.2500 0.011979 0.012278 0.012611 0.012944 3.03 4.52 Canadian Pacific Railway 13648TAF4 04/19/23 05/01/48 90.782 4.700 5.3700 0.005000 0.005111 0.005222 0.005389 1.26 1.88 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Canadian Pacific Railway 13648TAE7 04/19/23 08/15/45 93.689 4.950 5.4400 0.004052 0.004167 0.004333 0.004444 1.04 1.56 Carol Stream, IL 143735TZ1 12/30/11 11/01/25 42.963 0.000 6.1994 411.61 0.143384 0.147829 0.152411 0.157135 0.162006 52.96 56.29 Carol Stream, IL 143735TY4 12/30/11 11/01/24 46.530 0.000 6.0492 431.29 0.149154 0.153665 0.158313 0.163101 55.06 48.36 Carol Stream, IL 143735TX6 12/30/11 11/01/23 50.827 0.000 5.7993 445.29 0.152142 0.156553 46.44 Carol Stream, IL 143735UC0 12/30/11 11/01/28 33.512 0.000 6.5994 349.68 0.124169 0.128267 0.132499 0.136871 0.141388 45.94 49.02 Carol Stream, IL 143735UB2 12/30/11 11/01/27 36.593 0.000 6.4493 369.95 0.130430 0.134636 0.138978 0.143459 0.148085 48.22 51.39 Carol Stream, IL 143735UA4 12/30/11 11/01/26 39.556 0.000 6.3493 391.46 0.137353 0.141714 0.146213 0.150854 0.155644 50.76 54.04 Carol Stream, IL 143735UF3 12/30/11 11/01/31 26.288 0.000 6.8495 288.80 0.103781 0.107335 0.111011 0.114813 0.118745 38.43 41.11 Carol Stream, IL 143735UE6 12/30/11 11/01/30 28.377 0.000 6.7995 308.59 0.110627 0.114388 0.118277 0.122298 0.126456 40.96 43.79 Carol Stream, IL 143735UD8 12/30/11 11/01/29 30.868 0.000 6.6994 328.84 0.117328 0.121259 0.125320 0.129518 0.133857 43.43 46.38 Centerpoint Energy, Inc. 15189T206 09/21/99 09/15/29 100.000 VARIES 9.9395 7114.25 2.034258 2.132169 2.234945 2.342829 2.456074 771.23 847.44 Champaign County, IL 158199BB4 11/04/15 12/01/26 98.267 VARIES 4.1631 291.33 0.111759 0.111599 0.111436 0.111269 0.111099 40.19 40.08 Champaign County, IL 158199BA6 11/04/15 12/01/23 124.115 VARIES N/A 320.78 0.218056 0.218056 71.96 Christian & Sangamon CNT 170592BK4 03/28/13 12/01/23 99.390 VARIES 3.6841 359.35 0.102251 0.102293 33.75 CITIGROUP GLBL MKTS HOLD 17291QJS4 09/13/23 03/13/25 100.000 0.000 5.6400 0.156667 0.161085 0.165627 16.92 58.16 CITIGROUP GLBL MKTS HOLD 17330PSN0 07/29/22 01/30/25 100.000 0.000 4.3620 18.42 0.121167 0.123824 0.126525 0.129284 0.132104 44.91 46.89 CITIGROUP GLBL MKTS HOLD 17291QJD7 08/30/23 09/03/24 100.000 0.000 5.6998 0.158328 0.158403 0.162917 19.17 39.15 CITIGROUP GLBL MKTS HOLD 17330PAF6 07/05/22 01/02/26 100.000 0.000 4.7240 23.10 0.131222 0.134270 0.137441 0.140688 0.144011 48.90 51.24 CITIGROUP GLBL MKTS HOLD 17330PLN7 07/25/22 01/24/25 100.000 0.000 4.5580 19.75 0.126611 0.129481 0.132431 0.135450 0.138536 47.01 49.18 CITIGROUP GLBL MKTS HOLD 17291RUJ9 08/31/23 03/05/26 100.000 0.000 5.5330 0.153694 0.153813 0.158068 0.162441 18.61 57.14 CITIGROUP GLBL MKTS HOLD 17330PL49 07/29/22 07/31/24 100.000 0.000 4.3130 18.21 0.119820 0.122404 0.125043 0.127740 44.39 26.62 CITIGROUP GLBL MKTS HOLD 17331AJC6 07/20/23 08/20/24 100.000 0.000 5.8504 0.162511 0.163303 0.168080 26.27 38.26 CITIGROUP GLBL MKTS HOLD 17291QAD6 08/18/23 08/18/28 100.000 0.000 5.3780 0.149389 0.153406 0.157531 19.87 55.59 CITIGROUP GLBL MKTS HOLD 17330N542 07/29/22 07/31/24 100.000 0.000 4.3130 18.21 0.119820 0.122404 0.125043 0.127740 44.39 26.62 CITIGROUP GLBL MKTS HOLD 17330PKE8 07/29/22 07/31/25 100.000 0.000 4.4110 18.63 0.122543 0.125245 0.128008 0.130831 0.133716 45.43 47.45 CITIGROUP GLBL MKTS HOLD 17330PKF5 07/27/22 07/25/25 100.000 0.000 4.4700 19.12 0.124167 0.126911 0.129747 0.132647 0.135612 46.06 48.15 CITIGROUP GLBL MKTS HOLD 17330PKH1 07/29/22 07/31/28 100.000 0.000 4.5870 19.37 0.127433 0.130356 0.133345 0.136404 0.139532 47.29 49.49 CITIGROUP GLBL MKTS HOLD 17330PMR7 07/27/22 07/27/26 100.000 0.000 4.5090 19.29 0.125250 0.128074 0.130961 0.133914 0.136933 46.48 48.60 CITIGROUP GLBL MKTS HOLD 17291RRK0 07/31/23 10/31/24 100.000 0.000 5.6781 0.157725 0.159964 0.164505 23.95 48.65 CITIGROUP GLBL MKTS HOLD 17291RXP2 08/31/23 08/31/28 100.000 0.000 5.4560 0.151556 0.155667 0.159937 18.34 56.32 CITIGROUP GLBL MKTS HOLD 17291Q3K8 08/23/23 11/21/24 100.000 0.000 5.7380 0.159389 0.161625 0.166262 20.49 52.55 CITIGROUP GLBL MKTS HOLD 17291RXH0 09/06/23 03/05/25 100.000 0.000 5.5920 0.155333 0.159652 0.164116 17.86 57.72 CITIGROUP GLBL MKTS HOLD 17291RX31 09/06/23 12/05/24 100.000 0.000 5.7380 0.159389 0.161650 0.166288 18.39 54.83 CITIGROUP GLBL MKTS HOLD 17291Q2L7 08/31/23 08/31/28 100.000 0.000 5.4560 0.151556 0.155667 0.159937 18.34 56.32 CITIGROUP GLBL MKTS HOLD 17291RWT5 08/31/23 09/03/25 100.000 0.000 5.6020 0.155611 0.155684 0.160044 0.164527 18.84 57.87 CITIGROUP GLBL MKTS HOLD 17291RYU0 09/01/23 09/03/26 100.000 0.000 5.4850 0.152361 0.152408 0.156587 0.160882 18.29 56.62 CITIGROUP GLBL MKTS HOLD 17330PH77 07/29/22 07/29/27 100.000 0.000 4.5480 19.20 0.126333 0.129206 0.132144 0.135149 0.138223 46.88 49.04 CITIGROUP GLBL MKTS HOLD 17330P5U9 07/06/22 07/06/26 100.000 0.000 4.7140 22.92 0.130944 0.134031 0.137190 0.140423 0.143733 48.79 51.12 CITIGROUP GLBL MKTS HOLD 17330PJS9 07/29/22 07/31/25 100.000 0.000 4.4110 18.63 0.122543 0.125245 0.128008 0.130831 0.133716 45.43 47.45 CITIGROUP GLBL MKTS HOLD 17330PK99 08/01/22 07/30/27 100.000 0.000 4.5090 18.79 0.125250 0.128058 0.130945 0.133897 0.136916 46.46 48.57 CITIGROUP GLBL MKTS HOLD 17291QB45 08/15/23 09/13/24 100.000 0.000 6.1360 0.170444 0.171258 0.176512 23.27 44.10 CITIGROUP GLBL MKTS HOLD 17291RUX8 08/08/23 11/08/24 100.000 0.000 5.6310 0.156417 0.158619 0.163085 22.48 49.50 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17291RV33 09/06/23 03/05/26 100.000 0.000 5.3870 0.149639 0.153647 0.157786 17.21 55.54 CITIGROUP GLBL MKTS HOLD 17291RUR1 09/06/23 09/05/25 100.000 0.000 5.4560 0.151556 0.155667 0.159914 17.43 56.27 CITIGROUP GLBL MKTS HOLD 17330PJH3 07/26/22 07/24/25 100.000 0.000 4.6560 20.05 0.129333 0.132311 0.135391 0.138543 0.141768 48.05 50.31 CITIGROUP GLBL MKTS HOLD 17291RWK4 08/31/23 03/05/25 100.000 0.000 5.7380 0.159389 0.159516 0.164092 0.168800 19.30 59.33 CITIGROUP GLBL MKTS HOLD 17291RVT6 08/31/23 09/03/30 100.000 0.000 5.4170 0.150472 0.150540 0.154618 0.158805 18.22 55.90 CITIGROUP GLBL MKTS HOLD 17291QBL7 08/31/23 03/05/25 100.000 0.000 5.7380 0.159389 0.159516 0.164092 0.168800 19.30 59.33 CITIGROUP GLBL MKTS HOLD 17291RW40 08/16/23 09/16/24 100.000 0.000 5.6597 0.157214 0.157955 0.162425 21.30 41.08 CITIGROUP GLBL MKTS HOLD 17330P3K3 07/06/22 07/03/25 100.000 0.000 4.6360 22.54 0.128778 0.131713 0.134766 0.137890 0.141086 47.95 50.20 CITIGROUP GLBL MKTS HOLD 17330PD55 07/29/22 01/30/25 100.000 0.000 4.3620 18.42 0.121167 0.123824 0.126525 0.129284 0.132104 44.91 46.89 CITIGROUP GLBL MKTS HOLD 17291Q7A6 08/23/23 02/21/25 100.000 0.000 5.6020 0.155611 0.159921 0.164401 19.92 57.94 CITIGROUP GLBL MKTS HOLD 17291Q6X7 08/23/23 08/23/28 100.000 0.000 5.5240 0.153444 0.157683 0.162038 19.64 57.10 CITIGROUP GLBL MKTS HOLD 17291Q6U3 08/22/23 08/20/26 100.000 0.000 5.4850 0.152361 0.156493 0.160785 19.65 56.70 CITIGROUP GLBL MKTS HOLD 17330PCA5 07/28/22 07/30/24 100.000 0.000 4.2350 18.00 0.117667 0.120158 0.122703 0.125301 43.57 26.11 CITIGROUP GLBL MKTS HOLD 17330PCG2 07/08/22 07/14/23 100.000 0.000 3.9220 18.86 0.109016 0.111153 21.42 CITIGROUP GLBL MKTS HOLD 17330PCM9 08/02/22 07/31/25 100.000 0.000 4.3040 17.81 0.119556 0.122100 0.124727 0.127412 0.130153 44.28 46.20 CITIGROUP GLBL MKTS HOLD 17291RZL9 08/31/23 12/04/24 100.000 0.000 5.8640 0.162889 0.165383 0.170232 19.78 55.95 CITIGROUP GLBL MKTS HOLD 17291QFA7 09/13/23 09/11/25 100.000 0.000 5.5040 0.152889 0.157050 0.161372 16.51 56.72 CITIGROUP GLBL MKTS HOLD 17291RZG0 08/31/23 03/05/26 100.000 0.000 5.5330 0.153694 0.153813 0.158068 0.162441 18.61 57.14 CITIGROUP GLBL MKTS HOLD 17291RYZ9 08/31/23 09/03/26 100.000 0.000 5.4950 0.152639 0.152709 0.156904 0.161215 18.48 56.73 CITIGROUP GLBL MKTS HOLD 17291RYV8 08/31/23 06/02/26 100.000 0.000 5.5530 0.154250 0.156439 0.160782 0.165247 18.73 57.36 CITIGROUP GLBL MKTS HOLD 17330PES4 07/29/22 01/30/25 100.000 0.000 4.3620 18.42 0.121167 0.123824 0.126525 0.129284 0.132104 44.91 46.89 CITIGROUP GLBL MKTS HOLD 17330PV63 07/29/22 01/30/25 100.000 0.000 4.3620 18.42 0.121167 0.123824 0.126525 0.129284 0.132104 44.91 46.89 CITIGROUP GLBL MKTS HOLD 1730T0AK5 05/15/06 05/15/36 11.570 0.000 7.3200 266.72 0.077038 0.079858 0.082781 0.085810 0.088951 28.51 30.63 CITIGROUP GLBL MKTS HOLD 1730T0TK5 05/30/13 05/30/33 100.000 VARIES 4.1925 353.82 0.107943 0.109659 0.111412 0.113201 0.114567 39.28 40.53 CITIGROUP GLBL MKTS HOLD 1730T0BT5 02/14/07 02/14/37 100.000 VARIES 5.8404 897.54 0.157837 0.157936 0.158037 0.158141 0.158249 56.87 56.94 CITIGROUP GLBL MKTS HOLD 1730T03J6 12/29/14 12/29/34 100.000 VARIES 4.3208 327.66 0.116726 0.117414 0.118117 0.118856 0.119612 42.15 42.66 CITIGROUP GLBL MKTS HOLD 1730T0KZ1 11/09/10 11/09/30 100.000 VARIES 5.5699 577.82 0.137271 0.138498 0.139760 0.141056 0.142389 49.77 50.68 CITIGROUP GLBL MKTS HOLD 1730T0KV0 11/19/10 11/19/30 100.000 VARIES 5.1246 574.82 0.134317 0.134730 0.135153 0.135587 0.136032 48.46 48.77 CITIGROUP GLBL MKTS HOLD 1730T0HN2 04/29/10 04/29/30 100.000 VARIES 5.9942 658.94 0.148474 0.149697 0.150892 0.152123 0.153391 53.82 54.70 CITIGROUP GLBL MKTS HOLD 1730T0GY9 04/28/09 04/28/24 100.000 VARIES 8.1832 1029.74 0.221359 0.223274 0.225268 80.28 26.36 CITIGROUP GLBL MKTS HOLD 17327TZ82 01/31/20 02/02/27 100.000 0.000 2.6047 78.49 0.077198 0.078204 0.079222 0.080254 0.081299 28.27 29.02 CITIGROUP GLBL MKTS HOLD 17324CHZ2 04/28/17 04/28/27 100.000 VARIES 2.7213 16.49 0.008197 0.008309 0.008422 0.008537 0.008653 2.99 3.07 CITIGROUP GLBL MKTS HOLD 17330AE24 02/23/22 02/22/27 100.000 0.000 2.8508 24.54 0.080312 0.081457 0.082618 0.083796 0.084990 29.42 30.26 CITIGROUP GLBL MKTS HOLD 17328VYS3 07/06/20 07/05/24 100.000 0.000 1.2060 30.35 0.034315 0.034522 0.034730 0.034940 12.46 6.43 CITIGROUP GLBL MKTS HOLD 17330AE57 02/28/22 02/26/27 100.000 0.000 2.8999 24.55 0.081708 0.082892 0.084094 0.085313 0.086550 29.93 30.80 CITIGROUP GLBL MKTS HOLD 17329QCY4 08/04/21 08/03/28 100.000 0.000 1.8322 26.03 0.051828 0.052303 0.052782 0.053265 0.053753 18.88 19.23 CITIGROUP GLBL MKTS HOLD 17328VYQ7 07/31/20 08/02/27 100.000 0.000 1.5241 37.42 0.043645 0.043978 0.044313 0.044651 0.044991 15.87 16.11 CITIGROUP GLBL MKTS HOLD 17329QCW8 08/31/21 08/31/28 100.000 0.000 1.9013 25.62 0.053822 0.054328 0.054851 0.055369 0.055898 19.59 19.97 CITIGROUP GLBL MKTS HOLD 17330L454 04/05/22 04/05/29 100.000 0.000 3.6383 27.04 0.102902 0.104774 0.106680 0.108621 0.110597 37.71 39.09 CITIGROUP GLBL MKTS HOLD 17329FCW2 05/26/21 05/27/26 100.000 0.000 1.4552 23.43 0.041311 0.041612 0.041915 0.042220 0.042527 14.95 15.16 CITIGROUP GLBL MKTS HOLD 17328YQV9 02/19/21 02/19/41 100.000 VARIES 2.8472 52.52 0.077114 0.076511 0.075965 0.075481 0.075059 27.50 27.14 CITIGROUP GLBL MKTS HOLD 17330F2B6 04/11/22 08/09/24 100.000 0.000 3.6974 26.88 0.103951 0.105872 0.107830 0.109823 38.32 23.87 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17328VHM5 03/31/20 07/01/24 100.000 0.000 3.2340 92.37 0.098132 0.098132 0.101331 0.101331 35.61 18.24 CITIGROUP GLBL MKTS HOLD 17329QD72 08/31/21 08/31/28 100.000 0.000 1.9013 25.62 0.053822 0.054328 0.054851 0.055369 0.055898 19.59 19.97 CITIGROUP GLBL MKTS HOLD 17329FTY0 08/04/21 08/04/26 100.000 0.000 1.4752 20.92 0.041583 0.041890 0.042199 0.042510 0.042824 15.12 15.34 CITIGROUP GLBL MKTS HOLD 17328YRG1 03/31/21 03/30/28 100.000 0.000 2.0694 36.76 0.059286 0.059899 0.060519 0.061145 0.061778 21.57 22.01 CITIGROUP GLBL MKTS HOLD 17328YRC0 04/06/21 04/06/26 100.000 0.000 1.6533 29.01 0.047075 0.047464 0.047856 0.048252 0.048651 17.08 17.37 CITIGROUP GLBL MKTS HOLD 17327THY5 11/01/19 11/01/24 100.000 0.000 2.5315 82.94 0.075832 0.076791 0.077763 0.078748 27.59 23.51 CITIGROUP GLBL MKTS HOLD 17329FUE2 07/01/21 12/31/26 100.000 0.000 1.7520 26.51 0.049954 0.050392 0.050833 0.051279 0.051728 18.06 18.38 CITIGROUP GLBL MKTS HOLD 17328VYX2 06/30/20 06/30/27 100.000 0.000 1.7917 45.65 0.052038 0.052505 0.052975 0.053450 0.053928 18.82 19.16 CITIGROUP GLBL MKTS HOLD 17329B848 04/21/21 05/07/26 100.000 0.000 1.5037 25.72 0.042747 0.043068 0.043392 0.043718 0.044047 15.48 15.72 CITIGROUP GLBL MKTS HOLD 17327TZF6 10/31/19 05/03/23 100.000 0.000 2.3404 76.55 0.069726 8.51 CITIGROUP GLBL MKTS HOLD 17328YRL0 04/06/21 04/06/26 100.000 0.000 1.6533 29.01 0.047075 0.047464 0.047856 0.048252 0.048651 17.08 17.37 CITIGROUP GLBL MKTS HOLD 17329UPX3 02/03/22 02/04/27 100.000 0.000 2.4354 22.31 0.068480 0.069314 0.070158 0.071012 0.071877 25.05 25.66 CITIGROUP GLBL MKTS HOLD 17329F3J1 04/28/21 10/28/26 100.000 0.000 1.7233 29.17 0.049118 0.049541 0.049968 0.050399 0.050833 17.81 18.12 CITIGROUP GLBL MKTS HOLD 17330FC25 04/22/22 04/23/26 100.000 2.600 4.0001 27.82 0.113350 0.112728 0.114983 0.114394 0.116681 40.80 41.40 CITIGROUP GLBL MKTS HOLD 17330A3B6 03/02/22 03/02/29 100.000 0.000 3.0668 25.63 0.086494 0.087820 0.089167 0.090534 0.091922 31.69 32.67 CITIGROUP GLBL MKTS HOLD 17330FSR3 05/11/22 05/11/27 100.000 0.000 4.4129 28.33 0.125286 0.128051 0.130876 0.133764 0.136715 45.88 47.93 CITIGROUP GLBL MKTS HOLD 17330A3D2 02/25/22 02/25/27 100.000 0.000 2.8609 24.46 0.080605 0.081758 0.082928 0.084114 0.085317 29.52 30.37 CITIGROUP GLBL MKTS HOLD 17328WLC0 09/30/20 09/30/27 100.000 0.000 1.5842 36.20 0.045417 0.045777 0.046139 0.046505 0.046873 16.48 16.74 CITIGROUP GLBL MKTS HOLD 17329F3G7 05/05/21 05/05/26 100.000 0.000 1.5643 26.14 0.044479 0.044827 0.045178 0.045531 0.045887 16.11 16.37 CITIGROUP GLBL MKTS HOLD 17324CJ64 04/28/17 04/28/27 100.000 VARIES 2.8252 27.12 0.013152 0.013338 0.013526 0.013717 0.013911 4.79 4.93 CITIGROUP GLBL MKTS HOLD 17329QE89 09/02/21 03/04/27 100.000 0.000 1.6633 22.29 0.046978 0.047369 0.047763 0.048160 0.048561 17.07 17.36 CITIGROUP GLBL MKTS HOLD 17328YAT1 01/12/21 01/10/25 100.000 0.000 0.8580 17.01 0.024141 0.024245 0.024349 0.024453 0.024558 8.75 8.82 CITIGROUP GLBL MKTS HOLD 17328YB37 01/06/21 01/08/29 100.000 0.000 1.5840 31.83 0.045059 0.045415 0.045775 0.046138 0.046503 16.41 16.67 CITIGROUP GLBL MKTS HOLD 17329FE42 06/30/21 06/29/28 100.000 0.000 1.9800 30.05 0.056646 0.057207 0.057774 0.058346 0.058923 20.50 20.90 CITIGROUP GLBL MKTS HOLD 17329F3P7 04/30/21 05/02/28 100.000 0.000 2.0793 35.15 0.059586 0.060206 0.060832 0.061464 0.062103 21.64 22.09 CITIGROUP GLBL MKTS HOLD 17329FE26 06/30/21 06/30/27 100.000 0.000 1.7920 27.17 0.051128 0.051586 0.052048 0.052514 0.052985 18.49 18.82 CITIGROUP GLBL MKTS HOLD 17327TH41 02/03/20 02/02/23 100.000 0.000 2.1983 65.72 0.064489 2.00 CITIGROUP GLBL MKTS HOLD 17328WJT6 08/12/20 08/12/25 100.000 0.000 1.0971 26.45 0.031149 0.031320 0.031492 0.031665 0.031838 11.29 11.42 CITIGROUP GLBL MKTS HOLD 17327T6P6 03/04/20 08/31/23 100.000 0.000 1.7725 51.13 0.051446 0.051897 12.38 CITIGROUP GLBL MKTS HOLD 17330AU34 03/31/22 04/03/29 100.000 0.000 3.8243 28.98 0.108295 0.110366 0.112476 0.114627 0.116819 39.73 41.26 CITIGROUP GLBL MKTS HOLD 17327TXT8 09/10/19 09/10/24 100.000 0.250 2.3208 79.07 0.068591 0.069306 0.070030 0.070762 24.98 17.57 CITIGROUP GLBL MKTS HOLD 17330ACR1 02/25/22 02/25/32 100.000 VARIES 2.3569 19.92 0.064605 0.063730 0.064411 0.064795 0.064913 23.08 23.32 CITIGROUP GLBL MKTS HOLD 17328VXW5 07/06/20 07/06/28 100.000 0.000 1.8910 47.91 0.054544 0.055059 0.055580 0.056106 0.056636 19.91 20.29 CITIGROUP GLBL MKTS HOLD 17328VY79 08/05/20 08/05/25 100.000 0.000 1.2061 29.35 0.034319 0.034526 0.034734 0.034943 0.035154 12.45 12.60 CITIGROUP GLBL MKTS HOLD 17329Q2K5 07/20/21 07/19/29 100.000 0.000 2.0691 30.24 0.058668 0.059275 0.059888 0.060507 0.061133 21.43 21.87 CITIGROUP GLBL MKTS HOLD 17328VYC8 06/30/20 06/30/27 100.000 0.000 1.7917 45.65 0.052038 0.052505 0.052975 0.053450 0.053928 18.82 19.16 CITIGROUP GLBL MKTS HOLD 17330FAM3 04/29/22 04/29/37 100.000 VARIES 2.3669 15.75 0.063107 0.060435 0.059194 0.059401 0.059611 21.99 21.37 CITIGROUP GLBL MKTS HOLD 17328WKC1 09/21/20 09/21/27 100.000 0.000 1.4782 34.12 0.042289 0.042601 0.042916 0.043233 0.043553 15.34 15.57 CITIGROUP GLBL MKTS HOLD 17326YLW4 12/11/18 12/11/25 100.000 VARIES 3.4423 19.91 0.013624 0.013859 0.014097 0.014340 0.014587 4.96 5.13 CITIGROUP GLBL MKTS HOLD 17328YQH0 02/26/21 02/28/28 100.000 0.000 1.7232 32.21 0.049120 0.049543 0.049970 0.050401 0.050835 17.86 18.17 CITIGROUP GLBL MKTS HOLD 17329FCF9 04/30/21 10/30/26 100.000 0.000 1.7623 29.73 0.050259 0.050702 0.051148 0.051599 0.052054 18.23 18.55 CITIGROUP GLBL MKTS HOLD 17329FCV4 06/30/21 06/29/28 100.000 0.000 1.9800 30.05 0.056646 0.057207 0.057774 0.058346 0.058923 20.50 20.90 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17325E804 04/12/17 12/12/24 100.000 0.000 3.3138 206.86 0.110896 0.112733 0.114601 0.116500 40.32 39.42 CITIGROUP GLBL MKTS HOLD 17329FTW4 08/04/21 08/04/26 100.000 0.000 1.4752 20.92 0.041583 0.041890 0.042199 0.042510 0.042824 15.12 15.34 CITIGROUP GLBL MKTS HOLD 17328VHK9 04/03/20 04/05/23 100.000 0.000 2.2190 62.45 0.065143 6.12 CITIGROUP GLBL MKTS HOLD 17329FD68 05/28/21 12/01/26 100.000 0.000 1.6332 26.23 0.046492 0.046872 0.047255 0.047640 0.048029 16.83 17.10 CITIGROUP GLBL MKTS HOLD 17329QU65 10/05/21 10/05/26 100.000 0.000 1.6533 20.62 0.046689 0.047075 0.047464 0.047856 0.048252 16.94 17.23 CITIGROUP GLBL MKTS HOLD 17329FD43 06/30/21 06/29/28 100.000 0.000 1.9800 30.05 0.056646 0.057207 0.057774 0.058346 0.058923 20.50 20.90 CITIGROUP GLBL MKTS HOLD 17330ATK8 04/01/22 04/01/27 100.000 0.000 3.6877 27.83 0.104325 0.106248 0.108207 0.110203 0.112235 38.25 39.68 CITIGROUP GLBL MKTS HOLD 17328YQP2 03/03/21 03/05/29 100.000 0.000 2.0693 38.36 0.059290 0.059903 0.060523 0.061149 0.061782 21.60 22.05 CITIGROUP GLBL MKTS HOLD 17330FAW1 04/26/22 04/26/32 100.000 VARIES 2.6165 17.69 0.070907 0.069109 0.069286 0.069466 0.069648 25.10 25.00 CITIGROUP GLBL MKTS HOLD 17324CHQ2 05/03/17 05/03/27 100.000 VARIES 2.7384 21.88 0.010774 0.010921 0.011071 0.011223 0.011376 3.92 4.03 CITIGROUP GLBL MKTS HOLD 17330ATL6 03/18/22 03/18/37 100.000 VARIES 4.0501 31.83 0.112378 0.112321 0.112316 0.112310 0.112306 40.44 40.43 CITIGROUP GLBL MKTS HOLD 17328YQN7 01/29/21 01/31/28 100.000 0.000 1.4841 28.83 0.042152 0.042464 0.042779 0.043097 0.043417 15.33 15.55 CITIGROUP GLBL MKTS HOLD 17330AFT4 02/15/22 02/15/37 100.000 VARIES 2.0896 18.19 0.056910 0.055763 0.056346 0.056821 0.057058 20.20 20.47 CITIGROUP GLBL MKTS HOLD 17330AWT5 03/08/22 03/08/29 100.000 0.000 3.0178 24.70 0.085092 0.086376 0.087679 0.089002 0.090345 31.16 32.10 CITIGROUP GLBL MKTS HOLD 17328VJW1 06/30/20 06/30/27 100.000 0.000 1.8120 46.18 0.052655 0.053132 0.053613 0.054099 0.054589 19.04 19.39 CITIGROUP GLBL MKTS HOLD 17324CKB1 07/06/17 07/06/27 100.000 VARIES 2.8475 28.51 0.014095 0.014295 0.014499 0.014705 0.014915 5.18 5.33 CITIGROUP GLBL MKTS HOLD 17330F4C2 04/21/22 04/22/27 100.000 0.000 4.0709 28.43 0.115396 0.117745 0.120142 0.122587 0.125082 42.29 44.03 CITIGROUP GLBL MKTS HOLD 17329QWA4 10/04/21 04/03/25 100.000 0.000 1.2163 15.17 0.034196 0.034404 0.034614 0.034824 0.035036 12.38 12.54 CITIGROUP GLBL MKTS HOLD 17328VK58 05/19/20 11/18/27 100.000 0.000 2.4153 64.85 0.071238 0.072099 0.072969 0.073851 0.074742 25.88 26.50 CITIGROUP GLBL MKTS HOLD 17330AWY4 03/23/22 03/23/27 100.000 0.000 3.3824 26.28 0.095545 0.097161 0.098804 0.100475 0.102174 35.01 36.20 CITIGROUP GLBL MKTS HOLD 17330F4G3 05/06/22 05/08/24 100.000 0.000 3.9750 26.07 0.112635 0.114874 0.117157 41.19 14.88 CITIGROUP GLBL MKTS HOLD 17329F4Z4 04/28/21 10/28/26 100.000 0.000 1.7233 29.17 0.049118 0.049541 0.049968 0.050399 0.050833 17.81 18.12 CITIGROUP GLBL MKTS HOLD 17329QFJ4 09/30/21 04/01/27 100.000 0.000 1.7523 22.11 0.049536 0.049970 0.050407 0.050849 0.051295 17.99 18.31 CITIGROUP GLBL MKTS HOLD 17328WND6 11/04/20 11/04/25 100.000 0.000 1.2962 28.28 0.036947 0.037187 0.037428 0.037670 0.037915 13.37 13.55 CITIGROUP GLBL MKTS HOLD 17330F4L2 04/29/22 04/30/26 100.000 2.200 4.1669 28.16 0.118185 0.118101 0.120562 0.120527 0.123038 42.67 43.54 CITIGROUP GLBL MKTS HOLD 17328Y2F0 12/28/20 12/26/25 100.000 0.000 1.1170 22.62 0.031725 0.031902 0.032080 0.032260 0.032440 11.45 11.58 CITIGROUP GLBL MKTS HOLD 17330FEL1 04/28/22 04/30/24 100.000 0.000 3.8571 26.17 0.109230 0.111337 0.113484 39.96 13.50 CITIGROUP GLBL MKTS HOLD 17329FFH2 04/19/21 04/20/28 100.000 0.000 2.1036 36.23 0.060299 0.060933 0.061574 0.062222 0.062876 21.91 22.38 CITIGROUP GLBL MKTS HOLD 17328Y2D5 11/24/20 11/24/27 100.000 0.000 1.5489 32.98 0.044375 0.044718 0.045065 0.045414 0.045765 16.06 16.31 CITIGROUP GLBL MKTS HOLD 17328YTF1 03/01/21 02/27/26 100.000 0.000 1.1861 21.92 0.033534 0.033732 0.033933 0.034134 0.034336 12.16 12.30 CITIGROUP GLBL MKTS HOLD 17330AGB2 03/01/22 08/27/27 100.000 0.000 3.0769 25.80 0.086755 0.088090 0.089445 0.090821 0.092219 31.81 32.79 CITIGROUP GLBL MKTS HOLD 17328YCP7 01/29/21 01/30/31 100.000 0.000 2.0301 39.60 0.058131 0.058721 0.059317 0.059919 0.060527 21.21 21.65 CITIGROUP GLBL MKTS HOLD 17328YTQ7 03/23/21 09/23/24 100.000 0.000 1.0472 18.69 0.029548 0.029703 0.029859 0.030015 10.70 7.85 CITIGROUP GLBL MKTS HOLD 17324CKS4 07/28/17 01/30/23 100.000 0.500 2.8926 166.59 0.090627 2.63 CITIGROUP GLBL MKTS HOLD 17328YCM4 01/29/21 01/30/31 100.000 0.000 2.0301 39.60 0.058131 0.058721 0.059317 0.059919 0.060527 21.21 21.65 CITIGROUP GLBL MKTS HOLD 17329F5L4 04/30/21 04/30/27 100.000 0.000 1.8423 31.10 0.052603 0.053087 0.053576 0.054070 0.054568 19.08 19.44 CITIGROUP GLBL MKTS HOLD 17328Y2W3 12/28/20 12/26/25 100.000 0.000 1.1170 22.62 0.031725 0.031902 0.032080 0.032260 0.032440 11.45 11.58 CITIGROUP GLBL MKTS HOLD 17329FFZ2 05/28/21 05/31/28 100.000 0.000 1.9802 31.87 0.056661 0.057222 0.057789 0.058361 0.058939 20.53 20.94 CITIGROUP GLBL MKTS HOLD 17328WNR5 12/03/20 12/04/25 100.000 0.000 1.1771 24.69 0.033474 0.033671 0.033869 0.034069 0.034269 12.10 12.24 CITIGROUP GLBL MKTS HOLD 17330F3Y5 04/22/22 04/22/37 100.000 VARIES 4.9654 34.01 0.133078 0.128106 0.128406 0.128714 0.128420 46.69 46.28 CITIGROUP GLBL MKTS HOLD 17328Y2T0 12/24/20 12/27/27 100.000 0.000 1.4840 30.31 0.042465 0.042780 0.043098 0.043417 0.043739 15.35 15.58 CITIGROUP GLBL MKTS HOLD 17328Y2S2 12/24/20 12/27/27 100.000 0.000 1.4840 30.31 0.042465 0.042780 0.043098 0.043417 0.043739 15.35 15.58 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17329F5V2 04/30/21 05/02/28 100.000 0.000 2.0793 35.15 0.059586 0.060206 0.060832 0.061464 0.062103 21.64 22.09 CITIGROUP GLBL MKTS HOLD 17329QEA4 09/30/21 10/02/28 100.000 0.000 1.9703 24.88 0.055821 0.056371 0.056927 0.057488 0.058054 20.29 20.69 CITIGROUP GLBL MKTS HOLD 17328VZX1 07/06/20 07/05/24 100.000 0.000 1.2060 30.35 0.034315 0.034522 0.034730 0.034940 12.46 6.43 CITIGROUP GLBL MKTS HOLD 17330FDA6 04/13/22 04/11/25 100.000 0.000 3.7088 26.73 0.104910 0.106855 0.108837 0.110855 0.112911 38.43 39.87 CITIGROUP GLBL MKTS HOLD 17330AF56 02/28/22 02/28/29 100.000 0.000 3.0477 25.81 0.085949 0.087259 0.088589 0.089938 0.091309 31.50 32.47 CITIGROUP GLBL MKTS HOLD 17330AVU3 03/29/22 09/27/24 100.000 0.000 3.3938 25.79 0.095855 0.097482 0.099136 0.100818 35.11 26.67 CITIGROUP GLBL MKTS HOLD 17328WLU0 10/05/20 10/03/25 100.000 0.000 1.2962 29.35 0.036946 0.037185 0.037426 0.037669 0.037913 13.39 13.56 CITIGROUP GLBL MKTS HOLD 17324CZZ2 08/31/17 02/28/23 100.000 0.000 2.7931 159.55 0.089113 5.08 CITIGROUP GLBL MKTS HOLD 17328VZR4 07/31/20 08/02/27 100.000 0.000 1.5241 37.42 0.043645 0.043978 0.044313 0.044651 0.044991 15.87 16.11 CITIGROUP GLBL MKTS HOLD 17329FVK7 06/16/21 06/16/31 100.000 VARIES 2.0752 31.67 0.055963 0.055391 0.055231 0.055207 0.055295 20.03 19.88 CITIGROUP GLBL MKTS HOLD 17329UQT1 01/31/22 01/29/27 100.000 0.000 2.3464 21.69 0.065938 0.066711 0.067494 0.068286 0.069087 24.11 24.68 CITIGROUP GLBL MKTS HOLD 17326YNT9 03/29/19 04/01/24 100.000 0.000 3.2016 126.73 0.099407 0.100998 0.102615 36.36 9.24 CITIGROUP GLBL MKTS HOLD 17329FEG5 06/09/21 06/09/33 100.000 VARIES 2.0633 31.44 0.053459 0.052148 0.050056 0.048861 0.048438 18.93 17.77 CITIGROUP GLBL MKTS HOLD 17326YNS1 03/29/19 04/01/24 100.000 0.500 3.2003 125.81 0.097965 0.099088 0.100674 35.71 9.06 CITIGROUP GLBL MKTS HOLD 17329FED2 06/02/21 06/01/26 100.000 0.000 1.4151 22.54 0.040148 0.040432 0.040718 0.041006 0.041297 14.52 14.73 CITIGROUP GLBL MKTS HOLD 17329F4C5 04/15/21 04/17/31 100.000 0.000 2.6134 45.45 0.075489 0.076475 0.077474 0.078487 0.079512 27.50 28.22 CITIGROUP GLBL MKTS HOLD 17328YBB9 02/03/21 02/03/26 100.000 0.000 1.0671 20.55 0.030118 0.030279 0.030441 0.030603 0.030766 10.92 11.04 CITIGROUP GLBL MKTS HOLD 17328VZZ6 08/05/20 08/05/25 100.000 0.000 1.2061 29.35 0.034319 0.034526 0.034734 0.034943 0.035154 12.45 12.60 CITIGROUP GLBL MKTS HOLD 17330F2N0 03/31/22 03/31/37 100.000 VARIES 2.2180 16.48 0.059214 0.056790 0.055880 0.056499 0.057126 20.58 20.34 CITIGROUP GLBL MKTS HOLD 17328YBM5 12/21/20 12/21/40 100.000 VARIES 2.5695 50.62 0.067530 0.067175 0.066857 0.066581 0.066339 24.24 24.01 CITIGROUP GLBL MKTS HOLD 17329FVL5 07/30/21 07/31/31 100.000 0.000 2.2282 31.96 0.063281 0.063986 0.064698 0.065419 0.066148 23.12 23.64 CITIGROUP GLBL MKTS HOLD 17330FTV3 05/17/22 05/15/25 100.000 0.000 4.1696 26.05 0.118210 0.120675 0.123190 0.125759 0.128381 43.23 45.05 CITIGROUP GLBL MKTS HOLD 17328WMR6 11/30/20 11/30/27 100.000 0.000 1.4941 31.54 0.042757 0.043077 0.043398 0.043723 0.044049 15.47 15.70 CITIGROUP GLBL MKTS HOLD 17328YSW5 02/22/21 02/22/41 100.000 VARIES 2.8536 51.93 0.075982 0.075256 0.074604 0.074044 0.073566 27.05 26.62 CITIGROUP GLBL MKTS HOLD 17329QVX5 09/15/21 09/15/33 100.000 VARIES 1.7790 22.72 0.047817 0.047314 0.046975 0.046748 0.046602 17.03 16.83 CITIGROUP GLBL MKTS HOLD 17330F2Z3 04/25/22 10/24/24 100.000 0.000 3.8764 26.63 0.109754 0.111882 0.114050 0.116261 40.18 33.81 CITIGROUP GLBL MKTS HOLD 17328YSU9 02/26/21 02/26/41 100.000 VARIES 2.9720 53.33 0.077224 0.075214 0.073412 0.071582 0.070832 26.96 25.78 CITIGROUP GLBL MKTS HOLD 17329FF74 05/26/21 05/26/27 100.000 0.000 1.7422 28.10 0.049670 0.050103 0.050539 0.050979 0.051423 17.99 18.30 CITIGROUP GLBL MKTS HOLD 17329F4R2 04/28/21 04/27/28 100.000 0.000 2.0693 35.10 0.059281 0.059894 0.060514 0.061140 0.061773 21.53 21.98 CITIGROUP GLBL MKTS HOLD 17329F4Q4 05/05/21 05/05/26 100.000 0.000 1.5643 26.14 0.044479 0.044827 0.045178 0.045531 0.045887 16.11 16.37 CITIGROUP GLBL MKTS HOLD 17328WML9 11/30/20 11/30/27 100.000 0.000 1.4941 31.54 0.042757 0.043077 0.043398 0.043723 0.044049 15.47 15.70 CITIGROUP GLBL MKTS HOLD 17328YT38 02/26/21 02/26/31 100.000 VARIES 1.6111 29.38 0.043038 0.042174 0.041553 0.041155 0.040950 15.15 14.81 CITIGROUP GLBL MKTS HOLD 17328V3K4 04/14/20 04/11/25 100.000 1.000 2.6920 74.63 0.078419 0.078727 0.079786 0.080112 0.081191 28.39 28.89 CITIGROUP GLBL MKTS HOLD 17328W6M5 07/22/20 07/22/24 100.000 0.000 1.1071 27.32 0.031439 0.031613 0.031788 0.031964 11.40 6.42 CITIGROUP GLBL MKTS HOLD 17329FQ56 06/09/21 06/09/31 100.000 0.000 2.5442 40.26 0.073403 0.074336 0.075282 0.076240 0.077210 26.63 27.32 CITIGROUP GLBL MKTS HOLD 17329QPS3 09/29/21 09/29/33 100.000 VARIES 1.7595 21.80 0.047283 0.046722 0.046375 0.046174 0.046069 16.84 16.63 CITIGROUP GLBL MKTS HOLD 17328YN26 02/24/21 08/22/24 100.000 0.000 0.6991 13.02 0.019622 0.019691 0.019760 0.019829 7.09 4.58 CITIGROUP GLBL MKTS HOLD 17326W282 03/05/19 03/04/26 100.000 0.000 3.7445 152.39 0.118425 0.120642 0.122901 0.125202 0.127546 43.56 45.20 CITIGROUP GLBL MKTS HOLD 17328VUJ7 05/19/20 05/19/25 100.000 0.000 1.9503 52.11 0.056869 0.057424 0.057984 0.058549 0.059120 20.62 21.02 CITIGROUP GLBL MKTS HOLD 17328WXK9 11/02/20 02/02/26 100.000 0.000 1.3450 29.44 0.038249 0.038507 0.038766 0.039026 0.039289 13.89 14.08 CITIGROUP GLBL MKTS HOLD 17328WXL7 12/03/20 12/04/25 100.000 0.000 1.1771 24.69 0.033474 0.033671 0.033869 0.034069 0.034269 12.10 12.24 CITIGROUP GLBL MKTS HOLD 17326X595 11/15/18 11/14/23 100.000 0.000 4.0525 180.16 0.132150 0.134828 41.84 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17328VE55 04/01/20 10/02/23 100.000 0.000 2.8014 79.53 0.083428 0.084596 22.82 CITIGROUP GLBL MKTS HOLD 17327TV86 12/20/19 12/23/26 100.000 0.170 2.6310 82.26 0.078676 0.079649 0.080635 0.081634 0.082645 28.51 29.22 CITIGROUP GLBL MKTS HOLD 17328V3S7 03/31/20 10/01/25 100.000 0.000 3.3432 95.60 0.100903 0.102590 0.104305 0.106049 0.107821 36.93 38.18 CITIGROUP GLBL MKTS HOLD 17327T3P9 02/05/20 02/03/23 100.000 0.000 2.1859 65.22 0.064104 2.05 CITIGROUP GLBL MKTS HOLD 17327TUT1 11/29/19 05/30/25 100.000 0.000 2.5704 82.10 0.077092 0.078082 0.079086 0.080102 0.081132 27.99 28.72 CITIGROUP GLBL MKTS HOLD 17327T3Q7 02/28/20 05/31/23 100.000 0.000 1.8421 53.51 0.053823 8.02 CITIGROUP GLBL MKTS HOLD 17327T3N4 02/28/20 05/31/23 100.000 0.000 1.8421 53.51 0.053823 8.02 CITIGROUP GLBL MKTS HOLD 17324CDY9 01/31/17 01/31/24 100.000 0.000 3.3783 219.36 0.112826 0.114732 0.116670 41.54 3.38 CITIGROUP GLBL MKTS HOLD 17328WYB8 10/26/20 04/25/24 100.000 0.000 0.8781 19.29 0.024823 0.024932 0.025041 8.97 2.85 CITIGROUP GLBL MKTS HOLD 17324CED4 02/16/17 02/16/27 100.000 VARIES 2.9107 28.05 0.013139 0.013330 0.013524 0.013721 0.013920 4.82 4.96 CITIGROUP GLBL MKTS HOLD 17329ULR0 10/29/21 10/29/41 98.000 VARIES 2.9484 32.73 0.072746 0.072201 0.071672 0.071334 0.071012 26.02 25.70 CITIGROUP GLBL MKTS HOLD 17329ULQ2 12/23/21 12/26/28 100.000 0.000 2.1480 22.08 0.060967 0.061622 0.062284 0.062953 0.063629 22.07 22.55 CITIGROUP GLBL MKTS HOLD 17328YND2 03/02/21 05/29/26 100.000 0.000 1.3451 24.85 0.038246 0.038503 0.038762 0.039022 0.039285 13.83 14.02 CITIGROUP GLBL MKTS HOLD 17328VUY4 04/30/20 05/01/25 100.000 0.000 2.2185 60.68 0.065125 0.065847 0.066578 0.067316 0.068063 23.66 24.19 CITIGROUP GLBL MKTS HOLD 17328W6Y9 08/21/20 02/23/24 100.000 0.000 0.8681 20.67 0.024537 0.024643 0.024750 8.88 1.29 CITIGROUP GLBL MKTS HOLD 17328VEE6 03/31/20 03/29/23 100.000 0.000 2.7726 78.77 0.082499 7.26 CITIGROUP GLBL MKTS HOLD 17328V4B3 04/13/20 10/12/23 100.000 0.000 2.6242 73.42 0.077798 0.078818 22.05 CITIGROUP GLBL MKTS HOLD 17330AQB1 03/28/22 03/29/27 100.000 0.000 3.5696 27.23 0.100935 0.102736 0.104570 0.106436 0.108336 37.00 38.33 CITIGROUP GLBL MKTS HOLD 17329FQL1 05/28/21 05/28/27 100.000 0.000 1.7232 27.69 0.049114 0.049537 0.049964 0.050395 0.050829 17.79 18.09 CITIGROUP GLBL MKTS HOLD 17328W7B8 09/03/20 09/05/25 100.000 0.000 1.1571 27.23 0.032895 0.033086 0.033277 0.033470 0.033663 11.92 12.06 CITIGROUP GLBL MKTS HOLD 17328WFL7 08/31/20 08/31/27 100.000 0.000 1.4942 35.39 0.042759 0.043075 0.043400 0.043723 0.044051 15.53 15.76 CITIGROUP GLBL MKTS HOLD 17328WFH6 09/11/20 03/13/24 100.000 0.000 0.8181 19.00 0.023100 0.023195 0.023289 8.35 1.68 CITIGROUP GLBL MKTS HOLD 17329UJX0 11/29/21 05/27/27 100.000 0.000 2.0993 23.01 0.059537 0.060162 0.060794 0.061432 0.062077 21.59 22.04 CITIGROUP GLBL MKTS HOLD 17328YLL6 02/26/21 02/28/28 100.000 0.000 1.7232 32.21 0.049120 0.049543 0.049970 0.050401 0.050835 17.86 18.17 CITIGROUP GLBL MKTS HOLD 17328WX60 10/30/20 11/01/27 100.000 0.000 1.5642 34.39 0.044827 0.045178 0.045531 0.045887 0.046246 16.24 16.50 CITIGROUP GLBL MKTS HOLD 17326YYH3 05/31/19 12/04/24 100.000 0.000 3.1681 119.34 0.098271 0.099827 0.101409 0.103015 35.74 34.06 CITIGROUP GLBL MKTS HOLD 17330APT3 03/31/22 04/03/29 100.000 0.000 3.8243 28.98 0.108295 0.110366 0.112476 0.114627 0.116819 39.73 41.26 CITIGROUP GLBL MKTS HOLD 17328VCM0 03/31/20 04/01/27 100.000 0.000 3.4611 99.11 0.104762 0.106575 0.108420 0.110296 0.112205 38.37 39.71 CITIGROUP GLBL MKTS HOLD 17324CCV6 12/13/16 12/13/46 100.000 VARIES 0.8469 28.72 0.013421 0.013411 0.013401 0.013391 0.013381 4.83 4.82 CITIGROUP GLBL MKTS HOLD 17328YME1 03/03/21 03/03/26 100.000 0.000 1.3652 25.19 0.038704 0.038969 0.039235 0.039502 0.039772 14.04 14.24 CITIGROUP GLBL MKTS HOLD 17324CDA1 12/30/16 01/02/24 100.000 0.000 3.3300 219.27 0.112792 40.94 0.11 CITIGROUP GLBL MKTS HOLD 17328VTY6 05/20/20 05/20/27 100.000 0.000 2.2283 59.64 0.065423 0.066152 0.066889 0.067635 0.068388 23.74 24.28 CITIGROUP GLBL MKTS HOLD 17329FPC2 05/28/21 12/01/26 100.000 0.000 1.6332 26.23 0.046492 0.046872 0.047255 0.047640 0.048029 16.83 17.10 CITIGROUP GLBL MKTS HOLD 17329FPB4 06/02/21 06/01/26 100.000 0.000 1.4151 22.54 0.040148 0.040432 0.040718 0.041006 0.041297 14.52 14.73 CITIGROUP GLBL MKTS HOLD 17328VD64 04/15/20 03/31/25 100.000 0.000 2.4947 69.55 0.073651 0.074570 0.075500 0.076442 0.077395 26.85 27.52 CITIGROUP GLBL MKTS HOLD 17329UKJ9 12/15/21 06/15/27 100.000 0.000 2.0491 21.53 0.058093 0.058688 0.059290 0.059897 0.060511 21.04 21.47 CITIGROUP GLBL MKTS HOLD 17328WFW3 09/30/20 06/30/26 100.000 0.000 1.4250 32.51 0.040869 0.041160 0.041453 0.041749 0.042046 14.77 14.98 CITIGROUP GLBL MKTS HOLD 17328WXE3 10/23/20 10/25/27 100.000 0.000 1.5742 34.93 0.045125 0.045480 0.045838 0.046199 0.046562 16.36 16.61 CITIGROUP GLBL MKTS HOLD 17330FNN7 05/11/22 05/11/27 100.000 0.000 4.4129 28.33 0.125286 0.128051 0.130876 0.133764 0.136715 45.88 47.93 CITIGROUP GLBL MKTS HOLD 17330FNQ0 05/12/22 05/12/37 100.000 VARIES 5.1635 32.73 0.141037 0.138583 0.136065 0.133482 0.132648 50.09 48.35 CITIGROUP GLBL MKTS HOLD 17329UNE7 02/01/22 07/30/27 100.000 0.000 2.4554 22.63 0.069037 0.069885 0.070743 0.071611 0.072491 25.26 25.89 CITIGROUP GLBL MKTS HOLD 17328WZR2 10/30/20 11/01/27 100.000 0.000 1.5642 34.39 0.044827 0.045178 0.045531 0.045887 0.046246 16.24 16.50 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17329QS84 09/30/21 10/02/28 100.000 0.000 1.9703 24.88 0.055821 0.056371 0.056927 0.057488 0.058054 20.29 20.69 CITIGROUP GLBL MKTS HOLD 17329FS96 06/30/21 06/30/33 100.000 VARIES 2.0721 30.52 0.054131 0.052965 0.050636 0.049172 0.048644 19.27 17.96 CITIGROUP GLBL MKTS HOLD 17327TWP7 10/02/19 10/02/23 100.000 0.000 2.3580 79.11 0.070272 0.071101 19.19 CITIGROUP GLBL MKTS HOLD 17330L223 04/05/22 04/04/29 100.000 0.000 3.6386 27.04 0.102901 0.104773 0.106679 0.108620 0.110596 37.71 39.09 CITIGROUP GLBL MKTS HOLD 17327TX84 02/04/20 02/04/25 100.000 0.000 2.4251 72.63 0.071549 0.072416 0.073295 0.074183 0.075083 26.17 26.81 CITIGROUP GLBL MKTS HOLD 17328VWV8 05/05/20 05/05/25 100.000 0.000 1.9904 54.01 0.058096 0.058674 0.059258 0.059848 0.060443 21.08 21.51 CITIGROUP GLBL MKTS HOLD 17327TFW1 09/30/19 09/30/25 100.000 0.000 2.5748 86.80 0.077226 0.078221 0.079227 0.080247 0.081281 28.16 28.89 CITIGROUP GLBL MKTS HOLD 17330FAF8 04/27/22 04/28/25 100.000 0.000 4.1792 28.48 0.118530 0.121007 0.123535 0.126117 0.128752 43.43 45.27 CITIGROUP GLBL MKTS HOLD 17328WJ58 09/30/20 12/31/26 100.000 0.000 1.5240 34.80 0.043805 0.044139 0.044475 0.044814 0.045155 15.83 16.07 CITIGROUP GLBL MKTS HOLD 17326X819 01/04/19 01/05/26 100.000 0.000 4.1130 176.47 0.131762 0.134472 0.137237 0.140059 0.142940 48.89 50.92 CITIGROUP GLBL MKTS HOLD 17329QT42 10/01/21 04/01/27 100.000 0.000 1.7824 22.44 0.050396 0.050846 0.051299 0.051756 0.052217 18.30 18.63 CITIGROUP GLBL MKTS HOLD 17330ABF8 02/28/22 02/28/29 100.000 0.000 3.0477 25.81 0.085949 0.087259 0.088589 0.089938 0.091309 31.50 32.47 CITIGROUP GLBL MKTS HOLD 17330FA68 04/08/22 04/10/25 100.000 0.000 3.5215 25.87 0.099561 0.101314 0.103098 0.104913 0.106761 36.44 37.74 CITIGROUP GLBL MKTS HOLD 17327TXH4 10/02/19 10/02/24 100.000 0.000 2.4893 83.67 0.074475 0.075402 0.076340 0.077290 27.14 20.86 CITIGROUP GLBL MKTS HOLD 17329FSP0 07/30/21 02/01/27 100.000 0.000 1.6132 23.07 0.045538 0.045905 0.046275 0.046649 0.047025 16.57 16.84 CITIGROUP GLBL MKTS HOLD 17327T6F8 03/02/20 08/31/23 100.000 0.000 2.1027 61.01 0.061537 0.062176 14.82 CITIGROUP GLBL MKTS HOLD 17328VXE5 07/01/20 07/01/25 100.000 0.000 1.4940 37.91 0.043074 0.043074 0.043719 0.043719 0.044375 15.56 15.80 CITIGROUP GLBL MKTS HOLD 17330ASK9 03/31/22 04/03/29 100.000 0.000 3.8243 28.98 0.108295 0.110366 0.112476 0.114627 0.116819 39.73 41.26 CITIGROUP GLBL MKTS HOLD 17328WJG4 09/21/20 09/21/27 100.000 0.000 1.4782 34.12 0.042289 0.042601 0.042916 0.043233 0.043553 15.34 15.57 CITIGROUP GLBL MKTS HOLD 17328WHP6 09/30/20 03/31/28 100.000 0.000 1.7012 38.91 0.048885 0.049301 0.049721 0.050143 0.050570 17.75 18.05 CITIGROUP GLBL MKTS HOLD 17330ARL8 03/25/22 09/25/25 100.000 0.000 3.5212 27.16 0.099533 0.101286 0.103069 0.104884 0.106730 36.49 37.78 CITIGROUP GLBL MKTS HOLD 17328WHM3 08/31/20 05/29/26 100.000 0.000 1.3060 30.89 0.037356 0.037600 0.037846 0.038093 0.038342 13.51 13.68 CITIGROUP GLBL MKTS HOLD 17328WYN2 11/30/20 11/30/27 100.000 0.000 1.4941 31.54 0.042757 0.043077 0.043398 0.043723 0.044049 15.47 15.70 CITIGROUP GLBL MKTS HOLD 17329QQS2 09/29/21 09/29/33 100.000 VARIES 1.7344 21.58 0.047082 0.046437 0.045836 0.045398 0.045216 16.72 16.36 CITIGROUP GLBL MKTS HOLD 17329QR36 10/29/21 10/31/28 100.000 0.000 2.2084 26.09 0.062710 0.063403 0.064103 0.064810 0.065526 22.79 23.29 CITIGROUP GLBL MKTS HOLD 17327TF92 01/31/20 02/02/23 100.000 0.000 2.2035 66.08 0.064665 2.00 CITIGROUP GLBL MKTS HOLD 17327T4W3 12/24/19 12/24/24 100.000 0.000 2.4008 74.72 0.071638 0.072498 0.073369 0.074249 25.96 26.06 CITIGROUP GLBL MKTS HOLD 17330AAT9 02/28/22 08/27/26 100.000 0.000 2.8110 23.79 0.079173 0.080286 0.081414 0.082559 0.083719 28.98 29.80 CITIGROUP GLBL MKTS HOLD 17328VF62 04/03/20 04/05/23 100.000 0.000 2.2190 62.45 0.065143 6.12 CITIGROUP GLBL MKTS HOLD 17330AAS1 02/28/22 08/28/25 100.000 0.000 2.6531 22.45 0.074675 0.075666 0.076669 0.077686 0.078717 27.31 28.04 CITIGROUP GLBL MKTS HOLD 17330AS94 03/23/22 03/23/27 100.000 0.000 3.3824 26.28 0.095545 0.097161 0.098804 0.100475 0.102174 35.01 36.20 CITIGROUP GLBL MKTS HOLD 17327TET9 12/02/19 12/02/24 100.000 0.000 2.4449 77.74 0.073048 0.073941 0.074845 0.075760 26.51 24.94 CITIGROUP GLBL MKTS HOLD 17328VEP1 03/31/20 03/31/25 100.000 0.750 3.2898 93.40 0.097779 0.098702 0.100326 0.101291 0.102957 35.59 36.52 CITIGROUP GLBL MKTS HOLD 17328VW22 07/06/20 07/03/25 100.000 0.000 1.4650 36.96 0.041895 0.042202 0.042512 0.042823 0.043137 15.25 15.47 CITIGROUP GLBL MKTS HOLD 17329FRK2 07/06/21 07/06/26 100.000 0.000 1.5640 23.42 0.044128 0.044473 0.044820 0.045171 0.045524 16.07 16.32 CITIGROUP GLBL MKTS HOLD 17330AQZ8 03/31/22 04/02/27 100.000 0.000 3.7567 28.46 0.106336 0.108333 0.110368 0.112441 0.114553 39.00 40.48 CITIGROUP GLBL MKTS HOLD 17329QRJ1 09/30/21 10/02/28 100.000 0.000 1.9703 24.88 0.055821 0.056371 0.056927 0.057488 0.058054 20.29 20.69 CITIGROUP GLBL MKTS HOLD 17325K776 08/03/17 02/05/24 100.000 0.000 3.0276 176.58 0.097749 0.099229 0.100731 35.89 3.42 CITIGROUP GLBL MKTS HOLD 17329QRG7 10/29/21 10/31/28 100.000 0.000 2.2084 26.09 0.062710 0.063403 0.064103 0.064810 0.065526 22.79 23.29 CITIGROUP GLBL MKTS HOLD 17329FAD6 04/30/21 05/01/31 100.000 0.000 2.5734 43.63 0.074283 0.075238 0.076206 0.077187 0.078180 27.03 27.73 CITIGROUP GLBL MKTS HOLD 17324CFE1 03/10/17 03/10/27 100.000 VARIES 2.9100 22.96 0.010879 0.011037 0.011198 0.011361 0.011526 3.98 4.10 CITIGROUP GLBL MKTS HOLD 17328V5E6 04/15/20 03/31/25 100.000 0.000 2.4947 69.55 0.073651 0.074570 0.075500 0.076442 0.077395 26.85 27.52 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17325K792 09/14/17 09/14/23 100.000 0.000 2.8890 164.12 0.092627 0.093965 23.68 CITIGROUP GLBL MKTS HOLD 17330ARG9 04/05/22 04/05/27 100.000 0.000 3.5796 26.60 0.101213 0.103024 0.104868 0.106745 0.108656 37.08 38.42 CITIGROUP GLBL MKTS HOLD 17329FRM8 06/30/21 12/31/26 100.000 0.000 1.7230 26.12 0.049109 0.049532 0.049958 0.050389 0.050823 17.76 18.06 CITIGROUP GLBL MKTS HOLD 17329FAK0 04/21/21 04/21/31 100.000 0.000 2.5734 44.30 0.074278 0.075234 0.076202 0.077182 0.078175 27.05 27.75 CITIGROUP GLBL MKTS HOLD 17329UGY1 12/23/21 12/26/28 100.000 0.000 2.1480 22.08 0.060967 0.061622 0.062284 0.062953 0.063629 22.07 22.55 CITIGROUP GLBL MKTS HOLD 17328VQB9 05/20/20 05/20/25 100.000 0.000 1.9603 52.32 0.057175 0.057736 0.058302 0.058873 0.059450 20.73 21.14 CITIGROUP GLBL MKTS HOLD 17329U6U0 11/24/21 11/22/24 100.000 0.000 1.3362 14.80 0.037613 0.037864 0.038117 0.038372 13.61 12.28 CITIGROUP GLBL MKTS HOLD 17327TQA7 09/04/19 03/03/23 100.000 0.000 2.1796 74.76 0.064610 4.01 CITIGROUP GLBL MKTS HOLD 17329UGR6 12/27/21 12/24/26 100.000 0.000 1.8910 19.22 0.053518 0.054024 0.054535 0.055051 0.055571 19.36 19.73 CITIGROUP GLBL MKTS HOLD 17328VQN3 04/29/20 04/29/25 100.000 0.000 2.2376 61.28 0.065710 0.066445 0.067189 0.067940 0.068700 23.88 24.42 CITIGROUP GLBL MKTS HOLD 17330AMH2 03/31/22 01/02/26 100.000 0.000 3.6961 28.00 0.103638 0.105553 0.107504 0.109490 0.111514 38.35 39.78 CITIGROUP GLBL MKTS HOLD 17328VQM5 05/19/20 11/17/23 100.000 0.000 1.6533 44.03 0.047851 0.048247 15.19 CITIGROUP GLBL MKTS HOLD 17328YZV9 03/17/21 03/17/31 100.000 VARIES 1.6101 28.38 0.043405 0.043262 0.043215 0.043246 0.043336 15.58 15.58 CITIGROUP GLBL MKTS HOLD 17329QM56 09/03/21 09/03/26 100.000 0.000 1.4843 19.84 0.041844 0.042154 0.042467 0.042782 0.043100 15.19 15.42 CITIGROUP GLBL MKTS HOLD 17329UYA3 12/17/21 06/20/25 100.000 0.000 1.6041 16.74 0.045282 0.045645 0.046011 0.046380 0.046752 16.37 16.64 CITIGROUP GLBL MKTS HOLD 17328WCK2 10/05/20 10/03/25 100.000 0.000 1.2962 29.35 0.036946 0.037185 0.037426 0.037669 0.037913 13.39 13.56 CITIGROUP GLBL MKTS HOLD 17329UGZ8 12/27/21 12/24/26 100.000 0.000 1.8910 19.22 0.053518 0.054024 0.054535 0.055051 0.055571 19.36 19.73 CITIGROUP GLBL MKTS HOLD 17328W2G2 07/31/20 02/02/26 100.000 0.000 1.3551 33.22 0.038675 0.038937 0.039201 0.039467 0.039734 14.05 14.24 CITIGROUP GLBL MKTS HOLD 17328VA59 03/24/20 09/22/23 100.000 0.000 4.1210 119.66 0.126732 0.129343 33.55 CITIGROUP GLBL MKTS HOLD 17327TA55 03/02/20 08/29/25 100.000 0.000 2.1805 63.32 0.063931 0.064625 0.065333 0.066045 0.066765 23.31 23.82 CITIGROUP GLBL MKTS HOLD 17328WTW8 12/03/20 12/04/25 100.000 0.000 1.1771 24.69 0.033474 0.033671 0.033869 0.034069 0.034269 12.10 12.24 CITIGROUP GLBL MKTS HOLD 17328VR44 05/29/20 05/30/25 100.000 0.000 1.9013 50.22 0.055374 0.055900 0.056432 0.056968 0.057510 20.06 20.45 CITIGROUP GLBL MKTS HOLD 17328VQS2 04/30/20 05/01/25 100.000 0.000 2.2285 60.96 0.065435 0.066164 0.066901 0.067647 0.068400 23.78 24.31 CITIGROUP GLBL MKTS HOLD 17326Y4G8 04/26/19 04/27/29 100.000 2.000 3.7071 140.99 0.110630 0.110621 0.112671 0.112700 0.114789 39.95 40.69 CITIGROUP GLBL MKTS HOLD 17329QLZ1 09/30/21 10/02/28 100.000 0.000 1.9703 24.88 0.055821 0.056371 0.056927 0.057488 0.058054 20.29 20.69 CITIGROUP GLBL MKTS HOLD 17328WU48 10/23/20 10/25/27 100.000 0.000 1.5475 34.33 0.044335 0.044678 0.045024 0.045372 0.045723 16.07 16.32 CITIGROUP GLBL MKTS HOLD 17329UHD6 11/26/21 11/28/28 100.000 0.000 2.1392 23.63 0.060708 0.061358 0.062014 0.062677 0.063348 22.02 22.49 CITIGROUP GLBL MKTS HOLD 17329UZ61 01/31/22 01/31/29 100.000 0.000 2.5733 23.80 0.072401 0.073333 0.074276 0.075232 0.076200 26.52 27.20 CITIGROUP GLBL MKTS HOLD 17328YJG0 01/29/21 01/31/29 100.000 0.000 1.6831 32.75 0.047946 0.048349 0.048756 0.049167 0.049580 17.46 17.75 CITIGROUP GLBL MKTS HOLD 17329UYU9 01/31/22 01/29/27 100.000 0.000 2.3464 21.69 0.065938 0.066711 0.067494 0.068286 0.069087 24.11 24.68 CITIGROUP GLBL MKTS HOLD 17326YF68 03/29/19 03/28/24 100.000 0.000 3.1838 125.99 0.098770 0.100342 0.101939 36.13 8.87 CITIGROUP GLBL MKTS HOLD 17328W2Y3 08/05/20 08/04/28 100.000 0.000 1.5941 38.94 0.045708 0.046072 0.046440 0.046810 0.047183 16.63 16.89 CITIGROUP GLBL MKTS HOLD 17329U5V9 12/23/21 12/26/28 100.000 0.000 2.1480 22.08 0.060967 0.061622 0.062284 0.062953 0.063629 22.07 22.55 CITIGROUP GLBL MKTS HOLD 17329FKL7 05/28/21 05/31/28 100.000 0.000 1.9802 31.87 0.056661 0.057222 0.057789 0.058361 0.058939 20.53 20.94 CITIGROUP GLBL MKTS HOLD 17326YU95 03/13/19 03/13/26 100.000 0.000 3.6227 146.22 0.114106 0.116173 0.118277 0.120419 0.122601 41.90 43.43 CITIGROUP GLBL MKTS HOLD 17330FJN2 04/08/22 04/09/26 100.000 0.000 3.5900 26.38 0.101522 0.103344 0.105199 0.107087 0.109010 37.18 38.52 CITIGROUP GLBL MKTS HOLD 17326YTV8 09/25/18 09/25/23 100.000 1.000 3.1087 138.44 0.094074 0.095536 25.10 CITIGROUP GLBL MKTS HOLD 17328Y7E8 01/29/21 01/29/27 100.000 0.000 1.2761 24.76 0.036130 0.036360 0.036592 0.036826 0.037061 13.12 13.29 CITIGROUP GLBL MKTS HOLD 17328WBA5 09/30/20 09/30/30 100.000 0.000 2.0203 46.34 0.058420 0.059010 0.059606 0.060208 0.060817 21.25 21.68 CITIGROUP GLBL MKTS HOLD 17329U5Q0 11/26/21 11/28/28 100.000 0.000 2.1392 23.63 0.060708 0.061358 0.062014 0.062677 0.063348 22.02 22.49 CITIGROUP GLBL MKTS HOLD 17328Y7D0 12/21/20 06/20/24 100.000 0.000 0.7780 15.87 0.021949 0.022034 0.022120 7.92 3.74 CITIGROUP GLBL MKTS HOLD 17328YYU2 03/31/21 03/31/31 100.000 VARIES 1.6136 27.61 0.041899 0.040919 0.040389 0.040232 0.040376 14.77 14.51 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17328YHR8 02/18/21 05/15/26 100.000 0.000 1.1860 22.36 0.033631 0.033831 0.034032 0.034233 0.034436 12.16 12.31 CITIGROUP GLBL MKTS HOLD 17328VPK0 07/01/20 04/01/24 100.000 0.000 1.2260 31.04 0.035005 0.035220 0.035436 12.68 3.19 CITIGROUP GLBL MKTS HOLD 17330FJX0 05/02/22 04/30/27 100.000 0.000 4.2079 28.08 0.119318 0.121829 0.124392 0.127009 0.129681 43.72 45.57 CITIGROUP GLBL MKTS HOLD 17329UG96 10/29/21 04/29/27 100.000 0.000 2.1885 25.86 0.062129 0.062809 0.063496 0.064191 0.064893 22.57 23.07 CITIGROUP GLBL MKTS HOLD 17328WC71 09/18/20 12/18/25 100.000 0.000 1.2660 29.28 0.036180 0.036409 0.036640 0.036872 0.037105 13.07 13.24 CITIGROUP GLBL MKTS HOLD 17327TPT7 09/30/19 03/30/23 100.000 0.000 2.3505 78.99 0.070033 6.23 CITIGROUP GLBL MKTS HOLD 17329UXG1 01/28/22 07/30/25 100.000 0.000 1.9804 18.40 0.055561 0.056111 0.056667 0.057228 0.057795 20.27 20.67 CITIGROUP GLBL MKTS HOLD 17328YHY3 01/29/21 01/29/41 100.000 VARIES 2.6993 51.37 0.073435 0.072961 0.072520 0.072124 0.071768 26.21 25.92 CITIGROUP GLBL MKTS HOLD 17328YHW7 02/26/21 02/26/27 100.000 0.000 1.4752 27.53 0.041891 0.042200 0.042511 0.042825 0.043141 15.21 15.44 CITIGROUP GLBL MKTS HOLD 17329QKY5 09/03/21 09/03/33 100.000 VARIES 1.7822 23.23 0.047408 0.047000 0.046727 0.046546 0.046434 16.91 16.75 CITIGROUP GLBL MKTS HOLD 17324CQ74 12/20/17 06/21/23 100.000 0.000 2.9374 158.00 0.094409 16.05 CITIGROUP GLBL MKTS HOLD 17329FL93 05/21/21 05/21/31 100.000 VARIES 2.1464 34.21 0.057947 0.057377 0.057221 0.057216 0.057332 20.73 20.60 CITIGROUP GLBL MKTS HOLD 17324CQ90 01/30/18 01/30/23 100.000 0.000 3.1864 168.28 0.102042 2.96 CITIGROUP GLBL MKTS HOLD 17328YHU1 02/26/21 02/27/31 100.000 0.000 2.3173 43.49 0.066637 0.067409 0.068190 0.068980 0.069779 24.32 24.89 CITIGROUP GLBL MKTS HOLD 17329U6P1 10/22/21 10/22/36 100.000 VARIES 2.7993 32.65 0.073294 0.072359 0.071440 0.071044 0.070664 26.09 25.59 CITIGROUP GLBL MKTS HOLD 17330FJC6 03/31/22 03/31/37 100.000 VARIES 2.1578 16.08 0.058189 0.056419 0.057028 0.057643 0.058265 20.52 20.75 CITIGROUP GLBL MKTS HOLD 17328VPY0 06/03/20 12/04/23 100.000 0.000 1.5242 39.92 0.043979 0.044314 14.71 CITIGROUP GLBL MKTS HOLD 17330FJH5 04/29/22 04/29/27 100.000 0.000 4.2270 28.57 0.119898 0.122432 0.125020 0.127662 0.130360 43.94 45.81 CITIGROUP GLBL MKTS HOLD 17328WBY3 08/31/20 03/02/28 100.000 0.000 1.4842 35.15 0.042467 0.042783 0.043100 0.043420 0.043742 15.42 15.65 CITIGROUP GLBL MKTS HOLD 17328VPV6 05/20/20 05/18/28 100.000 0.000 2.3763 63.71 0.070015 0.070847 0.071688 0.072540 0.073402 25.43 26.03 CITIGROUP GLBL MKTS HOLD 17328WSY5 10/30/20 11/01/27 100.000 0.000 1.5642 34.39 0.044827 0.045178 0.045531 0.045887 0.046246 16.24 16.50 CITIGROUP GLBL MKTS HOLD 17328WVK1 11/04/20 11/04/25 100.000 0.000 1.2962 28.28 0.036947 0.037187 0.037428 0.037670 0.037915 13.37 13.55 CITIGROUP GLBL MKTS HOLD 17327TSJ6 10/31/19 10/31/25 100.000 0.000 2.6129 85.78 0.078459 0.079484 0.080522 0.081574 0.082640 28.56 29.31 CITIGROUP GLBL MKTS HOLD 17328VSB7 06/03/20 06/05/28 100.000 0.000 2.2772 60.12 0.066948 0.067710 0.068481 0.069261 0.070049 24.28 24.83 CITIGROUP GLBL MKTS HOLD 17325E242 01/05/17 07/03/24 100.000 0.000 3.3441 219.72 0.111460 0.113324 0.115219 0.117146 41.13 21.32 CITIGROUP GLBL MKTS HOLD 17328W4Q8 07/31/20 08/02/27 100.000 0.000 1.5441 37.92 0.044236 0.044577 0.044922 0.045268 0.045618 16.09 16.34 CITIGROUP GLBL MKTS HOLD 17328WEQ7 09/30/20 09/30/25 100.000 0.000 1.2862 29.31 0.036656 0.036892 0.037129 0.037368 0.037608 13.28 13.45 CITIGROUP GLBL MKTS HOLD 17328WVS4 10/30/20 07/30/26 100.000 0.000 1.3950 30.63 0.039706 0.039983 0.040262 0.040543 0.040825 14.43 14.63 CITIGROUP GLBL MKTS HOLD 17330AP55 04/05/22 04/05/27 100.000 0.000 3.5796 26.60 0.101213 0.103024 0.104868 0.106745 0.108656 37.08 38.42 CITIGROUP GLBL MKTS HOLD 17329QNT3 10/05/21 10/05/26 100.000 0.000 1.6533 20.62 0.046689 0.047075 0.047464 0.047856 0.048252 16.94 17.23 CITIGROUP GLBL MKTS HOLD 17330AP48 03/17/22 03/12/26 100.000 0.000 3.1664 25.13 0.089311 0.090725 0.092161 0.093620 0.095102 32.72 33.76 CITIGROUP GLBL MKTS HOLD 17328VSX9 06/22/20 06/22/28 100.000 0.000 2.4751 64.09 0.073113 0.074018 0.074934 0.075861 0.076800 26.50 27.16 CITIGROUP GLBL MKTS HOLD 17328W4W5 08/03/20 05/02/24 100.000 0.000 1.0070 24.52 0.028612 0.028756 0.028901 10.34 3.50 CITIGROUP GLBL MKTS HOLD 17329UJJ1 11/26/21 11/27/26 100.000 0.000 1.8613 20.54 0.052671 0.053161 0.053656 0.054155 0.054659 19.08 19.44 CITIGROUP GLBL MKTS HOLD 17328VSU5 04/29/20 10/27/23 100.000 0.000 1.9316 52.72 0.056291 0.056835 16.76 CITIGROUP GLBL MKTS HOLD 17327TT63 01/31/20 02/02/23 100.000 0.000 2.2035 66.08 0.064665 2.00 CITIGROUP GLBL MKTS HOLD 17327TSV9 08/14/19 08/13/26 100.000 0.000 2.5545 89.62 0.076568 0.077546 0.078536 0.079540 0.080556 28.01 28.73 CITIGROUP GLBL MKTS HOLD 17328WF60 09/03/20 09/05/25 100.000 0.000 1.1571 27.23 0.032895 0.033086 0.033277 0.033470 0.033663 11.92 12.06 CITIGROUP GLBL MKTS HOLD 17326YY59 03/01/19 03/03/25 100.000 1.000 3.5616 142.94 0.108837 0.109786 0.111741 0.112742 0.114749 39.69 40.76 CITIGROUP GLBL MKTS HOLD 17330FLS8 05/06/22 05/08/24 100.000 0.000 3.9650 26.00 0.112346 0.114573 0.116845 41.08 14.84 CITIGROUP GLBL MKTS HOLD 17328WUG1 10/01/20 01/02/26 100.000 0.000 1.3750 31.32 0.039123 0.039392 0.039663 0.039936 0.040210 14.23 14.43 CITIGROUP GLBL MKTS HOLD 17325K263 07/06/17 01/03/24 100.000 0.000 3.1136 184.72 0.100912 0.102483 0.104079 37.17 0.21 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17329FML5 06/30/21 06/30/31 100.000 0.000 2.3860 36.29 0.068678 0.069498 0.070327 0.071166 0.072015 24.87 25.47 CITIGROUP GLBL MKTS HOLD 17328W3C0 07/20/20 07/18/25 100.000 0.000 1.3751 34.11 0.039255 0.039525 0.039797 0.040071 0.040346 14.27 14.47 CITIGROUP GLBL MKTS HOLD 17328WUD8 10/30/20 02/01/27 100.000 0.000 1.4941 32.83 0.042599 0.042917 0.043238 0.043561 0.043886 15.49 15.72 CITIGROUP GLBL MKTS HOLD 17330FM81 05/09/22 05/08/25 100.000 0.000 4.2771 27.70 0.121334 0.123929 0.126579 0.129286 0.132051 44.43 46.35 CITIGROUP GLBL MKTS HOLD 17329QMJ6 08/06/21 08/06/26 100.000 0.000 1.4152 19.98 0.039868 0.040150 0.040434 0.040721 0.041009 14.49 14.69 CITIGROUP GLBL MKTS HOLD 17327TRQ1 07/31/19 01/30/25 100.000 0.000 2.8012 99.81 0.084584 0.085768 0.086970 0.088188 0.089423 31.02 31.90 CITIGROUP GLBL MKTS HOLD 17328YJX3 02/26/21 02/28/28 100.000 0.000 1.7232 32.21 0.049120 0.049543 0.049970 0.050401 0.050835 17.86 18.17 CITIGROUP GLBL MKTS HOLD 17328YJV7 03/03/21 03/03/26 100.000 0.000 1.3652 25.19 0.038704 0.038969 0.039235 0.039502 0.039772 14.04 14.24 CITIGROUP GLBL MKTS HOLD 17330ANM0 03/17/22 03/12/26 100.000 0.000 3.1664 25.13 0.089311 0.090725 0.092161 0.093620 0.095102 32.72 33.76 CITIGROUP GLBL MKTS HOLD 17324P784 10/05/16 04/03/24 100.000 0.000 2.6555 178.93 0.086400 0.087547 0.088709 31.51 8.16 CITIGROUP GLBL MKTS HOLD 17328W3W6 07/31/20 07/31/25 100.000 0.000 1.2561 30.76 0.035777 0.036002 0.036228 0.036455 0.036684 12.99 13.15 CITIGROUP GLBL MKTS HOLD 17330AMQ2 03/15/22 03/16/37 100.000 VARIES 3.9112 30.94 0.107368 0.106072 0.105898 0.105719 0.105253 38.26 38.02 CITIGROUP GLBL MKTS HOLD 17328VB58 03/31/20 07/01/24 100.000 0.000 3.2340 92.37 0.098132 0.098132 0.101331 0.101331 35.61 18.24 CITIGROUP GLBL MKTS HOLD 17328WV96 12/01/20 03/02/26 100.000 0.000 1.2860 27.08 0.036535 0.036770 0.037007 0.037245 0.037484 13.25 13.42 CITIGROUP GLBL MKTS HOLD 17328VRU6 06/30/20 06/30/25 100.000 0.000 1.5040 38.21 0.043372 0.043698 0.044027 0.044358 0.044692 15.67 15.91 CITIGROUP GLBL MKTS HOLD 17326YFJ0 06/28/19 12/31/24 100.000 0.000 2.6784 97.84 0.081674 0.082768 0.083876 0.085000 29.60 30.31 CITIGROUP GLBL MKTS HOLD 17326YWM4 07/02/19 01/03/23 100.000 0.000 2.5315 91.96 0.075836 0.15 CITIGROUP GLBL MKTS HOLD 17328YK94 02/26/21 02/28/28 100.000 0.000 1.7232 32.21 0.049120 0.049543 0.049970 0.050401 0.050835 17.86 18.17 CITIGROUP GLBL MKTS HOLD 17326YFQ4 04/30/19 10/30/24 100.000 0.000 3.2236 124.54 0.100148 0.101762 0.103402 0.105069 36.54 31.22 CITIGROUP GLBL MKTS HOLD 17330AYY2 04/05/22 04/05/27 100.000 0.000 3.5796 26.60 0.101213 0.103024 0.104868 0.106745 0.108656 37.08 38.42 CITIGROUP GLBL MKTS HOLD 17329Q7D6 09/03/21 09/03/26 100.000 0.000 1.4843 19.84 0.041844 0.042154 0.042467 0.042782 0.043100 15.19 15.42 CITIGROUP GLBL MKTS HOLD 17329QYD6 11/03/21 11/03/26 100.000 0.000 2.0494 23.97 0.058102 0.058697 0.059299 0.059906 0.060520 21.09 21.53 CITIGROUP GLBL MKTS HOLD 17328YEA8 01/29/21 04/30/26 100.000 0.000 1.1770 22.82 0.033375 0.033571 0.033769 0.033968 0.034168 12.07 12.22 CITIGROUP GLBL MKTS HOLD 17329UTN1 01/31/22 01/31/29 100.000 0.000 2.5733 23.80 0.072401 0.073333 0.074276 0.075232 0.076200 26.52 27.20 CITIGROUP GLBL MKTS HOLD 17329FHB3 07/06/21 07/06/26 100.000 0.000 1.5640 23.42 0.044128 0.044473 0.044820 0.045171 0.045524 16.07 16.32 CITIGROUP GLBL MKTS HOLD 17328YEM2 02/03/21 02/05/29 100.000 0.000 1.7231 33.34 0.049118 0.049541 0.049968 0.050398 0.050832 17.88 18.19 CITIGROUP GLBL MKTS HOLD 17328VME7 05/20/20 05/22/28 100.000 0.000 2.3713 63.57 0.069877 0.070706 0.071544 0.072392 0.073250 25.37 25.98 CITIGROUP GLBL MKTS HOLD 17329QHM5 08/31/21 08/31/28 100.000 0.000 1.9013 25.62 0.053822 0.054328 0.054851 0.055369 0.055898 19.59 19.97 CITIGROUP GLBL MKTS HOLD 17329UTY7 02/03/22 02/04/27 100.000 0.000 2.4354 22.31 0.068480 0.069314 0.070158 0.071012 0.071877 25.05 25.66 CITIGROUP GLBL MKTS HOLD 17328WPG7 10/19/20 10/19/27 100.000 0.000 1.5142 33.75 0.043349 0.043677 0.044008 0.044341 0.044677 15.71 15.95 CITIGROUP GLBL MKTS HOLD 17329U2U4 10/06/21 10/05/28 100.000 1.000 2.0590 25.61 0.057804 0.058399 0.058428 0.059030 0.059065 20.97 21.20 CITIGROUP GLBL MKTS HOLD 17329QYM6 10/29/21 10/31/28 100.000 0.000 2.2084 26.09 0.062710 0.063403 0.064103 0.064810 0.065526 22.79 23.29 CITIGROUP GLBL MKTS HOLD 17328YEG5 01/25/21 07/25/24 100.000 0.000 0.7090 13.78 0.019906 0.019976 0.020047 0.020118 7.20 4.10 CITIGROUP GLBL MKTS HOLD 17324CMJ2 09/21/17 09/21/27 100.000 VARIES 2.7273 24.83 0.012767 0.012941 0.013117 0.013296 0.013478 4.66 4.79 CITIGROUP GLBL MKTS HOLD 17329UD40 11/22/21 11/22/33 100.000 VARIES 1.8518 20.29 0.049903 0.049703 0.049639 0.049617 0.049620 17.92 17.87 CITIGROUP GLBL MKTS HOLD 17329F7G3 04/30/21 05/02/28 100.000 0.000 2.0793 35.15 0.059586 0.060206 0.060832 0.061464 0.062103 21.64 22.09 CITIGROUP GLBL MKTS HOLD 17328YET7 12/30/20 12/30/27 100.000 0.000 1.4932 30.24 0.042730 0.043049 0.043371 0.043695 0.044021 15.44 15.67 CITIGROUP GLBL MKTS HOLD 17329FZ72 06/25/21 06/27/29 100.000 0.000 2.1190 32.49 0.060760 0.061404 0.062054 0.062712 0.063376 21.99 22.46 CITIGROUP GLBL MKTS HOLD 17324CMQ6 10/31/17 05/01/23 100.000 0.750 2.8328 153.87 0.087431 10.49 CITIGROUP GLBL MKTS HOLD 17324P248 06/03/16 12/05/23 100.000 0.000 2.8709 206.25 0.095997 0.097375 32.31 CITIGROUP GLBL MKTS HOLD 17330AYL0 04/29/22 05/01/29 100.000 0.000 4.3735 29.57 0.124172 0.126887 0.129662 0.132497 0.135395 45.52 47.53 CITIGROUP GLBL MKTS HOLD 17330AHM7 03/16/22 09/16/24 100.000 0.000 2.9501 23.48 0.083156 0.084383 0.085628 0.086891 30.42 22.06 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17328WPW2 10/30/20 11/01/27 100.000 0.000 1.5642 34.39 0.044827 0.045178 0.045531 0.045887 0.046246 16.24 16.50 CITIGROUP GLBL MKTS HOLD 17326YAH9 07/03/19 07/03/24 100.000 0.000 2.5848 93.90 0.077550 0.078553 0.079568 0.080596 28.46 14.67 CITIGROUP GLBL MKTS HOLD 17328YVZ4 04/06/21 04/06/29 100.000 0.000 2.3564 41.53 0.067797 0.068596 0.069405 0.070222 0.071050 24.69 25.27 CITIGROUP GLBL MKTS HOLD 17330AYV8 03/30/22 03/28/25 100.000 0.000 3.4925 26.45 0.098689 0.100412 0.102166 0.103950 0.105765 36.16 37.44 CITIGROUP GLBL MKTS HOLD 17328WPR3 11/04/20 11/04/25 100.000 0.000 1.2962 28.28 0.036947 0.037187 0.037428 0.037670 0.037915 13.37 13.55 CITIGROUP GLBL MKTS HOLD 17324CLB0 09/01/17 03/03/23 100.000 0.500 2.7655 155.92 0.086092 5.34 CITIGROUP GLBL MKTS HOLD 17330F5C1 04/08/22 04/10/25 100.000 2.000 3.5191 25.85 0.099491 0.099286 0.101033 0.100856 0.102630 35.90 36.47 CITIGROUP GLBL MKTS HOLD 17330AXV9 03/30/22 03/31/27 100.000 0.000 3.5996 27.26 0.101789 0.103621 0.105486 0.107385 0.109317 37.31 38.67 CITIGROUP GLBL MKTS HOLD 17324CLA2 08/02/17 08/02/27 100.000 VARIES 2.7689 24.34 0.012200 0.012369 0.012540 0.012714 0.012890 4.47 4.60 CITIGROUP GLBL MKTS HOLD 17328VKX7 05/05/20 05/04/23 100.000 0.000 1.6435 44.43 0.047557 5.85 CITIGROUP GLBL MKTS HOLD 17328YDA9 01/29/21 01/31/28 100.000 0.000 1.4841 28.83 0.042152 0.042464 0.042779 0.043097 0.043417 15.33 15.55 CITIGROUP GLBL MKTS HOLD 17328VL81 05/20/20 05/20/25 100.000 0.000 1.9603 52.32 0.057175 0.057736 0.058302 0.058873 0.059450 20.73 21.14 CITIGROUP GLBL MKTS HOLD 17330F5D9 04/29/22 04/29/37 100.000 VARIES 4.9132 32.90 0.134370 0.132212 0.130001 0.127735 0.127387 47.71 46.23 CITIGROUP GLBL MKTS HOLD 17329FGA6 05/24/21 11/24/26 100.000 0.000 1.7032 27.56 0.048530 0.048944 0.049361 0.049781 0.050205 17.58 17.88 CITIGROUP GLBL MKTS HOLD 17330F5F4 04/29/22 10/30/25 100.000 0.000 4.1497 28.04 0.117674 0.120116 0.122608 0.125152 0.127749 43.10 44.91 CITIGROUP GLBL MKTS HOLD 17329USL6 12/06/21 12/06/28 100.000 0.000 2.1582 23.23 0.061251 0.061911 0.062580 0.063255 0.063937 22.20 22.68 CITIGROUP GLBL MKTS HOLD 17328VL65 06/03/20 06/03/25 100.000 0.000 1.8512 48.65 0.053847 0.054345 0.054848 0.055356 0.055869 19.50 19.87 CITIGROUP GLBL MKTS HOLD 17328VL40 06/22/20 06/20/25 100.000 0.500 1.4840 37.89 0.042359 0.042468 0.042783 0.042894 0.043212 15.27 15.42 CITIGROUP GLBL MKTS HOLD 17328Y2Y9 12/24/20 03/26/26 100.000 0.000 1.2260 25.00 0.034795 0.035008 0.035223 0.035438 0.035656 12.61 12.76 CITIGROUP GLBL MKTS HOLD 17326E530 01/03/18 01/04/23 100.000 0.000 2.9118 155.32 0.092127 0.28 CITIGROUP GLBL MKTS HOLD 17329Q6K1 08/02/21 02/02/27 100.000 0.000 1.5942 22.71 0.044991 0.045350 0.045712 0.046076 0.046443 16.37 16.63 CITIGROUP GLBL MKTS HOLD 17330FG47 05/04/22 05/02/25 100.000 0.000 4.1400 27.39 0.117354 0.119784 0.122263 0.124794 0.127377 42.97 44.77 CITIGROUP GLBL MKTS HOLD 17330AYG1 04/29/22 05/01/29 100.000 0.000 4.3735 29.57 0.124172 0.126887 0.129662 0.132497 0.135395 45.52 47.53 CITIGROUP GLBL MKTS HOLD 17330FG39 04/27/22 04/25/24 100.000 0.000 3.8181 26.01 0.108060 0.110123 0.112226 39.55 12.79 CITIGROUP GLBL MKTS HOLD 17329QXG0 07/30/21 08/01/28 100.000 0.000 1.8422 26.38 0.052121 0.052601 0.053086 0.053574 0.054068 18.99 19.35 CITIGROUP GLBL MKTS HOLD 17329FY81 06/22/21 06/22/26 100.000 VARIES 2.0841 31.50 0.056667 0.056563 0.056596 0.056731 0.056942 20.38 20.40 CITIGROUP GLBL MKTS HOLD 17329QGU8 08/31/21 03/03/27 100.000 0.000 1.6733 22.52 0.047267 0.047663 0.048062 0.048464 0.048869 17.18 17.47 CITIGROUP GLBL MKTS HOLD 17324P156 05/05/16 11/03/23 100.000 0.000 2.9324 213.82 0.098407 0.099850 29.98 CITIGROUP GLBL MKTS HOLD 17324CLR5 08/17/17 08/17/27 100.000 VARIES 2.6967 25.27 0.012773 0.012946 0.013120 0.013297 0.013476 4.68 4.80 CITIGROUP GLBL MKTS HOLD 17324CLU8 08/25/17 08/25/29 100.000 VARIES 2.5876 13.23 0.006790 0.006878 0.006967 0.007057 0.007148 2.48 2.55 CITIGROUP GLBL MKTS HOLD 17329QH29 08/31/21 08/31/28 100.000 0.000 1.9013 25.62 0.053822 0.054328 0.054851 0.055369 0.055898 19.59 19.97 CITIGROUP GLBL MKTS HOLD 17328VLH1 05/20/20 05/20/25 100.000 0.000 1.9603 52.32 0.057175 0.057736 0.058302 0.058873 0.059450 20.73 21.14 CITIGROUP GLBL MKTS HOLD 17329QXR6 10/20/21 10/20/31 100.000 VARIES 1.7328 20.57 0.047036 0.047080 0.047138 0.047196 0.047255 16.95 16.99 CITIGROUP GLBL MKTS HOLD 17329FH23 05/28/21 05/30/31 100.000 0.000 2.5342 40.91 0.073115 0.074042 0.074980 0.075930 0.076892 26.55 27.22 CITIGROUP GLBL MKTS HOLD 17328Y3M4 12/24/20 12/27/27 100.000 0.000 1.4840 30.31 0.042465 0.042780 0.043098 0.043417 0.043739 15.35 15.58 CITIGROUP GLBL MKTS HOLD 17328YUP7 03/31/21 03/30/28 100.000 0.000 2.0694 36.76 0.059286 0.059899 0.060519 0.061145 0.061778 21.57 22.01 CITIGROUP GLBL MKTS HOLD 17328YDL5 01/25/21 01/25/31 100.000 VARIES 1.4542 27.75 0.039119 0.038551 0.038088 0.037749 0.037531 13.82 13.56 CITIGROUP GLBL MKTS HOLD 17328YUN2 03/01/21 02/27/26 100.000 0.000 1.1861 21.92 0.033534 0.033732 0.033933 0.034134 0.034336 12.16 12.30 CITIGROUP GLBL MKTS HOLD 17329UTG6 01/31/22 01/31/29 100.000 0.000 2.5733 23.80 0.072401 0.073333 0.074276 0.075232 0.076200 26.52 27.20 CITIGROUP GLBL MKTS HOLD 17330A6P2 03/03/22 03/04/27 100.000 0.000 2.9590 24.64 0.083417 0.084651 0.085903 0.087174 0.088464 30.54 31.45 CITIGROUP GLBL MKTS HOLD 17330A6Q0 02/24/22 02/23/26 100.000 0.000 2.6729 22.92 0.075234 0.076240 0.077259 0.078291 0.079338 27.52 28.27 CITIGROUP GLBL MKTS HOLD 17329F6W9 04/28/21 04/26/24 100.000 0.000 0.9482 15.97 0.026713 0.026839 0.026966 9.66 3.10 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330AGQ9 03/03/22 03/04/27 100.000 0.000 2.9590 24.64 0.083417 0.084651 0.085903 0.087174 0.088464 30.54 31.45 CITIGROUP GLBL MKTS HOLD 17329QXY1 10/29/21 04/29/27 100.000 0.000 2.1885 25.86 0.062129 0.062809 0.063496 0.064191 0.064893 22.57 23.07 CITIGROUP GLBL MKTS HOLD 17329QGW4 08/04/21 08/03/28 100.000 0.000 1.8322 26.03 0.051828 0.052303 0.052782 0.053265 0.053753 18.88 19.23 CITIGROUP GLBL MKTS HOLD 17330AY55 04/29/22 05/01/29 100.000 0.000 4.3735 29.57 0.124172 0.126887 0.129662 0.132497 0.135395 45.52 47.53 CITIGROUP GLBL MKTS HOLD 17329F6U3 04/30/21 05/02/28 100.000 0.000 2.0793 35.15 0.059586 0.060206 0.060832 0.061464 0.062103 21.64 22.09 CITIGROUP GLBL MKTS HOLD 17329UF71 11/26/21 11/28/28 100.000 0.000 2.1392 23.63 0.060708 0.061358 0.062014 0.062677 0.063348 22.02 22.49 CITIGROUP GLBL MKTS HOLD 17328WAA6 09/30/20 09/30/27 100.000 0.000 1.5842 36.20 0.045417 0.045777 0.046139 0.046505 0.046873 16.48 16.74 CITIGROUP GLBL MKTS HOLD 17328Y6B5 02/03/21 02/03/26 100.000 0.000 1.0671 20.55 0.030118 0.030279 0.030441 0.030603 0.030766 10.92 11.04 CITIGROUP GLBL MKTS HOLD 17329U4N8 11/26/21 11/28/28 100.000 0.000 2.1392 23.63 0.060708 0.061358 0.062014 0.062677 0.063348 22.02 22.49 CITIGROUP GLBL MKTS HOLD 17326YCA2 04/26/19 04/26/29 100.000 VARIES 3.0551 17.55 0.012570 0.012762 0.012957 0.013155 0.013356 4.58 4.73 CITIGROUP GLBL MKTS HOLD 17329FJR6 06/30/21 06/29/28 100.000 0.000 1.9800 30.05 0.056646 0.057207 0.057774 0.058346 0.058923 20.50 20.90 CITIGROUP GLBL MKTS HOLD 17328YY24 04/06/21 10/05/26 100.000 0.000 1.8324 32.18 0.052309 0.052788 0.053271 0.053760 0.054252 19.00 19.35 CITIGROUP GLBL MKTS HOLD 17328Y6K5 01/12/21 01/10/25 100.000 0.000 0.8580 17.01 0.024141 0.024245 0.024349 0.024453 0.024558 8.75 8.82 CITIGROUP GLBL MKTS HOLD 17329U4U2 11/17/21 11/17/31 100.000 VARIES 1.8560 20.65 0.050187 0.050144 0.050199 0.050277 0.050356 18.06 18.09 CITIGROUP GLBL MKTS HOLD 17328YXX7 03/31/21 03/30/28 100.000 0.000 2.0694 36.76 0.059286 0.059899 0.060519 0.061145 0.061778 21.57 22.01 CITIGROUP GLBL MKTS HOLD 17328YHB3 12/30/20 12/30/27 100.000 0.000 1.4932 30.24 0.042730 0.043049 0.043371 0.043695 0.044021 15.44 15.67 CITIGROUP GLBL MKTS HOLD 17329FKC7 05/28/21 05/31/28 100.000 0.000 1.9802 31.87 0.056661 0.057222 0.057789 0.058361 0.058939 20.53 20.94 CITIGROUP GLBL MKTS HOLD 17328YHA5 01/29/21 01/31/28 100.000 0.000 1.4841 28.83 0.042152 0.042464 0.042779 0.043097 0.043417 15.33 15.55 CITIGROUP GLBL MKTS HOLD 17330AJU7 03/23/22 03/23/26 100.000 0.000 3.4519 26.82 0.097540 0.099223 0.100936 0.102678 0.104450 35.75 36.99 CITIGROUP GLBL MKTS HOLD 17328WRX8 11/30/20 05/30/24 100.000 0.000 0.8281 17.39 0.023385 0.023482 0.023579 8.44 3.51 CITIGROUP GLBL MKTS HOLD 17329UWL1 12/23/21 12/24/26 100.000 0.000 1.9011 19.53 0.053819 0.054330 0.054847 0.055368 0.055895 19.47 19.85 CITIGROUP GLBL MKTS HOLD 17328VP61 05/20/20 05/20/25 100.000 0.000 1.9603 52.32 0.057175 0.057736 0.058302 0.058873 0.059450 20.73 21.14 CITIGROUP GLBL MKTS HOLD 17328WB80 08/21/20 11/21/25 100.000 0.000 1.2860 30.74 0.036769 0.037005 0.037243 0.037483 0.037724 13.30 13.47 CITIGROUP GLBL MKTS HOLD 17329QZJ2 10/29/21 10/31/28 100.000 0.000 2.2084 26.09 0.062710 0.063403 0.064103 0.064810 0.065526 22.79 23.29 CITIGROUP GLBL MKTS HOLD 17329FZJ6 07/30/21 08/01/28 100.000 0.000 1.8422 26.38 0.052121 0.052601 0.053086 0.053574 0.054068 18.99 19.35 CITIGROUP GLBL MKTS HOLD 17328Y5D2 02/02/21 02/02/28 100.000 0.000 1.4841 28.71 0.042150 0.042463 0.042778 0.043095 0.043415 15.32 15.55 CITIGROUP GLBL MKTS HOLD 17329UV24 01/31/22 01/31/29 100.000 0.000 2.5733 23.80 0.072401 0.073333 0.074276 0.075232 0.076200 26.52 27.20 CITIGROUP GLBL MKTS HOLD 17330F7M7 04/21/22 04/23/24 100.000 0.000 3.5326 24.65 0.099880 0.101644 0.103439 36.52 11.59 CITIGROUP GLBL MKTS HOLD 17330F7L9 04/29/22 05/01/25 100.000 0.000 4.0129 27.12 0.113731 0.116013 0.118341 0.120716 0.123138 41.63 43.32 CITIGROUP GLBL MKTS HOLD 17327TMZ6 08/30/19 03/04/25 100.000 0.000 2.1981 75.67 0.065214 0.065930 0.066655 0.067388 0.068128 23.77 24.30 CITIGROUP GLBL MKTS HOLD 17328YFN9 01/29/21 01/31/28 100.000 0.000 1.4841 28.83 0.042152 0.042464 0.042779 0.043097 0.043417 15.33 15.55 CITIGROUP GLBL MKTS HOLD 17327TNH5 07/31/19 02/01/23 100.000 0.000 2.4950 88.50 0.074664 2.24 CITIGROUP GLBL MKTS HOLD 17328Y5K6 12/24/20 09/24/26 100.000 0.000 1.2860 26.24 0.036533 0.036768 0.037005 0.037242 0.037482 13.24 13.41 CITIGROUP GLBL MKTS HOLD 17324CNJ1 12/04/17 06/02/23 100.000 0.750 2.9364 156.79 0.091084 13.75 CITIGROUP GLBL MKTS HOLD 17328YWJ9 03/31/21 03/31/31 100.000 0.000 2.6134 46.58 0.075478 0.076465 0.077464 0.078476 0.079501 27.53 28.25 CITIGROUP GLBL MKTS HOLD 17330FHV6 04/08/22 04/10/24 100.000 0.000 3.3654 24.72 0.095074 0.096674 0.098301 34.78 9.73 CITIGROUP GLBL MKTS HOLD 17328YWY6 03/31/21 04/01/27 100.000 0.000 1.8423 32.68 0.052606 0.053091 0.053580 0.054074 0.054572 19.11 19.47 CITIGROUP GLBL MKTS HOLD 17324P396 08/03/16 02/05/24 100.000 0.000 2.5904 179.42 0.083985 0.085072 0.086174 30.75 2.93 CITIGROUP GLBL MKTS HOLD 17329FZY3 07/30/21 08/01/28 100.000 0.000 1.8422 26.38 0.052121 0.052601 0.053086 0.053574 0.054068 18.99 19.35 CITIGROUP GLBL MKTS HOLD 17330F6Z9 04/08/22 04/08/27 100.000 0.000 3.6386 26.74 0.102912 0.104785 0.106691 0.108632 0.110608 37.70 39.08 CITIGROUP GLBL MKTS HOLD 17328VNJ5 06/22/20 03/21/24 100.000 0.000 1.2560 32.13 0.035885 0.036111 0.036337 13.00 2.91 CITIGROUP GLBL MKTS HOLD 17329FZT4 07/30/21 08/01/28 100.000 0.000 1.8422 26.38 0.052121 0.052601 0.053086 0.053574 0.054068 18.99 19.35 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17329FJC9 05/28/21 05/31/28 100.000 0.000 1.9802 31.87 0.056661 0.057222 0.057789 0.058361 0.058939 20.53 20.94 CITIGROUP GLBL MKTS HOLD 17330AZR6 04/29/22 05/01/29 100.000 0.000 4.3735 29.57 0.124172 0.126887 0.129662 0.132497 0.135395 45.52 47.53 CITIGROUP GLBL MKTS HOLD 17329U4J7 11/29/21 11/27/26 100.000 0.000 1.9803 21.70 0.056096 0.056652 0.057213 0.057779 0.058351 20.33 20.74 CITIGROUP GLBL MKTS HOLD 17330AZU9 04/29/22 04/29/27 100.000 0.000 4.2270 28.57 0.119898 0.122432 0.125020 0.127662 0.130360 43.94 45.81 CITIGROUP GLBL MKTS HOLD 17326YSN7 02/28/19 03/04/24 100.000 0.000 3.5717 145.73 0.112370 0.114376 0.116419 41.29 7.33 CITIGROUP GLBL MKTS HOLD 17330AJ78 04/05/22 04/05/27 100.000 0.000 3.5796 26.60 0.101213 0.103024 0.104868 0.106745 0.108656 37.08 38.42 CITIGROUP GLBL MKTS HOLD 17328WA73 08/31/20 08/31/27 100.000 0.000 1.4842 35.15 0.042464 0.042776 0.043097 0.043415 0.043739 15.42 15.65 CITIGROUP GLBL MKTS HOLD 17327TNS1 09/03/19 09/03/24 100.000 0.000 1.8671 63.81 0.054839 0.055351 0.055867 0.056389 19.96 13.61 CITIGROUP GLBL MKTS HOLD 17291QLX0 09/29/23 10/01/30 100.000 0.000 5.7380 0.159389 0.159440 0.164014 0.168720 14.67 59.06 CITIGROUP GLBL MKTS HOLD 17291QMT8 09/29/23 10/01/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 14.42 58.02 CITIGROUP GLBL MKTS HOLD 17291QML5 09/29/23 12/30/24 100.000 0.000 5.8961 0.163781 0.166222 0.171122 15.07 60.56 CITIGROUP GLBL MKTS HOLD 17291QJT2 09/29/23 03/31/26 100.000 0.000 5.6700 0.157500 0.161990 0.166582 14.49 58.33 CITIGROUP GLBL MKTS HOLD 17291QJF2 09/15/23 12/17/24 100.000 0.000 5.7960 0.161000 0.163385 0.168120 17.10 57.38 CITIGROUP GLBL MKTS HOLD 17291QPQ1 10/04/23 01/03/25 100.000 0.000 5.9320 0.164778 0.167194 0.172153 14.34 61.07 CITIGROUP GLBL MKTS HOLD 17291QR71 09/11/23 09/11/28 100.000 0.000 5.4170 0.150472 0.154548 0.158734 16.55 55.81 CITIGROUP GLBL MKTS HOLD 17291QQR8 09/25/23 09/24/26 100.000 0.000 5.5630 0.154528 0.158802 0.163219 14.83 57.24 CITIGROUP GLBL MKTS HOLD 17291QR55 09/29/23 07/01/26 100.000 0.000 5.6990 0.160611 0.165188 0.169895 14.56 58.64 CITIGROUP GLBL MKTS HOLD 17291QQK3 10/04/23 01/03/25 100.000 0.000 5.9320 0.164778 0.167194 0.172153 14.34 61.07 CITIGROUP GLBL MKTS HOLD 17291RXD9 09/06/23 09/03/26 100.000 0.000 5.3480 0.148556 0.152462 0.156539 17.08 55.13 CITIGROUP GLBL MKTS HOLD 17291QDA9 10/04/23 10/02/25 100.000 0.000 5.7180 0.158833 0.163324 0.167993 13.82 58.80 CITIGROUP GLBL MKTS HOLD 17291QCW2 09/28/23 09/30/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 14.57 58.03 CITIGROUP GLBL MKTS HOLD 17291QD27 09/28/23 09/28/28 100.000 0.000 5.6020 0.155611 0.159970 0.164451 14.47 57.63 CITIGROUP GLBL MKTS HOLD 17291RYH9 09/06/23 09/06/28 100.000 0.000 5.3290 0.148028 0.151972 0.156021 17.02 54.92 CITIGROUP GLBL MKTS HOLD 17291RY71 09/06/23 09/06/28 100.000 0.000 5.3290 0.148028 0.151972 0.156021 17.02 54.92 CITIGROUP GLBL MKTS HOLD 17291QRV8 10/04/23 10/02/26 100.000 0.000 5.6310 0.156417 0.160772 0.165298 13.61 57.88 CITIGROUP GLBL MKTS HOLD 17291QCJ1 09/29/23 10/01/25 100.000 0.000 5.7090 0.158583 0.158634 0.163162 0.167819 14.59 58.75 CITIGROUP GLBL MKTS HOLD 17291QTM6 09/29/23 03/31/25 100.000 0.000 5.8250 0.161806 0.166544 0.171395 14.89 59.98 CITIGROUP GLBL MKTS HOLD 17291QTG9 10/04/23 04/02/26 100.000 0.000 5.6600 0.157222 0.161622 0.166196 13.68 58.19 CITIGROUP GLBL MKTS HOLD 17291QCG7 10/03/23 10/01/26 100.000 0.000 5.7180 0.158833 0.163324 0.167993 13.98 58.81 CITIGROUP GLBL MKTS HOLD 17291QC44 09/15/23 10/15/24 100.000 0.000 5.6998 0.158328 0.159080 0.163613 16.84 45.99 CITIGROUP GLBL MKTS HOLD 17291QHR8 09/29/23 09/29/28 100.000 0.000 5.6500 0.156944 0.161378 0.165937 14.44 58.13 CITIGROUP GLBL MKTS HOLD 17291QHG2 09/29/23 10/01/30 100.000 0.000 5.7380 0.159389 0.159440 0.164014 0.168720 14.67 59.06 CITIGROUP GLBL MKTS HOLD 17291QGX6 09/29/23 03/31/26 100.000 0.000 5.6700 0.157500 0.161990 0.166582 14.49 58.33 CITIGROUP GLBL MKTS HOLD 17291QFJ8 09/29/23 12/31/24 100.000 0.000 5.9220 0.164500 0.166962 0.171906 15.14 60.83 CITIGROUP GLBL MKTS HOLD 17291QGG3 10/04/23 04/03/25 100.000 0.000 5.8350 0.162083 0.166786 0.171652 14.10 60.04 CITIGROUP GLBL MKTS HOLD 17291QFV1 09/29/23 09/29/28 100.000 0.000 5.6500 0.156944 0.161378 0.165937 14.44 58.13 CITIGROUP GLBL MKTS HOLD 17331C3N5 01/31/23 01/29/26 100.000 0.000 4.8220 0.133944 0.137156 0.140463 0.143849 44.82 50.99 CITIGROUP GLBL MKTS HOLD 17331CE37 02/01/23 02/01/27 100.000 0.000 4.7930 0.133139 0.136330 0.139597 0.142942 44.41 50.66 CITIGROUP GLBL MKTS HOLD 17331CDZ7 01/27/23 01/27/28 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 45.60 51.44 CITIGROUP GLBL MKTS HOLD 17331CDE4 01/25/23 07/25/28 100.000 0.000 4.8410 0.134472 0.137727 0.141061 0.144475 45.69 51.23 CITIGROUP GLBL MKTS HOLD 17330YJP6 12/28/22 06/27/24 100.000 0.000 5.3480 0.45 0.148556 0.152506 0.156584 54.22 27.56 CITIGROUP GLBL MKTS HOLD 17330YJ27 12/05/22 12/04/25 100.000 0.000 5.4070 3.91 0.150194 0.154232 0.158402 0.162684 0.167083 55.02 58.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331C2L0 01/31/23 01/29/26 100.000 0.000 4.8220 0.133944 0.137156 0.140463 0.143849 44.82 50.99 CITIGROUP GLBL MKTS HOLD 17330YZY9 01/04/23 01/02/26 100.000 0.000 5.3680 0.149111 0.153069 0.157177 0.161396 53.94 57.33 CITIGROUP GLBL MKTS HOLD 17331C2P1 01/31/23 07/31/24 100.000 0.000 5.1050 0.141806 0.145425 0.149137 47.48 31.06 CITIGROUP GLBL MKTS HOLD 17331C2Q9 01/05/23 01/04/28 100.000 0.000 5.3870 0.149639 0.153647 0.157786 0.162035 53.98 57.54 CITIGROUP GLBL MKTS HOLD 17331C2U0 01/31/23 01/31/28 100.000 0.000 4.7930 0.133139 0.136330 0.139597 0.142942 44.55 50.67 CITIGROUP GLBL MKTS HOLD 17331C2T3 12/30/22 07/02/24 100.000 0.000 5.4850 0.15 0.152361 0.152408 0.156587 0.160882 55.61 29.12 CITIGROUP GLBL MKTS HOLD 17330YZG8 12/28/22 12/26/25 100.000 0.000 5.2020 0.43 0.144500 0.148217 0.152072 0.156027 0.160085 52.73 55.50 CITIGROUP GLBL MKTS HOLD 17330YLH1 12/02/22 12/04/25 100.000 0.000 5.3870 4.34 0.149684 0.153715 0.157856 0.162108 0.166474 54.83 57.83 CITIGROUP GLBL MKTS HOLD 17331C5F0 01/31/23 01/30/25 100.000 0.000 4.9980 0.138833 0.142303 0.145859 0.149504 46.48 52.96 CITIGROUP GLBL MKTS HOLD 17330YLQ1 12/05/22 12/03/26 100.000 0.000 5.3290 3.85 0.148028 0.151928 0.155976 0.160132 0.164399 54.21 57.14 CITIGROUP GLBL MKTS HOLD 17330YM31 12/28/22 12/27/24 100.000 0.000 5.2610 0.44 0.146139 0.149962 0.153906 0.157955 53.33 55.52 CITIGROUP GLBL MKTS HOLD 17331CEQ6 01/27/23 01/27/28 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 45.60 51.44 CITIGROUP GLBL MKTS HOLD 17331C4S3 01/31/23 01/31/28 100.000 0.000 4.7930 0.133139 0.136330 0.139597 0.142942 44.55 50.67 CITIGROUP GLBL MKTS HOLD 17331C4R5 01/31/23 07/31/25 100.000 0.000 4.8710 0.135306 0.138601 0.141977 0.145434 45.28 51.54 CITIGROUP GLBL MKTS HOLD 17331C4U8 01/31/23 01/31/30 100.000 0.000 4.8510 0.134750 0.138018 0.141366 0.144795 45.10 51.31 CITIGROUP GLBL MKTS HOLD 17331C4V6 01/20/23 01/23/25 100.000 0.000 5.1730 0.143694 0.143756 0.147475 0.151289 0.155202 49.61 55.00 CITIGROUP GLBL MKTS HOLD 17331C4Y0 01/31/23 07/31/25 100.000 0.000 4.8710 0.135306 0.138601 0.141977 0.145434 45.28 51.54 CITIGROUP GLBL MKTS HOLD 17331CEY9 01/27/23 01/27/28 100.000 0.000 4.8610 0.135028 0.138310 0.141671 0.145115 45.60 51.44 CITIGROUP GLBL MKTS HOLD 17331C4D6 01/31/23 02/29/24 100.000 0.000 5.7470 0.159639 0.160352 0.164986 53.62 9.57 CITIGROUP GLBL MKTS HOLD 17331C4F1 12/30/22 12/30/27 100.000 0.000 5.3580 0.15 0.148833 0.152821 0.156915 0.161118 0.165435 54.31 57.25 CITIGROUP GLBL MKTS HOLD 17331C4J3 01/31/23 02/05/26 100.000 0.000 4.8220 0.133944 0.134034 0.137266 0.140575 0.143964 44.84 50.99 CITIGROUP GLBL MKTS HOLD 17330YWV8 12/30/22 01/02/26 100.000 0.000 5.3100 0.15 0.147500 0.147544 0.151461 0.155482 0.159610 53.82 56.71 CITIGROUP GLBL MKTS HOLD 17330YFY1 12/28/22 06/26/25 100.000 0.000 5.2020 0.43 0.144500 0.148217 0.152072 0.156027 0.160085 52.73 55.50 CITIGROUP GLBL MKTS HOLD 17330YWC0 01/05/23 07/06/26 100.000 0.000 5.3680 0.149111 0.153135 0.157246 0.161466 53.79 57.33 CITIGROUP GLBL MKTS HOLD 17330YVK3 12/22/22 12/23/27 100.000 0.000 5.0460 1.26 0.140167 0.143723 0.147349 0.151066 0.154878 51.16 53.77 CITIGROUP GLBL MKTS HOLD 17330YF21 12/07/22 12/07/26 100.000 0.000 5.0660 3.38 0.140722 0.144287 0.147941 0.151689 0.155531 51.47 54.12 CITIGROUP GLBL MKTS HOLD 17330YES5 12/28/22 12/28/27 100.000 0.000 5.2510 0.44 0.145861 0.149691 0.153621 0.157654 0.161793 53.22 56.05 CITIGROUP GLBL MKTS HOLD 17330YW89 12/30/22 12/31/25 100.000 0.000 5.3780 0.15 0.149389 0.153406 0.157531 0.161767 0.166117 54.51 57.48 CITIGROUP GLBL MKTS HOLD 17330YVF4 12/14/22 12/12/24 100.000 0.000 5.3190 2.51 0.147750 0.151636 0.155669 0.159809 54.04 53.83 CITIGROUP GLBL MKTS HOLD 17330YHS2 12/27/22 01/25/24 100.000 0.000 6.0190 0.67 0.167194 0.167977 0.173032 61.24 4.15 CITIGROUP GLBL MKTS HOLD 17330YZ94 01/31/23 10/30/25 100.000 0.000 4.9000 0.136111 0.137778 0.141154 0.144612 0.148155 45.66 51.87 CITIGROUP GLBL MKTS HOLD 17330YZ86 12/30/22 12/31/25 100.000 0.000 5.3780 0.15 0.149389 0.153406 0.157531 0.161767 0.166117 54.51 57.48 CITIGROUP GLBL MKTS HOLD 17331CBT3 02/01/23 01/30/26 100.000 0.000 4.8320 0.134222 0.137447 0.140768 0.144169 44.78 51.09 CITIGROUP GLBL MKTS HOLD 17330YHA1 12/27/22 06/26/24 100.000 0.000 5.3780 0.60 0.149389 0.153384 0.157508 54.54 27.56 CITIGROUP GLBL MKTS HOLD 17330YYC8 12/28/22 12/28/27 100.000 0.000 5.2510 0.44 0.145861 0.149691 0.153621 0.157654 0.161793 53.22 56.05 CITIGROUP GLBL MKTS HOLD 17330YYG9 12/14/22 12/12/24 100.000 0.000 5.3190 2.51 0.147750 0.151636 0.155669 0.159809 54.04 53.83 CITIGROUP GLBL MKTS HOLD 17331CBB2 01/25/23 07/24/25 100.000 0.000 4.8800 0.135556 0.138845 0.142233 0.145703 46.06 51.67 CITIGROUP GLBL MKTS HOLD 17330YXP0 12/23/22 12/26/25 100.000 0.000 5.1930 1.15 0.144312 0.148059 0.151904 0.155848 0.159895 52.66 55.44 CITIGROUP GLBL MKTS HOLD 17330YY46 12/22/22 12/24/24 100.000 0.000 5.2120 1.30 0.144820 0.148594 0.152466 0.156439 52.87 54.54 CITIGROUP GLBL MKTS HOLD 17330YH60 12/27/22 06/26/25 100.000 0.000 5.2320 0.58 0.145333 0.149114 0.153015 0.157018 0.161125 53.04 55.85 CITIGROUP GLBL MKTS HOLD 17330YXB1 12/28/22 12/27/24 100.000 0.000 5.2610 0.44 0.146139 0.149962 0.153906 0.157955 53.33 55.52 CITIGROUP GLBL MKTS HOLD 17330YXG0 01/05/23 01/05/27 100.000 0.000 5.3390 0.148306 0.152265 0.156329 0.160502 53.49 57.00 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17331CAB3 01/12/23 07/14/25 100.000 0.000 5.2410 0.145583 0.145626 0.149442 0.153358 0.157377 51.46 55.83 CITIGROUP GLBL MKTS HOLD 17330YSP6 12/02/22 12/02/27 100.000 0.000 5.3390 4.30 0.148306 0.152265 0.156329 0.160502 0.164787 54.34 57.27 CITIGROUP GLBL MKTS HOLD 17330YSR2 12/27/22 06/26/24 100.000 0.000 5.3780 0.60 0.149389 0.153384 0.157508 54.54 27.56 CITIGROUP GLBL MKTS HOLD 17330YSQ4 12/27/22 12/27/24 100.000 0.000 5.3000 0.59 0.147222 0.151124 0.155128 0.159239 53.73 55.97 CITIGROUP GLBL MKTS HOLD 17331CLN5 01/23/23 01/23/26 100.000 0.000 4.9880 0.138556 0.142011 0.145553 0.149183 47.38 52.89 CITIGROUP GLBL MKTS HOLD 17330YRF9 12/30/22 01/05/26 100.000 0.000 5.2410 0.15 0.145583 0.145689 0.149507 0.153425 0.157445 53.12 55.92 CITIGROUP GLBL MKTS HOLD 17331CLD7 01/25/23 07/23/27 100.000 0.000 4.8220 0.133944 0.137138 0.140444 0.143830 45.51 51.02 CITIGROUP GLBL MKTS HOLD 17330YRQ5 12/05/22 12/03/27 100.000 0.000 5.3390 3.86 0.148306 0.152221 0.156284 0.160456 0.164739 54.32 57.25 CITIGROUP GLBL MKTS HOLD 17330YR77 12/27/22 09/25/25 100.000 0.000 5.3000 0.59 0.147222 0.149130 0.153082 0.157138 0.161302 53.91 56.63 CITIGROUP GLBL MKTS HOLD 17331CKR7 01/31/23 07/31/24 100.000 0.000 5.1050 0.141806 0.145425 0.149137 47.48 31.06 CITIGROUP GLBL MKTS HOLD 17331CKS5 01/13/23 01/13/28 100.000 0.000 5.1240 0.142333 0.145980 0.149720 0.153556 50.14 54.50 CITIGROUP GLBL MKTS HOLD 17331CL88 01/20/23 01/23/26 100.000 0.000 5.0950 0.141528 0.141588 0.145195 0.148894 0.152687 48.85 54.12 CITIGROUP GLBL MKTS HOLD 17330YDM9 12/28/22 12/26/25 100.000 0.000 5.2020 0.43 0.144500 0.148217 0.152072 0.156027 0.160085 52.73 55.50 CITIGROUP GLBL MKTS HOLD 17330YUU2 12/14/22 12/12/24 100.000 0.000 5.3190 2.51 0.147750 0.151636 0.155669 0.159809 54.04 53.83 CITIGROUP GLBL MKTS HOLD 17330YE71 12/27/22 12/27/27 100.000 0.000 5.2710 0.59 0.146417 0.150275 0.154236 0.158301 0.162473 53.44 56.29 CITIGROUP GLBL MKTS HOLD 17330YUF5 12/02/22 06/03/24 100.000 0.000 5.5820 4.50 0.155056 0.159407 0.163856 56.85 24.91 CITIGROUP GLBL MKTS HOLD 17330YTG5 12/28/22 12/26/25 100.000 0.000 5.2020 0.43 0.144500 0.148217 0.152072 0.156027 0.160085 52.73 55.50 CITIGROUP GLBL MKTS HOLD 17330YD31 12/27/22 06/26/25 100.000 0.000 5.2320 0.58 0.145333 0.149114 0.153015 0.157018 0.161125 53.04 55.85 CITIGROUP GLBL MKTS HOLD 17330YTU4 12/28/22 12/28/27 100.000 0.000 5.2510 0.44 0.145861 0.149691 0.153621 0.157654 0.161793 53.22 56.05 CITIGROUP GLBL MKTS HOLD 17330YC81 12/27/22 12/27/27 100.000 0.000 5.2710 0.59 0.146417 0.150275 0.154236 0.158301 0.162473 53.44 56.29 CITIGROUP GLBL MKTS HOLD 17330YTA8 12/28/22 12/26/25 100.000 0.000 5.2020 0.43 0.144500 0.148217 0.152072 0.156027 0.160085 52.73 55.50 CITIGROUP GLBL MKTS HOLD 17331CHW0 01/31/23 07/31/24 100.000 0.000 5.1050 0.141806 0.145425 0.149137 47.48 31.06 CITIGROUP GLBL MKTS HOLD 17330YNP1 12/28/22 06/26/25 100.000 0.000 5.2020 0.43 0.144500 0.148217 0.152072 0.156027 0.160085 52.73 55.50 CITIGROUP GLBL MKTS HOLD 17331C6H5 01/25/23 01/25/27 100.000 0.000 4.7830 0.132861 0.136038 0.139292 0.142623 45.14 50.59 CITIGROUP GLBL MKTS HOLD 17330YQD5 12/05/22 12/04/25 100.000 0.000 5.4070 3.91 0.150194 0.154232 0.158402 0.162684 0.167083 55.02 58.03 CITIGROUP GLBL MKTS HOLD 17330YPR5 12/27/22 12/27/29 100.000 0.000 5.3680 0.60 0.149111 0.153113 0.157223 0.161443 0.165776 54.43 57.39 CITIGROUP GLBL MKTS HOLD 17331CJP3 01/27/23 01/28/27 100.000 0.000 4.8410 0.134472 0.137745 0.141079 0.144494 45.41 51.22 CITIGROUP GLBL MKTS HOLD 17331CJQ1 01/19/23 01/19/28 100.000 0.000 4.9680 0.138000 0.141428 0.144941 0.148541 47.75 52.70 CITIGROUP GLBL MKTS HOLD 17331CK63 01/25/23 01/25/27 100.000 0.000 4.7830 0.132861 0.136038 0.139292 0.142623 45.14 50.59 CITIGROUP GLBL MKTS HOLD 17331CJX6 01/23/23 01/23/26 100.000 0.000 4.9880 0.138556 0.142011 0.145553 0.149183 47.38 52.89 CITIGROUP GLBL MKTS HOLD 17330YPG9 12/27/22 12/24/26 100.000 0.000 5.2220 0.58 0.145056 0.148780 0.152664 0.156651 0.160741 52.94 55.73 CITIGROUP GLBL MKTS HOLD 17331HCC8 04/03/23 04/03/28 100.000 VARIES 4.8316 0.134142 0.134528 0.134996 0.135238 34.26 49.39 CITIGROUP GLBL MKTS HOLD 17331C3Y1 12/30/22 06/17/27 105.330 0.031 5.3710 0.158097 0.162057 0.166344 0.170747 0.175270 55.57 60.68 CITIGROUP GLBL MKTS HOLD 17330F2H3 05/04/22 05/04/26 100.000 3.000 4.2300 27.96 0.119839 0.118850 0.120011 0.121711 0.121583 42.93 43.72 CITIGROUP GLBL MKTS HOLD 17331HSQ0 05/17/23 05/18/43 100.000 VARIES 5.1000 0.140799 0.137283 0.133678 0.129981 31.29 48.46 CITIGROUP GLBL MKTS HOLD 17331CDB0 01/19/23 01/23/43 100.000 VARIES 5.4466 0.149416 0.145920 0.142329 0.138640 0.134851 49.97 50.74 CITIGROUP GLBL MKTS HOLD 17290ACE8 05/25/22 05/25/37 100.000 VARIES 3.9200 23.19 0.105278 0.102833 0.100278 0.098444 0.098722 37.32 35.69 CITIGROUP GLBL MKTS HOLD 17291QLF9 09/19/23 09/21/43 100.000 VARIES 5.5500 0.153309 0.149831 0.146256 15.40 53.86 CITIGROUP GLBL MKTS HOLD 17330REB7 08/16/22 08/14/25 100.000 1.750 4.2800 15.95 0.119000 0.121522 0.122067 0.124657 0.125257 43.71 44.84 CITIGROUP GLBL MKTS HOLD 17330PPA1 07/29/22 07/29/42 100.000 VARIES 4.8600 20.41 0.134133 0.130638 0.127023 0.123338 0.119562 46.58 43.93 CITIGROUP GLBL MKTS HOLD 17291RPT3 08/18/23 09/18/24 100.000 VARIES 5.3580 0.148353 0.148369 0.148713 17.82 40.06 CITIGROUP GLBL MKTS HOLD 17331HRL2 07/01/23 05/31/27 100.000 VARIES 4.6900 0.129383 0.128519 0.128652 0.129229 27.14 46.31 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330RDU6 09/21/22 09/22/42 100.000 VARIES 5.5100 15.08 0.151437 0.146985 0.142409 0.137707 0.136279 52.83 48.69 CITIGROUP GLBL MKTS HOLD 17330YLZ1 11/30/22 12/01/42 100.000 VARIES 5.4700 4.54 0.149131 0.144167 0.138215 0.132099 0.128457 52.59 48.38 CITIGROUP GLBL MKTS HOLD 17331HVG8 04/28/23 04/28/43 100.000 VARIES 4.9700 0.137188 0.133672 0.130069 0.126376 33.17 47.02 CITIGROUP GLBL MKTS HOLD 17330YMA5 10/31/22 10/31/37 100.000 VARIES 6.1500 10.14 0.169021 0.167300 0.165527 0.163699 0.163056 60.54 59.26 CITIGROUP GLBL MKTS HOLD 17331CXA0 03/16/23 03/16/43 100.000 VARIES 5.0900 0.140521 0.137006 0.135214 0.129703 39.75 47.91 CITIGROUP GLBL MKTS HOLD 17330PAP4 06/07/22 07/17/23 100.000 3.000 2.9300 16.90 0.082873 0.084118 16.43 CITIGROUP GLBL MKTS HOLD 17331CWE3 03/15/23 03/15/28 100.000 VARIES 5.0500 0.140023 0.138994 0.137937 0.136854 37.74 49.66 CITIGROUP GLBL MKTS HOLD 17330R6S9 08/24/22 08/14/25 100.000 1.000 4.2800 15.95 0.119000 0.121522 0.122961 0.125569 0.127084 43.83 45.29 CITIGROUP GLBL MKTS HOLD 17330PRS0 08/01/22 07/30/26 100.000 3.000 4.4300 18.34 0.123083 0.125811 0.124906 0.127672 0.126811 45.07 45.75 CITIGROUP GLBL MKTS HOLD 17331HE51 03/31/23 03/31/43 100.000 VARIES 5.2200 0.144134 0.140623 0.137019 0.133322 38.68 49.32 CITIGROUP GLBL MKTS HOLD 17290AA67 02/24/23 02/24/26 100.000 VARIES 4.4940 0.124592 0.123641 0.122945 0.123228 38.00 44.09 CITIGROUP GLBL MKTS HOLD 17330FUA7 05/18/22 05/18/32 100.000 VARIES 3.3800 20.66 0.090778 0.088556 0.086333 0.084667 0.085222 32.09 30.70 CITIGROUP GLBL MKTS HOLD 17291QL77 08/31/23 08/31/43 100.000 VARIES 5.4900 0.151641 0.148154 0.144571 18.70 53.10 CITIGROUP GLBL MKTS HOLD 17331CF77 02/16/23 02/17/43 100.000 VARIES 5.0600 0.139486 0.135152 0.130707 0.126149 43.40 46.64 CITIGROUP GLBL MKTS HOLD 17291QKT0 09/29/23 09/29/43 100.000 VARIES 5.7600 0.159062 0.155256 0.151339 14.72 55.87 CITIGROUP GLBL MKTS HOLD 17330RXQ3 10/19/22 10/19/37 100.000 VARIES 7.0000 13.88 0.188908 0.173158 0.161170 0.161853 0.162559 62.88 58.24 CITIGROUP GLBL MKTS HOLD 17330R5V3 08/30/22 09/30/23 100.000 VARIES 4.0400 13.34 0.111179 0.111167 0.018548 30.01 CITIGROUP GLBL MKTS HOLD 17291RND0 07/31/23 07/29/27 100.000 2.750 5.1930 0.144251 0.147972 0.147872 21.78 53.15 CITIGROUP GLBL MKTS HOLD 17331HU79 05/12/23 06/12/24 100.000 VARIES 5.0600 0.113862 0.113077 0.113200 CITIGROUP GLBL MKTS HOLD 17331HCV7 04/20/23 04/20/43 100.000 VARIES 5.0200 0.138577 0.135061 0.131456 0.127760 34.60 47.46 CITIGROUP GLBL MKTS HOLD 17330PLR8 07/28/22 07/28/32 100.000 VARIES 3.2800 13.88 0.090267 0.088559 0.086823 0.085059 0.083778 31.68 30.46 CITIGROUP GLBL MKTS HOLD 17291RCC4 06/30/23 06/30/43 100.000 VARIES 5.1800 0.142188 0.138674 0.135069 0.131371 25.73 49.27 CITIGROUP GLBL MKTS HOLD 17330YWT3 12/16/22 12/16/42 100.000 VARIES 5.3756 2.23 0.147052 0.141859 0.136526 0.131049 0.126566 51.85 48.00 CITIGROUP GLBL MKTS HOLD 17290A6V7 05/27/22 05/27/27 100.000 VARIES 3.5200 20.31 0.095929 0.095171 0.095115 0.095229 0.095419 34.40 34.26 CITIGROUP GLBL MKTS HOLD 17331CQUA 02/28/23 02/27/43 100.000 VARIES 5.3000 0.146035 0.141224 0.136284 0.131213 43.87 48.71 CITIGROUP GLBL MKTS HOLD 17290AGD6 11/15/22 11/15/29 100.000 VARIES 5.5500 6.84 0.151953 0.147693 0.144361 0.144349 0.144727 53.94 51.67 CITIGROUP GLBL MKTS HOLD 17330PLK3 07/06/22 07/06/27 100.000 VARIES 3.1600 13.03 0.086220 0.085458 0.085431 0.085637 0.085795 30.87 30.80 CITIGROUP GLBL MKTS HOLD 17291RDK5 07/28/23 08/28/24 100.000 VARIES 5.6890 0.157587 0.157570 0.157897 24.11 41.93 CITIGROUP GLBL MKTS HOLD 17330YET3 11/17/22 11/17/42 100.000 VARIES 5.0700 6.95 0.156099 0.148638 0.140964 0.133071 0.126747 54.19 48.63 CITIGROUP GLBL MKTS HOLD 17330YDY3 11/22/22 11/22/27 100.000 2.500 5.3300 5.77 0.148028 0.151972 0.152322 0.156380 0.156823 54.02 55.89 CITIGROUP GLBL MKTS HOLD 17330YZ60 12/30/22 12/30/42 100.000 VARIES 5.4361 0.149129 0.145627 0.142041 0.138351 0.134561 53.05 50.46 CITIGROUP GLBL MKTS HOLD 17291RRC8 07/31/23 07/31/43 100.000 VARIES 5.1100 0.141032 0.137338 0.133548 21.18 48.99 CITIGROUP GLBL MKTS HOLD 17330RTM7 10/20/22 10/22/26 100.000 3.800 5.9600 11.76 0.165582 0.170573 0.169308 0.174411 0.173317 60.59 62.31 CITIGROUP GLBL MKTS HOLD 17331HR24 05/11/23 05/11/35 100.000 VARIES 4.9400 0.136526 0.133706 0.130816 0.127853 31.30 47.32 CITIGROUP GLBL MKTS HOLD 17290AG87 10/07/22 10/07/32 100.000 VARIES 5.4700 4.53 0.049876 0.048059 0.046225 0.044375 0.042789 17.63 16.31 CITIGROUP GLBL MKTS HOLD 17330RCC7 08/31/22 08/29/42 100.000 VARIES 4.9600 16.84 0.136298 0.130867 0.126638 0.126352 0.125876 46.83 45.46 CITIGROUP GLBL MKTS HOLD 17330YXY1 12/23/22 12/24/26 100.000 3.500 5.1630 1.00 0.143414 0.147137 0.145961 0.149687 0.148573 52.17 53.38 CITIGROUP GLBL MKTS HOLD 17330PMF3 06/24/22 06/24/27 100.000 VARIES 3.2400 16.01 0.088111 0.087444 0.087333 0.087667 0.087778 31.59 31.50 CITIGROUP GLBL MKTS HOLD 17330FPQ8 05/26/22 05/26/37 100.000 VARIES 4.7900 28.28 0.129056 0.126167 0.123167 0.120778 0.120278 45.73 43.79 CITIGROUP GLBL MKTS HOLD 17291RGJ5 06/30/23 07/30/24 100.000 5.700 5.6200 0.158333 0.158333 28.82 32.93 CITIGROUP GLBL MKTS HOLD 17330YRX0 11/18/22 11/18/42 100.000 VARIES 5.7800 6.87 0.159029 0.155587 0.152046 0.150237 0.145134 56.33 53.76 CITIGROUP GLBL MKTS HOLD 17291RX49 08/16/23 08/17/43 100.000 VARIES 5.4200 0.149637 0.145913 0.142088 20.09 52.19 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17330P6K0 06/07/22 06/07/29 100.000 1.000 4.4900 25.38 0.127522 0.129139 0.131306 0.134483 0.135239 46.17 48.08 CITIGROUP GLBL MKTS HOLD 17330RMX0 10/19/22 10/20/42 100.000 VARIES 6.4600 12.68 0.176633 0.168817 0.160786 0.152495 0.145780 61.06 55.20 CITIGROUP GLBL MKTS HOLD 17330PGX1 07/14/22 07/15/27 100.000 2.000 4.7100 21.87 0.130945 0.134049 0.134624 0.137762 0.013185 48.31 49.66 CITIGROUP GLBL MKTS HOLD 17291RYD8 08/31/23 09/02/27 100.000 3.000 5.4460 0.151280 0.155442 0.155162 18.30 55.83 CITIGROUP GLBL MKTS HOLD 17330P5W5 06/16/22 06/16/37 100.000 VARIES 5.3500 28.68 0.144483 0.141655 0.139414 0.139038 0.138402 51.42 50.11 CITIGROUP GLBL MKTS HOLD 17330YQZ6 12/19/22 12/19/25 100.000 VARIES 5.2845 1.60 0.145332 0.143300 0.142673 0.145248 0.146059 51.95 51.83 CITIGROUP GLBL MKTS HOLD 17291RXV9 07/28/23 07/28/27 100.000 VARIES 5.3800 0.150449 0.154293 0.156156 13.45 55.45 CITIGROUP GLBL MKTS HOLD 17291REJ7 06/30/23 07/01/27 100.000 2.750 5.0370 0.139917 0.143440 0.143244 0.146856 25.19 26.11 CITIGROUP GLBL MKTS HOLD 17330PJP5 08/02/22 08/02/27 100.000 VARIES 3.3100 10.93 0.090949 0.090157 0.089719 0.090014 0.090199 35.16 32.41 CITIGROUP GLBL MKTS HOLD 17291R4C3 06/16/23 06/16/43 100.000 VARIES 5.2300 0.144321 0.140442 0.136462 0.132377 28.10 49.72 CITIGROUP GLBL MKTS HOLD 17330YUV0 01/13/23 01/13/28 102.500 0.063 5.3230 0.152517 0.156422 0.160428 0.164539 0.168761 55.61 58.49 CITIGROUP GLBL MKTS HOLD 17330YV98 12/16/22 12/16/42 100.000 VARIES 5.3756 2.23 0.147469 0.143967 0.140370 0.136677 0.133561 52.35 49.76 CITIGROUP GLBL MKTS HOLD 17330YTZ3 11/30/22 12/01/42 100.000 VARIES 5.4700 4.54 0.149696 0.147037 0.143450 0.139764 0.135978 53.35 50.76 CITIGROUP GLBL MKTS HOLD 17330Y2Z2 10/31/22 10/31/42 100.000 VARIES 6.3100 10.47 0.173019 0.167066 0.160923 0.154587 0.148049 60.50 56.03 CITIGROUP GLBL MKTS HOLD 17330YCM0 11/17/22 11/17/42 100.000 VARIES 5.0700 6.95 0.156889 0.152632 0.148254 0.143750 0.139118 55.34 52.16 CITIGROUP GLBL MKTS HOLD 17331HLT1 04/13/23 04/15/27 100.000 3.300 4.6260 0.128500 0.131506 0.130306 0.133322 33.25 47.40 CITIGROUP GLBL MKTS HOLD 17330YTV2 11/17/22 11/17/42 100.000 VARIES 5.7100 6.95 0.155112 0.143647 0.134724 0.134239 0.133530 52.76 48.37 CITIGROUP GLBL MKTS HOLD 17331CMW4 02/27/23 02/27/30 100.000 VARIES 5.4650 0.151514 0.150333 0.149119 0.147873 40.83 53.68 CITIGROUP GLBL MKTS HOLD 17291REP3 06/29/23 07/29/24 100.000 5.700 5.6200 0.158333 0.158333 28.82 32.93 CITIGROUP GLBL MKTS HOLD 17330RJV8 09/30/22 09/30/42 100.000 VARIES 5.8700 14.77 0.160506 0.152964 0.145201 0.137209 0.130973 55.04 49.37 CITIGROUP GLBL MKTS HOLD 17330F5U1 06/17/22 06/17/27 100.000 0.125 5.0200 27.21 0.144779 0.146292 0.149838 0.153494 0.157261 51.98 54.86 CITIGROUP GLBL MKTS HOLD 17330YNW6 11/28/22 11/29/27 100.000 VARIES 5.4200 4.80 0.150140 0.147416 0.148567 0.149199 0.145929 53.51 53.51 CITIGROUP GLBL MKTS HOLD 17331C6Q5 01/09/23 01/07/27 100.000 3.500 5.3390 0.148303 0.152220 0.151140 0.155126 0.154124 52.85 55.11 CITIGROUP GLBL MKTS HOLD 17330PCE7 07/20/22 07/20/27 100.000 VARIES 3.1700 13.07 0.087064 0.086298 0.085647 0.085803 0.086008 30.97 30.91 CITIGROUP GLBL MKTS HOLD 17290AA34 12/07/22 12/07/29 100.000 VARIES 5.0000 3.17 0.137673 0.135975 0.134235 0.132451 0.131211 49.26 48.00 CITIGROUP GLBL MKTS HOLD 17331H5G7 03/22/23 03/22/28 100.000 0.250 5.2940 0.155384 0.159339 0.163400 0.167569 43.74 59.07 CITIGROUP GLBL MKTS HOLD 17330FWM9 05/27/22 05/27/37 100.000 VARIES 2.8400 16.63 0.075167 0.072278 0.069389 0.067222 0.067167 26.35 24.14 CITIGROUP GLBL MKTS HOLD 17330PSU4 07/21/22 07/21/42 100.000 VARIES 5.1800 22.69 0.141571 0.134427 0.128742 0.127882 0.126876 47.60 45.90 CITIGROUP GLBL MKTS HOLD 17330FVX6 05/17/22 05/17/32 100.000 VARIES 2.7400 16.81 0.073111 0.071500 0.071722 0.071944 0.072167 25.96 25.89 CITIGROUP GLBL MKTS HOLD 17330PBX6 06/17/22 06/17/42 100.000 VARIES 5.2600 27.86 0.137500 0.130889 0.125722 0.125444 0.124500 48.12 45.19 CITIGROUP GLBL MKTS HOLD 17331CGM3 01/25/23 01/25/27 100.000 3.300 4.7830 0.132861 0.136039 0.134906 0.138134 0.137033 45.14 49.10 CITIGROUP GLBL MKTS HOLD 17331CKC0 01/19/23 01/23/43 100.000 VARIES 5.4466 0.149416 0.145920 0.142329 0.138640 0.135462 49.97 50.74 CITIGROUP GLBL MKTS HOLD 17330PWV7 08/18/22 08/18/42 100.000 VARIES 4.8100 17.62 0.132189 0.128682 0.125089 0.121411 0.118311 46.01 43.44 CITIGROUP GLBL MKTS HOLD 17330RLF0 09/20/22 09/20/32 100.000 VARIES 4.9200 4.59 0.045002 0.043781 0.042550 0.041308 0.040204 15.76 14.87 CITIGROUP GLBL MKTS HOLD 17291RJL7 07/19/23 07/20/43 100.000 VARIES 5.2000 0.142828 0.136281 0.131156 23.03 48.33 CITIGROUP GLBL MKTS HOLD 17331CJD0 01/31/23 01/30/43 100.000 VARIES 5.0900 0.140521 0.137006 0.133401 0.129703 0.126561 45.67 47.58 CITIGROUP GLBL MKTS HOLD 17330PDT3 07/21/22 07/21/37 100.000 VARIES 5.1700 22.78 0.142272 0.138758 0.135153 0.132181 0.131343 49.45 47.50 CITIGROUP GLBL MKTS HOLD 17330PE39 06/30/22 06/30/42 100.000 VARIES 5.1900 25.84 0.137829 0.132728 0.127493 0.123192 0.122013 48.69 45.12 CITIGROUP GLBL MKTS HOLD 17330P3W7 06/16/22 06/16/37 100.000 VARIES 2.9400 15.59 0.080190 0.075659 0.072283 0.072549 0.072819 26.56 26.17 CITIGROUP GLBL MKTS HOLD 17291RJC7 07/19/23 07/20/43 100.000 VARIES 5.2000 0.143578 0.140066 0.136462 0.132764 23.13 49.91 CITIGROUP GLBL MKTS HOLD 17291QG65 09/29/23 09/03/27 100.000 3.100 5.6110 0.155861 0.160236 0.159950 14.34 57.27 CITIGROUP GLBL MKTS HOLD 1730T0A90 10/30/13 10/30/33 100.000 VARIES 4.6216 369.85 0.113065 0.114488 0.115944 0.117312 0.118712 41.14 42.15 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17323P496 01/05/16 07/06/23 100.000 0.000 3.1941 247.92 0.109030 0.110771 20.48 CITIGROUP GLBL MKTS HOLD 1730T0A82 11/15/13 11/15/28 100.000 VARIES 4.5367 366.34 0.113089 0.114325 0.115590 0.116770 0.117977 41.05 41.93 CITIGROUP GLBL MKTS HOLD 1730T0R76 06/27/14 06/27/34 100.000 VARIES 4.4526 332.85 0.107912 0.108975 0.110063 0.111174 0.112400 39.05 39.83 CITIGROUP GLBL MKTS HOLD 1730T0A58 10/22/13 10/22/33 100.000 VARIES 4.6765 365.48 0.109372 0.110931 0.112527 0.114202 0.115916 39.87 41.05 CITIGROUP GLBL MKTS HOLD 1730T0R50 06/18/14 06/18/34 100.000 VARIES 4.4513 332.40 0.112941 0.115403 0.117920 0.120493 0.122902 41.17 42.98 CITIGROUP GLBL MKTS HOLD 17323Q692 09/18/15 03/20/23 100.000 0.000 3.1459 255.41 0.108746 8.59 CITIGROUP GLBL MKTS HOLD 17323P363 02/03/16 08/03/23 100.000 0.000 2.9606 225.23 0.099551 0.101025 21.37 CITIGROUP GLBL MKTS HOLD 1730T0RN1 02/27/13 02/27/28 100.000 VARIES 3.2574 281.29 0.079586 0.080573 0.081577 0.082597 0.083610 29.08 29.80 CITIGROUP GLBL MKTS HOLD 17323Q643 10/05/15 04/04/23 100.000 0.000 3.1923 257.71 0.110672 10.29 CITIGROUP GLBL MKTS HOLD 1730T02B4 10/30/14 10/30/34 100.000 VARIES 4.5064 340.63 0.119161 0.120243 0.121351 0.122483 0.123640 43.23 44.03 CITIGROUP GLBL MKTS HOLD 1730T02D0 10/31/14 10/31/29 100.000 VARIES 4.0094 292.44 0.099163 0.100056 0.100968 0.101898 0.102847 35.97 36.63 CITIGROUP GLBL MKTS HOLD 1730T0T58 06/27/14 06/27/34 100.000 VARIES 4.3618 330.89 0.104266 0.104450 0.104637 0.104829 0.105199 37.57 37.71 CITIGROUP GLBL MKTS HOLD 1730T0C23 11/12/13 11/12/33 100.000 VARIES 4.7621 378.87 0.113773 0.115206 0.116673 0.118204 0.119772 41.36 42.43 CITIGROUP GLBL MKTS HOLD 1730T0SM2 04/29/13 04/29/33 100.000 VARIES 3.4970 303.18 0.090307 0.091389 0.092490 0.093609 0.094493 32.84 33.62 CITIGROUP GLBL MKTS HOLD 1730T0SX8 04/22/13 04/22/23 100.000 VARIES 1.4141 26.27 0.007944 0.88 CITIGROUP GLBL MKTS HOLD 1730T0C56 11/26/13 11/26/33 100.000 VARIES 4.7711 380.58 0.117635 0.119040 0.120478 0.121834 0.123221 42.70 43.71 CITIGROUP GLBL MKTS HOLD 17298C6Z6 02/29/16 03/01/23 100.000 0.000 2.8956 217.19 0.096965 5.82 CITIGROUP GLBL MKTS HOLD 1730T0UG2 07/09/13 07/09/28 100.000 VARIES 4.4999 388.79 0.117078 0.118317 0.119583 0.120572 0.121582 42.80 43.57 CITIGROUP GLBL MKTS HOLD 1730T0UB3 07/09/13 07/09/33 100.000 VARIES 4.7565 417.24 0.127752 0.129242 0.130766 0.132327 0.133925 46.78 47.90 CITIGROUP GLBL MKTS HOLD 17298CJ82 03/20/20 03/20/30 100.000 VARIES 2.2121 9.84 0.009138 0.009239 0.009342 0.009445 0.009549 3.33 3.40 CITIGROUP GLBL MKTS HOLD 17298CJ74 03/04/20 03/04/30 100.000 VARIES 1.9573 8.76 0.008081 0.008160 0.008240 0.008321 0.008402 2.94 3.00 CITIGROUP GLBL MKTS HOLD 1730T0UK3 07/30/13 07/30/33 100.000 VARIES 4.8333 404.18 0.121540 0.123416 0.125337 0.127095 0.128896 44.67 45.98 CITIGROUP GLBL MKTS HOLD 1730T0TT6 06/28/13 06/28/33 100.000 VARIES 4.5398 385.33 0.121016 0.123283 0.125225 0.127211 0.129241 43.99 45.45 CITIGROUP GLBL MKTS HOLD 1730T02P3 10/31/14 10/31/34 100.000 VARIES 4.7455 354.16 0.114848 0.114909 0.114971 0.115035 0.115100 41.36 41.41 CITIGROUP GLBL MKTS HOLD 1730T0U49 07/31/14 07/31/34 100.000 VARIES 4.3417 330.77 0.109644 0.110622 0.111622 0.112643 0.113686 39.95 40.68 CITIGROUP GLBL MKTS HOLD 1730T0TQ2 06/11/13 06/11/33 100.000 VARIES 4.2945 373.07 0.112387 0.113731 0.115104 0.116507 0.117575 40.76 41.74 CITIGROUP GLBL MKTS HOLD 1730T0TZ2 06/27/13 06/27/33 100.000 VARIES 4.6405 403.31 0.124052 0.125788 0.127282 0.128811 0.130375 44.98 46.11 CITIGROUP GLBL MKTS HOLD 1730T02V0 11/26/14 11/26/34 100.000 VARIES 4.2546 305.89 0.111416 0.113637 0.115906 0.118222 0.120589 40.67 42.31 CITIGROUP GLBL MKTS HOLD 1730T0N62 04/29/14 04/29/34 100.000 VARIES 4.5423 341.17 0.108610 0.109872 0.111163 0.112483 0.113818 39.49 40.42 CITIGROUP GLBL MKTS HOLD 1730T0P86 05/30/14 05/30/34 100.000 VARIES 4.4254 323.23 0.102704 0.104185 0.105700 0.107248 0.108825 37.33 38.43 CITIGROUP GLBL MKTS HOLD 17323P249 02/03/16 08/03/23 100.000 0.000 2.9606 225.23 0.099551 0.101025 21.37 CITIGROUP GLBL MKTS HOLD 17323P140 03/03/16 09/01/23 100.000 0.000 3.0322 228.14 0.102408 0.103960 24.86 CITIGROUP GLBL MKTS HOLD 1730T3AX1 09/30/15 09/30/35 100.000 VARIES 4.3723 279.09 0.107076 0.109071 0.111111 0.113456 0.115853 39.27 40.85 CITIGROUP GLBL MKTS HOLD 1730T3AW3 08/31/15 08/31/35 100.000 VARIES 4.4100 290.63 0.108374 0.107632 0.109875 0.109752 0.112685 39.60 40.54 CITIGROUP GLBL MKTS HOLD 1730T3AV5 08/31/15 08/31/35 100.000 VARIES 4.4143 288.30 0.111088 0.111546 0.115116 0.116235 0.120625 41.13 43.02 CITIGROUP GLBL MKTS HOLD 1730T3AZ6 11/30/15 11/30/35 100.000 VARIES 4.3523 278.92 0.113107 0.115419 0.117782 0.119969 0.122204 41.28 42.93 CITIGROUP GLBL MKTS HOLD 1730T3AY9 10/30/15 10/30/35 100.000 VARIES 4.3036 274.69 0.109297 0.111585 0.113922 0.116297 0.118723 40.04 41.73 CITIGROUP GLBL MKTS HOLD 17298CAT5 05/27/15 05/27/25 100.000 VARIES 2.5639 19.73 0.007504 0.007600 0.007698 0.007796 0.007896 2.73 2.80 CITIGROUP GLBL MKTS HOLD 17298CAR9 05/28/15 05/28/35 100.000 VARIES 4.3835 298.12 0.115055 0.117461 0.119642 0.121869 0.124146 42.00 43.62 CITIGROUP GLBL MKTS HOLD 1730T0L31 03/28/14 03/28/34 100.000 VARIES 4.6422 357.77 0.114189 0.115523 0.116887 0.118283 0.119670 41.60 42.59 CITIGROUP GLBL MKTS HOLD 1730T0L64 03/12/14 03/12/34 100.000 VARIES 4.7152 350.06 0.107711 0.109184 0.110693 0.112236 0.113916 39.37 40.48 CITIGROUP GLBL MKTS HOLD 17298CAF5 05/15/15 05/15/30 100.000 VARIES 2.6421 27.74 0.009630 0.009758 0.009886 0.010017 0.010149 3.50 3.59 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ CITIGROUP GLBL MKTS HOLD 17298C5U8 01/29/16 01/31/23 100.000 0.000 3.1492 241.60 0.107197 3.11 CITIGROUP GLBL MKTS HOLD 17298CFV5 01/22/18 01/22/28 100.000 VARIES 3.0673 19.15 0.010626 0.010789 0.010955 0.011123 0.011293 3.91 4.03 CITIGROUP GLBL MKTS HOLD 1730T0VD8 09/18/13 09/18/33 100.000 VARIES 5.1093 419.29 0.129274 0.131321 0.133421 0.135278 0.137184 47.33 48.75 CITIGROUP GLBL MKTS HOLD 17298CFQ6 12/01/17 12/01/27 100.000 VARIES 2.8600 21.68 0.011544 0.011709 0.011877 0.012046 0.012219 4.20 4.32 CITIGROUP GLBL MKTS HOLD 1730T0W21 08/28/14 08/28/34 100.000 VARIES 4.2433 331.25 0.111894 0.112734 0.113593 0.114469 0.115364 40.64 41.27 CITIGROUP GLBL MKTS HOLD 1730T03W7 01/30/15 01/30/35 100.000 VARIES 3.9694 303.68 0.117258 0.119230 0.121242 0.123293 0.124911 43.17 44.57 CITIGROUP GLBL MKTS HOLD 17298C4W5 12/31/15 01/05/23 100.000 0.000 3.1984 248.84 0.109245 0.44 CITIGROUP GLBL MKTS HOLD 1730T0E96 01/29/14 01/29/34 100.000 VARIES 4.6111 341.03 0.103267 0.104820 0.106408 0.108033 0.109758 37.93 39.11 CITIGROUP GLBL MKTS HOLD 17298CGZ5 06/19/19 06/19/26 100.000 VARIES 2.5629 19.15 0.014837 0.015027 0.015220 0.015415 0.015612 5.38 5.52 CITIGROUP GLBL MKTS HOLD 17298C6X1 02/29/16 03/01/23 100.000 0.000 2.8956 217.19 0.096965 5.82 CITIGROUP GLBL MKTS HOLD 17298CGS1 03/29/19 03/29/29 100.000 VARIES 3.1121 19.27 0.013525 0.013736 0.013949 0.014166 0.014387 4.95 5.10 CITIGROUP GLBL MKTS HOLD 17298C6K9 01/29/16 01/29/26 100.000 VARIES 2.4179 33.70 0.013737 0.013903 0.014071 0.014241 0.014413 5.03 5.15 CITIGROUP GLBL MKTS HOLD 17298CGL6 11/28/18 11/28/28 100.000 VARIES 3.8162 24.27 0.015082 0.015370 0.015663 0.015962 0.016266 5.50 5.71 CITIGROUP GLBL MKTS HOLD 17298CGK8 11/20/18 11/20/23 100.000 VARIES 3.5118 13.91 0.009600 0.009769 3.09 CITIGROUP GLBL MKTS HOLD 17298CGC6 08/16/18 08/16/28 100.000 VARIES 3.4665 11.63 0.007016 0.007140 0.007265 0.007393 0.007523 2.62 2.72 CITIGROUP GLBL MKTS HOLD 17298CGD4 09/26/18 09/26/28 100.000 VARIES 3.8142 11.30 0.007068 0.007203 0.007340 0.007480 0.007623 2.59 2.69 CITIGROUP GLBL MKTS HOLD 1730T06D6 03/27/15 03/27/25 100.000 VARIES 3.1775 253.94 0.090252 0.089945 0.089567 0.089183 0.088727 32.37 32.10 CITIGROUP GLBL MKTS HOLD 17298C3F3 10/28/15 10/28/25 100.000 VARIES 2.3916 23.07 0.009172 0.009282 0.009393 0.009505 0.009619 3.34 3.42 CITIGROUP GLBL MKTS HOLD 1730T0G78 02/19/14 02/19/34 100.000 VARIES 4.7124 367.14 0.118724 0.120724 0.122770 0.124866 0.126725 43.63 45.10 CITIGROUP GLBL MKTS HOLD 1730T07K9 04/30/15 04/30/35 100.000 VARIES 4.1098 288.94 0.101176 0.101153 0.101130 0.101107 0.101268 36.42 36.41 CITIGROUP GLBL MKTS HOLD 1730T07D5 04/27/15 04/27/25 100.000 VARIES 2.3818 180.36 0.065589 0.065700 0.065813 0.065927 0.066043 23.65 23.73 City of Boston, MA 100853GH7 11/04/09 09/15/24 89.556 6.050 7.2063 86.21 0.027878 0.028883 0.029923 0.031002 10.43 7.79 City of Hoboken 434110QH8 08/28/03 04/01/27 19.107 0.000 7.1398 551.23 0.144637 0.149801 0.155148 0.160687 0.166423 53.94 57.87 City of Hoboken 434110QP0 08/28/03 04/01/33 12.543 0.000 7.1397 361.86 0.094946 0.098335 0.101846 0.105482 0.109247 35.41 37.99 City of Hoboken 434110QM7 08/28/03 04/01/31 14.432 0.000 7.1398 416.36 0.109248 0.113148 0.117187 0.121370 0.125703 40.75 43.71 City of Hoboken 434110QN5 08/28/03 04/01/32 13.454 0.000 7.1398 388.15 0.101847 0.105482 0.109248 0.113148 0.117187 37.99 40.75 City of Hoboken 434110QL9 08/28/03 04/01/30 15.481 0.000 7.1397 446.62 0.117186 0.121370 0.125703 0.130190 0.134838 43.71 46.88 City of Hoboken 434110QJ4 08/28/03 04/01/28 17.813 0.000 7.1397 513.89 0.134837 0.139650 0.144636 0.149799 0.155147 50.29 53.94 City of Hoboken 434110QK1 08/28/03 04/01/29 16.606 0.000 7.1397 479.07 0.125703 0.130190 0.134838 0.139651 0.144636 46.88 50.29 Clark CNTY SCH DIST, NV 181059QF6 07/08/10 06/15/24 91.490 5.510 6.4445 72.32 0.023602 0.024363 0.025148 8.66 4.12 Coles & Cumberland CNTYS 193792FD5 11/26/13 12/01/23 99.293 VARIES 5.6308 510.09 0.156214 0.156311 51.57 Coles Counties, IL 193792EY0 11/26/13 12/01/23 98.985 VARIES 4.9628 448.71 0.137638 0.137745 45.44 Coles Counties, IL 193792EX2 11/26/13 12/01/23 99.043 VARIES 4.7528 429.88 0.131828 0.131924 43.52 Coles Counties, IL 193792EZ7 11/26/13 12/01/23 98.936 VARIES 5.1717 467.46 0.143420 0.143538 47.35 Coles Counties, IL 193792EW4 11/26/13 12/01/23 99.115 VARIES 4.5919 415.51 0.127377 0.127463 42.05 Coles Counties, IL 193792FB9 11/26/13 12/01/23 99.347 VARIES 5.4215 491.29 0.150422 0.150509 49.66 Coles Counties, IL 193792FA1 11/26/13 12/01/23 98.886 VARIES 5.3302 481.63 0.147804 0.147931 48.80 Coles Counties, IL 193792FC7 11/26/13 12/01/23 99.318 VARIES 5.5264 500.71 0.153325 0.153417 50.61 Coles Counties, IL 193792FF0 11/26/13 12/01/23 99.314 VARIES 6.2344 564.85 0.172954 0.173064 57.09 Coles Counties, IL 193792FE3 11/26/13 12/01/23 99.301 VARIES 5.9329 537.49 0.164594 0.164697 54.33 Coles Counties, IL 193792FH6 11/26/13 12/01/23 118.448 VARIES 6.4777 657.58 0.184179 0.182092 60.40 Coles Counties, IL 193792FG8 11/26/13 12/01/23 99.331 VARIES 6.5352 592.17 0.181298 0.181413 59.85 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Comcast Corporation 200300606 11/15/99 11/15/29 100.000 2.000 10.3811 8044.19 2.442961 2.566881 2.697232 2.834349 2.978584 913.47 1008.63 Comcast Corporation 200300507 10/15/99 10/15/29 100.000 2.000 10.5154 8396.13 2.553516 2.684852 2.823093 2.968602 3.121762 963.39 1065.20 Compucredit Corporation 20478NAA8 05/27/05 05/30/25 100.000 VARIES 9.1299 2907.99 0.805582 0.823179 0.864676 0.888800 0.939123 299.17 323.29 Compucredit Corporation 20478NAB6 05/27/05 05/30/25 100.000 VARIES 9.1299 2907.99 0.805582 0.823179 0.864676 0.888800 0.939123 299.17 323.29 Cook County, IL 215219HM1 06/29/06 06/01/26 29.062 0.000 6.2997 518.46 0.140843 0.145280 0.149856 0.154576 0.159445 51.77 55.09 Cook County, IL 215219HK5 06/29/06 12/01/24 32.181 0.000 6.2498 566.99 0.153501 0.158298 0.163244 0.168345 56.42 54.79 Cook County, IL 215219HL3 06/29/06 12/01/25 30.147 0.000 6.2697 533.81 0.144715 0.149251 0.153930 0.158756 0.163733 53.19 56.58 Cook County, IL 215219HJ8 06/29/06 12/01/23 34.398 0.000 6.2198 601.48 0.162506 0.167560 54.54 Cook County, IL SD #123 214651KH3 10/15/07 12/01/25 32.426 0.000 6.3096 510.08 0.145466 0.150055 0.154789 0.159673 0.164710 53.47 56.90 Cook County, IL SD #123 214651KG5 10/15/07 12/01/24 34.562 0.000 6.2995 542.36 0.154572 0.159441 0.164463 0.169643 56.82 55.21 Cook County, IL SD #123 214651KF7 10/15/07 12/01/23 36.831 0.000 6.2895 576.57 0.164218 0.169383 55.12 Cook County, IL SD #123 214651KK6 10/15/07 06/01/27 29.429 0.000 6.3296 465.16 0.132827 0.137031 0.141368 0.145842 0.150457 48.83 51.97 Cook County, IL SD #123 214651KJ9 10/15/07 12/01/26 30.417 0.000 6.3195 479.62 0.136867 0.141191 0.145653 0.150255 0.155003 50.31 53.54 Cook County, IL SD #155 215219JS6 10/08/09 12/01/24 36.316 0.000 6.7994 516.63 0.165230 0.170847 0.176656 0.182661 60.84 59.38 Cook County, IL SD #155 215219JT4 10/08/09 12/01/25 33.703 0.000 6.8494 484.70 0.155454 0.160778 0.166284 0.171979 0.177869 57.25 61.23 Cook County, IL SD #155 215219JR8 10/08/09 12/01/23 39.094 0.000 6.7493 550.10 0.175441 0.181361 58.96 Cook County, IL SD #155 215219JW7 10/08/09 12/01/28 26.292 0.000 7.0995 398.95 0.129758 0.134364 0.139134 0.144073 0.149187 47.82 51.28 Cook County, IL SD #155 215219JX5 10/08/09 06/01/29 25.151 0.000 7.1494 385.70 0.125797 0.130294 0.134952 0.139776 0.144772 46.37 49.75 Cook County, IL SD #155 215219JU1 10/08/09 12/01/26 31.248 0.000 6.8993 454.28 0.146107 0.151147 0.156361 0.161755 0.167335 53.81 57.59 Cook County, IL SD #155 215219JV9 10/08/09 12/01/27 28.691 0.000 6.9993 426.17 0.137837 0.142660 0.147653 0.152820 0.158169 50.78 54.40 Cook County, IL SD #89 214201GS8 11/29/10 12/15/26 27.332 0.000 8.2497 453.04 0.165844 0.172685 0.179808 0.187225 0.194947 61.16 66.31 Cook County, IL SD #89 214201GQ2 11/29/10 12/15/25 30.724 0.000 7.9997 485.89 0.175620 0.182645 0.189950 0.197548 0.205450 64.72 70.00 Cook County, IL SD #89 214201GR0 11/29/10 12/15/26 109.444 VARIES 7.6950 998.73 0.221390 0.220557 0.219691 0.218792 0.217858 79.52 78.90 Cook County, IL SD #89 214201GL3 12/13/07 12/01/23 36.291 0.000 6.4499 580.63 0.168143 0.173565 56.46 Cook County, IL SD #89 214201GP4 11/29/10 12/15/24 34.234 0.000 7.7796 519.06 0.185509 0.192725 0.200221 0.208010 68.32 70.28 Cook County, IL SD #89 214201GM1 12/13/07 12/01/24 33.947 0.000 6.4699 545.70 0.158229 0.163347 0.168632 0.174087 58.20 56.63 Cook County, Illinois 214723CZ9 09/07/05 12/01/23 36.271 0.000 5.6396 587.64 0.148181 0.152359 49.65 Cook County, Illinois 214723DA3 09/07/05 12/01/24 33.990 0.000 5.6895 558.20 0.141268 0.145287 0.149420 0.153670 51.82 50.07 Cook County, Illinois 215219GQ3 06/02/05 12/01/23 36.261 0.000 5.5601 588.41 0.146205 0.150269 48.98 Cook County, Illinois 215219GR1 06/02/05 12/01/24 34.002 0.000 5.6101 559.41 0.139511 0.143424 0.147447 0.151583 51.17 49.40 Corvallie, Benton County 2208855T0 03/12/02 01/01/23 23.613 0.000 7.0594 763.87 Credit Agricole Corp and 22533AL96 09/13/23 09/11/25 100.000 0.000 5.3500 0.148611 0.152542 0.156623 16.05 55.09 Credit Agricole Corporat 22533AHZ3 01/18/23 01/18/25 100.000 VARIES 4.4505 0.123624 0.123624 0.123624 0.123624 0.123624 42.28 44.50 Credit Suisse 22547WQ22 02/11/16 02/10/23 100.000 0.000 1.8032 131.64 0.056286 2.20 Credit Suisse AG 22551NWL6 04/01/20 10/02/25 100.000 0.000 3.0199 85.95 0.090422 0.091787 0.093173 0.094580 0.096008 33.04 34.05 Credit Suisse AG 22552FJ52 06/28/19 06/28/24 100.000 0.000 2.3699 86.17 0.071491 0.072338 0.073195 25.89 12.96 Credit Suisse AG 22551N6K7 11/29/19 02/29/24 100.000 0.000 2.0697 65.70 0.060843 0.061469 0.062109 22.17 3.60 Credit Suisse AG 22552FDW9 06/05/19 06/05/24 100.000 0.000 2.3699 87.81 0.071491 0.072338 0.073195 25.93 11.27 Credit Suisse AG 22551ND78 12/31/19 09/29/23 100.000 0.000 2.0695 63.80 0.060833 0.061463 16.42 Credit Suisse AG 22551LXX3 03/29/19 03/29/24 100.000 0.000 2.5700 100.67 0.078063 0.079066 0.080082 28.47 7.05 Credit Suisse AG 22551LVQ0 03/05/19 03/04/24 100.000 0.000 2.5700 102.55 0.078057 0.079060 0.080076 28.52 5.04 Credit Suisse AG London 22552FHW5 06/28/19 09/30/24 100.000 0.000 2.3697 86.20 0.071074 0.071916 0.072768 0.073630 25.89 19.73 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG London 22548Y124 07/05/19 06/27/25 100.000 0.000 2.3699 85.68 0.071453 0.072300 0.073156 0.074023 0.074900 25.88 26.50 Credit Suisse AG London 22551LQP8 01/03/19 01/03/24 100.000 0.000 2.8700 120.56 0.088083 0.089347 0.090629 32.39 0.18 Credit Suisse AG London 22552FJ45 06/28/19 06/28/24 100.000 0.000 2.3699 86.17 0.071491 0.072338 0.073195 25.89 12.96 Credit Suisse AG London 22551LRH5 01/31/19 02/01/24 100.000 0.000 2.8700 118.18 0.088089 0.089353 0.090635 32.32 2.72 Credit Suisse AG London 22551LRW2 02/05/19 02/05/24 100.000 0.000 2.6101 106.60 0.079390 0.080426 0.081476 29.07 2.77 Credit Suisse AG London 22552FL26 07/29/19 07/29/24 100.000 0.000 2.4409 86.58 0.072921 0.073811 0.074712 0.075624 26.68 15.70 Credit Suisse AG London 22551LSS0 01/25/19 01/24/24 100.000 0.000 2.8700 118.62 0.088077 0.089341 0.090623 32.33 2.08 Credit Suisse AG London 22551LST8 01/25/19 01/24/24 100.000 0.000 2.8700 118.62 0.088077 0.089341 0.090623 32.33 2.08 Credit Suisse AG London 22552FLG5 07/26/19 07/26/24 100.000 0.000 2.4299 86.40 0.072571 0.073453 0.074345 0.075248 26.56 15.40 Credit Suisse AG London 22552FLJ9 07/26/19 07/26/24 100.000 0.000 2.4299 86.40 0.072571 0.073453 0.074345 0.075248 26.56 15.40 Credit Suisse AG London 22552FM25 07/29/19 01/27/23 100.000 0.000 2.3138 81.92 0.068855 1.79 Credit Suisse AG London 22552FDP4 05/31/19 05/31/24 100.000 0.000 2.7591 103.27 0.084355 0.085519 0.086699 30.65 12.92 Credit Suisse AG London 22552FDM1 05/31/19 05/31/24 100.000 0.000 2.3601 87.79 0.071168 0.072007 0.072857 25.82 10.86 Credit Suisse AG London 22552FDV1 05/31/19 05/31/24 100.000 0.000 2.3601 87.79 0.071168 0.072007 0.072857 25.82 10.86 Credit Suisse AG London 22552FVG4 09/27/19 03/27/25 100.000 0.000 2.1800 73.28 0.064624 0.065328 0.066040 0.066760 0.067488 23.52 24.04 Credit Suisse AG London 22552FVH2 09/27/19 09/27/23 100.000 0.000 2.0499 68.79 0.060535 0.061156 16.21 Credit Suisse AG London 22551LN48 01/03/19 01/03/24 100.000 0.000 2.8700 120.56 0.088083 0.089347 0.090629 32.39 0.18 Credit Suisse AG London 22551LN30 12/31/18 12/29/23 100.000 0.000 2.7300 114.65 0.084514 0.085667 30.46 Credit Suisse AG London 22551LN63 12/31/18 12/29/23 100.000 0.000 2.7268 114.51 0.084404 0.085555 30.42 Credit Suisse AG London 22552FWD0 09/30/19 12/29/23 100.000 0.000 2.0796 69.63 0.061782 0.062424 22.23 Credit Suisse AG London 22552FWE8 09/30/19 06/28/24 100.000 0.000 2.1798 73.08 0.064962 0.065670 0.066386 23.52 11.75 Credit Suisse AG London 22552FWF5 10/03/19 10/04/23 100.000 0.000 2.0504 68.44 0.060552 0.061173 16.64 Credit Suisse AG London 22551LXW5 03/29/19 03/29/24 100.000 0.000 2.5700 100.67 0.078063 0.079066 0.080082 28.47 7.05 Credit Suisse AG London 22552FA44 05/03/19 05/03/24 100.000 0.000 2.3601 89.71 0.071168 0.072007 0.072857 25.87 8.89 Credit Suisse AG London 22552FA36 04/30/19 04/30/24 100.000 0.000 2.5300 96.66 0.076742 0.077713 0.078696 27.92 9.36 Credit Suisse AG London 22550WNS2 04/18/18 04/18/23 100.000 0.000 3.4700 175.65 0.112527 12.04 Credit Suisse AG London 22550WP43 04/30/18 04/28/23 100.000 0.000 3.5000 175.93 0.113632 13.29 Credit Suisse AG London 22551LZU7 03/29/19 03/29/24 100.000 0.000 2.5700 100.67 0.078063 0.079066 0.080082 28.47 7.05 Credit Suisse AG London 22551LZV5 04/03/19 04/02/24 100.000 0.000 2.5300 98.74 0.076736 0.077707 0.078690 27.97 7.16 Credit Suisse AG London 22552FBX9 05/31/19 06/03/24 100.000 0.000 2.3600 87.79 0.071181 0.072021 0.072871 25.82 11.08 Credit Suisse AG London 22551LJP6 11/30/18 11/30/23 100.000 0.000 3.0301 130.77 0.094927 0.096365 31.49 Credit Suisse AG London 22552FBV3 05/31/19 06/03/24 100.000 0.000 2.3600 87.79 0.071181 0.072021 0.072871 25.82 11.08 Credit Suisse AG London 22552FLZ3 07/29/19 04/27/23 100.000 0.000 2.3133 81.93 0.069239 8.03 Credit Suisse AG London 22552FMC3 08/01/19 08/03/23 100.000 0.000 2.3500 83.11 0.070025 0.070848 14.99 Credit Suisse AG London 22551L3R9 08/10/18 08/12/25 100.000 0.000 2.9800 138.74 0.093190 0.094578 0.095988 0.097418 0.098869 34.19 35.21 Credit Suisse AG London 22551LVE7 02/22/19 02/22/24 100.000 0.000 2.6101 105.25 0.079390 0.080426 0.081476 29.04 4.16 Credit Suisse AG London 22551LVC1 02/22/19 02/22/24 100.000 0.000 2.6101 105.25 0.079390 0.080426 0.081476 29.04 4.16 Credit Suisse AG London 22551LFL9 10/30/18 10/30/24 100.000 0.000 3.0899 136.41 0.097032 0.098531 0.100053 0.101599 35.39 30.19 Credit Suisse AG Nassau 22552WLY9 09/24/20 09/24/27 100.000 0.000 1.2420 28.50 0.035366 0.035585 0.035806 0.036029 0.036252 12.81 12.97 Credit Suisse AG Nassau 22550WHJ9 03/07/18 03/07/23 100.000 0.000 3.2901 170.24 0.105846 6.99 Credit Suisse AG Nassau 22552W4L6 05/28/20 05/28/27 100.000 0.000 1.9169 50.69 0.055848 0.056383 0.056923 0.057469 0.058020 20.24 20.63 Credit Suisse AG Nassau 22549E606 04/05/18 04/05/23 100.000 0.000 3.4300 174.92 0.111035 10.44 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Credit Suisse AG Nassau 22550BMY6 10/31/17 04/28/23 100.000 0.000 2.2940 125.16 0.071412 8.36 Credit Suisse AG Nassau 22549M137 05/03/18 05/06/25 100.000 0.000 3.7900 191.30 0.124695 0.127058 0.129466 0.131919 0.134419 45.58 47.32 Credit Suisse USA, Inc. 22548QKG9 10/28/16 10/30/23 100.000 0.000 1.6003 103.44 0.048920 0.049311 14.70 Credit Suisse USA, Inc. 22546VUX2 02/10/16 02/10/26 100.000 VARIES 2.2723 40.25 0.016468 0.016655 0.016844 0.017036 0.017229 6.02 6.15 Credit Suisse USA, Inc. 22547WQE6 08/12/16 08/14/23 100.000 VARIES N/A 24.62 0.010551 0.010503 2.34 Credit Suisse USA, Inc. 22547WQ89 04/27/16 05/01/23 100.000 0.000 1.5175 106.23 0.046512 5.58 Credit Suisse USA, Inc. 22542DFF2 02/28/17 02/28/24 103.000 0.125 2.1990 139.94 0.070514 0.071251 0.071996 25.70 4.10 Credit Suisse USA, Inc. 22548QHX6 09/28/16 09/26/24 100.000 0.000 1.3289 86.43 0.039966 0.040231 0.040498 0.040768 14.49 10.78 Credit Suisse USA, Inc. 22548Q6L4 05/20/16 05/20/31 100.000 VARIES 3.7259 246.43 0.103500 0.103498 0.103497 0.103496 0.103497 37.26 37.26 Credit Suisse USA, Inc. 22546VRL2 12/23/15 12/23/25 100.000 VARIES 2.4835 21.40 0.008862 0.008972 0.009083 0.009196 0.009310 3.21 3.29 Credit Suisse USA, Inc. 22548X2E9 12/05/16 12/05/23 100.000 0.125 2.0339 130.31 0.063341 0.063950 21.27 Credit Suisse USA, Inc. 22548QN35 11/28/16 11/28/23 100.000 0.000 1.9557 125.88 0.061054 0.061651 20.07 Credit Suisse USA, Inc. 22548QL37 10/20/16 10/20/26 100.000 VARIES 2.2705 38.35 0.017270 0.017466 0.017665 0.017865 0.018068 6.28 6.42 Credit Suisse USA, Inc. 22546VMW3 10/30/15 10/31/25 100.000 1.500 2.5533 189.97 0.076189 0.075383 0.076658 0.076273 0.077998 27.69 28.07 Credit Suisse USA, Inc. 22546VPW0 11/30/15 05/30/23 100.000 0.000 1.9020 143.56 0.060320 8.99 Credit Suisse USA, Inc. 22546VPR1 11/30/15 11/28/23 100.000 0.000 1.9529 147.66 0.062147 0.062754 20.43 Credit Suisse USA, Inc. 22546VPQ3 11/30/15 11/28/25 100.000 1.500 2.5442 186.82 0.076282 0.076722 0.077168 0.077620 0.078077 27.57 27.89 Credit Suisse USA, Inc. 22548Q3E3 04/14/16 04/14/26 100.000 VARIES 2.5023 36.97 0.015846 0.016044 0.016245 0.016448 0.016654 5.77 5.92 Credit Suisse USA, Inc. 22548Q2Q7 04/28/16 04/28/26 100.000 VARIES 2.7488 58.68 0.024863 0.025205 0.025551 0.025902 0.026258 9.06 9.31 DAYTON-MONTGOMERY CNTY 23981CAC2 03/04/21 06/15/26 93.000 8.750 10.5102 20.09 0.034164 0.035959 0.037849 0.039838 0.041931 12.68 14.05 DENISON TEX INDPT SCH DI 248415XR7 02/27/20 08/01/25 90.051 0.000 1.9399 50.85 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Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Deutsche Bank AG 25152RVD2 06/28/13 06/28/33 100.000 VARIES 2.0551 180.52 0.054467 0.054855 0.055247 0.055643 0.055936 19.68 19.96 Deutsche Bank AG 25152RVT7 03/31/14 03/31/34 100.000 VARIES 1.1016 84.10 0.026968 0.027117 0.027266 0.027416 0.027567 9.76 9.87 Deutsche Bank AG 25152RXB4 06/30/14 06/30/34 100.000 VARIES 1.0463 78.31 0.025778 0.025912 0.026048 0.026184 0.026321 9.30 9.40 Deutsche Bank AG 25152RXE8 09/30/14 09/30/29 100.000 VARIES 1.1689 87.82 0.029925 0.030100 0.030276 0.030453 0.030631 10.84 10.96 Deutsche Bank AG 25152RXC2 08/28/14 08/28/34 100.000 VARIES 0.8844 65.57 0.022098 0.022195 0.022293 0.022392 0.022491 8.00 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0.091168 0.091205 0.091244 0.091283 0.091322 32.84 32.86 EXPEDIA GROUP INC 30212PBB0 07/14/20 08/01/27 99.997 4.625 4.8755 120.12 0.135428 0.135428 0.135428 0.135429 0.135429 48.75 48.75 EXPEDIA GROUP INC 30212PAS4 05/05/20 05/01/25 100.000 6.250 6.7500 179.25 0.187500 0.187500 0.187500 0.187500 0.187500 67.50 67.50 East Orange NJ 274137WU8 04/14/03 04/01/23 27.886 0.000 6.5000 705.40 0.174872 15.74 East Orange NJ 274137WV6 04/14/03 04/01/24 26.105 0.000 6.5100 662.11 0.164265 0.169612 0.175133 61.08 15.76 East Orange NJ 274137WW4 04/14/03 04/01/25 24.381 0.000 6.5300 621.69 0.154471 0.159514 0.164723 0.170101 0.175655 57.44 61.25 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ East Orange NJ 274137WX2 04/14/03 04/01/26 22.763 0.000 6.5499 583.50 0.145200 0.149955 0.154866 0.159937 0.165175 54.00 57.59 East Orange NJ 274137WY0 04/14/03 04/01/27 21.292 0.000 6.5600 547.26 0.136288 0.140758 0.145375 0.150143 0.155068 50.69 54.07 East Orange NJ 274137WZ7 04/14/03 04/01/28 19.913 0.000 6.5700 513.17 0.127895 0.132096 0.136435 0.140917 0.145547 47.57 50.74 Eclipse Resources Corp. U2779QAA2 07/06/15 07/15/23 97.903 8.875 9.2509 19.04 0.009539 0.009980 1.93 Exelon Corporation 30161NAE1 06/17/14 06/01/24Y 100.000 VARIES 4.8846 435.07 0.138156 0.137351 0.136527 49.54 20.48 FABENS TEX INDPT SCH DIS 302783MM4 12/21/21 02/15/30 84.263 0.000 2.1119 18.41 0.050112 0.050641 0.051176 0.051716 0.052262 18.28 18.67 FABENS TEX INDPT SCH DIS 302783ML6 12/21/21 02/15/29 86.663 0.000 2.0119 18.03 0.049068 0.049561 0.050060 0.050563 0.051072 17.89 18.25 FAIRFIELD OHIO CITY SCH 304657NX3 11/06/19 11/01/31 68.568 0.000 3.1731 71.57 0.066393 0.067447 0.068517 0.069604 0.070708 24.22 24.99 FAIRFIELD OHIO CITY SCH 304657NY1 11/06/19 11/01/32 66.020 0.000 3.2230 70.04 0.065028 0.066076 0.067141 0.068223 0.069323 23.73 24.50 FAIRFIELD OHIO CITY SCH 304657NV7 11/06/19 11/01/29 73.964 0.000 3.0430 73.91 0.068421 0.069462 0.070518 0.071591 0.072681 24.94 25.71 FAIRFIELD OHIO CITY SCH 304657NW5 11/06/19 11/01/30 71.376 0.000 3.0931 72.55 0.067212 0.068251 0.069306 0.070378 0.071467 24.51 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6.8127 741.06 0.171149 0.176978 0.183007 62.99 27.82 Federal Home Loan 312902VJ5 04/25/00 01/04/23 22.536 0.000 6.6749 774.10 0.179427 0.54 Federal Home Loan 312902VL0 04/25/00 01/04/25 20.007 0.000 6.6235 677.27 0.156328 0.161506 0.166854 0.172380 0.178089 59.07 63.05 Federal Home Loan 312902VK2 04/25/00 01/04/24 21.145 0.000 6.6664 724.57 0.167831 0.173425 0.179206 63.44 0.54 Federal Home Loan 312902VN6 04/25/00 01/04/27 17.654 0.000 6.6034 594.20 0.136930 0.141451 0.146121 0.150945 0.155929 51.74 55.21 Federal Home Loan 312902VM8 04/25/00 01/04/26 18.780 0.000 6.6160 634.38 0.146337 0.151178 0.156179 0.161346 0.166683 55.29 59.01 Federal Home Loan 3134A3ZU3 08/02/99 12/14/29 15.469 0.000 6.2411 497.61 0.112752 0.116271 0.119899 0.123640 0.127499 41.35 43.97 Federal Home Loan 3134A2G77 12/28/98 11/15/28 20.230 0.000 5.4199 528.25 0.109229 0.112189 0.115229 0.118352 0.121559 40.13 42.34 Federal Home Loan 3134A2HG6 06/30/98 12/11/25 19.896 0.000 5.9700 642.04 0.139004 0.143153 0.147426 0.151827 0.156359 50.96 54.04 Federal Home Loan 3128X5LK2 10/02/06 10/02/34 24.784 0.000 5.0446 309.01 0.077070 0.079014 0.081007 0.083050 0.085145 28.45 29.90 Federal Home Loan 312902LX5 12/17/99 12/17/29 14.255 0.000 6.6001 493.81 0.116370 0.120210 0.124177 0.128275 0.132508 42.69 45.56 Federal Home Loan 3128X0AZ2 10/03/02 01/02/34 19.160 0.000 5.3582 367.30 0.083198 0.087715 30.35 32.00 Federal Home Loan 3134A3D29 09/09/99 08/15/27 14.928 0.000 6.9258 580.80 0.136874 0.141614 0.146518 0.151592 0.156841 51.44 55.06 Federal Home Loan 3128X52H0 04/03/07 04/02/37 21.177 0.000 5.2422 266.56 0.068762 0.070564 0.072414 0.074312 0.076259 25.40 26.75 Federal Home Loan Banks 3130AT4J3 09/15/22 09/15/27 100.000 VARIES 3.5100 4.48 0.007685 0.040722 0.039451 0.038696 0.039061 14.64 14.23 Federal Home Loan Banks 3130ASTQ2 08/25/22 08/25/27 100.000 VARIES 3.2700 7.93 0.061413 0.061657 0.059891 0.060110 0.059022 22.26 21.85 Federal Home Loan Banks 3130AWHW3 06/28/23 06/28/27 98.750 4.500 4.8500 0.007772 0.008033 0.008251 0.008516 1.46 4.43 Federal Home Loan Mortga 3134GYA28 12/30/22 12/30/24 100.000 VARIES 4.6431 0.174568 0.017362 0.017310 0.017310 6.25 6.23 Federal National 3136F7NM5 11/15/05 11/15/30 26.938 0.000 5.3159 392.31 0.097050 0.099630 0.102278 0.104996 0.107787 35.64 37.56 Federal National 3136F3LA2 04/04/03 10/03/33 20.285 0.000 5.2999 366.92 0.082808 0.085003 0.087255 0.089567 0.091941 30.60 32.24 Federal National 3136F1EQ9 12/27/01 03/17/31 16.751 0.000 6.2082 437.87 0.102559 0.105742 0.109025 0.112409 0.115898 38.17 40.57 Federal National 3136F4R55 01/07/04 12/15/34 18.268 0.000 5.5708 335.78 0.080032 0.082261 0.084552 0.086907 0.089328 29.28 30.94 Federal National 3136F3ZC3 06/09/03 12/15/33 23.674 0.000 N/A 362.66 0.079846 0.081764 0.083729 0.085741 0.087801 29.15 30.57 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 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49.59 0.021297 0.022143 0.023023 0.023939 0.024890 8.05 8.71 Forney Independent SD 3464243A0 02/18/14 08/15/45 10.143 0.000 7.4002 91.82 0.038645 0.040075 0.041558 0.043096 0.044690 14.57 15.66 Forney Independent SD 3464243B8 02/18/14 08/15/46 9.141 0.000 7.5003 84.25 0.035589 0.036924 0.038308 0.039745 0.041236 13.42 14.45 Forney Independent SD 3464243C6 02/18/14 08/15/47 8.223 0.000 7.6001 77.14 0.032707 0.033950 0.035240 0.036579 0.037969 12.34 13.30 Forney Independent SD 3464243D4 02/18/14 08/15/48 7.382 0.000 7.7003 70.48 0.029994 0.031149 0.032348 0.033593 0.034887 11.33 12.21 Forney Independent SD 3464243E2 02/18/14 08/15/49 6.615 0.000 7.8003 64.27 0.027450 0.028520 0.029633 0.030788 0.031989 10.37 11.20 Forney Independent SD 3464242X1 02/18/14 08/15/42 13.145 0.000 7.2501 115.80 0.048468 0.050225 0.052045 0.053932 0.055887 18.25 19.60 Forney Independent SD 3464242Y9 02/18/14 08/15/43 12.068 0.000 7.3002 107.29 0.044989 0.046631 0.048333 0.050097 0.051926 16.95 18.21 Forney Independent SD 3464242Z6 02/18/14 08/15/44 11.069 0.000 7.3502 99.31 0.041718 0.043251 0.044840 0.046488 0.048197 15.72 16.90 Forney Independent SD 3464242U7 02/18/14 08/15/39 16.888 0.000 7.1001 144.72 0.060235 0.062374 0.064588 0.066881 0.069255 22.66 24.30 Forney Independent SD 3464242V5 02/18/14 08/15/40 15.550 0.000 7.1501 134.50 0.056082 0.058087 0.060164 0.062315 0.064542 21.11 22.64 Forney Independent SD 3464242W3 02/18/14 08/15/41 14.304 0.000 7.2001 124.86 0.052162 0.054040 0.055986 0.058001 0.060089 19.64 21.08 Forney Independent SD 346424X90 08/27/13 08/15/38 17.946 0.000 7.0000 161.93 0.064670 0.066934 0.069276 0.071701 0.074211 24.32 26.05 Forney Independent SD 346424Y40 08/27/13 08/15/41 14.210 0.000 7.0999 130.67 0.052391 0.054250 0.056176 0.058171 0.060236 19.71 21.13 Forney Independent SD 346424Y57 08/27/13 08/15/42 13.252 0.000 7.1001 121.86 0.048860 0.050594 0.052390 0.054250 0.056176 18.38 19.71 Forney Independent SD 346424Y65 08/27/13 08/15/43 12.359 0.000 7.1000 113.65 0.045567 0.047185 0.048860 0.050594 0.052390 17.14 18.38 Forney Independent SD 346424Y24 08/27/13 08/15/39 16.544 0.000 7.0499 150.70 0.060304 0.062430 0.064631 0.066909 0.069268 22.68 24.31 Forney Independent SD 346424Y32 08/27/13 08/15/40 15.436 0.000 7.0501 140.61 0.056267 0.058251 0.060304 0.062430 0.064631 21.16 22.68 Freddie Mac 3128X7N59 06/30/08 06/30/38 21.820 0.000 5.1394 237.28 0.065016 0.066686 0.068400 0.070158 0.071961 23.71 24.94 Freddie Mac 3128X8DG4 12/29/08 02/15/39 40.774 0.000 2.9999 211.02 0.050984 0.051749 0.052525 0.053313 0.054113 18.70 19.27 Freddie Mac 3128X75U4 11/24/08 11/15/38 27.529 0.000 4.3499 229.82 0.060695 0.062016 0.063364 0.064743 0.066151 22.21 23.19 Freddie Mac 3128X74S0 11/04/08 11/15/38 26.387 0.000 4.4860 230.68 0.061275 0.062649 0.064054 0.065491 0.066960 22.43 23.45 Freddie Mac 3128X9MG2 11/10/09 12/15/36 29.600 0.000 4.5434 238.22 0.067286 0.068815 0.070378 0.071977 0.073612 24.55 25.68 Freddie Mac 3128X9MF4 11/10/09 09/15/36 29.930 0.000 4.5439 240.94 0.067289 0.068818 0.070381 0.071980 0.073615 24.83 25.97 Freddie Mac 3128X6WP7 12/21/07 12/21/37 22.860 0.000 4.9803 250.18 0.066144 0.067791 0.069479 0.071209 0.072982 24.14 25.36 GCI LIBERTY INC 36164VAA5 06/18/18 09/30/46 100.000 1.750 6.9511 351.56 0.242238 0.248967 0.255931 0.263136 0.270592 89.66 94.77 GDB DEBT RECOVERY AUTH 36829QAA3 11/29/18 08/20/40 100.000 7.500 0.0000 65.67 0.045413 0.044851 0.041381 0.040874 0.037313 8.66 7.21 GLADEWATER CNTY LINE IND 376470DD9 12/31/20 08/15/26 93.714 0.000 1.1575 21.92 0.030701 0.030879 0.031058 0.031237 0.031418 11.13 11.26 GLADEWATER CNTY LINE IND 376470DC1 12/31/20 08/15/25 95.691 0.000 0.9546 18.43 0.025769 0.025892 0.026016 0.026140 0.026265 9.33 9.42 GLADEWATER CNTY LINE IND 376470DB3 12/31/20 08/15/24 97.131 0.000 0.8046 15.75 0.021994 0.022082 0.022171 0.022260 7.96 4.98 GOOSE CREEK TEX CONS IND 382604Z33 11/17/20 02/15/27 91.656 0.000 1.4001 27.55 0.036524 0.036780 0.037037 0.037296 0.037558 13.26 13.45 GOOSE CREEK TEX CONS IND 382604Y83 11/17/20 02/15/26 93.148 0.000 1.3579 27.15 0.035975 0.036219 0.036465 0.036713 0.036962 13.06 13.24 GRANBURY TEX INDPT SCH 385064SF8 06/25/20 08/01/28 83.987 0.000 2.1660 46.81 0.052870 0.053443 0.054021 0.054606 0.055198 19.31 19.73 GRANBURY TEX INDPT SCH 385064SB7 06/25/20 08/01/24 94.332 0.000 1.4281 34.40 0.038557 0.038833 0.039110 0.039389 14.01 8.26 GRANBURY TEX INDPT SCH 385064SC5 06/25/20 08/01/25 92.530 0.000 1.5280 36.14 0.040550 0.040860 0.041172 0.041487 0.041804 14.75 14.97 GRANBURY TEX INDPT SCH 385064SD3 06/25/20 08/01/26 89.407 0.000 1.8439 42.28 0.047594 0.048033 0.048476 0.048923 0.049374 17.35 17.67 GRANBURY TEX INDPT SCH 385064SE1 06/25/20 08/01/27 87.165 0.000 1.9440 43.50 0.049022 0.049498 0.049980 0.050465 0.050956 17.88 18.23 GRANBURY TEX INDPT SCH 385064SA9 06/25/20 08/01/23 96.350 0.000 1.2030 29.53 0.033017 0.033216 6.97 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GREENVILLE OHIO CITY SCH 396352HE9 11/26/19 01/01/26 85.114 0.000 2.6608 72.63 0.068276 0.069185 0.070105 0.071038 0.071983 24.74 25.41 GREENVILLE OHIO CITY SCH 396352HF6 11/26/19 01/01/27 82.085 0.000 2.8008 73.86 0.069608 0.070583 0.071572 0.072574 0.073590 25.23 25.95 GREENVILLE OHIO CITY SCH 396352HC3 11/26/19 01/01/24 90.772 0.000 2.3768 68.93 0.064480 0.065247 23.35 GREENVILLE OHIO CITY SCH 396352HD1 11/26/19 01/01/25 87.834 0.000 2.5610 72.04 0.067608 0.068473 0.069350 0.070238 24.49 25.13 GREENVILLE OHIO CITY SCH 396352HG4 11/26/19 01/01/28 79.515 0.000 2.8508 72.87 0.068739 0.069719 0.070712 0.071720 0.072743 24.92 25.64 GREENVILLE OHIO CITY SCH 396352HH2 11/26/19 01/01/29 76.605 0.000 2.9509 72.77 0.068758 0.069772 0.070802 0.071847 0.072907 24.94 25.68 GREENVILLE OHIO CITY SCH 396352HB5 11/26/19 01/01/23 93.085 0.000 2.3267 69.15 GREENVILLE TEX INDPT SCH 396730MR1 09/24/20 02/15/23 98.265 0.000 0.7331 16.46 0.020289 0.89 GREENWOOD TEX INDPT SCH 397370HZ3 12/05/19 02/15/25 87.541 0.000 2.5777 71.70 0.067163 0.068028 0.068905 0.069793 0.070693 24.57 25.21 GREENWOOD TEX INDPT SCH 397370HY6 12/05/19 02/15/24 90.290 0.000 2.4497 70.16 0.065606 0.066410 0.067223 23.98 2.96 GREENWOOD TEX INDPT SCH 397370HX8 12/05/19 02/15/23 92.896 0.000 2.3197 68.24 0.063696 2.80 GREENWOOD TEX INDPT SCH 397370JA6 12/05/19 02/15/26 84.807 0.000 2.6777 72.25 0.067770 0.068677 0.069596 0.070528 0.071473 24.81 25.48 GS FINANCE CORP 40057RKJ6 05/03/23 05/03/27 100.000 0.000 4.9900 0.138611 0.142069 0.145614 0.149247 33.19 52.20 GS FINANCE CORP 40057PVD1 03/13/23 03/22/28 100.000 0.000 5.5900 0.155278 0.155495 0.159841 0.164308 0.168901 45.21 59.24 GS FINANCE CORP 40057PEC2 01/31/23 02/09/28 100.000 0.000 4.8500 0.134722 0.134886 0.138157 0.141507 0.144938 45.11 51.30 GS FINANCE CORP 40057LZW4 05/25/22 05/23/25 100.000 0.000 3.7528 22.59 0.106179 0.108171 0.110201 0.112269 0.114375 38.74 40.20 GS FINANCE CORP 40057PVC3 03/08/23 04/08/24 100.000 0.000 5.5625 0.154514 0.155230 0.159547 45.82 15.48 GS FINANCE CORP 40057TQN7 08/28/23 10/16/24 100.000 0.000 5.9800 0.166111 0.167436 0.172442 20.53 48.62 GS FINANCE CORP 40057LZX2 05/25/22 05/23/25 100.000 0.000 3.7528 22.59 0.106179 0.108171 0.110201 0.112269 0.114375 38.74 40.20 GS FINANCE CORP 40057PVB5 04/04/23 04/04/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 37.99 53.40 GS FINANCE CORP 40057MLU1 07/21/22 07/20/27 100.000 0.000 4.7658 21.18 0.132383 0.135520 0.138750 0.142056 0.145441 49.25 51.62 GS FINANCE CORP 40057NP84 11/02/22 11/04/25 100.000 0.000 5.8600 9.61 0.162831 0.167602 0.172512 0.177567 0.182770 60.03 63.60 GS FINANCE CORP 40057TQR8 08/09/23 08/18/28 100.000 0.000 5.4700 0.151944 0.152152 0.156314 0.160589 21.60 56.65 GS FINANCE CORP 40057LZZ7 05/18/22 05/18/32 100.000 0.000 4.7100 29.31 0.133914 0.137068 0.140296 0.143600 0.146982 49.05 51.39 GS FINANCE CORP 40057RKK3 05/03/23 05/03/28 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 33.39 52.53 GS FINANCE CORP 40057PW73 03/31/23 04/11/28 100.000 0.000 5.1600 0.143333 0.143559 0.147263 0.151063 0.154960 39.20 54.31 GS FINANCE CORP 40057PW65 03/31/23 04/01/30 100.000 0.000 5.2500 0.145833 0.149683 0.153612 0.157644 39.87 55.31 GS FINANCE CORP 40057PW57 03/31/23 03/31/28 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 39.18 54.31 GS FINANCE CORP 40057PVT6 03/28/23 04/02/29 100.000 0.146 5.1788 0.144927 0.147527 0.150164 0.152871 40.03 54.96 GS FINANCE CORP 40057PW40 03/31/23 04/01/30 100.000 0.000 5.2500 0.145833 0.149683 0.153612 0.157644 39.87 55.31 GS FINANCE CORP 40057PW32 03/31/23 04/02/26 100.000 0.000 5.1300 0.142500 0.142541 0.146197 0.149947 0.153793 38.95 53.98 GS FINANCE CORP 40057MMG1 07/22/22 07/20/27 100.000 0.000 4.7658 21.05 0.132383 0.135503 0.138732 0.142038 0.145422 49.24 51.62 GS FINANCE CORP 40057PW24 03/31/23 01/02/26 100.000 0.000 5.1713 0.143647 0.145546 0.149309 0.153170 39.27 54.44 GS FINANCE CORP 40057NPH4 10/28/22 11/01/27 100.000 0.000 6.1800 10.82 0.171755 0.177062 0.182534 0.188174 0.193988 63.43 67.41 GS FINANCE CORP 40057NPX9 10/31/22 10/31/25 100.000 0.000 5.8200 9.86 0.161667 0.166371 0.171213 0.176195 0.181322 59.63 63.15 GS FINANCE CORP 40057MMT3 08/03/22 08/03/27 100.000 0.000 4.2300 17.39 0.117500 0.119985 0.122523 0.125114 0.127760 43.49 45.35 GS FINANCE CORP 40057TAG9 06/14/23 06/25/24 100.000 0.000 5.8100 0.161389 0.161675 0.166372 31.88 28.95 GS FINANCE CORP 40057PEZ1 02/03/23 02/05/26 100.000 0.000 4.7400 0.131667 0.131701 0.134823 0.138018 0.141289 43.65 50.06 GS FINANCE CORP 40057TAF1 06/29/23 06/29/28 100.000 0.000 5.3600 0.148889 0.152879 0.156976 0.161183 27.11 55.79 GS FINANCE CORP 40057TRF3 08/18/23 08/18/28 100.000 0.000 5.6900 0.158056 0.162552 0.167177 21.02 58.92 GS FINANCE CORP 40057NQ67 10/31/22 11/02/27 100.000 0.000 6.1000 10.34 0.169502 0.174672 0.179999 0.185489 0.191147 62.57 66.45 GS FINANCE CORP 40057MN21 07/14/22 07/14/28 100.000 0.000 4.4700 20.74 0.124167 0.126942 0.129779 0.132680 0.135645 46.14 48.22 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MMQ9 08/03/22 08/01/25 100.000 0.000 3.8597 15.87 0.107214 0.109260 0.111369 0.113518 0.115708 39.59 41.13 GS FINANCE CORP 40057PVY5 04/05/23 04/14/26 100.000 0.000 5.0400 0.140000 0.140176 0.143709 0.147330 0.151043 37.56 52.95 GS FINANCE CORP 40057PW99 04/05/23 04/03/26 100.000 0.000 5.0588 0.140522 0.144037 0.147680 0.151416 37.69 53.16 GS FINANCE CORP 40057NQ34 10/31/22 10/29/27 100.000 0.000 6.0883 10.32 0.169119 0.174239 0.179543 0.185009 0.190641 62.45 66.31 GS FINANCE CORP 40057P4U3 12/05/22 12/05/24 100.000 0.000 5.3000 3.83 0.147222 0.151124 0.155128 0.159239 53.91 52.55 GS FINANCE CORP 40057PW81 03/31/23 03/31/28 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 39.18 54.31 GS FINANCE CORP 40057MMN6 08/03/22 08/01/25 100.000 0.000 3.8597 15.87 0.107214 0.109260 0.111369 0.113518 0.115708 39.59 41.13 GS FINANCE CORP 40057PVW9 03/31/23 04/01/30 100.000 0.000 5.2500 0.145833 0.149683 0.153612 0.157644 39.87 55.31 GS FINANCE CORP 40057PWB4 03/31/23 04/02/26 100.000 0.000 5.1300 0.142500 0.142541 0.146197 0.149947 0.153793 38.95 53.98 GS FINANCE CORP 40057RM54 06/02/23 06/02/28 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 30.77 55.14 GS FINANCE CORP 40057TB86 06/28/23 06/28/30 100.000 0.000 5.4200 0.150556 0.154636 0.158826 0.163130 27.56 56.45 GS FINANCE CORP 40057PWM0 03/31/23 10/02/25 100.000 0.000 5.2125 0.144792 0.144834 0.148608 0.152481 0.156455 39.59 54.89 GS FINANCE CORP 40057TS54 08/15/23 08/15/30 100.000 0.000 5.6000 0.155556 0.159911 0.164389 21.16 57.99 GS FINANCE CORP 40057PFV9 02/01/23 03/01/24 100.000 0.000 5.3550 0.148750 0.149414 0.153414 49.77 9.20 GS FINANCE CORP 38150AP90 09/20/22 09/20/32 100.000 VARIES 5.8500 1.50 0.014556 0.013222 0.011889 0.010444 0.009444 4.74 3.75 GS FINANCE CORP 40057PG63 02/03/23 02/05/24 100.000 0.000 5.3700 0.149167 0.149211 0.153217 49.53 5.21 GS FINANCE CORP 40057NQQ3 11/02/22 10/31/25 100.000 0.000 5.8608 9.61 0.162800 0.167518 0.172427 0.177479 0.182680 60.04 63.61 GS FINANCE CORP 40057RLZ9 04/27/23 04/30/25 100.000 0.000 4.9900 0.138611 0.138669 0.142129 0.145675 0.149309 34.05 52.24 GS FINANCE CORP 40057PWS7 03/31/23 10/01/26 100.000 0.000 5.1375 0.142708 0.146395 0.150155 0.154012 39.01 54.06 GS FINANCE CORP 40057NQN0 11/02/22 11/02/26 100.000 0.000 5.9750 9.79 0.165972 0.170931 0.176037 0.181296 0.186713 61.24 64.95 GS FINANCE CORP 40057MNH8 07/15/22 07/17/23 100.000 0.000 2.3600 10.88 0.065564 0.066338 12.99 GS FINANCE CORP 40057MNG0 07/22/22 07/24/25 100.000 0.000 4.4400 19.61 0.123364 0.126102 0.128902 0.131764 0.134689 45.77 47.83 GS FINANCE CORP 40057WKS5 10/23/23 10/23/30 100.000 0.000 6.6200 0.183889 0.189976 0.196264 12.50 68.14 GS FINANCE CORP 40057KHQ9 12/31/21 01/29/29 100.000 VARIES 2.2100 22.09 0.061556 0.062556 0.062889 0.063278 0.062889 22.34 22.71 GS FINANCE CORP 40057NQX8 10/31/22 11/02/27 100.000 0.000 6.1000 10.34 0.169502 0.174672 0.179999 0.185489 0.191147 62.57 66.45 GS FINANCE CORP 40057WKP1 10/25/23 10/23/26 100.000 0.000 6.3225 0.175625 0.181115 0.186841 11.59 64.98 GS FINANCE CORP 40057NA64 10/13/22 10/10/25 100.000 0.000 5.5433 12.01 0.153981 0.158177 0.162561 0.167067 0.171697 56.88 60.07 GS FINANCE CORP 40057NR82 11/03/22 11/08/27 100.000 0.000 6.1100 9.85 0.169866 0.175056 0.180404 0.185915 0.191595 62.64 66.53 GS FINANCE CORP 40057NQV2 10/31/22 10/31/25 100.000 0.000 5.8200 9.86 0.161667 0.166371 0.171213 0.176195 0.181322 59.63 63.15 GS FINANCE CORP 40057NA49 09/21/22 09/21/27 100.000 0.000 5.2000 14.36 0.145611 0.148500 0.151556 0.154500 0.157611 53.52 55.68 GS FINANCE CORP 40057TSG0 08/07/23 08/07/25 100.000 0.000 5.6600 0.157222 0.161672 0.166247 22.64 58.70 GS FINANCE CORP 40057PFX5 02/03/23 08/03/28 100.000 0.000 4.7425 0.131736 0.134860 0.138058 0.141331 43.67 50.08 GS FINANCE CORP 40057PWZ1 04/05/23 10/03/25 100.000 0.000 5.1713 0.143647 0.147320 0.151129 0.155037 38.53 54.40 GS FINANCE CORP 40057NQT7 10/31/22 10/29/27 100.000 0.000 6.0883 10.32 0.169119 0.174239 0.179543 0.185009 0.190641 62.45 66.31 GS FINANCE CORP 40057NR41 11/02/22 05/01/25 100.000 0.000 5.8658 9.61 0.162939 0.167691 0.172609 0.177672 0.182883 60.09 63.67 GS FINANCE CORP 40057PWY4 04/05/23 10/03/25 100.000 0.000 5.1713 0.143647 0.147320 0.151129 0.155037 38.53 54.40 GS FINANCE CORP 40057NRC3 11/02/22 11/04/25 100.000 0.000 5.8600 9.61 0.162831 0.167602 0.172512 0.177567 0.182770 60.03 63.60 GS FINANCE CORP 40057TST2 08/07/23 02/08/29 100.000 0.000 5.5475 0.154097 0.158395 0.162789 22.19 57.49 GS FINANCE CORP 40057TBQ6 07/06/23 08/05/24 100.000 0.000 5.8600 0.162778 0.163546 0.168338 28.60 35.86 GS FINANCE CORP 40057NRB5 11/02/22 11/04/27 100.000 0.000 6.0900 9.98 0.169224 0.174377 0.179687 0.185158 0.190796 62.44 66.31 GS FINANCE CORP 40057TT38 08/09/23 08/09/28 100.000 0.000 5.4700 0.151944 0.156100 0.160369 21.58 56.64 GS FINANCE CORP 38150APL3 09/30/22 10/05/32 100.000 VARIES 6.3100 2.26 0.025944 0.023444 0.020833 0.018167 0.016222 8.46 6.45 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PXC1 03/20/23 03/20/28 100.000 0.000 5.3900 0.149722 0.153757 0.157901 0.162156 42.48 56.95 GS FINANCE CORP 40057PXB3 04/05/23 04/03/26 100.000 0.000 5.0588 0.140522 0.144037 0.147680 0.151416 37.69 53.16 GS FINANCE CORP 40057PY30 03/29/23 03/27/26 100.000 0.000 4.9254 0.136817 0.140149 0.143600 0.147136 37.53 51.73 GS FINANCE CORP 40057N0G6 11/03/22 11/05/25 100.000 0.000 5.8900 9.49 0.163665 0.168485 0.173446 0.178554 0.183813 60.33 63.94 GS FINANCE CORP 40057RMU9 05/04/23 11/06/24 100.000 0.000 5.2800 0.146667 0.146710 0.150583 0.154558 34.98 46.64 GS FINANCE CORP 40057PXN7 03/20/23 03/20/25 100.000 0.000 5.5200 0.153333 0.157565 0.161914 0.166383 43.51 58.40 GS FINANCE CORP 40057RMS4 05/04/23 05/07/24 100.000 0.000 5.3600 0.148889 0.148955 0.152947 35.52 19.27 GS FINANCE CORP 40057RMR6 05/03/23 05/03/30 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 33.79 53.18 GS FINANCE CORP 40057TT79 08/09/23 08/18/27 100.000 0.000 5.4450 0.151250 0.151456 0.155579 0.159815 21.50 56.38 GS FINANCE CORP 40057RMP0 05/02/23 05/02/28 100.000 0.000 5.0900 0.141389 0.144987 0.148677 0.152461 34.00 53.30 GS FINANCE CORP 40057TC44 06/20/23 09/19/24 100.000 0.000 5.9042 0.164006 0.166399 0.171312 31.57 43.82 GS FINANCE CORP 40057NAC1 09/29/22 10/01/25 100.000 0.000 5.5300 14.14 0.153658 0.157907 0.162273 0.166760 0.171371 56.86 60.04 GS FINANCE CORP 40057T2B9 06/30/23 04/01/27 100.000 0.000 5.4600 0.151667 0.153760 0.157958 0.162270 27.64 56.88 GS FINANCE CORP 40057NAR8 10/13/22 10/15/25 100.000 0.000 5.5500 12.03 0.154214 0.158494 0.162892 0.167412 0.172058 56.95 60.15 GS FINANCE CORP 40057TTE4 08/17/23 08/16/30 100.000 0.000 5.7167 0.158797 0.163311 0.167979 21.28 59.22 GS FINANCE CORP 40057PGX4 02/01/23 02/01/28 100.000 0.000 4.8800 0.135556 0.138863 0.142251 0.145722 45.23 51.63 GS FINANCE CORP 40057TCD4 06/29/23 07/03/28 100.000 0.000 5.3600 0.148889 0.148978 0.152970 0.157070 27.11 55.79 GS FINANCE CORP 40057P6V9 12/07/22 12/05/25 100.000 0.000 4.9979 3.33 0.138831 0.142261 0.145816 0.149460 0.153195 50.78 53.34 GS FINANCE CORP 40057PXY3 03/10/23 03/10/28 100.000 0.000 5.5300 0.153611 0.157858 0.162223 0.166709 45.17 58.60 GS FINANCE CORP 40057NAP2 09/28/22 09/28/27 100.000 0.000 5.6300 14.54 0.156389 0.160791 0.165318 0.169971 0.174756 57.92 61.23 GS FINANCE CORP 40057NS32 11/01/22 10/27/25 100.000 0.000 5.7608 9.60 0.160022 0.164529 0.169268 0.174144 0.179160 59.01 62.45 GS FINANCE CORP 40057PXV9 03/20/23 03/20/25 100.000 0.000 5.5200 0.153333 0.157565 0.161914 0.166383 43.51 58.40 GS FINANCE CORP 40057NRN9 10/31/22 10/31/24 100.000 0.000 5.7700 9.78 0.160278 0.164902 0.169659 0.174554 59.10 51.61 GS FINANCE CORP 40057RN95 05/31/23 08/28/25 100.000 0.000 5.5408 0.153911 0.155996 0.160317 0.164759 32.73 58.01 GS FINANCE CORP 40057PGR7 02/03/23 03/05/24 100.000 0.000 5.3438 0.148439 0.149144 0.153129 49.36 9.80 GS FINANCE CORP 40057PY55 04/05/23 05/03/24 100.000 0.000 5.4900 0.152500 0.153151 0.157355 40.96 19.20 GS FINANCE CORP 40057PHA3 02/01/23 01/30/25 100.000 0.000 5.1050 0.141806 0.145405 0.149116 0.152923 47.34 54.15 GS FINANCE CORP 40057MP94 08/08/22 08/08/24 100.000 0.000 2.8600 11.36 0.079444 0.080580 0.081733 0.082902 29.13 17.95 GS FINANCE CORP 40057TCK8 06/29/23 07/31/24 100.000 0.000 5.8504 0.162511 0.163330 0.168108 29.70 35.00 GS FINANCE CORP 40057NAX5 09/28/22 09/30/27 100.000 0.000 5.6300 14.55 0.156438 0.160842 0.165369 0.170024 0.174811 57.92 61.23 GS FINANCE CORP 40057NB97 09/27/22 09/27/27 100.000 0.000 5.5500 14.49 0.154167 0.158445 0.162842 0.167360 0.172005 57.09 60.30 GS FINANCE CORP 40057MP86 08/08/22 09/08/23 100.000 0.000 2.8600 11.38 0.079634 0.080773 19.87 GS FINANCE CORP 40057RND6 05/17/23 05/16/30 100.000 0.000 5.1950 0.144306 0.148033 0.151878 0.155823 32.49 54.33 GS FINANCE CORP 40057NAW7 10/05/22 04/04/24 100.000 0.000 5.3558 12.79 0.148772 0.152734 0.156824 54.97 14.58 GS FINANCE CORP 40057WM38 10/11/23 09/29/28 100.000 0.000 6.2838 0.174550 0.179669 0.185314 13.96 64.75 GS FINANCE CORP 40057MP78 08/02/22 08/02/27 100.000 0.000 4.2800 17.71 0.118889 0.121433 0.124032 0.126686 0.129397 44.02 45.93 GS FINANCE CORP 40057MP60 08/03/22 08/03/27 100.000 0.000 4.2300 17.39 0.117500 0.119985 0.122523 0.125114 0.127760 43.49 45.35 GS FINANCE CORP 40057NAU1 10/19/22 10/21/25 100.000 0.000 5.8800 11.76 0.163387 0.168190 0.173135 0.178225 0.183465 60.37 63.97 GS FINANCE CORP 40057RNB0 05/17/23 08/17/26 100.000 0.000 5.0275 0.139653 0.141408 0.144963 0.148607 31.52 52.51 GS FINANCE CORP 40057NS81 11/01/22 10/31/24 100.000 0.000 5.7708 9.62 0.160300 0.164900 0.169658 0.174553 59.11 51.61 GS FINANCE CORP 40057RNA2 05/01/23 10/31/24 100.000 0.000 5.1454 0.142928 0.146584 0.150356 34.53 44.51 GS FINANCE CORP 40057NRV1 11/09/22 11/02/26 100.000 0.000 5.9371 8.58 0.164919 0.169625 0.174660 0.179845 0.185184 60.79 64.43 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MP45 07/26/22 10/23/23 100.000 0.000 4.2300 18.29 0.118701 0.121212 35.11 GS FINANCE CORP 40057T2C7 06/30/23 04/01/26 100.000 0.000 5.5375 0.153819 0.155973 0.160291 0.164729 28.04 57.72 GS FINANCE CORP 40057MP37 07/26/22 08/23/23 100.000 0.000 4.1500 17.91 0.115637 0.118036 27.26 GS FINANCE CORP 40057NRU3 11/02/22 10/31/25 100.000 0.000 5.8608 9.61 0.162800 0.167518 0.172427 0.177479 0.182680 60.04 63.61 GS FINANCE CORP 40057NSE8 11/23/22 11/24/28 100.000 0.000 5.5450 5.85 0.154028 0.158322 0.162711 0.167223 0.171859 56.54 59.73 GS FINANCE CORP 40057MPB9 07/28/22 07/25/24 100.000 0.000 4.2300 17.98 0.117500 0.119944 0.122481 0.125071 43.52 25.45 GS FINANCE CORP 40057NSD0 11/23/22 11/23/27 100.000 0.000 5.5000 5.81 0.152778 0.156979 0.161296 0.165732 0.170289 56.08 59.21 GS FINANCE CORP 40057TCS1 06/29/23 08/12/24 100.000 0.000 5.8817 0.163381 0.164528 0.169367 29.89 37.23 GS FINANCE CORP 40057TD43 07/11/23 10/16/25 100.000 0.000 5.7562 0.159894 0.162323 0.166995 0.171801 27.36 59.99 GS FINANCE CORP 40057NSC2 11/18/22 11/23/29 100.000 0.000 5.5900 6.68 0.155398 0.159742 0.164206 0.168796 0.173514 57.06 60.29 GS FINANCE CORP 40057TCR3 06/29/23 07/24/24 100.000 0.000 5.9000 0.163889 0.164560 0.169415 29.93 34.28 GS FINANCE CORP 40057RNN4 06/02/23 06/04/26 100.000 0.000 5.3000 0.147222 0.147266 0.151168 0.155174 0.159286 30.88 55.36 GS FINANCE CORP 40057T2Q6 07/05/23 04/06/26 100.000 0.000 5.5675 0.154653 0.156829 0.161195 0.165682 27.40 58.00 GS FINANCE CORP 40057T2P8 07/05/23 07/05/29 100.000 0.000 5.4650 0.151806 0.155954 0.160215 26.72 56.88 GS FINANCE CORP 40057NBA4 09/30/22 10/06/25 100.000 0.000 5.5800 14.12 0.155144 0.159473 0.163922 0.168495 0.173196 57.38 60.62 GS FINANCE CORP 40057RNL8 06/05/23 03/05/25 100.000 0.000 5.4788 0.152189 0.154273 0.158500 0.162842 31.59 57.29 GS FINANCE CORP 40057NSA6 11/18/22 11/23/29 100.000 0.000 5.5900 6.68 0.155398 0.159742 0.164206 0.168796 0.173514 57.06 60.29 GS FINANCE CORP 40057PHD7 02/03/23 05/06/24 100.000 0.000 5.2913 0.146981 0.148990 0.152931 48.90 19.12 GS FINANCE CORP 38150AQP3 12/07/22 12/07/27 100.000 VARIES 5.9300 0.37 0.014944 0.013389 0.012222 0.012611 0.013000 5.02 4.49 GS FINANCE CORP 40057PHC9 02/03/23 05/06/24 100.000 0.000 5.2913 0.146981 0.148990 0.152931 48.90 19.12 GS FINANCE CORP 40057TCM4 06/21/23 06/20/25 100.000 0.000 5.6592 0.157200 0.161623 0.166197 0.170899 29.92 59.11 GS FINANCE CORP 40057MPH6 07/27/22 07/29/25 100.000 0.000 4.1300 17.67 0.114749 0.117118 0.119537 0.122005 0.124524 42.46 44.24 GS FINANCE CORP 40057TTZ7 08/01/23 09/09/24 100.000 0.000 5.8200 0.161667 0.162660 0.167393 24.36 41.19 GS FINANCE CORP 40057TCW2 07/06/23 07/10/28 100.000 0.000 5.3800 0.149444 0.149534 0.153556 0.157687 26.17 55.95 GS FINANCE CORP 40057TD84 06/30/23 06/30/28 100.000 0.000 5.4100 0.150278 0.154343 0.158518 0.162806 27.20 56.32 GS FINANCE CORP 40057RNS3 06/05/23 06/08/26 100.000 0.000 5.2100 0.144722 0.144785 0.148557 0.152427 0.156397 29.91 54.36 GS FINANCE CORP 40057MPD5 07/28/22 08/08/29 100.000 0.000 4.6700 19.87 0.129891 0.132923 0.136027 0.139203 0.142454 48.18 50.46 GS FINANCE CORP 40057NBF3 09/28/22 09/28/27 100.000 0.000 5.6300 14.54 0.156389 0.160791 0.165318 0.169971 0.174756 57.92 61.23 GS FINANCE CORP 40057RNR5 06/02/23 06/08/26 100.000 0.000 5.3000 0.147222 0.147352 0.151257 0.155265 0.159380 30.89 55.36 GS FINANCE CORP 40057TTW4 08/29/23 08/29/28 100.000 0.000 5.7300 0.159167 0.163727 0.168418 19.42 59.25 GS FINANCE CORP 40057TUG7 08/16/23 08/16/28 100.000 0.000 5.6100 0.155833 0.160204 0.164698 21.04 58.08 GS FINANCE CORP 40057MPS2 08/03/22 08/02/29 100.000 0.000 4.3642 17.94 0.121228 0.123858 0.126561 0.129323 0.132145 44.91 46.89 GS FINANCE CORP 40057T3C6 07/06/23 07/03/25 100.000 0.000 5.6767 0.157686 0.162087 0.166688 27.60 59.16 GS FINANCE CORP 40057T3B8 07/05/23 07/06/26 100.000 0.000 5.5200 0.153333 0.157589 0.161938 26.99 57.47 GS FINANCE CORP 40057TUE2 08/18/23 08/18/28 100.000 0.000 5.6900 0.158056 0.162552 0.167177 21.02 58.92 GS FINANCE CORP 40057MPQ6 08/03/22 08/05/25 100.000 0.000 3.9700 16.32 0.110302 0.112492 0.114725 0.117002 0.119324 40.75 42.38 GS FINANCE CORP 40057NSR9 11/07/22 11/05/27 100.000 0.000 5.9625 8.94 0.165625 0.170508 0.175591 0.180826 0.186217 61.06 64.75 GS FINANCE CORP 40057WML8 10/23/23 10/22/26 100.000 0.000 6.3617 0.176714 0.182304 0.188102 12.02 65.41 GS FINANCE CORP 40057NSS7 12/05/22 12/05/24 100.000 0.000 5.3000 3.83 0.147222 0.151124 0.155128 0.159239 53.91 52.55 GS FINANCE CORP 40057PZ96 03/31/23 04/02/25 100.000 0.000 5.2950 0.147083 0.147127 0.151022 0.155020 0.159124 40.22 55.81 GS FINANCE CORP 40057NT31 11/03/22 11/05/24 100.000 0.000 5.9350 9.56 0.164915 0.169809 0.174848 0.180037 60.81 54.09 GS FINANCE CORP 40057NSQ1 10/31/22 10/31/27 100.000 VARIES 6.4200 10.70 0.176222 0.167556 0.161278 0.162389 0.162667 60.83 58.36 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MPL7 07/22/22 07/24/25 100.000 0.000 4.4400 19.61 0.123364 0.126102 0.128902 0.131764 0.134689 45.77 47.83 GS FINANCE CORP 36263Q603 07/06/22 07/03/25 100.000 0.000 4.1611 20.23 0.115586 0.117951 0.120405 0.122910 0.125467 42.89 44.70 GS FINANCE CORP 40057T3M4 06/20/23 09/17/26 100.000 0.000 5.5067 0.152964 0.155000 0.159267 0.163652 29.43 57.47 GS FINANCE CORP 40057WN60 10/25/23 10/25/28 100.000 0.000 6.5200 0.181111 0.187015 0.193112 11.95 67.05 GS FINANCE CORP 40057TUN2 08/23/23 08/23/27 100.000 0.000 5.7700 0.160278 0.164902 0.169659 20.52 59.73 GS FINANCE CORP 40057TUL6 08/21/23 08/20/26 100.000 0.000 5.7496 0.159711 0.164277 0.169000 20.76 59.53 GS FINANCE CORP 40057T3J1 07/06/23 07/07/26 100.000 0.000 5.4600 0.151667 0.155830 0.160084 26.54 56.81 GS FINANCE CORP 40057MPX1 07/29/22 10/29/27 100.000 0.000 4.5500 19.30 0.127827 0.130735 0.133709 0.136751 0.139862 46.91 49.06 GS FINANCE CORP 40057MPW3 07/29/22 07/31/25 100.000 0.000 4.2000 17.74 0.116680 0.119131 0.121632 0.124187 0.126795 43.19 45.03 GS FINANCE CORP 40057NSZ1 11/30/22 11/28/25 100.000 0.000 5.3146 4.58 0.147628 0.151507 0.155533 0.159666 0.163909 54.11 57.01 GS FINANCE CORP 40057MPV5 08/15/22 08/13/27 100.000 0.000 4.3504 16.43 0.120844 0.123444 0.126129 0.128873 0.131676 44.70 46.67 GS FINANCE CORP 40057T3F9 07/05/23 07/02/26 100.000 0.000 5.5358 0.153772 0.157958 0.162330 27.06 57.64 GS FINANCE CORP 40057NT98 12/02/22 06/03/25 100.000 0.000 5.3050 4.27 0.147361 0.151292 0.155305 0.159424 0.163653 53.98 56.88 GS FINANCE CORP 40057MPU7 08/03/22 08/03/27 100.000 0.000 4.2300 17.39 0.117500 0.119985 0.122523 0.125114 0.127760 43.49 45.35 GS FINANCE CORP 40057MPT0 08/03/22 08/03/27 100.000 0.000 4.2300 17.39 0.117500 0.119985 0.122523 0.125114 0.127760 43.49 45.35 GS FINANCE CORP 40057NSW8 11/28/22 11/30/27 100.000 0.000 5.4600 5.01 0.151713 0.155854 0.160109 0.164480 0.168971 55.62 58.70 GS FINANCE CORP 36264Q396 09/21/22 10/03/29 100.000 0.000 5.3200 14.80 0.148040 0.151978 0.156020 0.160170 0.164431 54.71 57.65 GS FINANCE CORP 40057NTE7 12/05/22 12/08/25 100.000 0.000 5.1200 3.70 0.142283 0.145925 0.149661 0.153492 0.157422 52.05 54.75 GS FINANCE CORP 40057TUV4 08/23/23 08/23/30 100.000 0.000 5.8600 0.162778 0.167547 0.172456 20.84 60.70 GS FINANCE CORP 38150AS30 05/05/23 05/06/24 100.000 VARIES 0.4800 0.020383 0.020273 0.018065 5.44 2.59 GS FINANCE CORP 40057T3N2 06/20/23 06/20/30 100.000 0.000 5.5000 0.152778 0.156979 0.161296 0.165732 29.23 57.39 GS FINANCE CORP 40057TVA9 08/23/23 08/23/30 100.000 0.000 5.8600 0.162778 0.167547 0.172456 20.84 60.70 GS FINANCE CORP 40057PZR6 04/05/23 04/05/28 100.000 0.000 5.0500 0.140278 0.143820 0.147451 0.151174 37.62 53.06 GS FINANCE CORP 40057PZQ8 03/15/23 03/13/25 100.000 0.000 5.4146 0.150406 0.154432 0.158613 0.162907 43.45 57.26 GS FINANCE CORP 40057NTK3 12/05/22 12/04/25 100.000 0.000 5.1350 3.71 0.142639 0.146281 0.150037 0.153889 0.157840 52.21 54.92 GS FINANCE CORP 40057T3X0 06/01/23 06/12/24 100.000 0.000 5.7700 0.160278 0.160560 0.165193 33.80 26.60 GS FINANCE CORP 40057PZP0 03/13/23 06/13/24 100.000 0.000 5.7617 0.160047 0.162353 0.167030 46.63 27.06 GS FINANCE CORP 40057RP69 06/05/23 09/05/24 100.000 0.000 5.5862 0.155172 0.157339 0.161734 32.22 39.18 GS FINANCE CORP 40057RP51 06/05/23 12/04/24 100.000 0.000 5.5504 0.154178 0.158433 0.162830 31.88 53.55 GS FINANCE CORP 40057PZN5 03/15/23 03/13/25 100.000 0.000 5.4146 0.150406 0.154432 0.158613 0.162907 43.45 57.26 GS FINANCE CORP 40057TE83 07/06/23 01/06/25 100.000 0.000 5.7600 0.160000 0.164608 0.169349 28.00 60.07 GS FINANCE CORP 40057TE91 07/03/23 07/03/25 100.000 0.000 5.7100 0.158611 0.163139 0.167797 28.23 59.55 GS FINANCE CORP 40057T4F8 06/30/23 04/01/26 100.000 0.000 5.5375 0.153819 0.155973 0.160291 0.164729 28.04 57.72 GS FINANCE CORP 40057NCV7 10/05/22 04/02/26 100.000 0.000 5.5946 13.36 0.155406 0.159680 0.164147 0.168739 0.173459 57.49 60.75 GS FINANCE CORP 40057T4E1 06/30/23 06/28/30 100.000 0.000 5.4292 0.150811 0.154860 0.159063 0.163381 27.31 56.53 GS FINANCE CORP 40057TVH4 08/23/23 08/23/28 100.000 0.000 5.7800 0.160556 0.165196 0.169970 20.55 59.84 GS FINANCE CORP 40057T4D3 06/30/23 07/02/26 100.000 0.000 5.4900 0.152500 0.152547 0.156734 0.161036 27.61 57.19 GS FINANCE CORP 40057NTV9 11/28/22 05/28/25 100.000 0.000 5.3600 4.91 0.148889 0.152879 0.156976 0.161183 0.165503 54.59 57.55 GS FINANCE CORP 40057T4C5 06/30/23 06/28/30 100.000 0.000 5.4292 0.150811 0.154860 0.159063 0.163381 27.31 56.53 GS FINANCE CORP 40057NCS4 10/05/22 10/07/27 100.000 0.000 5.8400 13.96 0.162275 0.167013 0.171890 0.176909 0.182075 60.08 63.64 GS FINANCE CORP 40057NTT4 12/05/22 12/03/27 100.000 0.000 5.3692 3.88 0.149144 0.153104 0.157214 0.161435 0.165769 54.63 57.60 GS FINANCE CORP 40057PZY1 03/28/23 09/06/24 100.000 0.000 5.2000 0.144444 0.147741 0.151582 39.81 36.89 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057TEB6 07/19/23 10/19/26 100.000 0.000 5.4000 0.150000 0.152025 0.156130 0.160345 24.45 56.07 GS FINANCE CORP 40057PZX3 03/28/23 03/27/25 100.000 0.000 5.0800 0.141111 0.144675 0.148350 0.152118 38.86 53.44 GS FINANCE CORP 40057PZV7 03/20/23 03/20/25 100.000 0.000 5.5200 0.153333 0.157565 0.161914 0.166383 43.51 58.40 GS FINANCE CORP 40057TEA8 07/19/23 07/19/30 100.000 0.000 5.4600 0.151667 0.155807 0.160061 24.57 56.71 GS FINANCE CORP 40057TEP5 07/31/23 04/30/26 100.000 0.000 5.5033 0.152869 0.154973 0.159237 0.163619 23.21 57.09 GS FINANCE CORP 40057RPK8 05/31/23 05/30/25 100.000 0.000 5.5771 0.154919 0.159239 0.163680 0.168244 32.82 58.40 GS FINANCE CORP 40057PJF0 03/02/23 03/06/26 100.000 0.000 5.3500 0.148611 0.148699 0.152677 0.156761 0.160955 44.92 56.65 GS FINANCE CORP 40057T4N1 06/05/23 06/05/30 100.000 0.000 5.2228 0.145078 0.148866 0.152754 0.156743 29.98 54.50 GS FINANCE CORP 40057TEN0 07/31/23 07/31/30 100.000 0.000 5.4100 0.150278 0.154343 0.158518 22.69 56.08 GS FINANCE CORP 40057PJC7 02/28/23 02/26/27 100.000 0.000 5.2742 0.146506 0.150326 0.154290 0.158359 44.87 55.84 GS FINANCE CORP 40057RPJ1 05/24/23 11/24/27 100.000 0.000 5.2950 0.147083 0.150977 0.154974 0.159077 32.06 55.37 GS FINANCE CORP 40057TEM2 07/31/23 07/30/26 100.000 0.000 5.4558 0.151550 0.155684 0.159931 22.88 56.57 GS FINANCE CORP 40057WNV5 10/25/23 10/23/25 100.000 0.000 6.2325 0.173125 0.178460 0.184021 11.43 64.03 GS FINANCE CORP 40057RPH5 05/24/23 11/24/28 100.000 0.000 5.3300 0.148056 0.152001 0.156052 0.160211 32.27 55.75 GS FINANCE CORP 38150ASL0 05/30/23 07/01/24 100.000 VARIES 0.5000 0.016111 0.017611 0.009667 3.48 2.88 GS FINANCE CORP 40057MQX0 08/03/22 08/03/26 100.000 0.000 4.1000 16.86 0.113889 0.116224 0.118606 0.121038 0.123519 42.12 43.86 GS FINANCE CORP 40057ND95 09/28/22 03/27/25 100.000 0.000 5.2588 13.59 0.146078 0.149897 0.153839 0.157884 0.162035 54.01 56.88 GS FINANCE CORP 40057T4G6 06/30/23 07/12/28 100.000 0.000 5.4100 0.150278 0.150549 0.154621 0.158804 27.25 56.33 GS FINANCE CORP 40057NCW5 10/05/22 04/02/27 100.000 0.000 5.7496 13.74 0.159711 0.164226 0.168947 0.173804 0.178801 59.13 62.57 GS FINANCE CORP 40057N2V8 10/05/22 04/03/25 100.000 0.000 5.4658 13.06 0.151828 0.155931 0.160192 0.164570 0.169068 56.13 59.24 GS FINANCE CORP 40057TEX8 08/03/23 08/05/25 100.000 0.000 5.6150 0.155972 0.156021 0.160401 0.164904 23.09 58.25 GS FINANCE CORP 40057PJM5 03/03/23 03/09/26 100.000 0.000 5.3800 0.149444 0.149578 0.153602 0.157734 0.161977 45.02 56.98 GS FINANCE CORP 40057MRD3 08/03/22 02/03/25 100.000 0.000 3.3083 13.60 0.091897 0.093417 0.094963 0.096533 0.098130 33.81 34.94 GS FINANCE CORP 40057TEV6 08/02/23 08/04/26 100.000 0.000 5.4800 0.152222 0.152269 0.156441 0.160727 22.69 56.81 GS FINANCE CORP 40057MAC3 07/06/22 07/08/25 100.000 0.000 4.2800 20.81 0.118917 0.121462 0.124061 0.126716 0.129428 44.16 46.07 GS FINANCE CORP 40057NUF2 11/18/22 11/20/25 100.000 0.000 5.2400 6.26 0.145598 0.149413 0.153327 0.157344 0.161467 53.42 56.25 GS FINANCE CORP 40057T4T8 06/28/23 07/03/24 100.000 0.000 5.8700 0.163056 0.163188 0.167978 29.86 30.56 GS FINANCE CORP 40057RQ27 05/31/23 03/02/27 100.000 0.000 5.4238 0.150661 0.152749 0.156892 0.161147 32.04 56.73 GS FINANCE CORP 40057TET7 08/03/23 08/05/26 100.000 0.000 5.4200 0.150556 0.150601 0.154682 0.158874 22.29 56.16 GS FINANCE CORP 40057MRB7 08/03/22 02/03/25 100.000 0.000 3.3083 13.60 0.091897 0.093417 0.094963 0.096533 0.098130 33.81 34.94 GS FINANCE CORP 40057T4S0 07/06/23 07/03/26 100.000 0.000 5.4767 0.152131 0.156227 0.160505 26.62 57.00 GS FINANCE CORP 40057TF41 08/03/23 08/07/26 100.000 0.000 5.4200 0.150556 0.150646 0.154729 0.158922 22.30 56.16 GS FINANCE CORP 40057PJG8 03/02/23 03/04/26 100.000 0.000 5.3500 0.148611 0.148655 0.152632 0.156715 0.160907 44.91 56.65 GS FINANCE CORP 40057TER1 07/31/23 07/31/30 100.000 0.000 5.4100 0.150278 0.154343 0.158518 22.69 56.08 GS FINANCE CORP 40057T4Q4 07/06/23 07/14/28 100.000 0.000 5.4600 0.151667 0.151851 0.155996 0.160255 26.57 56.82 GS FINANCE CORP 40057NUC9 11/28/22 11/27/26 100.000 0.000 5.3517 4.91 0.148658 0.152614 0.156698 0.160891 0.165196 54.50 57.45 GS FINANCE CORP 40057NDB0 10/04/22 10/03/24 100.000 0.000 5.3729 12.98 0.149247 0.153234 0.157351 0.161578 55.16 43.56 GS FINANCE CORP 40057TEQ3 07/31/23 08/09/28 100.000 0.000 5.3700 0.149167 0.149367 0.153377 0.157496 22.55 55.65 GS FINANCE CORP 40057TFB5 08/03/23 02/05/25 100.000 0.000 5.7125 0.158681 0.158731 0.163265 0.167928 23.49 59.30 GS FINANCE CORP 40057PK68 02/28/23 08/27/26 100.000 0.000 5.2392 0.145533 0.149325 0.153236 0.157250 44.57 55.44 GS FINANCE CORP 40057PJU7 02/28/23 02/28/28 100.000 0.000 5.3500 0.148611 0.152586 0.156668 0.160859 45.52 56.68 GS FINANCE CORP 38150ASX4 06/27/23 07/29/24 100.000 VARIES 0.5300 0.018278 0.018222 0.010667 3.35 3.53 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PJT0 02/28/23 02/28/30 100.000 0.000 5.4400 0.151111 0.155221 0.159443 0.163780 46.29 57.69 GS FINANCE CORP 40057PK50 02/28/23 08/28/25 100.000 0.000 5.3225 0.147847 0.151782 0.155821 0.159968 45.28 56.38 GS FINANCE CORP 40057PJS2 02/28/23 02/26/26 100.000 0.000 5.2288 0.145244 0.149000 0.152895 0.156892 44.48 55.33 GS FINANCE CORP 40057RPY8 05/31/23 03/02/26 100.000 0.000 5.4562 0.151561 0.153674 0.157867 0.162174 32.23 57.09 GS FINANCE CORP 40057NUM7 11/18/22 11/18/27 100.000 0.000 5.4500 6.51 0.151389 0.155514 0.159752 0.164105 0.168577 55.60 58.67 GS FINANCE CORP 40057TEZ3 08/02/23 07/31/26 100.000 0.000 5.4954 0.152650 0.156798 0.161106 22.74 56.98 GS FINANCE CORP 40057NDJ3 09/30/22 10/12/27 100.000 0.000 5.9500 15.07 0.165606 0.170532 0.175606 0.180830 0.186210 61.29 65.00 GS FINANCE CORP 40057PJP8 03/03/23 03/09/26 100.000 0.000 5.3800 0.149444 0.149578 0.153602 0.157734 0.161977 45.02 56.98 GS FINANCE CORP 40057MS83 08/03/22 08/01/24 100.000 0.000 2.8600 11.76 0.079444 0.080568 0.081720 0.082889 29.14 17.37 GS FINANCE CORP 40057MRW1 08/31/22 09/11/29 100.000 0.000 4.7600 16.02 0.132415 0.135566 0.138792 0.142096 0.145478 48.94 51.30 GS FINANCE CORP 40057TFJ8 07/31/23 04/30/26 100.000 0.000 5.5033 0.152869 0.154973 0.159237 0.163619 23.21 57.09 GS FINANCE CORP 40057TWJ9 08/30/23 03/02/26 100.000 0.000 5.8575 0.162708 0.162761 0.167528 0.172435 19.69 60.60 GS FINANCE CORP 40057NDW4 10/13/22 10/23/29 100.000 0.000 5.9600 12.93 0.165830 0.170771 0.175860 0.181101 0.186498 61.27 64.98 GS FINANCE CORP 40057N3V7 10/05/22 10/03/25 100.000 0.000 5.5208 13.19 0.153356 0.157542 0.161891 0.166359 0.170952 56.71 59.88 GS FINANCE CORP 40057MRV3 08/31/22 08/29/25 100.000 0.000 4.2583 14.31 0.118286 0.120777 0.123362 0.125989 0.128671 43.65 45.53 GS FINANCE CORP 40057T5F7 07/06/23 07/03/26 100.000 0.000 5.4767 0.152131 0.156227 0.160505 26.62 57.00 GS FINANCE CORP 40057MRU5 08/31/22 03/03/27 100.000 0.000 4.5750 15.38 0.127132 0.130040 0.133015 0.136057 0.139170 46.99 49.16 GS FINANCE CORP 40057NUX3 12/05/22 12/04/25 100.000 0.000 5.1350 3.71 0.142639 0.146281 0.150037 0.153889 0.157840 52.21 54.92 GS FINANCE CORP 40057NV79 11/28/22 11/28/25 100.000 0.000 5.2600 4.82 0.146111 0.149954 0.153898 0.157945 0.162099 53.55 56.40 GS FINANCE CORP 40057MRT8 08/31/22 09/11/29 100.000 0.000 7.0000 23.57 0.194860 0.201680 0.208739 0.216045 0.223607 72.90 78.10 GS FINANCE CORP 40057NV87 11/28/22 12/07/29 100.000 0.000 5.5300 5.07 0.153823 0.158077 0.162448 0.166939 0.171555 56.35 59.51 GS FINANCE CORP 40057MRS0 08/31/22 08/29/25 100.000 0.000 4.2583 14.31 0.118286 0.120777 0.123362 0.125989 0.128671 43.65 45.53 GS FINANCE CORP 40057MRR2 08/31/22 08/31/27 100.000 0.000 4.6400 15.60 0.128889 0.131846 0.134939 0.138052 0.141272 47.67 49.91 GS FINANCE CORP 40057NV61 11/28/22 11/26/27 100.000 0.000 5.4517 5.00 0.151436 0.155518 0.159757 0.164112 0.168586 55.54 58.61 GS FINANCE CORP 40057NV46 12/05/22 12/04/25 100.000 0.000 5.1350 3.71 0.142639 0.146281 0.150037 0.153889 0.157840 52.21 54.92 GS FINANCE CORP 40057NDR5 10/12/22 10/10/24 100.000 0.000 5.3850 11.82 0.149583 0.153566 0.157701 0.161947 55.22 44.76 GS FINANCE CORP 40057NUT2 11/28/22 12/10/29 100.000 0.000 5.5300 5.08 0.153894 0.158149 0.162522 0.167016 0.171634 56.35 59.51 GS FINANCE CORP 40057NUR6 11/28/22 12/01/25 100.000 0.000 5.2600 4.82 0.146175 0.150020 0.153965 0.158014 0.162170 53.55 56.40 GS FINANCE CORP 40057PJW3 03/02/23 09/05/28 100.000 0.000 5.4625 0.151736 0.151805 0.155951 0.160211 0.164587 45.87 57.91 GS FINANCE CORP 40057NDQ7 09/29/22 01/04/24 100.000 0.000 5.2413 13.39 0.145592 0.147605 0.151474 53.82 0.45 GS FINANCE CORP 40057PKF8 03/03/23 09/03/25 100.000 0.000 5.4275 0.150764 0.154855 0.159058 0.163374 45.41 57.51 GS FINANCE CORP 40057RQM3 06/05/23 03/05/26 100.000 0.000 5.2637 0.146214 0.148138 0.152037 0.156038 30.34 54.95 GS FINANCE CORP 40057WP92 10/23/23 10/23/25 100.000 0.000 6.2700 0.174167 0.179627 0.185258 11.84 64.44 GS FINANCE CORP 40057T5N0 06/14/23 06/17/30 100.000 0.000 5.3891 0.149697 0.149764 0.153800 0.157944 0.162200 29.56 56.23 GS FINANCE CORP 40057TX25 08/29/23 09/02/31 100.000 0.000 5.8333 0.162036 0.162115 0.166843 0.171709 19.78 60.35 GS FINANCE CORP 40057WP76 10/25/23 10/25/28 100.000 0.000 6.5200 0.181111 0.187015 0.193112 11.95 67.05 GS FINANCE CORP 40057MB99 06/30/22 06/30/28 100.000 0.000 4.9300 24.79 0.140320 0.143779 0.147323 0.150955 0.154676 51.14 53.70 GS FINANCE CORP 40057N3Z8 10/05/22 10/05/27 100.000 0.000 5.8400 13.95 0.162222 0.166959 0.171834 0.176852 0.182016 60.08 63.64 GS FINANCE CORP 40057T5J9 06/07/23 06/07/28 100.000 0.000 5.2500 0.145833 0.149661 0.153590 0.157622 29.84 54.78 GS FINANCE CORP 40057N3X3 10/05/22 10/05/27 100.000 0.000 5.8400 13.95 0.162222 0.166959 0.171834 0.176852 0.182016 60.08 63.64 GS FINANCE CORP 40057TFK5 07/31/23 04/29/27 100.000 0.000 5.4167 0.150464 0.152479 0.156608 0.160850 22.84 56.15 GS FINANCE CORP 40057MSH3 09/06/22 09/09/25 100.000 0.000 4.5300 14.48 0.125881 0.128732 0.131648 0.134630 0.137679 46.48 48.61 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NVK0 12/05/22 06/04/25 100.000 0.000 5.2250 3.77 0.145139 0.148910 0.152800 0.156792 0.160888 53.14 55.94 GS FINANCE CORP 40057T5Y6 06/30/23 06/30/28 100.000 0.000 5.4100 0.150278 0.154343 0.158518 0.162806 27.20 56.32 GS FINANCE CORP 40057MSG5 09/02/22 09/05/25 100.000 0.000 4.5100 14.91 0.125325 0.128151 0.131041 0.133996 0.137017 46.29 48.40 GS FINANCE CORP 40057RQU5 06/05/23 06/15/26 100.000 0.000 5.2100 0.144722 0.144932 0.148707 0.152581 0.156556 29.91 54.36 GS FINANCE CORP 40057RQT8 05/31/23 06/09/28 100.000 0.000 5.4300 0.150833 0.151038 0.155139 0.159351 0.163677 31.96 56.80 GS FINANCE CORP 40057RR59 05/15/23 06/13/24 100.000 0.000 5.3200 0.147778 0.148389 0.152336 33.59 24.68 GS FINANCE CORP 40057WPA9 10/23/23 11/21/24 100.000 0.000 6.1700 0.171389 0.172211 0.177524 11.69 56.06 GS FINANCE CORP 40057RQS0 05/31/23 05/31/30 100.000 0.000 5.4800 0.152222 0.156393 0.160678 0.165081 32.25 57.34 GS FINANCE CORP 40057RR42 05/18/23 05/20/26 100.000 0.000 5.0100 0.139167 0.139205 0.142692 0.146267 0.149931 31.19 52.31 GS FINANCE CORP 40057NEF0 10/31/22 05/01/25 100.000 0.000 5.7950 9.82 0.160972 0.165662 0.170462 0.175402 0.180484 59.36 62.86 GS FINANCE CORP 40057RQR2 05/31/23 03/02/26 100.000 0.000 5.4562 0.151561 0.153674 0.157867 0.162174 32.23 57.09 GS FINANCE CORP 40057RR34 06/05/23 06/04/26 100.000 0.000 5.2279 0.145219 0.148994 0.152889 0.156885 30.02 54.55 GS FINANCE CORP 40057NVF1 11/28/22 12/10/29 100.000 0.000 5.5300 5.08 0.153894 0.158149 0.162522 0.167016 0.171634 56.35 59.51 GS FINANCE CORP 40057T5T7 06/30/23 06/30/25 100.000 0.000 5.6800 0.157778 0.162259 0.166867 0.171606 28.56 59.25 GS FINANCE CORP 40057NEC7 10/11/22 11/09/23 100.000 0.000 5.2800 11.76 0.147269 0.151157 46.06 GS FINANCE CORP 40057NVE4 11/28/22 08/27/25 100.000 0.000 5.3267 4.88 0.147964 0.149912 0.153905 0.158004 0.162212 54.35 57.17 GS FINANCE CORP 40057RQP6 05/31/23 05/31/30 100.000 0.000 5.4800 0.152222 0.156393 0.160678 0.165081 32.25 57.34 GS FINANCE CORP 40057T6B5 06/30/23 07/02/26 100.000 0.000 5.4900 0.152500 0.152547 0.156734 0.161036 27.61 57.19 GS FINANCE CORP 40057MSP5 09/06/22 09/03/27 100.000 0.000 4.8079 15.36 0.133553 0.136710 0.139996 0.143362 0.146808 49.41 51.81 GS FINANCE CORP 40057MSQ3 09/06/22 09/05/25 100.000 0.000 4.4042 14.07 0.122339 0.125018 0.127771 0.130585 0.133460 45.15 47.16 GS FINANCE CORP 40057NW52 11/16/22 05/15/24 100.000 0.000 5.5258 6.91 0.153494 0.157712 0.162069 56.41 21.72 GS FINANCE CORP 40057TGD0 08/03/23 08/14/26 100.000 0.000 5.4200 0.150556 0.150805 0.154892 0.159089 22.32 56.16 GS FINANCE CORP 40057NVT1 11/28/22 11/28/25 100.000 0.000 5.2600 4.82 0.146111 0.149954 0.153898 0.157945 0.162099 53.55 56.40 GS FINANCE CORP 40057PL83 02/28/23 02/27/26 100.000 0.000 5.2288 0.145244 0.149021 0.152917 0.156914 44.48 55.33 GS FINANCE CORP 40057TXD1 08/30/23 08/30/28 100.000 0.000 5.7500 0.159722 0.164289 0.169038 19.33 59.45 GS FINANCE CORP 40057NF28 11/03/22 11/04/27 100.000 0.000 6.1100 9.84 0.169722 0.174936 0.180280 0.185788 0.191464 62.64 66.53 GS FINANCE CORP 40057NVS3 12/05/22 06/04/25 100.000 0.000 5.2250 3.77 0.145139 0.148910 0.152800 0.156792 0.160888 53.14 55.94 GS FINANCE CORP 40057PL59 03/03/23 09/03/25 100.000 0.000 5.4275 0.150764 0.154855 0.159058 0.163374 45.41 57.51 GS FINANCE CORP 40057RQW1 06/05/23 06/04/26 100.000 0.000 5.2279 0.145219 0.148994 0.152889 0.156885 30.02 54.55 GS FINANCE CORP 40057MBW8 06/03/22 06/05/24 100.000 0.000 2.4000 13.89 0.067476 0.068285 0.069105 24.48 10.64 GS FINANCE CORP 40057RRG5 05/10/23 05/10/28 100.000 0.000 5.0600 0.140556 0.144112 0.147758 0.151496 32.65 52.91 GS FINANCE CORP 40057PLA8 02/28/23 03/11/30 100.000 0.000 5.4400 0.151111 0.151408 0.155526 0.159757 0.164102 46.33 57.69 GS FINANCE CORP 40057NEY9 10/31/22 10/30/25 100.000 0.000 5.8158 9.85 0.161550 0.166248 0.171082 0.176057 0.181176 59.59 63.10 GS FINANCE CORP 40057NEX1 10/31/22 11/09/29 100.000 0.000 6.2300 10.57 0.173325 0.178724 0.184291 0.190032 0.195952 63.94 67.98 GS FINANCE CORP 40057NEW3 10/31/22 11/09/29 100.000 0.000 6.2300 10.57 0.173325 0.178724 0.184291 0.190032 0.195952 63.94 67.98 GS FINANCE CORP 40057NF77 11/03/22 11/04/27 100.000 0.000 6.1100 9.84 0.169722 0.174936 0.180280 0.185788 0.191464 62.64 66.53 GS FINANCE CORP 40057NEV5 10/31/22 10/29/27 100.000 0.000 6.0883 10.32 0.169119 0.174239 0.179543 0.185009 0.190641 62.45 66.31 GS FINANCE CORP 40057RRC4 05/31/23 05/31/28 100.000 0.000 5.4300 0.150833 0.154928 0.159135 0.163455 31.95 56.80 GS FINANCE CORP 40057TGH1 07/12/23 01/12/27 100.000 0.000 5.6275 0.156319 0.160718 0.165240 26.42 58.57 GS FINANCE CORP 40057MT66 08/31/22 08/29/25 100.000 0.000 4.2583 14.31 0.118286 0.120777 0.123362 0.125989 0.128671 43.65 45.53 GS FINANCE CORP 40057NEU7 10/31/22 04/30/26 100.000 0.000 5.8783 9.96 0.163286 0.168085 0.173026 0.178111 0.183346 60.24 63.83 GS FINANCE CORP 40057NF69 11/03/22 05/05/25 100.000 0.000 5.9125 9.53 0.164290 0.169147 0.174147 0.179296 0.184596 60.57 64.20 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057NVW4 11/15/22 11/14/24 100.000 0.000 5.7987 7.41 0.161075 0.165719 0.170524 0.175468 59.27 54.26 GS FINANCE CORP 40057N4R5 10/05/22 10/03/25 100.000 0.000 5.5208 13.19 0.153356 0.157542 0.161891 0.166359 0.170952 56.71 59.88 GS FINANCE CORP 40057T6S8 06/30/23 07/02/29 100.000 0.000 5.3598 0.148883 0.148928 0.152919 0.157017 26.96 55.78 GS FINANCE CORP 40057MTB5 08/31/22 08/31/26 100.000 0.000 4.5100 15.16 0.125278 0.128071 0.130992 0.133929 0.136966 46.30 48.41 GS FINANCE CORP 40057TXV1 08/30/23 03/01/29 100.000 0.000 5.7650 0.160139 0.164781 0.169530 19.38 59.61 GS FINANCE CORP 40057TY73 08/30/23 06/28/25 100.000 0.000 5.9363 0.164897 0.168106 0.173095 0.178233 19.96 61.45 GS FINANCE CORP 40057NFB8 10/13/22 10/10/24 100.000 0.000 5.4633 11.84 0.151758 0.155835 0.160092 0.164465 56.04 45.45 GS FINANCE CORP 40057PLH3 03/03/23 03/05/26 100.000 0.000 5.3800 0.149444 0.149489 0.153510 0.157640 0.161880 45.01 56.98 GS FINANCE CORP 40057RRK6 09/15/23 09/17/25 100.000 0.000 5.9300 0.164722 0.164776 0.169662 0.174693 17.47 61.23 GS FINANCE CORP 40057PLD2 02/28/23 02/28/30 100.000 0.000 5.4400 0.151111 0.155221 0.159443 0.163780 46.29 57.69 GS FINANCE CORP 40057TXQ2 08/28/23 02/28/29 100.000 0.000 5.7325 0.159236 0.163800 0.168495 19.59 59.29 GS FINANCE CORP 40057TY24 09/13/23 09/13/30 100.000 0.000 5.8200 0.161667 0.166371 0.171213 17.46 60.08 GS FINANCE CORP 40057PLE0 02/28/23 03/09/28 100.000 0.000 5.3500 0.148611 0.148854 0.152836 0.156924 0.161122 45.55 56.68 GS FINANCE CORP 40057PLC4 03/03/23 03/16/26 100.000 0.000 5.3800 0.149444 0.149735 0.153763 0.157899 0.162146 45.04 56.98 GS FINANCE CORP 40057TGN8 08/03/23 08/05/26 100.000 0.000 5.4200 0.150556 0.150601 0.154682 0.158874 22.29 56.16 GS FINANCE CORP 40057PLB6 02/28/23 12/01/25 100.000 0.000 5.2663 0.146286 0.148276 0.152181 0.156188 0.160300 44.86 55.75 GS FINANCE CORP 40057RRH3 05/17/23 05/17/28 100.000 0.000 5.0000 0.138889 0.142361 0.145920 0.149568 31.26 52.21 GS FINANCE CORP 40057MBX6 06/03/22 06/04/27 100.000 0.000 4.0700 23.58 0.115369 0.117717 0.120112 0.122557 0.125051 42.08 43.81 GS FINANCE CORP 40057RB72 05/02/23 05/02/28 100.000 0.000 5.0900 0.141389 0.144987 0.148677 0.152461 34.00 53.30 GS FINANCE CORP 40057RRW0 05/25/23 05/25/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 0.159239 31.94 55.42 GS FINANCE CORP 40057PLQ3 03/03/23 03/05/26 100.000 0.000 5.3800 0.149444 0.149489 0.153510 0.157640 0.161880 45.01 56.98 GS FINANCE CORP 40057T6Z2 07/06/23 07/08/24 100.000 0.000 5.8600 0.162778 0.162831 0.167602 28.50 31.31 GS FINANCE CORP 40057PLP5 02/28/23 02/28/28 100.000 0.000 5.3500 0.148611 0.152586 0.156668 0.160859 45.52 56.68 GS FINANCE CORP 40057NFJ1 11/03/22 11/05/25 100.000 0.000 5.8900 9.49 0.163665 0.168485 0.173446 0.178554 0.183813 60.33 63.94 GS FINANCE CORP 40057T6Y5 07/06/23 01/05/29 100.000 0.000 5.3842 0.149561 0.153565 0.157699 26.17 56.00 GS FINANCE CORP 40057RS74 05/31/23 05/31/28 100.000 0.000 5.4300 0.150833 0.154928 0.159135 0.163455 31.95 56.80 GS FINANCE CORP 40057NWJ2 11/23/22 11/25/25 100.000 0.000 5.2900 5.59 0.146988 0.150875 0.154866 0.158962 0.163167 53.90 56.79 GS FINANCE CORP 40057N5G8 09/20/22 09/18/25 100.000 0.000 4.8125 13.50 0.133681 0.136862 0.140155 0.143527 0.146981 49.36 51.77 GS FINANCE CORP 40057WQD2 10/25/23 10/25/28 100.000 0.000 6.5200 0.181111 0.187015 0.193112 11.95 67.05 GS FINANCE CORP 40057RS66 06/05/23 06/04/26 100.000 0.000 5.2279 0.145219 0.148994 0.152889 0.156885 30.02 54.55 GS FINANCE CORP 40057TH98 07/31/23 07/31/28 100.000 0.000 5.3700 0.149167 0.153172 0.157284 22.52 55.65 GS FINANCE CORP 40057RRT7 05/31/23 05/29/26 100.000 0.000 5.4321 0.150892 0.154967 0.159176 0.163499 31.97 56.82 GS FINANCE CORP 40057T6W9 06/30/23 07/12/30 100.000 0.000 5.4300 0.150833 0.151106 0.155209 0.159423 27.35 56.54 GS FINANCE CORP 40057TGW8 07/31/23 07/31/25 100.000 0.000 5.6300 0.156389 0.160791 0.165318 23.61 58.44 GS FINANCE CORP 40057NFF9 10/03/22 10/03/24 100.000 0.000 5.2400 12.81 0.145556 0.149369 0.153283 0.157299 53.77 42.42 GS FINANCE CORP 40057NWH6 11/17/22 11/19/25 100.000 0.000 5.3500 6.54 0.148655 0.152632 0.156715 0.160907 0.165211 54.57 57.53 GS FINANCE CORP 40057RRS9 05/31/23 05/28/27 100.000 0.000 5.4246 0.150683 0.154725 0.158922 0.163232 31.93 56.74 GS FINANCE CORP 40057MTE9 09/06/22 09/05/25 100.000 0.000 4.4042 14.07 0.122339 0.125018 0.127771 0.130585 0.133460 45.15 47.16 GS FINANCE CORP 40057NFG7 10/04/22 04/03/25 100.000 0.000 5.4454 13.16 0.151261 0.155357 0.159587 0.163932 0.168395 55.92 59.01 GS FINANCE CORP 40057RS41 05/31/23 05/31/30 100.000 0.000 5.4800 0.152222 0.156393 0.160678 0.165081 32.25 57.34 GS FINANCE CORP 40057TH72 07/31/23 07/30/26 100.000 0.000 5.4558 0.151550 0.155684 0.159931 22.88 56.57 GS FINANCE CORP 40057MTD1 08/31/22 09/11/29 100.000 0.000 4.7600 16.02 0.132415 0.135566 0.138792 0.142096 0.145478 48.94 51.30 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057TY99 08/30/23 11/04/24 100.000 0.000 6.0375 0.167708 0.169508 0.174625 20.40 52.28 GS FINANCE CORP 40057T6U3 06/21/23 06/20/25 100.000 0.000 5.6592 0.157200 0.161623 0.166197 0.170899 29.92 59.11 GS FINANCE CORP 40057RS33 05/31/23 05/31/29 100.000 0.000 5.3940 0.149833 0.153874 0.158024 0.162286 31.74 56.40 GS FINANCE CORP 40057T6T6 06/30/23 07/02/26 100.000 0.000 5.4900 0.152500 0.152547 0.156734 0.161036 27.61 57.19 GS FINANCE CORP 40057TY81 08/30/23 08/28/26 100.000 0.000 5.8012 0.161144 0.165767 0.170575 19.50 60.00 GS FINANCE CORP 40057NFE2 10/03/22 10/02/25 100.000 0.000 5.3592 13.10 0.148867 0.152834 0.156929 0.161134 0.165452 55.02 58.01 GS FINANCE CORP 40057NX69 11/10/22 10/31/29 100.000 VARIES 5.9400 8.42 0.164444 0.161944 0.159389 0.156889 0.155667 58.49 56.67 GS FINANCE CORP 40057MD22 06/30/22 10/03/24 100.000 0.000 3.3450 16.89 0.093720 0.095287 0.096881 0.098501 34.30 26.64 GS FINANCE CORP 40057MCQ0 07/07/22 07/10/23 100.000 0.000 2.3600 11.41 0.065568 0.066342 12.53 GS FINANCE CORP 40057NFT9 10/26/22 10/24/24 100.000 0.000 5.8583 10.58 0.162731 0.167444 0.172349 0.177397 60.08 51.41 GS FINANCE CORP 40057N5S2 09/22/22 09/23/27 100.000 0.000 5.2900 14.55 0.146944 0.150853 0.154843 0.158938 0.163142 54.38 57.29 GS FINANCE CORP 40057M2P3 05/25/22 05/27/27 100.000 0.000 4.3500 26.20 0.123491 0.126177 0.128922 0.131726 0.134591 45.12 47.11 GS FINANCE CORP 40057NFS1 10/26/22 10/24/24 100.000 0.000 5.8637 10.59 0.162881 0.167603 0.172517 0.177575 60.13 51.46 GS FINANCE CORP 40057N5R4 09/22/22 09/23/27 100.000 0.000 5.2900 14.55 0.146944 0.150853 0.154843 0.158938 0.163142 54.38 57.29 GS FINANCE CORP 40057N5P8 09/13/22 09/12/24 100.000 0.000 3.0300 9.09 0.084167 0.085435 0.086729 0.088043 30.81 22.01 GS FINANCE CORP 40057THD9 08/03/23 05/05/26 100.000 0.000 5.4688 0.151911 0.154034 0.158246 0.162573 22.60 56.69 GS FINANCE CORP 40057NWT0 11/23/22 11/25/26 100.000 0.000 5.3950 5.70 0.149906 0.153950 0.158103 0.162367 0.166747 54.99 58.00 GS FINANCE CORP 40057NX36 12/01/22 12/03/25 100.000 0.000 5.1700 4.31 0.143652 0.147366 0.151175 0.155083 0.159092 52.59 55.35 GS FINANCE CORP 40057T7A6 07/06/23 07/08/24 100.000 0.000 5.8600 0.162778 0.162831 0.167602 28.50 31.31 GS FINANCE CORP 40057NWR4 11/15/22 11/14/24 100.000 0.000 5.7967 7.41 0.161019 0.165660 0.170462 0.175402 59.25 54.24 GS FINANCE CORP 40057NX28 11/09/22 05/09/24 100.000 0.000 5.9175 8.55 0.164375 0.169238 0.174246 60.56 22.30 GS FINANCE CORP 40057N5M5 09/13/22 09/12/24 100.000 0.000 3.0300 9.09 0.084167 0.085435 0.086729 0.088043 30.81 22.01 GS FINANCE CORP 40057MTM1 09/06/22 03/05/25 100.000 0.000 3.6492 11.66 0.101367 0.103206 0.105089 0.107006 0.108959 37.25 38.63 GS FINANCE CORP 40057PM66 02/15/23 02/13/25 100.000 0.000 5.2029 0.144525 0.148243 0.152099 0.156056 46.18 55.14 GS FINANCE CORP 40057MTL3 08/31/22 03/03/25 100.000 0.000 3.6500 12.27 0.101420 0.103271 0.105155 0.107074 0.109029 37.29 38.66 GS FINANCE CORP 40057PM58 02/21/23 02/18/28 100.000 0.000 5.2067 0.144631 0.148333 0.152195 0.156157 45.33 55.14 GS FINANCE CORP 40057N5K9 09/14/22 09/14/27 100.000 0.000 4.9800 14.80 0.138333 0.141778 0.145308 0.148926 0.152635 51.17 53.75 GS FINANCE CORP 40057RRY6 05/31/23 05/29/26 100.000 0.000 5.4321 0.150892 0.154967 0.159176 0.163499 31.97 56.82 GS FINANCE CORP 40057T7L2 06/14/23 06/16/28 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 0.162530 29.62 56.35 GS FINANCE CORP 40057NWZ6 11/09/22 02/08/24 100.000 0.000 5.9325 8.57 0.164792 0.167209 0.172168 60.81 6.37 GS FINANCE CORP 40057M2R9 05/25/22 05/20/27 100.000 0.000 4.3296 26.05 0.122800 0.124644 0.126567 0.128494 0.130500 44.69 46.06 GS FINANCE CORP 40057MD55 08/24/22 03/24/25 100.000 0.000 3.6942 13.06 0.102933 0.104834 0.106770 0.108742 0.110751 37.77 39.18 GS FINANCE CORP 40057MU72 08/31/22 08/29/25 100.000 0.000 4.2583 14.31 0.118286 0.120777 0.123362 0.125989 0.128671 43.65 45.53 GS FINANCE CORP 40057T7F5 07/06/23 08/05/24 100.000 0.000 5.8600 0.162778 0.163546 0.168338 28.60 35.86 GS FINANCE CORP 40057RSC3 05/05/23 05/07/25 100.000 0.000 5.0950 0.141528 0.141568 0.145174 0.148873 0.152665 33.60 53.33 GS FINANCE CORP 40057MD48 08/03/22 08/01/25 100.000 0.000 3.8597 15.87 0.107214 0.109260 0.111369 0.113518 0.115708 39.59 41.13 GS FINANCE CORP 40057RSB5 05/04/23 05/06/24 100.000 0.000 5.3600 0.148889 0.148933 0.152925 35.52 19.12 GS FINANCE CORP 40057T7E8 06/29/23 07/01/26 100.000 0.000 5.4000 0.150000 0.154096 0.154096 0.162530 27.31 56.22 GS FINANCE CORP 40057MTS8 09/06/22 03/05/25 100.000 0.000 3.6492 11.66 0.101367 0.103206 0.105089 0.107006 0.108959 37.25 38.63 GS FINANCE CORP 40057MD30 07/06/22 01/06/25 100.000 0.000 3.5667 17.34 0.099075 0.100842 0.102640 0.104471 0.106334 36.61 37.93 GS FINANCE CORP 40057MU56 08/24/22 08/22/24 100.000 0.000 2.8600 10.09 0.079444 0.080568 0.081720 0.082889 29.10 19.09 GS FINANCE CORP 40057M3A5 06/03/22 06/04/30 100.000 0.000 4.3600 25.26 0.123766 0.126464 0.129221 0.132038 0.134916 45.19 47.18 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057PML3 02/21/23 02/23/28 100.000 0.000 5.2100 0.144722 0.144764 0.148535 0.152405 0.156375 45.36 55.17 GS FINANCE CORP 40057PMJ8 02/22/23 02/19/27 100.000 0.000 5.1758 0.143772 0.147431 0.151246 0.155160 44.91 54.78 GS FINANCE CORP 40057THU1 07/31/23 07/30/26 100.000 0.000 5.4558 0.151550 0.155684 0.159931 22.88 56.57 GS FINANCE CORP 40057RT24 05/17/23 05/17/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 31.77 53.08 GS FINANCE CORP 40057THT4 07/31/23 07/31/29 100.000 0.000 5.3305 0.148069 0.152016 0.156067 22.36 55.22 GS FINANCE CORP 40057NGD3 11/03/22 11/07/25 100.000 0.000 5.8900 9.50 0.163718 0.168540 0.173503 0.178613 0.183873 60.33 63.94 GS FINANCE CORP 40057THS6 07/31/23 08/09/30 100.000 0.000 5.4100 0.150278 0.150481 0.154552 0.158732 22.72 56.08 GS FINANCE CORP 40057N6A0 10/05/22 04/03/25 100.000 0.000 5.4658 13.06 0.151828 0.155931 0.160192 0.164570 0.169068 56.13 59.24 GS FINANCE CORP 40057NGA9 11/02/22 10/31/25 100.000 0.000 5.8608 9.61 0.162800 0.167518 0.172427 0.177479 0.182680 60.04 63.61 GS FINANCE CORP 40057PMH2 02/23/23 02/25/30 100.000 0.000 5.3300 0.148056 0.148099 0.152046 0.156098 0.160258 46.11 56.50 GS FINANCE CORP 40057RSK5 05/19/23 05/21/26 100.000 0.000 5.0700 0.140833 0.140873 0.144444 0.148106 0.151860 31.42 52.96 GS FINANCE CORP 40057TZ28 09/20/23 02/19/27 100.000 0.000 5.8183 0.161619 0.165511 0.170326 16.32 60.03 GS FINANCE CORP 40057RSJ8 05/05/23 05/07/25 100.000 0.000 5.0630 0.140639 0.140678 0.144240 0.147891 0.151635 33.39 52.98 GS FINANCE CORP 40057M2Y4 05/25/22 05/23/24 100.000 0.000 2.4661 14.83 0.069338 0.070193 0.071059 25.18 10.09 GS FINANCE CORP 40057MUL1 09/07/22 09/08/23 100.000 0.000 3.0300 9.59 0.084167 0.085449 21.02 GS FINANCE CORP 40057RBX5 04/19/23 04/18/30 100.000 0.000 5.1571 0.143253 0.146926 0.150715 0.154601 36.37 54.14 GS FINANCE CORP 40057PMT6 02/16/23 03/18/24 100.000 0.000 5.4121 0.150336 0.151059 0.155147 47.98 11.95 GS FINANCE CORP 40057NGN1 10/04/22 10/03/24 100.000 0.000 5.3729 12.98 0.149247 0.153234 0.157351 0.161578 55.16 43.56 GS FINANCE CORP 40057RC89 05/03/23 05/05/26 100.000 0.000 4.9600 0.137778 0.137816 0.141234 0.144736 0.148326 32.99 51.87 GS FINANCE CORP 40057MUK3 08/17/22 08/17/27 100.000 0.000 4.3300 16.12 0.120278 0.122882 0.125542 0.128260 0.131037 44.47 46.42 GS FINANCE CORP 40057WAF4 09/19/23 09/19/28 100.000 0.000 5.7700 0.160278 0.164902 0.169659 16.35 59.49 GS FINANCE CORP 40057RBW7 04/19/23 07/17/26 100.000 0.000 5.0258 0.139606 0.141321 0.144872 0.148512 35.46 52.69 GS FINANCE CORP 40057NGM3 10/19/22 10/19/26 100.000 0.000 6.0450 12.09 0.167917 0.172992 0.178221 0.183607 0.189157 62.11 65.92 GS FINANCE CORP 40057RSY5 05/31/23 06/11/24 100.000 0.000 5.7100 0.158611 0.158888 0.163424 33.61 26.15 GS FINANCE CORP 40057RSX7 05/31/23 05/29/26 100.000 0.000 5.4321 0.150892 0.154967 0.159176 0.163499 31.97 56.82 GS FINANCE CORP 40057RC63 05/03/23 01/31/25 100.000 0.000 5.1933 0.144258 0.146069 0.149862 0.153753 34.61 54.43 GS FINANCE CORP 40057MUH0 08/17/22 08/15/25 100.000 0.000 4.0056 14.91 0.111267 0.113470 0.115743 0.118061 0.120426 41.06 42.72 GS FINANCE CORP 40057N6H5 09/28/22 10/26/23 100.000 0.000 5.1100 13.24 0.142509 0.146150 42.70 GS FINANCE CORP 40057RC55 05/02/23 04/30/26 100.000 0.000 5.0421 0.140058 0.143550 0.147169 0.150879 33.69 52.78 GS FINANCE CORP 40057NGJ0 10/31/22 11/09/29 100.000 0.000 6.2300 10.57 0.173325 0.178724 0.184291 0.190032 0.195952 63.94 67.98 GS FINANCE CORP 40057RSU3 05/17/23 05/17/28 100.000 0.000 5.0800 0.141111 0.144695 0.148371 0.152139 31.77 53.08 GS FINANCE CORP 40057RBR8 04/05/23 10/03/25 100.000 0.000 5.1713 0.143647 0.147320 0.151129 0.155037 38.53 54.40 GS FINANCE CORP 40057M3C1 05/25/22 05/28/25 100.000 0.000 3.8600 23.24 0.109327 0.111437 0.113588 0.115780 0.118014 39.88 41.43 GS FINANCE CORP 40057RST6 05/11/23 06/13/24 100.000 0.000 5.3663 0.149064 0.149775 0.153794 34.50 24.91 GS FINANCE CORP 40057N6F9 10/06/22 10/10/23 100.000 0.000 5.2000 12.28 0.144528 0.148286 41.00 GS FINANCE CORP 40057TYZ1 09/20/23 12/18/26 100.000 0.000 5.8192 0.161644 0.163944 0.168714 0.173623 16.36 60.00 GS FINANCE CORP 40057WAA5 10/02/23 10/02/25 100.000 0.000 6.1150 0.169861 0.175055 0.180407 15.12 63.02 GS FINANCE CORP 40057RC22 05/02/23 05/04/26 100.000 0.000 5.0300 0.139722 0.139761 0.143276 0.146880 0.150574 33.60 52.64 GS FINANCE CORP 40057MUE7 08/17/22 08/13/25 100.000 0.000 4.0153 14.95 0.111536 0.113726 0.116009 0.118338 0.120714 41.16 42.83 GS FINANCE CORP 40057TYY4 09/20/23 09/20/30 100.000 0.000 5.8800 0.163333 0.168135 0.173079 16.50 60.65 GS FINANCE CORP 40057NH75 10/26/22 10/26/27 100.000 0.000 6.3400 11.45 0.176111 0.181694 0.187454 0.193396 0.199526 65.14 69.34 GS FINANCE CORP 40057MV63 08/24/22 08/24/27 100.000 0.000 4.5200 15.95 0.125556 0.128393 0.131295 0.134262 0.137296 46.44 48.56 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RTA6 06/05/23 07/03/24 100.000 0.000 5.6400 0.156667 0.157354 0.161791 32.40 29.44 GS FINANCE CORP 40057NXU6 11/14/22 11/14/24 100.000 0.000 5.8400 7.62 0.162222 0.166959 0.171834 0.176852 59.70 54.69 GS FINANCE CORP 40057NH59 10/26/22 10/26/28 100.000 0.000 6.4200 11.59 0.178333 0.184058 0.189966 0.196064 0.202358 65.99 70.29 GS FINANCE CORP 40057NGT8 10/05/22 10/05/27 100.000 0.000 5.8400 13.95 0.162222 0.166959 0.171834 0.176852 0.182016 60.08 63.64 GS FINANCE CORP 40057M3M9 05/31/22 05/28/27 100.000 0.000 4.0029 23.53 0.113392 0.115662 0.117977 0.120338 0.122747 41.38 43.05 GS FINANCE CORP 40057NGQ4 10/31/22 10/30/25 100.000 0.000 5.8158 9.85 0.161550 0.166248 0.171082 0.176057 0.181176 59.59 63.10 GS FINANCE CORP 40057TZD9 09/29/23 10/01/26 100.000 0.000 5.9300 0.164722 0.164776 0.169662 0.174693 15.16 61.09 GS FINANCE CORP 40057TZC1 09/29/23 09/27/30 100.000 0.000 6.1346 0.170406 0.175574 0.180960 15.68 63.27 GS FINANCE CORP 40057NGP6 10/11/22 10/08/27 100.000 0.000 5.6483 12.55 0.156897 0.161254 0.165808 0.170491 0.175306 58.01 61.32 GS FINANCE CORP 40057TZB3 09/29/23 10/11/28 100.000 0.000 6.0100 0.166944 0.167279 0.172306 0.177483 15.39 61.94 GS FINANCE CORP 40057M3J6 06/01/22 05/29/25 100.000 0.000 3.5097 20.53 0.099183 0.100924 0.102695 0.104497 0.106331 36.13 37.41 GS FINANCE CORP 40057WAW7 09/20/23 09/18/26 100.000 0.000 5.8312 0.161978 0.166648 0.171507 16.36 60.13 GS FINANCE CORP 40057WB97 10/04/23 10/04/30 100.000 0.000 6.2300 0.173056 0.178446 0.184005 15.06 64.22 GS FINANCE CORP 36264U298 11/21/22 12/05/28 100.000 0.000 5.4700 6.09 0.152268 0.156432 0.160711 0.165106 0.169622 55.79 58.88 GS FINANCE CORP 40057M3V9 06/01/22 06/12/29 100.000 0.000 4.2600 24.93 0.121011 0.123589 0.126221 0.128910 0.131655 44.13 46.03 GS FINANCE CORP 40057MV89 09/06/22 01/15/26 100.000 0.000 4.5783 14.63 0.127175 0.129261 0.132220 0.135247 0.138343 47.00 49.16 GS FINANCE CORP 40057WAR8 10/04/23 10/06/28 100.000 0.000 6.0800 0.168889 0.168946 0.174082 0.179374 14.70 62.63 GS FINANCE CORP 40057MV97 10/28/22 10/30/24 100.000 0.000 5.8050 10.16 0.161302 0.165984 0.170801 0.175759 59.49 51.96 GS FINANCE CORP 40057MUX5 08/31/22 08/29/24 100.000 0.000 2.8600 9.61 0.079444 0.080568 0.081726 0.082895 29.08 19.66 GS FINANCE CORP 40057R2B3 03/22/23 03/22/27 100.000 0.000 5.1050 0.141806 0.145425 0.149137 0.152944 39.92 53.77 GS FINANCE CORP 40057W114 10/24/23 10/22/26 100.000 0.000 6.3808 0.177244 0.182836 0.188670 11.88 65.60 GS FINANCE CORP 40057RCC0 05/03/23 05/05/26 100.000 0.000 4.9600 0.137778 0.137816 0.141234 0.144736 0.148326 32.99 51.87 GS FINANCE CORP 40057RD39 04/28/23 04/28/28 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 33.49 51.58 GS FINANCE CORP 40057N7F8 09/14/22 09/12/25 100.000 0.000 4.5597 13.55 0.126658 0.129514 0.132467 0.135487 0.138576 46.74 48.90 GS FINANCE CORP 40057TZZ0 10/03/23 10/03/29 100.000 0.000 6.1550 0.170972 0.176234 0.181657 15.05 63.44 GS FINANCE CORP 40057WBA4 09/27/23 09/29/31 100.000 0.000 6.0400 0.167778 0.167834 0.172903 0.178124 15.78 62.28 GS FINANCE CORP 40057M4B2 06/03/22 12/03/26 100.000 0.000 3.9650 22.97 0.112322 0.114549 0.116820 0.119136 0.121498 40.96 42.60 GS FINANCE CORP 40057RD21 05/03/23 05/01/26 100.000 0.000 4.9746 0.138183 0.141582 0.145104 0.148713 33.09 52.03 GS FINANCE CORP 40057RCP1 04/28/23 04/29/26 100.000 0.000 4.8000 0.133333 0.136551 0.139828 0.143184 32.60 50.16 GS FINANCE CORP 40057N7D3 10/03/22 09/29/25 100.000 0.000 5.3592 13.10 0.148867 0.152767 0.156861 0.161064 0.165380 55.03 58.01 GS FINANCE CORP 40057TJ70 07/19/23 07/17/25 100.000 0.000 5.6058 0.155717 0.160033 0.164518 25.23 58.28 GS FINANCE CORP 40057MVD8 10/21/22 10/22/25 100.000 0.000 6.0100 11.69 0.166944 0.171989 0.177157 0.182481 0.187964 61.71 65.48 GS FINANCE CORP 40057TJ62 07/31/23 07/30/26 100.000 0.000 5.4558 0.151550 0.155684 0.159931 22.88 56.57 GS FINANCE CORP 40057RTQ1 05/23/23 05/21/26 100.000 0.000 5.2496 0.145822 0.149607 0.153534 0.157564 31.94 54.88 GS FINANCE CORP 40057MVB2 11/04/22 11/06/24 100.000 0.000 5.9000 9.34 0.163943 0.168779 0.173758 0.178884 60.43 53.92 GS FINANCE CORP 40057R2L1 03/24/23 03/26/25 100.000 0.000 5.3750 0.149306 0.149350 0.153364 0.157486 0.161718 41.75 56.75 GS FINANCE CORP 40057MVA4 10/26/22 10/24/25 100.000 0.000 5.9988 10.83 0.166633 0.171576 0.176722 0.182023 0.187482 61.55 65.29 GS FINANCE CORP 40057TJ39 08/03/23 07/31/28 100.000 0.000 5.3931 0.149808 0.153781 0.157927 22.17 55.87 GS FINANCE CORP 40057RCK2 05/03/23 05/01/26 100.000 0.000 4.9746 0.138183 0.141582 0.145104 0.148713 33.09 52.03 GS FINANCE CORP 40057NYQ4 11/28/22 11/29/24 100.000 0.000 5.4600 5.01 0.151667 0.155830 0.160084 0.164455 55.62 53.29 GS FINANCE CORP 40057TJB1 08/03/23 02/05/26 100.000 0.000 5.5175 0.153264 0.153311 0.157540 0.161886 22.69 57.21 GS FINANCE CORP 40057R2Y3 03/17/23 03/19/25 100.000 0.000 5.3750 0.149306 0.149350 0.153364 0.157486 0.161718 42.82 56.81 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MVM8 08/22/22 08/24/27 100.000 0.000 4.4100 15.81 0.122530 0.125232 0.127993 0.130815 0.133700 45.29 47.31 GS FINANCE CORP 40057R2X5 03/17/23 03/19/25 100.000 0.000 5.3750 0.149306 0.149350 0.153364 0.157486 0.161718 42.82 56.81 GS FINANCE CORP 40057MVL0 09/01/22 09/13/30 100.000 0.000 4.9000 16.36 0.136333 0.139674 0.143096 0.146601 0.150193 50.41 52.91 GS FINANCE CORP 40057RD88 04/28/23 04/30/26 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 0.143204 32.60 50.16 GS FINANCE CORP 40057RD62 04/28/23 04/29/27 100.000 0.000 4.8650 0.135139 0.138444 0.141812 0.145262 33.04 50.87 GS FINANCE CORP 40057RU89 05/12/23 05/14/24 100.000 0.000 5.3800 0.149444 0.149489 0.153510 34.42 20.42 GS FINANCE CORP 36264U207 11/03/22 11/04/24 100.000 0.000 6.0000 9.67 0.166667 0.171694 0.176845 0.182151 61.49 54.54 GS FINANCE CORP 40057NYK7 11/18/22 05/20/24 100.000 0.000 5.5175 6.59 0.153311 0.157540 0.161886 56.30 22.50 GS FINANCE CORP 40057N7H4 09/28/22 09/26/24 100.000 0.000 5.2063 13.45 0.144619 0.148342 0.152204 0.156166 53.45 41.05 GS FINANCE CORP 40057MVH9 08/18/22 02/19/26 100.000 0.000 4.1725 15.42 0.115903 0.118334 0.120803 0.123323 0.125896 42.81 44.62 GS FINANCE CORP 40057NHJ9 10/05/22 10/03/24 100.000 0.000 5.4108 12.93 0.150300 0.154321 0.158496 0.162784 55.55 43.88 GS FINANCE CORP 40057WBB2 09/22/23 09/20/30 100.000 0.000 5.9367 0.164908 0.169749 0.174788 16.33 61.24 GS FINANCE CORP 40057WBQ9 09/27/23 10/01/26 100.000 0.000 5.8900 0.163611 0.163718 0.168540 0.173503 15.39 60.69 GS FINANCE CORP 40057MVV8 08/31/22 08/29/25 100.000 0.000 4.2583 14.31 0.118286 0.120777 0.123362 0.125989 0.128671 43.65 45.53 GS FINANCE CORP 40057R3A4 03/20/23 03/19/26 100.000 0.000 5.4283 0.150786 0.154856 0.159059 0.163376 42.79 57.37 GS FINANCE CORP 40057MW62 08/26/22 08/27/26 100.000 0.000 4.4950 15.61 0.124861 0.127683 0.130553 0.133487 0.136487 46.16 48.26 GS FINANCE CORP 40057MVU0 08/18/22 08/21/23 100.000 0.000 2.8600 10.57 0.079463 0.080600 18.48 GS FINANCE CORP 40057NZ91 11/29/22 05/29/24 100.000 0.000 5.5000 4.89 0.152778 0.156979 0.161296 56.03 23.87 GS FINANCE CORP 40057NZ75 11/18/22 02/21/24 100.000 0.000 5.5638 6.65 0.154550 0.156771 0.161133 56.89 8.06 GS FINANCE CORP 40057MW54 08/26/22 08/26/37 100.000 VARIES 5.6000 19.33 0.153944 0.147333 0.143111 0.144944 0.145667 52.74 52.21 GS FINANCE CORP 40057NHT7 10/19/22 10/21/27 100.000 0.000 6.2100 12.42 0.172560 0.177917 0.183442 0.189138 0.195010 63.85 67.87 GS FINANCE CORP 40057NYV3 11/22/22 11/22/27 100.000 0.000 5.4900 5.95 0.152500 0.156686 0.160987 0.165406 0.169947 55.98 59.10 GS FINANCE CORP 40057M4N6 06/02/22 05/30/24 100.000 0.000 2.3958 13.93 0.067338 0.068145 0.068961 24.44 10.28 GS FINANCE CORP 40057WBK2 09/29/23 01/05/26 100.000 0.000 6.0200 0.167222 0.169907 0.175021 15.38 62.06 GS FINANCE CORP 40057PNW8 02/22/23 02/22/30 100.000 0.000 5.3200 0.147778 0.151709 0.155744 0.159887 46.17 56.40 GS FINANCE CORP 40057R3K2 03/29/23 03/29/28 100.000 0.000 4.9700 0.138056 0.141486 0.145002 0.148605 37.87 52.22 GS FINANCE CORP 40057TJR6 07/31/23 07/30/26 100.000 0.000 5.4558 0.151550 0.155684 0.159931 22.88 56.57 GS FINANCE CORP 40057RDK1 04/19/23 05/03/28 100.000 0.000 5.0900 0.141389 0.141669 0.145274 0.148971 0.152763 35.91 53.40 GS FINANCE CORP 40057WBX4 10/04/23 10/02/26 100.000 0.000 5.9717 0.165881 0.170778 0.175878 14.43 61.49 GS FINANCE CORP 40057RUJ5 05/17/23 11/15/24 100.000 0.000 5.3050 0.147361 0.151226 0.155238 33.19 48.21 GS FINANCE CORP 40057MVZ9 08/31/22 08/31/27 100.000 0.000 4.6400 15.60 0.128889 0.131846 0.134939 0.138052 0.141272 47.67 49.91 GS FINANCE CORP 40057WC39 09/27/23 03/26/26 100.000 0.000 5.9629 0.165636 0.170547 0.175632 15.57 61.46 GS FINANCE CORP 40057RUF3 05/11/23 05/13/24 100.000 0.000 5.3800 0.149444 0.149489 0.153510 34.58 20.26 GS FINANCE CORP 40057TJK1 07/18/23 01/16/25 100.000 0.000 5.6062 0.155728 0.160044 0.164531 25.38 58.29 GS FINANCE CORP 40057M4U0 06/03/22 06/04/32 100.000 0.000 4.4600 25.84 0.126667 0.129492 0.132379 0.135331 0.138349 46.26 48.35 GS FINANCE CORP 40057NZK6 11/28/22 11/28/37 100.000 VARIES 5.5100 5.05 0.152333 0.149611 0.146722 0.143778 0.141833 54.17 52.09 GS FINANCE CORP 40057M5E5 06/03/22 12/02/24 100.000 0.000 2.9403 17.02 0.082869 0.084087 0.085324 0.086578 30.12 28.47 GS FINANCE CORP 40057RDT2 04/28/23 10/30/25 100.000 0.000 4.8950 0.135972 0.136009 0.139338 0.142748 0.146242 33.25 51.20 GS FINANCE CORP 40057WCC9 10/02/23 10/12/28 100.000 0.000 6.1100 0.169722 0.170010 0.175204 0.180557 15.13 62.97 GS FINANCE CORP 40057RDR6 04/26/23 10/26/27 100.000 0.000 5.1085 0.141903 0.145527 0.149244 0.153057 35.00 53.55 GS FINANCE CORP 40057RDQ8 04/26/23 10/26/28 100.000 0.000 5.1375 0.142708 0.146374 0.150134 0.153991 35.20 53.87 GS FINANCE CORP 40057TK78 07/26/23 01/24/25 100.000 0.000 5.7513 0.159758 0.164301 0.169026 24.76 59.79 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RUQ9 05/24/23 05/24/30 100.000 0.000 5.3900 0.149722 0.153757 0.157901 0.162156 32.64 56.41 GS FINANCE CORP 40057TK60 08/03/23 09/05/24 100.000 0.000 5.7937 0.160936 0.161765 0.166451 23.91 40.31 GS FINANCE CORP 40057NZF7 11/29/22 11/29/24 100.000 0.000 5.4000 4.80 0.150000 0.154050 0.158209 0.162481 54.99 52.66 GS FINANCE CORP 40057TK45 08/02/23 08/04/31 100.000 0.000 5.5033 0.152869 0.152916 0.157124 0.161447 22.78 57.06 GS FINANCE CORP 40057R3L0 03/22/23 09/20/24 100.000 0.000 5.4446 0.151239 0.155310 0.159538 42.61 40.99 GS FINANCE CORP 40057WCK1 10/04/23 10/02/26 100.000 0.000 5.9717 0.165881 0.170778 0.175878 14.43 61.49 GS FINANCE CORP 40057MWP0 09/06/22 03/04/27 100.000 0.000 4.7354 15.13 0.131539 0.134619 0.137806 0.141069 0.144409 48.64 50.97 GS FINANCE CORP 40057TKC7 07/28/23 07/26/30 100.000 0.000 5.4896 0.152489 0.156628 0.160927 23.33 56.95 GS FINANCE CORP 40057TKD5 07/26/23 07/28/28 100.000 0.000 5.4400 0.151111 0.151157 0.155268 0.159492 23.43 56.43 GS FINANCE CORP 40057MX20 08/30/22 08/29/24 100.000 0.000 2.8600 9.61 0.079444 0.080568 0.081726 0.082895 29.08 19.66 GS FINANCE CORP 40057WCJ4 09/27/23 09/27/28 100.000 0.000 5.9200 0.164444 0.169312 0.174324 15.46 61.00 GS FINANCE CORP 40057M5K1 06/02/22 06/02/27 100.000 0.000 4.0000 23.29 0.113333 0.115600 0.117912 0.120270 0.122676 41.34 43.01 GS FINANCE CORP 40057M5J4 06/03/22 06/08/27 100.000 0.000 4.0700 23.58 0.115421 0.117770 0.120167 0.122612 0.125107 42.08 43.81 GS FINANCE CORP 40057WCG0 09/28/23 09/30/26 100.000 0.000 5.9400 0.165000 0.165054 0.169957 0.175004 15.35 61.21 GS FINANCE CORP 40057RUZ9 06/05/23 06/05/28 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 29.97 54.47 GS FINANCE CORP 40057R3W6 04/03/23 04/04/24 100.000 0.000 5.5100 0.153056 0.157296 41.39 14.63 GS FINANCE CORP 40057W2D8 09/29/23 07/01/27 100.000 0.000 5.9600 0.168077 0.173086 0.178244 15.23 61.41 GS FINANCE CORP 40057R3V8 04/03/23 07/05/24 100.000 0.000 5.4613 0.151703 0.153820 0.158020 41.03 29.06 GS FINANCE CORP 40057X5H4 11/30/23 11/30/28 100.000 0.000 5.7100 0.158611 0.163139 0.167797 4.92 58.20 GS FINANCE CORP 40057MWJ4 08/31/22 08/31/27 100.000 VARIES 4.6400 15.53 0.128389 0.132056 0.134333 0.136722 0.139167 47.69 49.38 GS FINANCE CORP 40057PP30 02/22/23 02/22/28 100.000 0.000 5.2300 0.145278 0.149077 0.152975 0.156975 45.38 55.39 GS FINANCE CORP 40057RDU9 04/28/23 10/29/26 100.000 0.000 4.8325 0.134236 0.137498 0.140820 0.144222 32.82 50.51 GS FINANCE CORP 40057PP22 03/03/23 04/04/24 100.000 0.000 5.5621 0.154503 0.155243 0.159560 46.62 14.84 GS FINANCE CORP 40057W2C0 09/29/23 07/01/26 100.000 0.000 5.9600 0.168077 0.173086 0.178244 15.23 61.41 GS FINANCE CORP 40057WD46 10/02/23 04/01/26 100.000 0.000 6.0713 0.168647 0.173738 0.179012 15.01 62.56 GS FINANCE CORP 40057MWX3 09/06/22 09/07/27 100.000 VARIES 4.8200 15.33 0.134789 0.137200 0.139628 0.142078 0.144617 49.51 51.27 GS FINANCE CORP 40057NZY6 11/29/22 12/01/27 100.000 0.000 5.4000 4.80 0.150045 0.154096 0.158257 0.162530 0.166918 54.99 58.00 GS FINANCE CORP 40057W2N6 10/04/23 07/02/26 100.000 0.000 6.0067 0.166853 0.169303 0.174387 14.52 61.86 GS FINANCE CORP 40057MX61 08/30/22 12/27/23 100.000 0.000 2.8600 9.62 0.080183 0.081329 28.75 GS FINANCE CORP 40057WCN5 10/02/23 10/02/28 100.000 0.000 6.1100 0.169722 0.174907 0.180251 15.11 62.97 GS FINANCE CORP 40057W2M8 10/04/23 07/02/26 100.000 0.000 6.0067 0.166853 0.169303 0.174387 14.52 61.86 GS FINANCE CORP 40057TKG8 07/27/23 08/29/24 100.000 0.000 5.8258 0.161828 0.162666 0.167404 25.02 39.57 GS FINANCE CORP 40057NJ65 11/03/22 05/05/25 100.000 0.000 5.9125 9.53 0.164290 0.169147 0.174147 0.179296 0.184596 60.57 64.20 GS FINANCE CORP 40057MWQ8 09/06/22 02/05/26 100.000 0.000 4.5904 14.66 0.127511 0.129934 0.132916 0.135967 0.139087 47.13 49.30 GS FINANCE CORP 40057NJ40 11/03/22 05/05/25 100.000 0.000 5.9125 9.53 0.164290 0.169147 0.174147 0.179296 0.184596 60.57 64.20 GS FINANCE CORP 40057TKE3 07/27/23 07/31/28 100.000 0.000 5.4300 0.150833 0.150902 0.154999 0.159207 23.24 56.32 GS FINANCE CORP 40057R4L9 04/05/23 10/05/28 100.000 0.000 5.0650 0.140694 0.144258 0.147911 0.151657 37.73 53.23 GS FINANCE CORP 40057WCZ8 09/29/23 09/27/30 100.000 0.000 6.1346 0.170406 0.175574 0.180960 15.68 63.27 GS FINANCE CORP 40057NJA6 10/19/22 10/19/27 100.000 0.000 6.2100 12.42 0.172500 0.177856 0.183379 0.189072 0.194943 63.85 67.87 GS FINANCE CORP 40057R4K1 03/29/23 06/20/24 100.000 0.000 5.2492 0.145811 0.147533 0.151405 40.03 25.59 GS FINANCE CORP 40057R4H8 03/31/23 03/31/25 100.000 0.000 5.2950 0.147083 0.150977 0.154974 0.159077 40.21 55.81 GS FINANCE CORP 40057WCW5 09/29/23 09/29/28 100.000 0.000 6.0100 0.166944 0.171961 0.177129 15.36 61.94 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MFZ7 07/06/22 07/03/25 100.000 0.000 4.1611 20.23 0.115586 0.117951 0.120405 0.122910 0.125467 42.89 44.70 GS FINANCE CORP 40057R4F2 03/31/23 03/31/28 100.000 0.000 5.1600 0.143333 0.147031 0.150825 0.154716 39.18 54.31 GS FINANCE CORP 40057REH7 05/03/23 10/31/25 100.000 0.000 5.0621 0.140614 0.144114 0.147761 0.151501 33.68 52.99 GS FINANCE CORP 40057TKN3 08/02/23 07/31/25 100.000 0.000 5.6804 0.157789 0.162221 0.166828 23.51 58.97 GS FINANCE CORP 40057REG9 05/03/23 10/31/25 100.000 0.000 5.0621 0.140614 0.144114 0.147761 0.151501 33.68 52.99 GS FINANCE CORP 40057REV6 05/03/23 05/01/26 100.000 0.000 4.9746 0.138183 0.141582 0.145104 0.148713 33.09 52.03 GS FINANCE CORP 40057W3C9 10/04/23 10/14/26 100.000 0.000 5.9600 0.165556 0.165830 0.170771 0.175860 14.42 61.36 GS FINANCE CORP 40057M6G9 06/06/22 06/05/25 100.000 0.000 3.5486 20.25 0.100311 0.102091 0.103903 0.105746 0.107623 36.53 37.83 GS FINANCE CORP 40057REU8 04/28/23 04/26/30 100.000 0.000 5.0354 0.139872 0.143355 0.146964 0.150664 34.22 52.73 GS FINANCE CORP 40057RW87 05/17/23 05/30/24 100.000 0.000 5.3800 0.149444 0.149735 0.153763 33.66 22.91 GS FINANCE CORP 40057WDD6 09/27/23 09/25/25 100.000 0.000 6.0254 0.167372 0.172359 0.177551 15.73 62.13 GS FINANCE CORP 40057RF52 04/26/23 10/26/27 100.000 0.000 5.1025 0.141736 0.145352 0.149060 0.152863 34.96 53.48 GS FINANCE CORP 40057RVV7 06/01/23 05/29/26 100.000 0.000 5.4825 0.152292 0.156420 0.160708 0.165113 32.11 57.36 GS FINANCE CORP 40057PQ18 03/03/23 03/02/28 100.000 0.000 5.4567 0.151575 0.155688 0.159935 0.164299 45.66 57.84 GS FINANCE CORP 40057RF45 04/26/23 10/26/28 100.000 0.000 5.1375 0.142708 0.146374 0.150134 0.153991 35.20 53.87 GS FINANCE CORP 40057WDB0 10/04/23 10/15/30 100.000 0.000 6.2300 0.173056 0.173385 0.178786 0.184355 15.08 64.22 GS FINANCE CORP 40057RW61 05/31/23 05/31/38 100.000 VARIES 5.6594 0.156556 0.153889 0.151167 0.148333 32.82 54.74 GS FINANCE CORP 40057RER5 04/28/23 05/02/29 100.000 0.000 4.9340 0.137056 0.137131 0.140514 0.143980 0.147532 33.52 51.62 GS FINANCE CORP 40057M6C8 06/02/22 05/31/24 100.000 0.000 2.3000 13.38 0.064615 0.065359 0.066110 23.44 9.85 GS FINANCE CORP 40057MGE3 07/06/22 07/06/27 100.000 0.000 4.7400 23.04 0.131667 0.134787 0.137982 0.141252 0.144599 49.07 51.42 GS FINANCE CORP 40057REQ7 04/28/23 04/30/26 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 0.143204 32.60 50.16 GS FINANCE CORP 40057RVS4 05/19/23 05/21/25 100.000 0.000 5.2300 0.145278 0.145320 0.149120 0.153020 0.157021 32.41 54.70 GS FINANCE CORP 40057RW46 05/24/23 05/26/28 100.000 0.000 5.3100 0.147500 0.147544 0.151461 0.155482 0.159610 32.15 55.53 GS FINANCE CORP 40057RF29 04/28/23 04/28/28 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 33.49 51.58 GS FINANCE CORP 40057MXD6 09/06/22 09/03/26 100.000 0.000 4.6629 14.90 0.129525 0.132494 0.135584 0.138745 0.141979 47.88 50.13 GS FINANCE CORP 40057PPL0 03/02/23 04/01/24 100.000 0.000 5.5300 0.153611 0.154295 0.158562 46.50 14.27 GS FINANCE CORP 40057MXC8 09/06/22 03/05/26 100.000 0.000 4.5904 14.66 0.127511 0.130421 0.133415 0.136477 0.139609 47.11 49.30 GS FINANCE CORP 40057WDM6 10/04/23 10/04/28 100.000 0.000 6.0800 0.168889 0.174023 0.179313 14.69 62.63 GS FINANCE CORP 40057MY29 09/02/22 09/02/27 100.000 0.000 4.7500 15.70 0.131944 0.135078 0.138286 0.141571 0.144933 48.82 51.17 GS FINANCE CORP 40057W3K1 10/03/23 10/01/26 100.000 0.000 5.9712 0.165867 0.170764 0.175862 14.60 61.49 GS FINANCE CORP 40057TLE2 07/26/23 07/26/30 100.000 0.000 5.4700 0.151944 0.156100 0.160369 23.55 56.75 GS FINANCE CORP 40057WDK0 09/26/23 09/25/25 100.000 0.000 6.0492 0.168033 0.173087 0.178323 15.96 62.39 GS FINANCE CORP 40057PQ96 03/01/23 08/29/24 100.000 0.000 5.5583 0.154397 0.158640 0.163049 46.84 38.55 GS FINANCE CORP 40057W3H8 10/04/23 10/02/25 100.000 0.000 6.1117 0.169769 0.174900 0.180244 14.77 62.97 GS FINANCE CORP 40057TLB8 07/25/23 01/24/25 100.000 0.000 5.6953 0.158203 0.162683 0.167315 24.68 59.19 GS FINANCE CORP 40057X6J9 11/30/23 11/30/28 100.000 0.000 5.7100 0.158611 0.163139 0.167797 4.92 58.20 GS FINANCE CORP 40057REZ7 04/28/23 04/26/30 100.000 0.000 5.0354 0.139872 0.143355 0.146964 0.150664 34.22 52.73 GS FINANCE CORP 40057NJP3 10/31/22 10/29/26 100.000 0.000 5.9483 10.08 0.165231 0.170117 0.175177 0.180387 0.185752 60.98 64.66 GS FINANCE CORP 40057REY0 04/28/23 04/30/26 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 0.143204 32.60 50.16 GS FINANCE CORP 40057W3G0 10/03/23 10/05/26 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 14.57 61.37 GS FINANCE CORP 40057PQ62 02/23/23 02/22/27 100.000 0.000 5.1704 0.143622 0.147315 0.151123 0.155030 44.71 54.71 GS FINANCE CORP 40057REX2 05/03/23 05/12/26 100.000 0.000 4.9600 0.137778 0.137949 0.141370 0.144876 0.148469 33.00 51.87 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RF94 04/28/23 04/26/30 100.000 0.000 5.0354 0.139872 0.143355 0.146964 0.150664 34.22 52.73 GS FINANCE CORP 40057PPT3 03/08/23 04/02/24 100.000 0.000 5.5700 0.154722 0.155297 0.159622 45.87 14.53 GS FINANCE CORP 40057NJN8 10/13/22 10/10/24 100.000 0.000 5.4633 11.84 0.151758 0.155835 0.160092 0.164465 56.04 45.45 GS FINANCE CORP 40057REW4 04/28/23 04/28/28 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 33.49 51.58 GS FINANCE CORP 40057RFH6 04/11/23 04/10/25 100.000 0.000 5.0421 0.140058 0.143570 0.147189 0.150900 36.70 52.93 GS FINANCE CORP 40057TLN2 07/25/23 07/01/26 100.000 0.000 5.5233 0.157097 0.161436 0.165894 23.93 57.34 GS FINANCE CORP 40057R5E4 03/24/23 09/26/24 100.000 0.000 5.4825 0.152292 0.152338 0.156514 0.160804 42.59 42.25 GS FINANCE CORP 40057RFG8 04/11/23 04/10/25 100.000 0.000 5.0421 0.140058 0.143570 0.147189 0.150900 36.70 52.93 GS FINANCE CORP 40057TLM4 07/31/23 07/31/25 100.000 0.000 5.6300 0.156389 0.160791 0.165318 23.61 58.44 GS FINANCE CORP 40057WE45 10/12/23 10/16/28 100.000 0.000 6.3100 0.175278 0.175401 0.180935 0.186643 13.86 64.98 GS FINANCE CORP 40057RWF1 06/01/23 06/05/28 100.000 0.000 5.4500 0.151389 0.151481 0.155608 0.159849 0.164205 31.92 57.01 GS FINANCE CORP 40057RFE3 05/03/23 05/01/26 100.000 0.000 4.9746 0.138183 0.141582 0.145104 0.148713 33.09 52.03 GS FINANCE CORP 40057RFD5 04/19/23 04/17/26 100.000 0.000 5.0354 0.139872 0.143355 0.146964 0.150664 35.51 52.80 GS FINANCE CORP 40057MGU7 07/05/22 07/03/25 100.000 0.000 4.2583 20.82 0.118286 0.120777 0.123348 0.125974 0.128657 43.93 45.82 GS FINANCE CORP 40057TLJ1 08/03/23 08/07/26 100.000 0.000 5.4200 0.150556 0.150646 0.154729 0.158922 22.30 56.16 GS FINANCE CORP 40057MGT0 07/05/22 07/02/26 100.000 0.000 4.5817 22.40 0.127269 0.130136 0.133118 0.136167 0.139287 47.38 49.58 GS FINANCE CORP 40057RFC7 04/28/23 01/29/26 100.000 0.000 4.8475 0.134653 0.136303 0.139606 0.142990 32.97 50.68 GS FINANCE CORP 40057W3N5 10/04/23 10/06/26 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 14.41 61.36 GS FINANCE CORP 40057RFA1 04/28/23 05/09/28 100.000 0.000 4.9300 0.136944 0.137151 0.140532 0.143996 0.147545 33.50 51.58 GS FINANCE CORP 40057TLG7 07/25/23 07/24/25 100.000 0.000 5.6833 0.157869 0.162331 0.166943 24.63 59.06 GS FINANCE CORP 40057MY52 09/30/22 04/01/25 100.000 0.000 5.4825 13.86 0.152292 0.156490 0.160779 0.165187 0.169715 56.34 59.48 GS FINANCE CORP 40057M7A1 07/05/22 07/06/27 100.000 0.000 4.8200 23.56 0.133889 0.137134 0.140438 0.143823 0.147289 49.93 52.37 GS FINANCE CORP 40057NKD8 11/02/22 10/31/25 100.000 0.000 5.8608 9.61 0.162800 0.167518 0.172427 0.177479 0.182680 60.04 63.61 GS FINANCE CORP 40057PQK1 03/03/23 03/05/25 100.000 0.000 5.4750 0.152083 0.152130 0.156294 0.160573 0.164968 45.82 58.04 GS FINANCE CORP 40057NKC0 11/02/22 10/31/25 100.000 0.000 5.8608 9.61 0.162800 0.167518 0.172427 0.177479 0.182680 60.04 63.61 GS FINANCE CORP 40057TLT9 08/07/23 08/07/25 100.000 0.000 5.6600 0.157222 0.161672 0.166247 22.64 58.70 GS FINANCE CORP 40057WDZ7 10/04/23 10/02/26 100.000 0.000 5.9717 0.165881 0.170778 0.175878 14.43 61.49 GS FINANCE CORP 40057TLR3 08/07/23 08/09/27 100.000 0.000 5.4775 0.152153 0.152199 0.156367 0.160650 21.92 56.74 GS FINANCE CORP 40057RFL7 05/03/23 05/31/24 100.000 0.000 5.3100 0.147500 0.148087 0.152019 35.35 22.65 GS FINANCE CORP 40057PQF2 03/01/23 03/01/27 100.000 0.000 5.4450 0.151250 0.155368 0.159598 0.163943 45.87 57.72 GS FINANCE CORP 40057RWL8 05/31/23 05/30/25 100.000 0.000 5.5771 0.154919 0.159239 0.163680 0.168244 32.82 58.40 GS FINANCE CORP 40057TLP7 07/26/23 07/24/25 100.000 0.000 5.6833 0.157869 0.162306 0.166918 24.47 59.05 GS FINANCE CORP 40057X6X8 11/30/23 12/03/25 100.000 0.000 5.7650 0.160139 0.160216 0.164834 0.169585 4.97 58.77 GS FINANCE CORP 40057NKN6 10/26/22 10/26/27 100.000 0.000 6.3400 11.45 0.176111 0.181694 0.187454 0.193396 0.199526 65.14 69.34 GS FINANCE CORP 40057NKM8 10/24/22 10/27/25 100.000 0.000 6.0100 11.19 0.167028 0.172047 0.177217 0.182543 0.188028 61.69 65.45 GS FINANCE CORP 40057RG77 04/19/23 04/20/28 100.000 0.000 5.0900 0.141389 0.145007 0.148698 0.152482 35.89 53.40 GS FINANCE CORP 40057NKL0 10/24/22 10/26/27 100.000 0.000 6.3300 11.78 0.175895 0.181462 0.187206 0.193131 0.199243 65.06 69.24 GS FINANCE CORP 40057RWX2 06/05/23 06/05/28 100.000 0.000 5.2200 0.145000 0.148784 0.152668 0.156652 29.97 54.47 GS FINANCE CORP 36264U348 11/21/22 12/04/24 100.000 0.000 5.4000 6.01 0.150293 0.154350 0.158518 0.162798 55.06 53.56 GS FINANCE CORP 40057MHF9 07/01/22 07/26/23 100.000 0.000 2.3600 11.82 0.065663 0.066438 13.60 GS FINANCE CORP 40057LVE8 05/31/22 05/31/28 100.000 0.000 4.2300 24.87 0.119985 0.122523 0.125114 0.127760 0.130462 43.81 45.68 GS FINANCE CORP 40057NKJ5 10/19/22 10/17/25 100.000 0.000 5.8708 11.74 0.163078 0.167812 0.172738 0.177808 0.183027 60.27 63.86 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057RG36 04/19/23 01/17/25 100.000 0.000 5.2667 0.146297 0.148181 0.152083 0.156088 37.18 55.34 GS FINANCE CORP 40057TLX0 08/02/23 08/04/28 100.000 0.000 5.4200 0.150556 0.150601 0.154682 0.158874 22.44 56.17 GS FINANCE CORP 40057NL70 10/12/22 10/09/25 100.000 0.000 5.4450 11.95 0.151250 0.155299 0.159527 0.163870 0.168332 55.86 58.93 GS FINANCE CORP 40057TMH4 08/02/23 08/02/28 100.000 0.000 5.4200 0.150556 0.154636 0.158826 22.43 56.17 GS FINANCE CORP 40057WEN3 09/29/23 10/02/28 100.000 0.000 6.1100 0.169722 0.169809 0.174996 0.180342 15.62 63.00 GS FINANCE CORP 40057MYT0 09/30/22 10/02/25 100.000 0.000 5.5800 14.11 0.155048 0.159374 0.163820 0.168391 0.173089 57.38 60.62 GS FINANCE CORP 40057MZ51 09/30/22 10/01/26 100.000 0.000 5.7650 14.57 0.160139 0.164781 0.169530 0.174417 0.179445 59.33 62.80 GS FINANCE CORP 40057NL54 10/17/22 10/17/24 100.000 0.000 5.5450 11.40 0.154028 0.158298 0.162687 0.167198 56.86 47.34 GS FINANCE CORP 40057WEL7 09/29/23 10/13/26 100.000 0.000 5.9300 0.164722 0.165102 0.169997 0.175038 15.18 61.09 GS FINANCE CORP 40057NL39 10/18/22 10/18/23 100.000 0.000 5.6300 11.42 0.156389 0.160791 45.68 GS FINANCE CORP 40057TMB4 08/01/23 07/30/27 100.000 0.000 5.5271 0.153531 0.157750 0.162109 23.03 57.33 GS FINANCE CORP 40057NL21 11/04/22 11/07/23 100.000 0.000 5.9800 9.47 0.166194 0.171163 51.75 GS FINANCE CORP 40057R5Z7 04/04/23 05/03/24 100.000 0.000 5.5200 0.153333 0.154015 0.158266 41.35 19.31 GS FINANCE CORP 40057NKP1 10/26/22 10/24/25 100.000 0.000 5.9983 10.83 0.166619 0.171561 0.176706 0.182006 0.187465 61.55 65.29 GS FINANCE CORP 40057RGJ1 04/26/23 04/28/28 100.000 0.000 5.1200 0.142222 0.142263 0.145905 0.149640 0.153471 35.08 53.67 GS FINANCE CORP 40057WEV5 10/12/23 10/13/26 100.000 VARIES 6.1231 0.173944 0.181026 0.182118 13.61 64.02 GS FINANCE CORP 40057LVW8 05/31/22 02/28/25 100.000 0.000 3.3333 19.63 0.093346 0.094902 0.096484 0.098092 0.099726 34.27 35.42 GS FINANCE CORP 40057R6F0 03/29/23 03/27/26 100.000 0.000 4.9254 0.136817 0.140149 0.143600 0.147136 37.53 51.73 GS FINANCE CORP 3626EQ876 07/22/22 08/03/29 100.000 0.000 4.4400 19.63 0.123501 0.126242 0.129045 0.131910 0.134838 45.77 47.83 GS FINANCE CORP 40057LVX6 05/31/22 06/11/29 100.000 0.000 4.4800 26.35 0.127406 0.130260 0.133178 0.136161 0.139211 46.50 48.60 GS FINANCE CORP 40057MYY9 09/30/22 10/12/29 100.000 0.000 6.0800 15.40 0.169231 0.174376 0.179677 0.185139 0.190767 62.67 66.54 GS FINANCE CORP 40057NKZ9 10/14/22 04/15/24 100.000 0.000 5.4650 11.69 0.151806 0.155977 0.160239 56.04 16.66 GS FINANCE CORP 40057LVV0 05/31/22 05/29/26 100.000 0.000 3.9700 23.34 0.112455 0.114687 0.116963 0.119285 0.121653 41.03 42.67 GS FINANCE CORP 40057RGE2 04/26/23 04/28/28 100.000 0.000 5.1200 0.142222 0.142263 0.145905 0.149640 0.153471 35.08 53.67 GS FINANCE CORP 40057MYX1 09/30/22 10/12/29 100.000 0.000 6.0800 15.40 0.169231 0.174376 0.179677 0.185139 0.190767 62.67 66.54 GS FINANCE CORP 40057RXE3 05/31/23 08/29/24 100.000 0.000 5.6858 0.157939 0.160159 0.164712 33.60 38.94 GS FINANCE CORP 40057MZ77 09/30/22 10/02/28 100.000 0.000 6.0200 15.08 0.166389 0.171167 0.174222 0.177333 0.180556 61.64 63.86 GS FINANCE CORP 40057MYV5 09/30/22 04/02/27 100.000 0.000 5.8575 14.81 0.162761 0.167528 0.172435 0.177485 0.182683 60.31 63.90 GS FINANCE CORP 40057MYW3 09/30/22 10/02/25 100.000 0.000 5.5800 14.11 0.155048 0.159374 0.163820 0.168391 0.173089 57.38 60.62 GS FINANCE CORP 40057MZ69 09/30/22 10/12/29 100.000 0.000 6.0800 15.40 0.169231 0.174376 0.179677 0.185139 0.190767 62.67 66.54 GS FINANCE CORP 40057MYU7 09/30/22 09/30/27 100.000 0.000 5.9500 15.04 0.165278 0.170195 0.175258 0.180472 0.185841 61.29 64.99 GS FINANCE CORP 40057TN91 08/08/23 08/07/25 100.000 0.000 5.7108 0.158633 0.163138 0.167796 22.68 59.24 GS FINANCE CORP 40057LWC1 05/31/22 05/28/27 100.000 0.000 4.2100 24.76 0.119379 0.121892 0.124458 0.127077 0.129752 43.60 45.45 GS FINANCE CORP 40057NLF2 10/26/22 10/24/24 100.000 0.000 5.8583 10.58 0.162731 0.167444 0.172349 0.177397 60.08 51.41 GS FINANCE CORP 40057RY36 05/22/23 06/03/24 100.000 0.000 5.4200 0.150556 0.150805 0.154892 33.14 23.54 GS FINANCE CORP 40057LWA5 05/05/22 05/17/29 100.000 0.000 4.6800 30.71 0.131975 0.132986 0.134279 0.135573 0.136927 47.79 48.72 GS FINANCE CORP 40057RXP8 06/05/23 06/07/28 100.000 0.000 5.2200 0.145000 0.145042 0.148828 0.152712 0.156698 29.97 54.47 GS FINANCE CORP 40057W4Z7 09/29/23 09/29/28 100.000 0.000 6.0100 0.166944 0.171961 0.177129 15.36 61.94 GS FINANCE CORP 40057W4Y0 09/29/23 10/01/29 100.000 VARIES 5.9995 0.169794 0.175815 0.176253 15.55 62.62 GS FINANCE CORP 40057NLA3 10/26/22 10/24/25 100.000 0.000 5.9983 10.83 0.166619 0.171561 0.176706 0.182006 0.187465 61.55 65.29 GS FINANCE CORP 40057W4X2 09/29/23 10/01/26 100.000 0.000 5.9300 0.164722 0.164776 0.169662 0.174693 15.16 61.09 GS FINANCE CORP 40057W4W4 09/29/23 10/10/30 100.000 0.000 6.1400 0.170556 0.170876 0.176121 0.181528 15.72 63.32 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057TN26 08/17/23 11/19/26 100.000 0.000 5.6750 0.157639 0.159925 0.164463 0.169130 21.22 58.78 GS FINANCE CORP 40057NLP0 10/24/22 10/24/24 100.000 0.000 5.8900 10.96 0.163611 0.168429 0.173390 0.178496 60.42 51.72 GS FINANCE CORP 40057RGY8 05/03/23 05/03/28 100.000 0.000 5.0200 0.139444 0.142944 0.146532 0.150210 33.39 52.53 GS FINANCE CORP 40057RGX0 04/26/23 10/24/24 100.000 0.000 5.3033 0.147314 0.151177 0.155185 36.35 45.02 GS FINANCE CORP 40057MZL6 10/05/22 10/07/25 100.000 0.000 5.5300 13.21 0.153658 0.157907 0.162273 0.166760 0.171371 56.81 59.99 GS FINANCE CORP 40057TMZ4 08/17/23 08/16/30 100.000 0.000 5.7160 0.158778 0.163290 0.167957 21.28 59.21 GS FINANCE CORP 40057RY69 06/05/23 06/05/30 100.000 0.000 5.2800 0.146667 0.150539 0.154513 0.158592 30.31 55.12 GS FINANCE CORP 40057MZH5 10/04/22 10/02/25 100.000 0.000 5.5179 13.33 0.153275 0.157457 0.161801 0.166265 0.170852 56.69 59.86 GS FINANCE CORP 40057LWE7 05/31/22 06/11/29 100.000 0.000 4.4800 26.35 0.127406 0.130260 0.133178 0.136161 0.139211 46.50 48.60 GS FINANCE CORP 40057RGS1 04/27/23 10/22/26 100.000 0.000 4.9887 0.138575 0.141936 0.145476 0.149105 34.04 52.23 GS FINANCE CORP 40057NLH8 10/26/22 11/04/27 100.000 0.000 6.3400 11.46 0.176359 0.181950 0.187718 0.193668 0.199808 65.14 69.34 GS FINANCE CORP 40057LWD9 05/31/22 02/28/25 100.000 0.000 3.3333 19.63 0.093346 0.094902 0.096484 0.098092 0.099726 34.27 35.42 GS FINANCE CORP 40057LX48 05/31/22 05/29/26 100.000 0.000 3.9700 23.34 0.112455 0.114687 0.116963 0.119285 0.121653 41.03 42.67 GS FINANCE CORP 40057W5M5 09/27/23 03/27/29 100.000 0.000 5.9425 0.165069 0.169974 0.175024 15.52 61.24 GS FINANCE CORP 40057TNG5 08/16/23 08/18/28 100.000 0.000 5.6100 0.155833 0.155882 0.160254 0.164750 21.04 58.08 GS FINANCE CORP 40057NLT2 10/19/22 10/21/25 100.000 0.000 5.8800 11.76 0.163387 0.168190 0.173135 0.178225 0.183465 60.37 63.97 GS FINANCE CORP 40057NM46 10/18/22 04/17/25 100.000 0.000 5.7546 11.67 0.159850 0.164424 0.169155 0.174022 0.179029 59.06 62.50 GS FINANCE CORP 40057WWM5 11/30/23 12/02/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 4.86 57.47 GS FINANCE CORP 40057WWK9 11/30/23 12/11/28 100.000 0.000 5.7100 0.158611 0.158888 0.163424 0.168090 4.92 58.20 GS FINANCE CORP 40057W5X1 09/29/23 10/01/26 100.000 0.000 5.9300 0.164722 0.164776 0.169662 0.174693 15.16 61.09 GS FINANCE CORP 40057R7H5 03/29/23 03/31/28 100.000 0.000 4.9700 0.138056 0.138075 0.141506 0.145022 0.148626 37.87 52.22 GS FINANCE CORP 40057R7G7 04/05/23 04/05/27 100.000 0.000 5.0450 0.140139 0.143674 0.147298 0.151014 37.58 53.01 GS FINANCE CORP 40057WFU6 10/12/23 10/09/25 100.000 0.000 6.1429 0.170636 0.175790 0.181189 13.48 63.22 GS FINANCE CORP 40057W5T0 09/27/23 03/27/28 100.000 0.000 5.9125 0.164236 0.169091 0.174090 15.44 60.93 GS FINANCE CORP 40057MJ91 07/06/22 07/03/25 100.000 0.000 4.1611 20.23 0.115586 0.117951 0.120405 0.122910 0.125467 42.89 44.70 GS FINANCE CORP 40057NLZ8 10/25/22 10/23/25 100.000 0.000 6.0783 11.14 0.168842 0.173916 0.179202 0.184648 0.190259 62.40 66.24 GS FINANCE CORP 40057LX55 05/31/22 06/11/29 100.000 0.000 4.4800 26.35 0.127406 0.130260 0.133178 0.136161 0.139211 46.50 48.60 GS FINANCE CORP 40057MZX0 09/07/22 09/05/25 100.000 0.000 4.5306 14.35 0.125850 0.128669 0.131584 0.134565 0.137613 46.48 48.61 GS FINANCE CORP 40057W6A0 10/04/23 10/02/26 100.000 0.000 5.9717 0.165881 0.170778 0.175878 14.43 61.49 GS FINANCE CORP 40057RZ76 07/06/23 01/06/25 100.000 0.000 5.7600 0.160000 0.164608 0.169349 28.00 60.07 GS FINANCE CORP 40057LXD8 05/18/22 05/27/27 100.000 0.000 4.2400 26.38 0.120402 0.122955 0.125561 0.128223 0.130942 43.98 45.86 GS FINANCE CORP 40057LXC0 05/18/22 05/27/27 100.000 0.000 4.2400 26.38 0.120402 0.122955 0.125561 0.128223 0.130942 43.98 45.86 GS FINANCE CORP 40057NMF1 11/03/22 11/05/24 100.000 0.000 5.9350 9.56 0.164915 0.169809 0.174848 0.180037 60.81 54.09 GS FINANCE CORP 40057RYP7 06/01/23 06/03/24 100.000 0.000 5.7290 0.159139 0.159190 0.163750 33.56 24.89 GS FINANCE CORP 40057MJA8 07/06/22 07/05/24 100.000 0.000 2.7344 13.29 0.075956 0.076988 0.078041 0.079108 27.90 14.55 GS FINANCE CORP 40057WXL6 11/30/23 12/04/28 100.000 0.000 5.7100 0.158611 0.158712 0.163243 0.167904 4.92 58.20 GS FINANCE CORP 40057W6J1 09/22/23 09/20/30 100.000 0.000 5.9367 0.164908 0.169749 0.174788 16.33 61.24 GS FINANCE CORP 40057PT85 03/02/23 03/04/25 100.000 0.000 5.4400 0.151111 0.151157 0.155268 0.159492 0.163830 45.68 57.66 GS FINANCE CORP 40057PC59 01/31/23 01/29/27 100.000 0.000 4.7958 0.133217 0.136393 0.139664 0.143013 44.58 50.70 GS FINANCE CORP 40057NMP9 10/31/22 11/02/27 100.000 0.000 6.1000 10.34 0.169502 0.174672 0.179999 0.185489 0.191147 62.57 66.45 GS FINANCE CORP 40057PT77 03/02/23 08/30/24 100.000 0.000 5.4925 0.152569 0.156713 0.160993 46.12 38.23 GS FINANCE CORP 40057MJM2 08/02/22 02/02/26 100.000 0.000 4.0550 16.78 0.112639 0.114923 0.117253 0.119630 0.122055 41.65 43.35 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057W6F9 09/13/23 09/11/25 100.000 0.000 5.9217 0.164492 0.169308 0.174321 17.77 61.17 GS FINANCE CORP 40057PT69 03/02/23 03/04/26 100.000 0.000 5.3500 0.148611 0.148655 0.152632 0.156715 0.160907 44.91 56.65 GS FINANCE CORP 40057W6E2 10/04/23 11/01/24 100.000 0.000 6.2400 0.173333 0.174145 0.179578 15.13 53.22 GS FINANCE CORP 40057NML8 10/26/22 10/26/27 100.000 0.000 6.3500 11.47 0.176389 0.181989 0.187767 0.193729 0.199880 65.25 69.46 GS FINANCE CORP 40057W6D4 10/04/23 11/01/24 100.000 0.000 6.2400 0.173333 0.174145 0.179578 15.13 53.22 GS FINANCE CORP 40057RYY8 07/06/23 01/08/25 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 28.01 60.07 GS FINANCE CORP 40057LXH9 05/06/22 05/06/27 100.000 0.000 4.4200 29.00 0.125491 0.128265 0.131099 0.133996 0.136958 45.98 48.04 GS FINANCE CORP 40057PT44 02/28/23 02/26/26 100.000 0.000 5.2288 0.145244 0.149000 0.152895 0.156892 44.48 55.33 GS FINANCE CORP 40057LXG1 05/06/22 05/06/27 100.000 0.000 4.4200 29.00 0.125491 0.128265 0.131099 0.133996 0.136958 45.98 48.04 GS FINANCE CORP 40057PT36 02/28/23 02/26/26 100.000 0.000 5.2288 0.145244 0.149000 0.152895 0.156892 44.48 55.33 GS FINANCE CORP 40057RYX0 07/06/23 07/03/26 100.000 0.000 5.4767 0.152131 0.156227 0.160505 26.62 57.00 GS FINANCE CORP 40057RZ92 07/06/23 07/03/26 100.000 0.000 5.4962 0.152672 0.156798 0.161107 26.72 57.21 GS FINANCE CORP 40057LXF3 05/06/22 05/06/27 100.000 0.000 4.4200 29.00 0.125491 0.128265 0.131099 0.133996 0.136958 45.98 48.04 GS FINANCE CORP 40057RYW2 06/05/23 07/05/24 100.000 0.000 5.6221 0.156169 0.156901 0.161312 32.30 29.66 GS FINANCE CORP 40057PTA0 03/08/23 03/10/28 100.000 0.000 5.4800 0.152222 0.152269 0.156441 0.160727 0.165131 45.08 58.05 GS FINANCE CORP 40057WXU6 11/30/23 11/29/30 100.000 0.000 5.8250 0.161806 0.166492 0.171341 5.02 59.40 GS FINANCE CORP 40057WXT9 11/30/23 12/02/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 4.86 57.47 GS FINANCE CORP 36263Q330 06/03/22 06/05/28 100.000 0.000 4.1900 24.28 0.118855 0.121345 0.123887 0.126483 0.129132 43.37 45.20 GS FINANCE CORP 40057W6P7 10/04/23 10/04/27 100.000 0.000 6.0200 0.167222 0.172256 0.177441 14.55 62.00 GS FINANCE CORP 40057NN86 10/17/22 10/16/23 100.000 0.000 5.4100 11.12 0.150278 0.154320 43.56 GS FINANCE CORP 40057PBZ4 02/03/23 02/05/26 100.000 0.000 4.7400 0.131667 0.131701 0.134823 0.138018 0.141289 43.65 50.06 GS FINANCE CORP 40057LY21 05/24/22 06/03/27 100.000 0.000 4.4500 26.93 0.126502 0.129317 0.132194 0.135135 0.138142 46.21 48.29 GS FINANCE CORP 40057P1Y1 03/03/23 03/05/26 100.000 0.000 5.3800 0.149444 0.149489 0.153510 0.157640 0.161880 45.01 56.98 GS FINANCE CORP 40057WXQ5 11/30/23 12/02/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 4.86 57.47 GS FINANCE CORP 40057WXP7 11/30/23 12/02/27 100.000 0.000 5.6750 0.157639 0.157689 0.162163 0.166764 4.89 57.84 GS FINANCE CORP 40057W6K8 09/15/23 09/17/26 100.000 0.000 5.8000 0.161111 0.161163 0.165837 0.170646 17.08 59.85 GS FINANCE CORP 40057RZA9 06/01/23 05/30/25 100.000 0.000 5.6325 0.156458 0.160840 0.165370 0.170027 32.99 59.00 GS FINANCE CORP 40057NNC7 10/19/22 10/17/25 100.000 0.000 5.8708 11.74 0.163078 0.167812 0.172738 0.177808 0.183027 60.27 63.86 GS FINANCE CORP 40057W6Y8 09/18/23 09/20/28 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 16.49 59.39 GS FINANCE CORP 40057PCF7 02/03/23 02/09/26 100.000 0.000 4.7400 0.131667 0.131771 0.134894 0.138091 0.141363 43.66 50.06 GS FINANCE CORP 40057LXZ9 05/24/22 06/03/25 100.000 0.000 4.0100 24.26 0.113736 0.116017 0.118343 0.120715 0.123136 41.48 43.16 GS FINANCE CORP 40057RZK7 07/06/23 07/03/26 100.000 0.000 5.4767 0.152131 0.156227 0.160505 26.62 57.00 GS FINANCE CORP 40057RZJ0 06/14/23 06/14/30 100.000 0.000 5.4500 0.151389 0.155514 0.159752 0.164105 29.89 56.89 GS FINANCE CORP 40057P2A9 12/06/22 12/06/27 100.000 0.000 5.2000 3.61 0.144444 0.148200 0.152053 0.156007 0.160063 52.87 55.65 GS FINANCE CORP 40057PCC4 02/02/23 02/06/26 100.000 0.000 4.8100 0.133611 0.133683 0.136898 0.140190 0.143562 44.45 50.84 GS FINANCE CORP 40057LXW6 06/03/22 06/09/25 100.000 0.000 3.6500 21.14 0.103302 0.105187 0.107107 0.109062 0.111052 37.61 39.00 GS FINANCE CORP 40057PTC6 03/01/23 02/27/25 100.000 0.000 5.5083 0.153008 0.157129 0.161456 0.165903 46.41 58.43 GS FINANCE CORP 40057WXW2 11/30/23 11/29/30 100.000 0.000 5.8250 0.161806 0.166492 0.171341 5.02 59.40 GS FINANCE CORP 40057PCB6 02/02/23 02/04/26 100.000 0.000 4.8100 0.133611 0.133647 0.136861 0.140153 0.143523 44.44 50.84 GS FINANCE CORP 40057PTB8 03/08/23 03/10/28 100.000 0.000 5.4800 0.152222 0.152269 0.156441 0.160727 0.165131 45.08 58.05 GS FINANCE CORP 40057WXV4 11/30/23 11/30/29 100.000 VARIES 5.7018 0.161199 0.167378 0.163692 4.91 58.98 GS FINANCE CORP 40057LYG0 05/18/22 05/29/29 100.000 0.000 4.5000 28.00 0.127988 0.130868 0.133813 0.136823 0.139902 46.78 48.91 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057MKG3 07/29/22 08/09/29 100.000 0.000 4.6900 19.83 0.130448 0.133506 0.136637 0.139841 0.143121 48.39 50.69 GS FINANCE CORP 40057RZW1 07/06/23 01/05/26 100.000 0.000 5.5767 0.154908 0.159204 0.163643 27.11 58.08 GS FINANCE CORP 40057MKH1 07/29/22 05/01/25 100.000 0.000 3.8500 16.32 0.107997 0.110076 0.112195 0.114354 0.116556 39.50 41.04 GS FINANCE CORP 40057MKF5 07/29/22 05/01/25 100.000 0.000 3.8500 16.32 0.107997 0.110076 0.112195 0.114354 0.116556 39.50 41.04 GS FINANCE CORP 40057PCN0 01/31/23 01/29/26 100.000 0.000 4.7754 0.132650 0.135800 0.139042 0.142362 44.39 50.47 GS FINANCE CORP 40057NNJ2 10/25/22 10/24/24 100.000 0.000 5.9383 10.89 0.164953 0.169823 0.174866 0.180058 60.92 52.17 GS FINANCE CORP 40057MKE8 07/29/22 08/09/29 100.000 0.000 4.6900 19.83 0.130448 0.133506 0.136637 0.139841 0.143121 48.39 50.69 GS FINANCE CORP 40057P2K7 11/28/22 11/30/27 100.000 0.000 5.4600 5.01 0.151713 0.155854 0.160109 0.164480 0.168971 55.62 58.70 GS FINANCE CORP 40057PCM2 01/31/23 02/11/30 100.000 0.000 4.9500 0.137500 0.137708 0.141116 0.144609 0.148188 46.06 52.42 GS FINANCE CORP 40057MKD0 07/29/22 07/29/27 100.000 0.000 4.5300 19.13 0.125833 0.128683 0.131598 0.134579 0.137627 46.69 48.83 GS FINANCE CORP 40057LYB1 05/12/22 05/13/27 100.000 0.000 4.4000 28.12 0.124926 0.127674 0.130483 0.133354 0.136288 45.73 47.77 GS FINANCE CORP 40057NNE3 10/24/22 10/24/24 100.000 0.000 5.8900 10.96 0.163611 0.168429 0.173390 0.178496 60.42 51.72 GS FINANCE CORP 40057W7K7 09/15/23 06/17/25 100.000 0.000 5.9625 0.165625 0.168149 0.173162 0.178324 17.59 61.58 GS FINANCE CORP 40057PCX8 01/31/23 02/11/30 100.000 0.000 4.9500 0.137500 0.137708 0.141116 0.144609 0.148188 46.06 52.42 GS FINANCE CORP 40057PCW0 01/31/23 01/31/28 100.000 0.000 4.8500 0.134722 0.137989 0.141335 0.144763 45.09 51.30 GS FINANCE CORP 40057NNS2 10/28/22 10/30/24 100.000 0.000 5.8050 10.16 0.161302 0.165984 0.170801 0.175759 59.49 51.96 GS FINANCE CORP 40057PCV2 01/31/23 10/30/25 100.000 0.000 4.8517 0.134769 0.136404 0.139713 0.143102 0.146574 45.20 51.33 GS FINANCE CORP 40057PU91 04/05/23 01/06/25 100.000 0.000 5.3213 0.147814 0.149802 0.153788 0.157880 39.67 56.06 GS FINANCE CORP 40057W7J0 09/14/23 09/16/24 100.000 0.000 5.9951 0.166531 0.166586 0.171580 17.82 43.38 GS FINANCE CORP 40057PU83 04/04/23 04/02/26 100.000 0.000 5.0696 0.140822 0.144352 0.148011 0.151763 37.91 53.28 GS FINANCE CORP 40057P2T8 12/02/22 12/06/27 100.000 0.000 5.4700 4.41 0.152037 0.156195 0.160467 0.164856 0.169365 55.69 58.78 GS FINANCE CORP 40057NNQ6 10/24/22 10/24/24 100.000 0.000 5.8900 10.96 0.163611 0.168429 0.173390 0.178496 60.42 51.72 GS FINANCE CORP 40057NNP8 11/02/22 11/02/27 100.000 0.000 6.0900 9.98 0.169167 0.174318 0.179626 0.185095 0.190732 62.44 66.31 GS FINANCE CORP 40057PU75 04/04/23 04/06/26 100.000 0.000 5.0500 0.140278 0.140317 0.143860 0.147493 0.151217 37.77 53.07 GS FINANCE CORP 40057PD41 01/31/23 07/30/26 100.000 0.000 4.7708 0.132522 0.135683 0.138920 0.142234 44.34 50.42 GS FINANCE CORP 40057LYJ4 05/18/22 05/18/27 100.000 0.000 4.2400 26.37 0.120275 0.122824 0.125428 0.128087 0.130803 43.98 45.86 GS FINANCE CORP 40057RJ90 04/21/23 04/21/38 100.000 VARIES 5.3838 0.148667 0.145222 0.141611 0.137944 36.99 51.12 GS FINANCE CORP 40057PD33 01/31/23 07/31/25 100.000 0.000 4.9025 0.136181 0.139519 0.142939 0.146442 45.58 51.89 GS FINANCE CORP 40057RZZ4 07/06/23 04/02/26 100.000 0.000 5.5267 0.153519 0.155546 0.159845 0.164262 27.05 57.55 GS FINANCE CORP 40057PTT9 03/14/23 06/12/26 100.000 0.000 5.4183 0.150508 0.152502 0.156633 0.160877 0.165235 43.67 57.32 GS FINANCE CORP 40057P2Q4 12/02/22 12/04/24 100.000 0.000 5.3900 4.34 0.149767 0.153803 0.157948 0.162205 54.86 53.36 GS FINANCE CORP 40057PTS1 03/14/23 03/14/30 100.000 0.000 5.5600 0.154444 0.158738 0.163151 0.167687 44.78 58.90 GS FINANCE CORP 40057LYW5 05/17/22 05/14/24 100.000 0.000 2.4800 15.47 0.069729 0.070594 0.071469 25.34 9.51 GS FINANCE CORP 36264U876 03/22/23 04/03/29 100.000 0.000 5.1150 0.142083 0.142305 0.145945 0.149677 0.153505 40.02 53.88 GS FINANCE CORP 40057RJH2 04/25/23 04/27/28 100.000 0.000 5.1000 0.141667 0.141707 0.145320 0.149026 0.152826 35.09 53.46 GS FINANCE CORP 40057TPN8 08/02/23 07/31/25 100.000 0.000 5.6804 0.157789 0.162221 0.166828 23.51 58.97 GS FINANCE CORP 36263Q223 05/13/22 09/15/27 100.000 0.000 4.4517 28.39 0.125524 0.128318 0.131174 0.134094 0.137078 46.29 48.37 GS FINANCE CORP 40057RJE9 04/28/23 10/30/24 100.000 0.000 5.0850 0.141250 0.141290 0.144882 0.148566 34.55 43.98 GS FINANCE CORP 40057MKW8 07/29/22 07/30/26 100.000 0.000 4.3650 18.43 0.121250 0.123911 0.126615 0.129379 0.132202 44.94 46.92 GS FINANCE CORP 40057NNZ6 11/02/22 05/02/24 100.000 0.000 5.8750 9.63 0.163194 0.167988 0.172923 60.19 20.92 GS FINANCE CORP 40057PUA8 04/05/23 04/07/26 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 37.55 52.95 GS FINANCE CORP 40057NNX1 10/31/22 10/31/29 100.000 VARIES 6.1500 10.25 0.170444 0.168667 0.166889 0.165111 0.163833 60.83 59.54 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS FINANCE CORP 40057WZ42 12/01/23 12/03/26 100.000 0.000 5.5400 0.153889 0.153936 0.158200 0.162582 4.62 56.43 GS FINANCE CORP 40057ML56 07/26/22 07/24/25 100.000 0.000 4.1611 17.92 0.115586 0.117964 0.120419 0.122924 0.125481 42.80 44.60 GS FINANCE CORP 40057NNW3 11/02/22 11/04/25 100.000 0.000 5.8600 9.61 0.162831 0.167602 0.172512 0.177567 0.182770 60.03 63.60 GS FINANCE CORP 40057RJC3 04/26/23 04/24/25 100.000 0.000 5.2233 0.145092 0.148839 0.152726 0.156715 35.80 54.81 GS FINANCE CORP 40057WHNO 10/25/23 04/25/29 100.000 0.000 6.5575 0.182153 0.188125 0.194293 12.02 67.45 GS FINANCE CORP 36265J227 04/05/23 04/04/29 100.000 0.000 5.0775 0.141042 0.144602 0.148274 0.152038 37.83 53.36 GS FINANCE CORP 40057MKS7 08/03/22 08/05/25 100.000 0.000 3.9700 16.32 0.110302 0.112492 0.114725 0.117002 0.119324 40.75 42.38 GS FINANCE CORP 40057PCY6 01/31/23 02/11/30 100.000 0.000 4.9500 0.137500 0.137708 0.141116 0.144609 0.148188 46.06 52.42 GS FINANCE CORP 40057TQ49 08/31/23 08/31/28 100.000 0.000 5.7100 0.158611 0.163114 0.167797 19.19 59.03 GS FINANCE CORP 40057PUE0 04/05/23 04/07/26 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 37.55 52.95 GS FINANCE CORP 40057WYY7 11/30/23 12/02/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 4.86 57.47 GS FINANCE CORP 40057LYY1 05/25/22 05/23/25 100.000 0.000 3.7528 22.59 0.106179 0.108171 0.110201 0.112269 0.114375 38.74 40.20 GS FINANCE CORP 40057RK98 04/28/23 04/30/24 100.000 0.000 5.1800 0.143889 0.143930 0.147658 35.20 17.57 GS FINANCE CORP 40057MLK3 07/29/22 07/30/26 100.000 0.000 4.3650 18.43 0.121250 0.123911 0.126615 0.129379 0.132202 44.94 46.92 GS FINANCE CORP 40057LZH7 05/25/22 05/25/27 100.000 0.000 4.3500 26.19 0.123461 0.126147 0.128890 0.131694 0.134558 45.12 47.11 GS FINANCE CORP 40057RJV1 04/28/23 04/30/25 100.000 0.000 4.9900 0.138611 0.138650 0.142109 0.145654 0.149289 33.90 52.24 GS FINANCE CORP 40057PDP4 02/03/23 08/05/25 100.000 0.000 4.8975 0.136042 0.136079 0.139411 0.142825 0.146322 45.12 51.81 GS FINANCE CORP 40057MLG2 07/29/22 07/31/25 100.000 0.000 4.2000 17.74 0.116680 0.119131 0.121632 0.124187 0.126795 43.19 45.03 GS FINANCE CORP 40057PV25 04/05/23 10/03/24 100.000 0.000 5.3963 0.149897 0.153897 0.158049 40.22 42.61 GS FINANCE CORP 40057PDN9 02/03/23 08/05/25 100.000 0.000 4.8975 0.136042 0.136079 0.139411 0.142825 0.146322 45.12 51.81 GS FINANCE CORP 36255HBY3 04/11/23 04/11/28 100.000 0.500 4.8300 0.137500 0.140500 0.143556 0.146722 35.85 51.62 GS FINANCE CORP 40057LZE4 06/03/22 06/05/25 100.000 0.000 3.6500 21.14 0.103260 0.105145 0.107064 0.109017 0.111007 37.61 39.00 GS FINANCE CORP 40057TPX6 08/23/23 02/24/28 100.000 0.000 5.7750 0.160417 0.165074 0.169841 20.53 59.79 GS FINANCE CORP 40057TQ98 07/31/23 10/25/24 100.000 0.000 5.8433 0.162314 0.164553 0.169361 24.66 49.24 GS FINANCE CORP 40057LZB0 06/03/22 06/05/25 100.000 0.000 3.6500 21.14 0.103260 0.105145 0.107064 0.109017 0.111007 37.61 39.00 GS FINANCE CORP 40057TPW8 08/23/23 02/23/29 100.000 0.000 5.8000 0.161111 0.165783 0.170591 20.62 60.05 GS FINANCE CORP 36263Q181 05/18/22 06/05/29 100.000 0.000 4.5000 28.00 0.128084 0.130966 0.133913 0.136926 0.140007 46.78 48.91 GS FINANCE CORP 40057WZN0 11/30/23 06/01/26 100.000 0.000 5.7025 0.158403 0.162944 0.167590 4.91 58.12 GS FINANCE CORP 40057PUX8 03/31/23 04/02/26 100.000 0.000 5.1300 0.142500 0.142541 0.146197 0.149947 0.153793 38.95 53.98 GS FINANCE CORP 40057MLM9 07/29/22 07/31/28 100.000 0.000 4.6100 19.47 0.128072 0.131024 0.134044 0.137134 0.140295 47.54 49.76 GS FINANCE CORP 40057MLN7 07/15/22 07/15/27 100.000 0.000 4.6700 21.53 0.129722 0.132751 0.135851 0.139023 0.142269 48.26 50.54 GS FINANCE CORP 40057PV74 04/05/23 04/03/26 100.000 0.000 5.0588 0.140522 0.144037 0.147680 0.151416 37.69 53.16 GS FINANCE CORP 36265J193 04/05/23 04/05/28 100.000 0.000 5.0500 0.140278 0.143820 0.147451 0.151174 37.62 53.06 GS FINANCE CORP 40057MLL1 07/29/22 08/09/29 100.000 0.000 4.6900 19.83 0.130448 0.133506 0.136637 0.139841 0.143121 48.39 50.69 GS Fin Corp Medium Term 40057KY31 02/28/22 03/12/29 100.000 0.000 3.2400 27.46 0.091574 0.093057 0.094565 0.096097 0.097653 33.56 34.66 GS Fin Corp Medium Term 36255H2A5 06/22/18 06/23/25 100.000 0.500 4.0576 197.41 0.132306 0.134708 0.137159 0.139660 0.142212 48.10 49.87 GS Finance Corp. 40057TUH5 09/06/23 09/17/30 100.000 0.000 6.6500 0.184722 0.185098 0.191252 0.197611 21.28 69.04 GS Finance Corp 40057P4H2 12/27/22 12/26/25 100.000 0.000 5.0613 0.56 0.140592 0.144130 0.147777 0.151517 0.155351 51.29 53.91 GS Finance Corp 40057PEJ7 01/25/23 01/25/28 100.000 0.000 4.9600 0.137778 0.141195 0.144696 0.148285 46.83 52.57 GS Finance Corp 40057P4F6 12/27/22 12/28/27 100.000 0.000 5.3200 0.59 0.147778 0.151731 0.155767 0.159910 0.164164 53.94 56.85 GS Finance Corp 40057PEH1 01/25/23 01/25/29 100.000 0.000 4.9950 0.138750 0.142215 0.145767 0.149408 47.16 52.96 GS Finance Corp 40057TQST 09/06/23 09/03/26 100.000 0.000 5.6142 0.155950 0.160255 0.164753 17.93 57.96 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057P4C3 01/03/23 01/03/28 100.000 0.000 5.4600 0.151667 0.155807 0.160061 0.164430 55.03 58.39 GS Finance Corp 40057P4S8 12/28/22 01/11/30 100.000 0.000 5.4300 0.45 0.150833 0.151129 0.155232 0.159447 0.163776 55.10 58.09 GS Finance Corp 40057P4R0 12/28/22 01/09/30 100.000 0.000 5.4300 0.45 0.150833 0.151084 0.155186 0.159399 0.163726 55.09 58.09 GS Finance Corp 40057P4Q2 12/28/22 12/26/25 100.000 0.000 5.0725 0.42 0.140903 0.144437 0.148100 0.151856 0.155708 51.40 54.03 GS Finance Corp 40057PF23 01/31/23 01/31/28 100.000 0.000 4.8500 0.134722 0.137989 0.141335 0.144763 45.09 51.30 GS Finance Corp 40057PEQ1 01/11/23 01/11/27 100.000 0.000 5.1850 0.144028 0.147762 0.151592 0.155522 51.04 55.20 GS Finance Corp 40057P4P4 12/28/22 12/27/27 100.000 0.000 5.3092 0.44 0.147478 0.151371 0.155389 0.159514 0.163749 53.82 56.72 GS Finance Corp 40057PEN8 01/11/23 01/14/30 100.000 0.000 5.3700 0.149167 0.149233 0.153240 0.157355 0.161580 52.90 57.30 GS Finance Corp 40057PF98 01/17/23 01/14/28 100.000 0.000 5.1908 0.144189 0.147869 0.151707 0.155644 50.22 55.22 GS Finance Corp 40057TRD8 09/06/23 03/05/26 100.000 0.000 5.6992 0.158311 0.162797 0.167436 18.21 58.86 GS Finance Corp 40057PF72 01/27/23 01/29/24 100.000 0.000 5.3200 0.147778 0.147821 0.151754 49.97 4.25 GS Finance Corp 40057PEU2 01/23/23 01/28/30 100.000 0.000 4.9000 0.136111 0.136204 0.139541 0.142959 0.146462 46.55 51.91 GS Finance Corp 40057P4T6 12/28/22 12/30/25 100.000 0.000 5.0600 0.42 0.140595 0.144152 0.147799 0.151538 0.155372 51.26 53.89 GS Finance Corp 40057P5D0 12/30/22 12/31/26 100.000 0.000 5.2400 0.15 0.145556 0.149369 0.153283 0.157299 0.161420 53.09 55.91 GS Finance Corp 40057PFF4 01/25/23 01/25/28 100.000 0.000 4.9600 0.137778 0.141195 0.144696 0.148285 46.83 52.57 GS Finance Corp 40057PFD9 01/13/23 01/14/27 100.000 0.000 5.1850 0.144028 0.147782 0.151614 0.155544 50.75 55.19 GS Finance Corp 40057PFB3 01/23/23 01/22/27 100.000 0.000 4.7650 0.132361 0.135497 0.138725 0.142030 45.24 50.40 GS Finance Corp 36263Q496 06/21/22 07/05/29 100.000 0.000 5.1100 27.02 0.142227 0.145860 0.149587 0.153409 0.157329 53.15 55.90 GS Finance Corp 40057TRL0 09/06/23 06/04/26 100.000 0.000 5.6567 0.157131 0.159303 0.163809 0.168442 18.13 58.41 GS Finance Corp 40057P5L2 12/28/22 09/25/25 100.000 0.000 5.1100 0.43 0.141944 0.143697 0.147369 0.151134 0.154996 51.94 54.46 GS Finance Corp 40057P5K4 12/28/22 06/25/26 100.000 0.000 5.1142 0.43 0.142061 0.145633 0.149357 0.153176 0.157093 51.83 54.50 GS Finance Corp 40057PFM9 01/11/23 01/09/25 100.000 0.000 5.1892 0.144144 0.147843 0.151679 0.155614 51.09 55.25 GS Finance Corp 40057P5J7 12/30/22 01/04/29 100.000 VARIES 5.5050 0.152222 0.156722 0.158667 0.160222 0.163500 55.63 57.79 GS Finance Corp 40057PFL1 01/18/23 07/17/24 100.000 0.000 5.1392 0.142756 0.146403 0.150165 49.56 29.37 GS Finance Corp 40057PFK3 01/18/23 07/17/24 100.000 0.000 5.1392 0.142756 0.146403 0.150165 49.56 29.37 GS Finance Corp 40057P5H1 12/30/22 01/11/30 100.000 0.000 5.4900 0.15 0.152500 0.152756 0.156949 0.161257 0.165684 55.70 58.76 GS Finance Corp 40057P5G3 12/30/22 01/02/26 100.000 0.000 5.1100 0.14 0.141944 0.141985 0.145612 0.149333 0.153148 51.76 54.44 GS Finance Corp 40057PFH0 01/30/23 01/30/26 100.000 0.000 4.7600 0.132222 0.135369 0.138591 0.141889 44.24 50.30 GS Finance Corp 40057P5U2 12/28/22 12/27/27 100.000 0.000 5.3092 0.44 0.147478 0.151371 0.155389 0.159514 0.163749 53.82 56.72 GS Finance Corp 40057PFU1 01/23/23 01/29/24 100.000 0.000 5.2100 0.144722 0.144848 0.148621 49.53 4.16 GS Finance Corp 40057P5P3 12/14/22 12/16/27 100.000 0.000 5.2700 2.49 0.146432 0.150290 0.154250 0.158315 0.162486 53.53 56.39 GS Finance Corp 40057PFY3 01/23/23 01/23/26 100.000 0.000 4.7100 0.130833 0.133914 0.137068 0.140296 44.71 49.79 GS Finance Corp 40057P5X6 12/28/22 12/26/25 100.000 0.000 5.0725 0.42 0.140903 0.144437 0.148100 0.151856 0.155708 51.40 54.03 GS Finance Corp 40057PG89 01/26/23 01/31/28 100.000 0.000 4.9700 0.138056 0.138132 0.141564 0.145082 0.148688 46.79 52.67 GS Finance Corp 40057PFW7 02/03/23 02/06/24 100.000 0.000 5.3700 0.149167 0.149233 0.153240 49.53 5.36 GS Finance Corp 40057P6E7 12/27/22 12/27/28 100.000 0.000 5.3800 0.60 0.149444 0.153465 0.157593 0.161832 0.166185 54.56 57.53 GS Finance Corp 40057TT46 09/06/23 03/05/29 100.000 0.000 5.5946 0.155406 0.159729 0.164197 17.87 57.74 GS Finance Corp 40057P6N7 12/27/22 12/24/27 100.000 0.000 5.3088 0.59 0.147467 0.151316 0.155332 0.159455 0.163688 53.84 56.72 GS Finance Corp 40057P6W7 12/14/22 12/12/25 100.000 0.000 5.0871 2.40 0.141308 0.144863 0.148547 0.152326 0.156200 51.65 54.30 GS Finance Corp 40057TTC8 09/06/23 10/03/24 100.000 0.000 5.9400 0.165000 0.165735 0.170657 19.04 45.97 GS Finance Corp 40057P6U1 12/20/22 12/19/24 100.000 0.000 5.2238 1.60 0.145106 0.148875 0.152763 0.156753 53.01 53.88 GS Finance Corp 40057P6T4 12/20/22 12/20/27 100.000 0.000 5.1200 1.56 0.142222 0.145863 0.149597 0.153427 0.157355 51.94 54.63 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057TTL8 09/05/23 12/05/24 100.000 0.000 5.9262 0.164617 0.167056 0.172006 19.16 56.69 GS Finance Corp 40057TTM6 09/05/23 10/03/24 100.000 0.000 5.9700 0.165833 0.166603 0.171576 19.30 46.21 GS Finance Corp 40057P7H9 01/06/23 01/09/24 100.000 0.000 5.4900 0.152500 0.152570 0.156758 54.88 1.25 GS Finance Corp 40057P7B2 12/29/22 12/29/27 100.000 0.000 5.3700 0.30 0.149167 0.153172 0.157284 0.161508 0.165844 54.44 57.40 GS Finance Corp 36263Q660 06/15/22 06/13/25 100.000 0.000 4.1319 22.54 0.117120 0.119539 0.122009 0.124530 0.127102 42.69 44.47 GS Finance Corp 36263Q678 06/15/22 06/15/26 100.000 0.000 4.4440 24.24 0.126187 0.128991 0.131857 0.134787 0.137782 46.02 48.09 GS Finance Corp 40057TUZ5 09/06/23 09/06/28 100.000 0.000 5.5800 0.155000 0.159325 0.163770 17.83 57.59 GS Finance Corp 40057MAL3 06/30/22 07/02/26 100.000 0.000 4.6500 23.39 0.129200 0.132204 0.135278 0.138423 0.141641 48.14 50.41 GS Finance Corp 40057MAK5 06/30/22 07/02/25 100.000 0.000 4.4500 22.38 0.123642 0.126393 0.129205 0.132080 0.135019 46.00 48.07 GS Finance Corp 40057MAP4 06/30/22 06/30/28 100.000 0.000 4.9300 24.79 0.140320 0.143779 0.147323 0.150955 0.154676 51.14 53.70 GS Finance Corp 40057TX58 09/06/23 09/03/26 100.000 0.000 5.6142 0.155950 0.160255 0.164753 17.93 57.96 GS Finance Corp 40057TWR1 09/06/23 09/03/26 100.000 0.000 5.6142 0.155950 0.160255 0.164753 17.93 57.96 GS Finance Corp 40057MB81 06/30/22 07/12/29 100.000 0.000 5.0100 25.23 0.139399 0.142891 0.146470 0.150140 0.153901 52.01 54.65 GS Finance Corp 40057T5X3 09/06/23 09/03/27 100.000 0.000 5.5908 0.155300 0.159569 0.164029 17.86 57.71 GS Finance Corp 40057MBF5 06/30/22 07/12/29 100.000 0.000 5.0100 25.23 0.139399 0.142891 0.146470 0.150140 0.153901 52.01 54.65 GS Finance Corp 40057TXE9 09/05/23 09/05/28 100.000 0.000 5.6000 0.155556 0.159911 0.164389 18.04 57.81 GS Finance Corp 40057MC49 06/23/22 06/22/27 100.000 0.000 4.8529 25.37 0.138056 0.141405 0.144837 0.148351 0.151951 50.36 52.84 GS Finance Corp 40057MCN7 06/21/22 06/22/27 100.000 0.000 4.9100 25.94 0.139756 0.143187 0.146702 0.150304 0.153994 50.99 53.53 GS Finance Corp 40057MCV9 06/21/22 06/18/27 100.000 0.000 4.8917 25.86 0.139149 0.142552 0.146039 0.149610 0.153270 50.80 53.31 GS Finance Corp 40057MCR8 06/15/22 06/15/27 100.000 0.000 4.6300 25.26 0.131588 0.134635 0.137752 0.140940 0.144203 48.02 50.27 GS Finance Corp 40057TYU2 09/06/23 06/04/26 100.000 0.000 5.6567 0.157131 0.159303 0.163809 0.168442 18.13 58.41 GS Finance Corp 40057MCZ0 06/21/22 08/08/24 100.000 0.000 4.2600 22.58 0.118991 0.121526 0.124114 0.126758 44.03 27.41 GS Finance Corp 40057NXJ1 12/06/22 12/07/23 100.000 0.000 5.3800 3.74 0.149444 0.153487 50.94 GS Finance Corp 40057MDN6 06/23/22 06/21/24 100.000 0.000 2.8494 14.89 0.080265 0.081409 0.082568 29.12 14.04 GS Finance Corp 40057ME54 06/15/22 12/15/25 100.000 0.000 4.3450 23.70 0.123317 0.125996 0.128733 0.131530 0.134387 44.96 46.94 GS Finance Corp 40057MED7 06/23/22 12/20/24 100.000 0.000 3.5928 18.78 0.101563 0.103387 0.105245 0.107135 36.93 37.07 GS Finance Corp 40057MEC9 06/23/22 06/20/24 100.000 0.000 2.8494 14.89 0.080259 0.081402 0.082562 29.12 13.95 GS Finance Corp 40057MEB1 06/23/22 12/20/23 100.000 0.000 2.1061 11.01 0.059109 0.059731 20.74 GS Finance Corp 40057MFD6 06/24/22 06/28/27 100.000 0.000 4.8700 25.32 0.138647 0.142023 0.145481 0.149024 0.152652 50.54 53.03 GS Finance Corp 36264U504 12/21/22 01/04/29 100.000 0.000 5.1850 1.44 0.144028 0.144297 0.148038 0.151876 0.155814 52.61 55.36 GS Finance Corp 40057MFK0 06/21/22 06/20/25 100.000 0.000 4.3458 22.96 0.123325 0.126005 0.128743 0.131540 0.134399 44.94 46.91 GS Finance Corp 40057M5U9 06/21/22 06/23/25 100.000 0.000 4.4700 23.62 0.126973 0.129811 0.132712 0.135679 0.138711 46.27 48.36 GS Finance Corp 40057MGF0 06/23/22 06/22/27 100.000 0.000 4.8529 25.37 0.138056 0.141405 0.144837 0.148351 0.151951 50.36 52.84 GS Finance Corp 40057MGC7 06/27/22 06/29/26 100.000 0.000 4.5800 23.42 0.130169 0.133150 0.136199 0.139318 0.142508 47.41 49.61 GS Finance Corp 40057MGM5 06/27/22 06/25/26 100.000 0.000 4.5617 23.33 0.129572 0.132527 0.135550 0.138642 0.141804 47.21 49.39 GS Finance Corp 40057MGV5 06/30/22 07/01/27 100.000 0.000 4.8500 24.38 0.138007 0.138007 0.144782 0.144782 0.151889 50.29 52.75 GS Finance Corp 40057M6Z7 06/23/22 06/23/26 100.000 0.000 4.6650 24.39 0.132606 0.135699 0.138864 0.142103 0.145418 48.34 50.63 GS Finance Corp 40057M6Y0 06/23/22 06/23/28 100.000 0.000 4.9550 25.90 0.141049 0.144543 0.148124 0.151794 0.155555 51.46 54.04 GS Finance Corp 40057M7H6 06/30/22 07/02/26 100.000 0.000 4.6500 23.39 0.129200 0.132204 0.135278 0.138423 0.141641 48.14 50.41 GS Finance Corp 40057M7G8 06/30/22 04/01/25 100.000 0.000 4.0792 20.61 0.114479 0.116814 0.119197 0.121628 0.124109 42.06 43.79 GS Finance Corp 40057M7F0 06/30/22 07/12/29 100.000 0.000 5.0100 25.23 0.139399 0.142891 0.146470 0.150140 0.153901 52.01 54.65 GS Finance Corp 40057M7E3 06/30/22 07/01/27 100.000 0.000 4.8500 24.38 0.138007 0.138007 0.144782 0.144782 0.151889 50.29 52.75 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp 40057MHR3 06/30/22 07/02/24 100.000 0.000 2.9667 14.92 0.082422 0.083645 0.084885 0.086144 30.33 15.59 GS Finance Corp 40057PA51 12/27/22 12/30/24 100.000 0.000 5.1850 0.58 0.144090 0.147826 0.151658 0.155590 52.55 55.15 GS Finance Corp 40057M7K9 06/30/22 07/12/29 100.000 0.000 5.0100 25.23 0.139399 0.142891 0.146470 0.150140 0.153901 52.01 54.65 GS Finance Corp 40057M7J2 06/30/22 04/01/25 100.000 0.000 4.0792 20.61 0.114479 0.116814 0.119197 0.121628 0.124109 42.06 43.79 GS Finance Corp 40057MHZ5 06/29/22 06/27/25 100.000 0.000 4.2583 21.54 0.120777 0.123348 0.125974 0.128657 0.131396 43.96 45.86 GS Finance Corp 40057PAA0 12/27/22 12/26/25 100.000 0.000 5.0613 0.56 0.140592 0.144130 0.147777 0.151517 0.155351 51.29 53.91 GS Finance Corp 40057PAL6 12/28/22 12/30/25 100.000 0.000 5.0600 0.42 0.140595 0.144152 0.147799 0.151538 0.155372 51.26 53.89 GS Finance Corp 40057PAG7 12/28/22 12/27/24 100.000 0.000 5.2225 0.44 0.145069 0.148837 0.152723 0.156711 52.93 55.09 GS Finance Corp 40057TNF7 09/06/23 09/03/26 100.000 0.000 5.6142 0.155950 0.160255 0.164753 17.93 57.96 GS Finance Corp 40057PB84 01/05/23 01/06/28 100.000 0.000 5.4200 0.150556 0.154658 0.158850 0.163154 54.32 57.92 GS Finance Corp 40057PBF8 12/29/22 12/27/24 100.000 0.000 5.2617 0.29 0.146158 0.149961 0.153906 0.157955 53.33 55.52 GS Finance Corp 40057TNP5 09/06/23 09/06/28 100.000 0.000 5.5800 0.155000 0.159325 0.163770 17.83 57.59 GS Finance Corp 36264U603 01/05/23 01/04/29 100.000 0.000 5.4788 0.152189 0.156335 0.160617 0.165017 54.91 58.59 GS Finance Corp 40057TNK6 09/06/23 12/11/24 100.000 0.000 5.8975 0.163819 0.166369 0.171275 18.89 57.45 GS Finance Corp 40057PBN1 02/02/23 02/02/28 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 45.56 52.18 GS Finance Corp 40057MJD2 07/01/22 07/01/27 100.000 0.000 4.8900 24.45 0.139154 0.139154 0.146042 0.146042 0.153271 50.71 53.22 GS Finance Corp 40057PBJ0 01/06/23 07/07/28 100.000 0.000 5.4425 0.151181 0.155317 0.159544 0.163886 54.39 58.17 GS Finance Corp 40057PBH4 01/03/23 12/29/27 100.000 0.500 5.3100 0.147778 0.154778 0.158500 0.162333 0.166278 54.61 57.76 GS Finance Corp 40057PBQ4 01/04/23 01/03/28 100.000 0.000 5.3983 0.149953 0.153978 0.158134 0.162402 54.25 57.68 GS Finance Corp 40057TP57 09/06/23 09/03/26 100.000 0.000 5.6346 0.156517 0.160853 0.165384 18.00 58.17 GS Finance Corp 40057TP40 09/06/23 09/05/25 100.000 0.000 5.7842 0.160672 0.165293 0.170074 18.48 59.76 GS Finance Corp 40057TP32 09/06/23 09/08/26 100.000 0.000 5.6200 0.156111 0.156160 0.160548 0.165059 17.96 58.01 GS Finance Corp 40057PCP5 02/03/23 02/05/26 100.000 0.000 4.7400 0.131667 0.131701 0.134823 0.138018 0.141289 43.65 50.06 GS Finance Corp 40057TP73 09/06/23 09/08/26 100.000 0.000 5.6000 0.155556 0.155604 0.159961 0.164440 17.89 57.80 GS Finance Corp 40057TPH1 09/06/23 09/03/26 100.000 0.000 5.6142 0.155950 0.160255 0.164753 17.93 57.96 GS Finance Corp 40057TPF5 09/06/23 09/15/26 100.000 0.000 5.6000 0.155556 0.155773 0.160135 0.164619 17.91 57.80 GS Finance Corp 40057P3G5 12/28/22 06/26/25 100.000 0.000 5.1475 0.43 0.142986 0.146625 0.150399 0.154270 0.158241 52.17 54.88 GS Finance Corp 40057PE81 01/25/23 01/25/27 100.000 0.000 4.8900 0.135833 0.139154 0.142557 0.146042 46.16 51.78 GS Finance Corp 40057P3V2 01/04/23 07/03/25 100.000 0.000 5.2204 0.145011 0.148775 0.152658 0.156643 52.44 55.66 GS Finance Corp 40057PE73 01/25/23 01/25/28 100.000 0.000 4.9600 0.137778 0.141195 0.144696 0.148285 46.83 52.57 GS Finance Corp 40057P3S9 01/04/23 07/03/25 100.000 0.000 5.2204 0.145011 0.148775 0.152658 0.156643 52.44 55.66 GS Finance Corp. 40055QCU4 06/29/18 07/11/25 100.000 0.000 4.0800 199.62 0.133388 0.136109 0.138886 0.141719 0.144610 49.44 51.48 GS Finance Corp. 40056EKL1 12/27/18 09/26/23 100.000 0.000 4.3301 187.61 0.141232 0.144290 37.98 GS Finance Corp. 40054K7K6 04/29/16 04/30/26 100.000 0.000 3.2999 244.10 0.113404 0.115276 0.117178 0.119111 0.121076 41.39 42.77 GS Finance Corp. 40055A4D6 11/30/17 12/13/27 100.000 0.000 3.3000 181.15 0.108094 0.109878 0.111691 0.113534 0.115407 39.30 40.61 GS Finance Corp. 40055QCS9 06/29/18 03/31/25 100.000 0.000 4.0414 197.66 0.133090 0.135779 0.138523 0.141322 0.144177 48.89 50.89 GS Finance Corp. 36254F582 02/05/18 02/05/25 100.000 0.000 3.4781 184.33 0.112832 0.114794 0.116791 0.118822 0.120888 41.55 43.01 GS Finance Corp. 40054K7J9 04/29/16 05/01/24 100.000 0.000 3.0000 219.83 0.101147 0.102665 0.104205 36.87 12.50 GS Finance Corp. 40055Q2R2 05/04/18 05/02/24 100.000 1.450 3.8675 190.33 0.120882 0.121661 0.124014 43.84 15.01 GS Finance Corp. 40055A4B0 11/27/17 05/27/25 100.000 0.000 3.1501 172.63 0.102304 0.103915 0.105552 0.107214 0.108903 37.23 38.41 GS Finance Corp. 40054KYH3 03/31/17 03/31/23 100.000 1.250 2.9099 175.06 0.088769 7.90 GS Finance Corp. 40057HNH9 06/30/21 06/30/31 100.000 VARIES 2.3198 34.52 0.062551 0.061906 0.062102 0.062290 0.062505 22.40 22.39 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055Q2P6 05/25/18 05/30/23 100.000 0.000 3.7700 187.48 0.123952 18.47 GS Finance Corp. 40054K7D2 04/29/16 05/01/23 100.000 0.000 2.8501 207.86 0.095175 11.42 GS Finance Corp. 40055A4C8 11/30/17 12/12/24 100.000 0.000 2.9999 163.54 0.096805 0.098257 0.099731 0.101227 35.17 34.28 GS Finance Corp. 40055QCN0 06/29/18 12/31/25 100.000 0.000 4.1267 202.07 0.137779 0.140622 0.143523 0.146485 0.149507 50.12 52.21 GS Finance Corp. 40054KYJ9 03/31/17 03/31/25 100.000 0.000 3.2999 207.22 0.109745 0.111555 0.113396 0.115267 0.117169 40.17 41.50 GS Finance Corp. 40056XSK3 12/27/19 01/08/27 100.000 0.000 2.7200 84.76 0.080904 0.082004 0.083119 0.084250 0.085395 29.71 30.52 GS Finance Corp. 40054LKV5 07/28/17 07/28/25 100.000 0.000 3.1002 181.65 0.100435 0.101991 0.103572 0.105178 0.106808 36.92 38.07 GS Finance Corp. 40055AVQ7 04/30/18 01/30/25 100.000 0.000 4.0014 203.31 0.131538 0.134170 0.136854 0.139592 0.142385 48.63 50.60 GS Finance Corp. 40055AVR5 04/30/18 10/30/25 100.000 0.000 4.0867 207.98 0.136185 0.138967 0.141807 0.144704 0.147661 49.87 51.93 GS Finance Corp. 40055AW37 04/27/18 04/29/26 100.000 0.000 4.0867 208.39 0.136215 0.138999 0.141839 0.144737 0.147695 49.89 51.95 GS Finance Corp. 40054KHR0 08/24/16 08/24/26 100.000 0.000 2.8998 200.71 0.095738 0.097126 0.098534 0.099963 0.101412 35.07 36.09 GS Finance Corp. 36262Y227 02/16/22 03/05/29 100.000 0.000 3.0267 26.67 0.085485 0.086778 0.088092 0.089425 0.090778 31.31 32.26 GS Finance Corp. 40057F7J7 01/29/21 01/29/36 100.000 VARIES 2.3898 44.98 0.063146 0.061846 0.060810 0.059999 0.059439 22.14 21.54 GS Finance Corp. 40055A4K0 11/27/17 11/24/25 100.000 0.000 3.2000 175.57 0.104153 0.105819 0.107512 0.109233 0.110980 37.92 39.14 GS Finance Corp. 40055AVN4 04/30/18 01/30/23 100.000 0.000 3.6788 185.64 0.119318 3.46 GS Finance Corp. 40054LKQ6 07/31/17 07/26/23 100.000 1.250 2.7589 155.28 0.082763 0.083425 17.09 GS Finance Corp. 40055Q2X9 05/17/18 05/29/25 100.000 0.000 3.9900 200.40 0.132575 0.135220 0.137917 0.140669 0.143475 48.37 50.32 GS Finance Corp. 40054K7L4 04/28/16 04/30/24 100.000 0.000 3.0000 219.93 0.101147 0.102665 0.104205 36.87 12.40 GS Finance Corp. 40055QCV2 06/29/18 06/29/23 100.000 0.000 3.7700 183.27 0.123888 22.05 GS Finance Corp. 40056EKM9 12/27/18 09/25/25 100.000 0.000 4.5267 196.83 0.148697 0.152063 0.155505 0.159024 0.162623 54.79 57.30 GS Finance Corp. 40055QCW0 06/29/18 06/29/23 100.000 0.000 3.7700 183.27 0.123888 22.05 GS Finance Corp. 40057KWY5 02/28/22 08/28/29 100.000 0.000 3.2767 27.76 0.092511 0.094026 0.095567 0.097133 0.098724 33.95 35.07 GS Finance Corp. 40056XSF4 12/27/19 06/26/25 100.000 0.000 2.5775 80.17 0.077310 0.078307 0.079316 0.080338 0.081373 28.02 28.75 GS Finance Corp. 40056EKN7 12/27/18 06/25/26 100.000 0.000 4.5781 199.10 0.152374 0.155862 0.159430 0.163079 0.166812 55.52 58.10 GS Finance Corp. 40057FYJ7 04/21/21 07/21/28 100.000 0.000 2.0792 35.69 0.059270 0.059886 0.060509 0.061138 0.061773 21.65 22.10 GS Finance Corp. 40055Q2V3 05/25/18 05/28/25 100.000 0.000 4.0600 203.13 0.135183 0.137927 0.140727 0.143583 0.146498 49.34 51.37 GS Finance Corp. 40056XT48 01/03/20 01/05/23 100.000 0.000 2.2302 68.67 0.065489 0.26 GS Finance Corp. 40054CAD6 01/29/16 07/31/24 100.000 0.000 3.3498 258.69 0.115497 0.117432 0.119399 0.121399 42.52 25.31 GS Finance Corp. 40056YET7 03/04/20 09/03/24 100.000 0.000 1.7759 51.23 0.051557 0.052015 0.052477 0.052943 18.75 12.78 GS Finance Corp. 40055Q3E0 05/30/18 03/01/23 100.000 0.000 3.6601 181.06 0.118629 7.12 GS Finance Corp. 40056XSQ0 12/27/19 01/09/30 100.000 0.000 2.8800 89.93 0.086011 0.087250 0.088506 0.089781 0.091073 31.62 32.53 GS Finance Corp. 40054CAF1 01/29/16 01/29/24 100.000 0.000 3.0501 233.13 0.103150 0.104723 0.106321 37.90 2.98 GS Finance Corp. 40055Q3C4 05/30/18 02/27/25 100.000 0.000 3.9600 197.13 0.129911 0.132484 0.135107 0.137782 0.140510 47.88 49.79 GS Finance Corp. 40056YVU5 03/24/20 03/23/23 100.000 0.000 3.9958 115.85 0.122520 10.05 GS Finance Corp. 40056XT30 01/03/20 01/05/23 100.000 0.000 2.2302 68.67 0.065489 0.26 GS Finance Corp. 40054CAE4 01/29/16 01/29/26 100.000 0.000 3.6001 280.19 0.126106 0.128375 0.130686 0.133039 0.135433 46.50 48.19 GS Finance Corp. 40055AF51 01/31/18 02/11/28 100.000 0.000 3.6599 195.37 0.119822 0.122015 0.124247 0.126521 0.128836 44.15 45.78 GS Finance Corp. 40056XSP2 12/27/19 01/08/27 100.000 0.000 2.7200 84.76 0.080904 0.082004 0.083119 0.084250 0.085395 29.71 30.52 GS Finance Corp. 40055AW45 04/27/18 04/29/24 100.000 0.000 3.8501 195.34 0.126995 0.129439 0.131931 46.46 15.57 GS Finance Corp. 40055AW52 04/30/18 10/31/23 100.000 0.000 3.7750 190.85 0.124079 0.126421 37.52 GS Finance Corp. 40054CAB0 12/31/15 01/03/23 100.000 0.000 2.7988 214.87 0.093162 0.19 GS Finance Corp. 40055AES2 01/29/18 02/07/25 100.000 0.000 3.4299 182.26 0.111115 0.113021 0.114959 0.116931 0.118936 40.90 42.31 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054CAM6 01/28/16 07/28/23 100.000 0.000 2.9500 224.84 0.099126 0.100588 20.78 GS Finance Corp. 40055Q3M2 05/30/18 06/10/25 100.000 0.000 4.0101 199.75 0.133329 0.136002 0.138729 0.141511 0.144348 48.59 50.56 GS Finance Corp. 40055QUP5 09/19/18 09/30/25 100.000 0.000 4.0500 187.44 0.132233 0.134911 0.137643 0.140430 0.143273 48.58 50.57 GS Finance Corp. 40055AWC7 05/07/18 05/16/23 100.000 0.000 3.7100 186.46 0.121706 16.43 GS Finance Corp. 40057FZC1 04/28/21 04/28/31 100.000 VARIES 2.4400 40.48 0.066171 0.065623 0.065655 0.065811 0.066020 23.69 23.69 GS Finance Corp. 40055QUQ3 09/19/18 09/30/25 100.000 0.000 4.0500 187.44 0.132233 0.134911 0.137643 0.140430 0.143273 48.58 50.57 GS Finance Corp. 40054LLF9 07/28/17 07/30/24 100.000 0.000 2.9497 172.18 0.094870 0.096269 0.097689 0.099130 34.83 20.68 GS Finance Corp. 40055AWD5 04/30/18 05/09/28 100.000 0.000 4.3200 220.95 0.145605 0.148750 0.151963 0.155245 0.158599 53.31 55.64 GS Finance Corp. 40054LLJ1 07/31/17 08/09/24 100.000 0.000 2.9498 172.01 0.094927 0.096327 0.097748 0.099189 34.83 21.57 GS Finance Corp. 40055Q3J9 05/30/18 06/08/28 100.000 0.000 4.3000 215.49 0.144786 0.147899 0.151079 0.154327 0.157645 52.83 55.12 GS Finance Corp. 40055Q3K6 05/30/18 06/10/25 100.000 0.000 4.0101 199.75 0.133329 0.136002 0.138729 0.141511 0.144348 48.59 50.56 GS Finance Corp. 40057CQ53 09/03/20 09/06/23 100.000 0.000 0.8300 19.47 0.023442 0.023539 5.76 GS Finance Corp. 40055Q3H3 05/30/18 06/10/25 100.000 0.000 4.0101 199.75 0.133329 0.136002 0.138729 0.141511 0.144348 48.59 50.56 GS Finance Corp. 40055Q3F7 05/30/18 05/30/28 100.000 0.000 4.3000 215.49 0.144648 0.147758 0.150935 0.154180 0.157495 52.83 55.12 GS Finance Corp. 40055Q3G5 05/30/18 06/10/25 100.000 0.000 4.0101 199.75 0.133329 0.136002 0.138729 0.141511 0.144348 48.59 50.56 GS Finance Corp. 40057KGH0 01/12/22 01/12/29 100.000 0.000 2.5499 24.87 0.071735 0.072649 0.073576 0.074514 0.075464 26.30 26.98 GS Finance Corp. 40057KXX6 02/28/22 12/01/25 100.000 0.000 2.7651 23.42 0.078426 0.079511 0.080610 0.081724 0.082854 28.49 29.29 GS Finance Corp. 40055A5H6 12/26/17 12/26/24 100.000 0.000 3.0002 161.03 0.096718 0.098169 0.099641 0.101136 35.09 35.64 GS Finance Corp. 40057KXY4 02/28/22 02/28/29 100.000 0.000 3.2400 27.45 0.091458 0.092939 0.094445 0.095975 0.097530 33.56 34.66 GS Finance Corp. 40055QV90 09/28/18 10/09/25 100.000 0.000 4.1100 189.23 0.134510 0.137274 0.140095 0.142974 0.145912 49.38 51.43 GS Finance Corp. 40055Q3U4 05/30/18 12/11/25 100.000 0.000 4.0583 202.36 0.135240 0.137984 0.140784 0.143641 0.146555 49.29 51.31 GS Finance Corp. 40056YFG4 03/04/20 03/03/23 100.000 0.000 1.5749 45.32 0.045494 2.82 GS Finance Corp. 40055Q3V2 05/30/18 06/12/28 100.000 0.000 4.3000 215.49 0.144855 0.147969 0.151150 0.154400 0.157720 52.83 55.12 GS Finance Corp. 40055Q3S9 05/30/18 06/08/28 100.000 0.000 4.3000 215.49 0.144786 0.147899 0.151079 0.154327 0.157645 52.83 55.12 GS Finance Corp. 40055QDU3 06/29/18 07/11/28 100.000 0.000 4.3600 214.53 0.144126 0.147268 0.150479 0.153759 0.157111 53.53 55.89 GS Finance Corp. 40057KXV0 02/28/22 03/01/29 100.000 0.000 3.2400 27.45 0.091483 0.092965 0.094471 0.096002 0.097557 33.56 34.66 GS Finance Corp. 40055QUW0 09/28/18 10/09/25 100.000 0.000 4.1100 189.23 0.134510 0.137274 0.140095 0.142974 0.145912 49.38 51.43 GS Finance Corp. 40055A5G8 12/26/17 12/26/24 100.000 0.000 3.0002 161.03 0.096718 0.098169 0.099641 0.101136 35.09 35.64 GS Finance Corp. 40057J3N4 08/31/21 09/10/31 100.000 0.000 2.2800 30.77 0.064826 0.065565 0.066313 0.067069 0.067833 23.64 24.18 GS Finance Corp. 40057K6Q1 11/29/21 11/30/26 100.000 0.000 2.0600 22.58 0.058410 0.059012 0.059619 0.060233 0.060854 21.17 21.61 GS Finance Corp. 36264H495 04/22/22 05/03/29 100.000 0.000 4.4749 31.15 0.127257 0.130104 0.133015 0.135991 0.139034 46.66 48.77 GS Finance Corp. 40055QV58 09/04/18 09/04/25 100.000 0.000 3.9600 184.88 0.128680 0.131228 0.133826 0.136476 0.139178 47.39 49.28 GS Finance Corp. 40057J3M6 08/31/21 09/12/28 100.000 0.000 1.9000 25.60 0.053821 0.054332 0.054848 0.055369 0.055895 19.58 19.95 GS Finance Corp. 40055QE40 06/29/18 12/29/23 100.000 0.000 3.7950 184.58 0.124848 0.127217 45.12 GS Finance Corp. 40055QUU4 09/28/18 10/09/25 100.000 0.000 4.1100 189.23 0.134510 0.137274 0.140095 0.142974 0.145912 49.38 51.43 GS Finance Corp. 40055Q3R1 05/30/18 11/28/25 100.000 0.000 4.0503 201.93 0.134728 0.137457 0.140240 0.143080 0.145978 49.18 51.19 GS Finance Corp. 40057KY23 02/28/22 02/26/27 100.000 0.000 2.9749 25.19 0.083853 0.085100 0.086366 0.087650 0.088954 30.73 31.65 GS Finance Corp. 40055Q3P5 05/30/18 06/10/25 100.000 0.000 4.0101 199.75 0.133329 0.136002 0.138729 0.141511 0.144348 48.59 50.56 GS Finance Corp. 40055QVB5 09/04/18 09/06/23 100.000 0.000 3.6999 171.87 0.119034 0.121236 29.56 GS Finance Corp. 40056XTK2 12/03/19 12/03/24 100.000 0.000 2.4500 77.84 0.073214 0.074111 0.075019 0.075938 26.57 25.07 GS Finance Corp. 40057J3Y0 08/31/21 03/02/28 100.000 0.000 1.7999 24.24 0.050908 0.051366 0.051828 0.052295 0.052765 18.52 18.85 GS Finance Corp. 40054KJ72 09/30/16 10/02/23 100.000 0.000 2.6002 175.34 0.084351 0.085448 23.06 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057J3X2 08/31/21 08/31/28 100.000 0.000 1.9000 25.60 0.053784 0.054289 0.054811 0.055329 0.055857 19.58 19.95 GS Finance Corp. 40057JDX1 09/30/21 10/02/29 100.000 0.000 2.0967 26.49 0.059476 0.060100 0.060730 0.061366 0.062010 21.64 22.09 GS Finance Corp. 40055A5L7 12/26/17 01/07/25 100.000 0.000 2.9999 161.03 0.095368 0.096798 0.098250 0.099724 0.101220 35.09 36.15 GS Finance Corp. 40055AWP8 05/03/18 05/04/23 100.000 0.000 3.6800 185.31 0.120463 14.82 GS Finance Corp. 40055QUZ3 09/28/18 10/09/25 100.000 0.000 4.1100 189.23 0.134510 0.137274 0.140095 0.142974 0.145912 49.38 51.43 GS Finance Corp. 40056EM21 01/03/19 01/03/24 100.000 0.000 4.2400 182.46 0.136407 0.139299 0.142252 50.67 0.28 GS Finance Corp. 40054LLU6 08/16/17 08/26/24 100.000 0.000 2.9499 170.49 0.094939 0.096339 0.097760 0.099202 34.78 23.23 GS Finance Corp. 40057KXZ1 02/28/22 03/09/29 100.000 0.000 3.2400 27.46 0.091548 0.093031 0.094539 0.096070 0.097626 33.56 34.66 GS Finance Corp. 40057KHF3 12/27/21 01/09/29 100.000 0.000 2.2401 22.79 0.062968 0.063673 0.064386 0.065107 0.065837 23.04 23.56 GS Finance Corp. 40055A5W3 12/26/17 12/26/24 100.000 0.000 3.0002 161.03 0.096718 0.098169 0.099641 0.101136 35.09 35.64 GS Finance Corp. 40055A5T0 12/13/17 12/23/24 100.000 0.000 3.0499 165.17 0.098646 0.100151 0.101678 0.103229 35.81 36.07 GS Finance Corp. 40055QED0 07/05/18 07/05/23 100.000 0.000 3.7500 181.49 0.120858 0.123124 22.65 GS Finance Corp. 40055QVC3 09/28/18 10/10/28 100.000 0.000 4.3700 202.20 0.144513 0.147670 0.150897 0.154194 0.157563 53.11 55.46 GS Finance Corp. 40055AWU7 05/03/18 05/04/23 100.000 0.000 3.6800 185.31 0.120463 14.82 GS Finance Corp. 40054KJG2 09/30/16 10/12/23 100.000 0.000 2.5000 168.10 0.080677 0.081685 22.85 GS Finance Corp. 40057J4L7 08/25/21 08/28/28 100.000 0.000 1.8700 25.46 0.052929 0.053424 0.053924 0.054428 0.054937 19.27 19.63 GS Finance Corp. 40057LKT7 03/30/22 04/09/29 100.000 0.000 3.8500 29.18 0.109109 0.111209 0.113350 0.115532 0.117756 40.01 41.56 GS Finance Corp. 40057KYQ0 02/24/22 02/27/29 100.000 0.000 3.1601 27.13 0.089190 0.090599 0.092030 0.093485 0.094962 32.71 33.76 GS Finance Corp. 40054KJE7 09/30/16 10/01/26 100.000 0.000 3.0000 204.69 0.099644 0.101139 0.102656 0.104196 0.105759 36.41 37.51 GS Finance Corp. 40057KYP2 02/24/22 02/25/27 100.000 0.000 2.9000 24.88 0.081730 0.082916 0.084118 0.085337 0.086575 29.94 30.81 GS Finance Corp. 40057LL33 03/30/22 03/30/26 100.000 0.000 3.5451 26.85 0.100220 0.101997 0.103805 0.105645 0.107517 36.73 38.04 GS Finance Corp. 40057LL25 03/31/22 04/01/27 100.000 0.000 3.6600 27.72 0.103537 0.105432 0.107361 0.109326 0.111326 37.96 39.36 GS Finance Corp. 40057E5Y9 06/03/20 12/04/24 100.000 0.000 1.7526 46.01 0.050856 0.051301 0.051751 0.052204 18.41 17.31 GS Finance Corp. 40054LME1 08/30/17 08/28/25 100.000 0.000 3.0491 175.27 0.098515 0.100017 0.101542 0.103090 0.104661 36.11 37.22 GS Finance Corp. 40056XTW6 12/27/19 12/28/27 100.000 0.000 2.7733 86.47 0.083679 0.084840 0.086016 0.087209 0.088418 30.34 31.19 GS Finance Corp. 40054KJD9 09/30/16 10/02/25 100.000 0.000 2.8001 189.93 0.091917 0.093204 0.094509 0.095832 0.097174 33.55 34.50 GS Finance Corp. 40057KHK2 12/27/21 12/28/28 100.000 0.000 2.2401 22.78 0.063629 0.064342 0.065063 0.065792 0.066528 23.04 23.56 GS Finance Corp. 40056YFZ2 02/28/20 03/01/28 100.000 0.000 2.3000 67.16 0.067659 0.068438 0.069225 0.070021 0.070826 24.69 25.26 GS Finance Corp. 40054KJC1 09/30/16 10/02/23 100.000 0.000 2.5002 168.11 0.080628 0.081636 22.03 GS Finance Corp. 40054LMF8 08/30/17 08/30/23 100.000 0.000 2.7001 153.88 0.085765 0.086910 20.71 GS Finance Corp. 40055AGK7 02/16/18 02/28/25 100.000 0.000 3.6799 194.60 0.120595 0.122814 0.125074 0.127375 0.129719 44.36 46.01 GS Finance Corp. 40057JW85 11/29/21 05/27/27 100.000 0.000 2.1329 23.38 0.060512 0.061157 0.061809 0.062469 0.063135 21.94 22.42 GS Finance Corp. 40054LN34 08/31/17 09/12/24 100.000 0.000 2.8996 166.08 0.093105 0.094455 0.095825 0.097214 34.06 24.30 GS Finance Corp. 40055A6J1 12/27/17 01/04/28 100.000 0.000 3.2999 178.24 0.106279 0.108033 0.109815 0.111627 0.113469 39.20 40.51 GS Finance Corp. 40057JW93 11/29/21 11/29/28 100.000 0.000 2.4100 26.44 0.068567 0.069393 0.070229 0.071075 0.071932 24.89 25.49 GS Finance Corp. 40054LN26 08/31/17 06/02/23 100.000 0.000 2.6505 150.89 0.084554 12.77 GS Finance Corp. 40057JW77 11/29/21 11/29/28 100.000 0.000 2.4100 26.44 0.068567 0.069393 0.070229 0.071075 0.071932 24.89 25.49 GS Finance Corp. 40055AGL5 02/16/18 02/28/25 100.000 0.000 3.6799 194.60 0.120595 0.122814 0.125074 0.127375 0.129719 44.36 46.01 GS Finance Corp. 40057JF68 09/30/21 10/02/28 100.000 0.000 1.9700 24.88 0.055811 0.056361 0.056916 0.057476 0.058043 20.29 20.69 GS Finance Corp. 40055A6K8 12/27/17 01/08/25 100.000 0.000 2.9998 160.93 0.095364 0.096794 0.098246 0.099719 0.101215 35.09 36.15 GS Finance Corp. 40057JW69 11/29/21 05/27/27 100.000 0.000 2.1329 23.38 0.060512 0.061157 0.061809 0.062469 0.063135 21.94 22.42 GS Finance Corp. 40054LN59 08/31/17 09/12/24 100.000 0.000 2.8996 166.08 0.093105 0.094455 0.095825 0.097214 34.06 24.30 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JF50 09/30/21 10/02/28 100.000 0.000 1.9700 24.88 0.055811 0.056361 0.056916 0.057476 0.058043 20.29 20.69 GS Finance Corp. 40057LKZ3 03/31/22 03/31/28 100.000 0.000 3.7350 28.29 0.105686 0.107660 0.109671 0.111719 0.113805 38.76 40.23 GS Finance Corp. 40055A6H5 12/27/17 01/08/25 100.000 0.000 2.9998 160.93 0.095364 0.096794 0.098246 0.099719 0.101215 35.09 36.15 GS Finance Corp. 40057E6E2 05/29/20 05/29/26 100.000 0.000 2.0800 55.04 0.060844 0.061477 0.062117 0.062763 0.063415 22.06 22.52 GS Finance Corp. 40056YXG4 04/14/20 04/14/27 100.000 0.000 2.3699 66.05 0.069826 0.070653 0.071490 0.072338 0.073195 25.41 26.02 GS Finance Corp. 40057JF43 09/30/21 10/01/26 100.000 0.000 1.5801 19.92 0.044589 0.044941 0.045297 0.045654 0.046015 16.18 16.44 GS Finance Corp. 40057E6D4 06/03/20 06/03/24 100.000 0.000 1.6451 43.14 0.047608 0.047999 0.048394 17.23 7.36 GS Finance Corp. 40057LKX8 03/25/22 03/27/25 100.000 0.000 3.2501 25.06 0.091764 0.093255 0.094771 0.096311 0.097876 33.59 34.69 GS Finance Corp. 40057JF35 09/30/21 10/02/28 100.000 0.000 1.9700 24.88 0.055811 0.056361 0.056916 0.057476 0.058043 20.29 20.69 GS Finance Corp. 40055A6F9 12/27/17 01/08/25 100.000 0.000 2.9998 160.93 0.095364 0.096794 0.098246 0.099719 0.101215 35.09 36.15 GS Finance Corp. 40057JW51 11/29/21 05/29/26 100.000 0.000 1.9350 21.20 0.054794 0.055324 0.055859 0.056400 0.056945 19.86 20.24 GS Finance Corp. 40054KJJ6 09/29/16 10/01/24 100.000 0.000 2.7000 182.70 0.088109 0.089298 0.090504 0.091726 32.15 24.66 GS Finance Corp. 40057JF27 09/30/21 09/30/27 100.000 0.000 1.7751 22.40 0.050187 0.050632 0.051081 0.051535 0.051992 18.23 18.55 GS Finance Corp. 40056YXF6 04/14/20 10/15/25 100.000 0.000 2.1451 59.63 0.062853 0.063527 0.064209 0.064897 0.065593 22.85 23.34 GS Finance Corp. 40057J4N3 08/25/21 03/01/27 100.000 0.000 1.5774 21.45 0.044524 0.044875 0.045229 0.045585 0.045945 16.18 16.43 GS Finance Corp. 40054CBU7 02/26/16 02/28/23 100.000 0.000 2.7500 205.70 0.090744 5.26 GS Finance Corp. 40054LMZ4 08/31/17 09/03/24 100.000 0.000 2.9002 166.11 0.093058 0.094408 0.095777 0.097165 34.06 23.43 GS Finance Corp. 40057JWA0 11/29/21 11/29/28 100.000 0.000 2.4100 26.44 0.068567 0.069393 0.070229 0.071075 0.071932 24.89 25.49 GS Finance Corp. 40056Y6P4 01/31/20 01/31/24 100.000 0.000 2.1851 65.51 0.064086 0.064786 0.065494 23.41 1.90 GS Finance Corp. 40056YGN8 02/28/20 08/28/25 100.000 0.000 2.0300 59.08 0.059308 0.059910 0.060518 0.061132 0.061753 21.61 22.05 GS Finance Corp. 40056EMU9 01/02/19 01/02/24 100.000 0.000 4.3600 188.16 0.140848 0.143918 0.147056 52.37 GS Finance Corp. 40054CCB8 02/29/16 02/29/24 100.000 0.000 3.3000 250.95 0.112774 0.112765 0.115886 41.54 6.84 GS Finance Corp. 40057JEZ5 09/30/21 09/30/27 100.000 0.000 1.7751 22.40 0.050187 0.050632 0.051081 0.051535 0.051992 18.23 18.55 GS Finance Corp. 40054LN75 08/31/17 08/28/23 100.000 1.250 2.7089 149.84 0.081051 0.081678 19.33 GS Finance Corp. 40056Y6J8 01/31/20 01/31/23 100.000 0.000 2.0501 61.36 0.059926 1.74 GS Finance Corp. 40054LN67 08/31/17 09/14/27 100.000 0.000 2.9002 166.12 0.093141 0.094492 0.095862 0.097252 0.098663 34.06 35.06 GS Finance Corp. 40057JEY8 09/22/21 03/24/27 100.000 0.000 1.6075 20.63 0.045377 0.045742 0.046110 0.046480 0.046854 16.47 16.74 GS Finance Corp. 40057FJM7 02/24/21 02/24/28 100.000 0.000 1.5700 29.41 0.044647 0.044998 0.045351 0.045707 0.046066 16.23 16.48 GS Finance Corp. 40056FPU3 07/03/19 07/08/24 100.000 0.000 2.7199 99.01 0.081963 0.083077 0.084207 0.085352 30.10 15.95 GS Finance Corp. 40057JEX0 09/22/21 09/25/28 100.000 0.000 1.9000 24.42 0.053792 0.054303 0.054819 0.055340 0.055866 19.56 19.93 GS Finance Corp. 40057E6W2 05/29/20 06/01/28 100.000 0.000 2.3367 62.00 0.068798 0.069602 0.070415 0.071238 0.072070 24.96 25.55 GS Finance Corp. 40055Q5H1 06/05/18 06/05/23 100.000 0.000 3.6299 178.80 0.118549 18.26 GS Finance Corp. 40056YGZ1 02/28/20 03/11/30 100.000 0.000 2.4800 72.58 0.073332 0.074241 0.075162 0.076094 0.077038 26.76 27.43 GS Finance Corp. 40056XDT0 09/27/19 10/05/26 100.000 0.000 2.7000 91.43 0.081333 0.082431 0.083544 0.084672 0.085815 29.67 30.47 GS Finance Corp. 40055AGZ4 01/31/18 02/12/25 100.000 0.000 3.4499 183.30 0.111905 0.113835 0.115799 0.117796 0.119828 41.17 42.61 GS Finance Corp. 40057LLL3 04/05/22 04/07/27 100.000 0.000 3.4801 25.86 0.098370 0.100081 0.101823 0.103595 0.105397 36.01 37.28 GS Finance Corp. 40056YXV1 04/13/20 04/11/25 100.000 0.000 2.5468 71.19 0.075353 0.076313 0.077285 0.078269 0.079265 27.45 28.16 GS Finance Corp. 40056YH56 02/28/20 03/11/27 100.000 0.000 2.2100 64.47 0.064909 0.065626 0.066351 0.067084 0.067826 23.65 24.18 GS Finance Corp. 40056YH72 02/28/20 02/28/23 100.000 0.000 1.8799 54.62 0.054721 3.12 GS Finance Corp. 40056YXW9 04/13/20 04/11/24 100.000 0.000 2.3867 66.60 0.070341 0.071180 0.072030 25.61 7.20 GS Finance Corp. 40056YH64 02/28/20 08/28/24 100.000 0.000 1.9925 57.97 0.058160 0.058739 0.059324 0.059915 21.18 14.17 GS Finance Corp. 40056Y6Q2 01/31/20 01/31/23 100.000 0.000 2.1001 62.90 0.061464 1.78 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057JWC6 11/29/21 12/08/28 100.000 0.000 2.4099 26.44 0.068607 0.069434 0.070271 0.071117 0.071974 24.89 25.49 GS Finance Corp. 40056YGS7 02/28/20 03/11/27 100.000 0.000 2.2100 64.47 0.064909 0.065626 0.066351 0.067084 0.067826 23.65 24.18 GS Finance Corp. 40057JWB8 11/29/21 12/08/28 100.000 0.000 2.4099 26.44 0.068607 0.069434 0.070271 0.071117 0.071974 24.89 25.49 GS Finance Corp. 40055AHE0 02/28/18 02/27/25 100.000 0.000 3.6753 192.88 0.120261 0.122471 0.124721 0.127013 0.129347 44.24 45.89 GS Finance Corp. 40054LNL4 08/31/17 09/03/24 100.000 0.000 2.9002 166.11 0.093058 0.094408 0.095777 0.097165 34.06 23.43 GS Finance Corp. 40057HQK9 07/30/21 08/01/28 100.000 0.000 1.7900 25.62 0.050618 0.051071 0.051528 0.051989 0.052454 18.44 18.77 GS Finance Corp. 40054LNK6 08/31/17 09/03/24 100.000 0.000 2.9002 166.11 0.093058 0.094408 0.095777 0.097165 34.06 23.43 GS Finance Corp. 40057HQJ2 07/30/21 04/30/27 100.000 0.000 1.5401 22.03 0.043608 0.043944 0.044282 0.044623 0.044967 15.80 16.04 GS Finance Corp. 40055AHF7 02/28/18 02/27/25 100.000 0.000 3.6753 192.88 0.120261 0.122471 0.124721 0.127013 0.129347 44.24 45.89 GS Finance Corp. 40056Y7A6 01/27/20 02/05/30 100.000 0.000 2.6900 81.39 0.079932 0.081007 0.082096 0.083200 0.084319 29.28 30.08 GS Finance Corp. 40055QWR9 09/28/18 09/30/26 100.000 0.000 4.1967 193.53 0.137674 0.140563 0.143513 0.146524 0.149599 50.61 52.76 GS Finance Corp. 40055AHD2 02/28/18 03/11/25 100.000 0.000 3.6869 193.55 0.120876 0.123104 0.125373 0.127685 0.130038 44.41 46.06 GS Finance Corp. 40057LLS8 03/29/22 03/27/25 100.000 0.000 3.1595 24.00 0.089136 0.090545 0.091975 0.093428 0.094904 32.61 33.65 GS Finance Corp. 40057LLQ2 04/05/22 04/03/24 100.000 0.000 2.1915 16.25 0.061535 0.062209 0.062891 22.39 5.79 GS Finance Corp. 36259E770 02/05/20 08/05/25 100.000 0.000 2.1693 64.71 0.063599 0.064289 0.064987 0.065691 0.066404 23.22 23.73 GS Finance Corp. 40057E6Y8 05/29/20 06/01/28 100.000 0.000 2.3367 62.00 0.068798 0.069602 0.070415 0.071238 0.072070 24.96 25.55 GS Finance Corp. 40056XDX1 10/08/19 10/09/29 100.000 0.000 2.9000 97.50 0.087829 0.089102 0.090394 0.091705 0.093035 32.06 32.99 GS Finance Corp. 40057LLP4 04/05/22 04/03/25 100.000 0.000 3.1988 23.76 0.090260 0.091703 0.093170 0.094660 0.096174 33.01 34.07 GS Finance Corp. 40055QWN8 09/28/18 09/30/24 100.000 0.000 3.9849 183.03 0.129647 0.132230 0.134865 0.137552 47.61 36.76 GS Finance Corp. 40057J5G7 09/03/21 09/06/28 100.000 0.000 1.8400 24.63 0.052065 0.052544 0.053027 0.053515 0.054007 18.94 19.29 GS Finance Corp. 40055Q5L2 06/05/18 06/05/23 100.000 0.000 3.6299 178.80 0.118549 18.26 GS Finance Corp. 40055AHM2 02/28/18 03/11/25 100.000 0.000 3.6869 193.55 0.120876 0.123104 0.125373 0.127685 0.130038 44.41 46.06 GS Finance Corp. 40057JG91 09/30/21 10/02/28 100.000 0.000 1.9700 24.88 0.055811 0.056361 0.056916 0.057476 0.058043 20.29 20.69 GS Finance Corp. 40055AHN0 02/28/18 11/29/23 100.000 0.000 3.5414 185.33 0.116238 0.118297 38.50 GS Finance Corp. 40057HR51 07/30/21 08/01/29 100.000 0.000 1.9200 27.50 0.054364 0.054886 0.055413 0.055945 0.056482 19.82 20.20 GS Finance Corp. 40056Y7G3 01/22/20 03/20/25 100.000 0.000 2.3879 72.36 0.070657 0.071500 0.072354 0.073218 0.074092 25.76 26.38 GS Finance Corp. 40055AHK6 02/28/18 03/10/28 100.000 0.000 3.9678 209.59 0.131705 0.134318 0.136983 0.139701 0.142472 48.47 50.41 GS Finance Corp. 40055A7J0 12/26/17 01/05/23 100.000 0.000 2.6999 143.93 0.084674 0.34 GS Finance Corp. 40057HQP8 07/30/21 08/11/31 100.000 0.000 2.1800 31.27 0.061924 0.062599 0.063282 0.063972 0.064669 22.60 23.10 GS Finance Corp. 40055AHL4 02/28/18 03/11/25 100.000 0.000 3.6869 193.55 0.120876 0.123104 0.125373 0.127685 0.130038 44.41 46.06 GS Finance Corp. 40057JG67 09/30/21 03/30/28 100.000 0.000 1.8725 23.64 0.052992 0.053489 0.053989 0.054495 0.055005 19.26 19.62 GS Finance Corp. 40055AYK7 04/26/18 05/07/25 100.000 0.000 3.9700 202.07 0.131777 0.134392 0.137060 0.139781 0.142555 48.20 50.13 GS Finance Corp. 40057HQN3 07/30/21 08/11/31 100.000 0.000 2.1800 31.27 0.061924 0.062599 0.063282 0.063972 0.064669 22.60 23.10 GS Finance Corp. 40055AHJ9 02/28/18 03/11/25 100.000 0.000 3.6869 193.55 0.120876 0.123104 0.125373 0.127685 0.130038 44.41 46.06 GS Finance Corp. 40057HQM5 07/30/21 04/30/27 100.000 0.000 1.5401 22.03 0.043608 0.043944 0.044282 0.044623 0.044967 15.80 16.04 GS Finance Corp. 40055AHG5 02/28/18 02/27/25 100.000 0.000 3.7053 194.58 0.121402 0.123651 0.125942 0.128275 0.130652 44.67 46.34 GS Finance Corp. 40057LLX7 04/14/22 04/21/27 100.000 0.000 3.9900 28.66 0.113131 0.115388 0.117690 0.120038 0.122433 41.45 43.12 GS Finance Corp. 40055AHH3 02/28/18 03/11/25 100.000 0.000 3.6869 193.55 0.120876 0.123104 0.125373 0.127685 0.130038 44.41 46.06 GS Finance Corp. 40057HQL7 07/30/21 08/01/28 100.000 0.000 1.7900 25.62 0.050618 0.051071 0.051528 0.051989 0.052454 18.44 18.77 GS Finance Corp. 40055AYW1 05/17/18 05/29/25 100.000 0.000 3.9900 200.40 0.132575 0.135220 0.137917 0.140669 0.143475 48.37 50.32 GS Finance Corp. 40056YHR8 02/12/20 02/23/27 100.000 0.000 2.3500 69.77 0.069254 0.070068 0.070891 0.071724 0.072567 25.29 25.89 GS Finance Corp. 40055QGE6 06/27/18 06/27/23 100.000 5.000 3.5005 157.62 0.097472 17.16 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AYU5 05/17/18 05/29/25 100.000 0.000 3.9900 200.40 0.132575 0.135220 0.137917 0.140669 0.143475 48.37 50.32 GS Finance Corp. 40055AZ67 05/09/18 05/08/25 100.000 0.000 3.9777 200.78 0.131904 0.134528 0.137203 0.139932 0.142715 48.24 50.18 GS Finance Corp. 40055QGB2 06/29/18 12/31/25 100.000 0.000 4.1267 202.07 0.137779 0.140622 0.143523 0.146485 0.149507 50.12 52.21 GS Finance Corp. 40057JXA9 11/29/21 05/29/29 100.000 0.000 2.4617 27.01 0.070076 0.070938 0.071811 0.072695 0.073590 25.44 26.07 GS Finance Corp. 40056YZ49 04/13/20 04/13/27 100.000 0.000 2.8100 78.78 0.083694 0.084870 0.086062 0.087271 0.088498 30.53 31.39 GS Finance Corp. 40055AHU4 02/28/18 03/11/25 100.000 0.000 3.6869 193.55 0.120876 0.123104 0.125373 0.127685 0.130038 44.41 46.06 GS Finance Corp. 36264H651 05/04/22 05/03/29 100.000 0.000 4.5500 30.12 0.129250 0.132190 0.135197 0.138273 0.141419 47.40 49.59 GS Finance Corp. 40055AYT8 05/17/18 05/29/25 100.000 0.000 3.9900 200.40 0.132575 0.135220 0.137917 0.140669 0.143475 48.37 50.32 GS Finance Corp. 40054KL87 10/28/16 10/30/24 100.000 0.000 2.7498 183.72 0.089997 0.091234 0.092489 0.093760 32.77 27.88 GS Finance Corp. 40055AYR2 04/26/18 10/28/25 100.000 0.000 4.0117 204.37 0.133276 0.135950 0.138676 0.141458 0.144296 48.80 50.78 GS Finance Corp. 40057HAC4 05/14/21 05/14/31 100.000 VARIES 2.5799 41.72 0.070118 0.069589 0.069585 0.069751 0.070000 25.12 25.10 GS Finance Corp. 40057J6E1 08/31/21 08/31/36 100.000 VARIES 2.5599 33.68 0.068627 0.066937 0.065770 0.065627 0.065950 24.05 23.67 GS Finance Corp. 40054KLC8 10/31/16 11/09/23 100.000 0.000 2.6003 172.82 0.084396 0.085493 26.19 GS Finance Corp. 40055Q6F4 05/29/18 06/07/23 100.000 0.000 3.7299 184.85 0.122457 19.10 GS Finance Corp. 40057LML2 04/13/22 04/23/29 100.000 0.000 4.0900 29.50 0.116066 0.118440 0.120862 0.123333 0.125856 42.54 44.29 GS Finance Corp. 40056FAB1 05/03/19 05/14/24 100.000 0.000 3.2699 126.12 0.101852 0.103518 0.105210 37.12 13.99 GS Finance Corp. 40057JGE0 09/30/21 10/12/28 100.000 0.000 1.9700 24.88 0.055842 0.056392 0.056948 0.057509 0.058075 20.29 20.69 GS Finance Corp. 40057JGC4 09/15/21 09/15/31 100.000 VARIES 2.2298 28.65 0.060836 0.060570 0.060339 0.060413 0.060556 21.80 21.76 GS Finance Corp. 362273AG9 12/17/15 06/19/23 100.000 0.000 2.9199 226.36 0.099369 16.69 GS Finance Corp. 40057HAL4 05/19/21 05/18/28 100.000 0.000 1.9374 31.67 0.055394 0.055931 0.056473 0.057020 0.057572 20.08 20.48 GS Finance Corp. 40056YZE7 04/30/20 10/30/25 100.000 0.000 2.2800 62.40 0.067028 0.067792 0.068565 0.069346 0.070137 24.36 24.92 GS Finance Corp. 40054KLJ3 10/28/16 10/30/23 100.000 0.000 2.5999 172.96 0.084338 0.085434 25.41 GS Finance Corp. 40055QY48 09/28/18 06/29/23 100.000 0.000 3.8199 174.89 0.124640 22.19 GS Finance Corp. 40055AZG5 05/02/18 05/15/28 100.000 0.000 4.2400 216.21 0.142470 0.145490 0.148574 0.151724 0.154941 52.11 54.35 GS Finance Corp. 40055QY63 10/03/18 10/03/23 100.000 0.000 3.8100 173.79 0.123081 0.125425 33.90 GS Finance Corp. 40056YZD9 05/05/20 05/03/24 100.000 0.000 1.8596 50.39 0.054097 0.054600 0.055107 19.62 6.72 GS Finance Corp. 40056XEZ5 10/02/19 10/04/24 100.000 0.000 2.4700 83.00 0.073865 0.074777 0.075701 0.076636 26.92 20.83 GS Finance Corp. 40057LNA5 04/06/22 04/06/27 100.000 0.000 3.5800 26.50 0.101225 0.103037 0.104881 0.106759 0.108670 37.08 38.42 GS Finance Corp. 40056FRX5 07/31/19 07/31/25 100.000 0.000 2.8851 102.92 0.087332 0.088592 0.089870 0.091166 0.092481 32.05 32.98 GS Finance Corp. 40054KLR5 10/31/16 10/29/26 100.000 0.000 2.9991 201.63 0.099593 0.101086 0.102602 0.104141 0.105703 36.31 37.41 GS Finance Corp. 40056XFJ0 10/31/19 05/01/25 100.000 0.000 2.5800 84.66 0.077402 0.078400 0.079412 0.080436 0.081474 28.16 28.90 GS Finance Corp. 40057EZL4 01/29/21 01/31/28 100.000 0.000 1.4700 28.56 0.041743 0.042049 0.042358 0.042670 0.042983 15.18 15.40 GS Finance Corp. 40057HB33 05/28/21 05/31/28 100.000 0.000 1.9100 30.73 0.054597 0.055119 0.055645 0.056177 0.056713 19.78 20.16 GS Finance Corp. 40056XWH5 12/31/19 12/30/24 100.000 2.000 2.4808 75.33 0.069963 0.070831 0.070331 0.071204 25.34 25.41 GS Finance Corp. 40057EZK6 01/29/21 07/31/28 100.000 0.000 1.5383 29.90 0.043725 0.044061 0.044400 0.044741 0.045085 15.90 16.15 GS Finance Corp. 40057HS27 07/30/21 11/01/27 100.000 0.000 1.6399 23.47 0.046496 0.046877 0.047262 0.047649 0.048040 16.85 17.13 GS Finance Corp. 40055QGX4 07/17/18 07/28/25 100.000 0.000 4.0100 193.55 0.130720 0.133341 0.136014 0.138741 0.141523 48.34 50.30 GS Finance Corp. 40056XFE1 11/05/19 08/03/23 100.000 0.000 2.2501 73.19 0.066462 0.067210 14.22 GS Finance Corp. 40055AZM2 05/30/18 05/30/25 100.000 0.000 4.0099 199.75 0.133177 0.135847 0.138571 0.141349 0.144183 48.59 50.56 GS Finance Corp. 40057EZJ9 01/29/21 01/31/28 100.000 0.000 1.4700 28.56 0.041743 0.042049 0.042358 0.042670 0.042983 15.18 15.40 GS Finance Corp. 40056XWG7 12/31/19 12/29/23 100.000 1.600 2.3779 72.11 0.067636 0.067912 24.26 GS Finance Corp. 40055Q6X5 05/25/18 11/25/26 100.000 0.000 4.2450 213.20 0.142453 0.145477 0.148565 0.151718 0.154938 52.05 54.28 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054KLQ7 10/31/16 10/31/23 100.000 0.000 2.6000 172.80 0.084331 0.085428 25.41 GS Finance Corp. 40055QGV8 07/17/18 07/28/25 100.000 0.000 4.0100 193.55 0.130720 0.133341 0.136014 0.138741 0.141523 48.34 50.30 GS Finance Corp. 40055QXX5 09/28/18 06/30/25 100.000 0.000 4.0788 187.67 0.134548 0.137292 0.140092 0.142949 0.145864 48.94 50.95 GS Finance Corp. 40055AZL4 05/30/18 05/30/25 100.000 0.000 4.0099 199.75 0.133177 0.135847 0.138571 0.141349 0.144183 48.59 50.56 GS Finance Corp. 40055AZY6 05/29/18 05/29/26 100.000 0.000 4.1267 206.20 0.137761 0.140604 0.143505 0.146466 0.149488 50.29 52.39 GS Finance Corp. 40057FLX0 03/12/21 03/12/36 100.000 VARIES 2.8689 50.16 0.073545 0.071162 0.069761 0.068917 0.068663 25.63 24.84 GS Finance Corp. 40056XFQ4 10/31/19 11/02/27 100.000 0.000 2.8600 94.20 0.086521 0.087759 0.089014 0.090286 0.091578 31.52 32.43 GS Finance Corp. 40057FLW2 03/11/21 03/11/31 100.000 VARIES 2.5191 44.62 0.066388 0.065062 0.064695 0.064900 0.065348 23.47 23.40 GS Finance Corp. 40055AZX8 05/29/18 05/29/24 100.000 0.000 3.9300 195.57 0.130062 0.132618 0.135224 47.45 20.01 GS Finance Corp. 40056FB87 05/06/19 05/04/23 100.000 0.000 3.1376 120.47 0.097171 11.95 GS Finance Corp. 40055QYA4 10/03/18 10/17/23 100.000 0.000 3.8100 173.80 0.123263 0.125612 35.68 GS Finance Corp. 40056FRY3 07/31/19 01/31/23 100.000 0.000 2.5974 92.27 0.077959 2.26 GS Finance Corp. 40056FAX3 04/11/19 04/11/24 100.000 0.000 3.3601 132.09 0.104880 0.106642 0.108434 38.36 10.84 GS Finance Corp. 40057CTW1 09/30/20 09/30/26 100.000 0.000 1.5050 34.36 0.043077 0.043401 0.043728 0.044057 0.044388 15.63 15.86 GS Finance Corp. 40057JHJ8 10/05/21 10/03/31 100.000 0.000 2.4583 30.75 0.069967 0.070827 0.071697 0.072579 0.073471 25.50 26.13 GS Finance Corp. 40056EPF9 01/31/19 02/02/27 100.000 0.000 4.1367 174.11 0.132645 0.135389 0.138189 0.141048 0.143965 49.07 51.12 GS Finance Corp. 40057CTV3 09/30/20 09/30/26 100.000 0.000 1.5050 34.36 0.043077 0.043401 0.043728 0.044057 0.044388 15.63 15.86 GS Finance Corp. 40056X5V4 09/30/19 10/09/26 100.000 0.000 2.7800 93.99 0.083948 0.085115 0.086298 0.087498 0.088714 30.62 31.48 GS Finance Corp. 40057JHH2 10/05/21 10/05/28 100.000 0.000 2.0500 25.60 0.058116 0.058712 0.059314 0.059922 0.060536 21.13 21.57 GS Finance Corp. 40056FSC0 07/31/19 08/10/26 100.000 0.000 3.0000 107.21 0.091195 0.092563 0.093952 0.095361 0.096791 33.47 34.48 GS Finance Corp. 40056YJF2 02/20/20 02/15/23 100.000 0.000 1.9251 56.41 0.056084 2.47 GS Finance Corp. 40057KL84 01/31/22 01/31/29 100.000 0.000 2.7900 25.82 0.078582 0.079679 0.080790 0.081917 0.083060 28.82 29.63 GS Finance Corp. 40056X6B7 10/03/19 07/06/23 100.000 0.000 2.3413 78.46 0.069348 0.070160 12.98 GS Finance Corp. 40056FSQ9 08/05/19 08/14/24 100.000 0.000 2.7501 97.50 0.082971 0.084112 0.085269 0.086441 30.39 19.23 GS Finance Corp. 40055AJG3 02/22/18 06/22/26 100.000 0.000 3.8739 204.97 0.129538 0.132047 0.134605 0.137212 0.139870 47.13 48.97 GS Finance Corp. 40057KL68 01/31/22 07/29/27 100.000 0.000 2.5682 23.75 0.072251 0.073179 0.074119 0.075070 0.076034 26.46 27.15 GS Finance Corp. 40056FSN6 07/31/19 07/31/25 100.000 0.000 2.8851 102.92 0.087332 0.088592 0.089870 0.091166 0.092481 32.05 32.98 GS Finance Corp. 40057KL50 01/31/22 01/31/29 100.000 0.000 2.7900 25.82 0.078582 0.079679 0.080790 0.081917 0.083060 28.82 29.63 GS Finance Corp. 40057KL43 01/31/22 07/30/26 100.000 0.000 2.3787 21.99 0.066862 0.067657 0.068462 0.069276 0.070100 24.46 25.04 GS Finance Corp. 40056EPG7 01/31/19 01/31/25 100.000 0.000 3.9350 165.04 0.125277 0.127742 0.130256 0.132818 0.135432 46.30 48.13 GS Finance Corp. 40057J7L4 08/17/21 08/16/29 100.000 0.000 2.0292 28.10 0.057514 0.058097 0.058687 0.059282 0.059884 20.97 21.40 GS Finance Corp. 40056X5Z5 10/03/19 10/15/24 100.000 0.000 2.4599 82.58 0.073593 0.074498 0.075414 0.076342 26.79 21.58 GS Finance Corp. 40056FBU8 05/02/19 05/02/24 100.000 0.000 3.3001 127.44 0.102795 0.104491 0.106215 37.51 12.85 GS Finance Corp. 40056FBV6 05/10/19 05/11/23 100.000 0.000 3.1001 118.57 0.095911 12.47 GS Finance Corp. 40057HST8 07/30/21 08/01/28 100.000 0.000 1.7900 25.62 0.050618 0.051071 0.051528 0.051989 0.052454 18.44 18.77 GS Finance Corp. 40056YJM7 02/21/20 02/21/30 100.000 VARIES 2.5596 71.98 0.068671 0.068361 0.068087 0.067872 0.067730 24.59 24.43 GS Finance Corp. 40056FSU0 08/05/19 02/03/23 100.000 0.000 2.5838 91.38 0.077508 2.48 GS Finance Corp. 40055AJN8 02/27/18 03/08/23 100.000 0.000 3.4252 178.88 0.110971 7.44 GS Finance Corp. 40056FSS5 08/05/19 02/05/25 100.000 0.000 2.8100 99.71 0.084872 0.086065 0.087274 0.088500 0.089744 31.12 32.00 GS Finance Corp. 40057KL92 01/31/22 02/09/29 100.000 0.000 2.7900 25.82 0.078635 0.079732 0.080844 0.081972 0.083115 28.82 29.63 GS Finance Corp. 40056X6P6 09/30/19 10/09/26 100.000 0.000 2.7800 93.99 0.083948 0.085115 0.086298 0.087498 0.088714 30.62 31.48 GS Finance Corp. 40056XXT8 02/05/20 02/14/25 100.000 0.000 2.1100 62.90 0.061802 0.062454 0.063113 0.063779 0.064452 22.55 23.02 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AJY4 02/27/18 02/26/26 100.000 0.000 3.8056 200.41 0.125241 0.127624 0.130052 0.132527 0.135049 46.12 47.89 GS Finance Corp. 40056XXQ4 02/05/20 02/05/24 100.000 0.000 2.0150 59.99 0.058849 0.059442 0.060041 21.47 2.04 GS Finance Corp. 40056XXR2 02/05/20 02/05/24 100.000 0.000 2.0150 59.99 0.058849 0.059442 0.060041 21.47 2.04 GS Finance Corp. 40055AK89 02/27/18 02/27/25 100.000 0.000 3.7200 195.54 0.121976 0.124245 0.126556 0.128910 0.131308 44.89 46.57 GS Finance Corp. 40055AJS7 02/28/18 08/31/23 100.000 0.000 3.4583 180.62 0.112110 0.114027 27.14 GS Finance Corp. 40057FN42 03/31/21 03/30/28 100.000 0.000 2.0392 36.21 0.058394 0.058990 0.059591 0.060199 0.060813 21.24 21.67 GS Finance Corp. 40054KNF9 11/28/16 11/28/23 100.000 0.000 3.0601 203.24 0.101992 0.103553 33.63 GS Finance Corp. 40057CDX6 07/31/20 08/02/28 100.000 0.000 1.6767 41.23 0.048163 0.048566 0.048973 0.049384 0.049798 17.53 17.83 GS Finance Corp. 40054KNH5 11/28/16 11/27/26 100.000 0.000 3.4699 233.17 0.118473 0.120529 0.122620 0.124747 0.126912 43.16 44.67 GS Finance Corp. 40057HTE0 07/28/21 02/01/27 100.000 0.000 1.5051 21.60 0.042444 0.042763 0.043085 0.043409 0.043736 15.43 15.67 GS Finance Corp. 40056XXZ4 01/31/20 07/31/25 100.000 0.000 2.2875 68.67 0.067260 0.068029 0.068807 0.069594 0.070390 24.59 25.15 GS Finance Corp. 40057HTD2 07/28/21 07/31/28 100.000 0.000 1.8200 26.16 0.051484 0.051953 0.052426 0.052903 0.053384 18.76 19.10 GS Finance Corp. 40056YJY1 02/26/20 03/07/30 100.000 0.000 2.4900 73.02 0.073638 0.074555 0.075483 0.076423 0.077374 26.88 27.56 GS Finance Corp. 40056YJX3 02/26/20 03/07/30 100.000 0.000 2.4900 73.02 0.073638 0.074555 0.075483 0.076423 0.077374 26.88 27.56 GS Finance Corp. 40054KNC6 11/28/16 11/28/23 100.000 0.000 3.0998 206.11 0.103558 0.105163 34.15 GS Finance Corp. 40054LQQ0 09/15/17 09/26/24 100.000 0.000 2.8003 158.66 0.089467 0.090719 0.091990 0.093278 32.67 24.61 GS Finance Corp. 40056EQM3 01/31/19 11/02/23 100.000 0.000 3.8087 159.47 0.121908 0.124230 37.11 GS Finance Corp. 40054LQS6 09/15/17 06/15/23 100.000 0.000 2.5996 146.57 0.082698 13.56 GS Finance Corp. 40056FCP8 05/31/19 05/31/24 100.000 0.000 3.1099 117.04 0.096240 0.097736 0.099256 35.01 14.79 GS Finance Corp. 40056EQN1 01/31/19 10/31/25 100.000 0.000 4.0688 171.13 0.131459 0.134134 0.136862 0.139647 0.142488 48.14 50.11 GS Finance Corp. 40055QJ52 07/31/18 07/30/26 100.000 0.000 4.1364 198.38 0.135347 0.138146 0.141003 0.143920 0.146896 50.08 52.18 GS Finance Corp. 40057LP96 04/29/22 05/01/29 100.000 0.000 4.4700 30.22 0.126973 0.129811 0.132712 0.135679 0.138711 46.57 48.67 GS Finance Corp. 40055QJ60 07/31/18 07/31/24 100.000 0.000 3.9250 187.45 0.127369 0.129869 0.132418 0.135016 47.07 28.14 GS Finance Corp. 40056EQL5 01/31/19 07/31/26 100.000 0.000 4.1350 174.03 0.132552 0.135292 0.138089 0.140944 0.143858 49.05 51.10 GS Finance Corp. 40057H2H2 04/21/21 04/21/27 100.000 0.000 1.7850 30.58 0.050924 0.051379 0.051837 0.052300 0.052767 18.48 18.81 GS Finance Corp. 40054LQZ0 09/28/17 09/28/23 100.000 0.000 2.7500 154.47 0.087568 0.088772 23.60 GS Finance Corp. 40055AKQ9 02/28/18 03/10/28 100.000 0.000 3.9678 209.59 0.131705 0.134318 0.136983 0.139701 0.142472 48.47 50.41 GS Finance Corp. 40056EA32 10/12/18 10/24/25 100.000 0.000 4.2199 192.76 0.138727 0.141654 0.144643 0.147695 0.150811 50.86 53.03 GS Finance Corp. 40057HU73 08/04/21 08/03/28 100.000 0.000 1.7533 24.89 0.049558 0.049992 0.050430 0.050872 0.051318 18.05 18.37 GS Finance Corp. 40054LA53 04/28/17 10/31/24 100.000 0.000 3.1210 192.18 0.102813 0.104417 0.106047 0.107702 37.50 32.01 GS Finance Corp. 40054LQU1 09/28/17 09/30/25 100.000 0.000 3.1000 175.61 0.100444 0.102001 0.103582 0.105188 0.106818 36.73 37.87 GS Finance Corp. 40055AL21 02/14/18 02/14/23 100.000 0.000 3.3099 173.80 0.106578 4.58 GS Finance Corp. 40054LR97 09/29/17 10/10/24 100.000 0.000 2.9500 166.42 0.094951 0.096351 0.097772 0.099215 34.66 27.54 GS Finance Corp. 40054KNU6 11/28/16 11/27/24 100.000 0.000 3.2301 215.57 0.108735 0.110491 0.112275 0.114088 39.58 36.93 GS Finance Corp. 40054LR89 09/29/17 10/10/24 100.000 0.000 2.9500 166.42 0.094951 0.096351 0.097772 0.099215 34.66 27.54 GS Finance Corp. 40054LRB2 09/29/17 10/12/27 100.000 0.000 3.3500 190.83 0.110006 0.111849 0.113722 0.115627 0.117564 40.23 41.59 GS Finance Corp. 40056FDA0 05/17/19 05/29/26 100.000 0.000 3.4900 133.55 0.109551 0.111463 0.113408 0.115387 0.117400 39.91 41.31 GS Finance Corp. 40057FNY6 03/31/21 04/09/31 100.000 0.000 2.5000 44.53 0.072127 0.073028 0.073941 0.074865 0.075801 26.28 26.94 GS Finance Corp. 40057EKV8 11/30/20 11/30/27 100.000 0.000 1.4899 31.46 0.042634 0.042952 0.043272 0.043594 0.043919 15.43 15.66 GS Finance Corp. 40056XZ41 01/31/20 02/11/27 100.000 0.000 2.4300 73.08 0.071755 0.072627 0.073510 0.074403 0.075307 26.23 26.88 GS Finance Corp. 40057EKU0 11/30/20 11/30/27 100.000 0.000 1.4899 31.46 0.042634 0.042952 0.043272 0.043594 0.043919 15.43 15.66 GS Finance Corp. 40057FNX8 03/31/21 04/09/31 100.000 0.000 2.5000 44.53 0.072127 0.073028 0.073941 0.074865 0.075801 26.28 26.94 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056XYT7 01/31/20 02/02/28 100.000 0.000 2.5000 75.24 0.073905 0.074829 0.075764 0.076711 0.077670 27.05 27.73 GS Finance Corp. 40056XZ25 01/31/20 02/11/30 100.000 0.000 2.6400 79.60 0.078366 0.079400 0.080449 0.081511 0.082586 28.69 29.45 GS Finance Corp. 40057HCZ1 05/28/21 05/28/31 100.000 VARIES 2.4405 38.45 0.065927 0.065291 0.065337 0.065523 0.065773 23.60 23.57 GS Finance Corp. 40054LRA4 09/29/17 10/10/24 100.000 0.000 2.9500 166.42 0.094951 0.096351 0.097772 0.099215 34.66 27.54 GS Finance Corp. 40057LQ79 04/29/22 05/01/28 100.000 0.000 4.3700 29.54 0.124073 0.126784 0.129554 0.132385 0.135277 45.48 47.49 GS Finance Corp. 40057LQ61 04/29/22 07/30/26 100.000 0.000 4.1237 27.90 0.115743 0.118129 0.120565 0.123051 0.125588 42.82 44.61 GS Finance Corp. 40057H3F5 05/05/21 05/05/28 100.000 0.000 2.0100 33.68 0.057533 0.058111 0.058695 0.059285 0.059881 20.88 21.30 GS Finance Corp. 40056FDH5 05/31/19 06/11/26 100.000 0.000 3.3900 128.14 0.106032 0.107830 0.109657 0.111516 0.113406 38.57 39.89 GS Finance Corp. 40057LPT2 04/29/22 05/01/29 100.000 0.000 4.4700 30.22 0.126973 0.129811 0.132712 0.135679 0.138711 46.57 48.67 GS Finance Corp. 40055ALA3 02/20/18 02/20/25 100.000 0.000 3.7500 198.10 0.123122 0.125431 0.127783 0.130179 0.132620 45.35 47.07 GS Finance Corp. 40057LQ20 04/27/22 04/25/25 100.000 0.000 3.7917 25.83 0.107300 0.109335 0.111407 0.113520 0.115672 39.27 40.77 GS Finance Corp. 40056XYY6 01/31/20 02/11/27 100.000 0.000 2.4300 73.08 0.071755 0.072627 0.073510 0.074403 0.075307 26.23 26.88 GS Finance Corp. 36257D436 05/01/19 09/20/23 100.000 0.000 3.1913 123.16 0.098682 0.100257 25.84 GS Finance Corp. 40057HUS7 08/04/21 08/04/31 100.000 0.000 2.1800 31.02 0.061883 0.062557 0.063239 0.063928 0.064625 22.60 23.09 GS Finance Corp. 40054LS47 09/29/17 10/01/24 100.000 0.000 2.9500 166.42 0.094883 0.096283 0.097703 0.099144 34.66 26.64 GS Finance Corp. 40054LAQ7 05/30/17 05/30/25 100.000 0.000 3.1002 187.52 0.101991 0.103572 0.105178 0.106808 0.108464 37.10 38.26 GS Finance Corp. 40054LS39 09/29/17 06/29/23 100.000 0.000 2.6502 148.42 0.084530 15.05 GS Finance Corp. 40057C5A5 06/30/20 06/29/28 100.000 0.000 1.9400 49.51 0.056552 0.057101 0.057654 0.058214 0.058778 20.46 20.86 GS Finance Corp. 40056EAL2 09/28/18 09/28/23 100.000 0.000 3.8299 175.38 0.123820 0.126191 33.49 GS Finance Corp. 40057LPZ8 04/11/22 04/03/25 100.000 0.000 3.3832 24.57 0.095498 0.097113 0.098756 0.100427 0.102126 34.96 36.15 GS Finance Corp. 40054LAP9 05/31/17 05/31/24 100.000 0.000 2.9498 177.73 0.096258 0.097678 0.099119 35.00 14.77 GS Finance Corp. 40057LQ95 04/29/22 01/30/25 100.000 0.000 3.5568 24.04 0.099690 0.101462 0.103267 0.105103 0.106973 36.75 38.07 GS Finance Corp. 40054LS21 09/29/17 10/01/24 100.000 0.000 2.9500 166.42 0.094883 0.096283 0.097703 0.099144 34.66 26.64 GS Finance Corp. 40056XZC3 01/31/20 02/11/30 100.000 0.000 2.6400 79.60 0.078366 0.079400 0.080449 0.081511 0.082586 28.69 29.45 GS Finance Corp. 40055QK68 08/06/18 08/04/23 100.000 0.000 3.7554 178.02 0.121031 0.123304 26.19 GS Finance Corp. 40057LQ87 04/29/22 05/10/29 100.000 0.000 4.3900 29.68 0.124787 0.127526 0.130325 0.133186 0.136109 45.70 47.73 GS Finance Corp. 40057EM38 11/30/20 05/30/28 100.000 0.000 1.5518 32.78 0.044458 0.044803 0.045150 0.045501 0.045854 16.09 16.34 GS Finance Corp. 40056F3Z6 03/28/19 03/30/23 100.000 0.000 3.1250 123.64 0.096773 8.61 GS Finance Corp. 40056F3Y9 03/28/19 03/28/24 100.000 0.000 3.3001 130.94 0.102795 0.104491 0.106215 37.63 9.24 GS Finance Corp. 40057FP57 03/31/21 09/29/28 100.000 0.000 2.1210 37.69 0.060809 0.061454 0.062105 0.062764 0.063430 22.13 22.60 GS Finance Corp. 40057LQD6 04/29/22 01/30/25 100.000 0.000 3.5568 24.04 0.099690 0.101462 0.103267 0.105103 0.106973 36.75 38.07 GS Finance Corp. 40057FP40 03/31/21 09/29/28 100.000 0.000 2.1210 37.69 0.060809 0.061454 0.062105 0.062764 0.063430 22.13 22.60 GS Finance Corp. 40057FP24 03/31/21 04/01/27 100.000 0.000 1.8100 32.10 0.051659 0.052126 0.052598 0.053074 0.053554 18.77 19.11 GS Finance Corp. 40057LQC8 04/29/22 05/10/29 100.000 0.000 4.4700 30.23 0.127114 0.129955 0.132860 0.135829 0.138865 46.57 48.67 GS Finance Corp. 40057FP32 03/31/21 04/01/27 100.000 0.000 1.7900 31.74 0.051070 0.051528 0.051989 0.052454 0.052923 18.55 18.88 GS Finance Corp. 40057LQB0 04/29/22 05/10/29 100.000 0.000 4.4700 30.23 0.127114 0.129955 0.132860 0.135829 0.138865 46.57 48.67 GS Finance Corp. 40057LQA2 04/29/22 07/29/27 100.000 0.000 4.2951 29.07 0.120588 0.123178 0.125823 0.128525 0.131285 44.67 46.61 GS Finance Corp. 40056F3T0 03/28/19 03/30/26 100.000 2.000 3.6081 139.30 0.106182 0.107095 0.108025 0.108972 0.109936 38.56 39.24 GS Finance Corp. 40057HE48 05/28/21 05/28/31 100.000 VARIES 2.4396 37.85 0.063515 0.062705 0.062541 0.062757 0.063259 22.69 22.58 GS Finance Corp. 40057CFU0 07/31/20 08/02/27 100.000 0.000 1.5699 38.57 0.044999 0.045352 0.045708 0.046067 0.046428 16.37 16.63 GS Finance Corp. 40057CFT3 07/31/20 08/02/27 100.000 0.000 1.5699 38.57 0.044999 0.045352 0.045708 0.046067 0.046428 16.37 16.63 GS Finance Corp. 40057LQM6 04/13/22 04/11/25 100.000 0.000 3.4028 24.51 0.096112 0.097748 0.099411 0.101102 0.102822 35.16 36.37 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057CFS5 07/31/20 08/11/27 100.000 0.000 1.5700 38.57 0.045017 0.045371 0.045727 0.046086 0.046447 16.37 16.63 GS Finance Corp. 40057CFR7 07/31/20 08/11/27 100.000 0.000 1.5700 38.57 0.045017 0.045371 0.045727 0.046086 0.046447 16.37 16.63 GS Finance Corp. 40056XZU3 02/05/20 02/03/23 100.000 0.000 1.8668 55.48 0.054317 1.74 GS Finance Corp. 40056YM76 04/03/20 04/05/23 100.000 0.000 2.5099 70.87 0.074216 6.98 GS Finance Corp. 40056XZS8 02/05/20 02/03/23 100.000 0.000 1.8668 55.48 0.054317 1.74 GS Finance Corp. 40057EM61 11/30/20 12/10/30 100.000 0.000 1.8600 39.38 0.053644 0.054142 0.054646 0.055154 0.055667 19.42 19.79 GS Finance Corp. 40057EM46 11/30/20 05/30/28 100.000 0.000 1.5518 32.78 0.044458 0.044803 0.045150 0.045501 0.045854 16.09 16.34 GS Finance Corp. 40057LQH7 04/14/22 04/20/26 100.000 0.000 3.7400 26.85 0.105898 0.107878 0.109896 0.111951 0.114044 38.76 40.23 GS Finance Corp. 40055ALY1 02/28/18 08/28/25 100.000 0.000 3.7368 196.37 0.122619 0.124910 0.127244 0.129622 0.132043 45.12 46.83 GS Finance Corp. 40057EM53 11/30/20 12/10/30 100.000 0.000 1.8600 39.38 0.053644 0.054142 0.054646 0.055154 0.055667 19.42 19.79 GS Finance Corp. 40054LBL7 05/31/17 05/26/23 100.000 1.250 2.7568 160.16 0.083364 12.09 GS Finance Corp. 40056ESL3 02/05/19 02/05/24 100.000 0.000 3.5800 148.67 0.112595 0.114611 0.116662 41.49 3.97 GS Finance Corp. 40057JKP0 09/30/21 10/12/29 100.000 0.000 2.0967 26.49 0.059511 0.060135 0.060766 0.061403 0.062046 21.64 22.09 GS Finance Corp. 40057C5X5 07/06/20 01/03/25 100.000 0.000 1.2962 32.64 0.036944 0.037183 0.037424 0.037667 0.037911 13.43 13.60 GS Finance Corp. 40056F4H5 04/03/19 02/02/23 100.000 0.000 3.1275 123.27 0.096339 2.99 GS Finance Corp. 40057LR37 05/04/22 05/05/27 100.000 0.000 4.3200 28.59 0.122607 0.125255 0.127961 0.130724 0.133548 44.92 46.88 GS Finance Corp. 40055QL26 07/31/18 08/11/25 100.000 0.000 4.0600 194.44 0.132614 0.135306 0.138053 0.140856 0.143715 48.99 51.00 GS Finance Corp. 40057LQQ7 04/13/22 04/23/29 100.000 0.000 4.0900 29.50 0.116066 0.118440 0.120862 0.123333 0.125856 42.54 44.29 GS Finance Corp. 40054LBJ2 05/31/17 06/11/24 100.000 0.000 2.9497 177.73 0.096342 0.097763 0.099205 35.00 15.87 GS Finance Corp. 40057H4D9 05/03/21 05/01/28 100.000 0.000 1.9900 33.45 0.056937 0.057504 0.058076 0.058654 0.059237 20.67 21.08 GS Finance Corp. 40057LQR5 04/07/22 04/07/37 100.000 VARIES 3.9995 29.21 0.109707 0.108290 0.106845 0.105711 0.106271 39.00 38.21 GS Finance Corp. 40057CG70 07/23/20 07/24/25 100.000 0.000 1.2699 31.36 0.036182 0.036412 0.036643 0.036876 0.037110 13.14 13.31 GS Finance Corp. 40056FEG6 05/31/19 06/02/25 100.000 0.000 3.2500 122.58 0.101081 0.102724 0.104393 0.106089 0.107813 36.78 37.99 GS Finance Corp. 40054LSV7 09/13/17 09/12/24 100.000 0.000 2.8499 161.84 0.091188 0.092488 0.093806 0.095142 33.35 23.79 GS Finance Corp. 40054LSU9 09/29/17 10/01/24 100.000 0.000 2.9500 166.42 0.094883 0.096283 0.097703 0.099144 34.66 26.64 GS Finance Corp. 40055AMP9 02/26/18 03/05/25 100.000 0.000 3.7000 194.53 0.121326 0.123571 0.125857 0.128185 0.130557 44.61 46.27 GS Finance Corp. 40054KPR1 11/25/16 11/26/24 100.000 0.000 3.2499 217.34 0.109550 0.111330 0.113139 0.114978 39.88 37.10 GS Finance Corp. 40054LBV5 05/31/17 05/31/24 100.000 0.000 2.9498 177.73 0.096258 0.097678 0.099119 35.00 14.77 GS Finance Corp. 40056FF59 05/31/19 06/03/27 100.000 0.000 3.4933 132.26 0.109573 0.111487 0.113434 0.115415 0.117431 39.90 41.30 GS Finance Corp. 40055QKX9 07/31/18 05/01/23 100.000 0.000 3.7275 177.39 0.121158 14.54 GS Finance Corp. 40055QKY7 07/31/18 08/11/25 100.000 0.000 4.0600 194.44 0.132614 0.135306 0.138053 0.140856 0.143715 48.99 51.00 GS Finance Corp. 40057LA92 02/28/22 02/29/24 100.000 0.000 1.7601 14.87 0.049325 0.049757 0.050197 17.94 2.91 GS Finance Corp. 40055QL75 07/31/18 08/11/25 100.000 0.000 4.0600 194.44 0.132614 0.135306 0.138053 0.140856 0.143715 48.99 51.00 GS Finance Corp. 40057JKT2 09/30/21 09/30/31 100.000 VARIES 2.4405 30.38 0.066729 0.066481 0.066272 0.066419 0.066561 23.94 23.91 GS Finance Corp. 40054LSS4 09/29/17 09/26/24 100.000 1.500 2.9596 161.18 0.088605 0.089299 0.090004 0.090719 32.16 23.98 GS Finance Corp. 40055QKW1 07/31/18 05/01/25 100.000 0.000 4.0263 192.75 0.132509 0.135176 0.137898 0.140674 0.143506 48.51 50.48 GS Finance Corp. 40055AMX2 02/28/18 03/10/28 100.000 0.000 3.9678 209.59 0.131705 0.134318 0.136983 0.139701 0.142472 48.47 50.41 GS Finance Corp. 40057H4Z0 05/28/21 05/31/29 100.000 0.000 2.0800 33.49 0.059607 0.060227 0.060853 0.061486 0.062126 21.61 22.06 GS Finance Corp. 40055AMU8 02/28/18 03/10/28 100.000 0.000 3.9678 209.59 0.131705 0.134318 0.136983 0.139701 0.142472 48.47 50.41 GS Finance Corp. 40055QLC4 07/31/18 01/29/26 100.000 0.000 4.0947 196.22 0.133748 0.136486 0.139280 0.142132 0.145042 49.48 51.53 GS Finance Corp. 40054LTA2 09/29/17 09/30/24 100.000 0.000 2.9501 166.42 0.094876 0.096275 0.097695 0.099136 34.66 26.54 GS Finance Corp. 40057FQ72 03/10/21 03/10/31 100.000 VARIES 2.5198 45.11 0.068424 0.067997 0.067943 0.068050 0.068244 24.50 24.51 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AMV6 02/28/18 03/10/28 100.000 0.000 3.9678 209.59 0.131705 0.134318 0.136983 0.139701 0.142472 48.47 50.41 GS Finance Corp. 40054LSZ8 09/20/17 09/22/25 100.000 0.000 3.0502 173.37 0.098590 0.100093 0.101620 0.103169 0.104743 36.06 37.17 GS Finance Corp. 36259Y735 04/07/21 04/05/28 100.000 0.000 2.1083 37.04 0.060429 0.061066 0.061710 0.062361 0.063018 21.98 22.45 GS Finance Corp. 40057LAC5 03/02/22 03/01/28 100.000 0.000 3.0754 25.70 0.086735 0.088069 0.089423 0.090798 0.092195 31.79 32.77 GS Finance Corp. 40056FF83 05/31/19 06/02/26 100.000 0.000 3.3900 128.14 0.105944 0.107739 0.109566 0.111423 0.113311 38.57 39.89 GS Finance Corp. 40056FF91 05/31/19 05/31/24 100.000 0.000 3.1099 117.04 0.096240 0.097736 0.099256 35.01 14.79 GS Finance Corp. 36258L742 12/04/19 06/04/25 100.000 0.000 2.4932 79.18 0.074599 0.075529 0.076471 0.077424 0.078389 27.07 27.75 GS Finance Corp. 40055ANA1 02/28/18 03/12/25 100.000 0.000 3.6670 192.42 0.120127 0.122330 0.124572 0.126856 0.129182 44.13 45.76 GS Finance Corp. 40055QLJ9 07/31/18 08/11/25 100.000 0.000 4.0600 194.44 0.132614 0.135306 0.138053 0.140856 0.143715 48.99 51.00 GS Finance Corp. 40057LAX9 03/23/22 03/26/29 100.000 0.000 3.4800 27.04 0.098376 0.100088 0.101829 0.103601 0.105404 36.05 37.32 GS Finance Corp. 40057LAW1 03/23/22 03/25/27 100.000 0.000 3.3200 25.79 0.093769 0.095326 0.096908 0.098517 0.100152 34.34 35.49 GS Finance Corp. 40057KP72 01/31/22 01/31/30 100.000 0.000 2.8700 26.56 0.080868 0.082028 0.083205 0.084399 0.085610 29.67 30.53 GS Finance Corp. 40054LTR5 09/25/17 09/25/23 100.000 0.000 2.7000 151.74 0.085765 0.086922 22.85 GS Finance Corp. 40056F5L5 04/30/19 04/30/25 100.000 0.000 3.4500 133.77 0.108020 0.109883 0.111779 0.113707 0.115668 39.45 40.82 GS Finance Corp. 40054LCJ1 05/18/17 05/20/24 100.000 0.000 3.0299 184.13 0.099320 0.100825 0.102352 36.15 14.23 GS Finance Corp. 40055ANE3 03/16/18 03/27/25 100.000 0.000 3.8098 198.29 0.125564 0.127956 0.130394 0.132878 0.135409 46.09 47.86 GS Finance Corp. 40054KQH2 12/30/16 01/03/25 100.000 0.000 3.3999 224.31 0.113714 0.115647 0.117613 0.119612 0.121646 41.98 43.42 GS Finance Corp. 40055ANF0 03/16/18 03/27/25 100.000 0.000 3.8098 198.29 0.125564 0.127956 0.130394 0.132878 0.135409 46.09 47.86 GS Finance Corp. 40057LS51 04/27/22 05/07/29 100.000 0.000 4.5200 30.83 0.128554 0.131459 0.134430 0.137468 0.140575 47.12 49.27 GS Finance Corp. 40055QLQ3 08/03/18 08/03/23 100.000 0.000 3.7700 179.13 0.121596 0.123888 26.19 GS Finance Corp. 40057H5T3 05/19/21 05/19/31 100.000 VARIES 2.4694 38.90 0.064216 0.063364 0.063145 0.063337 0.063860 22.92 22.80 GS Finance Corp. 40054KR65 12/21/16 12/21/23 100.000 0.000 3.2002 210.92 0.107548 0.109268 37.95 GS Finance Corp. 40054KQU3 12/30/16 12/31/26 100.000 0.000 3.6499 242.62 0.125971 0.128270 0.130611 0.132994 0.135421 45.77 47.45 GS Finance Corp. 40057HG79 06/30/21 06/29/28 100.000 0.000 1.9816 30.08 0.056695 0.057257 0.057824 0.058397 0.058976 20.51 20.92 GS Finance Corp. 40057HG61 06/30/21 03/30/27 100.000 0.000 1.7249 26.17 0.048955 0.049377 0.049803 0.050233 0.050666 17.78 18.08 GS Finance Corp. 40057LSB8 05/04/22 05/02/25 100.000 0.000 3.8015 25.14 0.107581 0.109626 0.111709 0.113832 0.115996 39.34 40.85 GS Finance Corp. 40056YNL4 04/03/20 04/04/24 100.000 0.000 2.6801 75.82 0.079575 0.080642 0.081722 29.03 7.60 GS Finance Corp. 40057HG53 06/30/21 03/30/27 100.000 0.000 1.7249 26.17 0.048955 0.049377 0.049803 0.050233 0.050666 17.78 18.08 GS Finance Corp. 40056FX75 08/30/19 09/02/25 100.000 0.000 2.4350 84.11 0.072744 0.073629 0.074526 0.075433 0.076352 26.56 27.21 GS Finance Corp. 40057C7E5 06/30/20 06/30/27 100.000 0.000 1.8299 46.65 0.053200 0.053687 0.054178 0.054674 0.055174 19.24 19.59 GS Finance Corp. 40056FFV2 06/05/19 06/05/24 100.000 0.000 3.0199 113.03 0.093165 0.094572 0.096000 33.87 14.78 GS Finance Corp. 40056FX91 09/05/19 03/05/25 100.000 0.000 2.3900 82.15 0.071292 0.072144 0.073006 0.073879 0.074761 26.02 26.64 GS Finance Corp. 40054KQV1 12/30/16 07/02/24 100.000 0.000 3.3199 218.54 0.112383 0.116145 40.79 21.02 GS Finance Corp. 40054KQQ2 12/30/16 07/01/24 100.000 0.000 3.4000 224.31 0.115629 0.117595 0.119594 41.98 21.53 GS Finance Corp. 40055ANM5 03/16/18 03/27/25 100.000 0.000 3.8098 198.29 0.125564 0.127956 0.130394 0.132878 0.135409 46.09 47.86 GS Finance Corp. 40056XKH8 10/28/19 10/22/27 100.000 1.000 2.8087 91.60 0.082383 0.083540 0.083933 0.085112 0.085527 29.97 30.54 GS Finance Corp. 40057HX39 07/30/21 07/31/28 100.000 0.000 1.7900 25.62 0.050617 0.051070 0.051528 0.051989 0.052454 18.44 18.77 GS Finance Corp. 40056YNK6 03/31/20 10/01/25 100.000 0.000 3.2325 92.32 0.097294 0.098867 0.100465 0.102088 0.103738 35.59 36.75 GS Finance Corp. 40057C7B1 06/30/20 07/12/27 100.000 0.000 1.8300 46.65 0.052753 0.053235 0.053722 0.054214 0.054710 19.24 19.60 GS Finance Corp. 40057HWP1 07/30/21 07/30/36 100.000 VARIES 2.5273 35.28 0.067750 0.065846 0.064534 0.064314 0.064604 23.56 23.20 GS Finance Corp. 40057LSK8 04/26/22 04/24/25 100.000 0.000 3.7917 25.94 0.107300 0.109335 0.111407 0.113520 0.115672 39.27 40.77 GS Finance Corp. 40054LUA0 10/13/17 10/25/24 100.000 0.000 2.9399 164.48 0.094586 0.095976 0.097387 0.098818 34.49 28.89 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40056FXA8 09/05/19 03/03/23 100.000 0.000 2.2054 75.60 0.065421 4.06 GS Finance Corp. 40056YNR1 03/27/20 03/27/25 100.000 0.000 3.8599 111.38 0.117974 0.120251 0.122571 0.124937 0.127348 43.31 45.00 GS Finance Corp. 40056YNS9 03/27/20 03/27/23 100.000 0.000 3.5399 101.78 0.107348 9.23 GS Finance Corp. 40057LSD4 04/22/22 04/26/27 100.000 0.000 4.2500 29.57 0.120622 0.123185 0.125803 0.128476 0.131206 44.22 46.12 GS Finance Corp. 40057HG87 06/30/21 06/29/28 100.000 0.000 1.9816 30.08 0.056695 0.057257 0.057824 0.058397 0.058976 20.51 20.92 GS Finance Corp. 40057LT50 05/03/22 05/03/27 100.000 0.000 4.3101 28.64 0.122304 0.124940 0.127633 0.130383 0.133193 44.81 46.77 GS Finance Corp. 40057LC25 03/31/22 04/11/29 100.000 0.000 3.8100 28.87 0.107974 0.110031 0.112127 0.114263 0.116439 39.57 41.10 GS Finance Corp. 40057LSP7 04/28/22 04/24/24 100.000 0.000 2.4919 16.88 0.070063 0.070936 0.071820 25.50 8.12 GS Finance Corp. 36253M695 09/14/17 09/14/23 100.000 0.000 2.6628 150.44 0.084425 0.085549 21.56 GS Finance Corp. 40054LUG7 10/30/17 10/30/24 100.000 0.000 3.0002 166.45 0.096718 0.098169 0.099641 0.101136 35.26 30.06 GS Finance Corp. 40054KAB2 04/29/16 04/27/23 100.000 1.250 2.8316 198.68 0.087458 10.15 GS Finance Corp. 40054LUF9 10/30/17 10/30/25 100.000 0.000 3.1001 172.40 0.100431 0.101988 0.103568 0.105174 0.106804 36.63 37.77 GS Finance Corp. 40057LBZ3 03/31/22 04/11/29 100.000 0.000 3.8100 28.87 0.107974 0.110031 0.112127 0.114263 0.116439 39.57 41.10 GS Finance Corp. 40057JN77 10/29/21 10/29/27 100.000 0.000 2.0450 24.15 0.057973 0.058565 0.059164 0.059769 0.060380 21.05 21.48 GS Finance Corp. 40057LBY6 03/31/22 03/31/28 100.000 0.000 3.7350 28.29 0.105686 0.107660 0.109671 0.111719 0.113805 38.76 40.23 GS Finance Corp. 40056FXS9 08/30/19 03/04/25 100.000 0.000 2.3825 82.24 0.071073 0.071920 0.072776 0.073643 0.074521 25.94 26.56 GS Finance Corp. 40057JN69 10/29/21 10/31/28 100.000 0.000 2.2300 26.35 0.063339 0.064045 0.064759 0.065481 0.066211 23.02 23.53 GS Finance Corp. 40054KS23 12/21/16 12/21/23 100.000 0.000 3.2002 210.92 0.107548 0.109268 37.95 GS Finance Corp. 40057LBX8 03/31/22 01/03/25 100.000 0.000 3.1443 23.80 0.088051 0.089435 0.090841 0.092270 0.093720 32.44 33.47 GS Finance Corp. 40057JN51 10/29/21 10/31/28 100.000 0.000 2.2300 26.35 0.063339 0.064045 0.064759 0.065481 0.066211 23.02 23.53 GS Finance Corp. 40057HGN4 06/30/21 07/10/31 100.000 0.000 2.3900 36.36 0.068030 0.068843 0.069665 0.070498 0.071340 24.92 25.52 GS Finance Corp. 40057LSZ5 04/26/22 05/07/29 100.000 0.000 4.5200 30.96 0.128570 0.131475 0.134447 0.137485 0.140592 47.13 49.28 GS Finance Corp. 40057JN44 10/29/21 10/29/27 100.000 0.000 2.0450 24.15 0.057973 0.058565 0.059164 0.059769 0.060380 21.05 21.48 GS Finance Corp. 40057LBV2 03/31/22 04/02/26 100.000 0.000 3.5449 26.85 0.100236 0.102012 0.103821 0.105661 0.107534 36.72 38.04 GS Finance Corp. 40054LUM4 09/29/17 03/31/23 100.000 0.000 2.6512 148.48 0.084016 7.48 GS Finance Corp. 36255U232 08/03/18 08/05/25 100.000 0.000 4.0135 191.63 0.130724 0.133347 0.136023 0.138753 0.141537 48.31 50.26 GS Finance Corp. 40057LSW2 05/04/22 05/02/24 100.000 0.000 2.4980 16.50 0.070246 0.071124 0.072012 25.55 8.71 GS Finance Corp. 40056E3F3 10/31/18 10/29/26 100.000 0.000 4.2586 192.14 0.139995 0.142976 0.146021 0.149130 0.152305 51.31 53.52 GS Finance Corp. 36253M711 09/14/17 09/14/23 100.000 0.000 2.6628 150.44 0.084425 0.085549 21.56 GS Finance Corp. 40057LST9 05/04/22 05/04/27 100.000 0.000 4.3200 28.59 0.122591 0.125239 0.127944 0.130708 0.133531 44.91 46.88 GS Finance Corp. 40056E3G1 10/31/18 10/31/24 100.000 0.000 4.0300 181.05 0.131314 0.133960 0.136660 0.139413 48.08 41.36 GS Finance Corp. 40057LSU6 04/21/22 10/23/23 100.000 0.000 1.8152 12.64 0.050886 0.051348 14.94 GS Finance Corp. 36256M569 11/15/18 11/14/23 100.000 0.000 3.9688 176.16 0.128997 0.131557 40.84 GS Finance Corp. 40054KB62 05/31/16 05/31/23 100.000 0.000 2.8999 208.81 0.097130 14.47 GS Finance Corp. 40056F6X8 05/03/19 05/03/24 100.000 0.000 3.2700 126.12 0.101754 0.103417 0.105108 37.13 12.82 GS Finance Corp. 40057H6T2 05/28/21 06/10/31 100.000 0.000 2.4200 39.04 0.069748 0.070592 0.071446 0.072310 0.073185 25.30 25.91 GS Finance Corp. 40054L3Y8 04/28/17 04/28/25 100.000 0.000 3.3000 204.16 0.109749 0.111559 0.113400 0.115271 0.117173 40.07 41.40 GS Finance Corp. 40056EUU0 02/28/19 11/30/23 100.000 0.000 3.5488 144.77 0.112506 0.114503 37.37 GS Finance Corp. 40057H6S4 05/28/21 06/10/31 100.000 0.000 2.4200 39.04 0.069748 0.070592 0.071446 0.072310 0.073185 25.30 25.91 GS Finance Corp. 40056EUV8 02/28/19 12/01/25 100.000 0.000 3.8350 157.20 0.122880 0.125236 0.127638 0.130085 0.132580 44.80 46.54 GS Finance Corp. 40054L3S1 04/28/17 04/30/24 100.000 0.000 3.0498 187.43 0.100077 0.101603 0.103153 36.49 12.28 GS Finance Corp. 40054LV76 10/31/17 11/12/24 100.000 0.000 3.0000 166.45 0.096810 0.098262 0.099736 0.101232 35.26 31.29 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057H6R6 05/28/21 05/31/28 100.000 0.000 1.9100 30.73 0.054597 0.055119 0.055645 0.056177 0.056713 19.78 20.16 GS Finance Corp. 40056EV47 02/28/19 03/02/27 100.000 0.000 3.9567 162.49 0.126117 0.128612 0.131157 0.133751 0.136397 46.45 48.31 GS Finance Corp. 40056F6S9 04/30/19 01/29/26 100.000 0.000 3.5433 137.62 0.110322 0.112276 0.114265 0.116290 0.118350 40.67 42.12 GS Finance Corp. 40054LUU6 10/31/17 10/31/24 100.000 0.000 2.9999 166.44 0.096709 0.098160 0.099632 0.101127 35.25 30.06 GS Finance Corp. 40057H6Q8 05/28/21 05/31/28 100.000 0.000 1.9100 30.73 0.054597 0.055119 0.055645 0.056177 0.056713 19.78 20.16 GS Finance Corp. 40056EV54 02/28/19 02/28/25 100.000 0.000 3.7301 152.59 0.117921 0.120120 0.122360 0.124642 0.126967 43.39 45.03 GS Finance Corp. 40054LUT9 10/31/17 07/31/23 100.000 0.000 2.7496 151.66 0.086957 0.088153 18.39 GS Finance Corp. 40054L3U6 04/27/17 04/29/25 100.000 0.000 3.3000 204.26 0.109766 0.111577 0.113418 0.115289 0.117191 40.07 41.40 GS Finance Corp. 40057H6P0 05/28/21 12/01/26 100.000 0.000 1.5051 24.16 0.042763 0.043085 0.043409 0.043736 0.044065 15.47 15.71 GS Finance Corp. 40054LV92 10/31/17 11/12/24 100.000 0.000 3.0000 166.45 0.096810 0.098262 0.099736 0.101232 35.26 31.29 GS Finance Corp. 40057JN93 10/29/21 10/31/28 100.000 0.000 2.2300 26.35 0.063339 0.064045 0.064759 0.065481 0.066211 23.02 23.53 GS Finance Corp. 40054LV84 10/31/17 11/12/24 100.000 0.000 3.0000 166.45 0.096810 0.098262 0.099736 0.101232 35.26 31.29 GS Finance Corp. 40056F6R1 04/30/19 01/30/24 100.000 0.000 3.2726 126.55 0.101023 0.102676 0.104356 37.17 3.03 GS Finance Corp. 40057JN85 10/29/21 10/29/26 100.000 0.000 1.8600 21.95 0.052632 0.053122 0.053616 0.054114 0.054617 19.10 19.45 GS Finance Corp. 40056XM78 12/02/19 11/30/23 100.000 0.000 2.3118 73.38 0.068791 0.069586 22.78 GS Finance Corp. 40054KBA3 05/27/16 05/30/24 100.000 0.000 2.8998 209.09 0.097148 0.098556 0.099985 35.31 14.90 GS Finance Corp. 40054L4B7 04/28/17 04/24/23 100.000 1.250 2.8079 166.08 0.085155 9.62 GS Finance Corp. 40054LVA9 10/31/17 11/09/27 100.000 0.000 3.3500 187.41 0.109962 0.111804 0.113677 0.115581 0.117517 40.11 41.47 GS Finance Corp. 40057FS62 03/31/21 03/29/29 100.000 0.000 2.1944 39.01 0.062979 0.063670 0.064369 0.065075 0.065789 22.92 23.43 GS Finance Corp. 40055APE1 03/29/18 10/01/25 100.000 0.000 3.9000 201.69 0.128928 0.131442 0.134005 0.136618 0.139282 47.32 49.19 GS Finance Corp. 40056EEG9 11/30/18 12/02/26 100.000 0.000 4.4667 197.87 0.148092 0.151400 0.154781 0.158238 0.161772 54.10 56.55 GS Finance Corp. 40055APF8 03/29/18 12/31/24 100.000 0.000 3.8275 197.63 0.127319 0.129756 0.132239 0.134770 46.28 47.93 GS Finance Corp. 40057LCS8 03/31/22 04/02/29 100.000 0.000 3.8100 28.87 0.107871 0.109926 0.112020 0.114154 0.116329 39.57 41.09 GS Finance Corp. 40057LTU5 05/04/22 11/02/23 100.000 0.000 1.8465 12.18 0.051761 0.052239 15.67 GS Finance Corp. 40055QNS7 08/16/18 08/27/25 100.000 0.000 3.9600 187.21 0.128835 0.131386 0.133987 0.136640 0.139345 47.48 49.38 GS Finance Corp. 40057H7F1 05/28/21 05/31/28 100.000 0.000 1.9100 30.73 0.054597 0.055119 0.055645 0.056177 0.056713 19.78 20.16 GS Finance Corp. 40057LCQ2 03/31/22 04/02/29 100.000 0.000 3.8100 28.87 0.107871 0.109926 0.112020 0.114154 0.116329 39.57 41.09 GS Finance Corp. 40055APD3 03/29/18 03/30/23 100.000 0.000 3.6000 184.97 0.117427 10.45 GS Finance Corp. 40054LEF7 06/30/17 03/30/23 100.000 0.000 2.6506 155.98 0.084547 7.52 GS Finance Corp. 40057KQM8 01/24/22 01/22/27 100.000 0.000 2.4107 22.69 0.067763 0.068580 0.069406 0.070243 0.071090 24.80 25.40 GS Finance Corp. 40054LEE0 06/30/17 07/02/24 100.000 0.000 2.8998 171.67 0.093037 0.094386 0.095754 0.097143 34.22 17.58 GS Finance Corp. 40054L4C5 04/25/17 04/25/24 100.000 0.000 3.0999 191.07 0.101982 0.103563 0.105168 37.21 11.99 GS Finance Corp. 40057L2N0 02/14/22 02/14/29 100.000 0.000 2.9501 26.14 0.083155 0.084381 0.085626 0.086889 0.088171 30.49 31.40 GS Finance Corp. 40055APM3 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40054LVS0 10/31/17 10/31/24 100.000 0.000 2.9999 166.44 0.096709 0.098160 0.099632 0.101127 35.25 30.06 GS Finance Corp. 40055APN1 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40056EEQ7 11/30/18 08/31/23 100.000 0.000 4.0588 178.54 0.131085 0.133716 31.81 GS Finance Corp. 40056XME3 11/29/19 05/30/25 100.000 0.000 2.4675 78.71 0.073779 0.074690 0.075611 0.076544 0.077488 26.78 27.45 GS Finance Corp. 40055APL5 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40054KBP0 05/27/16 05/30/23 100.000 0.000 2.8998 209.16 0.096611 14.40 GS Finance Corp. 40054LEN0 06/29/17 06/29/23 100.000 0.000 2.6999 159.11 0.086917 15.47 GS Finance Corp. 40057JNT9 10/29/21 10/31/29 100.000 0.000 2.3400 27.66 0.066535 0.067314 0.068101 0.068898 0.069704 24.19 24.76 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40054L4L5 04/28/17 01/30/24 100.000 0.000 3.0000 184.16 0.097455 0.098917 0.100400 35.79 2.91 GS Finance Corp. 40057HHL7 06/30/21 06/28/29 100.000 0.000 2.1192 32.19 0.060750 0.061394 0.062045 0.062702 0.063367 21.99 22.46 GS Finance Corp. 40054LEM2 06/29/17 07/01/25 100.000 0.000 3.0998 184.54 0.101994 0.101994 0.105180 0.105180 0.108465 37.00 38.16 GS Finance Corp. 40056YPD0 03/31/20 04/01/27 100.000 0.000 3.3000 94.32 0.099491 0.101133 0.102802 0.104498 0.106222 36.41 37.62 GS Finance Corp. 40056EEJ3 11/30/18 12/03/24 100.000 0.000 4.2600 188.00 0.140115 0.143099 0.146147 0.149260 51.15 49.08 GS Finance Corp. 40057FSG0 03/24/21 03/24/31 100.000 VARIES 2.5493 44.01 0.066311 0.064873 0.064410 0.064594 0.065109 23.43 23.29 GS Finance Corp. 40055APG6 04/05/18 04/17/23 100.000 0.000 3.4899 178.22 0.113406 12.02 GS Finance Corp. 40054KSN7 01/30/17 01/30/25 100.000 0.000 3.3999 220.89 0.113682 0.115615 0.117580 0.119579 0.121612 41.86 43.30 GS Finance Corp. 40055APU5 03/29/18 10/10/25 100.000 0.000 3.9000 201.70 0.129053 0.131569 0.134135 0.136750 0.139417 47.32 49.19 GS Finance Corp. 40056E4V7 10/31/18 07/31/23 100.000 0.000 3.8487 172.35 0.123343 0.125716 26.21 GS Finance Corp. 40054KBW5 05/31/16 05/29/23 100.000 1.250 2.9093 201.83 0.090325 13.37 GS Finance Corp. 40055APV3 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40056E4X3 10/31/18 07/31/25 100.000 0.000 4.1350 186.17 0.133923 0.136692 0.139518 0.142402 0.145347 49.56 51.63 GS Finance Corp. 40056E4W5 10/31/18 04/30/26 100.000 0.000 4.2103 189.78 0.138163 0.141071 0.144041 0.147073 0.150169 50.62 52.77 GS Finance Corp. 40056EET1 11/30/18 06/01/26 100.000 0.000 4.4283 196.03 0.146579 0.149825 0.153142 0.156533 0.159999 53.55 55.95 GS Finance Corp. 40054KBS4 05/31/16 05/31/24 100.000 0.000 3.0499 220.64 0.103142 0.104715 0.106312 37.51 15.84 GS Finance Corp. 40056EW61 03/05/19 03/04/24 100.000 0.000 3.5562 144.27 0.111745 0.113732 0.115754 41.05 7.29 GS Finance Corp. 40055APR2 03/29/18 04/10/28 100.000 0.000 4.0900 212.40 0.136487 0.139278 0.142126 0.145033 0.147999 50.09 52.16 GS Finance Corp. 40054KT55 01/31/17 01/31/24 100.000 0.000 3.2500 210.28 0.107790 0.109542 0.111322 39.65 3.23 GS Finance Corp. 40054KT48 01/31/17 01/29/27 100.000 0.000 3.6999 242.39 0.125723 0.128049 0.130417 0.132830 0.135287 46.39 48.12 GS Finance Corp. 36257D808 07/03/19 01/03/24 100.000 0.000 2.6546 96.53 0.079810 0.080869 0.081943 29.30 0.16 GS Finance Corp. 40056FYV1 08/30/19 03/04/27 100.000 0.000 2.5733 89.07 0.077200 0.078193 0.079199 0.080218 0.081250 28.20 28.93 GS Finance Corp. 36256M858 02/05/19 02/05/24 100.000 0.000 3.5778 148.58 0.112517 0.114530 0.116578 41.46 3.96 GS Finance Corp. 40056EES3 11/30/18 09/02/25 100.000 0.000 4.3363 191.72 0.141518 0.144586 0.147721 0.150923 0.154196 52.24 54.53 GS Finance Corp. 40055APP6 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40054KBT2 05/31/16 05/29/26 100.000 0.000 3.2989 240.50 0.113342 0.115211 0.117112 0.119043 0.121007 41.26 42.63 GS Finance Corp. 40056FYW9 08/30/19 09/02/25 100.000 0.000 2.4350 84.11 0.072744 0.073629 0.074526 0.075433 0.076352 26.56 27.21 GS Finance Corp. 40054KTB2 01/27/17 01/29/24 100.000 0.000 3.1998 207.07 0.105858 0.107552 0.109273 38.93 3.06 GS Finance Corp. 40057KAK9 12/31/21 01/03/29 100.000 0.000 2.2100 22.29 0.062078 0.062764 0.063457 0.064158 0.064867 22.72 23.22 GS Finance Corp. 40054LFC3 06/30/17 07/02/24 100.000 0.000 2.8998 171.67 0.093037 0.094386 0.095754 0.097143 34.22 17.58 GS Finance Corp. 40057KAJ2 12/31/21 01/03/29 100.000 0.000 2.2100 22.29 0.062078 0.062764 0.063457 0.064158 0.064867 22.72 23.22 GS Finance Corp. 40054KTD8 01/30/17 01/30/24 100.000 0.000 3.2500 210.28 0.107790 0.109542 0.111322 39.65 3.23 GS Finance Corp. 40054K2A3 02/29/16 02/27/26 100.000 0.000 3.6002 276.29 0.126072 0.128341 0.130651 0.133003 0.135397 46.36 48.05 GS Finance Corp. 40056XN77 11/29/19 12/01/27 100.000 0.000 2.7267 87.27 0.082164 0.083284 0.084420 0.085570 0.086737 29.85 30.67 GS Finance Corp. 40057HZB9 08/31/21 08/30/29 100.000 0.000 2.0160 27.18 0.057136 0.057706 0.058294 0.058878 0.059475 20.81 21.23 GS Finance Corp. 40057KAH6 12/31/21 07/02/26 100.000 0.000 1.8399 18.54 0.051584 0.052059 0.052538 0.053021 0.053509 18.83 19.17 GS Finance Corp. 40057EQ75 12/29/20 12/28/27 100.000 0.000 1.4339 29.07 0.040982 0.041276 0.041572 0.041870 0.042170 14.81 15.02 GS Finance Corp. 40057KRG0 02/03/22 02/05/29 100.000 0.000 2.7600 25.30 0.077737 0.078809 0.079897 0.081000 0.082117 28.49 29.29 GS Finance Corp. 40057L3F6 03/03/22 03/04/27 100.000 0.000 2.8099 23.39 0.079156 0.080269 0.081396 0.082540 0.083700 28.96 29.78 GS Finance Corp. 40056YQ56 03/31/20 03/30/28 100.000 0.000 3.3672 96.31 0.101675 0.103387 0.105127 0.106897 0.108697 37.23 38.49 GS Finance Corp. 40057FSX3 03/24/21 03/24/31 100.000 VARIES 2.5501 44.42 0.068465 0.067978 0.067909 0.068046 0.068283 24.51 24.51 GS Finance Corp. 40057FBU7 02/26/21 02/28/28 100.000 0.000 1.6601 31.02 0.047275 0.047667 0.048063 0.048462 0.048864 17.19 17.47 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AQE0 03/29/18 03/31/25 100.000 0.000 3.8700 200.01 0.127753 0.130225 0.132745 0.135313 0.137932 46.89 48.72 GS Finance Corp. 40057KAQ6 12/31/21 01/12/29 100.000 0.000 2.2100 22.29 0.062114 0.062800 0.063494 0.064196 0.064905 22.72 23.22 GS Finance Corp. 40054K2H8 02/26/16 08/28/23 100.000 0.000 3.2000 242.85 0.109280 0.111028 26.21 GS Finance Corp. 40057KAP8 12/31/21 01/12/29 100.000 0.000 2.2100 22.29 0.062114 0.062800 0.063494 0.064196 0.064905 22.72 23.22 GS Finance Corp. 40057KAN3 12/31/21 07/01/27 100.000 0.000 2.0000 20.16 0.056675 0.057242 0.057814 0.058393 0.058976 20.51 20.92 GS Finance Corp. 40057LUQ2 05/04/22 05/02/24 100.000 0.000 2.4980 16.50 0.070246 0.071124 0.072012 25.55 8.71 GS Finance Corp. 40057KAM5 12/31/21 01/03/29 100.000 0.000 2.2100 22.29 0.062078 0.062764 0.063457 0.064158 0.064867 22.72 23.22 GS Finance Corp. 40055AQA8 03/28/18 03/27/25 100.000 0.000 3.8492 198.97 0.126920 0.129363 0.131853 0.134390 0.136977 46.59 48.41 GS Finance Corp. 40057LUP4 05/04/22 05/02/25 100.000 0.000 3.8015 25.14 0.107581 0.109626 0.111709 0.113832 0.115996 39.34 40.85 GS Finance Corp. 40057KAL7 12/31/21 07/01/27 100.000 0.000 2.0000 20.16 0.056675 0.057242 0.057814 0.058393 0.058976 20.51 20.92 GS Finance Corp. 40055AQB6 03/28/18 03/26/26 100.000 0.000 3.9333 203.69 0.130163 0.132722 0.135333 0.137994 0.140708 47.81 49.71 GS Finance Corp. 40054LWV2 10/25/17 04/25/23 100.000 0.000 2.6502 146.24 0.083973 9.57 GS Finance Corp. 40054KD29 06/29/16 06/27/24 100.000 0.000 2.7999 198.28 0.093168 0.094473 0.095795 33.79 16.86 GS Finance Corp. 40057HJ50 06/30/21 09/30/27 100.000 0.000 1.8350 27.85 0.052151 0.052629 0.053112 0.053599 0.054091 18.95 19.30 GS Finance Corp. 40055AQP5 03/29/18 04/10/28 100.000 0.000 4.0900 212.40 0.136487 0.139278 0.142126 0.145033 0.147999 50.09 52.16 GS Finance Corp. 40057HJ43 06/30/21 06/29/28 100.000 0.000 1.9816 30.08 0.056695 0.057257 0.057824 0.058397 0.058976 20.51 20.92 GS Finance Corp. 40055AQM2 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40056XNH5 11/29/19 12/10/26 100.000 0.000 2.6400 84.40 0.079399 0.080447 0.081509 0.082585 0.083675 28.82 29.58 GS Finance Corp. 40056XNE2 12/02/19 12/04/24 100.000 0.000 2.4200 76.93 0.072264 0.073138 0.074023 0.074919 26.22 24.81 GS Finance Corp. 40054LFP4 06/30/17 06/26/23 100.000 1.250 2.7083 154.68 0.081665 14.29 GS Finance Corp. 40055AQK6 03/29/18 04/09/25 100.000 0.000 3.8700 200.02 0.127874 0.130349 0.132871 0.135442 0.138063 46.89 48.72 GS Finance Corp. 40056FZS7 08/30/19 09/04/24 100.000 0.000 2.3300 80.36 0.069397 0.070205 0.071023 0.071851 25.32 17.41 GS Finance Corp. 40054KTP1 01/31/17 01/26/23 100.000 1.250 3.0595 190.46 0.094102 2.35 GS Finance Corp. 40057L3V1 03/03/22 03/05/30 100.000 0.000 3.1233 26.02 0.088129 0.089506 0.090904 0.092323 0.093765 32.30 33.31 GS Finance Corp. 40055QPC0 08/31/18 09/03/24 100.000 0.000 3.8250 178.61 0.123678 0.126043 0.128453 0.130910 45.51 31.53 GS Finance Corp. 40056EFX1 12/05/18 12/05/23 100.000 0.000 4.1700 183.04 0.136624 0.139473 46.15 GS Finance Corp. 40057FD43 01/29/21 01/29/36 100.000 VARIES 2.3895 44.96 0.063057 0.061691 0.060600 0.059747 0.059152 22.08 21.44 GS Finance Corp. 40057LEB3 03/31/22 12/31/26 100.000 0.000 3.6314 27.50 0.103635 0.105516 0.107432 0.109383 0.111369 37.65 39.03 GS Finance Corp. 40055QPB2 08/31/18 09/02/26 100.000 0.000 4.0567 190.28 0.132352 0.135037 0.137776 0.140570 0.143421 48.78 50.77 GS Finance Corp. 40057LEA5 03/31/22 10/03/28 100.000 0.000 3.7725 28.58 0.106802 0.108817 0.110870 0.112961 0.115092 39.17 40.66 GS Finance Corp. 40057FU28 04/09/21 04/09/31 100.000 VARIES 2.4795 41.62 0.064240 0.063310 0.063282 0.063698 0.064181 22.88 22.93 GS Finance Corp. 40055AR25 03/14/18 03/25/25 100.000 0.000 3.7899 197.41 0.124798 0.127163 0.129572 0.132028 0.134530 45.81 47.56 GS Finance Corp. 40054KD86 06/24/16 06/26/23 100.000 0.000 2.6499 187.23 0.087357 15.29 GS Finance Corp. 40056XNL6 11/29/19 12/10/26 100.000 0.000 2.6400 84.40 0.079399 0.080447 0.081509 0.082585 0.083675 28.82 29.58 GS Finance Corp. 40057FUA0 03/31/21 03/31/28 100.000 VARIES 2.1198 36.95 0.058184 0.058023 0.058102 0.058190 0.058310 20.91 20.95 GS Finance Corp. 40054KDE3 06/30/16 07/02/24 100.000 0.000 2.7499 194.35 0.091238 0.093765 33.07 16.97 GS Finance Corp. 40056EGA0 11/30/18 11/30/28 100.000 0.000 4.6200 205.23 0.154059 0.157618 0.161259 0.164984 0.168795 56.32 58.96 GS Finance Corp. 40057F2Y9 01/29/21 02/10/31 100.000 0.000 1.8800 36.63 0.053740 0.054246 0.054755 0.055270 0.055790 19.58 19.95 GS Finance Corp. 36264H107 03/16/22 03/14/25 100.000 0.000 3.0228 24.06 0.085222 0.086510 0.087818 0.089145 0.090492 31.19 32.14 GS Finance Corp. 40054LGG3 06/30/17 06/30/25 100.000 0.000 3.0999 184.44 0.101980 0.103561 0.105166 0.106796 0.108451 37.00 38.16 GS Finance Corp. 36264H131 03/16/22 03/16/27 100.000 0.000 3.4238 27.28 0.096735 0.098391 0.100075 0.101788 0.103531 35.47 36.70 GS Finance Corp. 36264H123 03/16/22 03/14/25 100.000 0.000 3.0228 24.06 0.085222 0.086510 0.087818 0.089145 0.090492 31.19 32.14 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057ER90 12/29/20 01/08/31 100.000 0.000 1.9000 38.66 0.054322 0.054838 0.055359 0.055885 0.056416 19.83 20.21 GS Finance Corp. 40057F2X1 01/29/21 02/10/31 100.000 0.000 1.8800 36.63 0.053740 0.054246 0.054755 0.055270 0.055790 19.58 19.95 GS Finance Corp. 40054KDA1 06/03/16 06/05/23 100.000 0.000 3.0002 216.40 0.101155 15.58 GS Finance Corp. 40056XNS1 11/22/19 11/23/29 100.000 0.000 2.9800 96.32 0.090466 0.091814 0.093182 0.094570 0.095979 32.91 33.90 GS Finance Corp. 40055AQZ3 03/14/18 03/25/25 100.000 0.000 3.7899 197.41 0.124798 0.127163 0.129572 0.132028 0.134530 45.81 47.56 GS Finance Corp. 36264H149 03/16/22 03/16/27 100.000 0.000 3.4238 27.28 0.096735 0.098391 0.100075 0.101788 0.103531 35.47 36.70 GS Finance Corp. 40054KUL8 01/30/17 07/30/24 100.000 0.000 3.3302 215.95 0.110934 0.112781 0.114659 0.116568 40.83 24.31 GS Finance Corp. 36260W405 04/20/21 04/20/26 100.000 0.000 0.8823 15.06 0.024833 0.024943 0.025053 0.025164 0.025275 8.98 9.05 GS Finance Corp. 40054KDJ2 06/30/16 06/28/23 100.000 1.250 2.6041 176.55 0.079212 14.02 GS Finance Corp. 40054LXN9 10/31/17 10/31/24 100.000 0.000 2.9999 166.44 0.096709 0.098160 0.099632 0.101127 35.25 30.06 GS Finance Corp. 40054LXR0 10/31/17 11/10/27 100.000 0.000 3.3499 187.41 0.109970 0.111811 0.113684 0.115588 0.117524 40.11 41.46 GS Finance Corp. 40057HJK7 06/16/21 06/16/31 100.000 VARIES 2.3104 35.25 0.062286 0.061641 0.061724 0.061918 0.062155 22.30 22.26 GS Finance Corp. 40054KDM5 06/30/16 07/12/23 100.000 0.000 2.6003 182.95 0.084414 0.085512 16.32 GS Finance Corp. 36260W421 05/06/21 05/04/28 100.000 0.000 1.9831 33.16 0.056734 0.057296 0.057864 0.058438 0.059017 20.59 21.00 GS Finance Corp. 40057ERB5 12/29/20 06/28/28 100.000 0.000 1.5125 30.68 0.043298 0.043626 0.043956 0.044288 0.044623 15.65 15.89 GS Finance Corp. 40057KC27 12/31/21 07/05/29 100.000 0.000 2.3116 23.32 0.064976 0.065727 0.066486 0.067255 0.068032 23.79 24.35 GS Finance Corp. 40055ARE9 04/02/18 03/31/23 100.000 0.000 3.5367 181.12 0.115007 10.24 GS Finance Corp. 40057HJH4 06/23/21 12/28/26 100.000 0.000 1.6224 24.90 0.046184 0.046559 0.046937 0.047317 0.047701 16.70 16.97 GS Finance Corp. 40054KDF0 06/30/16 07/02/26 100.000 0.000 3.0000 213.66 0.101146 0.104204 36.68 37.79 GS Finance Corp. 40055AAD9 01/03/18 01/03/23 100.000 0.000 2.6999 143.33 0.084618 0.17 GS Finance Corp. 40057ERA7 12/29/20 06/28/28 100.000 0.000 1.5125 30.68 0.043298 0.043626 0.043956 0.044288 0.044623 15.65 15.89 GS Finance Corp. 40057HJG6 06/23/21 06/26/28 100.000 0.000 1.9299 29.67 0.055186 0.055718 0.056256 0.056799 0.057347 19.97 20.36 GS Finance Corp. 40057JPN0 10/29/21 11/09/28 100.000 0.000 2.2300 26.35 0.063374 0.064080 0.064795 0.065517 0.066248 23.02 23.53 GS Finance Corp. 40057CKY6 09/03/20 09/06/24 100.000 0.000 0.9900 23.26 0.028052 0.028191 0.028330 0.028470 10.16 6.97 GS Finance Corp. 40057LFA4 03/31/22 04/11/29 100.000 0.000 3.8100 28.87 0.107974 0.110031 0.112127 0.114263 0.116439 39.57 41.10 GS Finance Corp. 36257W178 08/05/19 08/05/24 100.000 0.000 2.7442 97.28 0.082723 0.083858 0.085008 0.086175 30.32 18.40 GS Finance Corp. 40055ARR0 03/21/18 03/20/25 100.000 0.000 3.7991 197.04 0.124993 0.127368 0.129787 0.132252 0.134765 45.91 47.67 GS Finance Corp. 40054KDT0 06/09/16 06/09/23 100.000 0.000 2.9998 215.76 0.101122 15.98 GS Finance Corp. 40056FK46 06/17/19 06/26/26 100.000 0.000 3.2600 121.25 0.101490 0.103144 0.104826 0.106534 0.108271 36.85 38.06 GS Finance Corp. 40054LH31 07/31/17 05/01/23 100.000 0.000 2.6501 153.41 0.084534 10.14 GS Finance Corp. 40054LH23 07/31/17 07/31/24 100.000 0.000 2.9499 172.01 0.094864 0.096263 0.097683 0.099124 34.83 20.68 GS Finance Corp. 40057L4Z1 03/01/22 02/28/25 100.000 0.000 2.5668 21.50 0.072200 0.073127 0.074066 0.075016 0.075979 26.39 27.07 GS Finance Corp. 40057JQ82 10/07/21 10/07/27 100.000 0.000 1.8000 22.36 0.050904 0.051362 0.051825 0.052291 0.052762 18.49 18.82 GS Finance Corp. 40057JQ74 10/07/21 10/10/28 100.000 0.000 2.0200 25.11 0.057259 0.057837 0.058422 0.059012 0.059608 20.81 21.23 GS Finance Corp. 40057EAE7 05/29/20 06/01/27 100.000 0.000 2.2400 59.37 0.065795 0.066531 0.067277 0.068030 0.068792 23.86 24.40 GS Finance Corp. 40054LY57 11/09/17 05/11/23 100.000 0.000 2.5499 139.25 0.080410 10.45 GS Finance Corp. 40054LXT6 10/31/17 11/12/24 100.000 0.000 3.0000 166.45 0.096810 0.098262 0.099736 0.101232 35.26 31.29 GS Finance Corp. 40054KV29 02/27/17 08/26/24 100.000 0.000 3.2501 207.38 0.107785 0.109536 0.111316 0.113125 39.56 26.48 GS Finance Corp. 40055ARW9 03/29/18 04/10/28 100.000 0.000 4.0900 212.40 0.136487 0.139278 0.142126 0.145033 0.147999 50.09 52.16 GS Finance Corp. 40056YS39 03/31/20 04/01/27 100.000 0.000 3.3000 94.32 0.099491 0.101133 0.102802 0.104498 0.106222 36.41 37.62 GS Finance Corp. 40057KCA9 12/10/21 12/10/26 100.000 0.000 1.9700 20.97 0.055804 0.056354 0.056909 0.057469 0.058035 20.21 20.61 GS Finance Corp. 40055ARV1 03/21/18 03/20/25 100.000 0.000 3.7991 197.04 0.124993 0.127368 0.129787 0.132252 0.134765 45.91 47.67 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057FE42 02/03/21 02/03/28 100.000 0.000 1.4700 28.39 0.041739 0.042046 0.042355 0.042666 0.042980 15.17 15.40 GS Finance Corp. 40054KDV5 06/17/16 06/15/23 100.000 2.000 2.6630 177.77 0.077413 12.70 GS Finance Corp. 40056E6W3 11/05/18 11/03/23 100.000 0.000 3.9463 176.38 0.128140 0.130669 39.15 GS Finance Corp. 40055ART6 03/21/18 03/21/24 100.000 0.000 3.6850 190.65 0.120641 0.122864 0.125128 44.28 10.01 GS Finance Corp. 40054LHH0 07/28/17 07/28/23 100.000 0.000 2.7502 159.74 0.087573 0.088777 18.34 GS Finance Corp. 40054LHJ6 07/28/17 07/30/25 100.000 0.000 3.0997 181.62 0.100433 0.101990 0.103570 0.105176 0.106806 36.91 38.06 GS Finance Corp. 40057CM81 08/31/20 08/31/26 100.000 0.000 1.3750 32.53 0.039255 0.039522 0.039796 0.040068 0.040345 14.25 14.44 GS Finance Corp. 40057CM73 08/31/20 08/31/26 100.000 0.000 1.3750 32.53 0.039255 0.039522 0.039796 0.040068 0.040345 14.25 14.44 GS Finance Corp. 40054KVB9 02/27/17 02/27/25 100.000 0.000 3.3001 210.86 0.109752 0.111563 0.113404 0.115275 0.117178 40.29 41.63 GS Finance Corp. 40054LYD0 11/15/17 11/25/24 100.000 0.000 2.9499 162.04 0.094939 0.096339 0.097760 0.099202 34.53 31.93 GS Finance Corp. 40056FKE4 07/03/19 07/03/24 100.000 0.000 2.7200 99.01 0.081933 0.083047 0.084177 0.085321 30.10 15.53 GS Finance Corp. 40056FKB0 06/28/19 06/28/24 100.000 0.000 2.6900 98.28 0.082048 0.083151 0.084270 29.74 14.92 GS Finance Corp. 40054KVC7 02/27/17 02/27/24 100.000 0.000 3.1501 200.45 0.103916 0.105553 0.107215 38.11 6.00 GS Finance Corp. 40056FKC8 06/28/19 06/30/26 100.000 0.000 2.9700 108.97 0.091482 0.092840 0.094219 0.095618 0.097038 33.18 34.17 GS Finance Corp. 40055QR95 08/31/18 03/04/26 100.000 0.000 4.0083 187.84 0.130555 0.133172 0.135841 0.138563 0.141340 48.09 50.04 GS Finance Corp. 40057JR73 10/21/21 10/21/36 100.000 VARIES 2.8389 33.38 0.075554 0.073572 0.073176 0.073675 0.074156 26.68 26.50 GS Finance Corp. 40057LFX4 04/05/22 04/05/27 100.000 0.000 3.4801 25.86 0.098351 0.100062 0.101803 0.103574 0.105377 36.01 37.28 GS Finance Corp. 40057LG96 03/30/22 03/30/27 100.000 0.000 3.6901 27.95 0.104393 0.106319 0.108280 0.110278 0.112313 38.28 39.71 GS Finance Corp. 40055QR79 08/31/18 06/02/23 100.000 0.000 3.6500 169.88 0.118264 17.86 GS Finance Corp. 40055QA69 05/24/18 08/26/25 100.000 0.000 4.1042 205.73 0.135527 0.138309 0.141147 0.144043 0.146999 49.99 52.07 GS Finance Corp. 40055QR87 08/31/18 06/02/25 100.000 0.000 3.8963 182.22 0.127552 0.130037 0.132570 0.135153 0.137786 46.51 48.34 GS Finance Corp. 40055ABF3 12/19/17 06/19/25 100.000 0.000 3.1000 167.47 0.100428 0.101985 0.103565 0.105171 0.106801 36.47 37.61 GS Finance Corp. 40057HKH2 07/06/21 07/06/28 100.000 0.000 1.9099 28.65 0.054072 0.054588 0.055110 0.055636 0.056167 19.74 20.12 GS Finance Corp. 40056FKY0 06/28/19 07/09/26 100.000 0.000 2.9701 108.98 0.090213 0.091552 0.092912 0.094292 0.095692 33.18 34.17 GS Finance Corp. 40057FW42 04/30/21 05/12/31 100.000 0.000 2.4800 42.03 0.071541 0.072428 0.073327 0.074236 0.075156 26.00 26.65 GS Finance Corp. 40057L6B2 03/02/22 03/02/27 100.000 0.000 2.9701 24.81 0.083727 0.084970 0.086232 0.087512 0.088812 30.66 31.58 GS Finance Corp. 40054KW77 02/28/17 02/26/23 100.000 1.250 2.9063 177.69 0.086707 4.86 GS Finance Corp. 40054KF50 07/29/16 08/09/23 100.000 0.000 2.5301 175.26 0.081781 0.082815 18.01 GS Finance Corp. 40056EYX0 03/29/19 12/29/23 100.000 0.000 3.2563 129.01 0.102102 0.103764 36.85 GS Finance Corp. 40054LZ98 11/30/17 12/03/24 100.000 0.000 2.9998 163.53 0.096730 0.098181 0.099653 0.101148 35.17 33.35 GS Finance Corp. 40054KF84 07/29/16 07/31/23 100.000 0.000 2.6502 184.32 0.086228 0.087371 18.23 GS Finance Corp. 40056FL94 07/03/19 01/03/23 100.000 0.000 2.5175 91.36 0.075381 0.15 GS Finance Corp. 40057CMG3 08/31/20 09/10/30 100.000 0.000 1.9400 46.15 0.056042 0.056585 0.057134 0.057688 0.058248 20.39 20.79 GS Finance Corp. 40056FL60 06/28/19 12/31/24 100.000 0.000 2.7600 100.95 0.084400 0.085565 0.086746 0.087943 30.60 31.36 GS Finance Corp. 40054KVS2 02/28/17 02/28/24 100.000 0.000 3.0999 196.89 0.101982 0.103563 0.105168 37.39 5.99 GS Finance Corp. 40054LZ72 11/30/17 12/03/24 100.000 0.000 2.9998 163.53 0.096730 0.098181 0.099653 0.101148 35.17 33.35 GS Finance Corp. 40054KF27 07/29/16 05/01/25 100.000 0.000 2.7700 193.30 0.091396 0.092662 0.093945 0.095246 0.096565 33.28 34.21 GS Finance Corp. 40056EYS1 03/29/19 03/31/25 100.000 0.000 3.4250 136.07 0.107156 0.108991 0.110858 0.112756 0.114687 39.24 40.60 GS Finance Corp. 40057JA89 09/03/21 09/05/31 100.000 0.000 2.2400 30.03 0.063632 0.064344 0.065065 0.065794 0.066531 23.20 23.72 GS Finance Corp. 40054LZ80 11/30/17 12/03/24 100.000 0.000 2.9998 163.53 0.096730 0.098181 0.099653 0.101148 35.17 33.35 GS Finance Corp. 40054KF35 07/29/16 07/30/26 100.000 0.000 2.9298 205.40 0.096908 0.098328 0.099769 0.101230 0.102713 35.57 36.62 GS Finance Corp. 40057FEZ3 02/26/21 02/28/28 100.000 0.000 1.6601 31.02 0.047275 0.047667 0.048063 0.048462 0.048864 17.19 17.47 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40057L6J5 02/24/22 03/06/29 100.000 0.000 3.1600 27.13 0.089259 0.090669 0.092102 0.093557 0.095035 32.71 33.76 GS Finance Corp. 40054LZC1 11/30/17 12/03/24 100.000 0.000 2.9998 163.53 0.096730 0.098181 0.099653 0.101148 35.17 33.35 GS Finance Corp. 40054LZB3 11/30/17 08/31/23 100.000 0.000 2.7995 151.94 0.088745 0.089974 21.43 GS Finance Corp. 40056EZB7 03/29/19 12/31/25 100.000 0.000 3.5625 141.85 0.112985 0.114997 0.117046 0.119131 0.121253 41.04 42.52 GS Finance Corp. 40056EZA9 03/29/19 04/01/27 100.000 0.000 3.6700 146.40 0.115808 0.117933 0.120097 0.122301 0.124545 42.46 44.03 GS Finance Corp. 40057JAE6 08/31/21 09/12/28 100.000 0.000 1.9000 25.60 0.053821 0.054332 0.054848 0.055369 0.055895 19.58 19.95 GS Finance Corp. 40056FLC7 07/03/19 01/03/23 100.000 0.000 2.5175 91.36 0.075381 0.15 GS Finance Corp. 40054LZE7 11/30/17 12/03/25 100.000 0.000 3.1001 169.39 0.100457 0.102014 0.103595 0.105201 0.106831 36.53 37.67 GS Finance Corp. 40057FW83 04/30/21 05/02/28 100.000 0.000 2.0200 34.14 0.057836 0.058420 0.059010 0.059606 0.060208 21.00 21.42 GS Finance Corp. 40055AC70 01/31/18 02/11/25 100.000 0.000 3.4199 181.58 0.110772 0.112666 0.114592 0.116552 0.118545 40.75 42.16 GS Finance Corp. 40057FF74 02/12/21 02/12/31 100.000 VARIES 1.9200 35.87 0.052473 0.052487 0.052560 0.052647 0.052741 18.90 18.96 GS Finance Corp. 40054KEY8 07/29/16 05/01/23 100.000 0.000 2.4799 171.55 0.080372 9.64 GS Finance Corp. 40057FW75 04/30/21 05/02/28 100.000 0.000 2.0200 34.14 0.057836 0.058420 0.059010 0.059606 0.060208 21.00 21.42 GS Finance Corp. 40055AC88 01/31/18 01/30/25 100.000 0.000 3.4101 181.00 0.110291 0.112171 0.114084 0.116029 0.118007 40.62 42.01 GS Finance Corp. 40057FF66 02/26/21 02/28/28 100.000 0.000 1.6601 31.02 0.047275 0.047667 0.048063 0.048462 0.048864 17.19 17.47 GS Finance Corp. 40057FW67 04/30/21 10/30/26 100.000 0.000 1.6375 27.61 0.046612 0.046993 0.047378 0.047766 0.048157 16.90 17.17 GS Finance Corp. 40055QAB8 06/04/18 06/13/25 100.000 0.000 3.9400 195.46 0.130579 0.133151 0.135774 0.138449 0.141176 47.56 49.46 GS Finance Corp. 40055AC54 01/31/18 01/30/25 100.000 0.000 3.4101 181.00 0.110291 0.112171 0.114084 0.116029 0.118007 40.62 42.01 GS Finance Corp. 40057FF58 02/26/21 08/28/28 100.000 0.000 1.7417 32.56 0.049661 0.050093 0.050529 0.050969 0.051413 18.06 18.38 GS Finance Corp. 40057FW59 04/30/21 10/30/26 100.000 0.000 1.6375 27.61 0.046612 0.046993 0.047378 0.047766 0.048157 16.90 17.17 GS Finance Corp. 40057FF41 02/26/21 03/10/31 100.000 0.000 2.1500 40.31 0.061722 0.062385 0.063056 0.063734 0.064419 22.49 22.97 GS Finance Corp. 40055AC62 01/31/18 02/11/25 100.000 0.000 3.4199 181.58 0.110772 0.112666 0.114592 0.116552 0.118545 40.75 42.16 GS Finance Corp. 40055QRR5 08/31/18 09/12/25 100.000 0.000 3.9600 185.41 0.128851 0.131402 0.134004 0.136657 0.139363 47.41 49.30 GS Finance Corp. 40057JRM0 10/27/21 04/29/27 100.000 0.000 1.9850 23.55 0.056245 0.056803 0.057367 0.057936 0.058511 20.42 20.83 GS Finance Corp. 40057JRL2 10/27/21 10/30/28 100.000 0.000 2.2700 26.96 0.064506 0.065238 0.065979 0.066727 0.067485 23.44 23.98 GS Finance Corp. 40054KFB7 07/28/16 07/30/24 100.000 0.000 2.6502 184.32 0.086228 0.087370 0.088528 0.089701 31.59 18.71 GS Finance Corp. 40056FLD5 07/03/19 07/15/24 100.000 0.000 2.7200 99.02 0.082009 0.083124 0.084254 0.085400 30.10 16.55 GS Finance Corp. 40054LJ39 07/31/17 08/09/24 100.000 0.000 2.9498 172.01 0.094927 0.096327 0.097748 0.099189 34.83 21.57 GS Finance Corp. 40057E2G1 04/30/20 04/30/27 100.000 0.000 2.4600 67.46 0.072641 0.073535 0.074439 0.075355 0.076282 26.42 27.08 GS Finance Corp. 40056YCH5 01/24/20 01/25/30 100.000 0.000 2.7100 82.25 0.080524 0.081615 0.082721 0.083842 0.084978 29.53 30.33 GS Finance Corp. 40055QRZ7 08/31/18 09/12/25 100.000 0.000 3.9600 185.41 0.128851 0.131402 0.134004 0.136657 0.139363 47.41 49.30 GS Finance Corp. 40054LZS6 11/30/17 12/12/24 100.000 0.000 2.9999 163.54 0.096805 0.098257 0.099731 0.101227 35.17 34.28 GS Finance Corp. 40055ACL9 01/31/18 01/30/25 100.000 0.000 3.3896 179.83 0.109531 0.111388 0.113276 0.115195 0.117148 40.33 41.71 GS Finance Corp. 40057FWL4 04/30/21 05/02/28 100.000 0.000 2.0200 34.14 0.057836 0.058420 0.059010 0.059606 0.060208 21.00 21.42 GS Finance Corp. 40057JS80 10/20/21 10/20/31 100.000 VARIES 2.6096 31.08 0.071474 0.070786 0.070282 0.070280 0.070469 25.52 25.31 GS Finance Corp. 40055QAV4 06/15/18 06/26/25 100.000 0.000 4.0700 200.96 0.135698 0.138460 0.141277 0.144152 0.147086 49.38 51.41 GS Finance Corp. 40055ATK3 04/17/18 04/28/25 100.000 0.000 3.7800 192.75 0.124417 0.126768 0.129164 0.131605 0.134093 45.51 47.25 GS Finance Corp. 40054LJ54 07/31/17 08/09/27 100.000 0.000 3.3497 197.29 0.109954 0.111795 0.113668 0.115572 0.117507 40.44 41.81 GS Finance Corp. 40055QS94 09/07/18 09/08/23 100.000 0.000 3.7000 171.51 0.119024 0.121225 29.80 GS Finance Corp. 40054LZU1 11/30/17 12/12/24 100.000 0.000 2.9999 163.54 0.096805 0.098257 0.099731 0.101227 35.17 34.28 GS Finance Corp. 40055QB84 06/29/18 07/11/25 100.000 0.000 4.0800 199.62 0.133388 0.136109 0.138886 0.141719 0.144610 49.44 51.48 GS Finance Corp. 40054LJ47 07/31/17 08/09/24 100.000 0.000 2.9498 172.01 0.094927 0.096327 0.097748 0.099189 34.83 21.57 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055ACK1 01/31/18 10/31/23 100.000 0.000 3.2433 171.56 0.104971 0.106673 31.69 GS Finance Corp. 40054LZT4 11/30/17 12/12/24 100.000 0.000 2.9999 163.54 0.096805 0.098257 0.099731 0.101227 35.17 34.28 GS Finance Corp. 40054KWL6 02/17/17 08/19/24 100.000 0.000 3.2499 208.45 0.107808 0.109560 0.111341 0.113150 39.59 25.71 GS Finance Corp. 40055ATJ6 04/17/18 04/28/25 100.000 0.000 3.7800 192.75 0.124417 0.126768 0.129164 0.131605 0.134093 45.51 47.25 GS Finance Corp. 40055ACE5 01/18/18 01/29/25 100.000 0.000 3.3498 178.88 0.108166 0.109977 0.111819 0.113692 0.115596 39.82 41.17 GS Finance Corp. 40055QAR3 06/15/18 06/26/25 100.000 0.000 4.0700 200.96 0.135698 0.138460 0.141277 0.144152 0.147086 49.38 51.41 GS Finance Corp. 40055ACF2 01/18/18 01/29/25 100.000 0.000 3.3498 178.88 0.108166 0.109977 0.111819 0.113692 0.115596 39.82 41.17 GS Finance Corp. 40055ATH0 04/17/18 04/28/25 100.000 0.000 3.7800 192.75 0.124417 0.126768 0.129164 0.131605 0.134093 45.51 47.25 GS Finance Corp. 40055QSC7 08/08/18 02/06/26 100.000 0.000 4.0319 191.91 0.131357 0.134005 0.136707 0.139463 0.142274 48.54 50.52 GS Finance Corp. 40055ATU1 04/02/18 10/03/24 100.000 0.000 3.7376 192.24 0.122659 0.124951 0.127286 0.129665 44.98 35.05 GS Finance Corp. 40057KVD2 02/04/22 02/04/27 100.000 0.000 2.5400 23.20 0.071452 0.072359 0.073278 0.074209 0.075151 26.15 26.82 GS Finance Corp. 40055QBB7 06/29/18 07/11/25 100.000 0.000 4.0800 199.62 0.133388 0.136109 0.138886 0.141719 0.144610 49.44 51.48 GS Finance Corp. 40057FX58 04/05/21 10/03/24 100.000 0.000 1.0638 18.62 0.030021 0.030181 0.030341 0.030503 10.86 8.28 GS Finance Corp. 40057FX41 04/05/21 04/02/26 100.000 0.000 1.5814 27.78 0.044971 0.045327 0.045685 0.046046 0.046410 16.32 16.58 GS Finance Corp. 40055AU47 04/30/18 05/09/25 100.000 0.000 4.0400 205.40 0.134488 0.137204 0.139976 0.142803 0.145688 49.19 51.20 GS Finance Corp. 40055AU54 04/30/18 05/09/28 100.000 0.000 4.3200 220.95 0.145605 0.148750 0.151963 0.155245 0.158599 53.31 55.64 GS Finance Corp. 40055QSB9 08/08/18 02/06/26 100.000 0.000 4.0319 191.91 0.131357 0.134005 0.136707 0.139463 0.142274 48.54 50.52 GS Finance Corp. 40056FM85 06/28/19 06/30/25 100.000 0.000 2.8299 103.61 0.086748 0.087975 0.089220 0.090482 0.091763 31.45 32.35 GS Finance Corp. 40056EZU5 04/03/19 04/04/24 100.000 0.000 3.3401 132.10 0.104195 0.105935 0.107704 38.13 10.02 GS Finance Corp. 40055AU39 04/30/18 05/09/25 100.000 0.000 4.0400 205.40 0.134488 0.137204 0.139976 0.142803 0.145688 49.19 51.20 GS Finance Corp. 40055AD20 01/30/18 02/08/23 100.000 0.000 3.1499 166.23 0.100782 3.73 GS Finance Corp. 40054LZV9 11/30/17 12/13/27 100.000 0.000 3.3000 181.15 0.108094 0.109878 0.111691 0.113534 0.115407 39.30 40.61 GS Finance Corp. 40057K3Z4 12/03/21 12/05/28 100.000 0.000 2.2800 24.74 0.064793 0.065532 0.066279 0.067035 0.067799 23.50 24.04 GS Finance Corp. 40057E2H9 04/30/20 01/30/26 100.000 0.000 2.3100 63.26 0.067571 0.068351 0.069141 0.069939 0.070747 24.70 25.28 GS Finance Corp. 40057L7L9 02/24/22 02/23/24 100.000 0.000 1.6034 13.72 0.044894 0.045254 0.045617 16.32 2.37 GS Finance Corp. 40057KVK6 02/03/22 02/05/30 100.000 0.000 2.8333 25.98 0.079830 0.080961 0.082108 0.083271 0.084450 29.27 30.11 GS Finance Corp. 40055QBK7 06/08/18 10/08/26 100.000 0.000 4.1144 204.38 0.136354 0.139159 0.142021 0.144943 0.147925 50.06 52.14 GS Finance Corp. 40057L7J4 03/02/22 03/12/29 100.000 0.000 3.1999 26.76 0.090390 0.091836 0.093305 0.094798 0.096315 33.12 34.19 GS Finance Corp. 40057FFY5 02/22/21 02/23/28 100.000 0.000 1.5700 29.50 0.044650 0.045000 0.045353 0.045709 0.046068 16.23 16.48 GS Finance Corp. 40057LHH7 03/28/22 04/06/29 100.000 0.000 3.6600 27.93 0.103611 0.105507 0.107438 0.109404 0.111406 37.97 39.37 GS Finance Corp. 40057FX82 04/30/21 05/02/29 100.000 0.000 2.1733 36.76 0.062366 0.063044 0.063729 0.064421 0.065121 22.65 23.15 GS Finance Corp. 40055AU88 04/30/18 05/09/25 100.000 0.000 4.0400 205.40 0.134488 0.137204 0.139976 0.142803 0.145688 49.19 51.20 GS Finance Corp. 40054LJA3 07/31/17 08/09/24 100.000 0.000 2.9498 172.01 0.094927 0.096327 0.097748 0.099189 34.83 21.57 GS Finance Corp. 40057FWV2 04/30/21 05/12/31 100.000 0.000 2.4800 42.03 0.071541 0.072428 0.073327 0.074236 0.075156 26.00 26.65 GS Finance Corp. 40055ATX5 04/30/18 04/30/25 100.000 0.000 4.0400 205.40 0.134355 0.137069 0.139838 0.142662 0.145544 49.19 51.20 GS Finance Corp. 40055ACW5 01/30/18 01/29/26 100.000 0.000 3.4733 184.62 0.112642 0.114598 0.116588 0.118613 0.120673 41.50 42.96 GS Finance Corp. 40055ADF1 01/31/18 02/11/25 100.000 0.000 3.4199 181.58 0.110772 0.112666 0.114592 0.116552 0.118545 40.75 42.16 GS Finance Corp. 40055QC42 06/29/18 07/01/26 100.000 0.000 4.1733 204.54 0.139637 0.139637 0.145526 0.145526 0.151662 50.79 52.94 GS Finance Corp. 40055QSU7 08/09/18 08/13/25 100.000 0.000 3.9699 188.61 0.129111 0.131673 0.134287 0.136953 0.139671 47.66 49.57 GS Finance Corp. 40055ADC8 01/31/18 02/11/25 100.000 0.000 3.4199 181.58 0.110772 0.112666 0.114592 0.116552 0.118545 40.75 42.16 GS Finance Corp. 40055A3B1 11/30/17 05/31/23 100.000 0.000 2.7000 146.16 0.085762 12.78 GS Finance Corp. 40055ADD6 01/31/18 02/11/25 100.000 0.000 3.4199 181.58 0.110772 0.112666 0.114592 0.116552 0.118545 40.75 42.16 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055AUC9 04/30/18 05/09/28 100.000 0.000 4.3200 220.95 0.145605 0.148750 0.151963 0.155245 0.158599 53.31 55.64 GS Finance Corp. 40054LJJ4 07/31/17 07/31/24 100.000 0.000 2.9499 172.01 0.094864 0.096263 0.097683 0.099124 34.83 20.68 GS Finance Corp. 40057KVN0 02/04/22 02/04/27 100.000 0.000 2.5000 22.84 0.070312 0.071191 0.072081 0.072982 0.073894 25.73 26.38 GS Finance Corp. 40055QSN3 09/06/18 09/06/23 100.000 0.000 3.6500 169.15 0.117172 0.119310 29.09 GS Finance Corp. 40055AUA3 04/30/18 05/09/25 100.000 0.000 4.0400 205.40 0.134488 0.137204 0.139976 0.142803 0.145688 49.19 51.20 GS Finance Corp. 40055AUB1 04/30/18 05/09/25 100.000 0.000 4.0400 205.40 0.134488 0.137204 0.139976 0.142803 0.145688 49.19 51.20 GS Finance Corp. 40055AUP0 04/30/18 11/10/25 100.000 0.000 4.0867 207.99 0.136340 0.139126 0.141969 0.144870 0.147830 49.87 51.93 GS Finance Corp. 40054KGP5 08/31/16 08/31/26 100.000 0.000 2.8001 192.81 0.091396 0.091165 0.093457 0.093735 0.096623 33.57 34.65 GS Finance Corp. 40054KH41 08/30/16 08/29/24 100.000 0.000 2.5993 177.89 0.082916 0.084456 0.084623 0.086665 30.76 20.77 GS Finance Corp. 40056EJQ2 12/28/18 12/27/24 100.000 0.000 4.4909 194.85 0.148979 0.152324 0.155744 0.159242 54.26 56.07 GS Finance Corp. 40054KGR1 08/04/16 08/06/26 100.000 0.000 2.8502 198.87 0.093841 0.095178 0.096535 0.097910 0.099306 34.41 35.40 GS Finance Corp. 40054LJP0 07/31/17 07/31/24 100.000 0.000 2.9499 172.01 0.094864 0.096263 0.097683 0.099124 34.83 20.68 GS Finance Corp. 40054KGM2 08/31/16 05/30/25 100.000 0.000 2.6499 181.56 0.086774 0.087924 0.089089 0.090269 0.091465 31.52 32.36 GS Finance Corp. 40054KGL4 08/31/16 06/01/23 100.000 0.000 2.3999 163.21 0.077390 11.61 GS Finance Corp. 40056FN27 06/28/19 12/31/26 100.000 0.000 3.0233 111.02 0.093297 0.094708 0.096139 0.097593 0.099068 33.84 34.87 GS Finance Corp. 40055ADK0 01/31/18 02/11/25 100.000 0.000 3.4199 181.58 0.110772 0.112666 0.114592 0.116552 0.118545 40.75 42.16 GS Finance Corp. 40055ADG9 01/31/18 02/11/28 100.000 0.000 3.6599 195.37 0.119822 0.122015 0.124247 0.126521 0.128836 44.15 45.78 GS Finance Corp. 40057JST4 11/03/21 11/02/28 100.000 0.000 2.2046 25.80 0.062592 0.063282 0.063980 0.064685 0.065398 22.74 23.24 GS Finance Corp. 40057FGF5 02/11/21 02/11/24 100.000 0.000 0.6198 11.76 0.017378 0.017432 0.017486 6.28 0.70 GS Finance Corp. 40054KGN0 08/31/16 09/12/23 100.000 0.000 2.4502 166.87 0.078832 0.079798 19.96 GS Finance Corp. 36260W587 05/19/21 06/03/26 100.000 0.000 1.4218 23.17 0.040364 0.040651 0.040940 0.041231 0.041524 14.60 14.81 GS Finance Corp. 40055QBU5 06/29/18 07/01/24 100.000 0.000 3.9250 191.40 0.129894 0.129894 0.135043 0.135043 47.22 24.31 GS Finance Corp. 36261Y566 01/20/22 02/05/29 100.000 0.000 2.6418 25.19 0.074436 0.075419 0.076415 0.077425 0.078447 27.26 27.99 GS Finance Corp. 40055AE78 02/05/18 02/03/23 100.000 0.000 3.2054 168.84 0.102718 3.29 GS Finance Corp. 40056YE34 02/06/20 02/19/30 100.000 0.000 2.5700 76.97 0.076166 0.077145 0.078136 0.079140 0.080157 27.86 28.58 GS Finance Corp. 40055A3U9 11/22/17 05/31/23 100.000 0.000 2.7513 149.82 0.087666 13.06 GS Finance Corp. 40057KFD0 12/07/21 12/06/29 100.000 0.000 2.4094 25.89 0.068547 0.069373 0.070208 0.071054 0.071910 24.87 25.47 GS Finance Corp. 40055ADU8 02/05/18 02/03/23 100.000 0.000 3.2054 168.84 0.102718 3.29 GS Finance Corp. 40055A3P0 11/30/17 05/31/23 100.000 0.000 2.7499 149.03 0.087561 13.05 GS Finance Corp. 40057FXR0 04/06/21 01/06/23 100.000 0.000 0.5194 9.05 0.014522 0.07 GS Finance Corp. 40054KGT7 08/26/16 08/28/23 100.000 0.000 2.5001 170.84 0.080624 0.081631 19.29 GS Finance Corp. 40054KXY7 03/30/17 04/01/24 100.000 0.000 3.1002 193.64 0.102001 0.103582 0.105188 37.29 9.47 GS Finance Corp. 40055AUQ8 04/30/18 11/10/25 100.000 0.000 4.0867 207.99 0.136340 0.139126 0.141969 0.144870 0.147830 49.87 51.93 GS Finance Corp. 40054KXX9 03/30/17 04/01/25 100.000 0.000 3.3001 207.24 0.109763 0.111574 0.113415 0.115286 0.117189 40.17 41.51 GS Finance Corp. 40057J2H8 08/31/21 08/31/28 100.000 0.000 1.9000 25.60 0.053784 0.054289 0.054811 0.055329 0.055857 19.58 19.95 GS Finance Corp. 40056XRY4 01/03/20 10/03/24 100.000 0.000 2.4313 75.09 0.072179 0.073056 0.073944 0.074843 26.30 20.27 GS Finance Corp. 40056EKC1 12/27/18 12/27/28 100.000 0.000 4.7400 206.73 0.158803 0.162567 0.166419 0.170364 0.174401 57.88 60.65 GS Finance Corp. 40055QCM2 06/29/18 03/30/23 100.000 0.000 3.7238 180.95 0.121016 10.77 GS Finance Corp. 40057J2G0 08/31/21 08/31/28 100.000 0.000 1.9000 25.60 0.053784 0.054289 0.054811 0.055329 0.055857 19.58 19.95 GS Finance Corp. 40056XRZ1 01/03/20 01/05/24 100.000 0.000 2.3449 72.31 0.069054 0.069864 0.070683 25.29 0.28 GS Finance Corp. 40054KYF7 03/31/17 04/02/24 100.000 0.000 3.1000 193.63 0.102002 0.103583 0.105189 37.29 9.57 GS Finance Corp. 40057J2F2 08/31/21 08/31/28 100.000 0.000 1.9000 25.60 0.053784 0.054289 0.054811 0.055329 0.055857 19.58 19.95 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ GS Finance Corp. 40055QCJ9 06/29/18 07/11/28 100.000 0.000 4.3600 214.53 0.144126 0.147268 0.150479 0.153759 0.157111 53.53 55.89 GS Finance Corp. 40057J2E5 08/31/21 08/31/27 100.000 0.000 1.7001 22.88 0.048030 0.048434 0.048850 0.049263 0.049684 17.46 17.76 GS Finance Corp. 40056XAT3 09/30/19 09/30/27 100.000 0.000 2.8633 96.91 0.086617 0.087857 0.089115 0.090390 0.091685 31.63 32.54 GS Finance Corp. 40057J2D7 08/31/21 08/31/27 100.000 0.000 1.7001 22.88 0.048030 0.048434 0.048850 0.049263 0.049684 17.46 17.76 GS Finance Corp. 40056XAS5 09/30/19 03/28/25 100.000 0.000 2.5900 87.33 0.077709 0.078715 0.079734 0.080767 0.081813 28.34 29.08 GS Finance Corp. 40057FXZ2 04/09/21 04/09/31 100.000 VARIES 2.4796 42.20 0.066730 0.066456 0.066544 0.066719 0.066932 23.96 24.02 GS Finance Corp. 40057J2C9 08/31/21 08/31/26 100.000 0.000 1.5000 20.17 0.042293 0.042606 0.042929 0.043250 0.043576 15.36 15.59 GS Finance Corp. 40055QTG7 09/04/18 09/08/25 100.000 0.000 3.9400 183.88 0.127986 0.130507 0.133078 0.135700 0.138373 47.10 48.98 GS.FINANCE CORP 40057WUJ4 11/30/23 09/01/26 100.000 0.000 5.6713 0.157536 0.159795 0.164326 4.88 57.93 GSFINANCE CORP 40057WUK1 11/30/23 09/01/27 100.000 0.000 5.6662 0.157394 0.159649 0.164172 4.88 57.88 General Cable Corp. 369300AL2 12/18/09 11/15/29 100.000 VARIES 12.5014 3059.27 1.189327 1.255353 1.325506 1.398984 1.477056 446.31 497.38 Goldman Sachs Group, Inc 38148TLJ6 02/16/16 02/16/26 100.000 VARIES 3.7570 44.96 0.018865 0.018900 0.018859 0.018817 0.018712 6.80 6.76 Goldman Sachs Group, Inc 38147QYN0 10/17/13 10/17/23 100.000 VARIES 3.9815 370.44 0.111182 0.110893 31.75 Goldman Sachs Group, Inc 38147QHS8 08/02/13 08/02/28 100.000 VARIES 4.8903 426.51 0.126751 0.127459 0.128185 0.128928 0.129689 45.97 46.50 Goldman Sachs Group, Inc 38147QYV2 05/08/15 05/08/23 100.000 0.000 2.9999 255.75 0.104184 13.23 Goldman Sachs Group, Inc 38148TJP5 12/31/15 01/02/26 100.000 0.000 3.4990 274.96 0.123932 0.128307 45.00 46.59 Goldman Sachs Group, Inc 38148TJN0 12/31/15 07/03/24 100.000 0.000 3.2988 257.51 0.113381 0.115252 0.117153 0.119085 41.83 21.67 Goldman Sachs Group, Inc 38147QXY7 04/30/15 05/02/23 100.000 0.000 2.5999 219.12 0.087670 10.61 Goldman Sachs Group, Inc 38148TJY6 12/28/15 12/26/23 100.000 0.000 3.2000 249.19 0.110989 0.112765 39.72 Goldman Sachs Group, Inc 38147QXX9 03/31/15 03/31/25 100.000 VARIES 3.3914 262.95 0.094474 0.094454 0.094405 0.094356 0.094282 34.00 33.97 Goldman Sachs Group, Inc 38148TJU4 12/29/15 12/29/23 100.000 0.000 3.0000 231.96 0.102648 0.104188 37.03 Goldman Sachs Group, Inc 38141GMR2 02/11/13 02/11/28 100.000 VARIES 4.2924 389.04 0.110171 0.110925 0.111696 0.112483 0.113286 40.01 40.57 Goldman Sachs Group, Inc 38147QXD3 04/24/15 04/24/23 100.000 0.000 3.0000 257.22 0.104188 11.77 Goldman Sachs Group, Inc 38147QGA8 07/22/13 07/22/28 100.000 VARIES 4.9007 428.98 0.126968 0.127674 0.128397 0.129138 0.129897 46.06 46.59 Goldman Sachs Group, Inc 38147Q5M4 05/21/14 05/21/29 100.000 VARIES 4.4103 351.65 0.113940 0.114467 0.115006 0.115557 0.116186 41.16 41.55 Goldman Sachs Group, Inc 38147Q5E2 12/13/13 12/13/28 100.000 VARIES 4.9491 397.41 0.121594 0.122605 0.123640 0.124851 0.126092 43.99 44.77 Goldman Sachs Group, Inc 38141GMD3 01/23/13 01/23/28 100.000 VARIES 4.3421 395.13 0.111060 0.111859 0.112675 0.113510 0.114357 40.38 40.98 Goldman Sachs Group, Inc 38148TJ26 11/30/15 11/29/23 100.000 0.000 3.1489 247.84 0.108843 0.110557 36.01 Goldman Sachs Group, Inc 38148THX0 11/18/15 11/18/25 100.000 VARIES 3.7095 20.00 0.008078 0.007962 0.007843 0.007684 0.007522 2.88 2.78 Goldman Sachs Group, Inc 40055AHP5 03/05/18 03/03/23 100.000 0.000 3.4453 179.11 0.111585 6.92 Goldman Sachs Group, Inc 38150AAC9 06/13/18 06/13/28 100.000 VARIES 3.7824 28.77 0.017234 0.017560 0.017892 0.018231 0.018576 6.27 6.51 Goldman Sachs Group, Inc 38150AAG0 06/19/18 06/19/30 100.000 VARIES 3.7644 14.85 0.008702 0.008865 0.009032 0.009202 0.009375 3.17 3.29 Goldman Sachs Group, Inc 38148TGZ6 11/27/15 11/29/23 100.000 0.000 3.1499 248.26 0.108915 0.110631 36.03 Goldman Sachs Group, Inc 38147QV86 02/27/15 02/28/25 100.000 0.000 2.9501 258.22 0.101521 0.101339 0.103964 0.104350 0.107645 37.32 38.57 Goldman Sachs Group, Inc 38148TGX1 11/10/15 11/10/26 100.000 VARIES 3.8760 27.77 0.011277 0.011242 0.011206 0.011131 0.011055 4.05 4.01 Goldman Sachs Group, Inc 38147QV94 03/27/15 03/27/23 100.000 0.000 3.1002 269.71 0.108464 9.33 Goldman Sachs Group, Inc 38147QV78 03/30/15 03/30/23 100.000 0.000 2.8001 240.61 0.095818 8.53 Goldman Sachs Group, Inc 38148T6S3 07/31/15 02/02/23 100.000 0.000 3.2489 270.14 0.113105 3.51 Goldman Sachs Group, Inc 38148T7C7 07/31/15 02/02/23 100.000 0.000 3.2489 270.14 0.113105 3.51 Goldman Sachs Group, Inc 38148T7B9 07/30/15 08/01/23 100.000 0.000 3.3498 279.54 0.117422 0.119389 25.01 Goldman Sachs Group, Inc 38148TH44 11/30/15 11/28/23 100.000 0.000 3.1488 247.83 0.108830 0.110543 35.90 Goldman Sachs Group, Inc 38148TGT0 11/30/15 11/28/25 100.000 0.000 3.4490 274.23 0.121694 0.123792 0.125927 0.128099 0.130308 44.33 45.87 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38148T6Q7 07/31/15 01/31/23 100.000 0.000 3.2500 270.25 0.113134 3.28 Goldman Sachs Group, Inc 38150ABH7 09/26/18 09/26/28 100.000 VARIES 3.7555 12.61 0.007898 0.008047 0.008198 0.008352 0.008508 2.90 3.01 Goldman Sachs Group, Inc 40055AJF5 03/05/18 03/03/23 100.000 0.000 3.4453 179.11 0.111585 6.92 Goldman Sachs Group, Inc 38148TGM5 10/22/15 10/22/27 100.000 VARIES 3.9047 34.27 0.013921 0.013940 0.013960 0.013979 0.014000 5.02 5.03 Goldman Sachs Group, Inc 38148TGL7 10/30/15 10/30/25 100.000 VARIES 3.6654 21.82 0.008740 0.008653 0.008565 0.008438 0.008309 3.12 3.04 Goldman Sachs Group, Inc 38148TFV6 10/29/15 10/31/23 100.000 0.000 3.1500 251.42 0.108919 0.110635 32.88 Goldman Sachs Group, Inc 38147QTX4 03/21/14 03/21/29 100.000 VARIES 4.6241 365.99 0.116727 0.117499 0.118289 0.119097 0.119934 42.32 42.89 Goldman Sachs Group, Inc 38148T5U9 07/07/15 07/08/25 100.000 0.000 3.6499 310.86 0.130614 0.132997 0.135425 0.137896 0.140413 48.28 50.06 Goldman Sachs Group, Inc 38148T5T2 07/07/15 07/07/23 100.000 0.000 3.3501 282.26 0.117425 0.119391 22.20 Goldman Sachs Group, Inc 38150AC52 01/30/19 01/30/26 100.000 VARIES 3.5868 21.76 0.015130 0.015401 0.015677 0.015958 0.016244 5.58 5.78 Goldman Sachs Group, Inc 38150ABW4 11/28/18 11/28/28 100.000 VARIES 3.7010 22.22 0.013843 0.014100 0.014360 0.014626 0.014897 5.05 5.24 Goldman Sachs Group, Inc 38150ABY0 12/11/18 12/11/28 100.000 VARIES 3.6601 13.18 0.008673 0.008832 0.008993 0.009158 0.009326 3.16 3.27 Goldman Sachs Group, Inc 38148TFP9 10/30/15 10/30/25 100.000 0.000 3.4498 277.95 0.121753 0.123853 0.125989 0.128163 0.130373 44.47 46.01 Goldman Sachs Group, Inc 38150A2F1 02/21/17 02/21/27Y 100.000 VARIES 3.8872 227.97 0.108449 0.108516 0.108486 0.108457 0.108427 39.06 39.04 Goldman Sachs Group, Inc 38148TFN4 10/30/15 11/01/23 100.000 0.000 3.1491 251.12 0.108869 0.110584 32.97 Goldman Sachs Group, Inc 38147QCN4 06/19/13 06/19/28 100.000 VARIES 4.6926 415.94 0.122221 0.122877 0.123548 0.124235 0.124957 44.13 44.62 Goldman Sachs Group, Inc 38148TFK0 10/30/15 10/30/23 100.000 0.000 3.1502 251.22 0.108907 0.110622 32.87 Goldman Sachs Group, Inc 38147QT89 02/27/15 02/28/23 100.000 0.000 2.9999 263.07 0.103614 6.01 Goldman Sachs Group, Inc 38147QT97 02/26/15 02/28/23 100.000 0.000 3.0001 263.20 0.103634 6.01 Goldman Sachs Group, Inc 38147QST4 03/19/14 03/19/29 100.000 VARIES 4.6202 373.38 0.118580 0.119226 0.119887 0.120563 0.121260 42.94 43.42 Goldman Sachs Group, Inc 38147QC20 10/25/13 10/25/28 100.000 VARIES 4.8590 407.62 0.123828 0.124607 0.125405 0.126271 0.127157 44.82 45.42 Goldman Sachs Group, Inc 38148TEP0 09/30/15 09/30/25 100.000 VARIES 3.7872 27.01 0.010573 0.010419 0.010261 0.010060 0.009854 3.75 3.62 Goldman Sachs Group, Inc 38150A2Z7 04/28/17 04/28/27 100.000 VARIES 3.6989 21.11 0.010586 0.010678 0.010734 0.010792 0.010821 3.84 3.88 Goldman Sachs Group, Inc 38148T4F3 06/26/15 06/26/23 100.000 0.000 3.2500 274.10 0.114970 20.12 Goldman Sachs Group, Inc 38150A3C7 05/19/17 05/19/27 100.000 VARIES 3.6688 20.20 0.010046 0.010169 0.010277 0.010387 0.010488 3.65 3.73 Goldman Sachs Group, Inc 38141GHQ0 11/19/12 11/19/27 100.000 VARIES 4.0948 386.45 0.107427 0.108033 0.108651 0.109268 0.109897 38.83 39.28 Goldman Sachs Group, Inc 38150A3S2 07/10/17 07/10/27 100.000 VARIES 3.6160 196.87 0.100454 0.100539 0.100606 0.100657 0.100693 36.20 36.24 Goldman Sachs Group, Inc 38150A3U7 08/02/17 08/02/27 100.000 VARIES 3.5643 191.72 0.098594 0.098713 0.098813 0.098896 0.098964 35.55 35.61 Goldman Sachs Group, Inc 38148T3N7 06/10/15 06/10/25 100.000 VARIES 3.9250 35.01 0.012785 0.012642 0.012439 0.012232 0.012020 4.57 4.43 Goldman Sachs Group, Inc 38150A3Z6 08/15/17 08/15/24 100.000 VARIES 3.1510 170.04 0.088040 0.087956 0.087840 0.087695 31.65 19.65 Goldman Sachs Group, Inc 38148T3V9 06/30/15 06/29/23 100.000 0.000 3.3498 283.06 0.119367 21.25 Goldman Sachs Group, Inc 38141GGV0 10/30/12 10/30/27 100.000 VARIES 4.6427 439.45 0.121507 0.122261 0.123033 0.123769 0.124523 43.97 44.52 Goldman Sachs Group, Inc 38148TDB2 09/29/15 09/28/23 100.000 0.000 3.3000 268.09 0.115260 0.117161 31.12 Goldman Sachs Group, Inc 38148TDA4 09/30/15 09/30/25 100.000 0.000 3.6001 295.41 0.128375 0.130686 0.133039 0.135433 0.137871 47.06 48.76 Goldman Sachs Group, Inc 38150A4K8 09/22/17 09/22/27 100.000 VARIES 3.5451 185.53 0.097809 0.097941 0.098055 0.098153 0.098234 35.26 35.34 Goldman Sachs Group, Inc 38148T3L1 05/29/15 05/30/25 100.000 0.000 3.5000 301.26 0.126130 0.128337 0.130583 0.132868 0.135193 45.94 47.56 Goldman Sachs Group, Inc 38150A4M4 10/06/17 10/06/27 100.000 VARIES 3.5757 186.28 0.099487 0.099560 0.099610 0.099637 0.099645 35.84 35.87 Goldman Sachs Group, Inc 38150A4P7 09/29/17 09/29/27 100.000 VARIES 3.6040 188.13 0.099586 0.099710 0.099813 0.099899 0.099969 35.89 35.96 Goldman Sachs Group, Inc 38150A4Q5 09/29/17 09/29/27 100.000 VARIES 3.6048 187.17 0.099337 0.099485 0.099613 0.099725 0.099821 35.81 35.90 Goldman Sachs Group, Inc 38147QA89 06/26/14 06/26/29 100.000 VARIES 4.3665 349.13 0.114200 0.114665 0.115140 0.115625 0.116159 41.20 41.54 Goldman Sachs Group, Inc 38148TD89 09/30/15 07/03/23 100.000 0.000 3.2490 263.37 0.112216 0.114039 20.75 Goldman Sachs Group, Inc 38148TD97 09/30/15 09/28/23 100.000 0.000 3.2992 267.91 0.115215 0.117115 31.10 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Goldman Sachs Group, Inc 38148TD63 09/25/15 09/25/23 100.000 0.000 3.2499 264.01 0.113128 0.114966 30.20 Goldman Sachs Group, Inc 38150A5G6 12/01/17 12/01/27 100.000 VARIES 3.5339 179.14 0.097985 0.098036 0.098078 0.098111 0.098135 35.29 35.32 Goldman Sachs Group, Inc 38150A5K7 12/12/17 12/12/27 100.000 VARIES 2.7977 17.00 0.009373 0.009504 0.009637 0.009772 0.009908 3.40 3.50 Goldman Sachs Group, Inc 38147QQJ8 09/05/13 09/05/28 100.000 VARIES 5.0554 423.27 0.125832 0.126854 0.127902 0.128976 0.130077 45.72 46.49 Goldman Sachs Group, Inc 38148TCH0 09/02/15 09/03/25 100.000 2.000 3.6202 281.09 0.113392 0.114439 0.115504 0.116590 0.117694 41.26 42.04 Goldman Sachs Group, Inc 38148T2E8 05/07/15 05/07/25 100.000 VARIES 3.7599 42.45 0.015291 0.015111 0.014895 0.014674 0.014421 5.45 5.30 Goldman Sachs Group, Inc 38150A5R2 01/31/18 01/31/28 100.000 VARIES 3.1064 15.84 0.008825 0.008962 0.009101 0.009243 0.009386 3.24 3.34 Goldman Sachs Group, Inc 38148T2C2 05/29/15 06/01/23 100.000 0.000 3.2499 277.20 0.114989 17.25 Goldman Sachs Group, Inc 38148TBN8 08/26/15 08/26/25 100.000 VARIES 3.9131 23.40 0.009002 0.008872 0.008740 0.008574 0.008405 3.18 3.07 Goldman Sachs Group, Inc 38147QPN0 08/30/13 08/30/23 100.000 VARIES 4.5507 430.05 0.125577 0.124617 30.09 Goldman Sachs Group, Inc 38141GWH3 05/31/17 05/31/27 100.000 VARIES 3.6188 22.92 0.011447 0.011592 0.011721 0.011852 0.011972 4.16 4.25 Goldman Sachs Group, Inc 38148TBA6 08/28/15 02/28/23 100.000 0.000 3.1965 262.44 0.110278 6.40 Goldman Sachs Group, Inc 38150A6K6 03/28/18 03/28/28 100.000 VARIES 3.3846 24.34 0.013501 0.013729 0.013962 0.014198 0.014438 4.94 5.11 Goldman Sachs Group, Inc 38148TAK5 07/29/15 07/29/27 100.000 VARIES 3.9238 27.55 0.010767 0.010761 0.010754 0.010718 0.010681 3.87 3.85 Goldman Sachs Group, Inc 38148TB81 08/28/15 08/30/23 100.000 0.000 3.3014 271.98 0.114081 0.115331 27.72 Goldman Sachs Group, Inc 38148TB73 08/31/15 03/02/23 100.000 0.000 3.1988 262.18 0.110978 6.77 Goldman Sachs Group, Inc 38148TB57 08/31/15 03/02/23 100.000 0.000 3.1988 262.18 0.110978 6.77 Goldman Sachs Group, Inc 38148TB65 08/31/15 08/29/25 100.000 0.000 3.5990 299.16 0.128315 0.130624 0.132975 0.135368 0.137804 47.18 48.89 Goldman Sachs Group, Inc 38148TAE9 07/31/15 07/31/25 100.000 0.000 3.7000 312.63 0.132848 0.135306 0.137809 0.140358 0.142955 49.02 50.85 Goldman Sachs Group, Inc 38141GTZ7 05/23/13 05/23/28 100.000 VARIES 4.4916 395.39 0.115298 0.116079 0.116877 0.117693 0.118540 41.71 42.29 Goldman Sachs Group, Inc 38141GUF9 06/06/13 06/06/28 100.000 VARIES 4.4921 396.11 0.116165 0.116887 0.117625 0.118380 0.119158 41.99 42.52 Goldman Sachs Group, Inc 38141GTW4 05/30/13 05/30/28 100.000 VARIES 4.3920 387.90 0.113255 0.113982 0.114724 0.115483 0.116269 40.95 41.49 Goldman Sachs Group, Inc 38141GSM7 04/30/13 04/30/28 100.000 VARIES 4.3925 393.86 0.113678 0.114340 0.115018 0.115709 0.116450 41.13 41.62 Goldman Sachs Group, Inc 38148TP94 11/18/16 11/18/26 100.000 VARIES 2.2302 17.31 0.008191 0.008282 0.008374 0.008468 0.008562 2.97 3.04 Goldman Sachs Group, Inc 38148TNV7 09/29/16 09/29/26 100.000 VARIES 2.3290 9.67 0.004481 0.004533 0.004586 0.004639 0.004693 1.63 1.67 Goldman Sachs Group, Inc 38141GQW7 03/27/13 03/27/28 100.000 VARIES 4.6888 420.55 0.120406 0.121136 0.121954 0.122791 0.123647 43.62 44.21 Goldman Sachs Group, Inc 38150AM36 04/29/22 04/29/32 100.000 VARIES 4.0171 4.21 0.016526 0.015333 0.014115 0.012873 0.013132 5.59 4.80 Goldman Sachs Group, Inc 38147QK21 11/13/13 11/13/28 100.000 VARIES 4.9004 407.88 0.124854 0.125677 0.126519 0.127399 0.128300 45.18 45.79 Goldman Sachs Group, Inc 38141GQL1 03/22/13 03/22/28 100.000 VARIES 4.6902 421.74 0.120440 0.121157 0.121968 0.122799 0.123649 43.64 44.22 Goldman Sachs Group, Inc 38141GPU2 03/06/13 03/06/28 100.000 VARIES 4.1925 373.60 0.106045 0.106878 0.107728 0.108596 0.109510 38.52 39.14 Goldman Sachs Group, Inc 38147QZQ2 06/01/15 05/30/23 100.000 0.000 3.1502 267.50 0.110613 16.48 Goldman Sachs Group, Inc 38147QZR0 04/30/15 04/30/30 100.000 VARIES 3.7833 28.37 0.010401 0.010343 0.010539 0.010507 0.010739 3.79 3.86 Goldman Sachs Group, Inc 38141GPC2 02/28/13 02/29/28 100.000 VARIES 4.2915 381.51 0.107076 0.106207 0.108279 0.108017 0.110820 39.07 39.89 HAMILTON OHIO CITY SCH 407774GJ1 09/10/20 12/01/25 93.492 0.000 1.2920 28.22 0.034528 0.034751 0.034976 0.035202 0.035429 12.48 12.65 HENDERSON TEX INDPT SCH 425308PA5 11/12/20 08/15/26 92.809 0.000 1.3001 26.06 0.034289 0.034512 0.034737 0.034962 0.035190 12.45 12.61 HENDERSON TEX INDPT SCH 425308NZ2 11/12/20 08/15/25 95.364 0.000 1.0000 20.54 0.026959 0.027094 0.027230 0.027366 0.027503 9.77 9.86 HENDERSON TEX INDPT SCH 425308NX7 11/12/20 08/15/23 97.956 0.000 0.7500 15.79 0.020679 0.020757 4.65 HENDERSON TEX INDPT SCH 425308NY5 11/12/20 08/15/24 96.681 0.000 0.9000 18.73 0.024556 0.024667 0.024778 0.024889 8.89 5.57 HSBC 40441XS92 03/16/23 03/16/26 100.000 0.000 4.4505 0.123625 0.126376 0.129188 0.132063 35.52 46.60 HSBC 40441XL24 02/28/23 05/28/24 100.000 0.000 5.8393 0.162203 0.164571 0.169376 49.81 24.90 HSBC 40441XM72 02/28/23 03/02/26 100.000 0.000 5.2803 0.146675 0.146761 0.150636 0.154613 0.158695 44.93 55.90 HSBC 40441XG46 03/03/23 04/03/24 100.000 0.000 5.9393 0.164981 0.165797 0.170721 49.82 15.71 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC 40441XG79 02/28/23 03/28/24 100.000 0.000 5.8714 0.163094 0.163892 0.168704 50.08 14.68 HSBC 40441XG61 03/03/23 04/03/24 100.000 0.000 5.9321 0.164781 0.165595 0.170507 49.76 15.69 HSBC 40441XG53 02/28/23 03/28/24 100.000 0.000 5.8714 0.163094 0.163892 0.168704 50.08 14.68 HSBC 40441XG95 02/28/23 05/28/24 100.000 0.000 5.8393 0.162203 0.164571 0.169376 49.81 24.90 HSBC 40441XH37 02/28/23 05/28/24 100.000 0.000 5.8393 0.162203 0.164571 0.169376 49.81 24.90 HSBC 40441XJ27 03/03/23 03/03/25 100.000 0.000 5.5825 0.155069 0.159398 0.163847 0.168420 46.72 59.25 HSBC 40441XJ35 03/03/23 03/03/26 100.000 0.000 5.2191 0.144975 0.148758 0.152640 0.156623 43.65 55.18 HSBC USA INC 40441XPU8 10/20/22 10/20/25 100.000 0.000 5.0853 10.03 0.141258 0.144850 0.148533 0.152310 0.156182 52.02 54.69 HSBC USA INC 40441X0Q7 08/23/22 08/25/25 100.000 0.000 3.9204 13.94 0.108924 0.111059 0.113236 0.115455 0.117719 40.14 41.73 HSBC USA INC 40441XND8 09/23/22 09/23/25 100.000 0.000 4.1568 11.32 0.115467 0.117867 0.120316 0.122817 0.125370 42.48 44.26 HSBC USA INC 40441XGN4 08/31/22 09/02/25 100.000 0.000 4.1176 13.84 0.114404 0.116759 0.119163 0.121616 0.124120 42.18 43.93 HSBC USA INC 40441XUW8 01/17/22 05/17/24 100.000 0.000 5.4491 52.87 0.158312 0.162625 0.167056 58.15 22.72 HSBC USA, INC 40441XP61 02/28/23 03/02/26 100.000 0.000 5.0458 0.140161 0.140240 0.143778 0.147405 0.151124 42.91 53.29 HSBC USA, INC 40447AHY3 09/06/23 12/06/24 100.000 0.000 5.0561 0.140447 0.142223 0.145818 16.20 48.29 HSBC USA, INC 40447AJB1 09/06/23 03/06/25 100.000 0.000 5.0561 0.140447 0.143998 0.147638 16.15 52.03 HSBC USA, INC 40447AJC9 09/06/23 03/06/25 100.000 0.000 5.0561 0.140447 0.143998 0.147638 16.15 52.03 HSBC USA, INC 40447AJA3 09/06/23 12/06/24 100.000 0.000 5.0561 0.140447 0.142223 0.145818 16.20 48.29 HSBC USA, INC 40441XQ94 02/28/23 10/28/24 100.000 0.000 5.7183 0.158842 0.160356 0.164940 0.169656 48.79 49.84 HSBC USA, INC 40441XQZ6 11/03/22 11/03/25 100.000 0.000 5.0247 8.10 0.139575 0.143082 0.146676 0.150361 0.154139 51.29 53.90 HSBC USA, INC 40447AJR6 08/18/23 08/20/25 100.000 0.000 5.0073 0.139092 0.139130 0.142614 0.146184 18.50 51.64 HSBC USA, INC 40447AJP0 08/21/23 11/21/24 100.000 0.000 5.0073 0.139092 0.140833 0.144359 18.15 45.70 HSBC USA, INC 40447AJQ8 08/21/23 11/21/24 100.000 0.000 5.0073 0.139092 0.140833 0.144359 18.15 45.70 HSBC USA, INC 40447ALD4 08/29/23 12/30/24 100.000 0.000 5.0561 0.140447 0.142834 0.146445 17.14 51.93 HSBC USA, INC 40441TX67 04/05/23 05/06/24 100.000 0.000 5.1578 0.143272 0.143909 0.147620 38.46 18.45 HSBC USA, INC 40441XSD3 11/03/22 05/03/24 100.000 0.000 5.2316 8.43 0.145322 0.149124 0.153024 53.45 18.67 HSBC USA, INC 40441XSC5 10/31/22 04/30/24 100.000 0.000 5.2803 8.95 0.146675 0.150547 0.154522 53.98 18.39 HSBC USA, INC 40441XSA9 11/08/22 12/08/23 100.000 0.000 5.5573 8.20 0.155084 0.159394 53.04 HSBC USA, INC 40441XS27 03/16/23 03/16/26 100.000 0.000 4.4505 0.123625 0.126376 0.129188 0.132063 35.52 46.60 HSBC USA, INC 40441XKU3 09/30/22 09/30/25 100.000 0.000 4.9585 12.53 0.137736 0.141151 0.144650 0.148237 0.151912 50.83 53.38 HSBC USA, INC 40441XKT6 10/05/22 10/06/25 100.000 0.000 4.9075 11.72 0.136319 0.139683 0.143110 0.146622 0.150220 50.26 52.76 HSBC USA, INC 40441XL32 03/03/23 06/03/24 100.000 0.000 5.9063 0.164064 0.166486 0.171403 49.53 26.05 HSBC USA, INC 40447AFL3 07/20/23 07/20/26 100.000 0.000 4.7400 0.131667 0.134787 0.137982 21.20 48.98 HSBC USA, INC 40447AHK3 08/31/23 12/02/24 100.000 0.000 5.0073 0.139092 0.140872 0.144398 16.88 47.26 HSBC USA, INC 40441X6K1 05/31/23 09/03/24 100.000 0.000 5.4200 0.150556 0.152664 0.156801 32.02 37.69 HSBC USA, INC 40441X6J4 05/31/23 09/03/24 100.000 0.000 5.4177 0.150492 0.152598 0.156732 32.00 37.67 HSBC USA, INC 40441XG87 03/03/23 04/03/24 100.000 0.000 5.9321 0.164781 0.165595 0.170507 49.76 15.69 HSBC USA, INC 40441X7A2 06/05/23 09/05/24 100.000 0.000 5.2971 0.147142 0.149090 0.153039 30.54 37.09 HSBC USA, INC 40441X7F1 06/05/23 09/05/24 100.000 0.000 5.3105 0.147514 0.149472 0.153441 30.62 37.19 HSBC USA, INC 40441X7D6 06/05/23 09/05/24 100.000 0.000 5.2971 0.147142 0.149090 0.153039 30.54 37.09 HSBC USA, INC 40441X7C8 06/05/23 09/05/24 100.000 0.000 5.2971 0.147142 0.149090 0.153039 30.54 37.09 HSBC USA, INC 40441X7B0 06/05/23 09/05/24 100.000 0.000 5.2971 0.147142 0.149090 0.153039 30.54 37.09 HSBC USA, INC 40441X7L8 06/05/23 12/05/24 100.000 0.000 5.1400 0.142778 0.146447 0.150211 29.51 49.59 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, INC 40441X6P0 05/31/23 09/03/24 100.000 0.000 5.4206 0.150572 0.152681 0.156819 32.02 37.69 HSBC USA, INC 40441XH29 03/03/23 06/03/24 100.000 0.000 5.9063 0.164064 0.166486 0.171403 49.53 26.05 HSBC USA, INC 40447AAE4 06/05/23 06/05/26 100.000 0.000 4.5280 0.125778 0.128625 0.131537 0.134515 25.98 46.98 HSBC USA, INC 40441X6M7 05/31/23 09/03/24 100.000 0.000 5.4156 0.150433 0.152538 0.156668 31.99 37.66 HSBC USA, INC 40441X6L9 05/31/23 09/03/24 100.000 0.000 5.4177 0.150492 0.152598 0.156732 32.00 37.67 HSBC USA, INC 40441B744 12/05/22 12/04/24 100.000 0.000 5.2019 3.76 0.144497 0.148235 0.152090 0.156046 52.90 51.36 HSBC USA, INC 40441XH45 03/03/23 06/03/24 100.000 0.000 5.9063 0.164064 0.166486 0.171403 49.53 26.05 HSBC USA, INC 40441X6Q8 05/31/23 12/02/24 100.000 0.000 5.2900 0.146944 0.146988 0.150875 0.154866 31.13 50.66 HSBC USA, INC 40441X6X3 06/05/23 07/05/24 100.000 0.000 5.4037 0.150103 0.150779 0.154853 31.04 28.48 HSBC USA, INC 40447AAJ3 05/18/23 06/18/26 100.000 0.000 4.2500 0.118056 0.118474 0.120991 0.123562 0.126188 26.44 44.09 HSBC USA, INC 40441X6Z8 06/05/23 07/05/24 100.000 0.000 5.4037 0.150103 0.150779 0.154853 31.04 28.48 HSBC USA, INC 40441X6Y1 06/05/23 07/05/24 100.000 0.000 5.4037 0.150103 0.150779 0.154853 31.04 28.48 HSBC USA, INC 40441XZF0 02/03/23 05/03/24 100.000 0.000 5.5928 0.155356 0.157528 0.161933 51.73 19.76 HSBC USA, INC 40441XZE3 01/31/23 04/30/24 100.000 0.000 5.4790 0.152194 0.154279 0.158506 51.14 18.86 HSBC USA, INC 40441XZD5 02/03/23 05/03/24 100.000 0.000 5.4972 0.152700 0.154799 0.159053 50.83 19.40 HSBC USA, INC 40441XZC7 01/31/23 04/30/24 100.000 0.000 5.4790 0.152194 0.154279 0.158506 51.14 18.86 HSBC USA, INC 40441XZG8 02/03/23 02/03/26 100.000 0.000 4.6056 0.127933 0.130879 0.133893 0.136977 42.40 48.56 HSBC USA, INC 40439J6A8 06/02/22 06/03/24 100.000 0.000 2.6129 15.20 0.073534 0.074495 0.075468 26.70 11.47 HSBC USA, INC 40441B827 11/30/22 11/24/28 100.000 0.000 4.4700 3.85 0.124167 0.126849 0.129684 0.132583 0.135546 45.39 47.42 HSBC USA, INC 40441XYY0 02/03/23 03/04/24 100.000 0.000 5.5782 0.154950 0.155694 0.160037 51.55 10.08 HSBC USA, INC 40447ABC7 05/31/23 06/01/26 100.000 0.000 4.6900 0.130278 0.133350 0.136477 0.139677 27.58 48.76 HSBC USA, INC 40441XYZ7 02/03/23 02/03/25 100.000 0.000 5.5873 0.155203 0.159539 0.163996 0.168577 51.55 59.57 HSBC USA, INC 40441XZB9 02/03/23 03/04/24 100.000 0.000 5.5800 0.155000 0.155745 0.160090 51.57 10.09 HSBC USA, INC 40441XC73 01/31/23 02/02/26 100.000 0.000 4.5972 0.127700 0.127733 0.130669 0.133672 0.136745 42.72 48.49 HSBC USA, INC 40441XT83 04/05/23 07/05/24 100.000 0.000 5.0752 0.140978 0.142767 0.146389 37.81 26.92 HSBC USA, INC 40447ALV4 10/04/23 01/06/25 100.000 0.000 5.1536 0.143156 0.145041 0.148778 12.45 52.86 HSBC USA, INC 40447ALW2 09/21/23 12/23/24 100.000 0.000 5.0561 0.140447 0.142262 0.145858 14.06 50.72 HSBC USA, INC 40447ALX0 09/21/23 12/23/24 100.000 0.000 5.0561 0.140447 0.142262 0.145858 14.06 50.72 HSBC USA, INC 40441XSJ0 11/08/22 11/10/25 100.000 0.000 5.3365 7.86 0.148280 0.152237 0.156299 0.160469 0.164751 54.50 57.45 HSBC USA, INC 40441XT26 04/05/23 05/06/24 100.000 0.000 5.1468 0.142967 0.143600 0.147296 38.38 18.41 HSBC USA, INC 40441XT42 04/05/23 05/06/24 100.000 0.000 5.0427 0.140075 0.140683 0.144230 37.60 18.03 HSBC USA, INC 40441X2W9 04/28/23 05/28/24 100.000 0.000 5.2718 0.146439 0.147082 0.150959 35.85 22.19 HSBC USA, INC 40441X2V1 05/03/23 06/03/24 100.000 0.000 5.1609 0.143358 0.143975 0.147690 34.35 22.45 HSBC USA, INC 40447ANL4 10/31/23 01/31/25 100.000 0.000 5.1536 0.143156 0.145000 0.148736 8.73 52.71 HSBC USA, INC 40441X3F5 04/28/23 07/29/24 100.000 0.000 5.1333 0.142592 0.144442 0.148149 34.93 30.71 HSBC USA, INC 40441X3E8 05/03/23 08/05/24 100.000 0.000 5.0657 0.140714 0.142536 0.146146 33.76 31.15 HSBC USA, INC 40441X3D0 04/28/23 07/29/24 100.000 0.000 5.1333 0.142592 0.144442 0.148149 34.93 30.71 HSBC USA, INC 40441X3C2 05/03/23 08/05/24 100.000 0.000 5.0657 0.140714 0.142536 0.146146 33.76 31.15 HSBC USA, INC 40441X3B4 05/03/23 06/03/24 100.000 0.000 5.1845 0.144014 0.144636 0.148385 34.51 22.55 HSBC USA, INC 40441XTK6 11/25/22 05/28/24 100.000 0.000 5.5164 5.52 0.153304 0.157532 0.161877 56.23 23.80 HSBC USA, INC 40441XTJ9 12/05/22 03/05/24 100.000 0.000 5.4457 3.93 0.151269 0.153329 0.157504 55.55 10.08 HSBC USA, INC 40441XTH3 11/25/22 02/26/24 100.000 0.000 5.5803 5.58 0.155008 0.157195 0.161581 57.02 8.89 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, INC 40441XTL4 12/05/22 06/05/24 100.000 0.000 5.3407 3.86 0.148353 0.152314 0.156382 54.33 24.08 HSBC USA, INC 40441X311 04/28/23 10/28/24 100.000 0.000 4.9670 0.137972 0.141399 0.144910 33.74 42.63 HSBC USA, INC 40441XU40 04/05/23 07/05/24 100.000 0.000 5.0752 0.140978 0.142767 0.146389 37.81 26.92 HSBC USA, INC 40441XU24 04/05/23 07/05/24 100.000 0.000 5.0752 0.140978 0.142767 0.146389 37.81 26.92 HSBC USA, INC 40441XU65 04/05/23 04/06/26 100.000 0.000 4.2421 0.117836 0.120349 0.122902 0.125509 31.56 44.22 HSBC USA, INC 40441X2Q2 04/20/23 04/20/26 100.000 0.000 4.8023 0.133397 0.136600 0.139880 0.143239 33.71 50.24 HSBC USA, INC 40441XU57 04/05/23 04/07/25 100.000 0.000 4.8023 0.133397 0.133433 0.136637 0.139918 0.143277 35.76 50.34 HSBC USA, INC 40441X3J7 05/03/23 11/04/24 100.000 0.000 4.9074 0.136317 0.139680 0.143107 32.64 42.94 HSBC USA, INC 40441X3G3 05/03/23 08/05/24 100.000 0.000 5.0657 0.140714 0.142536 0.146146 33.76 31.15 HSBC USA, INC 40441X3N8 05/03/23 11/04/24 100.000 0.000 4.9074 0.136317 0.139680 0.143107 32.64 42.94 HSBC USA, INC 40441X3M0 04/28/23 10/28/24 100.000 0.000 4.9670 0.137972 0.141399 0.144910 33.74 42.63 HSBC USA, INC 40441X3L2 05/03/23 11/04/24 100.000 0.000 4.9074 0.136317 0.139680 0.143107 32.64 42.94 HSBC USA, INC 40447ANY6 11/03/23 02/03/25 100.000 0.000 5.2316 0.145322 0.147223 0.151074 8.43 53.51 HSBC USA, INC 40441X3K4 04/28/23 10/28/24 100.000 0.000 4.9670 0.137972 0.141399 0.144910 33.74 42.63 HSBC USA, INC 40441XUY4 11/28/22 11/28/25 100.000 0.000 5.0853 4.66 0.141258 0.144850 0.148533 0.152310 0.156182 51.74 54.40 HSBC USA, INC 40441X3U2 05/03/23 05/04/26 100.000 0.000 4.2650 0.118472 0.121013 0.123593 0.126229 28.34 44.33 HSBC USA, INC 40441X5J5 04/28/23 04/28/26 100.000 0.000 4.8023 0.133397 0.136600 0.139880 0.143239 32.62 50.18 HSBC USA, INC 40447APT5 10/31/23 01/31/25 100.000 0.000 5.1536 0.143156 0.145000 0.148736 8.73 52.71 HSBC USA, INC 40447APU2 10/31/23 01/31/25 100.000 0.000 5.1538 0.143161 0.145006 0.148742 8.73 52.71 HSBC USA, INC 40441X4K3 05/03/23 06/03/24 100.000 0.000 5.1845 0.144014 0.144636 0.148385 34.51 22.55 HSBC USA, INC 40441X4J6 04/28/23 05/28/24 100.000 0.000 5.1341 0.142614 0.143224 0.146901 34.91 21.59 HSBC USA, Inc. 40435U3T9 02/04/20 02/05/24 100.000 0.000 1.7442 51.81 0.050604 0.051045 0.051490 18.43 1.75 HSBC USA, Inc. 40435U3S1 02/04/20 02/06/23 100.000 0.000 1.7448 51.83 0.050624 1.77 HSBC USA, Inc. 40435FZN0 05/02/18 05/02/23 100.000 0.000 3.6133 181.81 0.117918 14.27 HSBC USA, Inc. 40433UQV1 07/29/16 07/31/23 100.000 0.000 2.6252 182.44 0.085286 0.086405 18.03 HSBC USA, Inc. 40435FJ99 07/27/18 07/28/25 100.000 0.000 3.7400 178.32 0.120498 0.122751 0.125047 0.127385 0.129767 44.48 46.16 HSBC USA, Inc. 40435FJB4 10/31/17 04/28/23 100.000 0.000 2.7712 152.92 0.088321 10.33 HSBC USA, Inc. 40433UQZ2 07/29/16 07/31/23 100.000 0.000 2.6252 182.44 0.085287 0.086406 18.03 HSBC USA, Inc. 40435UEW0 02/22/19 02/22/24 100.000 0.000 3.3153 135.30 0.103324 0.105036 0.106777 37.95 5.45 HSBC USA, Inc. 40435FJL2 10/25/17 10/25/24 100.000 0.000 3.0894 172.26 0.100032 0.101578 0.103147 0.104740 36.50 30.61 HSBC USA, Inc. 40435UEV2 02/22/19 02/22/24 100.000 0.000 3.3153 135.30 0.103324 0.105036 0.106777 37.95 5.45 HSBC USA, Inc. 40435FK22 07/27/18 07/27/23 100.000 0.000 3.5941 170.87 0.115126 0.117195 24.09 HSBC USA, Inc. 40435FJQ1 10/30/17 10/30/24 100.000 0.500 3.1256 172.16 0.099073 0.100622 0.101760 0.103350 36.11 30.71 HSBC USA, Inc. 40433USB3 08/31/16 08/31/23 100.000 0.000 2.6052 178.35 0.084059 0.083765 20.29 HSBC USA, Inc. 40433USA5 08/31/16 08/31/23 100.000 0.000 2.6052 178.35 0.084059 0.083765 20.29 HSBC USA, Inc. 40433UTZ9 09/30/16 10/02/23 100.000 0.000 2.3972 160.69 0.076833 0.077754 20.99 HSBC USA, Inc. 40433BEJ3 06/27/14 06/27/29 100.000 VARIES 4.0230 334.89 0.109957 0.110079 0.110204 0.110331 0.110460 39.61 39.70 HSBC USA, Inc. 40432XKQ3 09/26/13 09/26/23 100.000 VARIES 3.9579 365.53 0.109864 0.109902 29.12 HSBC USA, Inc. 40435FW60 08/30/18 08/30/23 100.000 0.000 3.5443 164.59 0.113307 0.115293 27.44 HSBC USA, Inc. 40432XKX8 09/12/13 09/12/23 98.875 VARIES 1.6700 35.12 0.011202 0.011296 2.83 HSBC USA, Inc. 40434N283 06/03/16 05/26/23 100.000 0.000 2.4858 176.47 0.081040 11.75 HSBC USA, Inc. 40435FVW4 03/06/18 03/06/26 100.000 0.000 3.5803 186.56 0.116673 0.118762 0.120888 0.123052 0.125255 42.86 44.41 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40435UAL8 11/16/18 11/16/23 100.000 2.000 3.7066 157.83 0.110462 0.111480 34.98 HSBC USA, Inc. 40435UAK0 11/20/18 11/20/23 100.000 0.000 3.7182 163.68 0.119683 0.121909 38.58 HSBC USA, Inc. 40432XLT6 09/30/13 10/02/23 100.000 VARIES 1.5394 24.89 0.007916 0.007977 2.16 HSBC USA, Inc. 40435F5S2 10/23/18 10/23/23 100.000 0.000 3.8181 171.72 0.123381 0.125736 36.45 HSBC USA, Inc. 40435F5R4 10/23/18 10/23/23 100.000 0.000 3.8181 171.72 0.123381 0.125736 36.45 HSBC USA, Inc. 40435FG43 06/29/18 06/29/23 100.000 0.000 3.5351 171.03 0.114969 20.46 HSBC USA, Inc. 40435FG35 06/29/18 06/30/25 100.000 0.000 3.7007 179.65 0.121252 0.123495 0.125780 0.128108 0.130478 44.06 45.70 HSBC USA, Inc. 40435FH91 08/09/18 08/09/23 100.000 VARIES 3.6010 157.89 0.099923 0.099975 21.79 HSBC USA, Inc. 40435FXS1 04/30/18 05/01/23 100.000 0.000 3.7905 191.70 0.124687 14.96 HSBC USA, Inc. 40432XNT4 12/04/13 12/04/28 100.000 VARIES 3.4249 296.16 0.092064 0.092297 0.092533 0.092774 0.093019 33.20 33.37 HSBC USA, Inc. 40435FZ34 09/28/18 09/28/23 100.000 0.000 3.7109 169.55 0.119414 0.121629 32.28 HSBC USA, Inc. 40435FZ26 09/28/18 09/29/25 100.000 0.000 3.8667 177.19 0.125204 0.127625 0.130092 0.132607 0.135171 45.96 47.75 HSBC USA, Inc. 40436A347 02/28/19 02/24/23 100.000 0.000 3.2374 131.34 0.100589 5.33 HSBC USA, Inc. 40432X5T4 01/15/13 01/15/43 100.000 0.000 4.5776 569.66 0.195466 0.199940 0.204516 0.209197 0.213985 72.68 76.04 HSBC USA, Inc. 40435FQZ3 12/29/17 12/31/24 100.000 0.000 2.1006 110.27 0.064781 0.065462 0.066149 0.066844 23.45 23.87 HSBC USA, Inc. 40435FR90 08/31/18 09/02/25 100.000 0.000 3.6706 170.88 0.117952 0.120117 0.122322 0.124567 0.126853 43.37 44.98 HSBC USA, Inc. 40435FB48 05/24/18 05/27/25 100.000 0.000 2.6745 130.10 0.083746 0.084866 0.086001 0.087151 0.088316 30.43 31.25 HSBC USA, Inc. 40435FRS8 02/02/18 02/02/23 100.000 VARIES 3.1727 155.64 0.088093 2.73 HSBC USA, Inc. 40435FS24 08/31/18 08/31/23 100.000 0.000 3.5246 163.61 0.112589 0.114551 27.27 HSBC USA, Inc. 40432X7E5 01/29/13 01/29/43 100.000 0.000 4.6460 577.36 0.199652 0.204290 0.209036 0.213892 0.218861 74.14 77.62 HSBC USA, Inc. 40432XZ79 05/21/14 05/21/29 100.000 VARIES 3.9810 332.70 0.108191 0.108354 0.108520 0.108690 0.108863 38.99 39.11 HSBC USA, Inc. 40432XHZ7 07/26/13 07/26/23 100.000 VARIES 1.5824 27.49 0.008543 0.008611 1.76 HSBC USA, Inc. 40435FTA5 02/28/18 02/28/25 100.000 0.000 3.5313 184.73 0.114826 0.116853 0.118917 0.121016 0.123153 42.21 43.71 HSBC USA, Inc. 40435FCC9 07/28/17 07/29/24 100.000 0.000 3.0414 177.94 0.098254 0.099748 0.101265 0.102805 36.10 21.34 HSBC USA, Inc. 40434V780 07/13/16 06/30/23 100.000 0.000 2.5156 175.55 0.082138 14.70 HSBC USA, Inc. 40433X316 08/12/13 08/14/23 100.000 0.000 3.8455 429.83 0.150532 0.153427 34.09 HSBC USA, Inc. 40435FTN7 02/08/18 02/09/23 100.000 0.000 3.1077 163.04 0.099184 3.77 HSBC USA, Inc. 40435FTR8 02/13/18 02/13/23 100.000 VARIES 3.1734 154.70 0.088112 3.70 HSBC USA, Inc. 40433BUB2 12/03/14 12/04/23 100.000 0.000 2.9962 271.56 0.105592 0.107174 35.45 HSBC USA, Inc. 40435FV46 07/31/18 08/01/23 100.000 0.000 3.6433 173.03 0.116939 0.119069 24.94 HSBC USA, Inc. 40435G725 08/31/17 08/30/24 100.000 0.000 2.8720 164.38 0.092005 0.093311 0.094666 0.096018 33.68 22.87 HSBC USA, Inc. 40432XJY8 08/23/13 08/23/23 98.875 VARIES 1.6689 35.24 0.011172 0.011266 2.61 HSBC USA, Inc. 40433UUA2 09/30/16 10/02/23 100.000 0.000 2.3972 160.69 0.076833 0.077754 20.99 HSBC USA, Inc. 40435FN29 07/09/18 07/10/23 100.000 0.000 3.5252 169.39 0.112622 0.114608 21.64 HSBC USA, Inc. 40434V293 09/02/16 08/25/23 100.000 0.000 2.5349 172.91 0.081863 0.082901 19.34 HSBC USA, Inc. 40433UWA0 10/31/16 10/31/23 100.000 0.000 2.6044 173.11 0.084494 0.085594 25.46 HSBC USA, Inc. 40435B247 12/30/16 12/22/23 100.000 0.000 3.3412 220.09 0.113144 0.115034 40.05 HSBC USA, Inc. 40433UVZ6 10/31/16 10/31/23 100.000 0.000 2.6044 173.11 0.084495 0.085596 25.46 HSBC USA, Inc. 40434E127 03/03/16 02/24/23 100.000 0.000 2.1215 155.00 0.067558 3.58 HSBC USA, Inc. 40433UFF8 12/31/15 01/02/24 100.000 0.000 1.6730 123.75 0.052226 18.88 0.05 HSBC USA, Inc. 40435B304 10/06/16 09/29/23 100.000 0.000 2.5061 168.05 0.080793 0.081806 21.83 HSBC USA, Inc. 40441XDM9 07/05/22 07/05/24 100.000 0.000 3.6664 17.92 0.101844 0.103711 0.105613 0.107549 37.66 19.78 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ HSBC USA, Inc. 40435FPC5 12/18/17 06/18/25 100.000 0.000 2.0994 110.91 0.064737 0.065416 0.066103 0.066797 0.067498 23.45 23.94 HSBC USA, Inc. 40441XDT4 07/07/22 07/08/24 100.000 0.000 3.8136 18.43 0.105933 0.107964 0.110023 0.112121 39.21 20.95 HSBC USA, Inc. 40435FPK7 12/27/17 12/29/25 100.000 0.000 3.2733 176.69 0.106969 0.108720 0.110499 0.112308 0.114146 38.83 40.11 HSBC USA, Inc. 40435FPY7 01/31/18 01/31/25 100.000 0.000 3.4220 181.68 0.110738 0.112632 0.114560 0.116520 0.118513 40.78 42.19 HSBC USA, Inc. 40435G295 09/14/17 09/14/23 100.000 0.000 1.9320 107.23 0.059081 0.059652 15.05 HSBC USA, Inc. 40434E267 02/04/16 01/27/23 100.000 0.000 1.8122 132.74 0.056583 1.47 HSBC USA, NC 40441XZA1 01/31/23 02/29/24 100.000 0.000 5.5699 0.154719 0.155390 0.159741 51.95 9.26 HSBC USA,INC 40447AEE0 07/31/23 10/31/24 100.000 0.000 4.7437 0.131769 0.133332 0.136495 19.99 40.44 HSBC USA,INC 40447AES9 08/03/23 02/03/25 100.000 0.000 5.0073 0.139092 0.142574 0.146144 20.59 51.74 HSBC USA,INC 40447AEP5 08/03/23 11/04/24 100.000 0.000 5.0100 0.139167 0.140929 0.144459 20.70 43.34 HSBC USA,INC 40447AEQ3 08/03/23 11/04/24 100.000 0.000 5.0073 0.139092 0.140852 0.144379 20.69 43.31 HSBC USA,INC 40447AER1 08/03/23 02/03/25 100.000 0.000 5.0073 0.139092 0.142574 0.146144 20.59 51.74 HSBC USA,INC 40447AGY4 08/01/23 07/26/26 100.000 0.000 5.0730 0.140917 0.144392 0.148054 21.14 52.46 HUTTO TEX INDPT SCH DIST 4484922Y3 09/23/21 08/01/27 92.155 0.000 1.4000 16.51 0.036269 0.036523 0.036779 0.037036 0.037295 13.18 13.36 HUTTO TEX INDPT SCH DIST 4484922X5 09/23/21 08/01/26 94.447 0.000 1.1800 14.25 0.031271 0.031456 0.031641 0.031828 0.032016 11.35 11.48 HUTTO TEX INDPT SCH DIST 4484922W7 09/23/21 08/01/25 96.116 0.000 1.0300 12.65 0.027744 0.027887 0.028030 0.028175 0.028320 10.06 10.16 HUTTO TEX INDPT SCH DIST 4484922V9 09/23/21 08/01/24 97.885 0.000 0.7500 9.37 0.020523 0.020600 0.020677 0.020754 7.42 4.36 HUTTO TEX INDPT SCH DIST 4484922U1 09/23/21 08/01/23 99.096 0.000 0.4900 6.19 0.013544 0.013577 2.85 ILLINOIS FIN AUTH EDL FA 452029AH4 11/01/18 11/01/23 94.876 6.010 7.2500 41.41 0.032077 0.033240 9.83 ITERUM THERAPEUTICS BERM 46565JAA6 09/08/20 01/31/25 76.873 6.500 12.0451 239.44 0.321097 0.340435 0.360938 0.382676 0.405723 125.09 140.61 ITERUM THERAPEUTICS BERM 46565JAC2 01/21/20 01/31/25 76.873 6.500 11.1575 289.86 0.313422 0.330907 0.349367 0.368858 0.389435 121.41 135.33 Illinois Student Asst Co 452281JD1 10/27/10 04/25/23 95.305 VARIES N/A 46.91 0.000473 0.04 JACKSONVILLE TEX INDPT 469736PL0 12/09/21 02/15/24 98.015 0.000 0.9203 9.60 0.025214 0.025330 0.025447 9.13 1.12 JACKSONVILLE TEX INDPT 469736PK2 12/09/21 02/15/23 99.363 0.000 0.5407 5.71 0.014979 0.66 JARRELL TEX INDPT SCH DI 471146TT7 01/19/21 08/15/28 90.653 0.000 1.3001 23.21 0.033413 0.033630 0.033848 0.034068 0.034290 12.13 12.29 JARRELL TEX INDPT SCH DI 471146TS9 01/19/21 08/15/27 93.165 0.000 1.0801 19.78 0.028430 0.028583 0.028738 0.028893 0.029049 10.30 10.42 JARRELL TEX INDPT SCH DI 471146TQ3 01/19/21 08/15/25 96.591 0.000 0.7600 14.40 0.020637 0.020715 0.020794 0.020873 0.020952 7.46 7.52 JARRELL TEX INDPT SCH DI 471146TP5 01/19/21 08/15/24 97.673 0.000 0.6602 12.64 0.018098 0.018158 0.018218 0.018278 6.54 4.09 JOHNSON & UN CNTYS ILL 478169AA3 07/19/17 12/01/27 100.000 5.700 5.6760 311.67 0.157829 0.157815 0.157800 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481124FJ9 11/19/20 02/15/26 92.951 0.000 1.4001 27.87 0.037037 0.037296 0.037557 0.037820 0.038085 13.45 13.64 JOURDANTON TEX INDPT SCH 481124FG5 11/19/20 02/15/24 96.976 0.000 0.9502 19.66 0.026022 0.026146 0.026270 9.42 1.16 JOURDANTON TEX INDPT SCH 481124FF7 11/19/20 02/15/23 98.447 0.000 0.7002 14.68 0.019383 0.85 JOURDANTON TEX INDPT SCH 481124GA7 11/19/20 02/15/29 85.363 0.000 1.9300 35.44 0.047318 0.047775 0.048236 0.048701 0.049171 17.24 17.58 JP MORGAN CHASE FIN COM 48133DJ68 06/23/22 06/23/25 100.000 0.000 3.4100 17.82 0.096337 0.097980 0.099650 0.101349 0.103077 35.00 36.21 JP MORGAN CHASE FIN COM 48133GC92 07/06/22 07/03/25 100.000 0.000 4.8100 23.38 0.133611 0.136771 0.140060 0.143429 0.146878 49.82 52.24 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JP MORGAN CHASE FIN COM 48133GTK9 07/06/22 07/03/25 100.000 0.000 4.8100 23.38 0.133611 0.136771 0.140060 0.143429 0.146878 49.82 52.24 JP MORGAN CHASE FIN COM 48133GTD5 06/30/22 07/01/27 100.000 0.000 5.0100 25.19 0.142672 0.142672 0.149910 0.149910 0.157514 52.01 54.64 JP MORGAN CHASE FIN COM 48133GNZ2 07/06/22 07/06/26 100.000 0.000 4.9300 23.97 0.136944 0.140320 0.143779 0.147323 0.150955 51.10 53.65 JP MORGAN CHASE FIN COM 48133GNR0 06/30/22 07/02/25 100.000 0.000 4.8100 24.19 0.133647 0.136861 0.140153 0.143523 0.146975 49.86 52.28 JP MORGAN CHASE FIN COM 48133GNV1 07/06/22 07/03/25 100.000 0.000 4.8100 23.38 0.133611 0.136771 0.140060 0.143429 0.146878 49.82 52.24 JP MORGAN CHASE FIN COM 48133GNX7 06/30/22 07/02/25 100.000 0.000 4.8100 24.19 0.133647 0.136861 0.140153 0.143523 0.146975 49.86 52.28 JP MORGAN CHASE FIN COM 48133GPA5 07/06/22 07/06/27 100.000 0.000 5.0100 24.35 0.139167 0.142653 0.146226 0.149889 0.153644 51.96 54.60 JP MORGAN CHASE FIN COM 48133GPC1 06/30/22 07/01/27 100.000 0.000 5.0100 25.19 0.142672 0.142672 0.149910 0.149910 0.157514 52.01 54.64 JP MORGAN CHASE FIN COM 48133LHN5 07/11/22 07/11/24 100.000 0.000 4.6100 21.77 0.128056 0.131007 0.134027 0.137116 47.65 26.02 JP Morgan Chase & Co. 48125UUT7 08/31/15 08/31/25 100.000 VARIES 2.5712 21.83 0.008448 0.008418 0.008619 0.008635 0.008891 3.10 3.19 JP Morgan Chase & Co. 48125UUL4 08/31/15 08/31/35 100.000 VARIES 4.2124 301.72 0.119379 0.120613 0.121874 0.123121 0.124394 43.50 44.40 JP Morgan Chase & Co. 48125UTG7 06/30/15 06/30/30 100.000 VARIES 4.4810 307.55 0.111758 0.112205 0.112662 0.113129 0.113814 40.31 40.64 JP Morgan Chase & Co. 48128GYV6 12/20/18 12/20/28 100.000 VARIES 3.6202 20.47 0.013555 0.013801 0.014051 0.014305 0.014564 4.93 5.11 JP Morgan Chase & Co. 48128GYU8 12/19/18 11/10/36 47.489 0.000 4.2056 86.84 0.065233 0.066605 0.068006 0.069436 0.070896 23.87 24.89 JP Morgan Chase & Co. 48128GYQ7 11/27/18 11/27/68 12.184 0.000 4.2547 22.93 0.017041 0.017403 0.017774 0.018152 0.018538 6.22 6.49 JP Morgan Chase & Co. 48126NHJ9 07/31/13 07/31/23 100.000 VARIES 3.9757 393.33 0.124406 0.125643 26.22 JP Morgan Chase & Co. 48126DQL6 01/31/13 01/31/23 100.000 VARIES 3.1823 328.14 0.097667 2.83 JP Morgan Chase & Co. 48125UY71 09/18/15 09/18/30 100.000 VARIES 2.6025 31.79 0.011329 0.011476 0.011626 0.011777 0.011930 4.14 4.24 JP Morgan Chase & Co. 48126NMH7 08/30/13 08/31/23 100.000 VARIES 4.2968 419.93 0.133428 0.132594 32.14 JP Morgan Chase & Co. 46625HME7 07/31/15 07/31/35 100.000 VARIES 4.4624 328.36 0.128496 0.129449 0.130422 0.131306 0.132210 46.72 47.38 JP Morgan Chase & Co. 48126DVG1 02/28/13 02/28/23 100.000 VARIES 3.2856 336.24 0.099784 5.79 JP Morgan Chase & Co. 48126D3X5 05/31/13 05/31/23 100.000 VARIES 3.5785 360.58 0.111922 16.68 JP Morgan Chase & Co. 48126DV89 05/17/13 05/17/28 100.000 VARIES 3.8747 335.69 0.097662 0.098378 0.099222 0.100082 0.100958 35.36 35.95 JP Morgan Chase & Co. 48125XTB2 06/15/11 06/15/23 100.000 VARIES 5.0712 595.01 0.141186 23.15 JP Morgan Chase & Co. 48130WND9 01/31/19 02/02/26 100.000 0.000 3.7407 156.37 0.118324 0.120537 0.122792 0.125088 0.127428 43.66 45.31 JP Morgan Chase & Co. 48126DS59 04/30/13 04/30/28 100.000 VARIES 3.8928 342.94 0.097741 0.098367 0.099190 0.100030 0.100885 35.39 35.96 JP Morgan Chase & Co. 48126DJ91 04/30/13 04/28/23 100.000 VARIES 3.1390 317.40 0.096933 11.34 JP Morgan Chase & Co. 48126NWV5 10/31/13 10/31/23 100.000 VARIES 3.8580 368.74 0.119055 0.120092 35.78 JP Morgan Chase & Co. 48126N5L7 03/28/14 03/28/29 100.000 VARIES 4.4199 368.40 0.115929 0.116219 0.116515 0.116818 0.117271 41.84 42.07 JP Morgan Chase & Co. 48126DZQ5 03/28/13 03/31/23 100.000 VARIES 3.3453 343.49 0.104439 9.30 JP Morgan Chase & Co. 48130W5U1 03/29/19 03/31/26 100.000 0.000 3.2713 129.64 0.101808 0.103474 0.105166 0.106886 0.108635 37.26 38.49 JP Morgan Chase & Co. 48128GF88 05/24/17 05/24/27 100.000 VARIES 2.5870 19.71 0.009923 0.010051 0.010181 0.010313 0.010446 3.60 3.70 JP Morgan Chase & Co. 48127F731 04/30/14 04/30/24 100.000 0.000 3.8108 387.23 0.145905 0.148685 0.151518 53.37 18.03 JP Morgan Chase & Co. 48130U2N4 10/31/18 10/31/25 100.000 0.000 4.1115 184.99 0.134399 0.137162 0.139982 0.142859 0.145796 49.22 51.27 JP Morgan Chase & Co. 48130UU29 11/30/18 11/28/25 100.000 0.000 4.1207 181.40 0.134718 0.137493 0.140326 0.143217 0.146168 49.18 51.23 JP Morgan Chase & Co. 48126NCW5 06/28/13 06/30/23 100.000 VARIES 4.3049 430.16 0.136083 24.36 JP Morgan Chase & Co. 48126NTC1 11/20/13 11/20/28 100.000 VARIES 4.6982 399.14 0.124009 0.124823 0.125657 0.126236 0.126828 44.86 45.39 JP Morgan Chase & Co. 48126NSZ1 10/31/13 10/31/28 100.000 VARIES 4.4385 379.46 0.116760 0.117464 0.118182 0.118741 0.119312 42.25 42.72 JP Morgan Chase Financia 48133VZN3 04/26/23 04/24/25 100.000 0.000 6.0500 0.168056 0.173083 0.178319 0.183713 41.51 63.96 JPMORGAN CHASE FINANCE 48133NXZ6 10/12/22 04/11/24 100.000 0.000 4.7400 10.40 0.131667 0.134770 0.137964 48.46 13.80 JPMORGAN CHASE FINANCE 48133ME71 09/30/22 10/02/29 100.000 0.000 5.2900 13.38 0.146988 0.150875 0.154866 0.158962 0.163167 54.32 57.23 JPMORGAN CHASE FINANCE 48133MDX5 10/19/22 10/21/24 100.000 0.000 4.8500 9.70 0.134759 0.138026 0.141374 0.144802 49.56 41.62 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMORGAN CHASE FINANCE 48133MDL1 09/28/22 09/24/25 100.000 0.000 4.9800 12.87 0.138333 0.141701 0.145230 0.148846 0.152552 51.08 53.64 JPMORGAN CHASE FINANCE 48133M5M8 10/05/22 10/05/27 100.000 0.000 5.1900 12.40 0.144167 0.147908 0.151746 0.155684 0.159724 53.23 56.02 JPMORGAN CHASE FINANCE 48133M5B2 10/05/22 10/05/27 100.000 0.000 5.1900 12.40 0.144167 0.147908 0.151746 0.155684 0.159724 53.23 56.02 JPMORGAN CHASE FINANCE 48133M6A3 10/05/22 10/05/27 100.000 0.000 5.0100 11.97 0.139167 0.142653 0.146226 0.149889 0.153644 51.33 53.94 JPMORGAN CHASE FINANCE 48133MC73 09/28/22 09/28/26 100.000 0.000 4.9300 12.74 0.136944 0.140320 0.143779 0.147323 0.150955 50.54 53.07 JPMORGAN CHASE FINANCE 48133MC57 09/28/22 09/28/28 100.000 0.000 5.0800 13.12 0.141111 0.144695 0.148371 0.152139 0.156004 52.12 54.80 JPMORGAN CHASE FINANCE 48133NEZ7 10/05/22 10/03/25 100.000 0.000 4.9800 11.90 0.138333 0.141740 0.145269 0.148886 0.152593 51.02 53.59 JPMORGAN CHASE FINANCE 48133NRB6 10/26/22 10/26/28 100.000 0.000 5.2600 9.50 0.146111 0.149954 0.153898 0.157945 0.162099 53.80 56.66 JPMORGAN CHASE FINANCE 48133NA32 10/14/22 04/16/24 100.000 0.000 4.7400 10.14 0.131701 0.134823 0.138018 48.45 14.49 JPMORGAN CHASE FINANCE 48133NRE0 10/26/22 10/26/26 100.000 0.000 5.1000 9.21 0.141667 0.145279 0.148984 0.152783 0.156679 52.13 54.82 JPMORGAN CHASE FINANCE 48133NAU2 09/27/22 09/17/27 100.000 0.000 5.1900 13.55 0.144167 0.147700 0.151533 0.155465 0.159499 53.30 56.09 JPMORGAN CHASE FINANCE 48133M6X3 09/30/22 10/02/25 100.000 0.000 4.9800 12.59 0.138372 0.141817 0.145348 0.148967 0.152677 51.05 53.63 JPMORGAN CHASE FINANCE 48133MYT1 09/21/22 09/21/26 100.000 0.000 5.1000 14.17 0.141667 0.145279 0.148984 0.152783 0.156679 52.38 55.09 JPMORGAN CHASE FINANCE 48133MQ60 09/30/22 09/30/27 100.000 0.000 5.1900 13.12 0.144167 0.147908 0.151746 0.155684 0.159724 53.26 56.06 JPMORGAN CHASE FINANCIAL 48133LCE0 08/03/22 08/01/25 100.000 0.000 4.8100 19.77 0.133611 0.136789 0.140079 0.143447 0.146897 49.64 52.06 JPMORGAN CHASE FINANCIAL 48133LCA8 08/03/22 08/01/25 100.000 0.000 4.8100 19.77 0.133611 0.136789 0.140079 0.143447 0.146897 49.64 52.06 JPMORGAN CHASE FINANCIAL 48133MFW5 08/25/22 09/27/23 100.000 0.000 3.6100 12.67 0.100600 0.102415 27.09 JPMORGAN CHASE FINANCIAL 48133MPW4 08/24/22 08/22/24 100.000 0.000 4.6100 16.26 0.128056 0.130974 0.133993 0.137082 47.39 31.51 JPMORGAN CHASE FINANCIAL 48133MPV6 08/24/22 08/22/24 100.000 0.000 4.6100 16.26 0.128056 0.130974 0.133993 0.137082 47.39 31.51 JPMORGAN CHASE FINANCIAL 48133MGT1 08/18/22 08/20/24 100.000 0.000 4.6100 17.04 0.128088 0.131041 0.134061 0.137151 47.43 31.26 JPMORGAN CHASE FINANCIAL 48133MHH6 08/18/22 08/20/24 100.000 0.000 4.6100 17.04 0.128088 0.131041 0.134061 0.137151 47.43 31.26 JPMORGAN CHASE FINANCIAL 48133MHT0 08/18/22 08/19/27 100.000 0.000 5.0100 18.51 0.139167 0.142672 0.146246 0.149910 0.153665 51.67 54.29 JPMORGAN CHASE FINANCIAL 48133LF72 08/24/22 08/24/26 100.000 0.000 4.9300 17.39 0.136944 0.140320 0.143779 0.147323 0.150955 50.78 53.31 JPMORGAN CHASE FINANCIAL 48133LF64 08/24/22 08/24/28 100.000 0.000 5.0800 17.92 0.141111 0.144695 0.148371 0.152139 0.156004 52.37 55.06 JPMORGAN CHASE FINANCIAL 48133LCH3 08/03/22 08/03/26 100.000 0.000 4.9300 20.27 0.136944 0.140320 0.143779 0.147323 0.150955 50.92 53.46 JPMORGAN CHASE FINANCIAL 48133LCJ9 08/03/22 08/03/27 100.000 0.000 5.0100 20.60 0.139167 0.142653 0.146226 0.149889 0.153644 51.77 54.40 JPMORGAN CHASE FINANCIAL 48133L2U5 08/10/22 09/08/23 100.000 0.000 3.7400 14.68 0.104191 0.106139 26.09 JPMORGAN CHASE FINANCIAL 48133LUQ3 08/03/22 08/01/25 100.000 0.000 4.8100 19.77 0.133611 0.136789 0.140079 0.143447 0.146897 49.64 52.06 JPMORGAN CHASE FINANCIAL 48133E181 08/03/22 08/05/25 100.000 0.000 4.8100 19.78 0.133647 0.136861 0.140153 0.143523 0.146975 49.64 52.06 JPMORGAN CHASE FINANCIAL 48133LX23 08/10/22 08/08/24 100.000 0.000 4.6100 18.06 0.128056 0.130974 0.133993 0.137082 47.47 29.63 JPMORGAN CHASE FINANCIAL 48133LX49 08/10/22 08/08/25 100.000 0.000 4.8100 18.84 0.133611 0.136789 0.140079 0.143447 0.146897 49.60 52.01 JPMORGAN CHASE FINANCIAL 48133LFC1 08/03/22 08/01/25 100.000 0.000 4.8100 19.77 0.133611 0.136789 0.140079 0.143447 0.146897 49.64 52.06 JPMorgan Chase Finance 48133TZK4 01/25/23 07/25/24 100.000 0.000 5.7800 0.160556 0.165196 0.169970 54.67 34.56 JPMorgan Chase Finance 48133TZQ1 01/25/23 07/25/24 100.000 0.000 6.7700 0.188056 0.194421 0.201002 64.18 40.85 JPMorgan Chase Finance 48133TJK2 02/03/23 02/04/27 100.000 0.000 5.6600 0.157222 0.161696 0.166272 0.170978 52.23 60.40 JPMorgan Chase Finance 48133VPT1 05/03/23 11/02/26 100.000 0.000 5.7900 0.160833 0.165464 0.170254 0.175183 38.55 61.00 JPMorgan Chase Finance 48133TJJ5 02/03/23 02/04/27 100.000 0.000 5.6600 0.157222 0.161696 0.166272 0.170978 52.23 60.40 JPMorgan Chase Finance 48133TKD6 02/03/23 02/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 52.05 60.17 JPMorgan Chase Finance 48133TKC8 02/03/23 11/05/24 100.000 0.000 5.7200 0.158889 0.161211 0.165822 0.170565 52.92 51.26 JPMorgan Chase Finance 48133TJY2 02/03/23 02/04/27 100.000 0.000 5.6600 0.157222 0.161696 0.166272 0.170978 52.23 60.40 JPMorgan Chase Finance 48133TKE4 02/03/23 02/05/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 52.80 61.08 JPMorgan Chase Finance 48133TKH7 02/03/23 02/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 52.05 60.17 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Finance 48133TVC6 01/19/23 01/22/24 100.000 0.000 5.1700 0.143611 0.143673 0.147387 49.73 3.10 JPMorgan Chase Finance 48133TVE2 01/19/23 02/16/24 100.000 0.000 5.2700 0.146389 0.146967 0.150840 50.77 6.79 JPMorgan Chase Finance 48133T5S0 02/02/23 05/03/24 100.000 0.000 5.4700 0.151944 0.154045 0.158259 50.73 19.31 JPMorgan Chase Finance 48133TWM3 01/23/23 02/23/24 100.000 0.000 5.2700 0.146389 0.147032 0.150906 50.17 7.85 JPMorgan Chase Finance 48133VM49 05/03/23 05/09/24 100.000 0.000 5.2300 0.145278 0.145404 0.149207 34.80 19.10 JPMorgan Chase Finance 48133VM72 05/10/23 08/08/24 100.000 0.000 5.6700 0.157500 0.159683 0.164210 36.69 35.47 JPMorgan Chase Finance 48133T6E0 02/03/23 08/05/24 100.000 0.000 5.7800 0.160556 0.160607 0.165249 0.170024 53.36 36.22 JPMorgan Chase Finance 48133VN22 05/03/23 08/01/24 100.000 0.000 5.6600 0.157222 0.159397 0.163908 37.75 34.29 JPMorgan Chase Finance 48133PDU4 01/19/23 01/31/24 100.000 0.000 5.1700 0.143611 0.143838 0.147556 49.75 4.28 JPMorgan Chase Finance 48133U2G6 01/25/23 02/07/24 100.000 0.000 5.1700 0.143611 0.143859 0.147577 48.87 5.31 JPMorgan Chase Finance 48133TA21 02/03/23 02/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 52.05 60.17 JPMorgan Chase Finance 48133TA47 02/03/23 02/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 52.05 60.17 JPMorgan Chase Finance 48133TSC0 01/20/23 04/22/24 100.000 0.000 5.4800 0.152222 0.154354 0.158583 52.73 17.60 JPMorgan Chase Finance 48133TB46 02/03/23 02/05/24 100.000 0.000 5.1700 0.143611 0.143652 0.147366 47.66 5.01 JPMorgan Chase Finance 48133TB87 02/03/23 08/05/26 100.000 0.000 5.0400 0.140000 0.140039 0.143568 0.147186 0.150895 46.45 53.41 JPMorgan Chase Finance 48133TC45 02/02/23 02/04/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 52.96 61.09 JPMorgan Chase Finance 48133TC86 02/02/23 02/04/26 100.000 0.000 6.0100 0.166944 0.167000 0.172019 0.177188 0.182512 55.68 64.40 JPMorgan Chase Finance 48133TC78 02/02/23 02/04/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 52.96 61.09 JPMorgan Chase Finance 48133TD28 02/03/23 02/05/26 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 0.148967 45.89 52.73 JPMorgan Chase Finance 48133U5M0 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Finance 48133TLS2 02/03/23 02/05/25 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 0.144802 44.68 51.28 JPMorgan Chase Finance 48133TLU7 02/03/23 02/05/25 100.000 0.000 4.8500 0.134722 0.134759 0.138026 0.141374 0.144802 44.68 51.28 JPMorgan Chase Finance 48133TLL7 02/03/23 02/05/24 100.000 0.000 5.1700 0.143611 0.143652 0.147366 47.66 5.01 JPMorgan Chase Finance 48133TLK9 02/03/23 02/05/24 100.000 0.000 5.1700 0.143611 0.143652 0.147366 47.66 5.01 JPMorgan Chase Finance 48133TLM5 02/03/23 08/05/24 100.000 0.000 5.7800 0.160556 0.160607 0.165249 0.170024 53.36 36.22 JPMorgan Chase Finance 48133VSL5 05/03/23 10/31/24 100.000 0.000 6.1900 0.171944 0.177177 0.182661 41.24 53.96 JPMorgan Chase Finance 48133VSX9 05/03/23 05/01/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 38.76 61.34 JPMorgan Chase Finance 48133VSY7 05/03/23 05/01/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 38.76 61.34 JPMorgan Chase Finance 48133VT67 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Finance 48133TPG4 02/03/23 02/05/24 100.000 0.000 5.1700 0.143611 0.143652 0.147366 47.66 5.01 JPMorgan Chase Finance 48133VVM9 05/03/23 05/31/24 100.000 0.000 5.3800 0.149444 0.150047 0.154084 35.82 22.96 JPMorgan Chase Financial 48132HKM3 12/24/19 12/22/23 100.000 0.000 2.2002 68.31 0.065255 0.065973 23.03 JPMorgan Chase Financial 48133DZS2 04/05/22 04/03/25 100.000 0.000 2.1708 16.10 0.060948 0.061609 0.062278 0.062954 0.063637 22.18 22.66 JPMorgan Chase Financial 48133DZT0 04/05/22 04/05/27 100.000 0.000 2.6911 19.97 0.075758 0.076777 0.077810 0.078857 0.079918 27.63 28.38 JPMorgan Chase Financial 48133DZZ6 04/05/22 04/03/25 100.000 0.000 2.1708 16.10 0.060948 0.061609 0.062278 0.062954 0.063637 22.18 22.66 JPMorgan Chase Financial 48130UMA0 09/27/18 09/28/23 100.000 0.000 3.8719 177.57 0.125396 0.127824 33.92 JPMorgan Chase Financial 48132K3E3 06/03/20 05/31/23 100.000 0.000 2.7309 72.44 0.081161 12.09 JPMorgan Chase Financial 48132K3G8 06/03/20 05/31/23 100.000 0.000 2.7309 72.44 0.081161 12.09 JPMorgan Chase Financial 48129MF84 07/31/18 07/31/25 100.000 0.000 3.8909 185.69 0.126091 0.128544 0.131045 0.133594 0.136193 46.58 48.41 JPMorgan Chase Financial 48129MF27 07/31/18 07/31/25 100.000 0.000 3.8909 185.69 0.126091 0.128544 0.131045 0.133594 0.136193 46.58 48.41 JPMorgan Chase Financial 48130WT50 05/03/19 04/30/24 100.000 0.000 3.1311 120.50 0.096943 0.098460 0.100002 35.36 11.90 JPMorgan Chase Financial 48130WTC5 02/11/19 02/09/24 100.000 0.000 3.8413 159.51 0.121876 0.124217 0.126602 44.97 4.81 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132HLL4 01/15/20 01/15/25 100.000 0.000 2.3402 71.33 0.068900 0.069706 0.070522 0.071347 0.072182 25.22 25.81 JPMorgan Chase Financial 48128GJ27 08/31/17 08/31/27 100.000 VARIES 2.4049 13.87 0.007078 0.007162 0.007249 0.007335 0.007424 2.58 2.65 JPMorgan Chase Financial 48129ME93 07/31/18 07/31/25 100.000 0.000 3.8909 185.69 0.126091 0.128544 0.131045 0.133594 0.136193 46.58 48.41 JPMorgan Chase Financial 46647MRM7 04/25/18 04/25/23 100.000 0.000 3.6617 185.28 0.119756 13.65 JPMorgan Chase Financial 48132HMH2 02/05/20 01/31/23 100.000 0.000 2.1108 62.92 0.061776 1.79 JPMorgan Chase Financial 48132FFT8 09/30/19 09/30/25 100.000 0.000 2.7505 92.95 0.082927 0.084067 0.085223 0.086395 0.087583 30.27 31.11 JPMorgan Chase Financial 48132FFS0 09/30/19 09/30/26 100.000 0.000 2.8905 97.87 0.087512 0.088777 0.090060 0.091361 0.092682 31.96 32.89 JPMorgan Chase Financial 48132FFU5 09/30/19 09/30/24 100.000 0.000 2.5908 87.36 0.077746 0.078753 0.079773 0.080806 28.35 21.64 JPMorgan Chase Financial 48129M3J3 06/27/18 06/26/25 100.000 0.000 3.9304 191.95 0.130064 0.132620 0.135226 0.137883 0.140593 47.31 49.19 JPMorgan Chase Financial 48132F6L5 12/03/19 11/29/24 100.000 0.000 2.3202 73.59 0.069050 0.069851 0.070661 0.071481 25.05 23.32 JPMorgan Chase Financial 48132HMX7 01/31/20 01/31/23 100.000 0.000 2.1102 63.21 0.061775 1.79 JPMorgan Chase Financial 48132HML3 02/05/20 01/31/23 100.000 0.000 2.1108 62.92 0.061776 1.79 JPMorgan Chase Financial 48132HMK5 02/05/20 01/31/23 100.000 0.000 2.1108 62.92 0.061776 1.79 JPMorgan Chase Financial 48132F6F8 11/29/19 05/30/25 100.000 0.000 2.4004 76.50 0.071629 0.072489 0.073359 0.074239 0.075130 25.99 26.62 JPMorgan Chase Financial 48132HMN9 02/05/20 01/31/25 100.000 0.000 2.3404 69.96 0.068884 0.069690 0.070506 0.071331 0.072166 25.19 25.78 JPMorgan Chase Financial 48132F6E1 11/29/19 05/31/24 100.000 0.000 2.2505 71.58 0.066858 0.067610 0.068371 24.25 10.19 JPMorgan Chase Financial 48132HMM1 02/05/20 01/31/25 100.000 0.000 2.3404 69.96 0.068884 0.069690 0.070506 0.071331 0.072166 25.19 25.78 JPMorgan Chase Financial 48132F6G6 11/29/19 11/30/26 100.000 0.000 2.6400 84.40 0.079341 0.080389 0.081450 0.082525 0.083614 28.82 29.58 JPMorgan Chase Financial 48132CP98 09/05/19 08/30/24 100.000 0.000 2.1403 73.30 0.063354 0.064025 0.064718 0.065406 23.09 15.59 JPMorgan Chase Financial 48130WV57 05/03/19 04/30/24 100.000 0.000 3.1311 120.50 0.096943 0.098460 0.100002 35.36 11.90 JPMorgan Chase Financial 48130WV65 05/03/19 04/30/24 100.000 0.000 3.1311 120.50 0.096943 0.098460 0.100002 35.36 11.90 JPMorgan Chase Financial 48132HMY5 01/31/20 01/31/25 100.000 0.000 2.3404 70.30 0.068906 0.069712 0.070528 0.071353 0.072188 25.20 25.79 JPMorgan Chase Financial 48130WV73 04/18/19 04/20/26 100.000 0.000 3.2710 127.69 0.101808 0.103473 0.105166 0.106886 0.108634 37.19 38.42 JPMorgan Chase Financial 48132F6U5 11/29/19 11/30/26 100.000 0.000 2.6400 84.40 0.079341 0.080389 0.081450 0.082525 0.083614 28.82 29.58 JPMorgan Chase Financial 48132F6W1 12/03/19 11/29/24 100.000 0.000 2.3202 73.59 0.069050 0.069851 0.070661 0.071481 25.05 23.32 JPMorgan Chase Financial 48130W4K4 03/29/19 03/31/26 100.000 0.000 3.2713 129.64 0.101808 0.103474 0.105166 0.106886 0.108635 37.26 38.49 JPMorgan Chase Financial 48130W4L2 03/29/19 03/31/26 100.000 0.000 3.2713 129.64 0.101808 0.103474 0.105166 0.106886 0.108635 37.26 38.49 JPMorgan Chase Financial 48132F7K6 11/29/19 11/29/24 100.000 0.000 2.3202 73.87 0.069070 0.069871 0.070682 0.071502 25.06 23.33 JPMorgan Chase Financial 48133FBL8 05/04/22 05/02/25 100.000 0.000 3.4117 22.55 0.096368 0.098012 0.099684 0.101384 0.103114 35.18 36.39 JPMorgan Chase Financial 48132CPW7 06/28/19 06/30/26 100.000 0.000 2.8100 102.85 0.086076 0.087285 0.088511 0.089755 0.091016 31.21 32.09 JPMorgan Chase Financial 48129MBS4 03/29/18 04/01/25 100.000 0.000 2.5507 128.12 0.079423 0.080436 0.081462 0.082501 0.083553 28.96 29.70 JPMorgan Chase Financial 48132CPV9 06/28/19 06/28/24 100.000 0.000 2.5102 91.46 0.076089 0.077044 0.078011 27.57 13.81 JPMorgan Chase Financial 48129MSR8 06/04/18 06/02/23 100.000 0.000 3.7008 182.69 0.121218 18.30 JPMorgan Chase Financial 48132CPX5 06/28/19 03/31/23 100.000 0.000 2.2397 81.31 0.066893 5.95 JPMorgan Chase Financial 48132CPZ0 06/18/19 06/18/26 100.000 0.000 3.1201 115.71 0.096590 0.098097 0.099627 0.101181 0.102760 35.08 36.19 JPMorgan Chase Financial 48130W5D9 03/18/19 03/18/26 100.000 0.000 3.5710 143.45 0.112277 0.114282 0.116322 0.118399 0.120513 41.20 42.68 JPMorgan Chase Financial 48133FBM6 05/04/22 05/02/25 100.000 0.000 3.4117 22.55 0.096368 0.098012 0.099684 0.101384 0.103114 35.18 36.39 JPMorgan Chase Financial 48133FBP9 05/04/22 05/02/25 100.000 0.000 3.4117 22.55 0.096368 0.098012 0.099684 0.101384 0.103114 35.18 36.39 JPMorgan Chase Financial 48132FHZ2 09/30/19 09/30/24 100.000 0.000 2.1409 71.74 0.063392 0.064070 0.064756 0.065449 23.07 17.54 JPMorgan Chase Financial 48133FBR5 05/04/22 05/04/26 100.000 0.000 3.5721 23.62 0.100996 0.102800 0.104636 0.106504 0.108407 36.89 38.22 JPMorgan Chase Financial 48132CPU1 06/28/19 06/30/26 100.000 0.000 2.8100 102.85 0.086076 0.087285 0.088511 0.089755 0.091016 31.21 32.09 JPMorgan Chase Financial 48132CPT4 06/28/19 06/30/26 100.000 0.000 2.8100 102.85 0.086076 0.087285 0.088511 0.089755 0.091016 31.21 32.09 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130UHY4 10/03/18 09/29/23 100.000 0.000 3.8721 176.83 0.125337 0.127763 34.03 JPMorgan Chase Financial 48132CYY3 07/31/19 07/31/26 100.000 0.000 2.8103 100.14 0.084882 0.086074 0.087284 0.088510 0.089754 31.13 32.02 JPMorgan Chase Financial 48132CYW7 07/31/19 07/31/26 100.000 0.000 2.8103 100.14 0.084882 0.086074 0.087284 0.088510 0.089754 31.13 32.02 JPMorgan Chase Financial 48132KPF6 04/30/20 10/31/24 100.000 0.000 2.7908 76.81 0.083085 0.084244 0.085420 0.086612 30.26 25.75 JPMorgan Chase Financial 48130UZ65 12/05/18 11/30/23 100.000 0.000 3.8710 169.02 0.125284 0.127709 41.66 JPMorgan Chase Financial 48130UZ73 12/05/18 11/30/23 100.000 0.000 3.8710 169.02 0.125284 0.127709 41.66 JPMorgan Chase Financial 48130UZ81 12/05/18 11/30/23 100.000 0.000 3.8710 169.02 0.125284 0.127709 41.66 JPMorgan Chase Financial 48132CHR7 06/05/19 05/31/24 100.000 0.000 2.8505 106.41 0.087390 0.088636 0.089899 31.76 13.39 JPMorgan Chase Financial 48132KPJ8 04/30/20 04/30/27 100.000 0.000 3.0407 83.92 0.091084 0.092469 0.093874 0.095302 0.096751 33.21 34.23 JPMorgan Chase Financial 48130UZ99 12/05/18 11/30/23 100.000 0.000 3.8710 169.02 0.125284 0.127709 41.66 JPMorgan Chase Financial 48132CHT3 06/05/19 05/31/24 100.000 0.000 2.8505 106.41 0.087390 0.088636 0.089899 31.76 13.39 JPMorgan Chase Financial 48130UHX6 10/03/18 09/29/23 100.000 0.000 3.8721 176.83 0.125337 0.127763 34.03 JPMorgan Chase Financial 48129MZX7 06/28/18 06/30/25 100.000 0.000 3.9300 191.80 0.130090 0.132646 0.135253 0.137910 0.140620 47.30 49.17 JPMorgan Chase Financial 48132KPX7 05/05/20 01/31/23 100.000 0.000 1.7300 46.82 0.049944 1.45 JPMorgan Chase Financial 48132HXQ0 02/28/20 02/26/27 100.000 0.000 2.6405 77.41 0.078307 0.079340 0.080388 0.081449 0.082525 28.64 29.40 JPMorgan Chase Financial 48132FSC1 10/31/19 04/30/25 100.000 0.000 2.5307 82.99 0.075807 0.076766 0.077738 0.078722 0.079718 27.58 28.28 JPMorgan Chase Financial 48132FSB3 10/31/19 04/30/24 100.000 0.000 2.3812 77.93 0.071012 0.071857 0.072712 25.82 8.65 JPMorgan Chase Financial 48132CZR7 07/19/19 07/21/26 100.000 0.000 2.9402 105.96 0.089162 0.090473 0.091803 0.093153 0.094522 32.76 33.73 JPMorgan Chase Financial 48132CJ20 08/30/19 02/28/23 100.000 0.000 2.4808 85.75 0.074193 4.23 JPMorgan Chase Financial 48130UJ97 10/25/18 10/27/25 100.000 0.000 4.1113 185.66 0.134424 0.137187 0.140007 0.142885 0.145823 49.25 51.29 JPMorgan Chase Financial 48132FSA5 10/31/19 10/30/26 100.000 0.000 2.7505 90.46 0.082928 0.084069 0.085225 0.086397 0.087585 30.20 31.04 JPMorgan Chase Financial 48132KAB1 03/31/20 06/28/24 100.000 0.000 1.8698 52.58 0.054662 0.055173 0.055688 19.77 9.86 JPMorgan Chase Financial 48132KAE5 03/31/20 03/31/27 100.000 0.000 2.2306 62.98 0.065493 0.066224 0.066962 0.067709 0.068464 23.84 24.38 JPMorgan Chase Financial 48132KAD7 03/31/20 03/31/26 100.000 0.000 2.0908 58.94 0.061178 0.061818 0.062464 0.063117 0.063777 22.26 22.72 JPMorgan Chase Financial 48132KAF2 03/31/20 12/31/24 100.000 0.000 1.9300 54.31 0.056520 0.057065 0.057616 0.058172 20.45 20.78 JPMorgan Chase Financial 48132HHV7 12/31/19 12/31/26 100.000 0.000 2.6398 81.93 0.079331 0.080378 0.081439 0.082514 0.083603 28.75 29.51 JPMorgan Chase Financial 48130WQD6 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48130WQE4 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48132KAV7 03/31/20 03/31/26 100.000 0.000 2.0908 58.94 0.061178 0.061818 0.062464 0.063117 0.063777 22.26 22.72 JPMorgan Chase Financial 48130WPZ8 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48129M7C4 07/31/18 07/31/25 100.000 0.000 3.8909 185.69 0.126091 0.128544 0.131045 0.133594 0.136193 46.58 48.41 JPMorgan Chase Financial 48130WQA2 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48130WQB0 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48130WQC8 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48130WR78 04/30/19 04/30/26 100.000 0.000 3.2709 126.46 0.101785 0.103449 0.105141 0.106861 0.108609 37.15 38.37 JPMorgan Chase Financial 48130WR86 04/30/19 04/30/26 100.000 0.000 3.2709 126.46 0.101785 0.103449 0.105141 0.106861 0.108609 37.15 38.37 JPMorgan Chase Financial 48132F2T2 10/31/19 11/02/26 100.000 0.000 2.6406 86.72 0.079367 0.080415 0.081477 0.082553 0.083643 28.89 29.65 JPMorgan Chase Financial 48132FTZ9 11/05/19 10/31/24 100.000 0.000 2.4507 79.92 0.073213 0.074110 0.075018 0.075937 26.63 22.60 JPMorgan Chase Financial 48129MXY7 07/05/18 06/30/23 100.000 0.000 3.6903 178.39 0.120782 21.62 JPMorgan Chase Financial 48132CL43 09/05/19 08/30/24 100.000 0.000 2.1403 73.30 0.063354 0.064025 0.064718 0.065406 23.09 15.59 JPMorgan Chase Financial 48132CL35 09/05/19 08/30/24 100.000 0.000 2.1403 73.30 0.063354 0.064025 0.064718 0.065406 23.09 15.59 JPMorgan Chase Financial 48129MH25 08/03/18 07/31/23 100.000 0.000 3.6608 173.57 0.117535 0.119687 24.95 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48129MY34 09/06/18 08/31/23 100.000 0.000 3.7714 175.19 0.121574 0.123841 29.47 JPMorgan Chase Financial 46647MSA2 06/20/18 06/20/23 100.000 0.000 3.7406 182.83 0.122761 20.75 JPMorgan Chase Financial 48132KBU8 04/03/20 03/31/23 100.000 0.000 1.7507 49.01 0.050788 4.52 JPMorgan Chase Financial 48132KBW4 04/03/20 03/31/25 100.000 0.000 1.9606 55.02 0.057174 0.057734 0.058300 0.058871 0.059449 20.79 21.20 JPMorgan Chase Financial 48132KBX2 04/03/20 03/31/25 100.000 0.000 1.9606 55.02 0.057174 0.057734 0.058300 0.058871 0.059449 20.79 21.20 JPMorgan Chase Financial 48132KBV6 04/03/20 03/31/23 100.000 0.000 1.7507 49.01 0.050788 4.52 JPMorgan Chase Financial 48132FUA2 11/05/19 10/31/24 100.000 0.000 2.4507 79.92 0.073213 0.074110 0.075018 0.075937 26.63 22.60 JPMorgan Chase Financial 48132CL92 08/30/19 02/29/24 100.000 0.000 2.5405 87.89 0.076117 0.077079 0.078063 27.81 4.53 JPMorgan Chase Financial 48130WAB7 12/05/18 11/30/23 100.000 0.000 3.8710 169.02 0.125284 0.127709 41.66 JPMorgan Chase Financial 48130WAC5 12/05/18 11/30/23 100.000 0.000 3.8710 169.02 0.125284 0.127709 41.66 JPMorgan Chase Financial 48132K2C8 05/29/20 08/29/25 100.000 0.000 2.8498 76.06 0.084367 0.085563 0.086789 0.088025 0.089280 30.88 31.77 JPMorgan Chase Financial 48132FUW4 10/31/19 05/03/27 100.000 0.000 2.6405 86.72 0.079371 0.080419 0.081481 0.082556 0.083646 28.88 29.65 JPMorgan Chase Financial 48132CM26 08/30/19 02/28/25 100.000 0.000 2.6709 92.57 0.080325 0.081398 0.082485 0.083587 0.084703 29.38 30.17 JPMorgan Chase Financial 48132CM34 08/30/19 08/31/26 100.000 0.000 2.8904 100.50 0.087508 0.088759 0.090056 0.091350 0.092678 32.04 32.97 JPMorgan Chase Financial 48129MX92 09/06/18 08/31/23 100.000 0.000 3.7714 175.19 0.121574 0.123841 29.47 JPMorgan Chase Financial 48129MG42 08/03/18 07/31/23 100.000 0.000 3.6608 173.57 0.117535 0.119687 24.95 JPMorgan Chase Financial 48130WS28 04/30/19 04/30/24 100.000 0.000 3.1311 120.79 0.096967 0.098486 0.100027 35.37 11.90 JPMorgan Chase Financial 48132KCA1 03/31/20 03/31/23 100.000 0.000 1.7509 49.17 0.050803 4.52 JPMorgan Chase Financial 48130WS44 04/30/19 04/30/26 100.000 0.000 3.4011 131.77 0.106312 0.108119 0.109958 0.111828 0.113730 38.82 40.15 JPMorgan Chase Financial 48132K2A2 05/29/20 05/28/27 100.000 0.000 3.0405 81.28 0.091070 0.092454 0.093860 0.095287 0.096735 33.13 34.14 JPMorgan Chase Financial 48132KCB9 03/31/20 03/31/25 100.000 0.000 1.9604 55.18 0.057178 0.057739 0.058305 0.058876 0.059453 20.79 21.20 JPMorgan Chase Financial 48130WJW2 12/19/18 12/19/23 100.000 0.000 3.8702 167.21 0.125320 0.127745 44.05 JPMorgan Chase Financial 48132C3R2 08/05/19 07/31/24 100.000 0.000 2.5905 91.63 0.077709 0.078715 0.079735 0.080768 28.46 16.85 JPMorgan Chase Financial 48132C3S0 08/05/19 07/31/24 100.000 0.000 2.5905 91.63 0.077709 0.078715 0.079735 0.080768 28.46 16.85 JPMorgan Chase Financial 48132H2M3 02/28/20 05/30/25 100.000 0.000 2.3804 69.59 0.070580 0.071420 0.072270 0.073130 0.074000 25.61 26.23 JPMorgan Chase Financial 48130U4D4 11/05/18 10/31/23 100.000 0.000 3.8416 171.37 0.124190 0.126576 37.56 JPMorgan Chase Financial 48132H2N1 02/28/20 02/27/26 100.000 0.000 2.5004 73.18 0.073901 0.074825 0.075760 0.076707 0.077666 27.00 27.68 JPMorgan Chase Financial 48130U4E2 11/05/18 10/31/23 100.000 0.000 3.8416 171.37 0.124190 0.126576 37.56 JPMorgan Chase Financial 48132H2Q4 02/28/20 02/26/27 100.000 0.000 2.6405 77.41 0.078307 0.079340 0.080388 0.081449 0.082525 28.64 29.40 JPMorgan Chase Financial 48130U4F9 11/05/18 10/31/23 100.000 0.000 3.8416 171.37 0.124190 0.126576 37.56 JPMorgan Chase Financial 48133F7C3 06/03/22 06/05/25 100.000 0.000 3.4100 19.75 0.096355 0.097998 0.099669 0.101369 0.103097 35.07 36.28 JPMorgan Chase Financial 48130U4G7 11/05/18 10/31/23 100.000 0.000 3.8416 171.37 0.124190 0.126576 37.56 JPMorgan Chase Financial 48132MSE2 07/31/20 08/02/27 100.000 0.000 3.0406 75.76 0.089732 0.091096 0.092481 0.093887 0.095314 32.96 33.97 JPMorgan Chase Financial 48130U4H5 11/05/18 10/31/23 100.000 0.000 3.8416 171.37 0.124190 0.126576 37.56 JPMorgan Chase Financial 48132HCE0 12/26/19 12/31/26 100.000 0.000 2.6396 82.24 0.079345 0.080393 0.081454 0.082529 0.083618 28.75 29.52 JPMorgan Chase Financial 48133FYV1 06/03/22 06/04/26 100.000 0.000 3.5700 20.67 0.100947 0.102749 0.104583 0.106449 0.108350 36.76 38.09 JPMorgan Chase Financial 48132H3B6 03/04/20 02/28/25 100.000 0.000 1.9604 56.67 0.057158 0.057718 0.058284 0.058855 0.059432 20.82 21.23 JPMorgan Chase Financial 48132H3A8 03/04/20 02/28/25 100.000 0.000 1.9604 56.67 0.057158 0.057718 0.058284 0.058855 0.059432 20.82 21.23 JPMorgan Chase Financial 48133GKM4 06/07/22 06/07/23 100.000 0.000 2.7700 15.72 0.078010 12.17 JPMorgan Chase Financial 48133F7H2 05/31/22 05/30/25 100.000 0.000 3.4100 20.04 0.096337 0.097980 0.099650 0.101349 0.103077 35.08 36.29 JPMorgan Chase Financial 48130U4J1 11/05/18 10/31/23 100.000 0.000 3.8416 171.37 0.124190 0.126576 37.56 JPMorgan Chase Financial 48130U4K8 10/10/18 10/10/23 100.000 0.000 3.8717 175.93 0.125376 0.127803 35.42 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133GKN2 06/07/22 06/05/25 100.000 0.000 3.4100 19.36 0.096319 0.097962 0.099632 0.101331 0.103058 35.06 36.26 JPMorgan Chase Financial 48132MSH5 08/05/20 11/05/24 100.000 0.000 2.7803 68.72 0.082184 0.083326 0.084485 0.085659 29.92 25.89 JPMorgan Chase Financial 48132H2Y7 03/04/20 02/28/23 100.000 0.000 1.7504 50.48 0.050773 2.89 JPMorgan Chase Financial 48132H2X9 03/04/20 02/28/23 100.000 0.000 1.7536 50.57 0.050870 2.90 JPMorgan Chase Financial 48132MSJ1 07/31/20 08/02/27 100.000 0.000 3.0406 75.76 0.089732 0.091096 0.092481 0.093887 0.095314 32.96 33.97 JPMorgan Chase Financial 48132H2Z4 03/04/20 02/28/25 100.000 0.000 1.9626 56.74 0.057225 0.057787 0.058354 0.058926 0.059505 20.84 21.25 JPMorgan Chase Financial 48132CFC2 06/05/19 05/31/24 100.000 0.000 2.8505 106.41 0.087390 0.088636 0.089899 31.76 13.39 JPMorgan Chase Financial 48130WLN9 12/24/18 12/22/23 100.000 0.000 3.8705 166.60 0.125303 0.127728 44.42 JPMorgan Chase Financial 48132CFG3 05/31/19 05/29/26 100.000 0.000 3.4005 128.56 0.106281 0.108088 0.109925 0.111795 0.113695 38.70 40.03 JPMorgan Chase Financial 48132CFE8 05/31/19 05/31/24 100.000 0.000 3.1310 117.87 0.096961 0.098479 0.100021 35.27 14.90 JPMorgan Chase Financial 48132MSW2 08/05/20 08/03/23 100.000 0.000 2.7311 67.45 0.080082 0.081176 17.17 JPMorgan Chase Financial 48132HDH2 12/26/19 12/31/25 100.000 0.000 2.4900 77.44 0.074519 0.075446 0.076386 0.077337 0.078300 27.00 27.67 JPMorgan Chase Financial 48132HDG4 12/26/19 12/31/26 100.000 0.000 2.6396 82.24 0.079345 0.080393 0.081454 0.082529 0.083618 28.75 29.52 JPMorgan Chase Financial 48132H3H3 02/28/20 02/28/23 100.000 0.000 1.7503 50.78 0.050783 2.89 JPMorgan Chase Financial 48132HDJ8 12/26/19 09/30/24 100.000 0.000 2.2798 70.75 0.067421 0.068189 0.068967 0.069753 24.55 18.69 JPMorgan Chase Financial 48132H3J9 02/28/20 02/28/25 100.000 0.000 1.9606 57.02 0.057184 0.057744 0.058310 0.058882 0.059459 20.83 21.24 JPMorgan Chase Financial 48132MCQ2 06/30/20 06/30/27 100.000 0.000 3.0400 78.44 0.091061 0.092445 0.093850 0.095277 0.096725 33.03 34.05 JPMorgan Chase Financial 48133FZW8 05/25/22 05/24/29 100.000 0.000 3.8000 22.87 0.107550 0.109593 0.111676 0.113798 0.115960 39.24 40.74 JPMorgan Chase Financial 48129MM60 07/25/18 07/25/23 100.000 0.000 3.6610 174.52 0.117577 0.119730 24.37 JPMorgan Chase Financial 48132MCS8 06/30/20 06/30/25 100.000 0.000 2.8198 72.59 0.084007 0.085192 0.086393 0.087611 0.088846 30.46 31.32 JPMorgan Chase Financial 48132MCU3 06/30/20 06/30/25 100.000 0.000 2.8198 72.59 0.084007 0.085192 0.086393 0.087611 0.088846 30.46 31.32 JPMorgan Chase Financial 48132M2E0 09/03/20 12/05/24 100.000 0.000 2.7805 66.43 0.082201 0.083344 0.084503 0.085678 29.86 28.44 JPMorgan Chase Financial 48132M2H3 08/31/20 08/31/27 100.000 0.000 3.0406 73.07 0.089716 0.091065 0.092465 0.093863 0.095298 32.88 33.88 JPMorgan Chase Financial 48130UWQ4 06/29/21 06/29/28 100.000 0.000 1.0202 15.44 0.028774 0.028921 0.029069 0.029217 0.029366 10.39 10.49 JPMorgan Chase Financial 48132M2F7 09/03/20 03/05/25 100.000 0.000 2.7911 66.67 0.081963 0.083107 0.084267 0.085443 0.086635 29.98 30.82 JPMorgan Chase Financial 48130U5P6 10/11/18 10/12/23 100.000 0.000 3.8719 175.82 0.125396 0.127824 35.67 JPMorgan Chase Financial 48132MCL3 06/30/20 06/30/27 100.000 0.000 3.0400 78.44 0.091061 0.092445 0.093850 0.095277 0.096725 33.03 34.05 JPMorgan Chase Financial 48130WMQ1 12/31/18 12/29/23 100.000 0.000 3.8703 165.84 0.125312 0.127737 45.30 JPMorgan Chase Financial 48132FQ41 11/29/19 11/29/24 100.000 0.000 2.1904 69.62 0.064955 0.065666 0.066385 0.067112 23.56 21.91 JPMorgan Chase Financial 48133DD72 03/29/22 03/28/24 100.000 0.000 3.0930 23.49 0.087238 0.088587 0.089957 31.90 7.83 JPMorgan Chase Financial 48132H4J8 02/28/20 11/30/23 100.000 0.000 2.1703 63.29 0.063982 0.064676 21.17 JPMorgan Chase Financial 48132MCX7 07/06/20 06/30/23 100.000 0.000 2.7300 69.74 0.081116 14.52 JPMorgan Chase Financial 48132MCY5 07/06/20 06/30/23 100.000 0.000 2.7300 69.74 0.081116 14.52 JPMorgan Chase Financial 48132H4K5 02/28/20 05/30/25 100.000 0.000 2.3804 69.59 0.070580 0.071420 0.072270 0.073130 0.074000 25.61 26.23 JPMorgan Chase Financial 48133DUS7 04/05/22 04/06/26 100.000 0.000 2.4607 18.26 0.069200 0.070051 0.070913 0.071786 0.072669 25.21 25.84 JPMorgan Chase Financial 48129MKK1 04/30/18 04/30/25 100.000 0.000 3.9714 201.62 0.131672 0.134286 0.136953 0.139672 0.142446 48.19 50.13 JPMorgan Chase Financial 48132FPX8 10/31/19 10/30/26 100.000 0.000 2.7505 90.46 0.082928 0.084069 0.085225 0.086397 0.087585 30.20 31.04 JPMorgan Chase Financial 48132CGN7 05/16/19 05/18/26 100.000 0.000 3.4010 130.07 0.106328 0.108136 0.109975 0.111845 0.113747 38.76 40.09 JPMorgan Chase Financial 48132CGQ0 05/31/19 05/29/26 100.000 0.000 3.4005 128.56 0.106281 0.108088 0.109925 0.111795 0.113695 38.70 40.03 JPMorgan Chase Financial 48129MKH8 04/30/18 04/30/25 100.000 0.000 3.9714 201.62 0.131672 0.134286 0.136953 0.139672 0.142446 48.19 50.13 JPMorgan Chase Financial 48129MKJ4 04/30/18 04/30/25 100.000 0.000 3.9714 201.62 0.131672 0.134286 0.136953 0.139672 0.142446 48.19 50.13 JPMorgan Chase Financial 48132CGP2 05/31/19 05/29/26 100.000 0.000 3.4005 128.56 0.106281 0.108088 0.109925 0.111795 0.113695 38.70 40.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48132CYH0 07/31/19 01/31/23 100.000 0.000 2.2402 79.16 0.066528 1.93 JPMorgan Chase Financial 48132FR24 11/21/19 11/23/26 100.000 0.000 2.6402 85.04 0.079356 0.080403 0.081465 0.082540 0.083630 28.84 29.60 JPMorgan Chase Financial 48130WNF4 02/05/19 01/31/24 100.000 0.000 3.4409 142.56 0.107654 0.109506 0.111390 39.65 3.23 JPMorgan Chase Financial 48132FQG4 10/31/19 10/31/24 100.000 0.000 2.4504 80.27 0.073226 0.074123 0.075031 0.075950 26.63 22.60 JPMorgan Chase Financial 48130WNG2 01/31/19 01/30/26 100.000 0.000 3.7407 156.37 0.118299 0.120512 0.122766 0.125062 0.127401 43.66 45.31 JPMorgan Chase Financial 48130WNH0 01/31/19 01/30/26 100.000 0.000 3.7407 156.37 0.118299 0.120512 0.122766 0.125062 0.127401 43.66 45.31 JPMorgan Chase Financial 48132CYB3 07/31/19 07/31/24 100.000 0.000 2.5104 89.06 0.075151 0.076095 0.077050 0.078017 27.51 16.28 JPMorgan Chase Financial 48130UHC2 10/03/18 09/29/23 100.000 0.000 3.8721 176.83 0.125337 0.127763 34.03 JPMorgan Chase Financial 48132FQL3 11/05/19 10/31/24 100.000 0.000 2.3206 75.54 0.069058 0.069859 0.070670 0.071490 25.10 21.28 JPMorgan Chase Financial 48132CYC1 07/31/19 01/31/24 100.000 0.000 2.4204 85.76 0.072264 0.073139 0.074024 26.44 2.15 JPMorgan Chase Financial 48130UHE8 09/28/18 09/30/25 100.000 0.000 4.1116 189.30 0.134432 0.137196 0.140016 0.142895 0.145832 49.40 51.45 JPMorgan Chase Financial 48130UHF5 09/28/18 09/30/25 100.000 0.000 4.1116 189.30 0.134432 0.137196 0.140016 0.142895 0.145832 49.40 51.45 JPMorgan Chase Financial 48130UHG3 09/28/18 09/30/25 100.000 0.000 4.1116 189.30 0.134432 0.137196 0.140016 0.142895 0.145832 49.40 51.45 JPMorgan Chase Financial 48132CYE7 07/31/19 07/31/26 100.000 0.000 2.8103 100.14 0.084882 0.086074 0.087284 0.088510 0.089754 31.13 32.02 JPMorgan Chase Financial 48130W5N7 04/03/19 03/28/24 100.000 0.000 3.0015 118.05 0.092500 0.093888 0.095297 33.81 8.29 JPMorgan Chase Financial 48133F2H7 06/03/22 06/05/25 100.000 0.000 3.4100 19.75 0.096355 0.097998 0.099669 0.101369 0.103097 35.07 36.28 JPMorgan Chase Financial 48130W5P2 04/03/19 03/28/24 100.000 0.000 3.0015 118.05 0.092500 0.093888 0.095297 33.81 8.29 JPMorgan Chase Financial 48133F2K0 06/03/22 06/03/27 100.000 0.000 3.6700 21.26 0.103815 0.105720 0.107660 0.109636 0.111647 37.82 39.22 JPMorgan Chase Financial 48130W5S6 04/03/19 03/28/24 100.000 0.000 3.0015 118.05 0.092500 0.093888 0.095297 33.81 8.29 JPMorgan Chase Financial 48133F2L8 05/31/22 05/30/25 100.000 0.000 3.4100 20.04 0.096337 0.097980 0.099650 0.101349 0.103077 35.08 36.29 JPMorgan Chase Financial 48133F2C8 05/25/22 05/25/27 100.000 0.000 3.6700 22.09 0.103815 0.105720 0.107660 0.109636 0.111647 37.85 39.26 JPMorgan Chase Financial 46647MMB6 07/11/17 07/11/24 103.000 0.250 3.1279 189.56 0.103350 0.104858 0.106389 0.107945 37.99 20.49 JPMorgan Chase Financial 48132HPG1 01/31/20 01/29/27 100.000 0.000 2.6405 79.61 0.078313 0.079347 0.080395 0.081456 0.082532 28.70 29.46 JPMorgan Chase Financial 48130W6A4 04/03/19 03/28/24 100.000 0.000 3.0015 118.05 0.092500 0.093888 0.095297 33.81 8.29 JPMorgan Chase Financial 48132FJE7 10/03/19 09/30/24 100.000 0.000 2.4507 82.26 0.073221 0.074119 0.075027 0.075946 26.69 20.35 JPMorgan Chase Financial 48130WXF3 02/28/19 02/27/26 100.000 0.000 3.5711 145.70 0.112268 0.114273 0.116313 0.118390 0.120504 41.28 42.77 JPMorgan Chase Financial 48130W6C0 04/03/19 03/28/24 100.000 0.000 3.0015 118.05 0.092500 0.093888 0.095297 33.81 8.29 JPMorgan Chase Financial 48132FJD9 10/03/19 09/30/24 100.000 0.000 2.4507 82.26 0.073221 0.074119 0.075027 0.075946 26.69 20.35 JPMorgan Chase Financial 48133F2M6 05/31/22 05/28/27 100.000 0.000 3.6700 21.57 0.103794 0.105699 0.107639 0.109614 0.111625 37.84 39.24 JPMorgan Chase Financial 48132CR39 08/30/19 08/31/26 100.000 0.000 2.8904 100.50 0.087508 0.088759 0.090056 0.091350 0.092678 32.04 32.97 JPMorgan Chase Financial 48130W5W7 04/03/19 03/28/24 100.000 0.000 3.0015 118.05 0.092500 0.093888 0.095297 33.81 8.29 JPMorgan Chase Financial 48132CR47 08/30/19 08/31/26 100.000 0.000 2.8904 100.50 0.087508 0.088759 0.090056 0.091350 0.092678 32.04 32.97 JPMorgan Chase Financial 48132HPE6 01/31/20 10/31/24 100.000 0.000 1.6800 50.07 0.048865 0.049275 0.049689 0.050107 17.72 14.93 JPMorgan Chase Financial 48132HPD8 01/31/20 07/31/23 100.000 0.000 1.6802 50.07 0.048666 0.049075 10.24 JPMorgan Chase Financial 48130WXR7 03/05/19 02/29/24 100.000 0.000 3.2313 130.38 0.100362 0.101974 0.103631 36.82 6.01 JPMorgan Chase Financial 48130WXS5 03/05/19 02/29/24 100.000 0.000 3.2313 130.38 0.100362 0.101974 0.103631 36.82 6.01 JPMorgan Chase Financial 48130WXU0 03/05/19 02/29/24 100.000 0.000 3.3109 133.77 0.103116 0.104814 0.106559 37.85 6.18 JPMorgan Chase Financial 48130WXV8 03/05/19 02/29/24 100.000 0.000 3.3109 133.77 0.103116 0.104814 0.106559 37.85 6.18 JPMorgan Chase Financial 48130UAC9 09/06/18 08/31/23 100.000 0.000 3.7714 175.19 0.121574 0.123841 29.47 JPMorgan Chase Financial 48130UAD7 08/31/18 08/29/25 100.000 0.000 4.0210 188.48 0.130963 0.133581 0.136282 0.139022 0.141817 48.27 50.23 JPMorgan Chase Financial 48130UAE5 08/31/18 08/29/25 100.000 0.000 4.0210 188.48 0.130963 0.133581 0.136282 0.139022 0.141817 48.27 50.23 JPMorgan Chase Financial 46647MNK5 09/27/17 09/27/23 100.000 0.000 2.9208 164.84 0.093790 0.095160 25.19 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48130UAG0 08/31/18 08/29/25 100.000 0.000 4.0210 188.48 0.130963 0.133581 0.136282 0.139022 0.141817 48.27 50.23 JPMorgan Chase Financial 48130WXP1 03/05/19 02/29/24 100.000 0.000 3.2313 130.38 0.100362 0.101974 0.103631 36.82 6.01 JPMorgan Chase Financial 48129MQS8 05/31/18 05/30/25 100.000 0.000 3.9611 197.11 0.131271 0.133871 0.136522 0.139226 0.141984 47.89 49.80 JPMorgan Chase Financial 48130WXQ9 03/05/19 02/29/24 100.000 0.000 3.2313 130.38 0.100362 0.101974 0.103631 36.82 6.01 JPMorgan Chase Financial 48130WHB0 01/02/19 12/29/23 100.000 0.000 3.8699 165.58 0.125270 0.127694 45.28 JPMorgan Chase Financial 48133FDZ5 05/04/22 05/04/27 100.000 0.000 3.6712 24.28 0.103850 0.105756 0.107698 0.109675 0.111688 37.95 39.35 JPMorgan Chase Financial 48132T2K1 05/10/21 05/08/31 100.000 0.000 2.1502 35.75 0.061668 0.062331 0.063001 0.063679 0.064363 22.39 22.87 JPMorgan Chase Financial 48130WYG0 02/28/19 02/27/26 100.000 0.000 3.7408 153.06 0.118292 0.120505 0.122759 0.125055 0.127394 43.54 45.18 JPMorgan Chase Financial 48130WYH8 02/28/19 02/27/26 100.000 0.000 3.7408 153.06 0.118292 0.120505 0.122759 0.125055 0.127394 43.54 45.18 JPMorgan Chase Financial 48130WYK1 02/19/19 02/19/26 100.000 0.000 3.6910 151.94 0.116528 0.118679 0.120869 0.123100 0.125372 42.91 44.51 JPMorgan Chase Financial 48130WXZ9 03/05/19 02/29/24 100.000 0.000 3.3109 133.77 0.103116 0.104814 0.106559 37.85 6.18 JPMorgan Chase Financial 48132CRS4 07/03/19 06/28/24 100.000 0.000 2.3702 85.83 0.071477 0.072324 0.073181 25.89 12.95 JPMorgan Chase Financial 48130WGY1 01/02/19 12/29/23 100.000 0.000 3.8699 165.58 0.125270 0.127694 45.28 JPMorgan Chase Financial 48130WGZ8 01/02/19 12/29/23 100.000 0.000 3.8699 165.58 0.125270 0.127694 45.28 JPMorgan Chase Financial 48132CRT2 07/03/19 06/28/24 100.000 0.000 2.3702 85.83 0.071477 0.072324 0.073181 25.89 12.95 JPMorgan Chase Financial 48130WHA2 01/02/19 12/29/23 100.000 0.000 3.8699 165.58 0.125270 0.127694 45.28 JPMorgan Chase Financial 48133FEL5 04/29/22 05/01/25 100.000 0.000 3.4121 23.04 0.096416 0.098061 0.099734 0.101436 0.103166 35.21 36.42 JPMorgan Chase Financial 48133FEN1 04/29/22 05/01/25 100.000 0.000 3.4121 23.04 0.096416 0.098061 0.099734 0.101436 0.103166 35.21 36.42 JPMorgan Chase Financial 48133FEM3 04/29/22 05/01/25 100.000 0.000 3.4121 23.04 0.096416 0.098061 0.099734 0.101436 0.103166 35.21 36.42 JPMorgan Chase Financial 48132FKU9 09/30/19 09/30/26 100.000 0.000 2.4202 81.42 0.072260 0.073135 0.074020 0.074916 0.075822 26.33 26.97 JPMorgan Chase Financial 48133FEP6 04/29/22 04/29/27 100.000 0.000 3.6716 24.80 0.103860 0.105767 0.107708 0.109686 0.111699 37.97 39.38 JPMorgan Chase Financial 48132CT37 08/21/19 08/20/26 100.000 0.000 2.8906 101.29 0.087508 0.088772 0.090056 0.091357 0.092678 32.06 33.00 JPMorgan Chase Financial 48129MQ74 07/30/18 07/28/23 100.000 0.000 3.6712 174.45 0.117928 0.120093 24.80 JPMorgan Chase Financial 48130WHM6 01/02/19 12/29/23 100.000 0.000 3.8699 165.58 0.125270 0.127694 45.28 JPMorgan Chase Financial 48130WHN4 01/02/19 12/29/23 100.000 0.000 3.8699 165.58 0.125270 0.127694 45.28 JPMorgan Chase Financial 48130WZJ3 02/21/19 02/21/24 100.000 0.000 3.4413 140.85 0.107718 0.109572 0.111457 39.60 5.57 JPMorgan Chase Financial 48129MPK6 05/31/18 05/30/25 100.000 0.000 3.9611 197.11 0.131271 0.133871 0.136522 0.139226 0.141984 47.89 49.80 JPMorgan Chase Financial 48133FVU6 05/03/22 04/03/24 100.000 0.000 3.0925 20.54 0.087008 0.088354 0.089720 31.80 8.25 JPMorgan Chase Financial 48130UTP0 02/28/20 02/26/27 100.000 0.000 2.6405 77.41 0.078307 0.079340 0.080388 0.081449 0.082525 28.64 29.40 JPMorgan Chase Financial 48130WZZ7 02/25/19 02/25/26 100.000 0.000 3.6909 151.24 0.116524 0.118675 0.120865 0.123095 0.125367 42.88 44.48 JPMorgan Chase Financial 48130UD44 10/19/18 10/21/25 100.000 0.000 4.1114 186.47 0.134428 0.137192 0.140012 0.142890 0.145828 49.28 51.33 JPMorgan Chase Financial 48130U2R5 10/31/18 10/31/25 100.000 0.000 4.1115 184.99 0.134399 0.137162 0.139982 0.142859 0.145796 49.22 51.27 JPMorgan Chase Financial 48132HBB7 01/02/20 12/27/24 100.000 0.000 2.3399 72.22 0.069673 0.070488 0.071313 0.072147 25.24 25.54 JPMorgan Chase Financial 48132HBA9 01/02/20 12/27/24 100.000 0.000 2.3200 71.59 0.069041 0.069841 0.070652 0.071471 25.01 25.30 JPMorgan Chase Financial 48132HB92 01/31/20 10/31/24 100.000 0.000 2.3102 69.39 0.068359 0.069148 0.069947 0.070755 24.85 21.06 JPMorgan Chase Financial 48132HC34 01/31/20 01/29/27 100.000 0.000 2.6405 79.61 0.078313 0.079347 0.080395 0.081456 0.082532 28.70 29.46 JPMorgan Chase Financial 48132HC26 01/31/20 01/30/26 100.000 0.000 2.5004 75.25 0.073906 0.074830 0.075766 0.076713 0.077672 27.05 27.73 JPMorgan Chase Financial 48132HBF8 12/26/19 12/27/24 100.000 0.000 2.3400 72.63 0.069704 0.070519 0.071344 0.072179 25.25 25.55 JPMorgan Chase Financial 48132CCY7 05/01/19 05/01/24 100.000 0.000 3.1313 120.70 0.096973 0.098492 0.100034 35.37 12.00 JPMorgan Chase Financial 48133UHN5 02/28/23 05/29/24 100.000 0.000 5.4700 0.151944 0.154045 0.158259 46.62 23.42 JPMorgan Chase Financial 48133T7E9 02/28/23 02/26/26 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 48.02 59.94 JPMorgan Chase Financial 48133T7D1 02/28/23 02/26/26 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 48.02 59.94 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133T7C3 02/28/23 02/26/26 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 48.02 59.94 JPMorgan Chase Financial 48133UKH4 03/01/23 03/28/24 100.000 0.000 5.2700 0.146389 0.146967 0.150840 44.43 13.12 JPMorgan Chase Financial 48133UMQ2 04/05/23 04/03/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 44.47 63.18 JPMorgan Chase Financial 48133UMP4 04/04/23 04/02/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 43.58 61.62 JPMorgan Chase Financial 48133UMS8 04/05/23 04/06/26 100.000 0.000 5.8200 0.161667 0.166397 0.171239 0.176223 43.41 61.61 JPMorgan Chase Financial 48133UMF6 04/05/23 04/05/27 100.000 0.000 5.6600 0.157222 0.161672 0.166247 0.170952 42.20 59.82 JPMorgan Chase Financial 48133TK46 02/28/23 02/26/26 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 48.02 59.94 JPMorgan Chase Financial 48133VRH5 04/11/23 10/09/25 100.000 0.000 5.8500 0.162500 0.167200 0.172091 0.177125 42.64 61.89 JPMorgan Chase Financial 48133VKG4 04/04/23 04/02/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 43.58 61.62 JPMorgan Chase Financial 48133TW68 03/02/23 03/02/28 100.000 0.000 5.6900 0.158056 0.162552 0.167177 0.171933 47.79 60.47 JPMorgan Chase Financial 48133VLP3 04/06/23 04/11/24 100.000 0.000 5.2300 0.145278 0.145383 0.149185 38.83 14.92 JPMorgan Chase Financial 48133VMA5 04/05/23 04/05/27 100.000 0.000 5.7600 0.160000 0.164608 0.169349 0.174226 42.96 60.94 JPMorgan Chase Financial 48133VLU2 04/12/23 10/10/24 100.000 0.000 6.1000 0.169444 0.174555 0.179879 44.30 49.66 JPMorgan Chase Financial 48133UJ60 02/28/23 02/27/25 100.000 0.000 5.7200 0.158889 0.163408 0.168081 0.172888 48.70 60.84 JPMorgan Chase Financial 48133UTC6 03/31/23 01/03/25 100.000 0.000 6.0300 0.167500 0.170109 0.175238 0.180521 45.86 64.02 JPMorgan Chase Financial 48133UT69 04/04/23 04/03/25 100.000 0.000 5.9600 0.165556 0.170462 0.175541 0.180773 44.64 63.19 JPMorgan Chase Financial 48133UT51 04/05/23 10/03/24 100.000 0.000 6.1000 0.169444 0.174555 0.179879 45.52 48.44 JPMorgan Chase Financial 48133UT85 04/05/23 04/03/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 44.47 63.18 JPMorgan Chase Financial 48133UT77 04/04/23 04/03/25 100.000 0.000 5.9600 0.165556 0.170462 0.175541 0.180773 44.64 63.19 JPMorgan Chase Financial 48133UT93 04/05/23 04/03/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 44.47 63.18 JPMorgan Chase Financial 48133TQ65 02/28/23 03/01/24 100.000 0.000 5.1700 0.143611 0.147385 43.97 8.84 JPMorgan Chase Financial 48133UTD4 03/31/23 04/02/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 44.24 61.66 JPMorgan Chase Financial 48133VHA1 04/05/23 07/05/24 100.000 0.000 5.7500 0.159722 0.162018 0.166676 42.89 30.65 JPMorgan Chase Financial 48133UUY6 04/04/23 04/02/26 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 44.64 63.19 JPMorgan Chase Financial 48133UW81 03/31/23 04/01/27 100.000 0.000 5.7600 0.160000 0.164634 0.169375 0.174253 43.78 60.99 JPMorgan Chase Financial 48133VHK9 03/30/23 04/02/24 100.000 0.000 5.2300 0.145278 0.145320 0.149120 39.72 13.57 JPMorgan Chase Financial 48133TT96 02/28/23 02/26/26 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 48.02 59.94 JPMorgan Chase Financial 48133TU45 02/28/23 02/27/25 100.000 0.000 5.7200 0.158889 0.163408 0.168081 0.172888 48.70 60.84 JPMorgan Chase Financial 48133UP48 04/05/23 04/03/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 44.47 63.18 JPMorgan Chase Financial 48133VSH4 04/12/23 01/09/25 100.000 0.000 6.1200 0.170000 0.172514 0.177793 0.183234 44.46 64.90 JPMorgan Chase Financial 48133UPA4 04/05/23 04/12/24 100.000 0.000 5.2300 0.145278 0.145426 0.149228 38.98 15.07 JPMorgan Chase Financial 48133UPC0 04/05/23 01/07/25 100.000 0.000 6.0300 0.167500 0.170081 0.175209 0.180492 45.00 63.96 JPMorgan Chase Financial 48133UPB2 04/05/23 04/12/24 100.000 0.000 5.2300 0.145278 0.145426 0.149228 38.98 15.07 JPMorgan Chase Financial 48133UPT3 03/31/23 04/02/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 42.86 59.65 JPMorgan Chase Financial 48133TN76 02/28/23 11/29/24 100.000 0.000 5.7500 0.159722 0.162044 0.166702 0.171495 49.04 55.54 JPMorgan Chase Financial 48133UPX4 04/04/23 04/04/28 100.000 0.000 5.8000 0.161111 0.165783 0.170591 0.175538 43.42 61.40 JPMorgan Chase Financial 48133UPZ9 03/31/23 04/02/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 44.24 61.66 JPMorgan Chase Financial 48133TN84 02/28/23 02/26/26 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 48.02 59.94 JPMorgan Chase Financial 48133UQA3 03/31/23 03/31/28 100.000 0.000 5.7200 0.158889 0.163433 0.168107 0.172915 43.47 60.54 JPMorgan Chase Financial 48133UQV7 04/05/23 04/12/24 100.000 0.000 5.3000 0.147222 0.147374 0.151279 39.51 15.28 JPMorgan Chase Financial 48133UQY1 04/05/23 04/06/26 100.000 0.000 5.5200 0.153333 0.157589 0.161938 0.166408 41.15 58.26 JPMorgan Chase Financial 48133UQX3 04/05/23 10/05/26 100.000 0.000 5.8700 0.163056 0.167841 0.172767 0.177838 43.78 62.17 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133UR20 04/05/23 04/06/26 100.000 0.000 5.5200 0.153333 0.157589 0.161938 0.166408 41.15 58.26 JPMorgan Chase Financial 48133UR46 03/31/23 04/02/26 100.000 0.000 5.5200 0.153333 0.153380 0.157614 0.161964 0.166434 41.94 58.31 JPMorgan Chase Financial 48133UQS4 04/05/23 04/06/26 100.000 0.000 5.9000 0.163889 0.168750 0.173729 0.178854 44.01 62.51 JPMorgan Chase Financial 48133UR38 03/31/23 04/02/26 100.000 0.000 5.5200 0.153333 0.153380 0.157614 0.161964 0.166434 41.94 58.31 JPMorgan Chase Financial 48133UQR6 04/05/23 04/03/25 100.000 0.000 6.0500 0.168056 0.173083 0.178319 0.183713 45.15 64.19 JPMorgan Chase Financial 48133UR61 03/31/23 04/02/26 100.000 0.000 5.5200 0.153333 0.153380 0.157614 0.161964 0.166434 41.94 58.31 JPMorgan Chase Financial 48133UQT2 04/05/23 10/03/24 100.000 0.000 6.1900 0.171944 0.177207 0.182692 46.20 49.19 JPMorgan Chase Financial 48133TP82 02/28/23 02/28/29 100.000 0.000 5.7200 0.158889 0.163433 0.168107 0.172915 48.70 60.84 JPMorgan Chase Financial 48133USA1 04/05/23 04/06/26 100.000 0.000 5.8200 0.161667 0.166397 0.171239 0.176223 43.41 61.61 JPMorgan Chase Financial 48133UT28 04/05/23 04/11/24 100.000 0.000 5.2300 0.145278 0.145404 0.149207 38.98 14.92 JPMorgan Chase Financial 48133USC7 04/05/23 04/06/26 100.000 0.000 5.8200 0.161667 0.166397 0.171239 0.176223 43.41 61.61 JPMorgan Chase Financial 48133T7G4 03/03/23 03/05/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 47.89 60.80 JPMorgan Chase Financial 48133X2Q8 08/03/23 08/05/27 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 21.88 55.09 JPMorgan Chase Financial 48133YWY6 08/31/23 08/31/28 100.000 0.000 5.3000 0.147222 0.151102 0.155128 17.81 54.66 JPMorgan Chase Financial 48133XD52 08/03/23 05/05/25 100.000 0.000 5.7200 0.158889 0.161211 0.165822 0.170565 23.65 59.39 JPMorgan Chase Financial 48133X2U9 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 JPMorgan Chase Financial 48133WR59 10/02/23 09/22/25 100.000 0.000 5.5800 0.155000 0.159084 0.163523 13.79 57.38 JPMorgan Chase Financial 48133VNQ9 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133XD94 07/31/23 07/30/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 22.65 55.97 JPMorgan Chase Financial 48133X2V7 07/31/23 07/30/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 22.65 55.97 JPMorgan Chase Financial 48133XCK0 06/01/23 06/11/24 100.000 0.000 5.2300 0.145278 0.145489 0.149293 30.63 23.89 JPMorgan Chase Financial 48133XTM8 06/20/23 12/18/24 100.000 0.000 5.8500 0.162500 0.167200 0.172091 31.10 58.90 JPMorgan Chase Financial 48134BNF6 10/13/23 04/15/25 100.000 0.000 5.8500 0.162500 0.162553 0.167307 0.172201 12.68 60.11 JPMorgan Chase Financial 48133WQM3 05/22/23 05/22/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 36.45 62.69 JPMorgan Chase Financial 48133WQL5 05/24/23 06/25/24 100.000 0.000 5.3800 0.149444 0.150137 0.154175 32.58 26.83 JPMorgan Chase Financial 48133T7A7 03/03/23 03/05/26 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 0.148967 41.63 52.52 JPMorgan Chase Financial 48133NX78 11/02/22 10/31/24 100.000 0.000 4.8500 7.95 0.134722 0.137953 0.141298 0.144725 49.48 42.86 JPMorgan Chase Financial 48133YWU4 08/31/23 09/02/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 18.16 55.72 JPMorgan Chase Financial 48133YFS8 07/19/23 07/31/24 100.000 0.000 5.3200 0.147778 0.148018 0.151955 23.98 31.64 JPMorgan Chase Financial 48133PMP5 11/28/22 11/28/25 100.000 0.000 4.9800 4.57 0.138333 0.141778 0.145308 0.148926 0.152635 50.65 53.20 JPMorgan Chase Financial 48133PMT7 11/28/22 11/28/25 100.000 0.000 4.9800 4.57 0.138333 0.141778 0.145308 0.148926 0.152635 50.65 53.20 JPMorgan Chase Financial 48133WA99 05/24/23 05/22/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 35.26 61.13 JPMorgan Chase Financial 48133VNV8 05/03/23 05/10/24 100.000 0.000 5.2300 0.145278 0.145426 0.149228 34.80 19.25 JPMorgan Chase Financial 48133X2Y1 07/07/23 07/09/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 26.98 58.10 JPMorgan Chase Financial 48133WR91 10/04/23 04/03/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 14.14 60.20 JPMorgan Chase Financial 48133X2X3 07/31/23 07/30/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 22.65 55.97 JPMorgan Chase Financial 48133VNY2 05/03/23 10/31/24 100.000 0.000 6.1000 0.169444 0.174526 0.179849 40.64 53.14 JPMorgan Chase Financial 48133THQ1 01/03/23 01/09/24 100.000 0.000 5.4200 0.150556 0.150692 0.154775 54.65 1.24 JPMorgan Chase Financial 48133YXA7 09/06/23 09/09/24 100.000 0.000 5.3200 0.147778 0.147843 0.151776 17.00 37.37 JPMorgan Chase Financial 48133THU2 01/05/23 01/05/26 100.000 0.000 4.9800 0.138333 0.141778 0.145308 0.148926 49.85 52.93 JPMorgan Chase Financial 48133YGC2 07/19/23 01/17/25 100.000 0.000 5.8500 0.162500 0.167200 0.172091 26.33 60.92 JPMorgan Chase Financial 48133VNZ9 05/03/23 05/01/26 100.000 0.000 5.7700 0.160278 0.164850 0.169606 0.174499 38.42 60.78 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133YXD1 08/31/23 08/31/28 100.000 0.000 5.3000 0.147222 0.151102 0.155128 17.81 54.66 JPMorgan Chase Financial 48133XUA2 06/30/23 07/25/24 100.000 0.000 5.4300 0.150833 0.151402 0.155513 27.39 31.63 JPMorgan Chase Financial 48133NXD5 10/31/22 10/29/27 100.000 0.000 5.1900 8.79 0.144167 0.147887 0.151725 0.155662 0.159701 53.04 55.82 JPMorgan Chase Financial 48133WRA8 06/02/23 06/04/27 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 0.174282 33.58 60.39 JPMorgan Chase Financial 48133MDB3 09/21/22 09/21/27 100.000 VARIES 5.1900 12.98 0.144611 0.146167 0.147889 0.149333 0.149667 52.67 53.68 JPMorgan Chase Financial 48133YGD0 07/27/23 07/29/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 23.11 55.99 JPMorgan Chase Financial 48133YGX6 08/02/23 07/31/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 23.10 57.89 JPMorgan Chase Financial 48133NXY9 10/06/22 10/05/27 100.000 0.000 5.1900 12.25 0.144167 0.147887 0.151725 0.155662 0.159701 53.22 56.02 JPMorgan Chase Financial 48133XE51 07/31/23 07/31/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 22.23 54.90 JPMorgan Chase Financial 48133WS33 10/02/23 04/01/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 14.46 60.22 JPMorgan Chase Financial 48133XV60 07/31/23 07/30/26 100.000 0.000 4.8900 0.135833 0.139154 0.142557 20.51 50.51 JPMorgan Chase Financial 48133XE85 07/31/23 07/30/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 22.65 55.97 JPMorgan Chase Financial 48133WS66 10/12/23 10/21/25 100.000 0.000 5.5800 0.155000 0.155216 0.159547 0.163998 12.26 57.27 JPMorgan Chase Financial 48133WRT7 05/19/23 05/31/24 100.000 0.000 5.2300 0.145278 0.145510 0.149315 32.42 22.25 JPMorgan Chase Financial 48133WB64 05/15/23 05/14/25 100.000 0.000 5.9600 0.165556 0.170462 0.175541 0.180773 37.65 62.77 JPMorgan Chase Financial 48133WS74 10/12/23 04/10/25 100.000 0.000 5.8500 0.162500 0.167200 0.172091 12.84 60.12 JPMorgan Chase Financial 48133PMV2 11/28/22 11/26/27 100.000 0.000 5.1900 4.76 0.144167 0.147866 0.151703 0.155640 0.159679 52.83 55.60 JPMorgan Chase Financial 48133YH23 08/16/23 08/28/24 100.000 0.000 5.3200 0.147778 0.148040 0.151978 19.98 35.79 JPMorgan Chase Financial 48133WAJ7 04/28/23 10/29/24 100.000 0.000 6.1000 0.169444 0.174641 0.179968 41.50 53.00 JPMorgan Chase Financial 48133XV37 08/03/23 08/05/26 100.000 0.000 5.3600 0.148889 0.148933 0.152925 0.157023 22.04 55.52 JPMorgan Chase Financial 48133XV29 08/03/23 08/05/26 100.000 0.000 5.3600 0.148889 0.148933 0.152925 0.157023 22.04 55.52 JPMorgan Chase Financial 48133YGR9 07/17/23 07/16/25 100.000 0.000 5.5200 0.153333 0.157542 0.161890 25.15 57.37 JPMorgan Chase Financial 48133XE44 08/03/23 08/05/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 22.21 55.94 JPMorgan Chase Financial 48133XV52 07/31/23 07/30/26 100.000 0.000 5.3600 0.148889 0.152879 0.156976 22.48 55.54 JPMorgan Chase Financial 48133XV45 07/31/23 07/30/26 100.000 0.000 5.3600 0.148889 0.152879 0.156976 22.48 55.54 JPMorgan Chase Financial 48133VPB0 05/03/23 05/01/26 100.000 0.000 5.7700 0.160278 0.164850 0.169606 0.174499 38.42 60.78 JPMorgan Chase Financial 4813312T1 01/25/23 02/23/24 100.000 0.000 5.2700 0.146389 0.146989 0.150862 49.87 7.84 JPMorgan Chase Financial 48133VPA2 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133VPD6 05/03/23 05/01/26 100.000 0.000 5.7700 0.160278 0.164850 0.169606 0.174499 38.42 60.78 JPMorgan Chase Financial 48133VPC8 05/02/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170462 0.175541 0.180773 39.86 62.90 JPMorgan Chase Financial 48133VPF1 05/03/23 05/01/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 38.76 61.34 JPMorgan Chase Financial 48133VPE4 05/02/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170462 0.175541 0.180773 39.86 62.90 JPMorgan Chase Financial 48133DL24 06/28/22 07/15/27 105.000 0.500 5.0100 23.90 0.133444 0.136722 0.140111 0.143556 0.147111 48.74 51.18 JPMorgan Chase Financial 48133VPG9 04/28/23 04/30/26 100.000 0.000 5.7700 0.160278 0.160329 0.164955 0.169714 0.174610 39.24 60.83 JPMorgan Chase Financial 48133WRZ3 05/19/23 11/20/24 100.000 0.000 6.1900 0.171944 0.177296 0.182783 38.39 57.55 JPMorgan Chase Financial 48134ALX1 08/30/23 09/30/24 100.000 0.000 5.4100 0.150278 0.150955 0.155039 18.25 41.34 JPMorgan Chase Financial 48133XEW2 07/06/23 04/03/25 100.000 0.000 6.0300 0.167500 0.169941 0.175065 0.180343 29.53 63.02 JPMorgan Chase Financial 48133XF84 07/06/23 07/03/25 100.000 0.000 5.5800 0.155000 0.159252 0.163696 27.13 58.11 JPMorgan Chase Financial 48133VPR5 05/03/23 05/09/24 100.000 0.000 5.3000 0.147222 0.147352 0.151257 35.27 19.36 JPMorgan Chase Financial 48133XF76 08/03/23 08/05/26 100.000 0.000 5.3600 0.148889 0.148933 0.152925 0.157023 22.04 55.52 JPMorgan Chase Financial 48133WSW9 05/22/23 11/19/26 100.000 0.000 5.7900 0.160833 0.165412 0.170201 0.175128 35.41 60.82 JPMorgan Chase Financial 48133WSV1 05/23/23 05/31/24 100.000 0.000 5.2300 0.145278 0.145426 0.149228 31.82 22.24 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133XEZ5 06/30/23 07/02/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 27.16 56.22 JPMorgan Chase Financial 48133YZC1 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133YZB3 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133YZA5 09/06/23 09/03/27 100.000 0.000 5.3200 0.147778 0.151643 0.155677 16.99 54.83 JPMorgan Chase Financial 48133VPJ3 04/28/23 04/30/26 100.000 0.000 5.7700 0.160278 0.160329 0.164955 0.169714 0.174610 39.24 60.83 JPMorgan Chase Financial 48133VPK0 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133WBP2 06/02/23 06/04/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 33.93 61.05 JPMorgan Chase Financial 48133VPN4 05/02/23 04/30/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 38.92 61.35 JPMorgan Chase Financial 48133VPM6 04/28/23 04/30/26 100.000 0.000 5.7700 0.160278 0.160329 0.164955 0.169714 0.174610 39.24 60.83 JPMorgan Chase Financial 48133XF27 07/31/23 05/01/25 100.000 0.000 5.7200 0.158889 0.161186 0.165796 0.170538 24.13 59.42 JPMorgan Chase Financial 48133XEU6 07/06/23 07/06/27 100.000 0.000 5.8400 0.162222 0.166959 0.171834 28.39 60.93 JPMorgan Chase Financial 48133WBR8 06/05/23 06/04/26 100.000 VARIES 5.7700 0.160400 0.158833 0.156611 0.156222 0.156667 32.60 56.31 JPMorgan Chase Financial 48133VPP9 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133WC30 06/01/23 12/02/24 100.000 0.000 6.1000 0.169444 0.174641 0.179968 35.73 58.77 JPMorgan Chase Financial 48133WT40 10/16/23 01/16/25 100.000 0.000 5.5900 0.155278 0.157448 0.161848 11.65 57.37 JPMorgan Chase Financial 48133WC22 05/17/23 05/15/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 37.31 62.74 JPMorgan Chase Financial 48133WT32 10/18/23 04/17/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 11.86 60.06 JPMorgan Chase Financial 48133YZM9 08/31/23 09/03/25 100.000 0.000 5.5800 0.155000 0.155072 0.159399 0.163846 18.76 57.64 JPMorgan Chase Financial 48133YZL1 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133X5H5 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 JPMorgan Chase Financial 48133UNB4 03/08/23 04/08/24 100.000 0.000 5.2000 0.144444 0.145070 0.148842 42.80 14.44 JPMorgan Chase Financial 48133NZQ4 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48133X5J1 08/02/23 07/31/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 23.10 57.89 JPMorgan Chase Financial 48133YZS6 09/06/23 06/05/25 100.000 0.000 5.7200 0.158889 0.161136 0.165744 0.170485 18.33 59.08 JPMorgan Chase Financial 48133YZD9 09/06/23 09/03/26 100.000 0.000 5.4000 0.150000 0.153982 0.158140 17.25 55.68 JPMorgan Chase Financial 48133YZG2 08/31/23 06/02/25 100.000 0.000 5.7200 0.158889 0.161211 0.165822 0.170565 19.29 59.14 JPMorgan Chase Financial 48133UMZ2 03/08/23 06/06/24 100.000 0.000 5.4700 0.151944 0.153976 0.158187 45.04 24.52 JPMorgan Chase Financial 48133YZF4 08/31/23 09/02/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 18.16 55.72 JPMorgan Chase Financial 48133YZE7 09/06/23 09/03/26 100.000 0.000 5.4000 0.150000 0.153982 0.158140 17.25 55.68 JPMorgan Chase Financial 48133YZH0 09/06/23 10/03/24 100.000 0.000 5.4100 0.150278 0.150888 0.154969 17.34 41.78 JPMorgan Chase Financial 48133YZK3 08/31/23 03/05/25 100.000 0.000 5.6100 0.155833 0.155955 0.160329 0.164827 18.87 57.96 JPMorgan Chase Financial 48133X5D4 08/03/23 08/09/24 100.000 0.000 5.3200 0.147778 0.147909 0.151843 21.89 32.95 JPMorgan Chase Financial 48133YZJ6 09/06/23 03/05/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 18.69 60.47 JPMorgan Chase Financial 48133X5W2 07/31/23 07/31/25 100.000 0.000 5.5800 0.155000 0.159325 0.163770 23.41 57.90 JPMorgan Chase Financial 48133VA83 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133VQW3 04/28/23 04/30/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 39.58 61.38 JPMorgan Chase Financial 48133VQY9 04/28/23 04/28/28 100.000 0.000 5.7200 0.158889 0.163433 0.168107 0.172915 38.90 60.27 JPMorgan Chase Financial 48133XFQ4 07/06/23 07/06/26 100.000 0.000 5.7700 0.160278 0.164902 0.169659 28.05 60.17 JPMorgan Chase Financial 48133TKF1 01/31/23 01/29/26 100.000 0.000 5.6400 0.156667 0.161060 0.165602 0.170272 52.52 60.20 JPMorgan Chase Financial 48133YZT4 08/31/23 09/02/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 18.16 55.72 JPMorgan Chase Financial 48133WTQ1 06/05/23 06/04/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 33.43 61.02 JPMorgan Chase Financial 48133X5Q5 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133XFR2 07/06/23 07/06/26 100.000 0.000 5.7700 0.160278 0.164902 0.169659 28.05 60.17 JPMorgan Chase Financial 48133XX43 08/03/23 09/06/24 100.000 0.000 5.4100 0.150278 0.151023 0.155108 22.33 37.74 JPMorgan Chase Financial 48133X5S1 07/31/23 07/30/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 22.65 55.97 JPMorgan Chase Financial 48133TKJ3 01/31/23 01/29/26 100.000 0.000 4.9800 0.138333 0.141759 0.145288 0.148906 46.31 52.75 JPMorgan Chase Financial 48133XFT8 06/30/23 07/02/26 100.000 0.000 4.8900 0.135833 0.135870 0.139192 0.142596 24.59 50.72 JPMorgan Chase Financial 48133X5R3 08/02/23 07/31/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 22.35 55.95 JPMorgan Chase Financial 48133XX68 08/03/23 02/05/25 100.000 0.000 5.8500 0.162500 0.162553 0.167307 0.172201 24.06 60.78 JPMorgan Chase Financial 48133VQR4 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133XX92 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 JPMorgan Chase Financial 48133XFV3 06/30/23 07/02/26 100.000 0.000 4.8900 0.135833 0.135870 0.139192 0.142596 24.59 50.72 JPMorgan Chase Financial 48133XX84 07/31/23 01/30/25 100.000 0.000 5.6600 0.157222 0.161672 0.166247 23.74 58.76 JPMorgan Chase Financial 48133X5T9 07/31/23 07/30/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 22.65 55.97 JPMorgan Chase Financial 48133XXL5 06/30/23 07/03/25 100.000 0.000 5.5800 0.155000 0.155072 0.159399 0.163846 28.07 58.17 JPMorgan Chase Financial 48133X6H4 08/03/23 08/05/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 22.21 55.94 JPMorgan Chase Financial 48133YJL9 08/02/23 10/31/24 100.000 0.000 5.5800 0.155000 0.157114 0.161498 23.22 47.77 JPMorgan Chase Financial 48133XXN1 07/06/23 06/26/25 100.000 0.000 5.5800 0.155000 0.159084 0.163523 0.168085 27.15 58.11 JPMorgan Chase Financial 48133VAE0 03/20/23 03/20/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 47.02 63.33 JPMorgan Chase Financial 48133TLD5 01/31/23 01/31/29 100.000 0.000 6.0500 0.168056 0.173139 0.178377 0.183773 56.39 64.88 JPMorgan Chase Financial 48133XY26 07/31/23 07/31/25 100.000 0.000 5.5100 0.153056 0.157272 0.161605 23.11 57.15 JPMorgan Chase Financial 48133TL78 03/03/23 03/05/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 47.89 60.80 JPMorgan Chase Financial 48133TL86 03/03/23 03/05/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 47.89 60.80 JPMorgan Chase Financial 48133X6G6 08/03/23 08/05/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 22.21 55.94 JPMorgan Chase Financial 48133PHT3 12/05/22 12/05/24 100.000 0.000 4.8500 3.50 0.134722 0.137989 0.141335 0.144763 49.26 47.82 JPMorgan Chase Financial 48133YSQ8 09/05/23 09/03/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 17.40 55.68 JPMorgan Chase Financial 48133XPN0 06/21/23 06/21/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 0.159239 28.01 55.21 JPMorgan Chase Financial 48133XPP5 06/21/23 06/21/27 100.000 0.000 5.3200 0.147778 0.151709 0.155744 0.159887 28.12 55.42 JPMorgan Chase Financial 48133WMM7 06/05/23 06/05/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 34.23 62.56 JPMorgan Chase Financial 48133WML9 06/05/23 06/12/24 100.000 0.000 5.2300 0.145278 0.145426 0.149228 30.03 24.03 JPMorgan Chase Financial 48134AXJ9 09/27/23 03/27/25 100.000 0.000 5.8500 0.162500 0.167253 0.172145 15.28 60.26 JPMorgan Chase Financial 48133YBT0 07/12/23 01/10/25 100.000 0.000 5.8500 0.162500 0.167200 0.172091 27.46 60.99 JPMorgan Chase Financial 48133YT61 08/21/23 08/19/27 100.000 0.000 5.3200 0.147778 0.151665 0.155699 19.21 54.95 JPMorgan Chase Financial 48133WMN5 06/02/23 06/04/25 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 0.180862 34.75 62.59 JPMorgan Chase Financial 48133YSG0 08/02/23 05/01/25 100.000 0.000 5.6700 0.157500 0.159708 0.164235 0.168892 23.60 58.86 JPMorgan Chase Financial 48133P7J6 12/30/22 01/02/26 100.000 0.000 4.8900 0.14 0.135833 0.135870 0.139192 0.142596 0.146082 49.51 51.96 JPMorgan Chase Financial 48133TD69 03/03/23 03/08/24 100.000 0.000 5.1700 0.143611 0.143714 0.147429 43.25 9.88 JPMorgan Chase Financial 48133YSH8 08/02/23 09/03/24 100.000 0.000 5.4300 0.150833 0.151539 0.155653 22.56 37.41 JPMorgan Chase Financial 48133NSK5 10/31/22 10/29/27 100.000 0.000 5.1900 8.79 0.144167 0.147887 0.151725 0.155662 0.159701 53.04 55.82 JPMorgan Chase Financial 48133YSL9 08/31/23 08/31/28 100.000 0.000 5.3000 0.147222 0.151102 0.155128 17.81 54.66 JPMorgan Chase Financial 48133VK74 04/24/23 04/24/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 41.22 62.98 JPMorgan Chase Financial 48134AY41 09/27/23 09/27/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 13.84 54.45 JPMorgan Chase Financial 48134AH99 09/29/23 03/28/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 14.95 60.25 JPMorgan Chase Financial 48133TE76 03/02/23 03/04/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 48.05 60.81 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133TDV4 12/29/22 12/29/27 100.000 0.000 5.1900 0.29 0.144167 0.147908 0.151746 0.155684 0.159724 52.59 55.35 JPMorgan Chase Financial 48133NC71 10/31/22 10/30/25 100.000 0.000 4.9800 8.44 0.138333 0.141778 0.145308 0.148926 0.152635 50.85 53.41 JPMorgan Chase Financial 48133WMP0 06/02/23 06/04/25 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 0.180862 34.75 62.59 JPMorgan Chase Financial 48133WMS4 06/02/23 06/04/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 33.93 61.05 JPMorgan Chase Financial 48133WMR6 06/05/23 06/04/27 100.000 0.000 5.7600 0.160000 0.164582 0.169322 0.174199 33.08 60.36 JPMorgan Chase Financial 48133WMU9 06/05/23 06/05/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 34.23 62.56 JPMorgan Chase Financial 48133WN61 09/06/23 09/22/25 100.000 0.000 5.5800 0.155000 0.155384 0.159720 0.164176 17.86 57.59 JPMorgan Chase Financial 48133WMT2 06/05/23 06/05/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 34.23 62.56 JPMorgan Chase Financial 48133WMX3 05/31/23 05/31/28 100.000 0.000 5.7200 0.158889 0.163433 0.168107 0.172915 33.67 59.97 JPMorgan Chase Financial 48133WMW5 05/31/23 05/28/27 100.000 0.000 5.7600 0.160000 0.164557 0.169296 0.174172 33.91 60.41 JPMorgan Chase Financial 48133UH21 02/27/23 02/25/28 100.000 0.000 5.6900 0.158056 0.162502 0.167125 0.171880 48.61 60.51 JPMorgan Chase Financial 48133WMV7 06/05/23 06/05/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 34.23 62.56 JPMorgan Chase Financial 48133WNK0 05/31/23 05/29/26 100.000 VARIES 5.7700 0.160333 0.158722 0.156611 0.156167 0.156667 33.38 56.30 JPMorgan Chase Financial 48133NTQ1 11/02/22 11/01/29 100.000 0.000 5.2900 8.67 0.146944 0.150810 0.154798 0.158893 0.163096 54.07 56.96 JPMorgan Chase Financial 48133WNJ3 05/31/23 05/29/26 100.000 VARIES 5.7700 0.160333 0.158722 0.156611 0.156167 0.156667 33.38 56.30 JPMorgan Chase Financial 48133WNM6 06/05/23 06/04/26 100.000 VARIES 5.7700 0.160400 0.158833 0.156611 0.156222 0.156667 32.60 56.31 JPMorgan Chase Financial 48133WNL8 06/05/23 06/04/26 100.000 VARIES 5.7700 0.160400 0.158833 0.156611 0.156222 0.156667 32.60 56.31 JPMorgan Chase Financial 48133UYK2 03/20/23 09/19/24 100.000 0.000 5.7000 0.158333 0.162821 0.167461 44.95 42.84 JPMorgan Chase Financial 48133Y2R4 08/09/23 08/07/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 21.30 55.90 JPMorgan Chase Financial 48133UYJ5 03/17/23 04/18/24 100.000 0.000 5.2000 0.144444 0.145091 0.148864 41.46 15.93 JPMorgan Chase Financial 48133YTT1 09/06/23 09/03/27 100.000 0.000 5.3900 0.149722 0.153690 0.157832 17.22 55.57 JPMorgan Chase Financial 48133NTW8 10/31/22 10/31/28 100.000 0.000 5.2600 8.91 0.146111 0.149954 0.153898 0.157945 0.162099 53.77 56.63 JPMorgan Chase Financial 48133U7H9 05/31/23 05/30/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 35.09 62.61 JPMorgan Chase Financial 48133WNC8 06/05/23 07/05/24 100.000 0.000 5.3800 0.149444 0.150114 0.154153 30.90 28.35 JPMorgan Chase Financial 48133TE92 03/02/23 03/04/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 48.05 60.81 JPMorgan Chase Financial 48133WNE4 05/31/23 11/29/24 100.000 0.000 6.1000 0.169444 0.174584 0.179909 35.92 58.22 JPMorgan Chase Financial 48133WND6 06/05/23 12/05/24 100.000 0.000 6.1000 0.169444 0.174613 0.179938 35.04 59.28 JPMorgan Chase Financial 48133WNG9 05/31/23 05/30/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 35.09 62.61 JPMorgan Chase Financial 48133PJ38 01/04/23 01/02/26 100.000 0.000 4.9800 0.138333 0.141740 0.145269 0.148886 49.99 52.94 JPMorgan Chase Financial 48133PJ20 01/04/23 01/02/26 100.000 0.000 4.9800 0.138333 0.141740 0.145269 0.148886 49.99 52.94 JPMorgan Chase Financial 48133WNF1 06/05/23 06/05/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 34.23 62.56 JPMorgan Chase Financial 48133NTP3 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48133WNH7 05/31/23 05/29/26 100.000 VARIES 5.7700 0.160333 0.158722 0.156611 0.156167 0.156667 33.38 56.30 JPMorgan Chase Financial 48133PJ46 12/30/22 01/02/26 100.000 0.000 4.9800 0.14 0.138333 0.138372 0.141817 0.145348 0.148967 50.43 52.97 JPMorgan Chase Financial 48133TF42 03/02/23 03/04/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 47.37 59.90 JPMorgan Chase Financial 48133YUB8 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133TF83 03/03/23 03/04/24 100.000 0.000 5.1700 0.143611 0.147344 43.23 9.28 JPMorgan Chase Financial 48133YUF9 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133TF75 03/03/23 09/03/24 100.000 0.000 5.7800 0.160556 0.165196 0.169970 48.39 40.84 JPMorgan Chase Financial 48133TEY7 12/29/22 01/26/24 100.000 0.000 4.1900 0.23 0.116389 0.116755 0.119201 42.40 2.98 JPMorgan Chase Financial 48133TF91 03/03/23 09/02/26 100.000 0.000 5.6500 0.156944 0.161353 0.165912 0.170599 47.29 60.01 JPMorgan Chase Financial 48133U7L0 06/06/23 12/04/25 100.000 0.000 5.8800 0.163333 0.168082 0.173024 0.178110 33.61 61.67 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133TVK8 02/01/23 01/30/25 100.000 0.000 5.7200 0.158889 0.163408 0.168081 0.172888 53.12 61.10 JPMorgan Chase Financial 48133WNU8 05/19/23 06/21/24 100.000 0.000 5.2800 0.146667 0.147355 0.151245 32.73 25.71 JPMorgan Chase Financial 48133TEN1 12/28/22 06/27/24 100.000 0.000 4.7400 0.40 0.131667 0.134770 0.137964 47.98 24.28 JPMorgan Chase Financial 48133Y3P7 08/07/23 08/05/27 100.000 0.000 5.3200 0.147778 0.151665 0.155699 21.28 55.06 JPMorgan Chase Financial 48133TFE0 12/28/22 12/26/25 100.000 0.000 4.9800 0.42 0.138333 0.141740 0.145269 0.148886 0.152593 50.45 52.98 JPMorgan Chase Financial 48133YUJ1 09/05/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159325 0.163770 17.98 57.60 JPMorgan Chase Financial 48133XRL2 06/22/23 06/20/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 0.168288 29.34 58.24 JPMorgan Chase Financial 48134RJT6 11/17/23 05/19/27 100.000 0.000 6.1800 0.171667 0.171726 0.177032 0.182502 7.56 63.23 JPMorgan Chase Financial 48134RJR0 11/15/23 11/16/27 100.000 0.000 6.1900 0.171944 0.177296 0.182783 7.91 63.35 JPMorgan Chase Financial 48133TG82 03/03/23 03/04/27 100.000 0.000 5.6600 0.157222 0.161696 0.166272 0.170978 47.38 60.12 JPMorgan Chase Financial 48133PKK8 12/05/22 12/04/25 100.000 0.000 4.9800 3.60 0.138333 0.141759 0.145288 0.148906 0.152614 50.60 53.15 JPMorgan Chase Financial 48133TG74 03/03/23 12/04/24 100.000 0.000 5.7500 0.159722 0.162044 0.166702 0.171495 48.20 56.37 JPMorgan Chase Financial 48133TG90 03/03/23 03/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 47.21 59.90 JPMorgan Chase Financial 48133YVK7 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133YVJ0 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133VM56 04/27/23 04/29/27 100.000 0.000 5.7600 0.160000 0.160051 0.164661 0.169403 0.174282 39.34 60.73 JPMorgan Chase Financial 48133TFP5 01/04/23 01/03/25 100.000 0.000 4.8500 0.134722 0.137971 0.141317 0.144744 48.67 51.48 JPMorgan Chase Financial 48133YVB7 08/31/23 09/03/25 100.000 0.000 5.5800 0.155000 0.155072 0.159399 0.163846 18.76 57.64 JPMorgan Chase Financial 48133TG25 03/03/23 09/03/24 100.000 0.000 5.7800 0.160556 0.165196 0.169970 48.39 40.84 JPMorgan Chase Financial 48133XBQ8 06/14/23 06/14/26 100.000 0.000 5.7200 0.158889 0.163433 0.168107 0.172915 31.38 59.84 JPMorgan Chase Financial 48133YVU5 09/06/23 09/05/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 17.82 57.59 JPMorgan Chase Financial 48133YVV3 09/06/23 09/03/26 100.000 0.000 5.4000 0.150000 0.153982 0.158140 17.25 55.68 JPMorgan Chase Financial 48133VMP2 05/03/23 05/03/27 100.000 0.000 5.8400 0.162222 0.166959 0.171834 0.176852 38.88 61.56 JPMorgan Chase Financial 48133TGJ8 12/29/22 01/02/24 100.000 0.000 4.0800 0.23 0.113333 0.113372 0.115685 41.23 0.12 JPMorgan Chase Financial 48133XBW5 06/14/23 03/13/25 100.000 0.000 6.0300 0.167500 0.169997 0.175122 0.180402 33.27 63.25 JPMorgan Chase Financial 48133TGL3 12/29/22 06/26/24 100.000 0.000 4.7400 0.26 0.131667 0.134735 0.137928 47.98 24.14 JPMorgan Chase Financial 48133VMQ0 05/02/23 05/02/28 100.000 0.000 5.8000 0.161111 0.165783 0.170591 0.175538 38.78 61.12 JPMorgan Chase Financial 48133PL35 12/30/22 10/02/24 100.000 0.000 4.8000 0.13 0.133333 0.134969 0.138208 0.141525 48.73 38.05 JPMorgan Chase Financial 48133YVL5 08/31/23 09/02/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 18.16 55.72 JPMorgan Chase Financial 48133PKQ5 12/05/22 06/04/24 100.000 0.000 4.7400 3.42 0.131667 0.134770 0.137964 48.13 21.11 JPMorgan Chase Financial 48133YEN0 08/03/23 08/05/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 22.21 55.94 JPMorgan Chase Financial 48133WPH5 05/16/23 05/28/24 100.000 0.000 5.2300 0.145278 0.145531 0.149337 32.87 21.95 JPMorgan Chase Financial 48133PKX0 11/28/22 11/26/27 100.000 0.000 5.1900 4.76 0.144167 0.147866 0.151703 0.155640 0.159679 52.83 55.60 JPMorgan Chase Financial 48133YF25 08/30/23 08/28/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 18.76 57.64 JPMorgan Chase Financial 48133XCB0 06/14/23 03/14/25 100.000 0.000 6.0300 0.167500 0.170025 0.175151 0.180432 33.27 63.25 JPMorgan Chase Financial 48133Y5C4 08/16/23 08/14/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 20.25 55.84 JPMorgan Chase Financial 48133TXZ3 01/20/23 02/23/24 100.000 0.000 5.2700 0.146389 0.147096 0.150972 50.63 7.85 JPMorgan Chase Financial 48133T6Y6 03/03/23 03/05/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 47.89 60.80 JPMorgan Chase Financial 48133PM26 12/30/22 01/02/26 100.000 0.000 4.9800 0.14 0.138333 0.138372 0.141817 0.145348 0.148967 50.43 52.97 JPMorgan Chase Financial 48133T6Z3 03/03/23 03/05/26 100.000 0.000 4.9800 0.138333 0.138372 0.141817 0.145348 0.148967 41.63 52.52 JPMorgan Chase Financial 48133XBX3 05/31/23 06/10/24 100.000 0.000 5.2300 0.145278 0.145489 0.149293 30.78 23.74 JPMorgan Chase Financial 48133PLE1 12/05/22 12/03/27 100.000 0.000 5.1900 3.75 0.144167 0.147866 0.151703 0.155640 0.159679 52.78 55.55 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133WQ92 09/25/23 09/22/25 100.000 0.000 5.5800 0.155000 0.159252 0.163696 14.88 57.43 JPMorgan Chase Financial 48133T6Q3 03/03/23 03/04/27 100.000 0.000 5.6600 0.157222 0.161696 0.166272 0.170978 47.38 60.12 JPMorgan Chase Financial 48133TH40 03/03/23 03/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 47.21 59.90 JPMorgan Chase Financial 48133PLJ0 11/28/22 11/28/25 100.000 0.000 4.9800 4.57 0.138333 0.141778 0.145308 0.148926 0.152635 50.65 53.20 JPMorgan Chase Financial 48133UJW3 03/09/23 04/11/24 100.000 0.000 6.3300 0.175833 0.176823 0.182419 52.05 18.24 JPMorgan Chase Financial 48133UBT8 02/15/23 08/15/24 100.000 0.000 5.7800 0.160556 0.165196 0.169970 51.37 37.86 JPMorgan Chase Financial 48133WYZ5 05/24/23 05/22/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 36.12 62.67 JPMorgan Chase Financial 48134AT70 09/18/23 09/17/26 100.000 0.000 5.4000 0.150000 0.154028 0.158186 15.45 55.58 JPMorgan Chase Financial 48133XM78 07/06/23 04/03/25 100.000 0.000 5.7200 0.158889 0.161085 0.165692 0.170431 28.00 59.64 JPMorgan Chase Financial 48134ATM7 09/29/23 09/29/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 13.54 54.43 JPMorgan Chase Financial 48133XLY0 06/08/23 07/10/24 100.000 0.000 5.3300 0.148056 0.148757 0.152721 30.18 28.83 JPMorgan Chase Financial 48133XM86 07/06/23 04/03/25 100.000 0.000 5.7200 0.158889 0.161085 0.165692 0.170431 28.00 59.64 JPMorgan Chase Financial 48133VX70 04/27/23 05/08/24 100.000 0.000 5.2300 0.145278 0.145510 0.149315 35.70 18.96 JPMorgan Chase Financial 48133XLZ7 06/07/23 06/18/24 100.000 0.000 5.3200 0.147778 0.148018 0.151955 30.24 25.38 JPMorgan Chase Financial 48134AU29 09/27/23 09/26/30 100.000 0.000 5.3300 0.148056 0.151979 0.156030 13.92 54.76 JPMorgan Chase Financial 48134RDS4 11/15/23 11/14/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 7.13 56.99 JPMorgan Chase Financial 48133VWG1 04/06/23 04/08/25 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 0.180862 44.30 63.17 JPMorgan Chase Financial 48134A2C8 09/27/23 12/27/24 100.000 0.000 5.5900 0.155278 0.157448 0.161848 14.60 56.84 JPMorgan Chase Financial 48134ATJ4 10/04/23 10/04/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 12.81 54.39 JPMorgan Chase Financial 48133U2Z4 03/08/23 04/08/24 100.000 0.000 6.2100 0.172500 0.173393 0.178777 51.22 17.34 JPMorgan Chase Financial 48133PF57 01/04/23 01/03/28 100.000 0.000 5.1900 0.144167 0.147887 0.151725 0.155662 52.13 55.31 JPMorgan Chase Financial 48134ADB8 10/03/23 10/01/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 13.20 55.46 JPMorgan Chase Financial 48134AUC7 09/29/23 10/01/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 14.26 57.39 JPMorgan Chase Financial 48134ACS2 09/07/23 12/04/26 100.000 0.000 5.3800 0.149444 0.151387 0.155460 0.159642 17.09 55.46 JPMorgan Chase Financial 48134BWW9 10/20/23 10/22/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 10.65 55.31 JPMorgan Chase Financial 48133VX96 04/27/23 05/08/24 100.000 0.000 5.2300 0.145278 0.145510 0.149315 35.70 18.96 JPMorgan Chase Financial 48133NPD4 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48134BFX6 10/06/23 10/06/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 12.51 54.37 JPMorgan Chase Financial 48133TA39 02/03/23 02/05/26 100.000 VARIES 5.6400 0.124667 0.150389 0.149611 0.149833 0.150667 49.51 53.90 JPMorgan Chase Financial 48133UD66 02/17/23 02/17/28 100.000 0.000 5.6900 0.158056 0.162552 0.167177 0.171933 50.23 60.61 JPMorgan Chase Financial 48133NPE4 11/02/22 10/31/25 100.000 0.000 4.9800 8.16 0.138333 0.141740 0.145269 0.148886 0.152593 50.84 53.39 JPMorgan Chase Financial 48133UCZ3 02/17/23 08/19/24 100.000 0.000 5.7800 0.160556 0.160607 0.165249 0.170024 51.04 38.54 JPMorgan Chase Financial 48133TAJ4 12/21/22 12/19/25 100.000 0.000 4.9800 1.38 0.138333 0.141740 0.145269 0.148886 0.152593 50.50 53.04 JPMorgan Chase Financial 48133U3K6 02/15/23 02/28/24 100.000 0.000 5.1700 0.143611 0.143879 0.147599 45.92 8.41 JPMorgan Chase Financial 48134AUM5 10/04/23 04/03/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 14.14 60.20 JPMorgan Chase Financial 48134AUP8 10/04/23 10/02/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 13.05 55.45 JPMorgan Chase Financial 48133UUQ3 03/15/23 09/15/26 100.000 0.000 5.5700 0.154722 0.159031 0.163460 0.168013 44.71 59.00 JPMorgan Chase Financial 48134AUR4 10/04/23 10/02/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 13.05 55.45 JPMorgan Chase Financial 48134AUQ6 09/29/23 03/31/25 100.000 0.000 5.8200 0.161667 0.166397 0.171239 14.87 59.92 JPMorgan Chase Financial 48133NQA9 10/31/22 10/30/25 100.000 0.000 4.9800 8.44 0.138333 0.141778 0.145308 0.148926 0.152635 50.85 53.41 JPMorgan Chase Financial 48134A3Q6 10/12/23 10/12/27 100.000 0.000 5.3900 0.149722 0.153757 0.157901 11.83 55.27 JPMorgan Chase Financial 48133P5C3 12/02/22 12/04/24 100.000 0.000 4.8500 3.91 0.134759 0.138026 0.141374 0.144802 49.28 47.69 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48134AUS2 10/04/23 10/02/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 13.49 57.35 JPMorgan Chase Financial 48134ADC6 10/03/23 10/01/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 13.20 55.46 JPMorgan Chase Financial 48133NPT9 11/03/22 11/05/24 100.000 0.000 4.8500 7.82 0.134759 0.138026 0.141374 0.144802 49.47 43.59 JPMorgan Chase Financial 48133VXL9 04/10/23 04/09/25 100.000 0.000 5.9600 0.165556 0.170462 0.175541 0.180773 43.61 63.13 JPMorgan Chase Financial 48134AUH6 10/04/23 11/01/24 100.000 0.000 5.4100 0.150278 0.150888 0.154969 13.11 46.00 JPMorgan Chase Financial 48133UUK6 03/09/23 03/11/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 46.25 59.84 JPMorgan Chase Financial 48133TAF2 12/21/22 12/22/23 100.000 0.000 4.0800 1.13 0.113333 0.115658 40.20 JPMorgan Chase Financial 48133U3G5 02/21/23 02/18/25 100.000 0.000 5.7200 0.158889 0.163357 0.168029 0.172835 49.85 60.91 JPMorgan Chase Financial 48134REX2 11/15/23 11/14/25 100.000 0.000 6.1600 0.171111 0.176352 0.181784 7.87 63.04 JPMorgan Chase Financial 48133XMT0 07/05/23 07/02/26 100.000 0.000 5.6100 0.155833 0.160132 0.164623 27.43 58.45 JPMorgan Chase Financial 48133PX32 12/14/22 12/12/24 100.000 0.000 4.8500 2.29 0.134722 0.137953 0.141298 0.144725 49.21 48.80 JPMorgan Chase Financial 48134AVB8 10/04/23 10/02/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 13.49 57.35 JPMorgan Chase Financial 48133PX40 12/14/22 12/12/24 100.000 0.000 4.8500 2.29 0.134722 0.137953 0.141298 0.144725 49.21 48.80 JPMorgan Chase Financial 48134AVA0 10/04/23 10/02/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 13.49 57.35 JPMorgan Chase Financial 48133PX99 12/21/22 01/19/24 100.000 0.000 4.1900 1.16 0.116389 0.116768 0.119214 42.43 2.15 JPMorgan Chase Financial 48133U4C3 03/07/23 03/07/25 100.000 0.000 5.6400 0.156667 0.161085 0.165627 0.170298 46.56 59.86 JPMorgan Chase Financial 48134AUW3 10/04/23 10/11/24 100.000 0.000 5.3200 0.147778 0.147931 0.151866 12.87 42.13 JPMorgan Chase Financial 48133YQC1 09/06/23 09/06/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 16.93 54.61 JPMorgan Chase Financial 48134AUV5 09/29/23 10/01/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 13.80 55.48 JPMorgan Chase Financial 48133NQB7 11/03/22 11/05/26 100.000 0.000 5.1000 8.22 0.141707 0.145320 0.149026 0.152826 0.156723 52.07 54.76 JPMorgan Chase Financial 48134AUU7 09/29/23 10/01/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 14.26 57.39 JPMorgan Chase Financial 48133TRS6 01/11/23 02/09/24 100.000 0.000 5.2700 0.146389 0.146989 0.150862 51.98 5.73 JPMorgan Chase Financial 48133UE99 02/21/23 03/20/24 100.000 0.000 5.2700 0.146389 0.147010 0.150884 45.95 11.92 JPMorgan Chase Financial 48133YQD9 08/02/23 08/24/24 100.000 0.000 5.3200 0.147778 0.148258 0.152202 22.08 35.25 JPMorgan Chase Financial 48134AUZ6 10/04/23 10/02/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 13.49 57.35 JPMorgan Chase Financial 48133NQG6 10/31/22 10/31/28 100.000 0.000 5.2600 8.91 0.146111 0.149954 0.153898 0.157945 0.162099 53.77 56.63 JPMorgan Chase Financial 48133TS89 02/08/23 02/09/24 100.000 0.000 5.1700 0.143611 0.147344 46.92 5.60 JPMorgan Chase Financial 48133NQJ0 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48134BHR7 10/04/23 10/02/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 13.05 55.45 JPMorgan Chase Financial 48133WKW7 06/05/23 06/04/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 33.43 61.02 JPMorgan Chase Financial 48133UEP3 02/23/23 03/21/24 100.000 0.000 5.2700 0.146389 0.146989 0.150862 45.64 12.07 JPMorgan Chase Financial 48134AVT9 09/29/23 10/01/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 13.80 55.48 JPMorgan Chase Financial 48133UES7 02/24/23 08/26/24 100.000 0.000 5.7800 0.160556 0.160607 0.165249 0.170024 49.89 39.69 JPMorgan Chase Financial 48133PGH0 12/05/22 12/05/24 100.000 0.000 4.8500 3.50 0.134722 0.137989 0.141335 0.144763 49.26 47.82 JPMorgan Chase Financial 48133NQX9 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48133VYP9 04/19/23 04/25/24 100.000 0.000 5.2300 0.145278 0.145404 0.149207 36.89 17.01 JPMorgan Chase Financial 48133NA73 10/03/22 09/30/27 100.000 0.000 5.1900 12.69 0.144167 0.147845 0.151682 0.155618 0.159656 53.25 56.04 JPMorgan Chase Financial 48133XNS1 06/28/23 06/28/27 100.000 0.000 5.3900 0.149722 0.153757 0.157901 0.162156 27.41 56.12 JPMorgan Chase Financial 48133WKP2 06/05/23 05/05/25 100.000 0.000 5.9600 0.165556 0.169667 0.174723 0.179930 34.33 62.56 JPMorgan Chase Financial 48133P5Z2 12/30/22 01/02/25 100.000 0.000 4.9800 0.14 0.138333 0.138372 0.141817 0.145348 0.148967 50.43 52.97 JPMorgan Chase Financial 48133YA95 08/03/23 10/30/24 100.000 0.000 5.5900 0.155278 0.157375 0.161774 23.11 47.85 JPMorgan Chase Financial 48133WKS6 05/31/23 05/28/27 100.000 0.000 5.7600 0.160000 0.164557 0.169296 0.174172 33.91 60.41 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48134AWB7 10/04/23 10/04/27 100.000 0.000 5.3200 0.147778 0.151709 0.155744 12.86 54.60 JPMorgan Chase Financial 48133NRN0 10/31/22 10/29/27 100.000 0.000 5.1900 8.79 0.144167 0.147887 0.151725 0.155662 0.159701 53.04 55.82 JPMorgan Chase Financial 48133PGQ0 12/05/22 12/04/25 100.000 0.000 4.9800 3.60 0.138333 0.141759 0.145288 0.148906 0.152614 50.60 53.15 JPMorgan Chase Financial 48134AWF8 09/29/23 07/01/25 100.000 0.000 5.7200 0.161211 0.165822 0.170565 14.62 58.87 JPMorgan Chase Financial 48134AFC4 08/25/23 08/27/24 100.000 0.000 5.3200 0.147778 0.147821 0.151754 18.63 35.59 JPMorgan Chase Financial 48133PH97 01/04/23 10/03/24 100.000 0.000 4.8000 0.133333 0.134916 0.138154 0.141469 48.31 38.17 JPMorgan Chase Financial 48133NRS9 10/31/22 10/29/27 100.000 0.000 5.1900 8.79 0.144167 0.147887 0.151725 0.155662 0.159701 53.04 55.82 JPMorgan Chase Financial 48133PGJ6 11/28/22 11/28/25 100.000 0.000 4.8900 4.48 0.135833 0.139154 0.142557 0.146042 0.149613 49.72 52.18 JPMorgan Chase Financial 48134AEY7 08/22/23 09/20/24 100.000 0.000 5.3300 0.148056 0.148669 0.152631 19.16 39.22 JPMorgan Chase Financial 48133WLA4 06/05/23 06/05/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 34.23 62.56 JPMorgan Chase Financial 48133PGL1 11/28/22 11/28/25 100.000 0.000 4.8900 4.48 0.135833 0.139154 0.142557 0.146042 0.149613 49.72 52.18 JPMorgan Chase Financial 48133TBV6 12/21/22 12/19/24 100.000 0.000 4.8500 1.35 0.134722 0.137953 0.141298 0.144725 49.16 49.79 JPMorgan Chase Financial 48133NRF7 11/03/22 11/04/27 100.000 0.000 5.1900 8.36 0.144167 0.147929 0.151767 0.155706 0.159746 53.01 55.80 JPMorgan Chase Financial 48133PGK3 12/05/22 12/04/25 100.000 0.000 4.9800 3.60 0.138333 0.141759 0.145288 0.148906 0.152614 50.60 53.15 JPMorgan Chase Financial 48133PGN7 12/05/22 12/04/25 100.000 0.000 4.9800 3.60 0.138333 0.141759 0.145288 0.148906 0.152614 50.60 53.15 JPMorgan Chase Financial 48133PGM9 11/28/22 11/28/25 100.000 0.000 4.8900 4.48 0.135833 0.139154 0.142557 0.146042 0.149613 49.72 52.18 JPMorgan Chase Financial 48133WLB2 05/31/23 05/29/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 34.26 61.07 JPMorgan Chase Financial 48133PGP2 12/05/22 12/05/24 100.000 0.000 4.8500 3.50 0.134722 0.137989 0.141335 0.144763 49.26 47.82 JPMorgan Chase Financial 48133U5P3 04/21/23 04/24/25 100.000 0.000 5.9600 0.165556 0.165638 0.170574 0.175657 0.180891 41.74 63.01 JPMorgan Chase Financial 48133TU37 03/02/23 03/02/28 100.000 0.000 5.6900 0.158056 0.162552 0.167177 0.171933 47.79 60.47 JPMorgan Chase Financial 48133UWU2 03/09/23 09/11/25 100.000 0.000 5.6000 0.155556 0.155604 0.159961 0.164440 0.169044 45.92 59.39 JPMorgan Chase Financial 48133TU29 03/03/23 03/02/28 100.000 0.000 5.6900 0.158056 0.162527 0.167151 0.171907 47.63 60.46 JPMorgan Chase Financial 48133TD44 03/03/23 03/08/24 100.000 0.000 5.1700 0.143611 0.143714 0.147429 43.25 9.88 JPMorgan Chase Financial 48133P7G2 12/30/22 01/02/26 100.000 0.000 4.8900 0.14 0.135833 0.135870 0.139192 0.142596 0.146082 49.51 51.96 JPMorgan Chase Financial 48133NSD1 10/31/22 10/30/25 100.000 0.000 4.9800 8.44 0.138333 0.141778 0.145308 0.148926 0.152635 50.85 53.41 JPMorgan Chase Financial 48133P7F4 12/30/22 01/02/26 100.000 0.000 4.8900 0.14 0.135833 0.135870 0.139192 0.142596 0.146082 49.51 51.96 JPMorgan Chase Financial 48133TU52 03/03/23 03/04/24 100.000 0.000 5.1700 0.143611 0.147344 43.23 9.28 JPMorgan Chase Financial 48133TTS4 01/17/23 02/15/24 100.000 0.000 5.2700 0.146389 0.146989 0.150862 51.07 6.64 JPMorgan Chase Financial 48133WLZ9 06/05/23 12/03/26 100.000 0.000 5.7900 0.160833 0.165438 0.170227 0.175155 33.26 60.69 JPMorgan Chase Financial 48133UWV0 03/09/23 09/11/24 100.000 0.000 5.7000 0.158333 0.158383 0.162897 0.167540 46.74 41.56 JPMorgan Chase Financial 48133TCU7 12/21/22 12/22/23 100.000 0.000 4.0800 1.13 0.113333 0.115658 40.20 JPMorgan Chase Financial 48133NSE9 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48133T2S3 01/30/23 12/02/24 100.000 0.000 5.7300 0.159167 0.162257 0.166906 0.171688 53.46 56.11 JPMorgan Chase Financial 48133TU60 03/03/23 03/05/25 100.000 0.000 5.7200 0.158889 0.158939 0.163485 0.168161 0.172970 47.89 60.80 JPMorgan Chase Financial 48133NRU4 11/03/22 05/03/24 100.000 0.000 4.7400 7.64 0.131667 0.134787 0.137982 48.33 16.83 JPMorgan Chase Financial 48133NRX8 10/31/22 10/30/25 100.000 0.000 4.9800 8.44 0.138333 0.141778 0.145308 0.148926 0.152635 50.85 53.41 JPMorgan Chase Financial 48134AWL5 09/06/23 09/06/28 100.000 0.000 5.2400 0.145556 0.149369 0.153283 16.74 53.98 JPMorgan Chase Financial 48133TCJ2 12/28/22 01/25/24 100.000 0.000 4.2500 0.35 0.118056 0.118432 0.120949 43.02 2.90 JPMorgan Chase Financial 48133WM47 08/25/23 02/28/26 100.000 0.000 5.4900 0.152500 0.152570 0.156758 0.161061 19.22 56.72 JPMorgan Chase Financial 48133TM36 03/03/23 03/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 47.21 59.90 JPMorgan Chase Financial 48133YK86 08/14/23 08/13/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 21.23 57.78 JPMorgan Chase Financial 48133XXX9 06/27/23 06/26/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 0.168313 28.54 58.19 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133XGV2 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48133X7K6 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 JPMorgan Chase Financial 48133X7J9 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 JPMorgan Chase Financial 48133WEH7 05/31/23 11/29/24 100.000 0.000 6.1000 0.169444 0.174584 0.179909 35.92 58.22 JPMorgan Chase Financial 48133YKQ6 07/06/23 08/07/24 100.000 0.000 5.3200 0.147778 0.148455 0.152404 25.96 32.78 JPMorgan Chase Financial 48133XHQ2 07/06/23 07/06/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 26.25 56.17 JPMorgan Chase Financial 48133TMF9 01/31/23 10/31/24 100.000 0.000 4.8000 0.133333 0.134933 0.138172 0.141488 44.72 41.91 JPMorgan Chase Financial 48133TMG7 01/31/23 01/29/26 100.000 0.000 4.9800 0.138333 0.141759 0.145288 0.148906 46.31 52.75 JPMorgan Chase Financial 48133XHR0 07/06/23 07/06/26 100.000 0.000 5.4000 0.150000 0.154050 0.158209 26.25 56.17 JPMorgan Chase Financial 48133VSM3 04/28/23 10/30/24 100.000 0.000 6.1900 0.171944 0.172004 0.177327 0.182815 42.12 54.01 JPMorgan Chase Financial 48133WEC8 06/05/23 06/04/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 33.43 61.02 JPMorgan Chase Financial 48133X7E0 08/03/23 08/05/27 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 21.88 55.09 JPMorgan Chase Financial 48133XHF6 07/06/23 01/05/27 100.000 0.000 5.7900 0.160833 0.165464 0.170254 28.15 60.39 JPMorgan Chase Financial 48133WEB0 06/05/23 06/04/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 33.43 61.02 JPMorgan Chase Financial 48133X7G5 08/03/23 08/05/25 100.000 0.000 5.5800 0.155000 0.155048 0.159374 0.163820 22.95 57.88 JPMorgan Chase Financial 48133PA37 01/04/23 01/03/25 100.000 0.000 4.8500 0.134722 0.137971 0.141317 0.144744 48.67 51.48 JPMorgan Chase Financial 48133WEY0 05/31/23 05/29/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 34.26 61.07 JPMorgan Chase Financial 48133VC99 05/03/23 05/01/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 39.69 62.89 JPMorgan Chase Financial 48133WFA1 06/05/23 03/05/25 100.000 0.000 6.0300 0.167500 0.170025 0.175151 0.180432 34.80 63.34 JPMorgan Chase Financial 48133WEQ7 06/05/23 06/04/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 33.43 61.02 JPMorgan Chase Financial 48133XYU4 06/27/23 06/26/25 100.000 0.000 5.5800 0.155000 0.159300 0.163745 0.168313 28.54 58.19 JPMorgan Chase Financial 48133XHS8 06/30/23 07/02/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 29.27 60.78 JPMorgan Chase Financial 48133WET1 05/31/23 02/28/25 100.000 0.000 6.0300 0.167500 0.169969 0.175094 0.180373 35.65 63.39 JPMorgan Chase Financial 48133XHW9 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48134BBP7 10/18/23 04/17/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 11.86 60.06 JPMorgan Chase Financial 48133XHV1 07/06/23 07/15/24 100.000 0.000 5.2300 0.145278 0.145468 0.149272 25.46 28.91 JPMorgan Chase Financial 48134BSP9 10/16/23 04/10/25 100.000 0.000 5.8500 0.162500 0.167095 0.171982 12.19 60.10 JPMorgan Chase Financial 48133VSQ4 04/28/23 01/30/25 100.000 0.000 6.0300 0.167500 0.170081 0.175209 0.180492 41.09 63.72 JPMorgan Chase Financial 48133XHY5 07/06/23 07/06/27 100.000 0.000 5.7600 0.160000 0.164608 0.169349 28.00 60.07 JPMorgan Chase Financial 48133VC40 05/02/23 04/30/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 38.92 61.35 JPMorgan Chase Financial 48133VST8 04/28/23 04/30/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 39.58 61.38 JPMorgan Chase Financial 48133VC65 05/03/23 05/10/24 100.000 0.000 5.2300 0.145278 0.145426 0.149228 34.80 19.25 JPMorgan Chase Financial 48133VSV3 05/03/23 05/03/27 100.000 0.000 5.7600 0.160000 0.164608 0.169349 0.174226 38.35 60.67 JPMorgan Chase Financial 48133VC57 05/02/23 04/30/26 100.000 0.000 5.8200 0.161667 0.166319 0.171159 0.176139 38.92 61.35 JPMorgan Chase Financial 48133XHZ2 07/05/23 07/07/25 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 29.15 62.25 JPMorgan Chase Financial 48134BBS1 10/18/23 04/17/25 100.000 0.000 5.8500 0.162500 0.167227 0.172118 11.86 60.06 JPMorgan Chase Financial 48133WWL8 05/26/23 06/06/24 100.000 0.000 5.2300 0.145278 0.145489 0.149293 31.37 23.14 JPMorgan Chase Financial 48133PB77 01/04/23 01/02/26 100.000 0.000 4.8900 0.135833 0.139118 0.142519 0.146004 49.08 51.93 JPMorgan Chase Financial 48133TNC5 01/31/23 01/29/26 100.000 0.000 5.6400 0.156667 0.161060 0.165602 0.170272 52.52 60.20 JPMorgan Chase Financial 48133PB69 01/04/23 01/02/26 100.000 0.000 4.8900 0.135833 0.139118 0.142519 0.146004 49.08 51.93 JPMorgan Chase Financial 48133WFB9 05/31/23 05/29/26 100.000 0.000 5.8200 0.161667 0.166345 0.171186 0.176167 34.26 61.07 JPMorgan Chase Financial 48133TMY8 01/31/23 01/29/26 100.000 0.000 5.6400 0.156667 0.161060 0.165602 0.170272 52.52 60.20 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133XZJ8 06/28/23 06/26/25 100.000 0.000 5.5800 0.155000 0.159276 0.163720 0.168288 28.39 58.18 JPMorgan Chase Financial 48133PB51 01/04/23 01/02/26 100.000 0.000 4.8900 0.135833 0.139118 0.142519 0.146004 49.08 51.93 JPMorgan Chase Financial 48134AR72 09/20/23 12/19/24 100.000 0.000 5.5900 0.155278 0.157424 0.161824 15.71 55.58 JPMorgan Chase Financial 48133XJB3 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48134AQX6 09/15/23 09/16/27 100.000 0.000 5.3200 0.147778 0.151731 0.155767 15.66 54.75 JPMorgan Chase Financial 48133XJA5 07/05/23 07/07/25 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 29.15 62.25 JPMorgan Chase Financial 48133XJD9 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48133XJC1 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48133TNW1 01/31/23 07/31/24 100.000 0.000 4.7400 0.131667 0.134787 0.137982 44.05 28.75 JPMorgan Chase Financial 48133WXE3 05/31/23 05/30/25 100.000 0.000 5.9600 0.165556 0.170489 0.175570 0.180802 35.09 62.61 JPMorgan Chase Financial 48133XJF4 06/30/23 04/01/25 100.000 0.000 6.0300 0.167500 0.170053 0.175180 0.180462 30.55 63.08 JPMorgan Chase Financial 48133XJE7 06/30/23 07/02/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 29.27 60.78 JPMorgan Chase Financial 48133VU32 04/26/23 04/24/25 100.000 0.000 5.9600 0.165556 0.170434 0.175513 0.180744 40.89 62.96 JPMorgan Chase Financial 48133VTR1 05/03/23 01/31/25 100.000 0.000 6.0300 0.167500 0.169941 0.175065 0.180343 40.23 63.67 JPMorgan Chase Financial 48133VTS9 04/28/23 04/30/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 0.176252 39.58 61.38 JPMorgan Chase Financial 48133WG93 08/03/23 09/03/24 100.000 VARIES 6.0537 0.011689 0.011667 0.011905 1.73 2.85 JPMorgan Chase Financial 48133XJP2 07/06/23 07/06/26 100.000 0.000 5.8200 0.161667 0.166371 0.171213 28.29 60.72 JPMorgan Chase Financial 48133V3H1 05/31/23 04/22/26 100.000 0.000 5.8200 0.161667 0.165378 0.170190 0.175143 34.37 61.08 JPMorgan Chase Financial 48134ARG2 09/29/23 10/01/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 13.80 55.48 JPMorgan Chase Financial 48133NMX3 09/30/22 09/30/27 100.000 0.000 5.1900 13.12 0.144167 0.147908 0.151746 0.155684 0.159724 53.26 56.06 JPMorgan Chase Financial 48134ARM9 10/04/23 07/03/25 100.000 0.000 5.7200 0.158889 0.161136 0.165744 13.82 58.82 JPMorgan Chase Financial 48133XJH0 07/06/23 01/03/25 100.000 0.000 6.1000 0.169444 0.174526 0.179849 29.65 63.77 JPMorgan Chase Financial 48133XJG2 07/06/23 08/02/24 100.000 0.000 5.3800 0.149444 0.150025 0.154061 26.24 32.38 JPMorgan Chase Financial 48133PC43 12/28/22 12/26/25 100.000 0.000 4.9800 0.42 0.138333 0.141740 0.145269 0.148886 0.152593 50.45 52.98 JPMorgan Chase Financial 48134ARB3 10/04/23 10/02/26 100.000 0.000 5.4000 0.150000 0.154005 0.158163 13.05 55.45 JPMorgan Chase Financial 48133XJJ6 06/30/23 01/02/25 100.000 0.000 5.4300 0.150833 0.150879 0.154975 0.159183 27.31 56.54 JPMorgan Chase Financial 48133PC27 01/04/23 07/05/24 100.000 0.000 4.7400 0.131667 0.134805 0.137999 47.56 25.38 JPMorgan Chase Financial 48133PBQ5 12/02/22 12/04/24 100.000 0.000 4.8500 3.91 0.134759 0.138026 0.141374 0.144802 49.28 47.69 JPMorgan Chase Financial 48133XJL1 06/30/23 07/02/25 100.000 0.000 5.3200 0.147778 0.147821 0.151754 0.155790 26.76 55.35 JPMorgan Chase Financial 48133XJK3 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48133PC84 12/27/22 12/26/25 100.000 0.000 4.9800 0.55 0.138333 0.141759 0.145288 0.148906 0.152614 50.45 52.99 JPMorgan Chase Financial 48133XJN7 06/30/23 07/02/26 100.000 0.000 5.8200 0.161667 0.161719 0.166425 0.171268 29.27 60.78 JPMorgan Chase Financial 48133XJM9 07/06/23 07/03/25 100.000 0.000 5.9600 0.165556 0.170407 0.175485 28.97 62.24 JPMorgan Chase Financial 48134B3Y7 11/13/23 03/28/25 100.000 0.000 5.7700 0.160278 0.163746 0.168470 7.69 59.09 JPMorgan Chase Financial 48133XKB1 06/14/23 06/14/28 100.000 0.000 5.7200 0.158889 0.163433 0.168107 0.172915 31.38 59.84 JPMorgan Chase Financial 48134ARZ0 09/29/23 10/01/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 13.80 55.48 JPMorgan Chase Financial 48133XJY3 06/30/23 06/30/26 100.000 0.000 5.3000 0.147222 0.151124 0.155128 0.159239 26.65 55.13 JPMorgan Chase Financial 48134ARP2 09/29/23 09/29/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 13.54 54.43 JPMorgan Chase Financial 48133XJX5 06/30/23 07/02/26 100.000 0.000 5.4000 0.150000 0.150045 0.154096 0.158257 27.16 56.22 JPMorgan Chase Financial 48133VE55 04/26/23 05/24/24 100.000 0.000 6.5800 0.182778 0.183713 0.189757 45.21 27.14 JPMorgan Chase Financial 48133TP33 03/03/23 03/05/26 100.000 0.000 5.6400 0.156667 0.156716 0.161135 0.165679 0.170351 47.21 59.90 JPMorgan Chase Financial 48133USJ2 03/08/23 03/06/25 100.000 0.000 5.6400 0.156667 0.161036 0.165577 0.170246 46.41 59.85 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133NNU8 10/31/22 10/29/26 100.000 0.000 5.1000 8.64 0.141667 0.145259 0.148963 0.152762 0.156657 52.10 54.79 JPMorgan Chase Financial 48133NNZ7 11/03/22 11/05/25 100.000 0.000 4.9800 8.03 0.138372 0.141817 0.145348 0.148967 0.152677 50.82 53.39 JPMorgan Chase Financial 48133PDB6 12/21/22 12/17/25 100.000 0.000 4.9800 1.38 0.138333 0.141701 0.145230 0.148846 0.152552 50.50 53.04 JPMorgan Chase Financial 48133WHV3 06/05/23 06/04/27 100.000 VARIES 5.8400 0.162400 0.162222 0.162889 0.167056 0.167778 33.26 59.39 JPMorgan Chase Financial 48133XL87 06/30/23 12/27/24 100.000 0.000 5.8500 0.162500 0.167174 0.172064 29.43 60.39 JPMorgan Chase Financial 48133UBA9 02/17/23 02/20/25 100.000 0.000 5.7200 0.158889 0.158965 0.163511 0.168187 0.172998 50.51 60.95 JPMorgan Chase Financial 48133XKP0 06/30/23 07/02/25 100.000 0.000 5.9600 0.165556 0.165610 0.170546 0.175628 29.98 62.30 JPMorgan Chase Financial 48133WYN2 05/12/23 05/14/24 100.000 0.000 5.2300 0.145278 0.145320 0.149120 33.46 19.83 JPMorgan Chase Financial 48134BVJ9 10/18/23 10/18/28 100.000 0.000 5.3000 0.147222 0.151124 0.155128 10.75 54.28 JPMorgan Chase Financial 48133LR20 08/31/22 08/29/25 100.000 0.000 4.8100 16.17 0.133611 0.136789 0.140097 0.143466 0.146916 49.47 51.87 JPMorgan Chase Financial 48133LR53 09/06/22 03/05/24 100.000 0.000 4.4000 14.06 0.122222 0.124896 0.127644 45.11 8.17 JPMorgan Chase Financial 48133M2V1 09/30/22 10/01/26 100.000 0.000 5.1000 12.89 0.141667 0.145299 0.149004 0.152804 0.156700 52.31 55.02 JPMorgan Chase Financial 48133LQN5 07/19/22 07/17/24 100.000 0.000 4.8100 21.64 0.133611 0.136789 0.140079 0.143447 49.73 28.06 JPMorgan Chase Financial 48133M2P4 10/05/22 10/03/24 100.000 0.000 4.8500 11.59 0.134722 0.137953 0.141298 0.144725 49.66 39.05 JPMorgan Chase Financial 48133MUF5 09/02/22 01/05/29 100.000 0.000 5.9000 19.50 0.163889 0.167193 0.172125 0.177202 0.182430 61.04 64.69 JPMorgan Chase Financial 48133M3B4 10/04/22 10/02/25 100.000 0.000 4.8100 11.62 0.133611 0.136789 0.140079 0.143447 0.146897 49.25 51.64 JPMorgan Chase Financial 48133LRJ3 07/27/22 07/27/27 100.000 0.000 5.0100 21.43 0.139167 0.142653 0.146226 0.149889 0.153644 51.81 54.44 JPMorgan Chase Financial 48133M3A6 10/05/22 10/03/25 100.000 0.000 4.8100 11.49 0.133611 0.136789 0.140079 0.143447 0.146897 49.24 51.63 JPMorgan Chase Financial 48133M3T5 10/05/22 10/03/25 100.000 0.000 4.9800 11.90 0.138333 0.141740 0.145269 0.148886 0.152593 51.02 53.59 JPMorgan Chase Financial 48133M3V0 10/05/22 10/05/26 100.000 0.000 5.1000 12.18 0.141667 0.145279 0.148984 0.152783 0.156679 52.28 54.98 JPMorgan Chase Financial 48133M3X6 09/30/22 10/02/25 100.000 0.000 4.9800 12.59 0.138372 0.141817 0.145348 0.148967 0.152677 51.05 53.63 JPMorgan Chase Financial 48133M3W8 10/05/22 10/05/27 100.000 0.000 5.1900 12.40 0.144167 0.147908 0.151746 0.155684 0.159724 53.23 56.02 JPMorgan Chase Financial 48133M3Z1 09/30/22 09/30/27 100.000 0.000 5.1900 13.12 0.144167 0.147908 0.151746 0.155684 0.159724 53.26 56.06 JPMorgan Chase Financial 48133LB92 09/06/22 09/03/26 100.000 0.000 4.9300 15.75 0.136944 0.140264 0.143721 0.147264 0.150894 50.70 53.22 JPMorgan Chase Financial 48133M3Y4 09/30/22 10/02/25 100.000 0.000 4.9800 12.59 0.138372 0.141817 0.145348 0.148967 0.152677 51.05 53.63 JPMorgan Chase Financial 48133M3N8 10/05/22 10/03/25 100.000 0.000 4.9800 11.90 0.138333 0.141740 0.145269 0.148886 0.152593 51.02 53.59 JPMorgan Chase Financial 48133PNQ2 11/08/22 11/07/24 100.000 0.000 4.8500 7.14 0.134722 0.137971 0.141317 0.144744 49.44 43.86 JPMorgan Chase Financial 48133M4P2 10/05/22 04/04/24 100.000 0.000 4.7400 11.32 0.131667 0.134770 0.137964 48.51 12.83 JPMorgan Chase Financial 48133LCM2 07/29/22 07/31/25 100.000 0.000 4.8100 20.31 0.133629 0.136843 0.140134 0.143504 0.146955 49.67 52.08 JPMorgan Chase Financial 48133LCP5 07/29/22 07/31/25 100.000 0.000 4.8100 20.31 0.133629 0.136843 0.140134 0.143504 0.146955 49.67 52.08 JPMorgan Chase Financial 48133MG87 09/07/22 09/05/25 100.000 0.000 4.8100 15.23 0.133611 0.136789 0.140079 0.143447 0.146897 49.42 51.83 JPMorgan Chase Financial 48133PPW7 11/09/22 11/07/24 100.000 0.000 4.8500 7.01 0.134722 0.137953 0.141298 0.144725 49.44 43.85 JPMorgan Chase Financial 48133LN32 09/06/22 09/05/25 100.000 0.000 4.8100 15.37 0.133611 0.136807 0.140097 0.143466 0.146916 49.43 51.83 JPMorgan Chase Financial 48133LN81 09/06/22 09/03/27 100.000 0.000 5.0100 16.00 0.139167 0.142595 0.146167 0.149828 0.153581 51.54 54.15 JPMorgan Chase Financial 48133LNU2 07/20/22 07/18/25 100.000 0.000 4.8100 21.51 0.133611 0.136789 0.140079 0.143447 0.146897 49.73 52.15 JPMorgan Chase Financial 48133MSU0 10/05/22 10/03/25 100.000 0.000 4.9800 11.90 0.138333 0.141740 0.145269 0.148886 0.152593 51.02 53.59 JPMorgan Chase Financial 48133LQ21 08/31/22 08/31/27 100.000 0.000 5.0100 16.84 0.139167 0.142614 0.146226 0.149869 0.153644 51.58 54.20 JPMorgan Chase Financial 48133LQ70 08/31/22 08/29/25 100.000 0.000 4.8100 16.17 0.133611 0.136789 0.140097 0.143466 0.146916 49.47 51.87 JPMorgan Chase Financial 48133M2F6 09/30/22 10/02/25 100.000 0.000 4.9800 12.59 0.138372 0.141817 0.145348 0.148967 0.152677 51.05 53.63 JPMorgan Chase Financial 48133MLL2 08/30/22 08/28/26 100.000 0.000 4.9300 16.57 0.136944 0.140283 0.143741 0.147284 0.150914 50.74 53.27 JPMorgan Chase Financial 48133PET6 11/09/22 11/07/24 100.000 0.000 4.8500 7.01 0.134722 0.137953 0.141298 0.144725 49.44 43.85 JPMorgan Chase Financial 48133PWG4 11/23/22 11/24/23 100.000 0.000 4.0800 4.31 0.113333 0.115658 37.03 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ JPMorgan Chase Financial 48133LKB7 07/13/22 07/11/25 100.000 0.000 4.8100 22.45 0.133611 0.136789 0.140079 0.143447 0.146897 49.77 52.19 JPMorgan Chase Financial 48133MNW6 09/02/22 09/05/24 100.000 0.000 4.6100 15.24 0.128105 0.131058 0.134078 0.137169 47.34 33.27 JPMorgan Chase Financial 48133LM90 09/06/22 09/05/25 100.000 0.000 4.8100 15.37 0.133611 0.136807 0.140097 0.143466 0.146916 49.43 51.83 JPMorgan Chase Financial 48133LVV1 08/31/22 08/29/25 100.000 0.000 4.8100 16.17 0.133611 0.136789 0.140097 0.143466 0.146916 49.47 51.87 JPMorgan Chase Financial 48133LVU3 09/06/22 09/05/25 100.000 0.000 4.8100 15.37 0.133611 0.136807 0.140097 0.143466 0.146916 49.43 51.83 JPMorgan Chase Financial 48133PRX3 11/16/22 05/15/25 100.000 0.000 4.9200 6.15 0.136667 0.140010 0.143454 0.146983 0.150599 50.11 52.61 JPMorgan Chase Financial 48133PRY1 11/16/22 11/16/27 100.000 0.000 5.1900 6.49 0.144167 0.147908 0.151746 0.155684 0.159724 52.91 55.70 JPMorgan Chase Financial 48133LFG2 07/29/22 07/31/25 100.000 0.000 4.8100 20.31 0.133629 0.136843 0.140134 0.143504 0.146955 49.67 52.08 JPMorgan Chase Financial 48133PSB0 11/21/22 01/06/25 100.000 0.000 4.8500 5.39 0.134722 0.135539 0.138826 0.142192 0.145640 49.37 51.78 JPMorgan Chase Financial 48133LGG1 07/27/22 07/27/28 100.000 0.000 5.0800 21.73 0.141111 0.144695 0.148371 0.152139 0.156004 52.56 55.27 JPMorgan Chase Financial 48133LGJ5 07/27/22 07/27/26 100.000 0.000 5.0100 21.43 0.139167 0.142653 0.146226 0.149889 0.153644 51.81 54.44 JPMorgan Chase Financial 48133PTX1 11/18/22 11/20/24 100.000 0.000 4.8500 5.79 0.134759 0.138026 0.141374 0.144802 49.37 45.72 JPMorgan Chase Financial 48133PTY9 11/18/22 11/20/24 100.000 0.000 4.8500 5.79 0.134759 0.138026 0.141374 0.144802 49.37 45.72 JUDSON TEX INDPT SCH DIS 481305KT6 12/17/20 02/01/39 57.665 0.000 3.0607 36.86 0.051504 0.052292 0.053092 0.053904 0.054729 18.92 19.50 JUDSON TEX INDPT SCH DIS 481305KS8 12/17/20 02/01/38 60.454 0.000 2.9608 37.36 0.052149 0.052921 0.053705 0.054500 0.055307 19.15 19.72 Jackson CNTYS SD#165, IL 466484FM9 06/28/07 06/15/27 28.707 0.000 6.3500 469.86 0.133138 0.137365 0.141726 0.146226 0.150868 48.83 51.98 Jackson CNTYS SD#165, IL 466484FL1 06/28/07 12/01/26 29.691 0.000 6.3498 485.98 0.137361 0.141722 0.146221 0.150864 0.155653 50.50 53.76 Jackson CNTYS SD#165, IL 466484FK3 06/28/07 12/01/25 31.890 0.000 6.2997 515.67 0.145280 0.149856 0.154577 0.159446 0.164468 53.40 56.82 Jackson CNTYS SD#165, IL 466484FJ6 06/28/07 12/01/24 33.931 0.000 6.2996 548.66 0.154575 0.159444 0.164466 0.169647 56.82 55.21 Jackson CNTYS SD#165, IL 466484FH0 06/28/07 12/01/23 36.102 0.000 6.2997 583.77 0.164467 0.169648 55.21 Jeferies Group LLC 47233JKK3 10/31/22 05/02/25 100.000 0.000 5.9500 10.09 0.165332 0.170251 0.175316 0.180532 0.185902 60.99 64.68 Jeferies Group LLC 47233JKJ6 10/31/22 11/02/26 100.000 0.000 6.2900 10.66 0.174783 0.180280 0.185950 0.191798 0.197830 64.57 68.70 Jeferies Group LLC 47233WBV0 09/27/23 03/27/29 100.000 0.000 6.0500 0.168056 0.173139 0.178377 15.80 62.39 Jeferies Group LLC 47233JKP2 10/28/22 10/29/25 100.000 0.000 6.0700 10.62 0.168611 0.173757 0.179030 0.184464 0.190062 62.27 66.11 Jefferies Group LLC 47233JGS1 10/06/21 10/06/41 100.000 VARIES 3.6382 43.84 0.094572 0.093718 0.093352 0.093258 0.093354 33.79 33.59 Jefferies Group LLC 47233JGU6 10/22/21 10/22/41 100.000 VARIES 3.7907 44.13 0.098697 0.098175 0.098226 0.098380 0.098388 35.40 35.40 Jefferies Group LLC 47233JFH6 06/28/21 06/28/41 100.000 VARIES 3.7162 55.68 0.100533 0.099616 0.098976 0.098446 0.098059 36.02 35.53 Jefferies Group LLC 47233JEB0 10/30/20 10/31/40 100.000 VARIES 3.6781 77.51 0.095191 0.094390 0.093692 0.093090 0.092587 34.03 33.55 Jefferies Group LLC 47233JDF2 05/29/20 05/28/32 100.000 VARIES 3.1824 18.28 0.016873 0.017141 0.017414 0.017691 0.017973 6.14 6.34 Jefferies Group LLC 47233JDQ8 08/21/20 08/28/35 100.000 VARIES 3.6012 83.90 0.097130 0.096570 0.096110 0.095776 0.095583 34.74 34.47 Jefferies Group LLC 47233JCR7 11/29/19 11/29/34 100.000 VARIES 4.1288 126.05 0.111534 0.111623 0.111747 0.111881 0.112022 40.17 40.26 Jefferies Group LLC 47233JCE6 08/30/19 08/31/39 100.000 VARIES 4.1514 132.66 0.104934 0.105339 0.105804 0.106247 0.106713 37.96 38.28 Jefferies Group LLC 47233JBT4 03/21/19 03/21/31 100.000 VARIES 4.2780 19.40 0.012774 0.013047 0.013327 0.013612 0.013903 4.70 4.91 Jefferies Group LLC 47233JBW7 05/31/19 05/31/39 100.000 VARIES 5.4586 12.27 0.006059 0.005103 0.005242 0.005385 0.005532 1.98 1.92 Jefferies Group LLC 47233JBV9 04/30/19 04/30/34 100.000 VARIES 5.1653 17.89 0.010188 0.009239 0.009478 0.009723 0.009974 3.45 3.49 Jefferies Group LLC 47233JBY3 06/26/19 06/26/39 100.000 VARIES 5.4862 18.91 0.011091 0.010042 0.008964 0.007856 0.008072 3.79 3.02 Jefferies Group LLC 47233JBC1 10/31/17 10/31/37 100.000 VARIES 5.1265 251.82 0.131111 0.130947 0.130904 0.130977 0.131159 47.16 47.15 Jefferies Group LLC 47233JBB3 10/31/17 10/31/37 100.000 VARIES 5.1557 249.93 0.129477 0.129180 0.128990 0.128908 0.128911 46.53 46.42 Jefferies Group LLC 47233JBE7 12/28/17 12/28/37 100.000 VARIES 4.3011 30.56 0.011255 0.011497 0.011744 0.011997 0.012255 4.10 4.28 Jefferies Group LLC 47233JBG2 01/31/18 01/31/38 100.000 VARIES 5.0271 232.95 0.129647 0.129979 0.130347 0.130749 0.131158 46.84 47.12 Jefferies Group LLC 47233JBK3 03/29/18 03/29/38 100.000 VARIES 5.3355 245.45 0.140964 0.141245 0.141533 0.141814 0.142076 50.85 51.05 Jefferies Group LLC 47233JBJ6 02/28/18 02/28/38 100.000 VARIES 4.1737 15.15 0.006674 0.006812 0.006956 0.007100 0.007249 2.46 2.57 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Jefferies Group LLC 47233JAL2 04/28/17 04/28/33 100.000 VARIES 5.1690 269.24 0.127823 0.127850 0.128193 0.128545 0.128906 46.04 46.26 Jefferies Group LLC 47233JAQ1 06/30/17 06/30/37 100.000 VARIES 5.1829 257.68 0.123470 0.123489 0.123617 0.123833 0.124141 44.45 44.54 Jefferies Group LLC 47233JAP3 05/31/17 05/31/34 100.000 VARIES 5.0961 265.98 0.128050 0.128110 0.128172 0.128236 0.128685 46.11 46.17 Jefferies Group LLC 47233JAT5 07/31/17 07/31/37 100.000 VARIES 5.3560 274.09 0.135420 0.135127 0.134983 0.134996 0.135135 48.63 48.62 Jefferies Group LLC 47233JAV0 08/31/17 08/31/37 100.000 VARIES 5.1572 254.65 0.120319 0.120238 0.120338 0.120480 0.120735 43.30 43.40 Jefferies Group LLC 47233JAY4 09/29/17 09/30/37 100.000 VARIES 5.0451 247.96 0.125265 0.125115 0.125045 0.125071 0.125172 45.05 45.03 Jefferies Group LLC 47233JAX6 08/31/17 08/31/37 100.000 VARIES 5.1565 254.82 0.126476 0.126093 0.125912 0.125788 0.125791 45.39 45.29 Jefferies Group LLC 47233JAK4 02/28/17 02/28/24 100.000 VARIES 2.8488 15.38 0.007581 0.007689 0.007799 2.78 0.44 Jefferies Group LLC 47233WCC1 11/02/23 08/03/26 100.000 0.000 6.3400 0.176111 0.178933 0.184606 10.39 65.17 Jefferies Group LLC 47233WBH1 07/26/23 01/26/28 100.000 0.000 5.7500 0.159722 0.164314 0.169038 24.76 59.77 Jefferies Group LLC 47233WBJ7 07/26/23 01/26/29 100.000 0.000 5.7700 0.160278 0.164902 0.169659 24.84 59.99 Jefferies Group LLC 47233WBW8 09/27/23 03/27/28 100.000 0.000 6.1000 0.169444 0.174613 0.179938 15.93 62.92 Jefferies Group LLC 47233WAX7 04/28/23 04/28/27 100.000 0.000 5.1100 0.141944 0.145571 0.149290 0.153105 34.72 53.55 Jefferies Group LLC 47233WBC2 05/30/23 05/26/27 100.000 0.000 5.2800 0.146667 0.150453 0.154425 0.158501 31.08 55.16 Jefferies Group LLC 47233WBF5 07/06/23 12/27/28 100.000 0.000 5.5100 0.153056 0.157061 0.161388 0.165835 26.80 57.36 Jefferies Group LLC 47233WAH2 12/27/22 06/25/27 100.000 0.000 5.3100 0.59 0.147500 0.151373 0.155392 0.159517 0.163752 53.84 56.73 Jefferies Group LLC 47233WAJ8 12/27/22 06/27/28 100.000 0.000 5.4900 0.61 0.152500 0.156686 0.160987 0.165406 0.169947 55.69 58.79 Jefferies Group LLC 47233WAK5 01/31/23 01/31/43 100.000 VARIES 5.9130 0.011858 0.010633 0.009372 0.008072 0.006735 3.74 3.22 Jefferies Group LLC 47233WAN9 04/04/23 04/05/27 100.000 0.000 5.4000 0.150000 0.154073 0.158232 0.162505 40.40 56.94 Jefferies Group, LLC 47233JKF4 10/05/22 04/05/27 100.000 0.000 5.6900 13.59 0.158056 0.162552 0.167177 0.171933 0.176825 58.49 61.87 Jefferies Group, LLC 47233WAB5 11/23/22 05/21/27 100.000 0.000 5.8800 6.21 0.163333 0.168082 0.173024 0.178110 0.183347 60.04 63.62 Jefferies Group, LLC 47233WAA7 11/23/22 05/21/26 100.000 0.000 5.7300 6.05 0.159167 0.163676 0.168365 0.173189 0.178151 58.48 61.87 Jefferies Group, LLC 47233WAD1 12/02/22 12/02/27 100.000 0.000 5.6100 4.52 0.155833 0.160204 0.164698 0.169318 0.174067 57.14 60.39 Jefferies Group, LLC 47233WAC3 11/17/22 11/17/27 100.000 0.000 5.8400 7.14 0.162222 0.166959 0.171834 0.176852 0.182016 59.68 63.21 Jefferson CNTYS #521, IL 474070HS1 05/30/13 12/01/23 105.651 VARIES 3.0399 301.79 0.084946 0.084696 27.99 Johnson CNTYS, IL 478167HL6 07/03/14 10/01/23 103.105 VARIES 3.8407 333.19 0.107111 0.106901 28.88 K. 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TEX INDPT SCH 5978517M0 11/19/20 02/15/23 98.612 0.000 0.6252 13.12 0.017313 0.76 MINERAL WELLS TEX INDPT 603109RL5 03/31/21 02/15/23 99.152 0.000 0.4547 7.93 0.012602 0.55 MINERAL WELLS TEX INDPT 603109RS0 03/31/21 02/15/29 85.552 0.000 1.9913 30.25 0.048629 0.049113 0.049602 0.050096 0.050594 17.73 18.08 MINERAL WELLS TEX INDPT 603109RR2 03/31/21 02/15/28 88.981 0.000 1.7053 26.89 0.043145 0.043513 0.043884 0.044258 0.044636 15.70 15.97 MINERAL WELLS TEX INDPT 603109RQ4 03/31/21 02/15/27 91.300 0.000 1.5552 25.14 0.040291 0.040604 0.040920 0.041238 0.041559 14.65 14.88 MINERAL WELLS TEX INDPT 603109RP6 03/31/21 02/15/26 94.328 0.000 1.2013 20.02 0.032000 0.032192 0.032385 0.032580 0.032776 11.61 11.75 MINERAL WELLS TEX INDPT 603109RN1 03/31/21 02/15/25 96.018 0.000 1.0513 17.82 0.028448 0.028597 0.028748 0.028899 0.029051 10.31 10.42 MINERAL WELLS TEX INDPT 603109RM3 03/31/21 02/15/24 98.203 0.000 0.6317 10.92 0.017382 0.017437 0.017492 6.28 0.77 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MISSION CONS INDPT SCH 605041HZ8 12/30/20 02/15/25 95.901 0.000 1.0172 19.69 0.027547 0.027687 0.027828 0.027969 0.028111 9.98 10.08 MOOD MEDIA BORROWER LLC 614875AD4 01/01/19 12/31/23 100.000 VARIES 0.0000 826.59 0.947702 1.044615 357.67 MOOD MEDIA BORROWER LLC 614875AC6 06/28/19 12/31/23 84.250 VARIES 20.4523 826.59 0.947702 1.044615 357.67 MOOD MEDIA BORROWER LLC U55360AB4 06/28/19 12/31/23 100.000 VARIES 16.1998 826.59 0.947702 1.044615 357.67 MORGAN STANLEY FIANCE 61774FAE2 09/29/22 10/01/24 100.000 0.000 4.9820 12.74 0.138427 0.141875 0.145410 0.149032 51.08 39.91 MORGAN STANLEY FINANCE 61773QZR3 05/04/22 05/04/27 100.000 0.000 4.1269 27.30 0.117002 0.119416 0.121880 0.124395 0.126962 42.83 44.62 MORGAN STANLEY FINANCE 61773QJ34 04/27/22 04/26/29 100.000 0.000 4.3151 29.41 0.122436 0.125077 0.127776 0.130533 0.133349 44.90 46.86 MORGAN STANLEY FINANCE 61774DNM5 06/10/22 06/10/27 100.000 0.000 4.2071 23.54 0.119322 0.121832 0.124395 0.127012 0.129683 43.51 45.36 MORGAN STANLEY FINANCE 61773QZT9 04/29/22 04/29/27 100.000 0.000 3.9369 26.60 0.111511 0.113706 0.115944 0.118227 0.120554 40.81 42.44 MORGAN STANLEY FINANCE 61773QZU6 04/29/22 05/01/29 100.000 0.000 4.1304 27.91 0.117130 0.119549 0.122018 0.124537 0.127109 42.90 44.69 MORGAN STANLEY FINANCE 61773QZD4 04/27/22 04/27/27 100.000 0.000 4.1211 28.08 0.116834 0.119241 0.121698 0.124206 0.126765 42.80 44.59 MORGAN STANLEY FINANCE 61773Y359 04/22/22 05/05/26 100.000 0.000 3.9175 27.25 0.111108 0.113284 0.115503 0.117766 0.120072 40.64 42.24 MORGAN STANLEY FINANCE 61773Y474 05/04/22 11/05/25 100.000 0.000 3.8947 25.76 0.110305 0.112453 0.114642 0.116875 0.119151 40.34 41.93 MORGAN STANLEY FINANCE 61774DGB7 06/03/22 06/05/25 100.000 0.000 3.5556 20.59 0.100542 0.102330 0.104149 0.106001 0.107885 36.61 37.92 MORGAN STANLEY FINANCE 61774DGQ4 06/08/22 06/08/27 100.000 0.000 4.1771 23.61 0.118454 0.120928 0.123454 0.126032 0.128664 43.20 45.03 MORGAN STANLEY FINANCE 61773QG29 04/29/22 10/29/27 100.000 0.000 3.9912 26.97 0.113079 0.115336 0.117637 0.119985 0.122379 41.40 43.07 MORGAN STANLEY FINANCE 61773QX27 04/29/22 05/01/29 100.000 0.000 4.1304 27.91 0.117130 0.119549 0.122018 0.124537 0.127109 42.90 44.69 MORGAN STANLEY FINANCE 61773QWA3 06/14/22 09/14/23 100.000 0.000 3.1935 17.55 0.089417 0.090844 22.88 MORGAN STANLEY FINANCE 61773QVF3 05/04/22 11/02/23 100.000 0.000 3.2368 21.39 0.091350 0.092828 27.76 MORGAN STANLEY FINANCE 61773QVD8 05/04/22 08/01/24 100.000 0.000 3.2166 21.28 0.090045 0.091493 0.092964 0.094459 33.11 19.79 MORGAN STANLEY FINANCE 61773QVE6 04/28/22 05/31/24 100.000 0.000 3.3113 22.46 0.093779 0.095331 0.096910 34.14 14.44 MORGAN STANLEY FINANCE 61773QUY3 04/25/22 10/25/23 100.000 0.000 3.0862 21.18 0.087051 0.088394 25.83 MORGAN STANLEY FINANCE 61773QUZ0 04/27/22 10/26/23 100.000 0.000 3.2353 22.02 0.091315 0.092792 27.20 MORGAN STANLEY FINANCE 61773QUX5 04/25/22 10/24/23 100.000 0.000 3.0862 21.18 0.087043 0.088386 25.75 MORGAN STANLEY FINANCE 61773QE47 04/27/22 04/26/29 100.000 0.000 4.3151 29.41 0.122436 0.125077 0.127776 0.130533 0.133349 44.90 46.86 MORGAN STANLEY FINANCE 61773QE39 04/27/22 04/27/27 100.000 0.000 4.1211 28.08 0.116834 0.119241 0.121698 0.124206 0.126765 42.80 44.59 MORGAN STANLEY FINANCE 61773QVB2 04/29/22 08/30/24 100.000 0.000 3.5449 23.97 0.099643 0.101389 0.103206 0.105025 36.62 25.00 MORGAN STANLEY FINANCE 61773QVC0 04/29/22 04/30/25 100.000 0.000 3.8590 26.07 0.109274 0.111383 0.113532 0.115722 0.117955 39.98 41.54 MORGAN STANLEY FINANCE 61773QVA4 04/29/22 11/29/24 100.000 0.000 3.9696 26.83 0.112827 0.115067 0.117350 0.119680 41.17 38.91 MORGAN STANLEY FINANCE 61773QYA1 05/04/22 05/04/27 100.000 0.000 4.1269 27.30 0.117002 0.119416 0.121880 0.124395 0.126962 42.83 44.62 MORGAN STANLEY FINANCE 61773Q6U8 06/03/22 06/04/27 100.000 0.000 4.0488 23.45 0.114756 0.117079 0.119449 0.121867 0.124335 41.86 43.57 MORGAN STANLEY FINANCE 61773QYD5 04/29/22 05/01/29 100.000 0.000 4.1304 27.91 0.117130 0.119549 0.122018 0.124537 0.127109 42.90 44.69 MORGAN STANLEY FINANCE 61773QYB9 05/04/22 05/04/27 100.000 0.000 4.1269 27.30 0.117002 0.119416 0.121880 0.124395 0.126962 42.83 44.62 MORGAN STANLEY FINANCE 61774HJT6 10/06/22 10/08/24 100.000 0.000 4.9491 11.69 0.137513 0.140916 0.144403 0.147976 50.69 40.64 MORGAN STANLEY FINANCE 61774DNB9 06/03/22 06/04/27 100.000 0.000 4.0488 23.45 0.114756 0.117079 0.119449 0.121867 0.124335 41.86 43.57 MORGAN STANLEY FINANCE 61774DNL7 06/10/22 06/10/27 100.000 0.000 4.2071 23.54 0.119322 0.121832 0.124395 0.127012 0.129683 43.51 45.36 MORGAN STANLEY FINANCE 61774FFY3 09/30/22 10/02/29 100.000 0.000 5.6163 14.20 0.156057 0.160439 0.164945 0.169577 0.174339 57.76 61.05 MORGAN STANLEY FINANCE 61774FEW8 10/05/22 10/05/27 100.000 0.000 5.5476 13.25 0.154100 0.158374 0.162767 0.167282 0.171922 56.99 60.20 MORGAN STANLEY FINANCE 61774FEE8 09/30/22 09/30/27 100.000 0.000 5.4789 13.85 0.152192 0.156361 0.160644 0.165045 0.169566 56.31 59.44 MORGAN STANLEY FINANCE 61774D1A5 06/28/22 07/26/24 100.000 0.000 3.7340 19.03 0.104023 0.105966 0.107944 0.109959 38.41 22.49 MORGAN STANLEY FINANCE 61774E428 10/05/22 10/03/29 100.000 0.000 5.7054 13.63 0.158483 0.162954 0.167603 0.172384 0.177302 58.66 62.05 MORGAN STANLEY FINANCE 61774FFZ0 10/05/22 10/05/27 100.000 0.000 5.5476 13.25 0.154100 0.158374 0.162767 0.167282 0.171922 56.99 60.20 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ MORGAN STANLEY FINANCE 61773Y789 06/03/22 12/03/25 100.000 0.000 3.7094 21.49 0.104950 0.106896 0.108879 0.110898 0.112955 38.24 39.67 MORGAN STANLEY FINANCE 61774DTP2 07/13/22 07/13/26 100.000 0.000 4.3472 20.29 0.120756 0.123380 0.126062 0.128802 0.131602 44.84 46.81 MORGAN STANLEY FINANCE 61774D5R4 10/05/22 10/05/27 100.000 0.000 5.5476 13.25 0.154100 0.158374 0.162767 0.167282 0.171922 56.99 60.20 MORGAN STANLEY FINANCE 61774D5S2 10/05/22 10/05/27 100.000 0.000 5.5476 13.25 0.154100 0.158374 0.162767 0.167282 0.171922 56.99 60.20 MORGAN STANLEY FINANCE 61774D5P8 09/30/22 10/02/29 100.000 0.000 5.6163 14.20 0.156057 0.160439 0.164945 0.169577 0.174339 57.76 61.05 MORGAN STANLEY FINANCE 61774D5Q6 10/05/22 10/05/27 100.000 0.000 5.5476 13.25 0.154100 0.158374 0.162767 0.167282 0.171922 56.99 60.20 MORGAN STANLEY FINANCE 61774D5J2 09/30/22 10/02/29 100.000 0.000 5.6163 14.20 0.156057 0.160439 0.164945 0.169577 0.174339 57.76 61.05 MORGAN STANLEY FINANCE 61774B283 07/06/22 07/05/29 100.000 0.000 4.7119 22.91 0.130886 0.133953 0.137108 0.140339 0.143645 48.77 51.09 MORGAN STANLEY FINANCE 61774D7N1 10/05/22 10/03/25 100.000 0.000 5.2781 12.61 0.146614 0.150440 0.154410 0.158485 0.162668 54.16 57.05 MORGAN STANLEY FINANCE 61774D7M3 09/30/22 09/30/27 100.000 0.000 5.4789 13.85 0.152192 0.156361 0.160644 0.165045 0.169566 56.31 59.44 MORGAN STANLEY FINANCE 61774D7K7 09/30/22 10/02/25 100.000 0.000 5.2218 13.20 0.145092 0.148880 0.152767 0.156756 0.160849 53.60 56.43 MORGAN STANLEY FINANCE 61774DGV3 06/03/22 06/04/27 100.000 0.000 4.0488 23.45 0.114756 0.117079 0.119449 0.121867 0.124335 41.86 43.57 MORGAN STANLEY FINANCE 61773QWJ4 07/07/22 07/05/24 100.000 0.000 3.5515 17.17 0.098653 0.100385 0.102168 0.103982 36.45 19.13 MORGAN STANLEY FINANCE 61774HFR4 09/30/22 09/30/27 100.000 0.000 5.4789 13.85 0.152192 0.156361 0.160644 0.165045 0.169566 56.31 59.44 MORGAN STANLEY FINANCE 61773QVY2 06/15/22 01/15/25 100.000 0.000 3.9475 21.55 0.110013 0.112185 0.114399 0.116657 0.118960 40.72 42.35 MORGAN STANLEY FINANCE 61773QVZ9 06/09/22 12/11/24 100.000 0.000 3.5284 19.84 0.099760 0.101520 0.103311 0.105133 36.30 35.45 MORGAN STANLEY FINANCE 61774HF52 10/05/22 10/06/23 100.000 0.000 4.2222 10.09 0.117283 0.119773 32.70 MORGAN STANLEY FINANCE 61773QVW6 06/07/22 10/07/24 100.000 0.000 3.5478 20.20 0.099715 0.101484 0.103285 0.105117 36.52 28.84 MORGAN STANLEY FINANCE 61774HEU8 09/29/22 10/01/24 100.000 0.000 4.9580 12.67 0.137760 0.141175 0.144675 0.148261 50.83 39.71 MORGAN STANLEY FINANCE 61773QVX4 06/21/22 06/20/25 100.000 0.000 4.3761 23.13 0.124203 0.126921 0.129698 0.132536 0.135436 45.26 47.27 MORGAN STANLEY FINANCE 61773QVU0 06/08/22 12/07/23 100.000 0.000 2.9709 16.78 0.083744 0.084988 28.36 MORGAN STANLEY FINANCE 61773QVV8 06/21/22 06/20/25 100.000 0.000 4.3761 23.13 0.124203 0.126921 0.129698 0.132536 0.135436 45.26 47.27 MORGAN STANLEY FINANCE 61773QVR7 06/03/22 06/05/25 100.000 0.000 3.6428 21.10 0.103053 0.104930 0.106841 0.108787 0.110768 37.54 38.92 MORGAN STANLEY FINANCE 61773QVS5 06/02/22 11/30/23 100.000 0.000 2.9497 17.16 0.083131 0.084357 27.57 MORGAN STANLEY FINANCE 61774DMB0 06/30/22 07/02/29 100.000 0.000 4.7878 24.08 0.133030 0.136214 0.139475 0.142814 0.146233 49.62 52.02 MORGAN STANLEY FINANCE 61774DML8 07/06/22 07/06/27 100.000 0.000 4.5507 22.12 0.126408 0.129285 0.132226 0.135235 0.138312 47.04 49.21 MORGAN STANLEY FINANCE 61774DMJ3 06/06/22 06/04/27 100.000 0.000 4.1122 23.48 0.116550 0.118947 0.121392 0.123888 0.126436 42.52 44.29 MORGAN STANLEY FINANCE 61774FAF9 10/05/22 08/04/25 100.000 0.000 5.2329 12.50 0.145358 0.147873 0.151742 0.155712 0.159786 53.72 56.52 MORGAN STANLEY FINANCE 61774FAC6 09/30/22 10/02/25 100.000 0.000 5.2793 13.35 0.146690 0.150562 0.154537 0.158616 0.162803 54.20 57.10 MORGAN STANLEY FINANCE 61774FAD4 09/21/22 09/19/24 100.000 0.000 4.5365 12.60 0.126014 0.128840 0.131763 0.134752 46.46 34.53 MORGAN STANLEY FINANCE 61774FAB8 09/14/22 09/12/24 100.000 0.000 4.1940 12.47 0.116500 0.118916 0.121410 0.123955 42.91 30.93 MORGAN STANLEY FINANCE 61774DLG0 06/30/22 07/02/29 100.000 0.000 4.7878 24.08 0.133030 0.136214 0.139475 0.142814 0.146233 49.62 52.02 MORGAN STANLEY FINANCE 61774DLD7 06/23/22 12/22/25 100.000 0.000 4.3932 22.97 0.124699 0.127438 0.130237 0.133098 0.136022 45.43 47.45 MORGAN STANLEY FINANCE 61773Q6B0 06/03/22 06/04/27 100.000 0.000 4.0488 23.45 0.114756 0.117079 0.119449 0.121867 0.124335 41.86 43.57 Marion CNTY SD #133, IL 568870BN8 05/05/15 12/01/23 119.592 VARIES 3.7759 325.99 0.107666 0.106290 35.28 Mashantucket Western 574754AM9 07/01/13 07/01/36 14.695 VARIES N/A 671.28 0.339354 0.343791 0.348664 0.354017 0.359897 123.81 127.50 Mashantucket Western 574754AL1 07/01/13 07/01/26 53.461 6.350 N/A 965.39 0.353578 0.364162 0.375565 0.387849 0.401084 131.19 139.74 Mclean County, IL 582001FG3 06/30/14 12/01/23 110.876 VARIES 4.1300 375.51 0.116246 0.115491 38.23 Mclean County, IL 582001FH1 06/30/14 12/01/24 109.553 VARIES 4.3801 396.92 0.124252 0.123628 0.122989 0.122337 44.58 40.47 Miami-Dade County, FL 59333MXE0 12/15/09 12/15/26 73.673 5.760 8.7676 164.56 0.059272 0.061871 0.064583 0.067414 0.070369 21.89 23.85 Morgan Stanley 61760QAK0 03/30/12 03/30/32 100.000 VARIES 5.8741 545.20 0.139209 0.140194 0.141209 0.142253 0.143545 50.47 51.24 Morgan Stanley 61761JXP9 03/03/15 03/03/25 100.000 0.000 3.5983 322.07 0.130606 0.132956 0.135348 0.137783 0.140262 48.00 49.74 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61766B259 05/04/16 11/03/23 100.000 0.000 3.0362 222.22 0.102580 0.104138 31.26 Morgan Stanley 61760QAG9 03/15/12 03/15/32 100.000 VARIES 5.5710 526.97 0.134530 0.135191 0.135940 0.136711 0.137502 48.70 49.24 Morgan Stanley 61761JGH6 05/30/13 05/31/33 100.000 VARIES 4.3438 391.36 0.110134 0.109646 0.109869 0.110097 0.110937 40.10 40.29 Morgan Stanley 61760QAP9 03/30/12 03/30/27 100.000 VARIES 5.8451 557.92 0.147472 0.148844 0.150256 0.151709 0.153364 53.59 54.64 Morgan Stanley 61760QAN4 03/30/12 03/30/32 100.000 VARIES 6.0912 593.23 0.149269 0.149946 0.150644 0.151362 0.152234 53.98 54.51 Morgan Stanley 61761JGS2 05/24/13 05/24/33 100.000 VARIES 4.1821 373.44 0.106083 0.106224 0.106480 0.106741 0.107008 38.23 38.40 Morgan Stanley 61760QAW4 04/30/12 04/30/32 100.000 VARIES 5.9580 552.13 0.143089 0.144003 0.144945 0.145914 0.146914 51.79 52.47 Morgan Stanley 61745EN64 05/19/11 05/19/26 100.000 VARIES 5.5224 602.23 0.144098 0.142741 0.145342 0.144810 0.148492 52.40 53.23 Morgan Stanley 61745EN72 09/30/11 09/30/31 100.000 VARIES 6.1252 589.17 0.145994 0.147191 0.148425 0.149696 0.151007 52.99 53.90 Morgan Stanley 617482UH5 05/31/11 05/29/26 100.000 VARIES 5.3835 609.15 0.145502 0.145880 0.146269 0.146667 0.147358 52.47 52.76 Morgan Stanley 61761JHD4 06/28/13 06/28/33 100.000 VARIES 5.2916 467.89 0.133672 0.133821 0.134142 0.134471 0.134808 48.15 48.35 Morgan Stanley 617482VB7 06/30/11 06/30/31 100.000 VARIES 5.5330 591.61 0.139570 0.139891 0.140221 0.140560 0.141157 50.30 50.54 Morgan Stanley 61766B135 04/05/16 10/04/23 100.000 0.000 3.0621 227.30 0.103627 0.105214 28.58 Morgan Stanley 617482UY8 06/15/11 06/13/31 100.000 VARIES 5.5345 589.24 0.138549 0.138837 0.139339 0.139854 0.140384 49.94 50.27 Morgan Stanley 61766B168 04/05/16 10/04/23 100.000 0.000 3.0621 227.30 0.103627 0.105214 28.58 Morgan Stanley 61765R669 11/04/15 05/05/23 100.000 0.000 3.3210 266.00 0.115538 14.33 Morgan Stanley 61761JWZ8 02/24/15 02/24/23 100.000 0.000 3.1504 278.24 0.110630 5.86 Morgan Stanley 6174824H4 04/30/13 04/28/23 100.000 VARIES 3.0093 283.61 0.083287 9.74 Morgan Stanley 61760QAC8 02/29/12 02/29/32 100.000 VARIES 5.1025 523.86 0.132795 0.130942 0.132704 0.131590 0.134213 48.12 48.55 Morgan Stanley 61760QAB0 02/29/12 02/29/32 100.000 VARIES 5.1014 483.65 0.123738 0.122382 0.124465 0.123861 0.126695 45.00 45.72 Morgan Stanley 61761JGF0 05/08/13 05/06/33 100.000 VARIES 3.9967 363.43 0.102510 0.102582 0.102770 0.102962 0.103157 36.93 37.05 Morgan Stanley 61765U175 12/03/15 06/02/23 100.000 0.000 3.3916 268.78 0.119207 18.00 Morgan Stanley 61760QCK8 02/28/13 03/01/23 100.000 VARIES 1.9099 33.67 0.010258 0.62 Morgan Stanley 61760QCW2 06/28/13 06/28/28 100.000 VARIES 4.2811 379.44 0.114007 0.114572 0.115148 0.115738 0.116181 41.15 41.56 Morgan Stanley 61760QCV4 06/28/13 06/28/28 100.000 VARIES 4.3010 381.09 0.114446 0.115017 0.115600 0.116195 0.116648 41.31 41.73 Morgan Stanley 6174824W1 05/30/13 05/30/28 100.000 VARIES 3.5684 329.83 0.096556 0.096772 0.096988 0.097208 0.097431 34.81 34.97 Morgan Stanley 61762P476 08/09/13 08/09/23 100.000 0.000 4.3446 497.54 0.177685 0.181545 39.43 Morgan Stanley 61760QCT9 06/28/13 06/28/28 100.000 VARIES 4.5851 387.13 0.115565 0.116529 0.117508 0.118510 0.119534 41.78 42.49 Morgan Stanley 61760QCS1 06/07/13 06/07/28 100.000 VARIES 4.0272 344.92 0.100460 0.101238 0.102172 0.103124 0.104095 36.35 37.00 Morgan Stanley 61760QCQ5 06/28/13 06/28/28 100.000 VARIES 3.9696 341.70 0.101776 0.102494 0.103211 0.103942 0.104687 36.77 37.29 Morgan Stanley 61761JJB6 06/18/13 06/18/32 100.000 VARIES 4.7373 428.56 0.122918 0.123046 0.123298 0.123557 0.123822 44.28 44.44 Morgan Stanley 61760QCZ5 07/31/13 07/31/33 100.000 VARIES 4.4981 378.22 0.110910 0.111458 0.112018 0.112591 0.113177 40.19 40.60 Morgan Stanley 61760QCY8 07/31/13 07/31/28 100.000 VARIES 4.5084 393.36 0.118192 0.118821 0.119463 0.120120 0.120792 42.85 43.33 Morgan Stanley 61760QDE1 08/28/13 08/28/33 100.000 VARIES 4.4982 363.84 0.105244 0.105791 0.106349 0.107066 0.107799 38.12 38.59 Morgan Stanley 61760QDD3 08/19/13 08/19/33 100.000 VARIES 4.5466 372.94 0.108960 0.109583 0.110219 0.110934 0.111666 39.50 40.00 Morgan Stanley 61760QDB7 08/19/13 08/19/33 100.000 VARIES 4.7352 409.37 0.122922 0.123548 0.124188 0.124736 0.125298 44.53 44.95 Morgan Stanley 61760QBJ2 05/31/12 05/31/27 100.000 VARIES 6.1478 569.90 0.149571 0.151254 0.153393 0.155598 0.157871 54.27 55.76 Morgan Stanley 61766B366 06/03/16 12/05/23 100.000 0.000 3.0194 217.92 0.101929 0.103468 34.32 Morgan Stanley 61765G804 09/03/15 03/03/23 100.000 0.000 3.4969 289.25 0.123813 7.68 Morgan Stanley 61760QBH6 05/31/12 05/31/27 100.000 VARIES 6.1478 569.90 0.149571 0.151254 0.153393 0.155598 0.157871 54.27 55.76 Morgan Stanley 61760QBZ6 10/10/12 10/10/24 100.000 VARIES 4.6395 473.72 0.128877 0.128878 0.128880 0.128877 46.40 35.96 Morgan Stanley 61760QBY9 10/15/12 10/15/24 100.000 VARIES 4.4801 456.82 0.124412 0.124415 0.124418 0.124421 44.79 35.34 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 617482H23 03/16/12 03/16/27 100.000 VARIES 6.4024 660.81 0.168610 0.169141 0.169930 0.170744 0.171584 60.93 61.49 Morgan Stanley 61760QCG7 01/31/13 01/31/23 100.000 VARIES 2.1326 34.54 0.010515 0.30 Morgan Stanley 61760QCB8 11/28/12 11/28/27 100.000 VARIES 4.4679 491.83 0.138858 0.138237 0.137602 0.136953 0.136289 49.84 49.38 Morgan Stanley 617482XG4 08/30/11 08/29/31 100.000 VARIES 6.1189 645.68 0.151198 0.152286 0.150894 0.152826 0.152272 55.35 55.75 Morgan Stanley 61765U381 01/05/16 07/06/23 100.000 0.000 3.3685 262.97 0.116271 0.118229 21.86 Morgan Stanley 61760QEZ3 09/17/14 09/17/34 100.000 VARIES 2.6675 33.81 0.010742 0.010885 0.011031 0.011178 0.011327 3.92 4.03 Morgan Stanley 61761JKY4 09/30/13 09/30/33 100.000 VARIES 4.8148 419.56 0.124017 0.124168 0.124324 0.124582 0.124846 44.70 44.85 Morgan Stanley 61760QFH2 10/30/14 10/30/24 100.000 VARIES 2.1052 166.24 0.057596 0.057813 0.058032 0.058253 20.80 17.39 Morgan Stanley 61745ER60 05/31/11 05/31/31 100.000 VARIES 5.6682 593.74 0.139564 0.140137 0.140955 0.141796 0.142662 50.39 50.95 Morgan Stanley 61766F250 11/03/16 05/03/24 100.000 0.000 2.9896 200.64 0.099228 0.100711 0.102216 36.16 12.47 Morgan Stanley 61767BAA8 02/22/16 02/23/26 100.000 VARIES 3.7844 261.96 0.106903 0.106955 0.106876 0.106796 0.106583 38.49 38.42 Morgan Stanley 61760QDL5 09/26/13 09/26/33 100.000 VARIES 4.6879 383.41 0.113253 0.113763 0.114285 0.114907 0.115543 40.96 41.37 Morgan Stanley 61761JJP5 07/31/13 07/29/33 100.000 VARIES 4.8133 424.96 0.122725 0.122818 0.122913 0.123142 0.123376 44.23 44.36 Morgan Stanley 61761JJY6 07/15/13 07/15/33 99.000 VARIES 4.8838 437.06 0.126863 0.127005 0.127150 0.127384 0.127624 45.74 45.89 Morgan Stanley 61760QDR2 11/27/13 11/27/33 100.000 VARIES 4.4302 349.87 0.104309 0.105066 0.105841 0.106656 0.107490 37.74 38.31 Morgan Stanley 61766B564 07/06/16 01/03/24 100.000 0.000 2.7558 194.26 0.090190 0.091433 0.092693 33.14 0.19 Morgan Stanley 61760QEC4 03/31/14 03/31/34 100.000 VARIES 4.3149 342.27 0.106314 0.106623 0.106939 0.107262 0.107672 38.39 38.62 Morgan Stanley 61761JKL2 08/30/13 08/30/33 100.000 VARIES 5.0532 443.22 0.127976 0.127417 0.127561 0.127829 0.128808 46.56 46.89 Morgan Stanley 61760QGW8 07/31/15 07/31/27 100.000 VARIES 2.7281 28.67 0.010887 0.011036 0.011186 0.011339 0.011493 3.99 4.10 Morgan Stanley 61760QGV0 07/31/15 07/31/27 100.000 VARIES 2.7160 25.70 0.009758 0.009890 0.010024 0.010160 0.010298 3.58 3.67 Morgan Stanley 61745ET27 05/31/11 05/31/26 100.000 VARIES 5.5394 626.44 0.150765 0.151099 0.151442 0.151795 0.152293 54.36 54.61 Morgan Stanley 61745E2F7 11/28/11 11/28/26 100.000 VARIES 6.0157 591.66 0.154437 0.155887 0.157380 0.158919 0.160503 55.96 57.04 Morgan Stanley 61745E2E0 07/11/11 07/11/23 100.000 VARIES 5.5160 638.43 0.153803 0.153517 29.17 Morgan Stanley 61760QHA5 08/28/15 08/28/25 100.000 VARIES 2.5293 21.22 0.008250 0.008355 0.008460 0.008567 0.008675 3.01 3.09 Morgan Stanley 61761JNF2 12/26/13 12/27/33 100.000 VARIES 4.7412 404.68 0.121430 0.120890 0.121018 0.121249 0.122153 44.22 44.34 Morgan Stanley 61766F466 12/05/16 06/05/24 100.000 0.000 3.5039 234.84 0.119884 0.121984 0.124121 43.65 19.11 Morgan Stanley 61761JLY3 10/31/13 10/31/33 100.000 VARIES 4.7082 402.74 0.119065 0.119187 0.119312 0.119571 0.119836 42.90 43.03 Morgan Stanley 61745EU66 06/10/11 06/10/26 100.000 VARIES 5.3579 615.91 0.147034 0.147190 0.147351 0.147516 0.147832 52.97 53.09 Morgan Stanley 61761JLU1 09/30/13 09/30/33 100.000 VARIES 4.8742 431.56 0.128052 0.128167 0.128285 0.128477 0.128672 46.14 46.25 Morgan Stanley 61745E2S9 07/13/11 07/13/31 100.000 VARIES 5.5541 579.19 0.136505 0.137073 0.137658 0.138258 0.138876 49.44 49.87 Morgan Stanley 61745ED65 04/08/11 04/08/26 100.000 VARIES 5.9065 687.32 0.165172 0.165199 0.165227 0.165255 0.164972 59.47 59.47 Morgan Stanley 61745E2M2 11/30/11 11/30/31 100.000 VARIES 6.5857 659.08 0.162783 0.163545 0.164332 0.165201 0.166099 58.79 59.37 Morgan Stanley 61745E2K6 01/21/11 01/21/26 100.000 VARIES 5.7295 589.38 0.141802 0.143906 0.146275 0.148712 0.151220 52.14 53.89 Morgan Stanley 61760E341 06/29/11 06/24/26 100.000 1.000 5.3273 790.18 0.247660 0.253517 0.259530 0.265703 0.272041 90.30 94.63 Morgan Stanley 61745E3D1 02/14/11 02/14/31 100.000 VARIES 6.0719 619.34 0.145118 0.146529 0.148139 0.149798 0.151508 52.91 54.09 Morgan Stanley 61760QGA6 05/27/15 05/27/30 100.000 VARIES 2.7018 26.96 0.009384 0.009511 0.009639 0.009769 0.009901 3.41 3.50 Morgan Stanley 61760QGB4 05/20/15 05/20/25 100.000 VARIES 2.6352 22.69 0.008618 0.008731 0.008846 0.008963 0.009081 3.13 3.22 Morgan Stanley 61745E2Z3 11/30/11 11/30/31 100.000 VARIES 6.7334 650.51 0.161045 0.162147 0.163286 0.164463 0.165679 58.24 59.07 Morgan Stanley 61745E3Y5 07/29/11 07/29/26 100.000 VARIES 5.4529 535.99 0.134667 0.136498 0.138379 0.140312 0.142297 49.37 50.76 Morgan Stanley 61768CAV9 10/31/16 10/31/23 100.000 0.000 2.9263 196.32 0.096764 0.098180 29.19 Morgan Stanley 61745E3T6 12/27/11 12/27/26 100.000 VARIES 6.9292 678.48 0.176040 0.177896 0.179815 0.181801 0.183856 63.72 65.11 Morgan Stanley 61745EE49 04/15/11 04/15/26 100.000 VARIES 5.7613 646.52 0.156933 0.157504 0.158092 0.158697 0.159017 56.69 57.09 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EV65 01/20/09 01/20/24 100.000 VARIES 5.9022 755.76 0.161365 0.162146 0.163034 58.50 3.10 Morgan Stanley 61745E3S8 07/29/11 07/29/31 100.000 VARIES 5.6231 579.89 0.138824 0.139624 0.140447 0.141293 0.142162 50.37 50.97 Morgan Stanley 61760QJA3 11/25/15 11/25/25 100.000 VARIES 2.4581 22.60 0.009090 0.009202 0.009315 0.009429 0.009545 3.30 3.38 Morgan Stanley 61760QJK1 02/17/16 02/17/26 100.000 VARIES 2.3885 43.24 0.017754 0.017966 0.018180 0.018397 0.018617 6.49 6.64 Morgan Stanley 61760QJJ4 01/28/16 01/28/23 100.000 VARIES 2.2365 23.04 0.009765 0.26 Morgan Stanley 61758S559 09/02/14 07/03/23 100.000 0.000 3.4567 330.48 0.125606 0.127777 23.25 Morgan Stanley 61745E4E8 07/29/11 07/29/26 100.000 VARIES 5.4933 570.48 0.143780 0.144829 0.145907 0.147014 0.148152 52.27 53.07 Morgan Stanley 61760QJT2 03/20/17 03/20/27 100.000 VARIES 2.5542 15.15 0.007385 0.007480 0.007575 0.007672 0.007770 2.69 2.76 Morgan Stanley 61760QJS4 02/24/17 02/24/27 100.000 VARIES 2.8869 30.21 0.014208 0.014413 0.014621 0.014832 0.015046 5.20 5.36 Morgan Stanley 61765U803 03/03/16 09/01/23 100.000 0.000 3.5888 274.94 0.125595 0.127849 30.55 Morgan Stanley 61745EF97 08/31/11 08/31/31 100.000 VARIES 5.6735 576.08 0.142907 0.141354 0.143715 0.142974 0.146203 51.97 52.77 Morgan Stanley 61760QHT4 10/07/15 10/07/25 100.000 VARIES 2.4403 25.82 0.010184 0.010308 0.010434 0.010561 0.010690 3.71 3.80 Morgan Stanley 61745E4T5 01/13/12 01/13/32 100.000 VARIES 6.1787 574.89 0.141754 0.142764 0.143987 0.145249 0.146549 51.59 52.49 Morgan Stanley 61745EF63 05/18/10 05/18/25 100.000 VARIES 6.0399 746.48 0.165231 0.165611 0.166128 0.166660 0.167209 59.59 59.95 Morgan Stanley 61745EW49 01/30/09 01/30/24 100.000 VARIES 6.4553 837.92 0.176800 0.177612 0.178450 64.04 5.18 Morgan Stanley 61745EW23 06/23/11 06/23/26 100.000 VARIES 5.4880 552.20 0.138345 0.140116 0.141936 0.143806 0.145879 50.15 51.47 Morgan Stanley 61745EW31 10/27/11 10/27/31 100.000 VARIES 6.4618 710.28 0.178082 0.178360 0.178647 0.178944 0.179250 64.20 64.40 Morgan Stanley 61745EF22 04/15/11 04/15/26 100.000 VARIES 5.8397 708.55 0.168192 0.167374 0.166533 0.165667 0.164841 60.28 59.67 Morgan Stanley 61745E4L2 07/29/11 07/29/26 100.000 VARIES 5.5117 546.04 0.137353 0.139084 0.140862 0.142690 0.144567 50.29 51.60 Morgan Stanley 61760QHZ0 11/10/15 11/10/25 100.000 VARIES 2.5656 22.93 0.009177 0.009295 0.009414 0.009535 0.009657 3.34 3.42 Morgan Stanley 61745E5Z0 01/31/12 01/31/32 100.000 VARIES 5.6272 545.95 0.138681 0.139264 0.140022 0.140802 0.141603 50.23 50.79 Morgan Stanley 61745E5X5 03/22/11 03/22/31 100.000 VARIES 5.8739 679.29 0.161804 0.162226 0.162311 0.162398 0.162487 58.38 58.46 Morgan Stanley 61760QKZ6 03/22/18 03/22/28 100.000 VARIES 3.8651 184.91 0.107132 0.105424 0.106578 0.105430 0.107160 38.73 38.85 Morgan Stanley 61745EX63 06/30/11 06/30/31 100.000 VARIES 5.7759 594.30 0.140591 0.141222 0.142054 0.142911 0.143792 50.73 51.30 Morgan Stanley 61745E5S6 08/22/11 08/22/31 100.000 VARIES 5.6565 574.03 0.143724 0.144401 0.145096 0.145812 0.146547 52.04 52.55 Morgan Stanley 61745EG62 04/25/11 04/25/23 100.000 VARIES 5.6779 661.74 0.156021 17.79 Morgan Stanley 61760QLC6 05/03/18 05/03/28 100.000 VARIES 3.4370 17.08 0.010018 0.010190 0.010366 0.010544 0.010725 3.66 3.78 Morgan Stanley 61760QLB8 04/03/18 04/03/28 100.000 VARIES 3.4407 26.04 0.015006 0.015264 0.015527 0.015794 0.016066 5.49 5.69 Morgan Stanley 61760QLA0 04/03/18 04/03/28 100.000 VARIES 3.1280 11.88 0.006861 0.006969 0.007078 0.007188 0.007301 2.51 2.59 Morgan Stanley 61760QLN2 07/31/18 07/31/23 100.000 VARIES 3.2828 13.30 0.008680 0.008823 1.84 Morgan Stanley 61760QLM4 06/29/18 06/29/23 100.000 VARIES 3.2564 13.85 0.009004 1.60 Morgan Stanley 61760QLJ1 06/29/18 06/29/23 100.000 VARIES 3.3558 18.33 0.011716 2.09 Morgan Stanley 61760QLX0 09/26/18 09/26/28 100.000 VARIES 3.8192 11.33 0.007087 0.007223 0.007361 0.007501 0.007644 2.60 2.70 Morgan Stanley 61745E6D8 03/23/11 03/23/26 100.000 VARIES 5.5647 649.26 0.154701 0.154789 0.154881 0.154974 0.154879 55.73 55.77 Morgan Stanley 61745E6E6 08/24/11 08/24/23 100.000 VARIES 4.5799 522.41 0.127626 0.127425 29.70 Morgan Stanley 61745E6Y2 08/12/11 08/12/23 100.000 VARIES 5.0167 573.35 0.139648 0.139502 30.84 Morgan Stanley 61760QJV7 03/31/17 03/31/27 100.000 VARIES 2.8769 24.30 0.011626 0.011793 0.011963 0.012135 0.012310 4.25 4.37 Morgan Stanley 61745E6V8 04/15/10 04/15/25 100.000 VARIES 5.5533 696.80 0.153229 0.153423 0.153624 0.153829 0.154041 55.23 55.37 Morgan Stanley 61766V578 04/05/17 10/04/23 100.000 0.000 3.3161 207.78 0.110370 0.112200 30.46 Morgan Stanley 61768CST5 12/08/17 06/10/24 100.000 0.000 3.1083 169.06 0.100755 0.102321 0.103911 36.62 16.52 Morgan Stanley 61760QKF0 12/30/16 12/30/26 100.000 VARIES 2.8667 27.64 0.012859 0.013043 0.013230 0.013420 0.013612 4.66 4.80 Morgan Stanley 61760QKE3 12/28/16 12/28/26 100.000 VARIES 2.2900 15.92 0.007399 0.007484 0.007569 0.007656 0.007744 2.68 2.74 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley 61745EH46 04/26/11 04/26/26 100.000 VARIES 5.7525 585.73 0.143661 0.144742 0.146661 0.148635 0.151507 52.84 54.36 Morgan Stanley 61745E6R7 03/25/11 03/25/31 100.000 VARIES 5.9463 624.38 0.151692 0.152821 0.153971 0.155154 0.156373 55.03 55.87 Morgan Stanley 61760QKA1 09/30/16 09/30/26 100.000 VARIES 2.5378 40.82 0.018223 0.018454 0.018688 0.018925 0.019165 6.64 6.81 Morgan Stanley 61745EY47 06/30/11 06/30/26 100.000 VARIES 5.5720 586.96 0.147955 0.148978 0.150030 0.151110 0.151990 53.45 54.21 Morgan Stanley 61762GBE3 03/11/14 03/04/24 100.000 VARIES 3.8517 346.90 0.108137 0.107770 0.107385 38.78 6.77 Morgan Stanley 61762GBF0 03/31/14 03/29/29 100.000 VARIES 4.2966 396.46 0.127687 0.127332 0.126971 0.126601 0.126005 45.84 45.55 Morgan Stanley 61760QKK9 06/30/17 06/30/27 100.000 VARIES 2.7385 23.36 0.011686 0.011846 0.012008 0.012172 0.012339 4.24 4.35 Morgan Stanley 61760QKH6 02/21/17 02/21/27 100.000 VARIES 2.7058 15.34 0.007379 0.007478 0.007580 0.007682 0.007786 2.70 2.77 Morgan Stanley 61760QKU7 09/29/17 09/29/27 100.000 VARIES 2.7477 21.44 0.011067 0.011220 0.011374 0.011530 0.011688 4.04 4.15 Morgan Stanley 61745E7E5 08/31/11 08/31/26 100.000 VARIES 5.5216 543.75 0.135350 0.135062 0.138539 0.139059 0.143481 49.74 51.41 Morgan Stanley 61760QKR4 09/15/17 09/15/27 100.000 VARIES 2.6232 21.21 0.010880 0.011022 0.011167 0.011313 0.011462 3.97 4.08 Morgan Stanley 61760QKQ6 08/02/17 08/02/27 100.000 VARIES 2.7106 24.43 0.012252 0.012418 0.012586 0.012757 0.012929 4.49 4.61 Morgan Stanley 61766YAN1 09/30/16 09/30/26 100.000 VARIES 2.2435 19.89 0.009039 0.009141 0.009243 0.009347 0.009452 3.29 3.37 Morgan Stanley 617482PU2 12/22/10 12/22/25 100.000 VARIES 6.2468 713.56 0.166153 0.167216 0.168312 0.169442 0.170608 60.03 60.82 Morgan Stanley 61765R271 09/18/15 03/20/23 100.000 0.000 3.6136 298.21 0.129005 10.19 Morgan Stanley 61766YAD3 05/25/16 05/25/23 100.000 VARIES 1.9635 18.63 0.008168 1.18 Morgan Stanley 61745EZ87 07/07/11 07/07/26 100.000 VARIES 5.7789 608.93 0.152937 0.153582 0.154245 0.155197 0.156177 55.40 56.04 Morgan Stanley 61745EJ28 04/29/11 04/29/26 100.000 VARIES 5.7372 614.14 0.147710 0.149010 0.150587 0.152210 0.153879 53.59 54.71 Morgan Stanley 61765G309 07/06/15 01/05/23 100.000 0.000 3.3974 286.85 0.119458 0.48 Morgan Stanley 61760QMF8 11/28/18 11/28/28 100.000 VARIES 3.9167 22.44 0.013903 0.014176 0.014453 0.014736 0.015025 5.07 5.27 Morgan Stanley 61745EJ93 09/09/11 09/09/26 100.000 VARIES 5.8527 596.70 0.150649 0.151940 0.153270 0.154730 0.156232 54.76 55.77 Morgan Stanley 617482RH9 02/28/11 02/27/26 100.000 VARIES 5.9551 678.37 0.159140 0.159787 0.160453 0.161325 0.162224 57.57 58.14 Morgan Stanley 61766YAB7 05/25/16 05/25/26 100.000 VARIES 2.2927 22.17 0.009647 0.009758 0.009870 0.009983 0.010097 3.50 3.58 Morgan Stanley 61760QMM3 02/25/19 02/25/29 100.000 VARIES 3.3395 20.81 0.014212 0.014449 0.014691 0.014936 0.015185 5.22 5.39 Morgan Stanley 61760QMZ4 06/19/20 06/19/30 100.000 VARIES 1.9060 47.66 0.052306 0.052456 0.052593 0.052708 0.052797 18.86 18.96 Morgan Stanley 6174464Q9 03/20/08 03/20/23 78.350 2.624 4.6440 600.01 0.127726 10.09 Morgan Stanley 61765G564 08/05/15 02/03/23 100.000 0.000 3.4449 287.84 0.121516 3.89 Morgan Stanley 61745EL58 09/16/11 09/16/31 100.000 VARIES 5.8547 577.67 0.144139 0.144977 0.145841 0.146993 0.148178 52.22 52.96 Morgan Stanley 6174464P1 03/20/08 03/20/23 81.700 2.935 4.6422 613.15 0.127875 10.10 Morgan Stanley 61764V570 04/01/15 11/07/25 100.000 0.000 3.4095 299.60 0.122456 0.124543 0.126667 0.128826 0.131022 44.69 46.22 Morgan Stanley 61762GFA7 10/30/15 10/30/23 100.000 0.000 3.5009 282.55 0.123988 0.126158 37.46 Morgan Stanley 61761JDB2 02/20/13 02/18/33 100.000 VARIES 4.5201 411.64 0.113407 0.113526 0.113794 0.114067 0.114347 40.90 41.09 Morgan Stanley 61765R438 10/05/15 04/04/23 100.000 0.000 3.3207 269.27 0.116146 10.80 Morgan Stanley 61745EM81 05/17/11 05/17/23 100.000 VARIES 5.1511 601.91 0.143234 19.48 Morgan Stanley 61745EM32 09/22/11 09/22/26 100.000 VARIES 5.5348 558.90 0.142125 0.143420 0.144750 0.146117 0.147522 51.66 52.63 Morgan Stanley Fiance LL 61775HUH8 08/16/23 08/14/25 100.000 0.000 5.3873 0.149647 0.153633 0.157772 20.20 55.70 Morgan Stanley Finance 61773E700 10/05/21 10/04/28 100.000 0.000 2.0411 25.49 0.057858 0.058448 0.059045 0.059647 0.060256 21.04 21.47 Morgan Stanley Finance 61771BJV7 07/06/20 07/03/25 100.000 0.000 1.2523 31.52 0.035662 0.035886 0.036110 0.036336 0.036564 12.96 13.12 Morgan Stanley Finance 61768R583 08/15/18 08/14/25 100.000 0.000 3.9076 184.66 0.126705 0.129180 0.131704 0.134278 0.136901 46.74 48.59 Morgan Stanley Finance 61771BJQ8 06/30/20 06/30/27 100.000 0.000 1.6297 41.46 0.047144 0.047528 0.047916 0.048306 0.048700 17.04 17.32 Morgan Stanley Finance 61773Y110 03/21/22 09/21/26 100.000 0.000 3.2764 25.63 0.092503 0.094019 0.095559 0.097124 0.098715 33.88 35.00 Morgan Stanley Finance 61771V3W8 06/30/21 06/29/28 100.000 0.000 1.9839 30.11 0.056762 0.057325 0.057893 0.058467 0.059047 20.54 20.95 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61771V3Q1 07/06/21 07/06/26 100.000 0.000 1.4969 22.41 0.042206 0.042522 0.042841 0.043161 0.043484 15.36 15.59 Morgan Stanley Finance 61769HTA3 09/30/19 06/29/23 100.000 0.000 2.4287 81.71 0.072967 12.99 Morgan Stanley Finance 61766YFJ5 03/03/21 03/02/23 100.000 0.000 0.4795 8.79 0.013414 0.82 Morgan Stanley Finance 61770FLC8 02/19/20 02/19/25 100.000 0.000 2.1606 63.55 0.063328 0.064012 0.064704 0.065403 0.066109 23.10 23.60 Morgan Stanley Finance 61773U548 03/03/22 03/04/26 100.000 0.000 2.5450 21.17 0.071599 0.072511 0.073433 0.074368 0.075314 26.15 26.82 Morgan Stanley Finance 61771BJP0 06/30/20 06/30/27 100.000 0.000 1.6297 41.46 0.047144 0.047528 0.047916 0.048306 0.048700 17.04 17.32 Morgan Stanley Finance 61768R591 08/15/18 08/15/24 100.000 0.000 3.7617 177.25 0.121290 0.123572 0.125896 0.128264 44.70 28.63 Morgan Stanley Finance 61768CZF7 02/28/18 02/27/25 100.000 0.000 3.6613 192.08 0.119728 0.121920 0.124152 0.126425 0.128739 44.05 45.67 Morgan Stanley Finance 61770FKC9 02/28/20 08/29/24 100.000 0.000 1.8417 53.49 0.053560 0.054051 0.054551 0.055054 19.49 13.07 Morgan Stanley Finance 61769HAR6 06/05/19 06/05/24 100.000 0.000 2.9744 111.25 0.091618 0.092980 0.094363 33.30 14.53 Morgan Stanley Finance 61769HAP0 05/31/19 05/31/24 100.000 0.000 3.0990 116.61 0.095865 0.097350 0.098858 34.87 14.73 Morgan Stanley Finance 61768M576 03/05/18 03/05/25 100.000 0.000 3.7266 194.94 0.122229 0.124507 0.126827 0.129190 0.131597 44.95 46.64 Morgan Stanley Finance 61770FL46 04/29/20 04/27/23 100.000 0.000 1.6712 45.49 0.048390 5.61 Morgan Stanley Finance 61768M584 03/05/18 03/03/23 100.000 0.000 3.4611 179.99 0.112175 6.95 Morgan Stanley Finance 61769HAH8 06/05/19 06/05/24 100.000 0.000 2.9744 111.25 0.091618 0.092980 0.094363 33.30 14.53 Morgan Stanley Finance 61771VD49 05/26/21 05/25/28 100.000 0.000 1.9994 32.30 0.057219 0.057791 0.058368 0.058952 0.059541 20.74 21.16 Morgan Stanley Finance 61773QZF9 04/27/22 04/26/29 100.000 0.000 4.3166 29.42 0.122479 0.125123 0.127823 0.130582 0.133400 44.92 46.88 Morgan Stanley Finance 61770C111 10/03/19 04/03/24 100.000 0.000 2.1674 72.46 0.064228 0.064924 0.065628 23.37 6.04 Morgan Stanley Finance 61769HB87 10/30/19 05/02/24 100.000 0.000 2.3725 77.63 0.070743 0.071582 0.072431 25.72 8.76 Morgan Stanley Finance 61768R781 10/03/18 10/04/23 100.000 0.000 3.8198 174.27 0.123458 0.125816 34.13 Morgan Stanley Finance 61771VX54 05/28/21 05/31/28 100.000 0.000 1.9431 31.26 0.055569 0.056109 0.056654 0.057204 0.057760 20.14 20.53 Morgan Stanley Finance 61769HE43 10/25/19 10/25/24 100.000 0.250 2.3773 77.89 0.070378 0.071132 0.071895 0.072667 25.57 21.28 Morgan Stanley Finance 61766X483 09/06/17 09/06/23 100.000 0.000 2.9385 167.89 0.094443 0.095831 23.39 Morgan Stanley Finance 61766X459 09/06/17 03/05/24 100.000 0.000 3.0212 172.97 0.097489 0.098961 0.100456 35.71 6.43 Morgan Stanley Finance 61773FLT8 08/31/21 08/31/28 100.000 0.000 1.9137 25.78 0.054180 0.054693 0.055222 0.055747 0.056284 19.72 20.10 Morgan Stanley Finance 61768P157 04/05/18 04/03/25 100.000 0.000 3.8093 195.86 0.125369 0.127757 0.130191 0.132670 0.135197 45.99 47.76 Morgan Stanley Finance 61773HBE8 11/29/21 11/29/28 100.000 0.000 2.4000 26.33 0.068276 0.069095 0.069924 0.070764 0.071613 24.78 25.38 Morgan Stanley Finance 61773HBC2 11/08/21 11/06/26 100.000 0.000 1.8561 21.43 0.052516 0.053003 0.053495 0.053992 0.054493 19.05 19.40 Morgan Stanley Finance 61772X691 06/03/21 06/05/28 100.000 0.000 1.9849 31.66 0.056801 0.057365 0.057934 0.058509 0.059090 20.58 20.99 Morgan Stanley Finance 61769HUJ2 09/13/19 03/15/23 100.000 0.000 2.3832 81.34 0.071084 5.26 Morgan Stanley Finance 61771VFW5 03/31/21 03/30/28 100.000 0.000 2.1048 37.40 0.060332 0.060967 0.061609 0.062257 0.062912 21.95 22.41 Morgan Stanley Finance 61771BMB7 06/26/20 12/29/25 100.000 0.000 1.3458 34.29 0.038663 0.038923 0.039185 0.039448 0.039714 13.97 14.15 Morgan Stanley Finance 61771BMA9 06/26/20 06/28/27 100.000 0.000 1.6168 41.31 0.046760 0.047138 0.047520 0.047904 0.048291 16.90 17.18 Morgan Stanley Finance 61772X659 06/03/21 06/05/28 100.000 0.000 1.9849 31.66 0.056801 0.057365 0.057934 0.058509 0.059090 20.58 20.99 Morgan Stanley Finance 61773QLH0 03/17/22 03/12/26 100.000 0.000 3.0167 23.93 0.085026 0.086309 0.087611 0.088932 0.090273 31.12 32.07 Morgan Stanley Finance 61771BLH5 07/06/20 07/03/25 100.000 0.000 1.2523 31.52 0.035662 0.035886 0.036110 0.036336 0.036564 12.96 13.12 Morgan Stanley Finance 61773QLL1 03/09/22 03/09/27 100.000 0.000 2.7515 22.44 0.077482 0.078548 0.079628 0.080724 0.081835 28.33 29.11 Morgan Stanley Finance 61773QLJ6 03/17/22 03/12/27 100.000 0.000 3.2312 25.64 0.091165 0.092638 0.094135 0.095656 0.097201 33.41 34.50 Morgan Stanley Finance 61771BKY9 06/30/20 06/30/27 100.000 0.000 1.6297 41.46 0.047144 0.047528 0.047916 0.048306 0.048700 17.04 17.32 Morgan Stanley Finance 61769H2P9 01/02/20 01/02/25 100.000 0.000 2.3600 72.85 0.069517 0.070337 0.071167 0.072007 0.072856 25.47 26.07 Morgan Stanley Finance 61773QKV0 03/16/22 03/16/28 100.000 0.000 3.3682 26.83 0.095135 0.096738 0.098367 0.100023 0.101708 34.88 36.06 Morgan Stanley Finance 61769H2N4 01/02/20 01/02/25 100.000 0.000 2.3600 72.85 0.069517 0.070337 0.071167 0.072007 0.072856 25.47 26.07 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61773HQY8 12/28/21 12/28/26 100.000 0.000 1.9271 19.53 0.054568 0.055093 0.055624 0.056160 0.056701 19.74 20.12 Morgan Stanley Finance 61773HQZ5 12/28/21 12/28/28 100.000 0.000 2.1941 22.25 0.062292 0.062976 0.063667 0.064365 0.065071 22.55 23.05 Morgan Stanley Finance 61771BKZ6 06/30/20 12/30/27 100.000 0.000 1.6965 43.19 0.049158 0.049575 0.049995 0.050419 0.050847 17.77 18.08 Morgan Stanley Finance 61769H2T1 12/18/19 12/17/26 100.000 0.000 2.5573 80.21 0.076659 0.077639 0.078632 0.079638 0.080656 27.80 28.52 Morgan Stanley Finance 61771V4K3 06/23/21 12/23/26 100.000 0.000 1.5784 24.22 0.044892 0.045246 0.045603 0.045963 0.046326 16.23 16.49 Morgan Stanley Finance 61771V4J6 06/23/21 06/22/28 100.000 0.000 1.8975 29.17 0.054221 0.054736 0.055255 0.055779 0.056309 19.62 20.00 Morgan Stanley Finance 61769HTU9 10/03/19 10/03/24 100.000 0.000 2.1901 73.24 0.064944 0.065655 0.066374 0.067101 23.63 18.18 Morgan Stanley Finance 61769H2F1 12/27/19 12/27/24 100.000 0.000 2.5252 78.49 0.075627 0.076582 0.077549 0.078528 27.41 27.78 Morgan Stanley Finance 61769H2L8 01/02/20 01/02/24 100.000 0.000 2.2779 70.25 0.066962 0.067725 0.068496 24.52 Morgan Stanley Finance 61771VVY3 04/30/21 04/28/28 100.000 0.000 2.0160 34.07 0.057705 0.058286 0.058874 0.059467 0.060067 20.95 21.38 Morgan Stanley Finance 61772Y863 09/03/21 09/06/28 100.000 0.000 1.8357 24.57 0.051941 0.052417 0.052899 0.053384 0.053874 18.89 19.24 Morgan Stanley Finance 61769HDG7 06/03/19 06/03/24 100.000 0.000 3.3497 126.23 0.104520 0.106271 0.108051 38.04 16.42 Morgan Stanley Finance 61773N163 12/20/21 01/04/29 100.000 0.000 2.2783 23.63 0.064063 0.064792 0.065530 0.066277 0.067032 23.45 23.99 Morgan Stanley Finance 61769H3D5 12/27/19 06/26/24 100.000 0.000 2.4842 77.18 0.074304 0.075227 0.076162 26.92 13.33 Morgan Stanley Finance 61769H3B9 12/26/19 06/25/24 100.000 0.000 2.4842 77.25 0.074305 0.075228 0.076162 26.93 13.25 Morgan Stanley Finance 61771BKP8 06/16/20 06/16/27 100.000 0.000 1.6181 41.81 0.046794 0.047173 0.047554 0.047939 0.048327 16.93 17.20 Morgan Stanley Finance 61768CL47 03/29/18 03/30/23 100.000 0.000 3.6383 187.10 0.118880 10.58 Morgan Stanley Finance 61773HA33 01/26/22 01/26/27 100.000 0.000 2.3686 22.16 0.066575 0.067363 0.068161 0.068969 0.069785 24.35 24.94 Morgan Stanley Finance 61773HA25 01/26/22 01/25/29 100.000 0.000 2.6702 25.00 0.075157 0.076160 0.077177 0.078208 0.079252 27.55 28.29 Morgan Stanley Finance 61770C343 11/05/19 05/03/24 100.000 0.000 2.2919 74.57 0.068159 0.068940 0.069730 24.77 8.51 Morgan Stanley Finance 61773QKF5 03/31/22 04/03/29 100.000 0.000 3.7117 28.12 0.105048 0.106998 0.108984 0.111006 0.113066 38.51 39.96 Morgan Stanley Finance 61773QKG3 03/31/22 04/03/29 100.000 0.000 3.7117 28.12 0.105048 0.106998 0.108984 0.111006 0.113066 38.51 39.96 Morgan Stanley Finance 61769H2Y0 12/26/19 12/24/26 100.000 0.000 2.7295 85.14 0.082230 0.083352 0.084490 0.085643 0.086812 29.82 30.64 Morgan Stanley Finance 61769HFT7 07/03/19 01/03/23 100.000 0.000 2.4864 90.19 0.074380 0.15 Morgan Stanley Finance 61773H2Y4 02/24/22 02/23/27 100.000 0.000 2.8221 24.21 0.079492 0.080614 0.081751 0.082905 0.084075 29.11 29.94 Morgan Stanley Finance 61770G203 03/04/20 09/03/25 100.000 0.000 1.8551 53.56 0.053962 0.054463 0.054968 0.055478 0.055993 19.64 20.00 Morgan Stanley Finance 61770G211 03/04/20 03/04/27 100.000 0.000 2.0962 60.69 0.061343 0.061986 0.062636 0.063292 0.063956 22.35 22.82 Morgan Stanley Finance 61769HFS9 07/03/19 07/03/24 100.000 0.000 2.6772 97.39 0.080542 0.081620 0.082712 0.083820 29.58 15.25 Morgan Stanley Finance 61773HDE6 11/24/21 05/24/27 100.000 0.000 2.0320 22.55 0.057597 0.058182 0.058773 0.059371 0.059974 20.88 21.31 Morgan Stanley Finance 61773HDF3 11/24/21 11/24/28 100.000 0.000 2.2835 25.37 0.064887 0.065628 0.066377 0.067135 0.067902 23.55 24.09 Morgan Stanley Finance 61766W352 06/05/17 12/05/23 100.000 0.000 3.0702 185.06 0.100843 0.102391 33.96 Morgan Stanley Finance 61769HXH3 11/05/19 11/05/24 100.000 0.000 2.3221 75.59 0.069128 0.069930 0.070742 0.071564 25.12 21.65 Morgan Stanley Finance 61770C640 12/04/19 12/04/24 100.000 0.000 2.3719 75.21 0.070716 0.071555 0.072404 0.073262 25.65 24.27 Morgan Stanley Finance 61773H2P3 02/24/22 02/23/29 100.000 0.000 3.0802 26.43 0.086871 0.088209 0.089568 0.090947 0.092348 31.86 32.85 Morgan Stanley Finance 61769H4T9 12/27/19 01/02/24 100.000 0.000 2.4620 76.47 0.072728 0.073623 0.074530 26.67 Morgan Stanley Finance 61769HET8 06/28/19 06/28/24 100.000 0.000 2.6301 96.01 0.080056 0.081109 0.082175 29.02 14.54 Morgan Stanley Finance 61769H4W2 12/27/19 01/02/24 100.000 0.000 2.4620 76.47 0.072728 0.073623 0.074530 26.67 Morgan Stanley Finance 61773H2F5 02/28/22 02/28/29 100.000 0.000 3.1853 26.98 0.089891 0.091323 0.092777 0.094255 0.095756 32.97 34.03 Morgan Stanley Finance 61773H2E8 02/28/22 02/28/29 100.000 0.000 3.1853 26.98 0.089891 0.091323 0.092777 0.094255 0.095756 32.97 34.03 Morgan Stanley Finance 61773N437 01/05/22 01/04/29 100.000 0.000 2.2590 22.46 0.063455 0.064172 0.064897 0.065630 0.066371 23.23 23.76 Morgan Stanley Finance 61771VXF2 06/02/21 06/01/26 100.000 0.000 1.4602 23.27 0.041455 0.041758 0.042063 0.042370 0.042679 15.00 15.22 Morgan Stanley Finance 61768DQE8 12/05/18 12/05/23 100.000 0.000 4.0845 179.02 0.133376 0.136099 45.04 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61773FMJ9 09/03/21 09/03/26 100.000 0.000 1.3944 18.63 0.039276 0.039550 0.039826 0.040103 0.040383 14.25 14.45 Morgan Stanley Finance 61771VXK1 05/28/21 05/31/28 100.000 0.000 1.9431 31.26 0.055569 0.056109 0.056654 0.057204 0.057760 20.14 20.53 Morgan Stanley Finance 61773HC23 01/12/22 01/11/29 100.000 0.000 2.5645 25.02 0.072145 0.073070 0.074007 0.074956 0.075918 26.46 27.14 Morgan Stanley Finance 61768DBW4 08/09/18 08/11/25 100.000 0.000 3.9321 186.67 0.127663 0.130173 0.132732 0.135342 0.138003 47.12 48.99 Morgan Stanley Finance 61768DBX2 08/29/18 08/29/23 100.000 0.000 3.6325 169.10 0.116532 0.118637 28.12 Morgan Stanley Finance 61773N767 02/03/22 02/05/29 100.000 0.000 2.6759 24.53 0.075337 0.076345 0.077367 0.078402 0.079451 27.60 28.34 Morgan Stanley Finance 61769Q212 08/05/19 02/05/25 100.000 0.000 2.8032 99.46 0.084650 0.085836 0.087039 0.088259 0.089496 31.04 31.91 Morgan Stanley Finance 61769Q220 08/05/19 08/03/23 100.000 0.000 2.6268 92.96 0.078897 0.079933 16.91 Morgan Stanley Finance 61770FAP1 01/23/20 01/22/27 100.000 0.000 2.5533 77.43 0.075566 0.076530 0.077507 0.078497 0.079499 27.69 28.40 Morgan Stanley Finance 61769H7Q2 02/05/20 02/05/25 100.000 0.000 1.9970 59.44 0.058298 0.058880 0.059468 0.060062 0.060661 21.26 21.69 Morgan Stanley Finance 61766X848 10/04/17 10/04/23 100.000 0.000 2.9409 165.39 0.094532 0.095922 26.06 Morgan Stanley Finance 61769HHQ1 07/01/19 07/01/25 100.000 0.000 2.7490 100.28 0.084019 0.084019 0.086344 0.086344 0.088734 30.45 31.30 Morgan Stanley Finance 61768DBS3 08/07/18 08/07/23 100.000 0.000 3.7613 178.20 0.121273 0.123553 26.61 Morgan Stanley Finance 61770FB96 04/30/20 02/01/27 100.000 0.000 2.2244 60.86 0.064947 0.065670 0.066400 0.067139 0.067885 23.73 24.26 Morgan Stanley Finance 61770FAB2 02/05/20 02/05/25 100.000 0.000 1.9970 59.44 0.058298 0.058880 0.059468 0.060062 0.060661 21.26 21.69 Morgan Stanley Finance 61773H4Y2 02/28/22 02/28/29 100.000 0.000 3.1853 26.98 0.089891 0.091323 0.092777 0.094255 0.095756 32.97 34.03 Morgan Stanley Finance 61768J441 11/03/17 11/03/23 100.000 0.000 2.9727 164.53 0.095703 0.097125 29.16 Morgan Stanley Finance 61768J458 11/03/17 11/05/24 100.000 0.000 3.0987 172.02 0.100397 0.101953 0.103533 0.105137 36.60 31.76 Morgan Stanley Finance 61770FAJ5 02/05/20 02/05/24 100.000 0.000 1.9189 57.06 0.055908 0.056445 0.056986 20.38 1.94 Morgan Stanley Finance 61773G234 11/03/21 11/03/28 100.000 0.000 2.2272 26.06 0.063253 0.063958 0.064670 0.065390 0.066118 22.98 23.49 Morgan Stanley Finance 61769H6X8 01/31/20 01/31/25 100.000 0.000 2.1858 65.53 0.064109 0.064810 0.065518 0.066234 0.066958 23.42 23.93 Morgan Stanley Finance 61769H6W0 01/31/20 01/31/25 100.000 0.000 2.1858 65.53 0.064109 0.064810 0.065518 0.066234 0.066958 23.42 23.93 Morgan Stanley Finance 61769HXY6 10/31/19 05/04/23 100.000 0.000 2.3061 75.39 0.068637 8.44 Morgan Stanley Finance 61769HH32 11/27/19 08/27/24 100.000 0.000 2.3730 75.76 0.070335 0.071170 0.072014 0.072868 25.68 17.15 Morgan Stanley Finance 61769HXR1 10/31/19 10/31/25 100.000 0.000 2.5933 85.11 0.077826 0.078835 0.079857 0.080893 0.081942 28.32 29.06 Morgan Stanley Finance 61769H6T7 01/23/20 01/22/27 100.000 0.000 2.5533 77.43 0.075566 0.076530 0.077507 0.078497 0.079499 27.69 28.40 Morgan Stanley Finance 61768DAR6 08/31/18 09/03/25 100.000 0.000 3.9373 184.25 0.127871 0.130388 0.132955 0.135572 0.138241 47.09 48.96 Morgan Stanley Finance 61769HH40 11/27/19 02/26/26 100.000 0.000 2.5493 81.58 0.075921 0.076888 0.077868 0.078861 0.079866 27.75 28.46 Morgan Stanley Finance 61771C136 06/03/20 06/03/26 100.000 0.000 1.6786 44.04 0.048619 0.049027 0.049438 0.049853 0.050272 17.60 17.90 Morgan Stanley Finance 61769H7N9 01/31/20 02/02/27 100.000 0.000 2.4454 73.55 0.072193 0.073076 0.073969 0.074874 0.075789 26.41 27.06 Morgan Stanley Finance 61769H7M1 01/31/20 02/02/27 100.000 0.000 2.4454 73.55 0.072193 0.073076 0.073969 0.074874 0.075789 26.41 27.06 Morgan Stanley Finance 61769H7L3 01/31/20 02/02/27 100.000 0.000 2.4454 73.55 0.072193 0.073076 0.073969 0.074874 0.075789 26.41 27.06 Morgan Stanley Finance 61769H7K5 01/31/20 02/02/27 100.000 0.000 2.4454 73.55 0.072193 0.073076 0.073969 0.074874 0.075789 26.41 27.06 Morgan Stanley Finance 61766X822 10/04/17 10/04/23 100.000 0.000 2.9409 165.39 0.094532 0.095922 26.06 Morgan Stanley Finance 61773H3V9 03/03/22 03/04/27 100.000 0.000 2.7394 22.80 0.077144 0.078201 0.079272 0.080357 0.081458 28.21 28.99 Morgan Stanley Finance 61773H3T4 03/03/22 03/04/27 100.000 0.000 2.7394 22.80 0.077144 0.078201 0.079272 0.080357 0.081458 28.21 28.99 Morgan Stanley Finance 61768CRZ2 10/31/17 10/31/23 100.000 0.000 2.9977 166.31 0.096628 0.098076 29.15 Morgan Stanley Finance 61768CB89 02/28/18 03/03/26 100.000 0.000 3.7712 198.33 0.123999 0.126337 0.128720 0.131147 0.133620 45.62 47.35 Morgan Stanley Finance 61769HJV8 08/05/19 08/05/24 100.000 0.000 2.7548 97.67 0.083068 0.084212 0.085372 0.086548 30.45 18.48 Morgan Stanley Finance 61773HZ28 02/09/22 02/09/26 100.000 0.000 2.3951 21.54 0.067328 0.068134 0.068950 0.069776 0.070611 24.61 25.21 Morgan Stanley Finance 61769HJU0 07/02/19 07/03/24 100.000 0.000 2.6771 97.47 0.080547 0.081625 0.082718 0.083825 29.58 15.25 Morgan Stanley Finance 61774DFZ5 06/01/22 05/29/26 100.000 0.000 3.7654 22.03 0.106542 0.108548 0.110591 0.112673 0.114795 38.85 40.32 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61769HJY2 07/31/19 05/02/23 100.000 0.000 2.6026 92.49 0.078647 9.52 Morgan Stanley Finance 61768T381 11/05/18 11/05/25 100.000 0.000 4.2534 191.18 0.139813 0.142786 0.145823 0.148924 0.152091 51.20 53.41 Morgan Stanley Finance 61773HY94 02/09/22 02/08/29 100.000 0.000 2.8839 25.96 0.081257 0.082428 0.083617 0.084823 0.086046 29.80 30.67 Morgan Stanley Finance 61769HKS3 08/05/19 08/05/24 100.000 0.000 2.7548 97.67 0.083068 0.084212 0.085372 0.086548 30.45 18.48 Morgan Stanley Finance 61770FCR5 01/29/20 01/28/27 100.000 0.000 2.4281 73.08 0.071636 0.072506 0.073386 0.074277 0.075179 26.21 26.85 Morgan Stanley Finance 61770G641 04/03/20 04/06/26 100.000 0.000 2.6405 74.67 0.078334 0.079368 0.080416 0.081478 0.082554 28.56 29.32 Morgan Stanley Finance 61770FCS3 01/30/20 02/01/24 100.000 0.000 2.0269 60.65 0.059216 0.059816 0.060422 21.61 1.81 Morgan Stanley Finance 61768CSH1 10/30/17 10/28/32 100.000 0.000 3.7753 196.67 0.105378 0.107367 0.106057 0.108059 0.106950 38.34 38.60 Morgan Stanley Finance 61771BRF3 07/31/20 08/02/27 100.000 0.000 1.3386 32.81 0.038191 0.038447 0.038704 0.038963 0.039224 13.87 14.06 Morgan Stanley Finance 61771BRE6 07/31/20 08/04/27 100.000 0.000 1.3386 32.81 0.038194 0.038450 0.038707 0.038966 0.039227 13.87 14.06 Morgan Stanley Finance 61773N858 02/03/22 02/05/29 100.000 0.000 2.6759 24.53 0.075337 0.076345 0.077367 0.078402 0.079451 27.60 28.34 Morgan Stanley Finance 61770FC38 04/30/20 04/30/27 100.000 0.000 2.2634 61.94 0.066511 0.067264 0.068025 0.068795 0.069574 24.17 24.72 Morgan Stanley Finance 61770FC46 04/30/20 04/30/27 100.000 0.000 2.2634 61.94 0.066511 0.067264 0.068025 0.068795 0.069574 24.17 24.72 Morgan Stanley Finance 61770FBU9 01/31/20 08/01/24 100.000 0.000 2.1409 64.15 0.062724 0.063395 0.064074 0.064760 22.90 13.58 Morgan Stanley Finance 61773FAG8 06/30/21 06/30/28 100.000 0.000 1.9839 30.11 0.056765 0.057328 0.057896 0.058471 0.059051 20.54 20.95 Morgan Stanley Finance 61771C409 07/06/20 07/06/27 100.000 0.000 1.6108 40.69 0.046202 0.046574 0.046949 0.047327 0.047709 16.83 17.10 Morgan Stanley Finance 61768CQT7 09/29/17 03/31/23 100.000 0.000 2.8669 161.40 0.091825 8.17 Morgan Stanley Finance 61773HXK0 01/31/22 01/31/29 100.000 0.000 2.7958 25.87 0.078746 0.079847 0.080963 0.082095 0.083243 28.88 29.69 Morgan Stanley Finance 61773HXL8 02/03/22 02/04/27 100.000 0.000 2.4163 22.14 0.067936 0.068757 0.069587 0.070428 0.071279 24.85 25.45 Morgan Stanley Finance 61773HX95 02/28/22 02/26/27 100.000 0.000 2.9302 24.81 0.082575 0.083784 0.085012 0.086257 0.087521 30.25 31.14 Morgan Stanley Finance 61769HK38 12/02/19 12/02/24 100.000 0.000 2.3657 75.15 0.070517 0.071351 0.072195 0.073049 25.58 24.05 Morgan Stanley Finance 61768DDL6 09/28/18 09/30/25 100.000 0.000 4.1262 190.02 0.134988 0.137773 0.140615 0.143516 0.146477 49.61 51.68 Morgan Stanley Finance 61773QA33 06/05/22 06/05/27 100.000 0.000 3.4184 19.60 0.096579 0.098229 0.099908 0.101616 0.103353 35.15 36.36 Morgan Stanley Finance 61773FDC4 08/04/21 08/04/26 100.000 0.000 1.7696 25.13 0.050030 0.050473 0.050920 0.051370 0.051825 18.22 18.55 Morgan Stanley Finance 61773QDP1 03/23/22 03/22/29 100.000 0.000 3.3861 26.31 0.095642 0.097261 0.098908 0.100583 0.102286 35.05 36.24 Morgan Stanley Finance 61773QDM8 03/23/22 03/23/28 100.000 0.000 3.3224 25.81 0.093823 0.095382 0.096966 0.098577 0.100215 34.36 35.52 Morgan Stanley Finance 61768Y307 06/05/19 03/05/24 100.000 0.000 2.9394 109.92 0.089774 0.091093 0.092432 32.86 5.92 Morgan Stanley Finance 61773QDN6 03/23/22 03/23/27 100.000 0.000 3.2206 25.01 0.090901 0.092365 0.093852 0.095364 0.096899 33.28 34.36 Morgan Stanley Finance 61770FFB7 02/28/20 02/28/25 100.000 0.000 1.9133 55.61 0.055738 0.056272 0.056810 0.057353 0.057902 20.29 20.68 Morgan Stanley Finance 61773FUK7 09/30/21 10/02/28 100.000 0.000 2.0246 25.57 0.057388 0.057969 0.058556 0.059149 0.059748 20.87 21.29 Morgan Stanley Finance 61773FU84 11/03/21 11/03/26 100.000 0.000 1.8149 21.21 0.051332 0.051798 0.052268 0.052742 0.053221 18.62 18.96 Morgan Stanley Finance 61773FCU5 07/30/21 08/01/28 100.000 0.000 1.7934 25.67 0.050715 0.051170 0.051629 0.052092 0.052559 18.48 18.81 Morgan Stanley Finance 61768DH40 03/05/19 03/04/24 100.000 0.000 3.5292 143.11 0.110793 0.112748 0.114737 40.70 7.23 Morgan Stanley Finance 61770FW77 05/21/20 05/21/27 100.000 0.000 2.1231 56.70 0.062172 0.062832 0.063498 0.064173 0.064854 22.55 23.03 Morgan Stanley Finance 61770FW85 05/20/20 05/20/25 100.000 0.000 1.7889 47.66 0.051953 0.052418 0.052887 0.053360 0.053837 18.83 19.16 Morgan Stanley Finance 61768J870 12/05/17 12/04/24 100.000 0.000 3.1714 173.06 0.103096 0.104730 0.106391 0.108078 37.50 35.73 Morgan Stanley Finance 61770FW93 05/21/20 05/21/27 100.000 0.000 2.1231 56.70 0.062172 0.062832 0.063498 0.064173 0.064854 22.55 23.03 Morgan Stanley Finance 61770E232 01/03/20 01/05/27 100.000 0.000 2.6098 80.74 0.077359 0.078369 0.079391 0.080427 0.081477 28.39 29.13 Morgan Stanley Finance 61768C3H8 06/29/18 07/01/25 100.000 0.000 4.0272 196.80 0.133882 0.133882 0.139328 0.139328 0.144995 48.68 50.66 Morgan Stanley Finance 61770FW28 05/29/20 05/29/26 100.000 0.000 1.7764 46.86 0.051575 0.052033 0.052495 0.052961 0.053432 18.68 19.01 Morgan Stanley Finance 61770FW36 05/29/20 06/01/27 100.000 0.000 1.9425 51.33 0.056636 0.057186 0.057741 0.058302 0.058868 20.52 20.92 Morgan Stanley Finance 61768Y299 06/05/19 06/05/24 100.000 0.000 2.9744 111.25 0.091618 0.092981 0.094363 33.30 14.53 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61770FV86 05/29/20 06/01/27 100.000 0.000 1.9425 51.33 0.056636 0.057186 0.057741 0.058302 0.058868 20.52 20.92 Morgan Stanley Finance 61770FV94 05/29/20 06/01/27 100.000 0.000 1.9425 51.33 0.056636 0.057186 0.057741 0.058302 0.058868 20.52 20.92 Morgan Stanley Finance 61770FED4 01/29/20 01/27/23 100.000 0.000 2.0128 60.28 0.058776 1.53 Morgan Stanley Finance 61768CSU2 11/30/17 11/29/24 100.000 0.000 3.1215 170.64 0.101223 0.102803 0.104407 0.106037 36.83 34.54 Morgan Stanley Finance 61769Q535 09/05/19 09/06/23 100.000 0.000 2.2400 76.83 0.066526 0.067272 16.43 Morgan Stanley Finance 61768C2K2 05/30/18 05/29/26 100.000 0.000 4.0544 202.15 0.134903 0.137638 0.140428 0.143275 0.146179 49.23 51.25 Morgan Stanley Finance 61773FT45 10/29/21 10/31/28 100.000 0.000 2.2359 26.42 0.063508 0.064218 0.064936 0.065662 0.066396 23.08 23.60 Morgan Stanley Finance 61773QST7 03/30/22 03/31/27 100.000 0.000 3.6190 27.41 0.102348 0.104200 0.106085 0.108005 0.109959 37.52 38.89 Morgan Stanley Finance 61768CTQ0 11/30/17 12/03/25 100.000 0.000 3.2697 179.37 0.106845 0.108591 0.110367 0.112171 0.114005 38.88 40.16 Morgan Stanley Finance 61769HM77 12/02/19 12/02/24 100.000 0.000 2.3657 75.15 0.070517 0.071351 0.072195 0.073049 25.58 24.05 Morgan Stanley Finance 61774DGA9 06/01/22 06/01/27 100.000 0.000 3.9473 23.09 0.111811 0.114018 0.116268 0.118563 0.120903 40.78 42.41 Morgan Stanley Finance 61769HM51 12/02/19 12/02/24 100.000 0.000 2.3657 75.15 0.070517 0.071351 0.072195 0.073049 25.58 24.05 Morgan Stanley Finance 61768DFQ3 10/31/18 10/30/25 100.000 0.000 4.1832 188.47 0.137128 0.139996 0.142924 0.145913 0.148965 50.24 52.36 Morgan Stanley Finance 61770FE36 04/30/20 04/30/27 100.000 0.000 2.2634 61.94 0.066511 0.067264 0.068025 0.068795 0.069574 24.17 24.72 Morgan Stanley Finance 61770FDU7 01/28/20 01/29/30 100.000 0.000 2.6694 80.66 0.079239 0.080297 0.081369 0.082455 0.083555 29.04 29.82 Morgan Stanley Finance 61770G708 04/03/20 04/07/26 100.000 0.000 2.6405 74.67 0.078342 0.079376 0.080424 0.081486 0.082562 28.56 29.32 Morgan Stanley Finance 61773QC64 04/29/22 05/01/29 100.000 0.000 4.1317 27.92 0.117168 0.119588 0.122059 0.124580 0.127154 42.91 44.70 Morgan Stanley Finance 61773QFJ3 03/31/22 04/03/29 100.000 0.000 3.7117 28.12 0.105048 0.106998 0.108984 0.111006 0.113066 38.51 39.96 Morgan Stanley Finance 61768D8A6 05/31/19 03/03/23 100.000 0.000 2.9097 109.21 0.088805 5.51 Morgan Stanley Finance 61773HLN7 12/23/21 12/26/28 100.000 0.000 2.2328 22.96 0.063428 0.064136 0.064852 0.065576 0.066308 22.97 23.48 Morgan Stanley Finance 61773QFH7 03/31/22 04/03/29 100.000 0.000 3.7117 28.12 0.105048 0.106998 0.108984 0.111006 0.113066 38.51 39.96 Morgan Stanley Finance 61768CWE3 12/29/17 12/31/25 100.000 0.000 3.3131 178.78 0.108474 0.110271 0.112098 0.113955 0.115842 39.38 40.69 Morgan Stanley Finance 61773Q5Q8 06/03/22 06/04/26 100.000 0.000 3.8630 22.38 0.109390 0.111503 0.113656 0.115851 0.118089 39.88 41.43 Morgan Stanley Finance 61770FYL4 05/05/20 05/05/25 100.000 0.000 1.8350 49.71 0.053353 0.053842 0.054336 0.054835 0.055338 19.35 19.71 Morgan Stanley Finance 61769Q881 10/03/19 04/03/25 100.000 0.000 2.2103 73.94 0.065582 0.066306 0.067039 0.067780 0.068529 23.87 24.40 Morgan Stanley Finance 61773F5Q2 10/21/21 10/23/28 100.000 0.000 2.2503 27.10 0.063931 0.064651 0.065378 0.066114 0.066858 23.24 23.77 Morgan Stanley Finance 61769P529 05/05/20 05/05/27 100.000 0.000 2.0902 56.78 0.061159 0.061798 0.062444 0.063096 0.063756 22.20 22.67 Morgan Stanley Finance 61770FYH3 04/22/20 10/22/25 100.000 0.000 1.9271 52.99 0.056160 0.056701 0.057247 0.057799 0.058356 20.39 20.78 Morgan Stanley Finance 61770FGP5 02/28/20 03/02/27 100.000 0.000 2.1748 63.41 0.063782 0.064476 0.065177 0.065885 0.066602 23.25 23.76 Morgan Stanley Finance 61768DZW8 02/28/19 02/29/24 100.000 0.000 3.4964 142.47 0.109658 0.111564 0.113526 40.29 6.58 Morgan Stanley Finance 61768CX28 05/30/18 05/30/25 100.000 0.000 3.9488 196.45 0.130792 0.133374 0.136007 0.138693 0.141431 47.71 49.61 Morgan Stanley Finance 61769HP82 11/29/19 05/30/24 100.000 0.000 2.3629 75.27 0.070434 0.071266 0.072108 25.56 10.74 Morgan Stanley Finance 61770FGS9 03/04/20 03/04/24 100.000 0.000 1.7557 50.63 0.050949 0.051396 0.051848 18.53 3.27 Morgan Stanley Finance 61773QF61 04/11/22 04/10/25 100.000 0.000 3.3450 24.28 0.094462 0.096042 0.097648 0.099281 0.100942 34.55 35.71 Morgan Stanley Finance 61773FVU4 09/22/21 03/22/27 100.000 0.000 1.5893 20.40 0.044851 0.045208 0.045567 0.045929 0.046294 16.28 16.54 Morgan Stanley Finance 61768C5S2 07/31/18 07/31/25 100.000 0.000 4.0045 191.55 0.130354 0.132964 0.135626 0.138341 0.141111 48.19 50.14 Morgan Stanley Finance 61774DJV0 05/31/22 06/01/29 100.000 0.000 4.1329 24.29 0.117188 0.119610 0.122082 0.124604 0.127179 42.77 44.56 Morgan Stanley Finance 61773FFC2 03/24/22 03/25/27 100.000 0.000 3.3435 25.88 0.094436 0.096014 0.097620 0.099251 0.100911 34.59 35.75 Morgan Stanley Finance 61770FXY7 04/01/20 05/28/27 100.000 0.000 2.8687 81.52 0.085955 0.087187 0.088438 0.089707 0.090993 31.25 32.15 Morgan Stanley Finance 61768CWL7 12/18/17 06/18/25 100.000 0.000 3.2094 173.93 0.104535 0.106212 0.107917 0.109649 0.111408 37.98 39.21 Morgan Stanley Finance 61773FFB4 03/24/22 03/26/25 100.000 0.000 3.1571 24.43 0.089098 0.090504 0.091933 0.093384 0.094858 32.60 33.63 Morgan Stanley Finance 61773Q4Z9 06/03/22 06/04/27 100.000 0.000 4.0488 23.45 0.114756 0.117079 0.119449 0.121867 0.124335 41.86 43.57 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61773QVH9 05/05/22 05/02/25 100.000 0.000 3.8097 25.09 0.107807 0.109861 0.111953 0.114086 0.116259 39.42 40.94 Morgan Stanley Finance 61769P495 05/05/20 05/05/26 100.000 0.000 1.9401 52.62 0.056556 0.057105 0.057658 0.058218 0.058782 20.52 20.92 Morgan Stanley Finance 61773F4D2 10/27/21 04/27/27 100.000 0.000 1.9805 23.49 0.056109 0.056665 0.057226 0.057792 0.058365 20.37 20.78 Morgan Stanley Finance 61773F4E0 10/27/21 10/26/28 100.000 0.000 2.2698 26.95 0.064486 0.065218 0.065958 0.066706 0.067463 23.44 23.98 Morgan Stanley Finance 61768DHE8 10/31/18 05/01/23 100.000 VARIES 3.8571 170.04 0.120288 14.44 Morgan Stanley Finance 61768X101 03/05/19 03/03/23 100.000 0.000 3.3204 134.17 0.103484 6.42 Morgan Stanley Finance 61773QVQ9 05/31/22 05/29/25 100.000 0.000 3.5672 20.96 0.100846 0.102645 0.104476 0.106339 0.108236 36.74 38.07 Morgan Stanley Finance 61770FGC4 03/04/20 03/03/23 100.000 0.000 1.6561 47.70 0.047938 2.97 Morgan Stanley Finance 61768CUZ8 12/27/17 12/27/24 100.000 0.000 3.2580 175.80 0.106370 0.108103 0.109864 0.111653 38.62 39.43 Morgan Stanley Finance 61768CVQ7 12/29/17 06/30/23 100.000 0.000 3.0395 163.00 0.098184 17.57 Morgan Stanley Finance 61769HNV3 09/05/19 09/05/24 100.000 0.000 2.3651 81.26 0.070500 0.071334 0.072177 0.073031 25.72 17.76 Morgan Stanley Finance 61768CVR5 12/08/17 06/10/24 100.000 0.000 3.1083 169.06 0.100755 0.102321 0.103911 36.62 16.52 Morgan Stanley Finance 61766V867 05/03/17 11/03/23 100.000 0.000 3.2047 197.23 0.106031 0.107730 32.33 Morgan Stanley Finance 61769HNU5 09/05/19 09/05/24 100.000 0.000 2.3651 81.26 0.070500 0.071334 0.072177 0.073031 25.72 17.76 Morgan Stanley Finance 61773QUW7 04/14/22 10/11/24 100.000 0.000 2.9922 21.46 0.084340 0.085602 0.086883 0.088183 30.79 24.56 Morgan Stanley Finance 61770FX27 05/21/20 05/21/26 100.000 0.000 1.9379 51.65 0.056489 0.057036 0.057589 0.058147 0.058710 20.48 20.88 Morgan Stanley Finance 61773FDV2 07/28/21 01/28/27 100.000 0.000 1.4801 21.24 0.041725 0.042034 0.042345 0.042659 0.042974 15.17 15.40 Morgan Stanley Finance 61768CVP9 12/29/17 06/30/23 100.000 0.000 3.0395 163.00 0.098184 17.57 Morgan Stanley Finance 61772Y145 07/06/21 07/06/28 100.000 0.000 1.9323 28.99 0.054716 0.055245 0.055779 0.056318 0.056862 19.98 20.37 Morgan Stanley Finance 61770FX35 05/21/20 05/21/27 100.000 0.000 2.1231 56.70 0.062172 0.062832 0.063498 0.064173 0.064854 22.55 23.03 Morgan Stanley Finance 61770FFJ0 02/04/20 02/04/25 100.000 0.000 2.0787 62.00 0.060806 0.061438 0.062077 0.062722 0.063374 22.19 22.65 Morgan Stanley Finance 61773FDU4 07/28/21 07/27/28 100.000 0.000 1.8084 25.99 0.051145 0.051607 0.052074 0.052545 0.053020 18.64 18.98 Morgan Stanley Finance 61769HNY7 08/30/19 06/02/23 100.000 0.000 2.2160 76.32 0.066134 9.99 Morgan Stanley Finance 61773QDQ9 03/23/22 03/23/27 100.000 0.000 3.2206 25.01 0.090901 0.092365 0.093852 0.095364 0.096899 33.28 34.36 Morgan Stanley Finance 61773FUT8 10/05/21 10/05/26 100.000 0.000 1.5992 19.94 0.045136 0.045497 0.045861 0.046227 0.046597 16.38 16.64 Morgan Stanley Finance 61768C4Q7 06/29/18 06/30/23 100.000 0.000 3.7636 182.93 0.123656 22.13 Morgan Stanley Finance 61770FX84 06/03/20 06/02/23 100.000 0.000 1.1097 28.94 0.031690 4.79 Morgan Stanley Finance 61768DHK4 10/22/18 10/20/23 100.000 0.000 3.9969 180.50 0.130041 0.132640 38.05 Morgan Stanley Finance 61770E307 01/03/20 01/03/25 100.000 0.000 2.3534 72.57 0.069310 0.070125 0.070950 0.071785 0.072630 25.39 25.99 Morgan Stanley Finance 61770FX68 06/03/20 06/03/25 100.000 0.000 1.5338 40.18 0.044263 0.044603 0.044945 0.045289 0.045637 16.01 16.26 Morgan Stanley Finance 61773Q3X5 06/03/22 06/04/27 100.000 0.000 4.0488 23.45 0.114756 0.117079 0.119449 0.121867 0.124335 41.86 43.57 Morgan Stanley Finance 61768C7D3 07/17/18 07/17/23 100.000 2.500 3.7523 172.52 0.109905 0.111967 21.91 Morgan Stanley Finance 61773F7L1 11/09/21 11/09/26 100.000 0.000 1.7857 20.56 0.050493 0.050944 0.051399 0.051858 0.052321 18.31 18.63 Morgan Stanley Finance 61768DKG9 11/30/18 12/03/25 100.000 0.000 4.2632 188.16 0.140239 0.143229 0.146282 0.149400 0.152584 51.19 53.40 Morgan Stanley Finance 61773Q7G8 05/25/22 05/23/24 100.000 0.000 3.3425 20.11 0.094382 0.095959 0.097563 34.38 13.85 Morgan Stanley Finance 61771VSK7 04/28/21 10/28/26 100.000 0.000 1.6286 27.55 0.046352 0.046730 0.047110 0.047494 0.047881 16.80 17.08 Morgan Stanley Finance 61773Q7H6 05/25/22 05/23/25 100.000 0.000 3.7175 22.38 0.105162 0.107117 0.109108 0.111136 0.113201 38.36 39.80 Morgan Stanley Finance 61771VSJ0 04/28/21 04/27/28 100.000 0.000 1.9961 33.84 0.057121 0.057692 0.058267 0.058849 0.059436 20.74 21.16 Morgan Stanley Finance 61770FJD9 02/07/20 08/09/23 100.000 0.000 1.9816 58.86 0.057831 0.058404 12.71 Morgan Stanley Finance 61772X220 05/05/21 05/03/28 100.000 0.000 2.0240 33.91 0.057940 0.058527 0.059119 0.059717 0.060321 21.03 21.46 Morgan Stanley Finance 61773E528 10/05/21 10/04/28 100.000 0.000 2.0411 25.49 0.057858 0.058448 0.059045 0.059647 0.060256 21.04 21.47 Morgan Stanley Finance 61773QZ93 05/31/22 05/31/29 100.000 0.000 4.2085 24.74 0.119363 0.121874 0.124439 0.127057 0.129731 43.58 45.43 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61771BHX5 06/17/20 06/17/25 100.000 0.000 1.3734 35.36 0.039477 0.039748 0.040021 0.040296 0.040572 14.27 14.46 Morgan Stanley Finance 61768CYW1 01/31/18 01/31/23 100.000 0.000 3.2187 170.11 0.103225 2.99 Morgan Stanley Finance 61770FZV1 04/30/20 04/30/27 100.000 0.000 2.2634 61.94 0.066511 0.067264 0.068025 0.068795 0.069574 24.17 24.72 Morgan Stanley Finance 61772Y475 08/04/21 08/03/28 100.000 0.000 1.7696 25.13 0.050027 0.050470 0.050916 0.051367 0.051821 18.22 18.55 Morgan Stanley Finance 61769HRA5 08/30/19 09/01/26 100.000 0.000 2.4648 85.18 0.073692 0.074600 0.075520 0.076450 0.077393 26.91 27.58 Morgan Stanley Finance 61773QGX1 04/05/22 04/05/27 100.000 0.000 3.4199 25.41 0.096620 0.098273 0.099953 0.101662 0.103400 35.37 36.59 Morgan Stanley Finance 61773QHB8 04/05/22 04/05/27 100.000 1.750 3.4182 25.40 0.096572 0.096561 0.098211 0.098228 0.099907 34.90 35.51 Morgan Stanley Finance 61768CZ59 05/31/18 11/30/23 100.000 0.000 3.6409 179.98 0.118967 0.121133 39.53 Morgan Stanley Finance 61770FZZ2 05/05/20 05/05/25 100.000 0.000 1.8350 49.71 0.053353 0.053842 0.054336 0.054835 0.055338 19.35 19.71 Morgan Stanley Finance 61773QHA0 04/05/22 04/05/27 100.000 0.000 3.4199 25.41 0.096620 0.098273 0.099953 0.101662 0.103400 35.37 36.59 Morgan Stanley Finance 61773U266 02/16/22 03/05/29 100.000 0.000 3.0399 26.79 0.085862 0.087167 0.088492 0.089837 0.091203 31.45 32.41 Morgan Stanley Finance 61768CXC6 01/31/18 01/30/25 100.000 0.000 3.4110 181.05 0.110325 0.112207 0.114121 0.116067 0.118047 40.63 42.03 Morgan Stanley Finance 61773Q6G9 05/25/22 11/25/26 100.000 0.000 4.1277 24.85 0.117025 0.119440 0.121905 0.124421 0.126989 42.74 44.52 Morgan Stanley Finance 61768CXJ1 01/31/18 07/31/23 100.000 0.000 3.3080 175.18 0.106508 0.108270 22.58 Morgan Stanley Finance 61773Q6H7 05/25/22 11/25/25 100.000 0.000 3.8756 23.33 0.109742 0.111868 0.114036 0.116246 0.118498 40.04 41.61 Morgan Stanley Finance 61768Y687 07/03/19 07/06/23 100.000 0.000 2.5444 92.38 0.076264 0.077234 14.28 Morgan Stanley Finance 61773F6S7 11/01/21 11/01/28 100.000 0.000 2.1922 25.78 0.062236 0.062918 0.063608 0.064305 0.065010 22.61 23.11 Morgan Stanley Finance 61768CH42 03/29/18 03/31/25 100.000 0.000 3.8850 200.85 0.128333 0.130825 0.133367 0.135957 0.138598 47.11 48.95 Morgan Stanley Finance 61770FYU4 04/30/20 10/30/25 100.000 0.000 1.9442 53.02 0.056682 0.057233 0.057789 0.058351 0.058918 20.57 20.97 Morgan Stanley Finance 61773Q5X3 05/31/22 05/31/29 100.000 0.000 4.2085 24.74 0.119363 0.121874 0.124439 0.127057 0.129731 43.58 45.43 Morgan Stanley Finance 61773Q5Y1 05/31/22 05/31/29 100.000 0.000 4.2085 24.74 0.119363 0.121874 0.124439 0.127057 0.129731 43.58 45.43 Morgan Stanley Finance 61768CXY8 01/31/18 02/01/24 100.000 0.000 3.3672 178.55 0.108707 0.110537 0.112398 40.02 3.37 Morgan Stanley Finance 61773Q5U9 05/31/22 05/28/27 100.000 0.000 4.0281 23.68 0.114120 0.116419 0.118763 0.121155 0.123595 41.65 43.34 Morgan Stanley Finance 61770FHN9 03/04/20 03/05/25 100.000 0.000 1.7527 50.54 0.050861 0.051307 0.051756 0.052210 0.052668 18.49 18.82 Morgan Stanley Finance 61770FHP4 03/04/20 03/05/25 100.000 0.000 1.7527 50.54 0.050861 0.051307 0.051756 0.052210 0.052668 18.49 18.82 Morgan Stanley Finance 61773Q5T2 05/31/22 05/31/29 100.000 0.000 4.2085 24.74 0.119363 0.121874 0.124439 0.127057 0.129731 43.58 45.43 Morgan Stanley Finance 61768CXW2 01/31/18 07/31/25 100.000 0.000 3.4534 183.48 0.111906 0.113838 0.115803 0.117803 0.119837 41.22 42.66 Morgan Stanley Finance 61771VQW3 04/30/21 05/02/28 100.000 0.000 2.0160 34.07 0.057717 0.058299 0.058887 0.059480 0.060080 20.95 21.38 Morgan Stanley Finance 61770E588 02/05/20 02/05/25 100.000 0.000 1.9970 59.44 0.058299 0.058881 0.059469 0.060062 0.060662 21.26 21.69 Morgan Stanley Finance 61770FYX8 04/30/20 04/30/27 100.000 0.000 2.2634 61.94 0.066511 0.067264 0.068025 0.068795 0.069574 24.17 24.72 Morgan Stanley Finance 61774HK31 11/16/22 11/14/24 100.000 0.000 5.2055 6.51 0.144597 0.148319 0.152179 0.156140 53.08 48.35 Morgan Stanley Finance 61775HUJ4 08/16/23 08/14/25 100.000 0.000 5.3873 0.149647 0.153633 0.157772 20.20 55.70 Morgan Stanley Finance 61774XHZ9 05/03/23 05/01/25 100.000 0.000 4.7834 0.132872 0.136015 0.139268 0.142599 31.81 49.95 Morgan Stanley Finance 61774XHN6 04/28/23 04/28/28 100.000 0.000 4.7155 0.130986 0.134074 0.137236 0.140471 32.02 49.24 Morgan Stanley Finance 61774XHM8 04/28/23 04/30/25 100.000 0.000 4.8000 0.133333 0.133369 0.136570 0.139847 0.143204 32.60 50.16 Morgan Stanley Finance 61774XHL0 04/28/23 04/30/26 100.000 0.000 4.6584 0.129400 0.129433 0.132448 0.135533 0.138690 31.64 48.62 Morgan Stanley Finance 61774XGW7 05/03/23 05/01/26 100.000 0.000 4.6612 0.129478 0.132462 0.135549 0.138708 30.99 48.62 Morgan Stanley Finance 61775HTD9 09/06/23 09/05/25 100.000 0.000 5.4965 0.152681 0.156853 0.161164 17.56 56.70 Morgan Stanley Finance 61775HTC1 09/06/23 09/06/28 100.000 0.000 5.4020 0.150056 0.154109 0.158271 17.26 55.69 Morgan Stanley Finance 61774HZY7 11/15/22 11/15/27 100.000 0.000 5.6531 7.22 0.157031 0.161469 0.166033 0.170726 0.175552 57.74 61.05 Morgan Stanley Finance 61774HZZ4 11/16/22 11/14/25 100.000 0.000 5.2838 6.60 0.146772 0.150607 0.154586 0.158670 0.162861 53.90 56.77 Morgan Stanley Finance 61775HTP2 08/31/23 09/02/26 100.000 0.000 5.5965 0.155458 0.155507 0.159858 0.164331 18.82 57.82 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774XYE7 05/17/23 05/15/25 100.000 0.000 4.5292 0.125811 0.128629 0.131541 0.134520 28.31 47.10 Morgan Stanley Finance 61775HTM9 08/31/23 09/03/30 100.000 0.000 5.5769 0.154914 0.154986 0.159308 0.163750 18.75 57.61 Morgan Stanley Finance 61774HJ33 11/29/22 11/29/27 100.000 0.000 5.2152 4.64 0.144867 0.148644 0.152520 0.156497 0.160578 53.08 55.88 Morgan Stanley Finance 61775HTL1 08/31/23 09/03/25 100.000 0.000 5.6361 0.156558 0.156632 0.161046 0.165584 18.95 58.24 Morgan Stanley Finance 61774FCK6 06/05/23 08/02/28 100.000 0.000 5.2550 0.145972 0.147187 0.151054 0.155023 30.25 54.85 Morgan Stanley Finance 61774HJ41 11/22/22 11/22/27 100.000 0.000 5.3302 5.77 0.148061 0.152007 0.156058 0.160217 0.164487 54.32 57.26 Morgan Stanley Finance 61775HTK3 08/31/23 09/02/26 100.000 0.000 5.5965 0.155458 0.155507 0.159858 0.164331 18.82 57.82 Morgan Stanley Finance 61774XGM9 04/28/23 04/28/28 100.000 0.000 4.7155 0.130986 0.134074 0.137236 0.140471 32.02 49.24 Morgan Stanley Finance 61775MAD8 10/02/23 10/02/28 100.000 0.000 5.7284 0.159122 0.163680 0.168368 14.16 58.93 Morgan Stanley Finance 61774FBU5 05/03/23 05/03/28 100.000 0.000 4.8346 0.134294 0.137541 0.140866 0.144271 32.15 50.50 Morgan Stanley Finance 61761J5V7 08/31/23 08/31/33 100.000 VARIES 6.9573 0.010800 0.010000 0.009100 1.31 3.54 Morgan Stanley Finance 61774DMM6 07/06/22 07/06/27 100.000 0.000 4.5507 22.12 0.126408 0.129285 0.132226 0.135235 0.138312 47.04 49.21 Morgan Stanley Finance 61774HYZ5 11/28/22 11/28/29 100.000 0.000 5.3723 4.92 0.149231 0.153239 0.157355 0.161582 0.165922 54.71 57.69 Morgan Stanley Finance 61774XY64 05/31/23 11/29/24 100.000 0.000 5.0206 0.139461 0.142943 0.146531 29.54 47.53 Morgan Stanley Finance 61774FBZ4 06/05/23 06/03/26 100.000 0.000 4.8131 0.133697 0.136879 0.140173 0.143546 27.63 50.06 Morgan Stanley Finance 61774XGN7 04/28/23 04/30/30 100.000 0.000 4.8297 0.134158 0.134194 0.137435 0.140754 0.144153 32.81 50.48 Morgan Stanley Finance 617741ZU5 12/05/22 12/04/25 100.000 0.000 4.9291 3.56 0.136919 0.140275 0.143732 0.147275 0.150904 50.08 52.57 Morgan Stanley Finance 61774XKD4 04/03/23 04/02/26 100.000 0.000 4.9228 0.136744 0.140092 0.143540 0.147073 36.95 51.67 Morgan Stanley Finance 61775HFL6 07/31/23 07/31/28 100.000 0.000 5.2152 0.144867 0.148644 0.152520 21.87 53.99 Morgan Stanley Finance 61775HFM4 07/31/23 07/31/28 100.000 0.000 5.2152 0.144867 0.148644 0.152520 21.87 53.99 Morgan Stanley Finance 61775H5G3 08/31/23 08/31/28 100.000 0.000 5.5578 0.154383 0.158650 0.163083 18.68 57.40 Morgan Stanley Finance 61775HWX1 09/05/23 09/05/28 100.000 0.000 5.4126 0.150350 0.154419 0.158598 17.44 55.82 Morgan Stanley Finance 61774DA23 07/29/22 07/29/27 100.000 0.000 4.3358 18.31 0.120439 0.123050 0.125717 0.128443 0.131227 44.63 46.59 Morgan Stanley Finance 61774DPZ4 06/17/22 06/17/27 100.000 0.000 4.9268 26.60 0.140227 0.143681 0.147221 0.150847 0.154563 51.20 53.76 Morgan Stanley Finance 61774XJP9 05/03/23 05/01/25 100.000 0.000 4.7834 0.132872 0.136015 0.139268 0.142599 31.81 49.95 Morgan Stanley Finance 61775HEY9 07/31/23 07/31/30 100.000 0.000 5.2225 0.145069 0.148858 0.152745 21.91 54.07 Morgan Stanley Finance 61774XJN4 05/03/23 05/03/28 100.000 0.000 4.7380 0.131611 0.134729 0.137921 0.141188 31.50 49.45 Morgan Stanley Finance 61774HLB2 11/03/22 11/04/27 100.000 0.000 5.8023 9.35 0.161175 0.165877 0.170689 0.175641 0.180737 59.41 62.91 Morgan Stanley Finance 61774XJB0 05/03/23 05/03/28 100.000 0.000 4.7380 0.131611 0.134729 0.137921 0.141188 31.50 49.45 Morgan Stanley Finance 61774DPD3 06/23/22 06/23/27 100.000 0.000 4.6901 24.52 0.133336 0.136462 0.139663 0.142938 0.146290 48.61 50.92 Morgan Stanley Finance 61775HVG9 08/28/23 08/28/28 100.000 0.000 5.6551 0.157086 0.161528 0.166095 19.32 58.46 Morgan Stanley Finance 61774HKX5 11/03/22 11/04/27 100.000 0.000 5.8023 9.35 0.161175 0.165877 0.170689 0.175641 0.180737 59.41 62.91 Morgan Stanley Finance 61774DPN1 06/21/22 06/21/27 100.000 0.000 4.6797 24.73 0.133033 0.136146 0.139332 0.142592 0.145928 48.52 50.81 Morgan Stanley Finance 61774HKW7 11/03/22 11/04/27 100.000 0.000 5.8023 9.35 0.161175 0.165877 0.170689 0.175641 0.180737 59.41 62.91 Morgan Stanley Finance 61774HKC1 10/31/22 10/29/27 100.000 0.000 5.7935 9.82 0.160931 0.165566 0.170362 0.175297 0.180375 59.35 62.84 Morgan Stanley Finance 61774HKA5 10/31/22 10/30/25 100.000 0.000 5.5515 9.41 0.154208 0.158489 0.162888 0.167409 0.172056 56.81 60.01 Morgan Stanley Finance 61774HKB3 10/31/22 10/29/27 100.000 0.000 5.7935 9.82 0.160931 0.165566 0.170362 0.175297 0.180375 59.35 62.84 Morgan Stanley Finance 61774HKL1 11/03/22 11/05/25 100.000 0.000 5.5897 9.01 0.155318 0.159659 0.164121 0.168708 0.173423 57.19 60.43 Morgan Stanley Finance 61774HKH0 11/03/22 11/04/27 100.000 0.000 5.8023 9.35 0.161175 0.165877 0.170689 0.175641 0.180737 59.41 62.91 Morgan Stanley Finance 61775HHR1 08/03/23 08/05/25 100.000 0.000 5.5058 0.152939 0.152986 0.157197 0.161525 22.64 57.08 Morgan Stanley Finance 61775HHQ3 08/03/23 08/03/28 100.000 0.000 5.1806 0.143906 0.147633 0.151457 21.30 53.59 Morgan Stanley Finance 61775HHP5 08/03/23 08/03/28 100.000 0.000 5.1806 0.143906 0.147633 0.151457 21.30 53.59 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 617741LA4 10/31/22 10/31/29 100.000 0.000 5.9019 10.00 0.163942 0.168780 0.173760 0.178888 0.184167 60.49 64.11 Morgan Stanley Finance 61774TAC6 12/29/22 12/28/27 100.000 0.000 5.1425 0.29 0.142847 0.146500 0.150267 0.154130 0.158093 52.10 54.81 Morgan Stanley Finance 61774TRD6 01/30/23 01/28/28 100.000 0.000 4.7213 0.131147 0.134209 0.137377 0.140620 43.88 49.87 Morgan Stanley Finance 61774Q876 02/03/23 07/03/26 100.000 0.000 4.6651 0.129586 0.132105 0.135186 0.138340 42.95 49.22 Morgan Stanley Finance 61774XMM2 04/19/23 04/20/28 100.000 0.000 4.8000 0.133333 0.136551 0.139828 0.143184 33.83 50.22 Morgan Stanley Finance 61774XML4 04/19/23 04/20/28 100.000 0.000 4.8000 0.133333 0.136551 0.139828 0.143184 33.83 50.22 Morgan Stanley Finance 617741KZ0 10/31/22 10/31/29 100.000 0.000 5.9019 10.00 0.163942 0.168780 0.173760 0.178888 0.184167 60.49 64.11 Morgan Stanley Finance 61775HHA8 07/31/23 07/30/26 100.000 0.000 5.3689 0.149136 0.153140 0.157251 22.52 55.63 Morgan Stanley Finance 61774HNH7 10/31/22 10/31/29 100.000 0.000 5.9019 10.00 0.163942 0.168780 0.173760 0.178888 0.184167 60.49 64.11 Morgan Stanley Finance 61775HGZ4 07/31/23 07/30/26 100.000 0.000 5.3689 0.149136 0.153140 0.157251 22.52 55.63 Morgan Stanley Finance 61774DB48 08/03/22 08/03/27 100.000 0.000 4.0342 16.59 0.112061 0.114321 0.116627 0.118980 0.121380 41.42 43.11 Morgan Stanley Finance 61774DA64 08/03/22 08/03/27 100.000 0.000 4.0342 16.59 0.112061 0.114321 0.116627 0.118980 0.121380 41.42 43.11 Morgan Stanley Finance 61774TPR7 01/23/23 01/21/28 100.000 0.000 4.9008 0.136133 0.139432 0.142849 0.146349 46.54 51.92 Morgan Stanley Finance 61774DUS4 07/29/22 07/31/29 100.000 0.000 4.4850 18.94 0.124599 0.127393 0.130250 0.133171 0.136157 46.21 48.31 Morgan Stanley Finance 61774TCA8 12/09/22 12/09/27 100.000 0.000 4.9607 3.03 0.137797 0.141215 0.144718 0.148307 0.151986 50.37 52.90 Morgan Stanley Finance 61775HJS7 08/03/23 08/05/26 100.000 0.000 5.3069 0.147414 0.147457 0.151370 0.155387 21.82 54.95 Morgan Stanley Finance 61774DUP0 08/03/22 08/03/27 100.000 0.000 4.0342 16.59 0.112061 0.114321 0.116627 0.118980 0.121380 41.42 43.11 Morgan Stanley Finance 61774HQG6 10/31/22 10/29/27 100.000 0.000 5.7935 9.82 0.160931 0.165566 0.170362 0.175297 0.180375 59.35 62.84 Morgan Stanley Finance 61774HQF8 10/31/22 10/29/27 100.000 0.000 5.7935 9.82 0.160931 0.165566 0.170362 0.175297 0.180375 59.35 62.84 Morgan Stanley Finance 61774T2E1 03/10/23 03/10/28 100.000 0.000 5.2553 0.145981 0.149816 0.153753 0.157793 42.91 55.53 Morgan Stanley Finance 61774TTD4 02/28/23 02/26/26 100.000 0.000 5.1119 0.141997 0.145586 0.149307 0.153124 43.47 54.02 Morgan Stanley Finance 61775HJC2 07/31/23 07/31/28 100.000 0.000 5.5514 0.154206 0.158486 0.162885 23.29 57.60 Morgan Stanley Finance 61774TSJ2 01/26/23 01/28/27 102.500 0.625 4.7613 0.136350 0.139400 0.142500 0.145800 0.149150 45.99 51.75 Morgan Stanley Finance 61774HQ27 11/10/22 05/07/26 100.000 0.000 5.6730 8.04 0.157583 0.161979 0.166573 0.171298 0.176157 58.01 61.33 Morgan Stanley Finance 61775HJ40 08/31/23 03/05/25 100.000 0.000 5.6708 0.157522 0.157646 0.162116 0.166713 19.07 58.61 Morgan Stanley Finance 61774TB84 02/28/23 02/28/28 100.000 0.000 5.2014 0.144483 0.148241 0.152096 0.156052 44.24 55.02 Morgan Stanley Finance 61774DD38 07/25/22 04/24/25 100.000 0.000 4.1367 18.00 0.116083 0.118484 0.120935 0.123437 0.125990 42.55 44.33 Morgan Stanley Finance 61774TEB4 12/23/22 12/23/27 100.000 0.000 4.9576 1.10 0.137711 0.141125 0.144623 0.148208 0.151882 50.25 52.77 Morgan Stanley Finance 61774TVC3 03/03/23 03/02/28 100.000 0.000 5.2313 0.145314 0.149094 0.152993 0.156995 43.75 55.32 Morgan Stanley Finance 61774DWU7 07/29/22 07/29/27 100.000 0.000 4.3358 18.31 0.120439 0.123050 0.125717 0.128443 0.131227 44.63 46.59 Morgan Stanley Finance 61774TVA7 03/03/23 03/05/25 100.000 0.000 5.2748 0.146522 0.146565 0.150431 0.154398 0.158470 44.12 55.80 Morgan Stanley Finance 61774TVB5 03/03/23 05/31/24 100.000 0.000 5.3874 0.149650 0.151598 0.155682 45.13 23.20 Morgan Stanley Finance 61774DWT0 07/29/22 07/31/25 100.000 0.000 4.0373 17.05 0.112160 0.114424 0.116734 0.119090 0.121494 41.48 43.17 Morgan Stanley Finance 61774XA78 06/05/23 06/05/28 100.000 0.000 4.9888 0.138578 0.142034 0.145577 0.149209 28.64 51.96 Morgan Stanley Finance 61774TVK5 02/23/23 08/22/28 100.000 0.000 5.0992 0.141644 0.145236 0.148939 0.152736 44.09 53.92 Morgan Stanley Finance 61774TVM1 02/28/23 02/27/25 100.000 0.000 5.2048 0.144578 0.148319 0.152179 0.156140 44.27 55.06 Morgan Stanley Finance 61774HB23 11/23/22 05/21/27 100.000 0.000 5.3341 5.63 0.148169 0.152077 0.156133 0.160297 0.164573 54.36 57.30 Morgan Stanley Finance 61774DWH6 08/03/22 08/03/27 100.000 0.000 4.0342 16.59 0.112061 0.114321 0.116627 0.118980 0.121380 41.42 43.11 Morgan Stanley Finance 61774DWE3 07/29/22 07/31/29 100.000 0.000 4.4850 18.94 0.124599 0.127393 0.130250 0.133171 0.136157 46.21 48.31 Morgan Stanley Finance 61774DWF0 07/29/22 07/31/29 100.000 0.000 4.4850 18.94 0.124599 0.127393 0.130250 0.133171 0.136157 46.21 48.31 Morgan Stanley Finance 61774T3Y6 04/05/23 04/03/25 100.000 0.000 4.8570 0.134917 0.138157 0.141512 0.144948 36.17 50.94 Morgan Stanley Finance 61774TUZ3 02/28/23 02/27/25 100.000 0.000 5.2048 0.144578 0.148319 0.152179 0.156140 44.27 55.06 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61775HM20 10/04/23 10/02/25 100.000 0.000 5.6986 0.158294 0.162755 0.167392 13.77 58.60 Morgan Stanley Finance 61774T3X8 04/05/23 04/03/25 100.000 0.000 4.8570 0.134917 0.138157 0.141512 0.144948 36.17 50.94 Morgan Stanley Finance 61774T3U4 04/05/23 04/09/24 100.000 0.000 4.8000 0.133333 0.133404 0.136606 35.75 13.39 Morgan Stanley Finance 61774HB31 11/23/22 05/23/28 100.000 0.000 5.4757 5.78 0.152103 0.156267 0.160545 0.164941 0.169457 55.83 58.93 Morgan Stanley Finance 61774DWJ2 07/06/22 07/06/26 100.000 0.000 4.3555 21.17 0.120986 0.123621 0.126313 0.129064 0.131875 44.96 46.94 Morgan Stanley Finance 61774T3A8 03/31/23 03/31/28 100.000 0.000 4.8853 0.135703 0.139018 0.142413 0.145892 37.08 51.28 Morgan Stanley Finance 61775HL96 10/04/23 10/02/26 100.000 0.000 5.6780 0.157722 0.162150 0.166754 13.72 58.38 Morgan Stanley Finance 61766YMJ7 11/29/22 11/28/25 100.000 VARIES 5.2840 4.70 0.146250 0.144200 0.143250 0.145100 0.146050 51.86 52.01 Morgan Stanley Finance 61774TUK6 03/03/23 03/02/28 100.000 0.000 5.2313 0.145314 0.149094 0.152993 0.156995 43.75 55.32 Morgan Stanley Finance 61774TUL4 02/28/23 02/28/28 100.000 0.000 5.2014 0.144483 0.148241 0.152096 0.156052 44.24 55.02 Morgan Stanley Finance 61774XQ48 06/05/23 06/05/28 100.000 0.000 4.9888 0.138578 0.142034 0.145577 0.149209 28.64 51.96 Morgan Stanley Finance 61774T3B6 03/31/23 04/02/30 100.000 0.000 4.9651 0.137919 0.137957 0.141382 0.144892 0.148489 37.69 52.16 Morgan Stanley Finance 61774DF85 07/29/22 07/30/27 100.000 0.000 4.3358 18.31 0.120439 0.123064 0.125732 0.128458 0.131243 44.63 46.59 Morgan Stanley Finance 61774TTR3 03/03/23 03/05/26 100.000 0.000 5.2084 0.144678 0.144720 0.148488 0.152355 0.156323 43.56 55.06 Morgan Stanley Finance 61774T2P6 03/31/23 04/02/26 100.000 0.000 4.8250 0.134028 0.134064 0.137298 0.140610 0.144003 36.62 50.62 Morgan Stanley Finance 61774T2W1 04/05/23 04/05/28 100.000 0.000 4.8824 0.135622 0.138933 0.142325 0.145799 36.36 51.22 Morgan Stanley Finance 61774HA73 12/05/22 12/03/27 100.000 0.000 5.0920 3.68 0.141444 0.145006 0.148697 0.152483 0.156366 51.76 54.43 Morgan Stanley Finance 61774T2X9 04/05/23 04/05/27 100.000 0.000 4.8493 0.134703 0.137969 0.141314 0.144740 36.11 50.85 Morgan Stanley Finance 61774T2U5 03/31/23 04/02/25 100.000 0.000 4.7828 0.132856 0.132891 0.136069 0.139323 0.142655 36.30 50.16 Morgan Stanley Finance 61774TD74 02/23/23 02/23/28 100.000 0.000 5.0532 0.140367 0.143913 0.147549 0.151277 43.69 53.41 Morgan Stanley Finance 61774T2S0 04/05/23 04/05/28 100.000 0.000 4.8824 0.135622 0.138933 0.142325 0.145799 36.36 51.22 Morgan Stanley Finance 61774T2T8 03/31/23 04/02/25 100.000 0.000 4.7828 0.132856 0.132891 0.136069 0.139323 0.142655 36.30 50.16 Morgan Stanley Finance 61774TCU4 12/13/22 12/11/25 100.000 0.000 4.8790 2.44 0.135528 0.138797 0.142183 0.145652 0.149205 49.51 51.95 Morgan Stanley Finance 61774T2Q4 03/31/23 03/31/28 100.000 0.000 4.8853 0.135703 0.139018 0.142413 0.145892 37.08 51.28 Morgan Stanley Finance 61774T2R2 04/05/23 04/06/26 100.000 0.000 4.8649 0.135136 0.138441 0.141809 0.145258 36.23 51.02 Morgan Stanley Finance 61774DYU5 07/20/22 07/20/27 100.000 0.000 4.4916 20.09 0.124767 0.127569 0.130434 0.133363 0.136358 46.33 48.44 Morgan Stanley Finance 61774H3J5 12/28/22 12/27/24 100.000 0.000 4.9366 0.41 0.137128 0.140494 0.143962 0.147515 50.00 51.89 Morgan Stanley Finance 61774B275 07/06/22 01/06/26 100.000 0.000 4.2080 20.46 0.116889 0.119348 0.121859 0.124423 0.127041 43.39 45.24 Morgan Stanley Finance 61774TGM8 02/03/23 02/05/26 100.000 0.000 4.6549 0.129303 0.129336 0.132346 0.135427 0.138579 42.86 49.11 Morgan Stanley Finance 48133TAX3 12/23/22 12/26/23 100.000 0.000 4.0800 0.91 0.113372 0.115685 40.66 Morgan Stanley Finance 61774XT78 06/06/23 06/06/28 100.000 0.000 4.8739 0.135386 0.138685 0.142065 0.145527 27.84 50.71 Morgan Stanley Finance 61774HD54 11/04/22 11/04/27 100.000 0.000 5.8518 9.27 0.162550 0.167306 0.172201 0.177240 0.182426 59.92 63.48 Morgan Stanley Finance 61774H2L1 11/23/22 11/23/27 100.000 5.000 5.4240 5.71 0.154400 0.157900 0.161400 0.165000 0.168700 56.47 59.03 Morgan Stanley Finance 61774TXA5 02/15/23 02/15/28 100.000 0.000 4.8043 0.133453 0.136659 0.139941 0.143303 42.61 50.69 Morgan Stanley Finance 61774T5Z1 03/13/23 03/13/28 100.000 0.000 5.3048 0.147356 0.151264 0.155276 0.159395 42.86 56.06 Morgan Stanley Finance 61774H2U1 12/01/22 12/03/25 100.000 0.000 5.0815 4.24 0.141193 0.144780 0.148458 0.152230 0.156098 51.68 54.34 Morgan Stanley Finance 61774TWG3 02/28/23 02/28/30 100.000 0.000 5.3239 0.147886 0.151823 0.155864 0.160013 45.29 56.39 Morgan Stanley Finance 61774T5E8 03/29/23 09/29/27 100.000 0.000 4.6237 0.128436 0.131405 0.134443 0.137551 35.21 48.42 Morgan Stanley Finance 61774TWF5 02/28/23 02/28/28 100.000 0.000 5.2014 0.144483 0.148241 0.152096 0.156052 44.24 55.02 Morgan Stanley Finance 61774TWD0 03/03/23 03/05/25 100.000 0.000 5.2748 0.146522 0.146565 0.150431 0.154398 0.158470 44.12 55.80 Morgan Stanley Finance 61774TWB4 03/03/23 03/02/28 100.000 0.000 5.2313 0.145314 0.149094 0.152993 0.156995 43.75 55.32 Morgan Stanley Finance 61774H2K3 11/30/22 11/30/27 100.000 0.000 5.1973 4.48 0.144369 0.148121 0.151970 0.155919 0.159971 52.88 55.67 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774T5G3 03/29/23 09/28/28 100.000 0.000 4.7157 0.130992 0.134063 0.137224 0.140460 35.92 49.43 Morgan Stanley Finance 61774TVQ2 02/23/23 08/20/27 100.000 0.000 4.9833 0.138425 0.141817 0.145350 0.148972 43.08 52.63 Morgan Stanley Finance 61775HMN4 07/31/23 07/31/25 100.000 0.000 5.5765 0.154903 0.159222 0.163661 23.39 57.86 Morgan Stanley Finance 61773QC72 04/29/22 05/01/29 100.000 2.250 4.1304 27.80 0.117100 0.117000 0.119400 0.119300 0.121700 42.27 43.10 Morgan Stanley Finance 61773QWL9 07/13/22 01/11/24 100.000 0.000 3.7773 17.63 0.104925 0.106885 0.108903 38.80 1.09 Morgan Stanley Finance 61773QWM7 07/20/22 07/18/25 100.000 0.000 4.0774 18.24 0.113261 0.115545 0.117900 0.120304 0.122756 41.94 43.67 Morgan Stanley Finance 61774TZK1 02/15/23 02/15/28 100.000 0.000 4.8043 0.133453 0.136659 0.139941 0.143303 42.61 50.69 Morgan Stanley Finance 61773QWK1 07/20/22 07/18/25 100.000 0.000 4.1950 18.76 0.116528 0.118945 0.121440 0.123987 0.126587 43.19 45.02 Morgan Stanley Finance 61774H5D6 01/04/23 01/02/26 100.000 0.000 4.9743 0.138175 0.141573 0.145095 0.148703 49.94 52.88 Morgan Stanley Finance 61773QWH8 07/05/22 07/03/25 100.000 0.000 4.1999 20.53 0.116664 0.119087 0.121587 0.124141 0.126747 43.31 45.15 Morgan Stanley Finance 61774H5E4 01/04/23 01/03/28 100.000 0.000 5.2040 0.144556 0.148296 0.152155 0.156114 52.27 55.47 Morgan Stanley Finance 61773QWF2 07/06/22 07/03/25 100.000 0.000 4.0520 19.70 0.112556 0.114798 0.117124 0.119497 0.121918 41.74 43.44 Morgan Stanley Finance 61773QWG0 06/29/22 06/27/24 100.000 0.000 3.6988 18.71 0.104623 0.106558 0.108529 38.03 19.10 Morgan Stanley Finance 61774H5P9 01/04/23 01/03/28 100.000 0.000 5.2040 0.144556 0.148296 0.152155 0.156114 52.27 55.47 Morgan Stanley Finance 61773Q5R6 06/03/22 06/04/27 100.000 2.500 4.1122 23.71 0.116600 0.116100 0.118500 0.118100 0.120500 41.94 42.65 Morgan Stanley Finance 61774H5Q7 12/30/22 01/02/30 100.000 0.000 5.3707 0.15 0.149186 0.149231 0.153238 0.157353 0.161578 54.44 57.40 Morgan Stanley Finance 61760QNL4 07/29/22 07/29/27 100.000 VARIES 4.1020 17.18 0.113700 0.113200 0.113700 0.115900 0.118000 40.82 41.98 Morgan Stanley Finance 61760QNK6 05/20/22 05/20/32 100.000 VARIES 4.2250 25.77 0.116700 0.117100 0.118800 0.120700 0.122600 42.12 43.26 Morgan Stanley Finance 61773QWQ8 07/29/22 07/29/25 100.000 0.000 3.8215 16.14 0.106153 0.108181 0.110248 0.112355 0.114502 39.20 40.72 Morgan Stanley Finance 61760QNG5 04/28/22 04/28/32 100.000 VARIES 4.0510 26.99 0.108900 0.109700 0.111200 0.112900 0.113400 39.35 40.56 Morgan Stanley Finance 61760QNH3 05/27/22 05/27/27 100.000 VARIES 3.9700 23.49 0.110200 0.111000 0.112900 0.114900 0.116900 39.88 41.13 Morgan Stanley Finance 61773QWN5 07/29/22 03/14/25 100.000 0.000 3.8193 16.18 0.106598 0.108634 0.110708 0.112822 0.114977 39.18 40.69 Morgan Stanley Finance 61760QNT7 02/13/23 08/13/24 100.000 VARIES 5.0700 0.007400 0.007150 0.007350 2.32 1.63 Morgan Stanley Finance 61774THV7 01/31/23 01/31/30 100.000 0.000 4.8416 0.134489 0.137745 0.141079 0.144494 45.01 51.21 Morgan Stanley Finance 61760QNQ3 02/03/23 03/04/24 100.000 VARIES 5.0632 0.009600 0.009700 3.14 0.62 Morgan Stanley Finance 61774XUA9 04/27/23 04/30/25 100.000 0.000 4.8000 0.133333 0.133387 0.136588 0.139866 0.143223 32.74 50.17 Morgan Stanley Finance 61773QWD7 06/25/22 12/27/24 100.000 0.000 4.2371 21.91 0.120219 0.122766 0.125367 0.128023 43.76 45.11 Morgan Stanley Finance 61773QWE5 06/30/22 07/02/25 100.000 0.000 4.0382 20.31 0.112197 0.114463 0.116774 0.119132 0.121537 41.62 43.32 Morgan Stanley Finance 61774H5A2 12/30/22 12/30/27 100.000 0.000 5.2002 0.14 0.144450 0.148206 0.152059 0.156013 0.160070 52.69 55.46 Morgan Stanley Finance 61773QWB1 06/23/22 12/21/23 100.000 0.000 3.7562 19.64 0.106277 0.108273 37.56 Morgan Stanley Finance 61774TZA9 03/08/23 01/20/28 100.000 0.000 5.3389 0.148303 0.151206 0.155242 0.159386 43.92 56.48 Morgan Stanley Finance 61774H4Z8 12/30/22 01/02/26 100.000 0.000 4.9727 0.14 0.138131 0.138169 0.141604 0.145125 0.148733 50.36 52.89 Morgan Stanley Finance 61774XUM3 06/02/23 12/02/26 100.000 0.000 5.1187 0.142186 0.145825 0.149557 0.153385 29.82 53.39 Morgan Stanley Finance 61760QNX8 03/27/23 03/27/26 100.000 VARIES 5.2407 0.008700 0.008200 0.007950 0.008150 2.34 2.89 Morgan Stanley Finance 61774XUL5 06/02/23 06/02/27 100.000 0.000 5.1130 0.142028 0.145659 0.149382 0.153201 29.79 53.33 Morgan Stanley Finance 61760QNW0 03/27/23 03/27/25 100.000 VARIES 4.8369 0.011200 0.010700 0.010950 0.011250 3.03 3.95 Morgan Stanley Finance 61774THK1 01/31/23 01/31/28 100.000 0.000 4.7642 0.132339 0.135491 0.138719 0.142023 44.28 50.34 Morgan Stanley Finance 61774XCR2 04/04/23 07/03/25 100.000 0.000 4.8815 0.135597 0.137234 0.140583 0.144014 36.50 51.21 Morgan Stanley Finance 61774TYG1 03/03/23 03/02/28 100.000 0.000 5.2313 0.145314 0.149094 0.152993 0.156995 43.75 55.32 Morgan Stanley Finance 61774TYH9 02/28/23 02/28/28 100.000 0.000 5.2014 0.144483 0.148241 0.152096 0.156052 44.24 55.02 Morgan Stanley Finance 61774TYE6 02/07/23 02/07/28 108.000 0.625 4.6094 0.138300 0.141400 0.144600 0.147800 0.151100 45.11 52.39 Morgan Stanley Finance 61774TYT3 02/21/23 02/18/28 100.000 0.000 4.9851 0.138475 0.141869 0.145405 0.149029 43.38 52.66 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774THN5 02/03/23 02/03/28 100.000 0.000 4.7914 0.133094 0.136283 0.139548 0.142891 44.13 50.63 Morgan Stanley Finance 61774HUW6 11/03/22 11/04/27 100.000 0.000 5.8023 9.35 0.161175 0.165877 0.170689 0.175641 0.180737 59.41 62.91 Morgan Stanley Finance 61774TGY2 02/03/23 02/03/28 100.000 0.000 4.7914 0.133094 0.136283 0.139548 0.142891 44.13 50.63 Morgan Stanley Finance 61774HUS5 11/09/22 11/09/27 100.000 0.000 5.8138 8.40 0.161494 0.166189 0.171020 0.175991 0.181107 59.48 62.99 Morgan Stanley Finance 61774TGT3 01/31/23 01/29/26 100.000 0.000 4.6214 0.128372 0.131322 0.134356 0.137461 42.94 48.76 Morgan Stanley Finance 61774TGU0 01/31/23 01/31/28 100.000 0.000 4.7642 0.132339 0.135491 0.138719 0.142023 44.28 50.34 Morgan Stanley Finance 61774THA3 12/27/22 12/26/25 100.000 0.000 4.8571 0.54 0.134919 0.138178 0.141534 0.144971 0.148491 49.19 51.61 Morgan Stanley Finance 61774TGZ9 02/03/23 02/03/28 100.000 0.000 4.7914 0.133094 0.136283 0.139548 0.142891 44.13 50.63 Morgan Stanley Finance 61774X2E2 05/22/23 05/22/25 100.000 0.000 4.7330 0.131472 0.134584 0.137768 0.141029 28.91 49.27 Morgan Stanley Finance 61775HSH1 08/31/23 08/31/28 100.000 0.000 5.5578 0.154383 0.158650 0.163083 18.68 57.40 Morgan Stanley Finance 61774XWW9 06/05/23 06/05/28 100.000 0.000 4.9888 0.138578 0.142034 0.145577 0.149209 28.64 51.96 Morgan Stanley Finance 61774XWV1 06/05/23 06/05/25 100.000 0.000 4.9410 0.137250 0.140641 0.144115 0.147676 28.36 51.44 Morgan Stanley Finance 61774DMK0 07/06/22 07/06/27 100.000 0.000 4.5507 22.12 0.126408 0.129285 0.132226 0.135235 0.138312 47.04 49.21 Morgan Stanley Finance 61774HYW2 11/28/22 11/28/29 100.000 0.000 5.3723 4.92 0.149231 0.153239 0.157355 0.161582 0.165922 54.71 57.69 Morgan Stanley Finance 61761J4R7 09/19/22 03/19/24 100.000 VARIES 2.1773 1.41 0.013850 0.013950 0.013900 5.01 1.08 Morgan Stanley Finance 61774XGB3 04/12/23 04/11/28 100.000 0.000 4.5163 0.125453 0.128270 0.131166 0.134128 32.72 47.17 Morgan Stanley Finance 61774DME4 06/30/22 07/02/29 100.000 0.000 4.7878 24.08 0.133030 0.136214 0.139475 0.142814 0.146233 49.62 52.02 Morgan Stanley Finance 61774HZ27 12/30/22 12/30/27 100.000 0.000 5.2002 0.14 0.144450 0.148206 0.152059 0.156013 0.160070 52.69 55.46 Morgan Stanley Finance 61761J4Z9 11/16/22 11/16/29 100.000 VARIES 5.5832 0.98 0.021450 0.020150 0.018850 0.017550 0.016600 7.37 6.43 Morgan Stanley Finance 61774XWK5 06/05/23 06/05/25 100.000 0.000 4.9410 0.137250 0.140641 0.144115 0.147676 28.36 51.44 Morgan Stanley Finance 61761J4Y2 11/15/22 11/15/29 100.000 VARIES 5.6443 0.44 0.009250 0.007850 0.006850 0.007050 0.007250 2.95 2.53 Morgan Stanley Finance 61761J4W6 10/13/22 10/10/25 100.000 VARIES 3.8094 0.95 0.012250 0.012500 0.012650 0.012550 0.012400 4.49 4.51 Morgan Stanley Finance 61761J4V8 10/13/22 04/12/24 100.000 VARIES 3.0116 0.83 0.010650 0.010800 0.010850 3.88 1.10 Morgan Stanley Finance 61761J4U0 09/29/22 09/29/25 100.000 VARIES 3.5478 0.79 0.008550 0.008750 0.008850 0.008750 0.008700 3.15 3.15 Morgan Stanley Finance 61761J4T3 09/29/22 03/28/24 100.000 VARIES 2.7406 0.59 0.006400 0.006500 0.006550 2.35 0.56 Morgan Stanley Finance 61774HH84 11/29/22 11/29/27 100.000 0.000 5.2152 4.64 0.144867 0.148644 0.152520 0.156497 0.160578 53.08 55.88 Morgan Stanley Finance 61774TJY9 01/31/23 01/31/28 100.000 0.000 4.7642 0.132339 0.135491 0.138719 0.142023 44.28 50.34 Morgan Stanley Finance 61774H6U7 01/04/23 01/03/28 100.000 0.000 5.2040 0.144556 0.148296 0.152155 0.156114 52.27 55.47 Morgan Stanley Finance 61761J5A3 12/06/22 12/06/27 100.000 VARIES 5.1313 0.23 0.009000 0.008150 0.007550 0.007750 0.007950 3.04 2.76 Morgan Stanley Finance 61774TKE1 01/31/23 01/31/30 100.000 0.000 4.8416 0.134489 0.137745 0.141079 0.144494 45.01 51.21 Morgan Stanley Finance 61774TKA9 01/04/23 07/03/25 100.000 0.000 5.0198 0.139439 0.142919 0.146506 0.150184 50.40 53.39 Morgan Stanley Finance 61774H6K9 12/28/22 12/26/25 100.000 0.000 4.8560 0.40 0.134889 0.138128 0.141481 0.144917 0.148435 49.18 51.59 Morgan Stanley Finance 61774XVY6 05/31/23 05/29/26 100.000 0.000 4.9361 0.137114 0.140479 0.143946 0.147499 29.04 51.42 Morgan Stanley Finance 61774XVX8 05/31/23 05/29/26 100.000 0.000 4.9361 0.137114 0.140479 0.143946 0.147499 29.04 51.42 Morgan Stanley Finance 61774XW82 06/06/23 06/06/28 100.000 0.000 4.8739 0.135386 0.138685 0.142065 0.145527 27.84 50.71 Morgan Stanley Finance 61774XVV2 05/31/23 05/31/28 100.000 0.000 5.0254 0.139594 0.143102 0.146698 0.150384 29.56 52.39 Morgan Stanley Finance 61774XVU4 05/31/23 05/31/28 100.000 0.000 5.0254 0.139594 0.143102 0.146698 0.150384 29.56 52.39 Morgan Stanley Finance 61774HXH6 12/05/22 12/03/27 100.000 0.000 5.0920 3.68 0.141444 0.145006 0.148697 0.152483 0.156366 51.76 54.43 Morgan Stanley Finance 61774TJW3 02/03/23 02/03/28 100.000 0.000 4.7914 0.133094 0.136283 0.139548 0.142891 44.13 50.63 Morgan Stanley Finance 61774H6S2 12/30/22 01/02/30 100.000 0.000 5.3707 0.15 0.149186 0.149231 0.153238 0.157353 0.161578 54.44 57.40 Morgan Stanley Finance 61774FAL6 11/03/22 11/05/25 100.000 0.000 5.6239 9.06 0.156268 0.160662 0.165180 0.169825 0.174600 57.55 60.83 Morgan Stanley Finance 61774DLE5 06/23/22 12/22/26 100.000 0.000 4.6126 24.11 0.131066 0.134089 0.137182 0.140345 0.143582 47.78 50.01 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774H6L7 01/04/23 07/05/24 100.000 0.000 4.9377 0.137158 0.140563 0.144034 49.56 26.49 Morgan Stanley Finance 61774HXP8 12/28/22 11/26/27 100.000 0.000 5.2889 0.44 0.146914 0.150108 0.154078 0.158152 0.162335 53.71 56.49 Morgan Stanley Finance 61774FAH5 10/31/22 10/29/25 100.000 0.000 5.5763 9.45 0.154897 0.159192 0.163631 0.168193 0.172882 57.08 60.30 Morgan Stanley Finance 61774H5V6 12/30/23 01/02/30 100.000 0.000 5.3707 0.149186 0.149231 0.153238 0.15 54.44 Morgan Stanley Finance 61774H5W4 01/04/23 01/03/28 100.000 0.000 5.2040 0.144556 0.148296 0.152155 0.156114 52.27 55.47 Morgan Stanley Finance 61773Q5W5 05/31/22 05/31/29 100.000 2.750 4.2085 24.62 0.119400 0.118700 0.121200 0.120500 0.123000 42.90 43.55 Morgan Stanley Finance 61774HX94 01/04/23 01/03/28 100.000 0.000 5.2040 0.144556 0.148296 0.152155 0.156114 52.27 55.47 Morgan Stanley Finance 61774HG51 11/16/22 11/16/27 100.000 0.000 5.4032 6.75 0.150089 0.154144 0.158308 0.162585 0.166977 55.13 58.15 Morgan Stanley Finance 61774H5R5 12/30/22 12/30/27 100.000 0.000 5.2002 0.14 0.144450 0.148206 0.152059 0.156013 0.160070 52.69 55.46 Morgan Stanley Finance 61774H5S3 12/30/22 01/02/25 100.000 0.000 5.0346 0.14 0.139850 0.139889 0.143411 0.147021 0.150722 50.99 53.59 Morgan Stanley Finance 61774TJF0 02/03/23 02/05/25 100.000 0.000 4.8150 0.133750 0.133786 0.137007 0.140305 0.143683 44.35 50.89 Morgan Stanley Finance 61774HXB9 12/05/22 12/03/27 100.000 0.000 5.0920 3.68 0.141444 0.145006 0.148697 0.152483 0.156366 51.76 54.43 Morgan Stanley Finance 61774TJE3 02/03/23 08/05/24 100.000 0.000 4.8086 0.133572 0.133608 0.136820 0.140110 44.29 29.87 Morgan Stanley Finance 61774HXD5 11/28/22 11/26/27 100.000 0.000 5.2889 4.85 0.146914 0.150756 0.154742 0.158835 0.163035 53.85 56.73 Morgan Stanley Finance 61774XVK6 05/31/23 05/31/30 100.000 0.000 5.1658 0.143494 0.147201 0.151003 0.154903 30.39 53.92 Morgan Stanley Finance 61774XZ63 06/22/23 07/06/28 100.000 0.000 5.0758 0.140994 0.141273 0.144858 0.148534 26.70 52.77 Morgan Stanley Finance 61774B788 08/17/22 09/06/29 100.000 0.000 4.2693 15.92 0.118859 0.121396 0.123987 0.126634 0.129337 43.84 45.73 Morgan Stanley Finance 61774FFW7 09/06/22 09/03/27 100.000 0.000 4.5585 14.56 0.126625 0.129463 0.132414 0.135432 0.138519 46.78 48.93 Morgan Stanley Finance 61774DR33 09/06/22 09/03/27 100.000 0.000 4.5585 14.56 0.126625 0.129463 0.132414 0.135432 0.138519 46.78 48.93 Morgan Stanley Finance 61774DQ91 08/31/22 08/30/29 100.000 0.000 3.8529 12.95 0.107025 0.109064 0.111188 0.113318 0.115514 39.40 40.94 Morgan Stanley Finance 61774DQ83 08/31/22 08/30/29 100.000 0.000 3.8529 12.95 0.107025 0.109064 0.111188 0.113318 0.115514 39.40 40.94 Morgan Stanley Finance 61774HL71 11/28/22 11/28/25 100.000 0.000 5.1721 4.74 0.143669 0.147385 0.151196 0.155106 0.159117 52.64 55.40 Morgan Stanley Finance 61775HDZ7 07/14/23 07/14/28 100.000 0.000 5.3592 0.148867 0.152856 0.156952 24.86 55.66 Morgan Stanley Finance 61774DP76 09/06/22 09/05/25 100.000 0.000 4.2264 13.50 0.117400 0.119867 0.122400 0.124987 0.127628 43.29 45.14 Morgan Stanley Finance 61774DP27 09/06/22 09/03/27 100.000 0.000 4.5585 14.56 0.126625 0.129463 0.132414 0.135432 0.138519 46.78 48.93 Morgan Stanley Finance 61774DP35 08/31/22 08/31/27 100.000 0.000 3.6468 12.26 0.101300 0.103127 0.105028 0.106932 0.108893 37.25 38.62 Morgan Stanley Finance 61774DT23 09/06/22 09/03/27 100.000 0.000 4.5585 14.56 0.126625 0.129463 0.132414 0.135432 0.138519 46.78 48.93 Morgan Stanley Finance 61774DS57 08/31/22 08/30/29 100.000 0.000 3.8529 12.95 0.107025 0.109064 0.111188 0.113318 0.115514 39.40 40.94 Morgan Stanley Finance 61774FGV8 09/16/22 09/18/24 100.000 0.000 4.3614 12.72 0.121179 0.123822 0.126522 0.129281 44.65 33.01 Morgan Stanley Finance 61774DA98 08/03/22 08/01/25 100.000 0.000 3.6630 15.06 0.101750 0.103593 0.105490 0.107422 0.109390 37.52 38.91 Morgan Stanley Finance 61774DR90 09/06/22 09/03/27 100.000 0.000 4.5585 14.56 0.126625 0.129463 0.132414 0.135432 0.138519 46.78 48.93 Morgan Stanley Finance 61774DR82 09/06/22 09/03/27 100.000 0.000 4.5585 14.56 0.126625 0.129463 0.132414 0.135432 0.138519 46.78 48.93 Morgan Stanley Finance 61774DG35 08/03/22 08/03/27 100.000 0.000 4.0342 16.59 0.112061 0.114321 0.116627 0.118980 0.121380 41.42 43.11 Morgan Stanley Finance 61774HSE9 10/27/22 10/29/25 100.000 0.000 5.7140 10.16 0.158773 0.163309 0.167974 0.172774 0.177710 58.55 61.94 Morgan Stanley Finance 61774TV90 03/01/23 02/27/26 100.000 0.000 5.0761 0.141003 0.144502 0.148170 0.151930 42.73 53.60 Morgan Stanley Finance 61774HB56 09/23/22 09/25/29 100.000 0.000 5.1656 14.07 0.143530 0.147237 0.151040 0.154941 0.158943 53.06 55.84 Morgan Stanley Finance 61774HRA8 10/26/22 01/26/26 100.000 0.000 5.7002 10.29 0.158339 0.160595 0.165172 0.169880 0.174722 58.47 61.79 Morgan Stanley Finance 61774HAG3 09/13/22 09/13/27 100.000 0.000 4.6526 13.96 0.129239 0.132245 0.135322 0.138470 0.141691 47.72 49.97 Morgan Stanley Finance 61774HQK7 10/13/22 10/13/27 100.000 0.000 5.4140 11.73 0.150389 0.154460 0.158641 0.162936 0.167346 55.52 58.56 Morgan Stanley Finance 61774HA32 11/28/22 11/28/29 100.000 0.000 5.3723 4.92 0.149231 0.153239 0.157355 0.161582 0.165922 54.71 57.69 Morgan Stanley Finance 61774D4E4 09/02/22 09/03/26 100.000 0.000 4.3303 14.31 0.120286 0.122905 0.125566 0.128285 0.131062 44.40 46.34 Morgan Stanley Finance 61774HUB2 11/02/22 11/02/27 100.000 0.000 5.7872 9.48 0.160756 0.165407 0.170193 0.175118 0.180185 59.27 62.75 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Morgan Stanley Finance 61774HDH8 09/23/22 09/25/24 100.000 0.000 4.6094 12.55 0.128072 0.131023 0.134043 0.137132 47.21 35.94 Morgan Stanley Finance 61774D7D3 09/02/22 07/06/28 100.000 0.000 4.5332 14.98 0.125922 0.127888 0.130787 0.133752 0.136783 46.54 48.67 Morgan Stanley Finance 61774HSY5 10/28/22 10/28/27 100.000 0.000 5.8614 10.26 0.162817 0.167588 0.172500 0.177555 0.182759 60.08 63.66 Morgan Stanley Finance 61774H256 12/01/22 12/04/24 100.000 0.000 5.1428 4.29 0.142917 0.146592 0.150361 0.154228 52.31 50.77 Morgan Stanley Finance 61774HWJ3 10/14/22 10/16/24 100.000 0.000 5.1050 10.92 0.141846 0.145466 0.149179 0.152987 52.27 43.20 Morgan Stanley Finance 61773QWU9 08/24/22 02/23/24 100.000 0.000 3.6443 12.86 0.101231 0.103065 0.104943 37.25 5.46 Morgan Stanley Finance 61774X3X9 06/30/23 07/02/26 100.000 0.000 5.1523 0.143119 0.143160 0.146848 0.150631 25.91 53.54 Morgan Stanley Finance 61771WBW7 06/30/23 06/30/28 100.000 0.000 5.1175 0.142153 0.145790 0.149521 0.153346 25.73 53.16 Morgan Stanley Finance 61774HVS4 10/26/22 10/26/27 100.000 0.000 5.9864 10.81 0.166289 0.171266 0.176393 0.181672 0.187110 61.42 65.15 Morgan Stanley Finance 61774X3M3 07/06/23 07/06/28 100.000 0.000 5.2087 0.144686 0.148454 0.152321 25.32 54.10 Morgan Stanley Finance 61774HGY8 09/28/22 09/26/25 100.000 0.000 5.0419 13.02 0.140053 0.143544 0.147163 0.150873 0.154676 51.72 54.36 Morgan Stanley Finance 61774X5P4 06/22/23 06/22/28 100.000 0.000 5.0736 0.140933 0.144509 0.148174 0.151933 26.67 52.75 Morgan Stanley Finance 61774DM61 08/31/22 08/29/25 100.000 0.000 3.0960 10.41 0.086000 0.087316 0.088676 0.090048 0.091442 31.52 32.51 Morgan Stanley Finance 61774H6P8 12/02/22 12/02/27 100.000 0.000 5.0920 4.10 0.141444 0.145046 0.148738 0.152525 0.156409 51.78 54.45 Morgan Stanley Finance 61774X4F7 07/06/23 07/03/25 100.000 0.000 5.3617 0.148936 0.152862 0.156960 26.06 55.75 Morgan Stanley Finance 61774X4G5 07/06/23 07/06/28 100.000 0.000 5.2087 0.144686 0.148454 0.152321 25.32 54.10 Morgan Stanley Finance 61774X4D2 06/30/23 06/30/28 100.000 0.000 5.1175 0.142153 0.145790 0.149521 0.153346 25.73 53.16 Morgan Stanley Finance 61774X4E0 06/30/23 07/02/30 100.000 0.000 5.1776 0.143822 0.143864 0.147588 0.151409 26.04 53.81 Morgan Stanley Finance 61774HWU8 10/26/22 10/24/24 100.000 0.000 5.4629 9.86 0.151747 0.155846 0.160103 0.164476 55.93 47.70 Morgan Stanley Finance 61773QWX3 08/31/22 02/28/25 100.000 0.000 4.1979 14.11 0.116608 0.119029 0.121527 0.124078 0.126682 43.02 44.84 Morgan Stanley Finance 61774HXA1 12/05/22 12/03/27 100.000 0.000 5.0920 3.68 0.141444 0.145006 0.148697 0.152483 0.156366 51.76 54.43 Morgan Stanley Finance 61774X4J9 06/30/23 07/02/26 100.000 0.000 5.1523 0.143119 0.143160 0.146848 0.150631 25.91 53.54 Morgan Stanley.Finance 61774DM79 08/31/22 08/31/27 100.000 0.000 3.6468 12.26 0.101300 0.103127 0.105028 0.106932 0.108893 37.25 38.62 Multnomah County, OR 625506HR4 12/08/99 06/01/23 16.811 0.000 7.7400 800.84 0.206990 31.05 Multnomah County, OR 625506HS2 12/08/99 06/01/24 15.582 0.000 7.7399 742.28 0.191851 0.199275 0.206987 70.86 31.05 Multnomah County, OR 625506HV5 12/08/99 06/01/27 12.407 0.000 7.7400 591.05 0.152767 0.158679 0.164820 0.171198 0.177824 56.42 60.87 Multnomah County, OR 625506HW3 12/08/99 06/01/28 11.500 0.000 7.7400 547.83 0.141594 0.147074 0.152766 0.158678 0.164818 52.30 56.42 Multnomah County, OR 625506HX1 12/08/99 06/01/29 10.659 0.000 7.7400 507.77 0.131240 0.136319 0.141594 0.147074 0.152766 48.47 52.30 Multnomah County, OR 625506HT0 12/08/99 06/01/25 14.442 0.000 7.7401 688.00 0.177824 0.184706 0.191854 0.199279 0.206991 65.68 70.86 Multnomah County, OR 625506HU7 12/08/99 06/01/26 13.386 0.000 7.7400 637.68 0.164819 0.171198 0.177823 0.184705 0.191853 60.87 65.68 Multnomah County, OR 625506HY9 12/08/99 06/01/30 9.879 0.000 7.7401 470.63 0.121644 0.126352 0.131241 0.136321 0.141596 44.93 48.47 NATIONAL BANK OF CANADA 63305LLR2 05/20/22 05/31/24 100.000 0.000 3.4031 20.96 0.096230 0.097867 0.099532 35.04 14.83 NEW CANEY TEX INDPT SCH 643154GS0 09/24/20 02/15/26 93.251 0.000 1.3001 27.84 0.034513 0.034738 0.034963 0.035191 0.035419 12.53 12.69 NEW CANEY TEX INDPT SCH 643154GR2 09/24/20 02/15/25 95.484 0.000 1.0550 23.08 0.028544 0.028695 0.028846 0.028998 0.029151 10.34 10.45 NEW CANEY TEX INDPT SCH 643154GT8 09/24/20 02/15/27 91.352 0.000 1.4201 29.82 0.037013 0.037276 0.037540 0.037807 0.038075 13.44 13.64 NEW CANEY TEX INDPT SCH 643154GQ4 09/24/20 02/15/24 96.820 0.000 0.9550 21.17 0.026152 0.026277 0.026403 9.47 1.16 NEW CANEY TEX INDPT SCH 643154GP6 09/24/20 02/15/23 98.305 0.000 0.7160 16.08 0.019818 0.87 NEW SUMMERFIELD TEX INDP 648839DF2 12/10/21 08/15/24 97.361 0.000 1.0001 10.34 0.027232 0.027368 0.027505 0.027642 9.87 6.19 NEW SUMMERFIELD TEX INDP 648839DG0 12/10/21 08/15/25 95.168 0.000 1.3500 13.66 0.036017 0.036260 0.036505 0.036751 0.036999 13.08 13.25 NEW SUMMERFIELD TEX INDP 648839DH8 12/10/21 08/15/26 93.331 0.000 1.4799 14.69 0.038753 0.039040 0.039329 0.039620 0.039913 14.08 14.29 NEW SUMMERFIELD TEX INDP 648839DJ4 12/10/21 08/15/27 90.678 0.000 1.7299 16.70 0.044088 0.044469 0.044854 0.045242 0.045633 16.04 16.32 NINE ENERGY SERVICE, INC 65441VAE1 01/30/23 02/01/28 88.490 13.000 16.4672 0.043639 0.047252 0.051142 0.055353 14.99 18.93 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ NJ Econ Dev Auth 64578JAP1 09/07/07 07/01/23 36.303 0.000 6.5093 605.45 0.175114 31.52 NORTHMONT OHIO CITY SCH 666586LX8 07/22/20 11/01/27 86.846 0.000 1.9479 42.11 0.049109 0.049588 0.050071 0.050558 0.051051 17.82 18.17 NORTHMONT OHIO CITY SCH 666586LY6 07/22/20 11/01/28 83.705 0.000 2.1609 45.12 0.052763 0.053333 0.053909 0.054492 0.055081 19.17 19.58 NORTHMONT OHIO CITY SCH 666586LZ3 07/22/20 11/01/29 81.177 0.000 2.2609 45.83 0.053658 0.054264 0.054878 0.055498 0.056126 19.50 19.94 NORTHMONT OHIO CITY SCH 666586MA7 07/22/20 11/01/30 78.570 0.000 2.3609 46.37 0.054354 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2.01 Party City Holdings Inc. 03254TAA1 08/18/22 08/15/25 102.400 15.000 14.9400 19.44 0.144008 0.150417 0.152058 0.158002 0.160648 54.83 57.92 Party City Holdings Inc. 03254TAC7 07/30/20 08/15/26 76.000 10.000 15.1200 321.64 0.420419 0.459699 0.486392 0.528914 0.562717 169.73 196.37 Philadelphia Authority 71781LBD0 02/03/99 04/15/26 16.697 0.000 6.6896 638.54 0.147597 0.152534 0.157636 0.162909 0.168358 54.79 58.51 Philadelphia Authority 71781LBC2 02/03/99 04/15/25 17.878 0.000 6.6796 681.70 0.157438 0.162697 0.168130 0.173746 0.179548 58.44 62.41 Philadelphia Authority 71781LBB4 02/03/99 04/15/23 20.437 0.000 6.6695 776.98 0.179285 18.65 Philadelphia Authority 71781LAP4 02/03/99 04/15/24 19.046 0.000 6.6895 728.35 0.168356 0.173987 0.179806 62.49 18.70 Playboy Enterprises, Inc 728117AB8 03/15/05 03/15/25 100.000 VARIES 7.7501 2270.71 0.567894 0.585971 0.604725 0.624180 0.644363 211.60 225.40 Playboy Enterprises, Inc 728117AA0 03/15/05 03/15/25 100.000 VARIES 7.7501 2270.71 0.567894 0.585971 0.604725 0.624180 0.644363 211.60 225.40 Puerto Rico Sales Tax FI 74529JPZ2 02/12/19 07/01/53 81.968 4.750 5.9941 7.03 0.005705 0.005705 0.006052 0.006052 0.006420 2.08 2.21 Puerto Rico Sales Tax FI 74529JPY5 02/12/19 07/01/40 82.961 4.550 5.9712 17.38 0.014099 0.014099 0.014953 0.014953 0.015859 5.15 5.46 Puerto Rico Sales Tax FI 74529JQA6 02/12/19 07/01/58 83.618 5.000 6.1032 4.46 0.003626 0.003626 0.003851 0.003851 0.004090 1.33 1.41 Puerto Rico Sales Tax FI 74529JQY4 02/12/19 07/01/40 82.961 4.550 5.9712 17.38 0.014099 0.014099 0.014953 0.014953 0.015859 5.15 5.46 Quicksilver Resources In 74837RAA2 11/01/04 11/01/24 98.500 VARIES 6.7503 1980.24 0.479093 0.492921 0.507196 0.521931 176.65 154.81 Quicksilver Resources In 74837RAB0 11/01/04 11/01/24 98.500 VARIES 6.7503 1980.24 0.479093 0.492921 0.507196 0.521931 176.65 154.81 RENO NEV 1999 SPL ASSMT 759830AT9 09/22/16 06/01/25 97.746 3.000 3.3004 15.62 0.007689 0.007815 0.007944 0.008075 0.008209 2.80 2.89 RICE TEX CONS INDPT SCH 762825MH7 10/14/21 02/15/26 94.740 0.000 1.2499 14.45 0.033239 0.033446 0.033655 0.033866 0.034077 12.06 12.21 RICE TEX CONS INDPT SCH 762825MJ3 10/14/21 02/15/27 92.580 0.000 1.4499 16.39 0.037741 0.038015 0.038290 0.038568 0.038847 13.71 13.91 RICE TEX CONS INDPT SCH 762825MK0 10/14/21 02/15/28 90.395 0.000 1.6000 17.67 0.040715 0.041040 0.041369 0.041700 0.042033 14.80 15.04 RICE TEX CONS INDPT SCH 762825MG9 10/14/21 02/15/25 96.406 0.000 1.1001 12.93 0.029730 0.029894 0.030058 0.030224 0.030390 10.78 10.90 RIVERSIDE OHIO LOC SCH 769229CY9 12/30/19 10/01/39 46.260 0.000 3.9408 57.56 0.056385 0.057496 0.058629 0.059784 0.060962 20.70 21.52 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ RIVERSIDE OHIO LOC SCH 769229CZ6 12/30/19 10/01/40 44.039 0.000 3.9908 55.53 0.054432 0.055518 0.056626 0.057756 0.058909 19.99 20.79 RIVERSIDE OHIO LOC SCH 769229DB8 12/30/19 10/01/42 39.795 0.000 4.0908 51.50 0.050555 0.051590 0.052645 0.053722 0.054820 18.57 19.34 RIVERSIDE OHIO LOC SCH 769229DA0 12/30/19 10/01/41 41.883 0.000 4.0409 53.51 0.052488 0.053548 0.054630 0.055734 0.056860 19.28 20.07 ROBINSON TEX INDPT SCH 770842QF2 10/01/20 08/15/25 95.473 0.000 0.9531 20.65 0.025729 0.025852 0.025975 0.026099 0.026223 9.32 9.41 ROBINSON TEX INDPT SCH 770842QG0 10/01/20 08/15/26 93.215 0.000 1.2000 25.44 0.031777 0.031967 0.032159 0.032352 0.032546 11.53 11.66 ROBSTOWN TEX INDPT SCH 771146YW1 05/12/21 02/15/27 90.041 0.000 1.8299 27.26 0.046831 0.047259 0.047692 0.048128 0.048569 17.05 17.37 ROBSTOWN TEX INDPT SCH 771146YV3 05/12/21 02/15/26 93.224 0.000 1.4799 22.77 0.039040 0.039329 0.039620 0.039913 0.040208 14.19 14.40 ROBSTOWN TEX INDPT SCH 771146ZX8 12/22/21 02/15/37 64.173 0.000 2.9499 19.58 0.053592 0.054382 0.055184 0.055998 0.056824 19.65 20.24 ROBSTOWN TEX INDPT SCH 771146ZW0 12/22/21 02/15/36 67.008 0.000 2.8499 19.75 0.054028 0.054798 0.055579 0.056371 0.057174 19.80 20.37 ROCKWALL TEX INDPT SCH 774286AR9 09/17/20 02/15/24 97.085 0.000 0.8691 19.47 0.023830 0.023933 0.024037 8.63 1.06 ROCKWALL TEX INDPT SCH 774286AS7 09/17/20 02/15/25 95.825 0.000 0.9691 21.44 0.026277 0.026404 0.026532 0.026660 0.026790 9.52 9.61 ROCKWALL TEX INDPT SCH 774286AQ1 09/17/20 02/15/23 98.414 0.000 0.6641 15.05 0.018387 0.81 ROCKWALL TEX INDPT SCH 774286AW8 09/17/20 02/15/32 78.736 0.000 2.1059 38.69 0.047941 0.048445 0.048956 0.049471 0.049992 17.49 17.86 ROCKWALL TEX INDPT SCH 774286AT5 09/17/20 02/15/26 93.705 0.000 1.2051 26.13 0.032098 0.032291 0.032486 0.032681 0.032878 11.64 11.78 ROCKWALL TEX INDPT SCH 774286AV0 09/17/20 02/15/31 81.236 0.000 2.0059 37.99 0.047024 0.047496 0.047972 0.048453 0.048939 17.14 17.49 ROCKWALL TEX INDPT SCH 774286AU2 09/17/20 02/15/27 91.998 0.000 1.3051 27.81 0.034192 0.034415 0.034639 0.034866 0.035093 12.41 12.57 ROYAL BANK OF CANADA 78016FM35 06/30/22 07/01/27 100.000 0.000 4.6500 23.38 0.132186 0.132186 0.138405 0.138405 0.144915 48.14 50.40 ROYSE CITY TEX INDPT SCH 780869VS9 10/08/20 02/15/23 98.369 0.000 0.7001 15.46 0.019380 0.85 Regal Beloit Corporation 758750AB9 04/05/04 03/15/24 100.000 VARIES 8.7500 3196.76 0.857828 0.890944 0.925465 321.95 68.48 Regal Beloit Corporation 758750AA1 04/05/04 03/15/24 100.000 VARIES 8.7500 3196.76 0.857828 0.890944 0.925465 321.95 68.48 Reliant Energy, Inc. 75952J207 09/21/99 09/15/29 100.000 2.000 9.8184 7085.71 2.021430 2.117938 2.219184 2.325401 2.436832 766.05 841.10 Republic of Argentina 040114BD1 03/01/99 03/01/29 75.576 8.875 N/A 203.67 0.025091 0.025084 0.025076 0.025068 0.023496 9.03 8.84 Republic of Argentina 040114GH7 06/19/01 06/19/31 75.250 0.000 N/A 4388.44 0.626136 0.625267 0.628003 0.630936 0.637563 228.40 230.51 Royal Bank Of Canada 78016NFE2 06/30/23 06/30/28 100.000 0.000 5.3700 0.149167 0.153172 0.157284 0.161508 27.00 55.89 Royal Bank Of Canada 78014RNV8 06/29/23 06/29/33 100.000 VARIES 5.3200 0.147339 0.145333 0.143273 0.141158 26.81 51.94 Royal Bank Of Canada 78014RNQ9 06/28/23 06/28/28 100.000 VARIES 6.2400 0.010724 0.010692 0.010658 0.010624 1.96 3.84 Royal Bank of Canada 78016FG40 03/31/22 04/01/27 100.000 0.000 3.4090 25.81 0.096318 0.097960 0.099630 0.101328 0.103055 35.27 36.48 Royal Bank of Canada 78016HN48 01/12/23 02/08/24 100.000 0.000 5.4570 0.151583 0.152181 0.156333 53.69 5.78 Royal Bank of Canada 78010UVX2 06/30/14 06/30/29 100.000 VARIES 3.5597 295.05 0.097075 0.097200 0.097327 0.097456 0.097587 34.97 35.06 Royal Bank of Canada 78014RDL1 04/30/21 04/30/41 100.000 VARIES 2.5777 42.40 0.068966 0.068065 0.067152 0.066228 0.066355 24.55 23.96 Royal Bank of Canada 78016NMR5 07/31/23 07/31/28 100.000 0.000 5.3900 0.149722 0.153757 0.157901 22.61 55.86 Royal Bank of Canada 78013GJR7 10/18/17 10/18/23 100.000 0.000 2.1352 116.85 0.065957 0.066661 19.06 Royal Bank of Canada 78016NMM6 08/03/23 08/05/25 100.000 0.000 5.5900 0.155278 0.155326 0.159667 0.164130 22.99 57.98 Royal Bank of Canada 78014RDG2 03/15/21 03/15/41 100.000 VARIES 2.5737 44.73 0.067669 0.067750 0.067833 0.067916 0.068001 24.39 24.45 Royal Bank of Canada 78016NML8 08/03/23 09/05/24 100.000 0.000 5.9400 0.165000 0.165871 0.170798 24.52 41.36 Royal Bank of Canada 78016HL24 01/31/23 07/30/26 100.000 0.000 4.9454 0.137372 0.140769 0.144250 0.147817 45.98 52.37 Royal Bank of Canada 78010UDU8 02/28/14 02/28/34 100.000 VARIES 4.0700 326.55 0.102548 0.101211 0.102670 0.101903 0.103955 37.20 37.59 Royal Bank of Canada 78016NMS3 08/03/23 08/03/28 100.000 0.000 5.3400 0.148333 0.152294 0.156360 21.95 55.30 Royal Bank of Canada 78015B260 12/30/22 12/29/28 100.000 0.000 5.1587 0.14 0.143297 0.146973 0.150764 0.154652 0.158642 52.26 54.99 Royal Bank of Canada 78016FHT4 04/29/22 04/29/27 100.000 0.000 3.8373 25.92 0.108638 0.110723 0.112847 0.115012 0.117219 39.75 41.29 Royal Bank of Canada 78012KP84 05/18/17 02/21/23 100.000 0.000 2.4412 146.12 0.077040 3.85 Royal Bank of Canada 78008TLZ5 08/18/11 08/18/31 100.000 VARIES 4.0300 444.38 0.109396 0.109515 0.109636 0.109760 0.109886 39.44 39.52 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78010UWR4 11/28/14 11/28/34 100.000 VARIES 3.3500 258.88 0.089331 0.089458 0.089587 0.089719 0.089853 32.19 32.28 Royal Bank of Canada 78010UWU7 12/23/14 12/23/24 100.000 VARIES 2.8500 227.02 0.078942 0.078997 0.079053 0.079110 28.43 27.84 Royal Bank of Canada 78010UWN3 09/29/14 09/29/34 100.000 VARIES 3.6300 286.85 0.096966 0.097096 0.097228 0.097363 0.097500 34.96 35.05 Royal Bank of Canada 78016FXU3 11/03/22 11/05/24 100.000 0.000 5.5183 8.89 0.153333 0.157564 0.161911 0.166379 56.44 50.03 Royal Bank of Canada 78016NPC5 08/23/23 02/21/25 100.000 0.000 6.3200 0.175556 0.181041 0.186762 22.47 65.64 Royal Bank of Canada 78016HYV6 04/28/23 04/30/26 100.000 0.000 4.8027 0.133408 0.133444 0.136648 0.139930 0.143290 32.62 50.19 Royal Bank of Canada 78016HYW4 04/28/23 04/30/26 100.000 0.000 4.8027 0.133408 0.133444 0.136648 0.139930 0.143290 32.62 50.19 Royal Bank of Canada 78013XYV4 02/28/19 03/02/23 100.000 0.000 3.1550 127.82 0.097821 5.97 Royal Bank of Canada 78014RQZ6 10/20/23 10/20/26 100.000 VARIES 6.4400 0.012619 0.012522 0.012006 0.85 4.51 Royal Bank of Canada 78016FC69 01/31/22 01/29/27 100.000 0.000 2.1539 19.90 0.060471 0.061122 0.061780 0.062446 0.063118 22.09 22.56 Royal Bank of Canada 78016NZK6 09/29/23 03/31/25 100.000 0.000 5.9526 0.165350 0.170299 0.175367 15.21 61.33 Royal Bank of Canada 78016H6T2 12/05/22 12/04/24 100.000 0.000 5.1726 3.74 0.143683 0.147379 0.151190 0.155101 52.59 51.05 Royal Bank of Canada 78016H6R6 12/05/22 01/04/24 100.000 0.000 5.6419 4.07 0.156719 0.157432 0.161873 57.46 0.49 Royal Bank of Canada 78013XGY8 03/29/18 03/30/23 100.000 0.000 3.2987 168.39 0.106176 9.45 Royal Bank of Canada 78013X6W3 05/31/19 06/01/23 100.000 0.000 2.5276 94.27 0.076669 11.50 Royal Bank of Canada 78016FAH7 12/28/21 12/28/26 100.000 0.000 1.7360 17.58 0.049063 0.049489 0.049918 0.050352 0.050789 17.74 18.05 Royal Bank of Canada 78014RPZ7 09/15/23 09/15/30 100.000 VARIES 6.5800 0.010391 0.010369 0.013479 1.10 3.73 Royal Bank of Canada 78016NHY6 07/25/23 01/24/25 100.000 0.000 5.8000 0.161111 0.165757 0.170564 25.13 60.32 Royal Bank of Canada 78014RQU7 10/17/23 10/17/26 100.000 VARIES 6.5000 0.007172 0.007413 0.007108 0.48 2.66 Royal Bank of Canada 78014RQR4 09/29/23 09/29/28 100.000 VARIES 6.3300 0.007404 0.007382 0.007358 0.68 2.66 Royal Bank of Canada 78016NZU4 10/04/23 10/02/25 100.000 0.000 5.9062 0.164061 0.168852 0.173839 14.27 60.79 Royal Bank of Canada 78016NZT7 10/04/23 11/01/24 100.000 0.000 5.9755 0.165986 0.166730 0.171711 14.49 50.92 Royal Bank of Canada 78013XYA0 02/28/19 02/28/25 100.000 0.000 3.2010 129.78 0.099369 0.100959 0.102575 0.104217 0.105885 36.45 37.63 Royal Bank of Canada 78016H6X3 11/29/22 11/28/25 100.000 0.000 5.4830 4.87 0.152306 0.156458 0.160747 0.165154 0.169682 55.86 58.96 Royal Bank of Canada 78016NZL4 10/04/23 04/03/25 100.000 0.000 5.9415 0.165042 0.169917 0.174965 14.36 61.17 Royal Bank of Canada 78016FDV3 02/25/22 02/25/27 100.000 0.000 2.4504 20.93 0.068900 0.069745 0.070599 0.071464 0.072340 25.17 25.79 Royal Bank of Canada 78016F3P7 11/26/21 11/27/26 100.000 0.000 1.7899 19.75 0.050615 0.051068 0.051525 0.051987 0.052452 18.33 18.66 Royal Bank of Canada 78016FUQ5 09/21/22 09/18/24 100.000 0.000 4.6149 12.82 0.128192 0.131100 0.134125 0.137220 47.28 35.03 Royal Bank of Canada 78016HKN9 02/03/23 02/05/25 100.000 0.000 4.9079 0.136331 0.136368 0.139714 0.143143 0.146655 45.22 51.93 Royal Bank of Canada 78016HKL3 02/03/23 03/05/24 100.000 0.000 5.2728 0.146467 0.147153 0.151033 48.69 9.67 Royal Bank of Canada 78016NM61 11/03/23 02/05/25 100.000 0.000 5.9722 0.165894 0.168426 0.173456 9.62 61.28 Royal Bank of Canada 78016NLS4 08/03/23 02/05/25 100.000 0.000 5.7800 0.160556 0.160607 0.165249 0.170024 23.77 60.03 Royal Bank of Canada 78016NLT2 07/31/23 01/30/25 100.000 0.000 5.8400 0.162222 0.166959 0.171834 24.50 60.70 Royal Bank of Canada 78016FTS3 10/05/22 10/03/24 100.000 0.000 5.1064 12.20 0.141844 0.145426 0.149139 0.152947 52.35 41.25 Royal Bank of Canada 78014RBV1 12/27/19 12/27/34 100.000 VARIES 2.5623 75.85 0.069225 0.069295 0.069365 0.069437 0.069510 24.93 24.99 Royal Bank of Canada 78014RBT6 11/27/19 11/27/34 100.000 VARIES 2.3582 71.76 0.063774 0.063836 0.063900 0.063964 0.064029 22.97 23.02 Royal Bank of Canada 78016NKU0 07/26/23 01/25/29 100.000 0.000 5.3500 0.148611 0.152564 0.156645 23.03 55.46 Royal Bank of Canada 78016NKV8 07/26/23 01/26/28 100.000 0.000 5.3400 0.148333 0.152294 0.156360 22.99 55.36 Royal Bank of Canada 78016NFC6 06/30/23 01/02/25 100.000 0.000 5.7900 0.160833 0.160885 0.165543 0.170335 29.12 60.45 Royal Bank of Canada 78016NFD4 07/06/23 01/03/25 100.000 0.000 5.8900 0.163611 0.168349 0.173307 28.63 61.48 Royal Bank of Canada 78016HUP3 03/29/23 03/29/28 100.000 0.000 4.8600 0.135000 0.138281 0.141641 0.145083 37.02 51.01 Royal Bank of Canada 78016HUQ1 03/29/23 03/30/27 100.000 0.000 4.8300 0.134167 0.137425 0.140744 0.144143 36.79 50.68 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78016HV23 04/06/23 04/08/24 100.000 0.000 5.4100 0.150278 0.150323 0.154389 40.17 14.98 Royal Bank of Canada 78016NEU7 06/30/23 06/30/28 100.000 0.000 5.3200 0.147778 0.151709 0.155744 0.159887 26.75 55.35 Royal Bank of Canada 78013X3H9 03/29/19 03/30/23 100.000 0.000 2.8294 111.31 0.086723 7.72 Royal Bank of Canada 78014RNM8 06/09/23 06/09/26 100.000 6.500 5.9000 0.013531 0.013341 0.012837 0.013219 2.72 4.70 Royal Bank of Canada 78016HVC1 03/17/23 09/19/24 100.000 0.000 5.1400 0.142778 0.142819 0.146489 0.150254 40.93 38.47 Royal Bank of Canada 78016HEA4 12/07/22 12/04/26 100.000 0.000 4.9771 3.32 0.138253 0.141636 0.145161 0.148773 0.152475 50.57 53.11 Royal Bank of Canada 78016HUZ1 03/15/23 09/13/24 100.000 0.000 5.3308 0.148078 0.151981 0.156032 42.77 39.03 Royal Bank of Canada 78016NFG7 07/07/23 07/06/28 100.000 0.000 5.5000 0.152778 0.156956 0.161272 26.58 57.24 Royal Bank of Canada 78016HE48 12/29/22 06/26/26 100.000 0.000 5.1520 0.29 0.143111 0.146736 0.150516 0.154393 0.158371 52.21 54.92 Royal Bank of Canada 78016NFF9 07/06/23 07/06/28 100.000 0.000 5.5000 0.152778 0.156979 0.161296 26.74 57.25 Royal Bank of Canada 78013XCS5 01/31/18 01/31/23 100.000 0.000 3.0653 161.45 0.097639 2.83 Royal Bank of Canada 78016HTP5 03/20/23 03/19/26 100.000 0.000 5.1180 0.142167 0.145785 0.149515 0.153341 40.32 53.92 Royal Bank of Canada 78016HTR1 03/31/23 04/01/27 100.000 0.000 5.0459 0.140164 0.143720 0.147346 0.151063 38.30 53.05 Royal Bank of Canada 78016HTQ3 03/20/23 03/19/26 100.000 0.000 5.1180 0.142167 0.145785 0.149515 0.153341 40.32 53.92 Royal Bank of Canada 78016HTN0 04/05/23 04/03/25 100.000 0.000 5.1600 0.143333 0.146990 0.150783 0.154673 38.45 54.28 Royal Bank of Canada 78016NVA2 08/22/23 09/20/24 100.000 0.000 6.0100 0.166944 0.167725 0.172765 21.61 44.35 Royal Bank of Canada 78014RLW8 03/28/23 03/28/25 100.000 VARIES 5.2200 0.007441 0.007506 0.007703 0.007905 2.03 2.77 Royal Bank of Canada 78014RLS7 03/17/23 03/17/25 100.000 VARIES 5.0000 0.009940 0.009862 0.010111 0.010365 2.80 3.65 Royal Bank of Canada 78016NUZ8 08/22/23 09/02/28 100.000 0.000 5.6094 0.155817 0.156059 0.160436 0.164936 20.13 58.03 Royal Bank of Canada 78014RLR9 03/17/23 03/17/33 100.000 VARIES 5.8620 0.162398 0.160632 0.158813 0.157884 45.97 57.12 Royal Bank of Canada 78016NDR5 07/06/23 01/05/27 100.000 0.000 5.5000 0.152778 0.156956 0.161272 26.74 57.25 Royal Bank of Canada 78014RMK3 05/05/23 05/05/28 100.000 VARIES 5.9200 0.023856 0.023823 0.023790 0.023755 5.60 8.57 Royal Bank of Canada 78012KDH7 06/29/15 06/29/35 100.000 VARIES 3.4100 239.76 0.088712 0.088906 0.089104 0.089306 0.089511 31.97 32.11 Royal Bank of Canada 78016NVE4 09/20/23 03/20/25 100.000 0.000 5.9146 0.164294 0.169153 0.174155 16.59 61.02 Royal Bank of Canada 78016HX88 04/28/23 04/29/27 100.000 0.000 4.7000 0.130556 0.133641 0.136781 0.139996 31.92 49.07 Royal Bank of Canada 78016HWR7 05/03/23 05/01/25 100.000 0.000 4.9107 0.136408 0.139720 0.143151 0.146666 32.66 51.33 Royal Bank of Canada 78016NHB6 06/21/23 06/21/28 100.000 0.000 5.2600 0.146111 0.149954 0.153898 0.157945 27.80 54.77 Royal Bank of Canada 78015QFM8 08/10/23 08/21/24 100.000 6.100 5.8300 0.161849 0.152800 0.080957 22.86 38.14 Royal Bank of Canada 78016HWJ5 05/02/23 11/02/26 100.000 0.000 4.8574 0.134928 0.138205 0.141561 0.144999 32.44 50.76 Royal Bank of Canada 78013XFK9 02/28/18 02/28/23 100.000 0.000 3.2254 167.59 0.103469 5.90 Royal Bank of Canada 78016HFG0 01/04/23 01/03/25 100.000 0.000 5.2018 0.144494 0.148232 0.152087 0.156043 52.25 55.45 Royal Bank of Canada 78016NXY8 09/29/23 09/29/28 100.000 0.000 5.7430 0.159528 0.164109 0.168821 14.68 59.11 Royal Bank of Canada 78016NXZ5 10/04/23 10/04/28 100.000 0.000 5.7909 0.160858 0.165516 0.170308 13.99 59.57 Royal Bank of Canada 78016HXD7 04/28/23 04/28/28 100.000 0.000 4.4400 0.123333 0.126071 0.128870 0.131731 30.14 46.25 Royal Bank of Canada 78016HXB1 05/03/23 05/01/25 100.000 0.000 4.9107 0.136408 0.139720 0.143151 0.146666 32.66 51.33 Royal Bank of Canada 78016HWZ9 04/05/23 04/08/24 100.000 0.000 5.3968 0.149911 0.149979 0.154026 40.23 14.94 Royal Bank of Canada 78016NXF9 09/05/23 12/04/24 100.000 0.000 5.8694 0.163039 0.165405 0.170259 18.98 55.95 Royal Bank of Canada 78013X4T2 04/30/19 04/28/23 100.000 0.000 2.9042 111.63 0.089225 10.44 Royal Bank of Canada 78016NGB7 07/06/23 07/03/25 100.000 0.000 5.7500 0.159722 0.164238 0.168960 27.95 59.96 Royal Bank of Canada 78015KDC5 11/29/19 12/01/25 100.000 0.000 2.1621 68.69 0.064068 0.064761 0.065461 0.066168 0.066884 23.23 23.74 Royal Bank of Canada 78016NXC6 09/07/23 09/05/25 100.000 0.000 5.6630 0.157306 0.161710 0.166289 17.93 58.46 Royal Bank of Canada 78016NGA9 07/06/23 08/02/24 100.000 0.000 6.0000 0.166667 0.167389 0.172411 29.27 36.22 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78016HVH0 03/31/23 03/31/26 100.000 0.000 4.9955 0.138764 0.142230 0.145782 0.149424 37.92 52.50 Royal Bank of Canada 78016NFW2 06/28/23 12/29/28 100.000 0.000 5.3600 0.148889 0.152901 0.156999 0.161207 27.25 55.80 Royal Bank of Canada 78016NFX0 06/28/23 12/29/27 100.000 0.000 5.3400 0.148333 0.152316 0.156383 0.160558 27.15 55.58 Royal Bank of Canada 78016NWW3 08/31/23 09/03/24 100.000 0.000 6.0551 0.168197 0.168282 0.173377 20.36 41.64 Royal Bank of Canada 78016HVG2 03/31/23 04/30/26 100.000 0.000 4.9956 0.138767 0.139344 0.142825 0.146392 0.150049 37.96 52.50 Royal Bank of Canada 78016HFE5 01/04/23 02/01/24 100.000 0.000 5.5035 0.152875 0.153506 0.157730 55.42 4.73 Royal Bank of Canada 78016NXU6 10/04/23 01/03/25 100.000 0.000 5.6136 0.155933 0.158097 0.162535 13.57 57.70 Royal Bank of Canada 78016NXT9 09/29/23 10/01/25 100.000 0.000 5.8918 0.163661 0.163715 0.168538 0.173502 15.06 60.69 Royal Bank of Canada 78016NXS1 10/04/23 07/02/27 100.000 0.000 5.7538 0.159828 0.162076 0.166738 13.91 59.18 Royal Bank of Canada 78013XWE4 01/31/19 02/01/24 100.000 0.000 3.6269 151.31 0.114264 0.116336 0.118445 42.14 3.55 Royal Bank of Canada 78013X5E4 04/30/19 05/01/23 100.000 0.000 2.8548 109.64 0.087577 10.51 Royal Bank of Canada 78016NXR3 09/29/23 07/01/27 100.000 0.000 5.7212 0.161246 0.165858 0.170603 14.62 58.88 Royal Bank of Canada 78015QEX5 06/06/23 06/18/24 100.000 5.900 5.6200 0.156190 0.146703 0.077846 32.13 26.87 Royal Bank of Canada 78016NAY3 05/31/23 05/31/28 100.000 0.000 5.2000 0.144444 0.148200 0.152053 0.156007 30.59 54.29 Royal Bank of Canada 78016FKA1 05/27/22 05/27/27 100.000 0.000 4.0397 24.09 0.114480 0.116793 0.119152 0.121559 0.124014 41.79 43.49 Royal Bank of Canada 78016NRU3 08/31/23 06/03/27 100.000 0.000 5.6151 0.155975 0.158238 0.162680 0.167247 18.94 58.02 Royal Bank of Canada 78016NRV1 09/06/23 06/03/27 100.000 0.000 5.7524 0.159789 0.162010 0.166670 0.171464 18.44 59.43 Royal Bank of Canada 78016NB55 05/10/23 05/08/25 100.000 0.000 4.7300 0.131389 0.134462 0.137642 0.140897 30.51 49.32 Royal Bank of Canada 78016NAR8 06/05/23 07/03/24 100.000 0.000 5.6800 0.157778 0.158475 0.162975 32.63 29.65 Royal Bank of Canada 78016NAM9 05/24/23 11/24/28 100.000 0.000 5.1000 0.141667 0.145279 0.148984 0.152783 30.88 53.24 Royal Bank of Canada 78015B435 10/06/22 09/28/28 100.000 0.000 5.5234 13.04 0.153428 0.157477 0.161826 0.166295 0.170887 56.74 59.90 Royal Bank of Canada 78016NAN7 05/24/23 11/24/27 100.000 0.000 4.9300 0.136944 0.140320 0.143779 0.147323 29.84 51.40 Royal Bank of Canada 78016NSJ7 09/06/23 09/06/28 100.000 0.000 5.4487 0.151353 0.155476 0.159712 17.41 56.19 Royal Bank of Canada 78016NSH1 08/31/23 08/31/28 100.000 0.000 5.5570 0.154361 0.158626 0.163058 18.68 57.39 Royal Bank of Canada 78016HR36 03/02/23 03/04/25 100.000 0.000 5.5725 0.154792 0.154840 0.159154 0.163588 0.168146 46.80 59.15 Royal Bank of Canada 78016NBD8 05/11/23 06/13/24 100.000 0.000 5.2700 0.146389 0.147075 0.150950 33.87 24.45 Royal Bank of Canada 78016NSB4 08/31/23 09/03/24 100.000 0.000 6.0551 0.168197 0.168282 0.173377 20.36 41.64 Royal Bank of Canada 78016HQP8 02/23/23 02/22/27 100.000 0.000 5.3734 0.149261 0.153249 0.157366 0.161594 46.49 56.99 Royal Bank of Canada 78016HR28 03/02/23 04/02/24 100.000 0.000 5.7359 0.159331 0.160092 0.164684 48.25 14.99 Royal Bank of Canada 78016HQN3 02/23/23 02/23/28 100.000 0.000 5.2888 0.146911 0.150796 0.154784 0.158877 45.75 56.04 Royal Bank of Canada 78016NA23 09/29/23 09/29/28 100.000 0.000 5.7430 0.159528 0.164109 0.168821 14.68 59.11 Royal Bank of Canada 78016NA31 09/29/23 10/01/24 100.000 0.000 6.0118 0.166994 0.167050 0.172072 15.37 46.01 Royal Bank of Canada 78016NAA5 05/31/23 11/29/24 100.000 0.000 5.6500 0.156944 0.161353 0.165912 33.26 53.74 Royal Bank of Canada 78012KT64 05/31/17 06/01/23 100.000 0.000 2.5535 152.29 0.081558 12.23 Royal Bank of Canada 78016ND79 09/26/23 12/27/24 100.000 0.000 6.2198 0.172772 0.175489 0.180946 16.42 63.46 Royal Bank of Canada 78014RLC2 02/24/23 02/24/33 100.000 VARIES 5.2450 0.145147 0.142929 0.140653 0.138316 44.31 50.46 Royal Bank of Canada 78016NDH7 06/23/23 12/26/24 100.000 0.000 5.7400 0.159444 0.159521 0.164099 0.168809 30.01 59.10 Royal Bank of Canada 78016NDA2 05/31/23 05/28/25 100.000 0.000 5.3000 0.147222 0.151080 0.155084 0.159194 31.19 55.38 Royal Bank of Canada 78016HSP6 02/23/23 03/21/24 100.000 0.000 5.5994 0.155539 0.156216 0.160590 48.53 12.85 Royal Bank of Canada 78016HSQ4 02/23/23 03/21/24 100.000 0.000 5.5994 0.155539 0.156216 0.160590 48.53 12.85 Royal Bank of Canada 78016NSU2 08/31/23 09/03/25 100.000 0.000 5.8616 0.162822 0.162902 0.167676 0.172590 19.71 60.65 Royal Bank of Canada 78016HRD4 02/28/23 02/26/27 100.000 0.000 5.2962 0.147117 0.150969 0.154967 0.159071 45.06 56.08 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Royal Bank of Canada 78016NSV0 09/06/23 09/04/25 100.000 0.000 5.6561 0.157114 0.161508 0.166075 18.07 58.40 Royal Bank of Canada 78016NSR9 09/06/23 09/04/25 100.000 0.000 5.6559 0.157108 0.161502 0.166069 18.07 58.40 Royal Bank of Canada 78016NSQ1 09/06/23 10/03/24 100.000 0.000 5.9617 0.165603 0.166343 0.171302 19.11 46.14 Royal Bank of Canada 78016NBMB 05/31/23 05/28/27 100.000 0.000 5.2300 0.145278 0.149035 0.152932 0.156931 30.78 54.61 Royal Bank of Canada 78016NCK1 05/24/23 11/22/24 100.000 0.000 5.3200 0.147778 0.151665 0.155699 32.22 49.41 Royal Bank of Canada 78016HRZ5 03/14/23 03/15/24 100.000 0.000 5.7068 0.158522 0.163071 45.98 12.07 Royal Bank of Canada 78016NCJ4 05/26/23 05/29/26 100.000 0.000 5.1100 0.141944 0.142005 0.145633 0.149354 0.153170 30.65 53.34 Royal Bank of Canada 78016NQ42 11/03/23 11/05/25 100.000 0.000 6.0060 0.166833 0.166889 0.171901 0.177063 9.68 61.55 Royal Bank of Canada 78016NQ34 11/03/23 12/04/24 100.000 0.000 5.9654 0.165706 0.166557 0.171525 9.63 56.36 Royal Bank of Canada 78016NP68 11/03/23 08/04/27 100.000 0.000 6.0023 0.166731 0.169260 0.174340 9.67 61.60 Royal Bank of Canada 78016NP76 11/03/23 05/05/25 100.000 0.000 5.9835 0.166208 0.166264 0.171238 0.176361 9.64 61.32 Royal Bank of Canada 78016NP35 10/31/23 07/29/27 100.000 0.000 6.0163 0.167119 0.169605 0.174707 10.19 61.76 Royal Bank of Canada 78016NP84 10/31/23 05/01/25 100.000 0.000 5.9890 0.166361 0.171370 0.176502 10.15 61.40 Royal Bank of Canada 78016NM87 10/31/23 10/31/28 100.000 0.000 6.1424 0.170622 0.175862 0.181263 10.41 63.02 Royal Bank of Canada 78016NM95 11/03/23 11/03/28 100.000 0.000 6.1320 0.170333 0.175556 0.180938 9.88 62.88 Royal Bank of Canada 78016NM53 10/31/23 10/30/25 100.000 0.000 6.0675 0.168542 0.173655 0.178923 10.28 62.23 Royal Bank of Canada 78016NW60 10/25/23 01/24/25 100.000 0.000 5.9323 0.164786 0.167203 0.172162 10.88 60.92 Royal Bank of Canada 78016NX28 11/01/23 05/01/25 100.000 0.000 5.9616 0.165600 0.170536 0.175620 9.94 61.11 Royal Bank of Canada 78016NZ42 11/03/23 02/05/25 100.000 0.000 5.9722 0.165894 0.168426 0.173456 9.62 61.28 Royal Bank of Canada 78016NS81 10/16/23 10/16/28 100.000 0.000 5.9064 0.164067 0.168912 0.173900 12.30 60.67 Royal Bank of Canada 78016N2X4 11/03/23 02/05/25 100.000 0.000 5.9734 0.165928 0.168461 0.173492 9.62 61.29 Royal Bank of Canada 78016N2R7 11/03/23 02/05/25 100.000 0.000 5.9734 0.165928 0.168461 0.173492 9.62 61.29 Royal Bank of Scotland 78009KQW5 02/25/11 02/25/31 100.000 VARIES 5.4494 613.11 0.145611 0.145882 0.146160 0.146446 0.146740 52.54 52.74 Royal Bank of Scotland 78009PBK6 08/26/11 08/26/31 100.000 VARIES 4.7435 513.40 0.138313 0.139334 0.140379 0.141448 0.142543 50.23 51.00 Royal Bank of Scotland 78009KNQ1 11/16/10 11/16/30 100.000 VARIES 5.5209 646.37 0.149543 0.149735 0.149934 0.150137 0.150347 53.89 54.03 Royal Bank of Scotland 78009KPH9 12/13/10 12/13/28 100.000 VARIES 5.3208 606.55 0.142419 0.142806 0.143203 0.143610 0.144028 51.35 51.64 Royal Bank of Scotland 78009KPR7 12/30/10 12/30/30 100.000 VARIES 5.7104 657.38 0.153924 0.154159 0.154402 0.154651 0.154908 55.46 55.63 SABINE TEX INDPT SCH DIS 785700EG6 10/27/20 02/15/29 87.035 0.000 1.6799 32.31 0.041856 0.042208 0.042563 0.042920 0.043281 15.23 15.48 SABINE TEX INDPT SCH DIS 785700EF8 10/27/20 02/15/28 89.146 0.000 1.5800 31.10 0.040250 0.040568 0.040888 0.041211 0.041537 14.63 14.87 SABINE TEX INDPT SCH DIS 785700EH4 10/27/20 02/15/30 84.805 0.000 1.7800 33.38 0.043290 0.043676 0.044064 0.044457 0.044852 15.76 16.04 SAM RAYBURN TEX INDPT SC 795868EK0 05/06/21 02/15/24 97.404 0.000 0.9500 15.38 0.026016 0.026140 0.026264 9.42 1.16 SAM RAYBURN TEX INDPT SC 795868EJ3 05/06/21 02/15/23 98.854 0.000 0.6503 10.67 0.018007 0.79 SAM 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Structured Prods, Inc 83368WLG4 03/31/14 03/31/34 91.000 VARIES 4.4572 323.94 0.109640 0.110810 0.112005 0.113227 0.114151 39.90 40.74 SG Structured Prods, Inc 83368WLH2 03/31/14 03/31/34 100.000 VARIES 4.4742 353.37 0.110140 0.110534 0.110936 0.111348 0.111824 39.79 40.09 SG Structured Prods, Inc 78423AP48 04/29/11 04/29/31 100.000 VARIES 4.1591 398.15 0.085638 0.085955 0.086278 0.086608 0.088409 30.93 31.25 SG Structured Prods, Inc 83368WL58 04/17/15 04/17/25 100.000 VARIES 2.7151 209.24 0.075307 0.075306 0.075324 0.075343 0.075380 27.11 27.12 SG Structured Prods, Inc 83368WKZ3 03/31/14 03/31/34 100.000 VARIES 4.4731 362.25 0.115775 0.116343 0.116924 0.117518 0.118020 41.89 42.30 SG Structured Prods, Inc 83368WZJ3 12/31/14 12/31/34 100.000 VARIES 3.0162 237.52 0.085557 0.085816 0.086079 0.086346 0.086617 30.85 31.04 SG Structured Prods, Inc 83368WHS3 01/31/14 01/31/34 100.000 VARIES 4.0888 343.35 0.110847 0.111540 0.112248 0.112970 0.113448 40.24 40.72 SG Structured Prods, Inc 78423AL75 03/31/11 03/31/31 100.000 VARIES 4.2878 420.06 0.090028 0.089531 0.089022 0.088503 0.090401 32.23 32.08 SG Structured Prods, Inc 83368WJB8 01/31/14 01/31/33 91.000 VARIES 4.0761 316.08 0.104577 0.105536 0.106514 0.107513 0.108243 38.11 38.79 SG Structured Prods, Inc 83368WPM7 06/26/14 06/26/34 100.000 VARIES 3.6333 292.07 0.097460 0.097914 0.098376 0.098846 0.099164 35.17 35.50 SG Structured Prods, Inc 78423AT93 05/31/11 05/30/31 100.000 VARIES 4.0970 396.75 0.084730 0.083501 0.084577 0.083816 0.086951 30.70 30.89 SG Structured Prods, Inc 83368WNR8 05/22/14 05/22/34 91.000 VARIES 3.6947 271.43 0.090522 0.091067 0.091622 0.092187 0.092647 32.73 33.13 SG Structured Prods, Inc 78423AR20 04/29/11 04/30/26 100.000 VARIES 4.1342 432.09 0.105971 0.107109 0.108271 0.109457 0.110761 38.49 39.34 SG Structured Prods, Inc 78423AF80 02/28/11 02/28/31 100.000 VARIES 4.1578 407.79 0.086194 0.084762 0.085665 0.084706 0.087900 31.13 31.45 SG Structured Prods, Inc 78423AW99 06/30/11 06/30/26 100.000 VARIES 3.9854 410.84 0.101064 0.100548 0.102820 0.102880 0.105922 36.80 37.65 SG Structured Prods, Inc 78423AW81 06/30/11 06/30/23 100.000 VARIES 3.9769 453.12 0.110546 19.79 SG Structured Prods, Inc 78423AW73 06/30/11 06/30/31 100.000 VARIES 4.0073 373.05 0.079736 0.079958 0.082405 0.083093 0.086112 29.15 30.29 SG Structured Prods, Inc 78423AW65 06/30/11 06/30/31 100.000 VARIES 4.0040 367.71 0.079819 0.081388 0.082988 0.084620 0.086285 29.02 30.17 SG Structured Prods, Inc 83368WBT7 02/28/13 02/28/33 100.000 VARIES 3.4646 314.39 0.091925 0.091242 0.092874 0.092498 0.094686 33.54 34.15 SG Structured Prods, Inc 83368WSX0 08/29/14 08/29/34 100.000 VARIES 3.4025 269.35 0.088780 0.089533 0.088827 0.090078 0.089863 32.55 32.87 SG Structured Prods, Inc 83368WBX8 03/28/13 03/31/33 100.000 VARIES 2.9028 261.47 0.076715 0.077174 0.077639 0.078111 0.078475 27.78 28.11 SG Structured Prods, Inc 83368WBD2 01/31/13 01/31/33 100.000 VARIES 3.8966 374.92 0.111065 0.111847 0.112645 0.113458 0.113903 40.36 40.89 SG Structured Prods, Inc 83368WBG5 01/31/13 01/31/33 100.000 VARIES 3.8943 357.95 0.101030 0.101590 0.102161 0.102743 0.103277 36.64 37.05 SG Structured Prods, Inc 83368WCQ2 04/30/13 05/01/23 100.000 VARIES 1.6708 35.64 0.010955 1.31 SG Structured Prods, Inc 83368WU58 06/30/15 06/30/35 100.000 VARIES 3.7086 260.26 0.098512 0.099156 0.099812 0.100480 0.100994 35.58 36.05 SG Structured Prods, Inc 83368WCY5 05/03/13 05/03/23 100.000 VARIES 3.1496 302.63 0.087419 10.67 SG Structured Prods, Inc 83368WCB5 04/12/13 04/12/33 100.000 VARIES 3.9684 355.56 0.104437 0.105044 0.105662 0.106293 0.106794 37.80 38.24 SG Structured Prods, Inc 83368WTC5 09/30/14 09/30/29 100.000 VARIES 3.5292 288.24 0.097637 0.097769 0.097903 0.097966 0.098030 35.20 35.27 SG Structured Prods, Inc 83368WCG4 04/30/13 04/29/33 100.000 VARIES 3.9499 354.71 0.105701 0.106326 0.106964 0.107614 0.108079 38.24 38.69 SG Structured Prods, Inc 78423A2P6 07/29/11 07/29/31 100.000 VARIES 3.8133 341.30 0.075397 0.076835 0.078300 0.079793 0.081314 27.84 28.91 SG Structured Prods, Inc 78423AU26 05/31/11 05/30/23 100.000 VARIES 4.1100 467.35 0.113246 16.87 SG Structured Prods, Inc 78423AD90 01/31/11 01/31/31 100.000 VARIES 4.1899 398.53 0.082758 0.084492 0.086262 0.088069 0.089914 30.63 31.93 SG Structured Prods, Inc 78423AU83 05/31/11 05/29/26 100.000 VARIES 4.1202 426.62 0.104973 0.104400 0.106721 0.106746 0.109746 38.27 39.16 SG Structured Prods, Inc 78423A2E1 07/29/11 07/29/31 100.000 VARIES 3.8227 339.50 0.075521 0.076964 0.078435 0.079934 0.081462 27.89 28.97 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ SG Structured Prods, Inc 78423A2D3 07/29/11 07/29/31 100.000 VARIES 3.8136 334.49 0.075400 0.076838 0.078303 0.079796 0.081318 27.84 28.92 SG Structured Prods, Inc 83369EGU8 03/23/16 03/23/26 100.000 VARIES 1.6326 63.41 0.026306 0.026521 0.026737 0.026956 0.027176 9.55 9.71 SG Structured Prods, Inc 83368WRU7 08/29/14 08/29/34 100.000 VARIES 3.4030 272.41 0.091230 0.092076 0.091422 0.092783 0.092637 33.48 33.86 SG Structured Prods, Inc 78423AE99 02/25/11 02/25/26 100.000 VARIES 4.0468 421.62 0.102269 0.103575 0.104908 0.106268 0.107757 37.38 38.37 SG Structured Prods, Inc 78423A3B6 08/31/11 08/29/31 100.000 VARIES 3.8090 340.49 0.074105 0.075932 0.076537 0.078852 0.079914 27.68 28.86 SG Structured Prods, Inc 78423EEJ9 10/31/12 10/29/32 100.000 VARIES 2.3463 216.05 0.059630 0.059813 0.059997 0.060007 0.060016 21.52 21.60 SG Structured Prods, Inc 78423EES9 11/30/12 11/30/32 100.000 VARIES 2.3877 216.95 0.059084 0.059079 0.059074 0.058881 0.058686 21.27 21.22 SG Structured Prods, Inc 83368WGF2 11/29/13 11/30/33 100.000 VARIES 4.4027 375.28 0.117580 0.118242 0.118919 0.119387 0.119866 42.49 42.92 SG Structured Prods, Inc 83368WFL0 10/31/13 10/31/33 100.000 VARIES 4.2911 372.84 0.117122 0.117827 0.118548 0.119003 0.119469 42.38 42.82 SG Structured Prods, Inc 78423EEA8 12/31/12 12/31/32 100.000 VARIES 2.3864 211.05 0.057356 0.057455 0.057556 0.057576 0.057597 20.67 20.72 SG Structured Prods, Inc 78423AJ45 03/31/11 03/31/26 100.000 VARIES 3.9820 404.12 0.099874 0.101140 0.102624 0.104138 0.105681 36.43 37.50 SG Structured Prods, Inc 83368WHA2 12/30/13 12/30/32 93.000 VARIES 4.4186 351.84 0.115915 0.116979 0.118066 0.118821 0.119593 41.92 42.64 SG Structured Prods, Inc 83368WHD6 12/30/13 12/30/33 100.000 VARIES 4.4457 369.25 0.116652 0.117339 0.118041 0.118758 0.119491 42.12 42.63 SG Structured Prods, Inc 83368WGM7 11/29/13 11/29/32 90.000 VARIES 4.3778 332.07 0.108024 0.109162 0.110325 0.111268 0.112230 39.17 39.95 SG Structured Prods, Inc 83368WXN6 11/26/14 11/26/34 100.000 VARIES 3.3123 255.31 0.089694 0.090051 0.090413 0.090782 0.091157 32.38 32.64 SG Structured Prods, Inc 83368WGR6 11/29/13 11/29/32 90.000 VARIES 4.3778 332.07 0.108022 0.109160 0.110323 0.111265 0.112228 39.17 39.95 SG Structured Prods, Inc 83368WDR9 07/31/13 07/31/33 100.000 VARIES 4.5906 402.47 0.122077 0.122990 0.123924 0.124726 0.125548 44.39 45.00 SG Structured Prods, Inc 78423ECF9 08/31/12 08/31/27Y 100.000 VARIES 2.2060 211.06 0.055840 0.055224 0.056132 0.055824 0.057059 20.30 20.60 SG Structured Prods, Inc 83368WDT5 07/31/13 07/31/33 100.000 VARIES 4.5832 405.75 0.126210 0.127378 0.128572 0.129372 0.130189 46.00 46.67 SG Structured Prods, Inc 78423ECE2 08/31/12 08/31/32 100.000 VARIES 2.2189 199.20 0.052618 0.051854 0.052518 0.051878 0.052667 19.05 19.12 SG Structured Prods, Inc 83368WDV0 07/31/13 07/31/33 100.000 VARIES 4.5941 388.10 0.115249 0.116271 0.117316 0.118370 0.119448 41.99 42.75 SG Structured Prods, Inc 83368WDW8 08/30/13 08/31/33 100.000 VARIES 4.6389 400.71 0.123257 0.122190 0.124508 0.124142 0.127226 44.95 45.84 SG Structured Prods, Inc 83368WDX6 08/30/13 08/31/33 100.000 VARIES 4.6414 413.46 0.128888 0.127614 0.129873 0.129328 0.132373 46.93 47.74 SG Structured Prods, Inc 83369EKC3 06/24/16 06/26/23 100.000 0.000 1.8500 127.56 0.057930 10.14 SG Structured Prods, Inc 83368WUJ8 09/30/14 09/30/34 100.000 VARIES 3.5842 280.61 0.096078 0.096437 0.096802 0.097120 0.097442 34.72 34.96 SG Structured Prods, Inc 83368WUL3 09/30/14 09/30/34 100.000 VARIES 3.5616 279.47 0.095918 0.096273 0.096635 0.097003 0.097377 34.66 34.92 SG Structured Prods, Inc 83368WDM0 06/28/13 06/28/33 100.000 VARIES 4.7593 421.76 0.129710 0.130589 0.131490 0.132411 0.133028 46.86 47.51 SG Structured Prods, Inc 83367TAN9 09/28/12 09/28/27 100.000 VARIES 4.2451 404.05 0.110044 0.110770 0.111512 0.112307 0.113120 39.88 40.44 SG Structured Prods, Inc 78423EDJ0 09/28/12 09/30/32 100.000 VARIES 2.1721 193.35 0.052156 0.052202 0.052248 0.052155 0.052060 18.79 18.78 SG Structured Prods, Inc 83368WFA4 10/31/13 10/31/33 100.000 VARIES 4.2945 363.35 0.112150 0.112918 0.113704 0.114351 0.115012 40.61 41.13 SG Structured Prods, Inc 78423EDN1 10/31/12 10/29/27 100.000 VARIES 2.3465 218.05 0.061417 0.061853 0.062294 0.062683 0.063077 22.24 22.54 SG Structured Prods, Inc 83368WVM0 10/31/14 10/31/34 100.000 VARIES 3.4502 268.94 0.094161 0.094582 0.095010 0.095315 0.095624 34.03 34.30 SG Structured Prods, Inc 83368WEL1 09/30/13 09/30/33 100.000 VARIES 4.5116 393.49 0.122918 0.123887 0.124879 0.125642 0.126422 44.60 45.23 SG Structured Products 78423AYJ5 08/31/10 08/29/25 100.000 0.000 3.6972 386.53 0.090502 0.092681 0.093368 0.096139 0.097382 33.79 35.18 SHALLOWATER TEX INDPT SC 819309MJ1 11/20/20 02/15/23 98.515 0.000 0.6701 14.03 0.018553 0.82 SOCIETE GENERALE 83369NNM8 06/23/22 06/20/25 100.000 0.000 4.3300 22.64 0.122838 0.125498 0.128215 0.130991 0.133827 44.76 46.72 SOCIETE GENERALE 83369NUQ1 06/21/22 12/18/24 100.000 0.000 4.8300 25.53 0.137353 0.140670 0.144067 0.147546 50.13 50.62 SOCORRO TEX INDPT SCH DI 833715HG3 06/11/20 08/15/27 86.381 0.000 2.0499 46.24 0.051422 0.051949 0.052482 0.053020 0.053563 18.75 19.14 SOCORRO TEX INDPT SCH DI 833715HD0 06/11/20 08/15/24 93.056 0.000 1.7299 41.89 0.046425 0.046827 0.047232 0.047640 16.90 10.65 SOCORRO TEX INDPT SCH DI 833715HE8 06/11/20 08/15/25 90.905 0.000 1.8499 43.82 0.048625 0.049075 0.049529 0.049987 0.050450 17.71 18.04 SOCORRO TEX INDPT SCH DI 833715HC2 06/11/20 08/15/23 95.211 0.000 1.5501 38.33 0.042398 0.042726 9.56 SOUTH TEXAS CMNTY COLLEG 84055QGN4 07/23/20 08/15/25 90.800 0.000 1.9159 43.24 0.050261 0.050743 0.051229 0.051720 0.052215 18.31 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ STEPHENVILLE TEX INDPT 859128HW3 06/25/20 02/15/23 96.808 0.000 1.2330 30.42 0.034039 1.50 STEPHENVILLE TEX INDPT 859128HX1 06/25/20 02/15/24 94.854 0.000 1.4570 35.31 0.039600 0.039889 0.040179 14.39 1.77 San Luis Obispo County 798703BB9 07/02/03 09/01/29 22.806 0.000 5.7298 458.18 0.107175 0.110246 0.113404 0.116653 0.119995 39.88 42.20 San Luis Obispo County 798703BC7 07/02/03 09/01/30 21.553 0.000 5.7298 433.01 0.101289 0.104191 0.107176 0.110247 0.113405 37.69 39.88 San Luis Obispo County 798703BA1 07/02/03 09/01/28 24.132 0.000 5.7297 484.81 0.113403 0.116652 0.119994 0.123431 0.126967 42.20 44.65 San Luis Obispo County 798703AV6 07/02/03 09/01/23 32.578 0.000 5.6397 637.90 0.148184 0.152362 36.32 San Luis Obispo County 798703AY0 07/02/03 09/01/26 27.018 0.000 5.7298 542.80 0.126969 0.130606 0.134348 0.138197 0.142156 47.25 50.00 San Luis Obispo County 798703AZ7 07/02/03 09/01/27 25.534 0.000 5.7298 512.99 0.119995 0.123433 0.126969 0.130606 0.134348 44.65 47.25 San Luis Obispo County 798703AW4 07/02/03 09/01/24 30.563 0.000 5.6797 605.33 0.141051 0.145057 0.149176 0.153413 52.47 36.56 San Luis Obispo County 798703AX2 07/02/03 09/01/25 28.774 0.000 5.6997 573.16 0.133761 0.137572 0.141493 0.145525 0.149673 49.77 52.64 Santa Monica School, CA 802498PT6 10/11/16 07/01/32 95.746 3.000 3.3503 14.24 0.007096 0.007215 0.007335 0.007458 0.007583 2.58 2.66 Seacor Holdings, Inc. 811904AN1 05/15/18 05/15/30 100.000 3.250 7.6251 387.97 0.260470 0.266959 0.273695 0.280688 0.287947 95.55 100.44 Societe General 83369NMB3 05/17/22 05/17/29 100.000 0.000 4.0200 25.11 0.113911 0.116201 0.118536 0.120919 0.123349 41.62 43.31 Societe Generale 83370BFL2 08/31/23 08/31/38 100.000 0.000 5.5100 0.153056 0.157249 0.161605 18.52 56.89 Societe Generale 83370B7A5 06/09/23 06/02/26 100.000 0.000 5.3300 0.148056 0.151848 0.155895 0.160049 30.02 55.63 Societe Generale 83370B6P3 05/25/23 06/21/24 100.000 0.000 5.5700 0.154722 0.155345 0.159671 33.58 27.14 Societe Generale 83370BGM9 09/22/23 09/24/26 100.000 0.000 5.6600 0.157222 0.157272 0.161722 0.166299 15.57 58.29 Societe Generale 83370B6G3 05/09/23 05/07/24 100.000 0.000 5.0900 0.141389 0.144947 32.99 18.26 Societe Generale 83370B6E8 05/09/23 05/09/24 100.000 0.000 5.0900 0.141389 0.144987 32.99 18.56 Societe Generale 83370B3S0 03/31/23 03/31/29 100.000 VARIES 5.2570 0.145350 0.142600 0.140950 0.142500 39.19 50.94 Societe Generale 83370B3D3 03/30/23 03/30/28 100.000 VARIES 4.5900 0.127150 0.125900 0.124850 0.123850 33.93 43.82 Societe Generale 83370B3E1 03/16/23 03/27/24 100.000 0.000 4.7800 0.132778 0.132972 0.136150 38.19 11.71 Societe Generale 83370BEP4 08/25/23 02/20/25 100.000 0.000 5.1750 0.143750 0.147366 0.151179 18.11 53.37 Societe Generale 83370BF65 08/31/23 08/31/28 100.000 0.000 5.4300 0.150833 0.154906 0.159135 18.25 56.04 Societe Generale 83370BER0 08/25/23 02/20/25 100.000 0.000 5.1750 0.143750 0.147366 0.151179 18.11 53.37 Societe Generale 83369NZL7 02/17/23 02/17/35 100.000 VARIES 4.8800 0.133967 0.130483 0.126883 0.123167 0.141567 41.66 45.34 Societe Generale 83369NZS2 02/23/23 03/21/24 100.000 0.000 5.5800 0.155000 0.155673 0.160016 48.36 12.80 Societe Generale 83369NP38 07/14/22 07/14/37 100.000 VARIES 4.8000 22.06 0.131950 0.126400 0.120750 0.114950 0.110600 44.64 40.72 Societe Generale 83370BJW4 10/31/23 10/31/33 100.000 VARIES 6.3300 0.171583 0.163350 0.164700 10.72 61.97 Societe Generale 83369NPJ3 07/29/22 07/29/37 100.000 VARIES 4.5700 19.17 0.125900 0.121750 0.117550 0.113200 0.109950 43.32 40.36 Societe Generale 83370B7F4 06/13/23 06/08/26 100.000 0.000 5.3800 0.149444 0.153353 0.157478 0.161714 29.68 56.14 Societe Generale 83369NMA5 05/18/22 05/20/24 100.000 VARIES 3.4900 21.75 0.097300 0.098900 0.099500 0.098500 35.73 13.67 Societe Generale 83370BJD6 11/01/23 01/30/25 100.000 0.000 5.7700 0.160278 0.162564 0.167254 9.62 59.16 Societe Generale 83370BJ87 11/02/23 11/02/28 100.000 VARIES 5.8900 0.161933 0.158267 0.156377 6.05 57.07 Societe Generale 83370BJ61 10/23/23 10/22/26 100.000 VARIES 6.1000 0.167183 0.165517 0.165700 11.47 59.68 Societe Generale 83370BJ38 10/20/23 02/13/25 100.000 0.000 6.6300 0.184167 0.187999 0.194232 13.08 68.38 Societe Generale 83369NT59 11/25/22 11/28/25 100.000 0.000 5.3450 5.35 0.148538 0.152508 0.156584 0.160769 0.165065 54.45 57.40 Societe Generale 83369NQA1 08/31/22 08/29/25 100.000 0.000 4.3230 14.53 0.120083 0.122650 0.125316 0.128025 0.130792 44.33 46.27 Societe Generale 83370FZY3 10/18/23 10/25/24 100.000 0.000 8.1300 0.225833 0.226190 0.235385 16.51 68.15 Societe Generale 83370BAW3 06/30/23 06/30/33 100.000 0.000 5.2000 0.144444 0.148200 0.152053 0.156007 26.15 54.05 Societe Generale 83370B2U6 03/10/23 03/10/35 100.000 VARIES 5.1080 0.141200 0.138400 0.135550 0.132550 40.83 46.67 Societe Generale 83370BCM3 07/19/23 07/18/25 100.000 0.000 5.5000 0.152778 0.156956 0.161272 24.75 57.14 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Societe Generale 83370BCJ0 08/03/23 08/05/24 100.000 0.000 5.9500 0.165278 0.165332 0.170251 24.47 36.27 Societe Generale 83370BCN1 07/26/23 10/24/24 100.000 0.000 5.8500 0.162500 0.164824 0.169645 25.34 49.16 Societe Generale 83370BCE1 07/14/23 07/16/24 100.000 0.000 5.9200 0.164444 0.164499 0.169368 27.47 32.95 Societe Generale 83370BCF8 07/14/23 07/16/24 100.000 0.000 5.9200 0.164444 0.164499 0.169368 27.47 32.95 Societe Generale 83369NXU9 12/28/22 12/27/24 100.000 0.000 5.2000 0.43 0.144444 0.148179 0.152032 0.155985 52.70 54.83 Societe Generale 83369NUW8 09/30/22 09/30/25 100.000 VARIES 3.0200 1.64 0.018300 0.018600 0.018750 0.018650 0.018500 6.69 6.71 Societe Generale 83369NUY4 10/17/22 10/15/27 100.000 0.000 3.0001 6.17 0.083336 0.084572 0.085841 0.087129 0.088436 30.41 31.33 Societe Generale 83369NUZ1 02/23/23 02/21/25 100.000 0.000 5.2200 0.145000 0.148742 0.152625 0.156608 45.15 55.27 Societe Generale 83369NUJ7 04/26/22 04/24/37 97.000 VARIES 3.9100 25.49 0.101750 0.098850 0.095850 0.093800 0.094450 35.72 33.99 Societe Generale 83369NV23 04/04/23 04/02/25 100.000 0.000 5.0000 0.138889 0.142323 0.145881 0.149528 37.39 52.52 Societe Generale 83370BB44 07/07/23 07/31/24 100.000 0.000 5.5920 0.155333 0.155888 0.160247 27.11 33.37 Societe Generale 83370BAA1 06/15/23 06/17/24 100.000 0.000 5.8100 0.161389 0.161441 0.166131 31.71 27.58 Societe Generale SA 83369NKA7 03/14/22 03/14/34 100.000 VARIES 3.6098 28.60 0.098573 0.096843 0.097682 0.098195 0.098467 35.08 35.34 Societe Generale SA 83369ER51 01/31/18 07/31/23 100.000 0.000 3.1299 165.09 0.099984 0.101549 21.18 Societe Generale SA 83369F3S4 02/28/18 02/27/25 100.000 0.000 3.2782 170.54 0.105400 0.107128 0.108884 0.110669 0.112483 38.69 39.97 Societe Generale SA 83369F3F2 01/31/18 01/30/25 100.000 0.000 3.2105 169.65 0.102924 0.104576 0.106255 0.107961 0.109694 37.85 39.08 Societe Generale SA 83369FBT3 09/25/18 09/25/23 100.000 0.000 3.7818 173.39 0.122033 0.124340 32.63 Societe Generale SA 83369M5J7 04/06/21 04/06/36 100.000 VARIES 2.6792 45.16 0.069880 0.069112 0.068631 0.068345 0.068234 24.91 24.62 Societe Generale SA 83369M5M0 04/16/21 04/19/36 100.000 VARIES 2.6494 44.13 0.069629 0.068974 0.068568 0.068348 0.068250 24.87 24.62 Societe Generale SA 83369M5T5 04/30/21 04/30/31 100.000 VARIES 2.3695 38.82 0.063132 0.062712 0.062484 0.062406 0.062431 22.61 22.48 Societe Generale SA 83369FXR3 08/05/19 08/05/25 100.000 0.000 2.3103 81.38 0.068755 0.069549 0.070353 0.071165 0.071987 25.13 25.71 Societe Generale SA 83369F4R5 03/02/18 03/04/25 100.000 0.000 3.3609 174.72 0.108485 0.110308 0.112162 0.114047 0.115963 39.81 41.16 Societe Generale SA 83369MJQ6 12/20/19 12/21/26 100.000 0.100 2.4730 77.24 0.073738 0.074616 0.075504 0.076403 0.077314 26.72 27.36 Societe Generale SA 83369MJR4 12/18/19 12/21/23 100.000 2.100 2.2723 69.16 0.063476 0.063534 22.23 Societe Generale SA 83369N2F6 05/28/21 05/28/31 100.000 VARIES 2.3296 36.52 0.062460 0.062092 0.061895 0.061818 0.061825 22.40 22.27 Societe Generale SA 83369NAX8 08/25/21 08/25/26 100.000 VARIES 1.2819 17.33 0.035496 0.035724 0.035508 0.035735 0.035534 12.82 12.83 Societe Generale SA 83369M3N0 02/26/21 02/26/41 100.000 VARIES 2.4596 44.89 0.066273 0.065345 0.064569 0.064003 0.063593 23.48 23.02 Societe Generale SA 83369N3U2 06/22/21 06/22/26 100.000 0.000 1.3580 20.85 0.038496 0.038757 0.039020 0.039285 0.039552 13.91 14.10 Societe Generale SA 83369NUE8 03/28/22 03/29/32 100.000 VARIES 3.7300 28.23 0.102964 0.102294 0.102812 0.103162 0.103364 36.93 37.13 Societe Generale SA 83369NDP2 10/20/21 10/20/31 100.000 VARIES 2.1499 25.56 0.058609 0.058551 0.058547 0.058572 0.058634 21.08 21.09 Societe Generale SA 83369NEQ9 11/17/21 11/17/31 100.000 VARIES 2.2499 25.10 0.061397 0.061318 0.061325 0.061382 0.061453 22.09 22.09 Societe Generalle 83369NNV8 07/06/22 07/05/24 100.000 0.000 4.1100 19.98 0.114167 0.116500 0.118894 0.121337 42.35 22.32 Societe Generalle 83369NPB0 07/14/22 07/14/25 100.000 0.000 4.2500 19.72 0.118056 0.120564 0.123126 0.125743 0.128415 43.80 45.68 Societe Generalle 83369NNW6 07/06/22 07/03/25 100.000 0.000 4.1200 20.03 0.114444 0.116763 0.119168 0.121623 0.124128 42.46 44.23 Somerset Hills Road Dist 83473PDB1 09/13/22 08/15/30 97.345 4.000 4.4000 4.92 0.046000 0.046000 0.046100 0.462000 0.463000 16.58 16.63 Somerset Hills Road Dist 83473PDA3 09/13/22 08/15/29 98.217 4.000 4.3000 3.80 0.035500 0.035500 0.035600 0.035600 0.035700 12.79 12.82 Somerset Hills Road Dist 83473PEE4 09/12/23 08/15/34 96.946 5.125 5.5000 0.038235 0.038333 0.038389 4.13 13.79 Somerset Hills Road Dist 83473PEL8 09/12/23 08/15/40 95.150 5.700 5.7000 0.039150 0.038889 0.038944 4.23 14.02 South Carolina Jobs-Econ 83704MDQ6 09/29/23 06/15/30 93.000 9.750 11.2600 0.028026 0.028056 0.028222 0.028389 2.55 10.14 Sprint Capital Corporati 852060AD4 05/18/18 11/15/28 96.500 6.875 7.3596 12.23 0.008725 0.009046 0.009379 0.009724 0.010082 3.23 3.47 St. Clair County, IL 788550JX0 06/25/15 01/01/24 65.665 0.000 5.0000 295.16 0.131466 0.132556 48.19 St. Clair County, IL 788550JW2 06/25/15 01/01/23 70.267 0.000 4.7499 297.33 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ St. Clair County, IL 788553GU3 04/13/17 12/01/27 101.642 4.000 3.8108 220.66 0.106758 0.106676 0.106591 0.106505 0.106417 38.41 38.35 St. Clair County, IL 788553GS8 04/13/17 12/01/23 101.777 3.500 3.2006 185.00 0.089165 0.089036 29.40 St. Clair County, IL 788553GT6 04/13/17 12/01/26 102.645 4.000 3.6716 214.10 0.103223 0.103079 0.102931 0.102781 0.102628 37.13 37.02 Sunsource, Inc. 867948AA9 09/30/97 09/30/27 110.000 11.600 10.4990 2869.65 0.303887 0.302924 0.301911 0.300845 0.299723 109.05 108.30 TARKINGTON TEX INDPT SCH 876162HU5 03/09/21 02/15/23 99.211 0.000 0.4101 7.39 0.011369 0.50 TAYLOR TEX INDPT SCH DIS 877299QX8 06/30/21 02/15/39 58.349 0.000 3.0800 27.45 0.051668 0.052463 0.053271 0.054092 0.054925 18.96 19.55 TAYLOR TEX INDPT SCH DIS 877299QW0 06/30/21 02/15/38 60.655 0.000 3.0299 28.07 0.052808 0.053608 0.054420 0.055244 0.056081 19.37 19.97 TITUS CNTY TEX 888514JX5 11/27/19 03/01/23 91.737 0.000 2.6615 78.25 0.072960 4.38 TITUS CNTY TEX 888514JY3 11/27/19 03/01/24 88.968 0.000 2.7616 78.85 0.073619 0.074636 0.075666 26.93 4.54 TOLAR TEX INDPT SCH DIST 889154FQ8 05/05/21 02/15/23 99.168 0.000 0.4705 7.75 0.013038 0.57 TOLAR TEX INDPT SCH DIST 889154FR6 05/05/21 02/15/24 98.186 0.000 0.6601 10.77 0.018155 0.018215 0.018275 6.56 0.80 TOLAR TEX INDPT SCH DIST 889154FS4 05/05/21 02/15/25 96.120 0.000 1.0502 16.82 0.028418 0.028567 0.028717 0.028868 0.029019 10.30 10.41 TOLAR TEX INDPT SCH DIST 889154FT2 05/05/21 02/15/26 93.773 0.000 1.3501 21.13 0.035777 0.036019 0.036262 0.036507 0.036753 12.99 13.17 TOLAR TEX INDPT SCH DIST 889154FU9 05/05/21 02/15/27 90.734 0.000 1.6899 25.65 0.043519 0.043886 0.044257 0.044631 0.045008 15.83 16.10 TOM BEAN TEX INDPT SCH 889608DJ1 11/06/20 02/15/26 93.785 0.000 1.2200 24.89 0.032477 0.032675 0.032875 0.033075 0.033277 11.78 11.93 TOM BEAN TEX INDPT SCH 889608DH5 11/06/20 02/15/25 96.111 0.000 0.9300 19.39 0.025240 0.025357 0.025475 0.025594 0.025713 9.14 9.22 TOM BEAN TEX INDPT SCH 889608DG7 11/06/20 02/15/24 97.323 0.000 0.8302 17.52 0.022776 0.022871 0.022966 8.24 1.01 TOM BEAN TEX INDPT SCH 889608DK8 11/06/20 02/15/27 92.075 0.000 1.3201 26.46 0.034560 0.034788 0.035018 0.035249 0.035482 12.54 12.71 TULOSO-MIDWAY TEX INDPT 899474WH9 12/16/20 08/15/23 97.895 0.000 0.8002 16.10 0.022050 0.022138 4.96 The Bank of Nova Scotia 06417YSW0 08/25/23 02/20/25 100.000 0.000 6.1400 0.170556 0.175646 0.181039 21.49 63.69 The Bank of Nova Scotia 06418G818 05/04/23 04/27/29 100.000 0.000 4.9900 0.138611 0.141935 0.145476 0.149106 33.06 52.19 The Bank of Nova Scotia 06418A415 03/03/23 02/02/26 100.000 0.000 5.4858 0.152382 0.155842 0.160117 0.164508 45.93 58.16 The Bank of Nova Scotia 06417YDC0 01/19/23 02/14/24 100.000 0.000 4.8650 0.135139 0.135595 0.138894 46.81 5.97 The Bank of Nova Scotia 06417YFE4 03/17/23 03/17/25 100.000 VARIES 5.1700 0.008798 0.008812 0.008827 0.008841 2.50 3.18 The Bank of Nova Scotia 06417YEJ4 02/23/23 02/27/26 100.000 0.000 5.3800 0.149444 0.149534 0.153556 0.157687 0.161929 46.55 57.06 The Bank of Nova Scotia 06417YMJ5 08/03/23 10/30/24 100.000 0.000 5.7300 0.159167 0.161371 0.165994 23.69 49.08 The Bank of Nova Scotia 06418B397 04/08/23 03/29/29 100.000 0.000 5.2100 0.144722 0.148304 0.152167 0.156131 38.39 54.80 The GEO Group, Inc. and 36162JAC0 08/19/22 06/30/28 100.000 10.500 11.4000 1.72 0.013047 0.013592 0.014367 0.015186 0.016052 5.03 5.62 The Goldman Sachs Group 38150ARJ6 03/29/23 04/29/24 100.000 VARIES 0.4500 0.020489 0.021868 0.019032 5.77 2.56 The Toronto Dominion Ban 89114YDW8 10/05/22 10/02/25 100.000 0.000 5.4200 12.95 0.150556 0.154568 0.158756 0.163059 0.167478 55.65 58.70 The Toronto Dominion Ban 89114YDS7 10/04/22 10/01/27 100.000 0.000 5.5900 13.51 0.155278 0.159545 0.164005 0.168589 0.173301 57.45 60.70 The Toronto Dominion Ban 89114YDX6 10/05/22 10/04/27 100.000 0.000 5.5900 13.35 0.155278 0.159594 0.164054 0.168640 0.173353 57.44 60.69 The Toronto-Dominion Ban 89114YPJ4 03/03/23 03/05/26 100.000 0.000 5.4700 0.151944 0.151991 0.156148 0.160418 0.164806 45.78 57.99 The Toronto-Dominion Ban 89115FBU4 09/15/23 09/15/28 100.000 VARIES 6.3200 0.009502 0.009518 0.009534 1.01 3.43 The Toronto-Dominion Ban 89114YP88 02/15/23 03/14/24 100.000 0.000 5.5400 0.153889 0.154576 0.158857 49.28 11.60 The Toronto-Dominion Ban 89114YP70 02/15/23 05/15/24 100.000 0.000 5.5400 0.153889 0.156020 0.160342 49.31 21.49 The Toronto-Dominion Ban 89114YB59 08/18/22 08/18/23 100.000 0.000 4.0800 15.07 0.113333 0.115645 26.14 The Toronto-Dominion Ban 89115F2Z3 07/07/23 07/07/26 100.000 VARIES 5.6800 0.007475 0.007485 0.007495 1.30 2.70 The Toronto-Dominion Ban 89115F3C3 07/12/23 08/12/24 100.000 0.000 6.0400 0.167778 0.168622 0.173715 28.47 38.18 The Toronto-Dominion Ban 89115FCJ8 09/22/23 09/24/25 100.000 0.000 6.0000 0.166667 0.166722 0.171724 0.176876 16.51 61.91 The Toronto-Dominion Ban 89115FCR0 09/27/23 09/27/28 100.000 VARIES 6.3400 0.007504 0.007514 0.007524 0.71 2.71 The Toronto-Dominion Ban 89114YCX7 09/27/22 09/27/27 100.000 0.000 4.3000 11.23 0.119444 0.122012 0.124636 0.127315 0.130053 43.95 45.86 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ The Toronto-Dominion Ban 89115FF22 10/19/23 03/20/25 100.000 0.000 6.0600 0.168333 0.172612 0.177842 12.12 62.33 The Toronto-Dominion Ban 89114YC90 09/09/22 09/11/23 100.000 0.000 4.3000 13.38 0.119473 0.122042 30.33 The Toronto-Dominion Ban 89114YSX0 04/05/23 04/06/26 100.000 0.000 5.1800 0.143889 0.147636 0.151460 0.155383 38.59 54.50 The Toronto-Dominion Ban 89114YW49 04/28/23 07/30/24 100.000 0.000 5.2500 0.145833 0.147790 0.151669 35.73 31.59 The Toronto-Dominion Ban 89114YVH1 04/17/23 04/17/26 100.000 VARIES 5.5500 0.008854 0.008868 0.008882 0.008896 2.25 3.20 The Toronto-Dominion Ban 89114YVE8 05/03/23 05/01/26 100.000 0.000 5.0300 0.139722 0.143197 0.146799 0.150491 33.46 52.64 The Toronto-Dominion Ban 89114YYS4 06/08/23 06/10/24 100.000 0.000 5.7700 0.160278 0.160329 0.164955 32.64 26.23 The Toronto-Dominion Ban 89114YXW6 05/18/23 06/17/24 100.000 0.000 5.2000 0.144444 0.145050 0.148821 32.38 24.70 The Toronto-Dominion Ban 89114YY70 06/05/23 07/05/24 100.000 0.000 5.7200 0.158889 0.159646 0.164212 32.86 30.20 The Toronto-Dominion Ban 89114YY54 05/25/23 05/28/24 100.000 0.000 5.5700 0.154722 0.154794 0.159105 33.58 23.39 The Toronto-Dominion Ban 89114YX97 05/17/23 08/15/24 100.000 0.000 5.2700 0.146389 0.148275 0.152182 33.05 33.92 The Toronto-Dominion Ban 89114X6H1 02/24/23 02/24/26 100.000 VARIES 5.3300 0.020556 0.021170 0.021787 0.022406 6.41 7.93 The Toronto-Dominion Ban 89117GDN4 01/18/23 01/26/24 100.000 0.000 5.3400 0.148333 0.148509 0.152475 51.55 3.81 The Toronto-Dominion Ban 89114X5Y5 01/27/23 01/27/25 100.000 VARIES 5.1100 0.022500 0.022730 0.022730 0.023347 7.66 8.43 The Toronto-Dominion Ban 89114YZC8 06/22/23 09/19/24 100.000 0.000 5.9150 0.164306 0.166654 0.171583 31.29 43.88 The Toronto-Dominion Ban 89114YM99 01/19/23 02/16/24 100.000 0.000 5.3200 0.147778 0.148367 0.152314 51.26 6.85 The Toronto-Dominion Ban 89114X7B3 04/17/23 04/17/26 100.000 VARIES 5.7900 0.024180 0.024285 0.024391 0.024497 6.15 8.78 The Toronto-Dominion Ban 89114YND9 02/01/23 03/01/24 100.000 0.000 5.3100 0.147500 0.148153 0.152086 49.34 9.13 The Toronto-Dominion Ban 89114YN72 02/08/23 05/08/24 100.000 0.000 5.3500 0.148611 0.150599 0.154627 48.68 19.64 The Toronto-Dominion Ban 89114YMQ1 01/24/23 02/23/24 100.000 0.000 5.2600 0.146111 0.146730 0.150589 49.92 7.83 Time Warner Inc. 887315AZ2 01/17/96 01/15/36 17.038 VARIES 8.8001 1369.05 0.234899 0.235090 0.235289 0.235498 0.235715 84.66 84.81 Toronto-Dominion Bank 89114V6L6 03/17/22 03/12/27 100.000 0.000 2.7306 21.65 0.076856 0.077905 0.078968 0.080047 0.081139 28.09 28.86 Toronto-Dominion Bank 89114TRA2 09/09/21 09/09/24 100.000 VARIES 0.6023 7.90 0.016771 0.016776 0.016780 0.016756 6.04 4.16 Toronto-Dominion Bank 89114Y3Z2 06/03/22 06/04/26 100.000 0.000 4.0000 23.17 0.113346 0.115613 0.117925 0.120283 0.122689 41.34 43.01 Toronto-Dominion Bank 89114TKW1 06/10/21 06/10/24 100.000 VARIES 0.5100 7.95 0.014193 0.014194 0.014180 5.11 2.25 Toyota Motor Credit Corp 89233PU79 03/28/08 03/28/38 24.099 0.000 4.8000 244.36 0.063921 0.065455 0.067026 0.068634 0.070281 23.58 24.72 UBS AG 90279FGU9 06/15/22 12/14/23 100.000 0.000 3.4000 18.54 0.096041 0.097674 33.24 UBS AG 90279FY96 02/15/23 08/15/24 100.000 VARIES 5.0707 0.008667 0.008389 0.008611 2.69 1.91 UBS AG 90279WJH8 11/03/23 11/05/26 100.000 0.000 5.8500 0.162500 0.162553 0.167307 0.172201 9.43 59.92 UBS AG 90279WKZ6 10/23/23 10/23/25 100.000 0.000 5.5100 0.153056 0.157272 0.161605 10.41 56.44 UBS AG 90279WKY9 10/24/23 02/24/25 100.000 0.000 5.9800 0.166111 0.169422 0.174488 11.13 61.46 UBS AG 90261XDU3 07/20/07 07/20/27 100.000 VARIES 5.7801 696.72 0.120754 0.124244 0.127835 0.131529 0.135330 45.24 47.89 UBS AG 90279GGB9 04/28/23 04/28/26 100.000 VARIES 3.1300 0.145833 0.145833 0.012944 0.049056 35.44 21.91 UBS AG 90279GP29 08/09/23 09/09/24 100.000 VARIES 5.1600 0.143310 0.146278 0.150000 20.35 36.53 UBS AG 90279FDZ1 05/25/22 11/24/23 100.000 0.000 2.5700 15.45 0.072301 0.073230 23.52 UBS AG 90279FEQ0 05/27/22 11/29/23 100.000 0.000 2.4400 14.53 0.068614 0.069451 22.66 UBS AG 90279F4K4 02/28/23 03/05/24 100.000 0.000 5.7400 0.159444 0.159622 0.164204 48.90 10.51 UBS AG 90279FGH8 06/15/22 12/15/23 100.000 0.000 3.4000 18.54 0.096050 0.097683 33.34 UBS AG 90279GJA8 05/22/23 06/21/24 100.000 0.000 3.8300 0.106389 0.106717 0.108761 23.38 18.49 UBS AG 90279WAQ7 09/07/23 09/07/28 105.450 0.000 5.3200 0.155832 0.159977 0.164232 17.76 57.80 UBS AG 90279GEG0 04/26/23 10/24/24 100.000 0.000 5.1600 0.143333 0.146990 0.150783 35.36 43.75 UBS AG 90279FBV2 05/18/22 05/16/24 100.000 0.000 2.6700 16.58 0.075146 0.076149 0.077166 27.32 10.42 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 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ UBS AG London Branch 90279DZA7 02/24/22 02/22/24 100.000 0.000 1.4007 11.98 0.039178 0.039452 0.039728 14.22 2.03 UBS AG London Branch 90279DE77 02/28/22 09/04/24 100.000 0.000 1.1977 10.11 0.033477 0.033677 0.033879 0.034082 12.13 8.27 UBS AG London Branch 90290V846 03/25/22 09/26/24 100.000 0.000 2.1890 16.85 0.061474 0.062147 0.062827 0.063515 22.38 16.77 UBS AG London Branch 90279FBA8 05/05/22 11/03/23 100.000 0.000 2.6625 17.51 0.074933 0.075930 22.81 UBS AG London Branch 90279FAR2 05/12/22 05/14/24 100.000 0.000 2.7119 17.30 0.076363 0.077399 0.078448 27.78 10.43 UBS AG London 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& Company 94986RX30 10/18/16 10/18/26 100.000 VARIES 2.2447 20.52 0.009235 0.009339 0.009444 0.009550 0.009657 3.36 3.43 Wells Fargo & Company 94986RVZ1 02/27/15 02/27/25 100.000 VARIES 2.1821 29.31 0.010724 0.010841 0.010959 0.011079 0.011200 3.91 4.00 Wells Fargo & Company 94986RF71 02/29/16 03/01/23 100.000 VARIES 1.9956 23.57 0.009969 0.60 Wells Fargo & Company 94986RZB0 10/05/15 10/05/27 100.000 VARIES 2.2452 28.00 0.010880 0.011002 0.011126 0.011251 0.011377 3.96 4.05 Wells Fargo & Company 94986RZN4 10/26/15 10/26/27 100.000 VARIES 2.3226 163.35 0.063260 0.063379 0.063500 0.063622 0.063745 22.81 22.90 Wells Fargo & Company 94986RZL8 10/09/15 10/09/27 100.000 VARIES 2.3811 32.03 0.012474 0.012623 0.012773 0.012925 0.013079 4.54 4.65 Wells Fargo & Company 94986RZJ3 10/09/15 10/09/25 100.000 VARIES 2.2547 24.98 0.009845 0.009955 0.010068 0.010181 0.010296 3.58 3.66 Wells Fargo & Company 94986RZ46 10/20/16 10/20/26 100.000 VARIES 2.2262 28.24 0.012718 0.012859 0.013003 0.013147 0.013294 4.62 4.73 Wells Fargo & Company 94986RYP0 09/03/15 09/03/27 100.000 VARIES 2.4323 23.51 0.009031 0.009141 0.009252 0.009364 0.009478 3.30 3.38 Wells Fargo & Company 94986RZ79 11/04/16 11/06/23 100.000 0.250 2.8285 187.56 0.091729 0.092928 28.19 Wells Fargo & Company 95001BAQ7 12/07/18 12/05/23 100.000 0.000 3.0505 131.04 0.095629 0.097088 32.20 Wells Fargo & Company 94986RXQ9 06/30/15 06/30/27 100.000 VARIES 2.5017 27.51 0.010242 0.010370 0.010500 0.010631 0.010764 3.71 3.80 Wells Fargo & Company 94986RXZ9 07/29/15 07/29/27 100.000 VARIES 2.4666 24.69 0.009362 0.009478 0.009595 0.009713 0.009833 3.43 3.51 Wells Fargo Finance LLC 95001H4M0 05/02/19 05/02/24 100.000 0.000 2.9409 112.93 0.090482 0.091812 0.093162 32.97 11.27 Wells Fargo Finance LLC 95001H6S5 08/07/19 02/06/23 100.000 0.000 1.8604 64.99 0.054627 1.91 Wells Fargo Finance LLC 95001H6T3 08/07/19 02/06/25 100.000 0.000 1.8602 64.99 0.054622 0.055131 0.055643 0.056161 0.056683 19.90 20.28 Wells Fargo Finance LLC 95001H6P1 07/02/19 07/03/23 100.000 0.000 2.3900 86.64 0.071299 0.072151 13.13 Wells Fargo Finance LLC 95001HC41 10/31/19 11/01/24 100.000 0.250 2.3100 75.28 0.068253 0.068961 0.069677 0.070402 24.78 21.03 Wells Fargo Finance LLC 95001HB26 11/07/19 05/07/24 100.000 0.000 1.5803 50.84 0.046020 0.046383 0.046750 16.67 5.89 Wells Fargo Finance LLC 95001H3A7 02/11/19 09/28/23 96.600 0.000 3.5621 142.25 0.108658 0.110594 29.36 SECTION I-B OID per Daily OID Per $1,000 $1,000 of of Maturity Value Maturity Issue Price Annual for Each Accrual Period Value for (Percent of Stated TOTAL --------------------------------------------------- Calendar Year Issue Maturity Principal Interest Yield OID to 2023 1st 2023 2nd 2023 3rd 2024 2nd 2024 3rd --------------- Name of Issuer CUSIP No. Date Date Amount) Rate 1/1/23 Period Period 2024 1st Period Period 2023 2024 ______________ _________ ________ ________ _______ _____ _______ ________ ________ ________ ________ ________ ________ ______ ______ Will CNTY SD #365, IL 969078QM9 03/17/09 11/01/27 23.731 0.000 7.8744 451.27 0.148663 0.154516 0.160600 0.166923 0.173495 55.29 59.73 Will CNTY SD #365, IL 969078QN7 03/17/09 11/01/28 21.864 0.000 7.8993 417.87 0.137851 0.143295 0.148955 0.154838 0.160954 51.27 55.40 Will County SD #122, IL 968852WM1 04/02/09 10/01/28 24.364 0.000 7.3751 415.86 0.132662 0.137554 0.142626 0.147885 0.153339 49.54 53.26 Will County, IL 968852TP8 03/15/07 10/01/26 32.402 0.000 5.8498 481.62 0.129026 0.132800 0.136684 0.140682 0.144797 47.82 50.66 Will County, IL 968852TN3 03/15/07 10/01/25 34.635 0.000 5.8000 508.24 0.135716 0.139652 0.143702 0.147869 0.152157 50.28 53.24 XENIA OHIO CMNTY CITY SC 984071CD0 11/02/20 12/01/31 76.938 0.000 2.3800 40.43 0.053432 0.054067 0.054711 0.055362 0.056021 19.39 19.85 XENIA OHIO CMNTY CITY SC 984071CA6 11/02/20 12/01/28 84.602 0.000 2.0800 38.75 0.051031 0.051562 0.052098 0.052640 0.053187 18.50 18.89 XENIA OHIO CMNTY CITY SC 984071CB4 11/02/20 12/01/29 82.128 0.000 2.1800 39.46 0.052028 0.052595 0.053168 0.053748 0.054334 18.87 19.28 XENIA OHIO CMNTY CITY SC 984071CC2 11/02/20 12/01/30 79.569 0.000 2.2800 40.02 0.052828 0.053430 0.054040 0.054656 0.055279 19.16 19.60 YPF SA 984245AU4 02/12/21 02/12/26 84.050 VARIES 11.5342 116.45 0.187157 0.181852 0.152748 0.123198 0.093176 61.64 41.39 YPF SA 984245AV2 02/12/21 06/30/29 62.500 VARIES 15.6363 153.05 0.268380 0.275247 0.282650 0.290631 0.299237 97.87 103.21 YPF SA 984245AW0 02/12/21 09/30/33 51.824 VARIES 14.1442 121.76 0.202542 0.211464 0.215614 0.220058 0.224816 75.71 79.26 YPF SA P989MJBR1 02/12/21 02/12/26 84.050 VARIES 11.5342 116.45 0.187157 0.181852 0.152748 0.123198 0.093176 61.64 41.39 YPF SA P989MJBS9 02/12/21 06/30/29 62.500 VARIES 15.6363 153.05 0.268380 0.275247 0.282650 0.290631 0.299237 97.87 103.21 YPF SA P989MJBT7 02/12/21 09/30/33 51.824 VARIES 14.1442 121.76 0.202542 0.211464 0.215614 0.220058 0.224816 75.71 79.26 YSLETA TEX INDPT SCH DIS 98816PDW9 07/22/20 08/15/32 74.040 0.000 2.5069 46.45 0.054280 0.054960 0.055649 0.056347 0.057053 19.85 20.35 YSLETA TEX INDPT SCH DIS 98816PDX7 07/22/20 08/15/33 70.834 0.000 2.6570 47.17 0.055206 0.055940 0.056683 0.057436 0.058199 20.21 20.75 YSLETA TEX INDPT SCH DIS 98816PDS8 07/22/20 08/15/28 85.466 0.000 1.9570 41.64 0.048367 0.048840 0.049318 0.049801 0.050288 17.63 17.97 YSLETA TEX INDPT SCH DIS 98816PDT6 07/22/20 08/15/29 83.069 0.000 2.0570 42.58 0.049513 0.050022 0.050537 0.051056 0.051582 18.06 18.43 YSLETA TEX INDPT SCH DIS 98816PDU3 07/22/20 08/15/30 80.420 0.000 2.1769 43.67 0.050853 0.051407 0.051966 0.052532 0.053104 18.56 18.96 YSLETA TEX INDPT SCH DIS 98816PDV1 07/22/20 08/15/31 76.994 0.000 2.3769 45.74 0.053377 0.054011 0.054653 0.055303 0.055960 19.50 19.97 YSLETA TEX INDPT SCH DIS 98816PDP4 07/22/20 08/15/25 93.296 0.000 1.3750 31.75 0.036656 0.036908 0.037162 0.037417 0.037675 13.31 13.49 YSLETA TEX INDPT SCH DIS 98816PDQ2 07/22/20 08/15/26 90.614 0.000 1.6319 36.69 0.042478 0.042825 0.043174 0.043527 0.043882 15.45 15.70 YSLETA TEX INDPT SCH DIS 98816PDR0 07/22/20 08/15/27 88.221 0.000 1.7820 39.07 0.045298 0.045702 0.046109 0.046520 0.046934 16.49 16.79 YSLETA TEX INDPT SCH DIS 98816PDM1 07/22/20 08/15/23 96.824 0.000 1.0561 25.23 0.029030 0.029183 6.53 YSLETA TEX INDPT SCH DIS 98816PDN9 07/22/20 08/15/24 95.004 0.000 1.2651 29.71 0.034266 0.034482 0.034700 0.034920 12.43 7.81 York County, PA 986812MK8 12/28/95 02/01/24 13.562 0.000 7.2397 790.31 0.180754 0.187297 0.194077 68.25 5.82 York County, PA 986812MJ1 12/28/95 02/01/23 14.561 0.000 7.2398 848.57 0.194081 5.82 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2023 1st 2023 2nd 2023 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/23 Period Period Period 2023 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810FD5 04/15/98 04/15/28 100.000 3.625 842.54 0.115192 0.214317 0.109231 59.72 U.S. Treasury 912810FH6 04/15/99 04/15/29 100.000 3.875 812.80 0.113269 0.210929 0.107308 58.75 U.S. Treasury 912810FQ6 10/15/01 04/15/32 100.000 3.375 678.94 0.105000 0.195301 0.099487 54.42 U.S. Treasury 912810FR4 07/15/04 01/15/25 100.000 2.375 580.99 -0.051429 0.170939 0.123647 51.24 U.S. Treasury 912810FS2 01/15/06 01/15/26 100.000 2.000 501.49 -0.048571 0.162320 0.117471 48.67 U.S. Treasury 912810PS1 01/15/07 01/15/27 100.000 2.375 477.76 -0.047857 0.159779 0.115588 47.90 U.S. Treasury 912810PV4 01/15/08 01/15/28 100.000 1.750 422.52 -0.046429 0.153757 0.111294 46.10 U.S. Treasury 912810PZ5 01/15/09 01/15/29 100.000 2.500 388.04 -0.045000 0.150055 0.108588 44.99 U.S. Treasury 912810QF8 02/15/10 02/15/40 100.000 2.125 378.79 -0.077778 0.187017 0.103165 44.69 U.S. Treasury 912810QP6 02/15/11 02/15/41 100.000 2.125 360.84 -0.076889 0.184586 0.101871 44.11 U.S. Treasury 912810QV3 02/15/12 02/15/42 100.000 0.750 318.87 -0.074667 0.178895 0.098705 42.74 U.S. Treasury 912828UH1 01/15/13 01/15/23 100.000 0.125 291.09 -0.042143 -0.59 U.S. Treasury 912810RA8 02/15/13 02/15/43 100.000 0.625 296.21 -0.073333 0.175801 0.097050 42.01 U.S. Treasury 912828VM9 07/15/13 07/15/23 100.000 0.375 280.57 -0.041429 0.138453 24.48 U.S. Treasury 912828B25 01/15/14 01/15/24 100.000 0.625 277.21 -0.041429 0.138066 0.099941 41.40 U.S. Treasury 912810RF7 02/15/14 02/15/44 100.000 1.375 278.70 -0.072222 0.173425 0.095683 41.44 U.S. Treasury 912828WU0 07/15/14 07/15/24 100.000 0.125 255.07 -0.040714 0.135691 0.098176 40.68 U.S. Treasury 912828H45 01/15/15 01/15/25 100.000 0.250 258.21 -0.040714 0.136022 0.098412 40.78 U.S. Treasury 912810RL4 02/15/15 02/15/45 100.000 0.750 265.54 -0.071556 0.171657 0.094748 41.02 U.S. Treasury 912828XL9 07/15/15 07/15/25 100.000 0.375 256.67 -0.040714 0.135856 0.098294 40.73 U.S. Treasury 912828N71 01/15/16 01/15/26 100.000 0.625 254.20 -0.040714 0.135580 0.098118 40.65 U.S. Treasury 912810RR1 02/15/16 02/15/46 100.000 1.000 257.73 -0.071111 0.170608 0.094101 40.76 U.S. Treasury 912828S50 07/15/16 07/15/26 100.000 0.125 243.26 -0.040000 0.134420 0.097235 40.30 U.S. Treasury 912828V49 01/15/17 01/15/27 100.000 0.375 233.70 -0.040000 0.133370 0.096529 39.99 U.S. Treasury 912810RW0 02/15/17 02/15/47 100.000 0.875 234.55 -0.069778 0.167459 0.092446 40.02 U.S. Treasury 9128282L3 07/15/17 07/15/27 100.000 0.375 218.27 -0.039286 0.131713 0.095294 39.49 U.S. Treasury 9128283R9 01/15/18 01/15/28 100.000 0.500 208.16 -0.039286 0.130608 0.094529 39.16 U.S. Treasury 912810SB5 02/15/18 02/15/48 100.000 1.000 208.50 -0.068222 0.163923 0.090432 39.17 U.S. Treasury 9128284H0 04/15/18 04/15/23 100.000 0.625 199.77 0.075000 7.80 U.S. Treasury 912828Y38 07/15/18 07/15/28 100.000 0.750 187.22 -0.038571 0.128343 0.092882 38.48 U.S. Treasury 9128285W6 01/15/19 01/15/29 100.000 0.875 180.23 -0.037857 0.127569 0.092353 38.26 U.S. Treasury 912810SG4 02/15/19 02/15/49 100.000 1.000 184.30 -0.066889 0.160608 0.088705 38.39 U.S. Treasury 9128286N5 04/15/19 04/15/24 100.000 0.500 181.61 0.073846 0.137486 0.070000 38.30 U.S. Treasury 9128287D6 07/15/19 07/15/29 100.000 0.250 165.05 -0.037857 0.125967 0.091118 37.76 U.S. Treasury 912828YL8 10/15/19 10/15/24 100.000 0.125 161.55 0.072596 0.135137 0.068718 37.64 U.S. Treasury 912828Z37 01/15/20 01/15/30 100.000 0.125 158.30 -0.037857 0.125249 0.090588 37.54 SECTION I-C Inflation Indexed Debt Instruments Inflation-Adj Stated Issue Maturity Principal on Interest Total OID 2023 1st 2023 2nd 2023 3rd Calendar Year Name of Issuer CUSIP No. Date Date Issue Date Rate to 1/1/23 Period Period Period 2023 ______________ _________ ________ ________ ____________ ________ _________ ________ ________ ________ _____________ U.S. Treasury 912810SM1 02/15/20 02/15/50 100.000 0.250 159.15 -0.065556 0.157238 0.086763 37.57 U.S. Treasury 912828ZJ2 04/15/20 04/15/25 100.000 0.125 153.74 0.072115 0.134208 0.068333 37.39 U.S. Treasury 912828ZZ6 07/15/20 07/15/30 100.000 0.125 162.33 -0.037857 0.125691 0.090941 37.68 U.S. Treasury 91282CAQ4 10/15/20 10/15/25 100.000 0.125 148.54 0.071827 0.133607 0.068077 37.23 U.S. Treasury 91282CBF7 01/15/21 01/15/31 100.000 0.125 144.81 -0.037143 0.123757 0.089529 37.10 U.S. Treasury 912810SV1 02/15/21 02/15/51 100.000 0.125 144.65 -0.064667 0.155249 0.085683 37.10 U.S. Treasury 91282CCA7 04/15/21 04/15/26 100.000 0.125 136.36 0.071058 0.132240 0.067308 36.84 U.S. Treasury 91282CCM1 07/15/21 07/15/31 100.000 0.125 111.90 -0.036429 0.120221 0.087000 36.04 U.S. Treasury 91282CDC2 10/15/21 10/15/26 100.000 0.125 90.59 0.068173 0.126885 0.064615 35.35 U.S. Treasury 91282CDX6 01/15/22 01/15/32 100.000 0.125 75.07 -0.035000 0.116243 0.084059 34.84 U.S. Treasury 912810TE8 02/15/22 02/15/52 100.000 0.125 70.54 -0.060444 0.145193 0.080144 34.70 U.S. Treasury 91282CEJ6 04/15/22 04/15/27 100.000 0.125 55.48 0.066058 0.122787 0.062436 34.21 U.S. Treasury 91282CEZ0 07/15/22 07/15/32 100.000 0.625 25.69 -0.033571 0.110884 0.080235 33.24 U.S. Treasury 91282CFR7 10/15/22 10/15/27 100.000 1.625 6.02 0.062885 0.117049 0.059615 32.61 U.S. Treasury 91282CGK1 01/15/23 01/15/33 100.000 1.125 0.108177 0.078235 33.40 U.S. Treasury 912810TP3 02/15/23 02/15/53 100.000 1.500 0.135967 0.075036 36.47 U.S. Treasury 91282CGW5 04/15/23 04/15/28 100.000 1.250 0.116851 0.058846 23.33 U.S. Treasury 91282CHP9 07/15/23 07/15/33 100.000 1.375 0.076765 11.75 U.S. Treasury 91282CJH5 10/15/23 10/15/28 100.000 2.375 0.057692 2.25 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 2023). Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 01/01/23 03/31/23 10.81 07/01/31 09/30/31 27.97 04/01/23 06/30/23 23.25 10/01/31 12/31/31 27.65 07/01/23 09/30/23 34.76 01/01/32 03/31/32 27.39 10/01/23 12/31/23 45.67 04/01/32 06/30/32 27.08 01/01/24 03/31/24 44.50 07/01/32 09/30/32 26.82 04/01/24 06/30/24 42.98 10/01/32 12/31/32 26.57 07/01/24 09/30/24 41.78 01/01/33 03/31/33 26.32 10/01/24 12/31/24 40.79 04/01/33 06/30/33 26.07 01/01/25 03/31/25 39.93 07/01/33 09/30/33 25.88 04/01/25 06/30/25 38.99 10/01/33 12/31/33 25.63 07/01/25 09/30/25 38.25 01/01/34 03/31/34 25.44 10/01/25 12/31/25 37.52 04/01/34 06/30/34 25.24 01/01/26 03/31/26 36.81 07/01/34 09/30/34 25.04 04/01/26 06/30/26 36.12 10/01/34 12/31/34 24.85 07/01/26 09/30/26 35.52 01/01/35 03/31/35 24.65 10/01/26 12/31/26 34.93 04/01/35 06/30/35 24.46 01/01/27 03/31/27 34.36 07/01/35 09/30/35 24.26 04/01/27 06/30/27 33.80 10/01/35 12/31/35 24.06 07/01/27 09/30/27 33.40 01/01/36 03/31/36 23.90 10/01/27 12/31/27 32.93 04/01/36 06/30/36 23.70 01/01/28 03/31/28 32.54 07/01/36 09/30/36 23.51 04/01/28 06/30/28 32.23 10/01/36 12/31/36 23.31 07/01/28 09/30/28 31.92 01/01/37 03/31/37 23.11 10/01/28 12/31/28 31.55 04/01/37 06/30/37 22.91 01/01/29 03/31/29 31.24 07/01/37 09/30/37 22.71 04/01/29 06/30/29 30.94 10/01/37 12/31/37 22.51 07/01/29 09/30/29 30.65 01/01/38 03/31/38 22.32 10/01/29 12/31/29 30.29 04/01/38 06/30/38 22.12 01/01/30 03/31/30 30.00 07/01/38 09/30/38 21.92 04/01/30 06/30/30 29.65 10/01/38 12/31/38 21.72 07/01/30 09/30/30 29.30 01/01/39 03/31/39 21.50 10/01/30 12/31/30 28.96 04/01/39 06/30/39 21.31 01/01/31 03/31/31 28.63 07/01/39 09/30/39 21.11 04/01/31 06/30/31 28.30 10/01/39 12/31/39 20.89 01/01/40 03/31/40 20.70 04/01/48 06/30/48 14.72 04/01/40 06/30/40 20.48 07/01/48 09/30/48 14.57 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 07/01/40 09/30/40 20.29 10/01/48 12/31/48 14.43 10/01/40 12/31/40 20.08 01/01/49 03/31/49 14.28 01/01/41 03/31/41 19.87 04/01/49 06/30/49 14.14 04/01/41 06/30/41 19.67 07/01/49 09/30/49 14.01 07/01/41 09/30/41 19.48 10/01/49 12/31/49 13.87 10/01/41 12/31/41 19.28 01/01/50 03/31/50 13.73 01/01/42 03/31/42 19.08 04/01/50 06/30/50 13.60 04/01/42 06/30/42 18.88 07/01/50 09/30/50 13.47 07/01/42 09/30/42 18.68 10/01/50 12/31/50 13.34 10/01/42 12/31/42 18.48 01/01/51 03/31/51 13.21 01/01/43 03/31/43 18.28 04/01/51 06/30/51 13.08 04/01/43 06/30/43 18.10 07/01/51 09/30/51 12.96 07/01/43 09/30/43 17.91 10/01/51 12/31/51 12.84 10/01/43 12/31/43 17.71 01/01/52 03/31/52 12.72 01/01/44 03/31/44 17.53 04/01/52 06/30/52 12.60 04/01/44 06/30/44 17.35 07/01/52 09/30/52 12.48 07/01/44 09/30/44 17.16 10/01/52 12/31/52 12.36 10/01/44 12/31/44 16.99 01/01/53 03/31/53 12.24 01/01/45 03/31/45 16.81 04/01/53 06/30/53 12.13 04/01/45 06/30/45 16.64 07/01/53 09/30/53 12.01 07/01/45 09/30/45 16.47 10/01/53 12/31/53 11.89 10/01/45 12/31/45 16.29 01/01/54 03/31/54 11.78 01/01/46 03/31/46 16.13 04/01/54 06/30/54 11.66 04/01/46 06/30/46 15.96 07/01/54 09/30/54 11.55 07/01/46 09/30/46 15.80 10/01/54 12/31/54 11.44 10/01/46 12/31/46 15.64 01/01/55 03/31/55 11.33 01/01/47 03/31/47 15.48 04/01/55 06/30/55 11.22 04/01/47 06/30/47 15.32 07/01/55 09/30/55 11.11 07/01/47 09/30/47 15.17 10/01/55 12/31/55 11.01 10/01/47 12/31/47 15.02 01/01/56 03/31/56 10.90 01/01/48 03/31/48 14.87 04/01/56 06/30/56 10.79 07/01/56 09/30/56 10.69 04/01/60 06/30/60 9.24 10/01/56 12/31/56 10.59 07/01/60 09/30/60 9.15 01/01/57 03/31/57 10.48 10/01/60 12/31/60 9.06 04/01/57 06/30/57 10.38 01/01/61 03/31/61 8.97 07/01/57 09/30/57 10.28 04/01/61 06/30/61 8.89 10/01/57 12/31/57 10.18 07/01/61 09/30/61 8.80 01/01/58 03/31/58 10.09 10/01/61 12/31/61 8.72 04/01/58 06/30/58 9.99 01/01/62 03/31/62 8.63 07/01/58 09/30/58 9.89 04/01/62 06/30/62 8.55 10/01/58 12/31/58 9.80 07/01/62 09/30/62 8.47 01/01/59 03/31/59 9.70 10/01/62 12/31/62 8.38 Section II (continued) Strips Strips Maturing OID Maturing OID From Through per $1000 From Through per $1000 -------- -------- --------- -------- -------- --------- 04/01/59 06/30/59 9.61 01/01/63 03/31/63 8.30 07/01/59 09/30/59 9.51 04/01/63 06/30/63 8.22 10/01/59 12/31/59 9.42 07/01/63 09/30/63 8.14 01/01/60 03/31/60 9.33 10/01/63 12/31/63 8.06 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 2023 - December 2024 Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 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 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 912797LM7 04/17/23 03/31/23 99.778 2.22 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 Section III-A (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 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 912797MF1 06/05/23 06/02/23 99.949 0.51 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 912797FQ5 06/27/23 02/28/23 98.403 15.97 912796ZR3 06/29/23 12/29/22 97.674 23.26 912797FR3 07/05/23 03/07/23 98.372 16.28 912796ZS1 07/06/23 01/05/23 97.657 23.43 912797FX0 07/11/23 03/14/23 98.332 16.68 912796XQ7 07/13/23 07/14/22 97.007 29.93 912797FY8 07/18/23 03/21/23 98.430 15.70 912796ZZ5 07/20/23 01/19/23 97.631 23.69 912797FZ5 07/25/23 03/28/23 98.412 15.88 912796Y29 07/27/23 01/26/23 97.631 23.69 912797GA9 08/01/23 04/04/23 98.420 15.80 912796Y37 08/03/23 02/02/23 97.634 23.66 912797GF8 08/08/23 04/11/23 98.430 15.70 912796XY0 08/10/23 08/11/22 96.764 32.36 912797GG6 08/15/23 04/18/23 98.354 16.46 912796Z36 08/17/23 02/16/23 97.553 24.47 912797GH4 08/22/23 04/25/23 98.327 16.73 912796Z44 08/24/23 02/23/23 97.515 24.85 912797GJ0 08/29/23 05/02/23 98.355 16.45 912796Z51 08/31/23 03/02/23 97.503 24.97 912797GR2 09/05/23 05/09/23 98.354 16.46 912796YH6 09/07/23 09/08/22 96.502 34.98 912797GS0 09/12/23 05/16/23 98.347 16.53 912796CQ0 09/14/23 03/16/23 97.624 23.76 912797GT8 09/19/23 05/23/23 98.314 16.86 912796CR8 09/21/23 03/23/23 97.664 23.36 Section III-A (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912797GU5 09/26/23 05/30/23 98.261 17.39 912796CS6 09/28/23 03/30/23 97.649 23.51 912797GV3 10/03/23 06/06/23 98.240 17.60 912796YJ2 10/05/23 10/06/22 96.001 39.99 912797HA8 10/10/23 06/13/23 98.281 17.19 912797FA0 10/12/23 04/13/23 97.576 24.24 912797HB6 10/17/23 06/20/23 98.298 17.02 912797FB8 10/19/23 04/20/23 97.538 24.62 912797HC4 10/24/23 06/27/23 98.275 17.25 912797FC6 10/26/23 04/27/23 97.553 24.47 912797HD2 10/31/23 07/05/23 98.287 17.13 912796YT0 11/02/23 11/03/22 95.445 45.55 912797HJ9 11/07/23 07/11/23 98.265 17.35 912797FJ1 11/09/23 05/11/23 97.528 24.72 912797HK6 11/14/23 07/18/23 98.261 17.39 912797FK8 11/16/23 05/18/23 97.482 25.18 912797HL4 11/21/23 07/25/23 98.258 17.42 912797FL6 11/24/23 05/25/23 97.372 26.28 912797HM2 11/28/23 08/01/23 98.248 17.52 912796ZD4 11/30/23 12/01/22 95.394 46.06 912797HN0 12/05/23 08/08/23 98.248 17.52 912797FT9 12/07/23 06/08/23 97.346 26.54 912797HU4 12/12/23 08/15/23 98.245 17.55 912797FU6 12/14/23 06/15/23 97.394 26.06 912797HV2 12/19/23 08/22/23 98.246 17.54 912797FV4 12/21/23 06/22/23 97.386 26.14 912797HW0 12/26/23 08/29/23 98.243 17.57 912796ZN2 12/28/23 12/29/22 95.435 45.65 912797HX8 01/02/24 09/05/23 98.238 17.62 912797FW2 01/04/24 07/06/23 97.341 26.59 912797HY6 01/09/24 09/12/23 98.236 17.64 912797GC5 01/11/24 07/13/23 97.336 26.64 912797HZ3 01/16/24 09/19/23 98.238 17.62 912797GD3 01/18/24 07/20/23 97.346 26.54 912797JA6 01/23/24 09/26/23 98.235 17.65 912796ZY8 01/25/24 01/26/23 95.480 45.20 912797JB4 01/30/24 10/03/23 98.233 17.67 912797GE1 02/01/24 08/03/23 97.336 26.64 912797JC2 02/06/24 10/10/23 98.232 17.68 912797GM3 02/08/24 08/10/23 97.338 26.62 912797JD0 02/13/24 10/17/23 98.230 17.70 912797GN1 02/15/24 08/17/23 97.326 26.74 Section III-A (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 912797JE8 02/20/24 10/24/23 98.230 17.70 912796Z28 02/22/24 02/23/23 95.152 48.48 912797JF5 02/27/24 10/31/23 98.236 17.64 912797GP6 02/29/24 08/31/23 97.295 27.05 912797JG3 03/05/24 11/07/23 98.235 17.65 912797GQ4 03/07/24 09/07/23 97.321 26.79 912797JH1 03/12/24 11/14/23 98.253 17.47 912797GX9 03/14/24 09/14/23 97.321 26.79 912797JJ7 03/19/24 11/21/23 98.263 17.37 912797LL9 03/21/24 03/23/23 95.561 44.39 912797GY7 03/28/24 09/28/23 97.313 26.87 912797GZ4 04/04/24 10/05/23 97.300 27.00 912797HF7 04/11/24 10/12/23 97.310 26.90 912796CX5 04/18/24 04/20/23 95.420 45.80 912797HG5 04/25/24 10/26/23 97.308 26.92 912797HH3 05/02/24 11/02/23 97.310 26.90 912797HQ3 05/09/24 11/09/23 97.341 26.59 912797FH5 05/16/24 05/18/23 95.303 46.97 912797HR1 05/23/24 11/24/23 97.370 26.30 Section III-B FEDERAL HOME LOAN BANKS Short-Term Obligations Issued at a Discount and Maturing in 2023 Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384AC3 01/03/23 01/03/22 99.681 3.19 313384AD1 01/04/23 03/03/22 99.463 5.37 313384AE9 01/05/23 03/03/22 99.461 5.39 313384AF6 01/06/23 03/08/22 99.384 6.16 313384AJ8 01/09/23 03/07/22 99.444 5.56 313384AK5 01/10/23 03/11/22 99.153 8.47 313384AL3 01/11/23 03/11/22 99.150 8.50 313384AM1 01/12/23 03/16/22 99.136 8.64 313384AN9 01/13/23 03/16/22 99.133 8.67 313384AS8 01/17/23 04/08/22 98.848 11.52 313384AT6 01/18/23 04/08/22 99.010 9.90 313384AU3 01/19/23 01/19/22 99.397 6.03 313384AV1 01/20/23 01/20/22 99.397 6.03 313384AY5 01/23/23 05/04/22 98.805 11.95 313384AZ2 01/24/23 02/25/22 99.177 8.23 313384BA6 01/25/23 04/13/22 98.836 11.64 313384BB4 01/26/23 05/10/22 98.804 11.96 313384BC2 01/27/23 03/25/22 98.913 10.87 313384BF5 01/30/23 04/08/22 98.969 10.31 313384BG3 01/31/23 02/08/22 99.256 7.44 313384BH1 02/01/23 02/25/22 99.223 7.77 313384BJ7 02/02/23 04/05/22 98.721 12.79 313384BK4 02/03/23 04/05/22 98.716 12.84 313384BN8 02/06/23 04/05/22 98.704 12.96 313384BP3 02/07/23 04/05/22 98.700 13.00 313384BQ1 02/08/23 04/08/22 98.725 12.75 313384BR9 02/09/23 08/24/22 98.608 13.92 313384BS7 02/10/23 04/08/22 98.717 12.83 313384BV0 02/13/23 04/01/22 98.710 12.90 313384BW8 02/14/23 08/29/22 98.535 14.65 313384BX6 02/15/23 04/05/22 98.701 12.99 313384BY4 02/16/23 04/08/22 98.657 13.43 313384BZ1 02/17/23 03/01/22 99.167 8.33 313384CD9 02/21/23 04/08/22 98.635 13.65 313384CE7 02/22/23 04/07/22 98.618 13.82 313384CF4 02/23/23 06/13/22 98.413 15.87 Section III-B (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384CG2 02/24/23 02/28/22 99.007 9.93 313384CK3 02/27/23 04/08/22 98.610 13.90 313384CL1 02/28/23 04/06/22 98.560 14.40 313384CM9 03/01/23 03/17/22 98.837 11.63 313384CN7 03/02/23 03/10/22 98.899 11.01 313384CP2 03/03/23 05/25/22 98.606 13.94 313384CS6 03/06/23 03/08/22 98.891 11.09 313384CT4 03/07/23 03/08/22 98.888 11.12 313384CU1 03/08/23 06/24/22 98.208 17.92 313384CV9 03/09/23 09/13/22 98.215 17.85 313384CW7 03/10/23 04/19/22 98.474 15.26 313384CZ0 03/13/23 04/21/22 98.442 15.58 313384DA4 03/14/23 04/21/22 98.438 15.62 313384DB2 03/15/23 05/26/22 98.576 14.24 313384DC0 03/16/23 04/21/22 98.428 15.72 313384DD8 03/17/23 03/18/22 98.787 12.13 313384DG1 03/20/23 03/21/22 98.665 13.35 313384DH9 03/21/23 05/24/22 98.411 15.89 313384DJ5 03/22/23 05/17/22 98.386 16.14 313384DK2 03/23/23 05/19/22 98.417 15.83 313384DL0 03/24/23 05/25/22 98.485 15.15 313384DP1 03/27/23 06/10/22 98.337 16.63 313384DQ9 03/28/23 06/07/22 98.399 16.01 313384DR7 03/29/23 05/04/22 98.122 18.78 313384DS5 03/30/23 05/18/22 98.350 16.50 313384DT3 03/31/23 04/14/22 98.479 15.21 313384DW6 04/03/23 04/11/22 98.240 17.60 313384DX4 04/04/23 07/22/22 97.884 21.16 313384DY2 04/05/23 09/08/22 98.075 19.25 313384DZ9 04/06/23 04/28/22 98.190 18.10 313384ED7 04/10/23 07/11/22 97.888 21.12 313384EE5 04/11/23 04/11/22 98.216 17.84 313384EF2 04/12/23 04/12/22 98.246 17.54 313384EG0 04/13/23 04/13/22 98.276 17.24 313384EH8 04/14/23 04/14/22 98.297 17.03 313384EL9 04/17/23 04/22/22 97.980 20.20 313384EM7 04/18/23 04/22/22 97.974 20.26 313384EN5 04/19/23 05/12/22 98.176 18.24 313384EP0 04/20/23 05/26/22 98.264 17.36 313384EQ8 04/21/23 04/21/22 98.074 19.26 313384ET2 04/24/23 04/25/22 97.978 20.22 313384EU9 04/25/23 04/25/22 97.972 20.28 Section III-B (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384EV7 04/26/23 05/25/22 98.225 17.75 313384EW5 04/27/23 04/27/22 98.053 19.47 313384EX3 04/28/23 05/26/22 98.185 18.15 313384FA2 05/01/23 05/06/22 97.970 20.30 313384FB0 05/02/23 07/25/22 97.682 23.18 313384FC8 05/03/23 06/13/22 98.029 19.71 313384FD6 05/04/23 06/10/22 97.959 20.41 313384FE4 05/05/23 05/05/22 97.840 21.60 313384FH7 05/08/23 05/17/22 98.022 19.78 313384FJ3 05/09/23 05/09/22 97.891 21.09 313384FK0 05/10/23 05/13/22 97.989 20.11 313384FL8 05/11/23 05/11/22 97.891 21.09 313384FM6 05/12/23 05/13/22 97.978 20.22 313384FQ7 05/15/23 05/20/22 97.860 21.40 313384FR5 05/16/23 08/12/22 97.684 23.16 313384FS3 05/17/23 05/19/22 97.872 21.28 313384FT1 05/18/23 05/18/22 97.810 21.90 313384FU8 05/19/23 05/19/22 97.851 21.49 313384FX2 05/22/23 05/23/22 97.816 21.84 313384FY0 05/23/23 05/23/22 97.810 21.90 313384FZ7 05/24/23 05/27/22 97.984 20.16 313384GA1 05/25/23 05/27/22 97.968 20.32 313384GB9 05/26/23 06/28/22 97.496 25.04 313384GF0 05/30/23 08/01/22 97.601 23.99 313384GG8 05/31/23 09/14/22 97.230 27.70 313384GH6 06/01/23 06/01/22 97.906 20.94 313384GJ2 06/02/23 09/29/22 97.260 27.40 313384GM5 06/05/23 07/08/22 97.459 25.41 313384GN3 06/06/23 09/08/22 97.422 25.78 313384GP8 06/07/23 06/09/22 97.782 22.18 313384GQ6 06/08/23 07/06/22 97.491 25.09 313384GR4 06/09/23 09/01/22 97.338 26.62 313384GU7 06/12/23 08/12/22 97.450 25.50 313384GV5 06/13/23 06/13/22 97.354 26.46 313384GW3 06/14/23 08/24/22 97.370 26.30 313384GX1 06/15/23 07/13/22 97.323 26.77 313384GY9 06/16/23 06/16/22 96.985 30.15 313384HC6 06/20/23 06/27/22 97.096 29.04 313384HD4 06/21/23 06/29/22 97.124 28.76 313384HE2 06/22/23 06/30/22 97.114 28.86 313384HF9 06/23/23 07/14/22 97.119 28.81 313384HJ1 06/26/23 06/28/22 97.066 29.34 Section III-B (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384HK8 06/27/23 06/30/22 97.074 29.26 313384HL6 06/28/23 06/30/22 97.066 29.34 313384HM4 06/29/23 07/07/22 97.273 27.27 313384HN2 06/30/23 06/30/22 97.050 29.50 313384HR3 07/03/23 07/12/22 97.147 28.53 313384HT9 07/05/23 07/21/22 97.101 28.99 313384HU6 07/06/23 07/25/22 97.141 28.59 313384HV4 07/07/23 09/23/22 96.775 32.25 313384HY8 07/10/23 08/04/22 97.138 28.62 313384HZ5 07/11/23 10/11/22 96.842 31.58 313384JA8 07/12/23 07/21/22 96.944 30.56 313384JB6 07/13/23 07/13/22 96.828 31.72 313384JC4 07/14/23 08/01/22 97.224 27.76 313384JF7 07/17/23 08/11/22 97.091 29.09 313384JG5 07/18/23 10/20/22 96.627 33.73 313384JH3 07/19/23 11/03/22 96.703 32.97 313384JJ9 07/20/23 07/26/22 96.958 30.42 313384JK6 07/21/23 07/26/22 96.950 30.50 313384JN0 07/24/23 09/27/22 96.625 33.75 313384JP5 07/25/23 08/01/22 97.136 28.64 313384JQ3 07/26/23 07/26/22 96.989 30.11 313384JR1 07/27/23 07/29/22 97.056 29.44 313384JS9 07/28/23 08/01/22 97.042 29.58 313384JV2 07/31/23 08/15/22 97.006 29.94 313384JW0 08/01/23 08/04/22 96.953 30.47 313384JX8 08/02/23 08/04/22 96.973 30.27 313384JY6 08/03/23 08/04/22 96.936 30.64 313384JZ3 08/04/23 08/18/22 96.861 31.40 313384KC2 08/07/23 10/06/22 96.522 34.78 313384KD0 08/08/23 08/09/22 96.795 32.05 313384KE8 08/09/23 10/14/22 96.416 35.84 313384KF5 08/10/23 08/11/22 96.886 31.14 313384KG3 08/11/23 08/12/22 96.805 31.95 313384KK4 08/14/23 08/16/22 96.804 31.96 313384KL2 08/15/23 08/31/22 96.752 32.48 313384KM0 08/16/23 08/17/22 96.815 31.85 313384KN8 08/17/23 08/25/22 96.747 32.53 313384KP3 08/18/23 08/19/22 96.764 32.36 313384KS7 08/21/23 08/30/22 96.687 33.13 313384KT5 08/22/23 11/01/22 96.337 36.63 313384KU2 08/23/23 08/25/22 96.693 33.07 313384KV0 08/24/23 08/24/22 96.674 33.26 Section III-B (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384KW8 08/25/23 10/31/22 96.391 36.09 313384KZ1 08/28/23 08/30/22 96.602 33.98 313384LA5 08/29/23 09/01/22 96.541 34.59 313384LB3 08/30/23 09/01/22 96.516 34.84 313384LC1 08/31/23 09/20/22 96.167 38.33 313384LD9 09/01/23 09/02/22 96.481 35.19 313384LH0 09/05/23 09/13/22 96.499 35.01 313384LJ6 09/06/23 09/08/22 96.466 35.34 313384LK3 09/07/23 09/08/22 96.456 35.44 313384LL1 09/08/23 09/12/22 96.470 35.30 313384LP2 09/11/23 09/15/22 96.124 38.76 313384LQ0 09/12/23 09/15/22 96.098 39.02 313384LR8 09/13/23 09/20/22 96.072 39.28 313384LS6 09/14/23 11/09/22 96.009 39.91 313384LT4 09/15/23 09/15/22 96.066 39.34 313384LW7 09/18/23 09/19/22 96.006 39.94 313384LX5 09/19/23 09/26/22 95.893 41.07 313384LY3 09/20/23 09/23/22 95.862 41.38 313384LZ0 09/21/23 09/21/22 95.914 40.86 313384MA4 09/22/23 09/22/22 95.894 41.06 313384MD8 09/25/23 09/26/22 95.824 41.76 313384ME6 09/26/23 09/27/22 95.875 41.25 313384MF3 09/27/23 10/03/22 95.991 40.09 313384MG1 09/28/23 09/28/22 95.843 41.57 313384MH9 09/29/23 10/26/22 95.813 41.87 313384ML0 10/02/23 10/06/22 95.859 41.41 313384MM8 10/03/23 10/12/22 95.817 41.83 313384MN6 10/04/23 10/06/22 95.906 40.94 313384MP1 10/05/23 10/06/22 95.844 41.56 313384MQ9 10/06/23 10/11/22 95.770 42.30 313384MU0 10/10/23 10/11/22 95.723 42.77 313384MV8 10/11/23 10/12/22 95.723 42.77 313384MW6 10/12/23 10/13/22 95.581 44.19 313384MX4 10/13/23 10/14/22 95.592 44.08 313384NA3 10/16/23 10/17/22 95.551 44.49 313384NB1 10/17/23 10/19/22 95.513 44.87 313384NC9 10/18/23 10/27/22 95.560 44.40 313384ND7 10/19/23 10/19/22 95.438 45.62 313384NE5 10/20/23 10/20/22 95.417 45.83 313384NH8 10/23/23 10/26/22 95.475 45.25 313384NJ4 10/24/23 11/03/22 95.385 46.15 313384NK1 10/25/23 10/27/22 95.513 44.87 Section III-B (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384NL9 10/26/23 10/27/22 95.551 44.49 313384NM7 10/27/23 10/28/22 95.551 44.49 313384NQ8 10/30/23 10/31/22 95.450 45.50 313384NR6 10/31/23 11/18/22 95.566 44.34 313384NS4 11/01/23 11/04/22 95.304 46.96 313384NT2 11/02/23 11/03/22 95.268 47.32 313384NU9 11/03/23 11/04/22 95.278 47.22 313384NX3 11/06/23 11/08/22 95.301 46.99 313384NY1 11/07/23 11/08/22 95.248 47.52 313384NZ8 11/08/23 11/08/22 95.239 47.61 313384PA1 11/09/23 11/14/22 95.450 45.50 313384PB9 11/10/23 01/30/23 96.308 36.92 313384PE3 11/13/23 11/16/22 95.475 45.25 313384PF0 11/14/23 11/16/22 95.452 45.48 313384PG8 11/15/23 11/15/22 95.397 46.03 313384PH6 11/16/23 12/08/22 95.579 44.21 313384PJ2 11/17/23 11/18/22 95.319 46.81 313384PM5 11/20/23 11/21/22 95.278 47.22 313384PN3 11/21/23 11/22/22 95.278 47.22 313384PP8 11/22/23 11/22/22 95.265 47.35 313384PR4 11/24/23 11/29/22 95.335 46.65 313384PU7 11/27/23 11/29/22 95.261 47.39 313384PV5 11/28/23 11/29/22 95.197 48.03 313384PW3 11/29/23 12/19/22 95.664 43.36 313384PX1 11/30/23 11/30/22 95.270 47.30 313384PY9 12/01/23 12/06/22 95.320 46.80 313384QB8 12/04/23 01/03/23 95.692 43.08 313384QC6 12/05/23 12/06/22 95.268 47.32 313384QD4 12/06/23 12/07/22 95.314 46.86 313384QE2 12/07/23 12/23/22 95.613 43.87 313384QF9 12/08/23 12/16/22 95.488 45.12 313384QJ1 12/11/23 12/15/22 95.427 45.73 313384QK8 12/12/23 12/12/22 95.311 46.89 313384QL6 12/13/23 01/03/23 95.538 44.62 313384QM4 12/14/23 12/14/22 95.417 45.83 313384QN2 12/15/23 12/15/22 95.387 46.13 313384QR3 12/18/23 12/27/22 95.436 45.64 313384QS1 12/19/23 01/03/23 95.479 45.21 313384QT9 12/20/23 12/21/22 95.430 45.70 313384QU6 12/21/23 12/21/22 95.417 45.83 313384QV4 12/22/23 12/22/22 95.443 45.57 313384QZ5 12/26/23 12/27/22 95.334 46.66 Section III-B (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313384RA9 12/27/23 12/27/22 95.321 46.79 313384RB7 12/28/23 12/28/22 95.296 47.04 313384RC5 12/29/23 12/30/22 95.344 46.56 Section III-C FEDERAL NATIONAL MORTGAGE ASSOCIATION Short-Term Obligations Issued at a Discount and Maturing in 2023 Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588AC9 01/03/23 07/01/22 98.600 14.00 313588AD7 01/04/23 11/14/22 99.490 5.10 313588AE5 01/05/23 11/10/22 99.440 5.60 313588AF2 01/06/23 12/01/22 99.615 3.85 313588AJ4 01/09/23 11/18/22 99.451 5.49 313588AK1 01/10/23 11/28/22 99.534 4.66 313588AL9 01/11/23 12/07/22 99.621 3.79 313588AM7 01/12/23 11/10/22 99.370 6.30 313588AN5 01/13/23 11/22/22 99.437 5.63 313588AS4 01/17/23 11/08/22 99.290 7.10 313588AT2 01/18/23 12/14/22 99.621 3.79 313588AU9 01/19/23 11/10/22 99.290 7.10 313588AV7 01/20/23 12/06/22 99.506 4.94 313588AY1 01/23/23 01/03/23 99.778 2.22 313588AZ8 01/24/23 01/04/23 99.778 2.22 313588BA2 01/25/23 01/19/23 99.932 0.68 313588BB0 01/26/23 11/23/22 99.298 7.02 313588BC8 01/27/23 11/30/22 99.356 6.44 313588BF1 01/30/23 11/18/22 99.189 8.11 313588BG9 01/31/23 11/17/22 99.208 7.92 313588BH7 02/01/23 11/30/22 99.300 7.00 313588BJ3 02/02/23 12/01/22 99.300 7.00 313588BK0 02/03/23 11/30/22 99.278 7.22 313588BN4 02/06/23 11/23/22 99.167 8.33 313588BP9 02/07/23 11/29/22 99.213 7.87 313588BQ7 02/08/23 11/30/22 99.213 7.87 313588BR5 02/09/23 01/25/23 99.825 1.75 313588BS3 02/10/23 12/14/22 99.348 6.53 313588BV6 02/13/23 11/23/22 99.078 9.22 313588BW4 02/14/23 12/20/22 99.354 6.46 313588BX2 02/15/23 11/29/22 99.112 8.88 313588BY0 02/16/23 11/23/22 99.044 9.56 313588BZ7 02/17/23 11/30/22 99.100 9.00 313588CD5 02/21/23 12/06/22 99.123 8.77 313588CE3 02/22/23 01/12/23 99.516 4.84 313588CF0 02/23/23 11/23/22 98.965 10.35 Section III-C (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588CG8 02/24/23 12/02/22 99.043 9.57 313588CL7 02/28/23 11/30/22 98.963 10.37 313588CM5 03/01/23 12/02/22 98.962 10.38 313588CN3 03/02/23 12/02/22 98.950 10.50 313588CP8 03/03/23 01/05/23 99.335 6.65 313588CS2 03/06/23 12/07/22 98.962 10.38 313588CT0 03/07/23 01/20/23 99.444 5.56 313588CU7 03/08/23 12/14/22 99.020 9.80 313588CV5 03/09/23 01/23/23 99.456 5.44 313588CW3 03/10/23 11/22/22 98.755 12.45 313588CZ6 03/13/23 03/07/23 99.927 0.73 313588DA0 03/14/23 01/11/23 99.268 7.32 313588DB8 03/15/23 12/02/22 98.798 12.02 313588DC6 03/16/23 12/15/22 98.938 10.62 313588DD4 03/17/23 03/15/23 99.976 0.24 313588DG7 03/20/23 11/23/22 98.635 13.65 313588DH5 03/21/23 11/23/22 98.623 13.77 313588DJ1 03/22/23 11/28/22 98.654 13.46 313588DK8 03/23/23 11/29/22 98.654 13.46 313588DL6 03/24/23 11/30/22 98.654 13.46 313588DQ5 03/28/23 01/20/23 99.181 8.19 313588DR3 03/29/23 02/22/23 99.568 4.32 313588DS1 03/30/23 12/05/22 98.642 13.58 313588DT9 03/31/23 12/16/22 98.775 12.25 313588DW2 04/03/23 10/03/22 97.931 20.69 313588DX0 04/04/23 04/03/23 99.988 0.12 313588DY8 04/05/23 03/07/23 99.636 3.64 313588DZ5 04/06/23 12/07/22 98.567 14.33 313588ED3 04/10/23 01/30/23 99.135 8.65 313588EE1 04/11/23 04/04/23 99.913 0.87 313588EF8 04/12/23 04/03/23 99.889 1.11 313588EG6 04/13/23 12/07/22 98.483 15.17 313588EH4 04/14/23 01/06/23 98.829 11.71 313588EL5 04/17/23 12/13/22 98.490 15.10 313588EM3 04/18/23 01/27/23 98.999 10.01 313588EN1 04/19/23 01/24/23 98.949 10.51 313588EP6 04/20/23 12/15/22 98.478 15.23 313588EQ4 04/21/23 01/13/23 98.789 12.11 313588ET8 04/24/23 12/14/22 98.417 15.83 313588EV3 04/26/23 01/04/23 98.647 13.53 313588EW1 04/27/23 01/18/23 98.776 12.24 313588EX9 04/28/23 01/06/23 98.647 13.53 Section III-C (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588FA8 05/01/23 11/01/22 97.623 23.77 313588FB6 05/02/23 04/24/23 99.905 0.95 313588FC4 05/03/23 01/11/23 98.631 13.69 313588FD2 05/04/23 01/05/23 98.562 14.38 313588FE0 05/05/23 02/14/23 99.000 10.00 313588FH3 05/08/23 01/26/23 98.725 12.75 313588FJ9 05/09/23 04/25/23 99.834 1.66 313588FK6 05/10/23 05/08/23 99.974 0.26 313588FL4 05/11/23 05/04/23 99.909 0.91 313588FM2 05/12/23 04/20/23 99.740 2.60 313588FQ3 05/15/23 11/15/22 97.534 24.66 313588FR1 05/16/23 02/28/23 99.011 9.89 313588FS9 05/17/23 04/18/23 99.650 3.50 313588FT7 05/18/23 04/28/23 99.753 2.47 313588FU4 05/19/23 02/02/23 98.675 13.25 313588FX8 05/22/23 05/19/23 99.961 0.39 313588FY6 05/23/23 02/23/23 98.853 11.47 313588FZ3 05/24/23 01/27/23 98.538 14.63 313588GB5 05/26/23 01/17/23 98.405 15.95 313588GF6 05/30/23 01/13/23 98.307 16.93 313588GG4 05/31/23 01/17/23 98.344 16.56 313588GH2 06/01/23 05/01/23 99.600 4.00 313588GJ8 06/02/23 02/24/23 98.725 12.75 313588GM1 06/05/23 01/12/23 98.200 18.00 313588GN9 06/06/23 05/02/23 99.541 4.59 313588GP4 06/07/23 02/03/23 98.440 15.60 313588GQ2 06/08/23 01/12/23 98.183 18.17 313588GR0 06/09/23 03/08/23 98.759 12.41 313588GU3 06/12/23 05/03/23 99.476 5.24 313588GV1 06/13/23 05/16/23 99.622 3.78 313588GW9 06/14/23 02/03/23 98.348 16.52 313588GX7 06/15/23 02/08/23 98.388 16.12 313588GY5 06/16/23 04/25/23 99.328 6.72 313588HC2 06/20/23 01/26/23 98.167 18.33 313588HD0 06/21/23 05/05/23 99.375 6.25 313588HE8 06/22/23 01/12/23 97.988 20.12 313588HF5 06/23/23 05/02/23 99.307 6.93 313588HK4 06/27/23 02/27/23 98.418 15.82 313588HL2 06/28/23 05/02/23 99.240 7.60 313588HM0 06/29/23 06/08/23 99.710 2.90 313588HN8 06/30/23 02/28/23 98.392 16.08 313588HR9 07/03/23 01/03/23 97.513 24.87 Section III-C (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588HT5 07/05/23 01/18/23 97.877 21.23 313588HU2 07/06/23 01/26/23 97.965 20.35 313588HV0 07/07/23 02/01/23 98.024 19.76 313588HY4 07/10/23 07/07/23 99.958 0.42 313588HZ1 07/11/23 01/20/23 97.826 21.74 313588JA4 07/12/23 02/08/23 98.024 19.76 313588JB2 07/13/23 01/31/23 97.940 20.60 313588JC0 07/14/23 01/19/23 97.776 22.24 313588JF3 07/17/23 02/01/23 97.902 20.98 313588JG1 07/18/23 05/02/23 98.958 10.42 313588JH9 07/19/23 05/04/23 98.982 10.18 313588JJ5 07/20/23 05/05/23 98.980 10.20 313588JK2 07/21/23 04/26/23 98.865 11.35 313588JN6 07/24/23 02/23/23 97.997 20.03 313588JQ9 07/26/23 01/26/23 97.712 22.88 313588JR7 07/27/23 02/02/23 97.778 22.22 313588JS5 07/28/23 02/03/23 97.778 22.22 313588JV8 07/31/23 02/27/23 97.960 20.40 313588JW6 08/01/23 03/06/23 98.012 19.88 313588JX4 08/02/23 01/26/23 97.624 23.76 313588JY2 08/03/23 07/07/23 99.627 3.74 313588JZ9 08/04/23 07/18/23 99.761 2.39 313588KC8 08/07/23 01/23/23 97.523 24.77 313588KD6 08/08/23 02/14/23 97.720 22.80 313588KE4 08/09/23 07/06/23 99.527 4.73 313588KF1 08/10/23 02/14/23 97.694 23.06 313588KG9 08/11/23 07/07/23 99.512 4.88 313588KK0 08/14/23 01/23/23 97.434 25.66 313588KL8 08/15/23 06/06/23 99.035 9.65 313588KM6 08/16/23 07/05/23 99.417 5.83 313588KN4 08/17/23 01/24/23 97.409 25.91 313588KP9 08/18/23 06/08/23 99.009 9.91 313588KS3 08/21/23 05/02/23 98.494 15.06 313588KT1 08/22/23 06/12/23 99.006 9.94 313588KU8 08/23/23 02/01/23 97.434 25.66 313588KV6 08/24/23 05/05/23 98.506 14.94 313588KZ7 08/28/23 02/21/23 97.501 24.99 313588LA1 08/29/23 08/04/23 99.640 3.60 313588LB9 08/30/23 08/14/23 99.770 2.30 313588LC7 08/31/23 02/28/23 97.516 24.84 313588LD5 09/01/23 02/28/23 97.502 24.98 313588LH6 09/05/23 03/01/23 97.452 25.48 Section III-C (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588LJ2 09/06/23 02/16/23 97.318 26.82 313588LK9 09/07/23 07/06/23 99.113 8.87 313588LL7 09/08/23 07/05/23 99.086 9.14 313588LP8 09/11/23 02/01/23 97.194 28.06 313588LQ6 09/12/23 08/31/23 99.827 1.73 313588LR4 09/13/23 02/15/23 97.238 27.62 313588LS2 09/14/23 06/06/23 98.613 13.88 313588LT0 09/15/23 05/18/23 98.378 16.22 313588LW3 09/18/23 05/15/23 98.299 17.01 313588LX1 09/19/23 09/13/23 99.913 0.87 313588LY9 09/20/23 07/07/23 98.942 10.58 313588LZ6 09/21/23 06/06/23 98.514 14.86 313588MA0 09/22/23 08/15/23 99.454 5.46 313588ME2 09/26/23 02/14/23 97.060 29.40 313588MF9 09/27/23 02/24/23 97.080 29.20 313588MG7 09/28/23 02/16/23 97.029 29.71 313588MH5 09/29/23 02/07/23 96.971 30.29 313588ML6 10/02/23 02/16/23 96.970 30.31 313588MM4 10/03/23 02/22/23 96.993 30.07 313588MN2 10/04/23 09/08/23 99.625 3.75 313588MP7 10/05/23 09/05/23 99.567 4.33 313588MQ5 10/06/23 07/10/23 98.748 12.52 313588MU6 10/10/23 09/20/23 99.710 2.90 313588MV4 10/11/23 09/27/23 99.797 2.03 313588MW2 10/12/23 02/09/23 96.822 31.78 313588MX0 10/13/23 03/02/23 96.928 30.72 313588NA9 10/16/23 02/15/23 96.794 32.06 313588NB7 10/17/23 10/16/23 99.985 0.15 313588NC5 10/18/23 02/23/23 96.804 31.96 313588ND3 10/19/23 10/10/23 99.869 1.31 313588NE1 10/20/23 02/15/23 96.717 32.83 313588NH4 10/23/23 02/21/23 96.720 32.80 313588NJ0 10/24/23 03/01/23 96.764 32.36 313588NL5 10/26/23 02/15/23 96.627 33.73 313588NM3 10/27/23 07/11/23 98.464 15.36 313588NQ4 10/30/23 05/05/23 97.632 23.68 313588NR2 10/31/23 10/18/23 99.811 1.89 313588NS0 11/01/23 02/21/23 96.581 34.19 313588NT8 11/02/23 08/03/23 98.691 13.09 313588NU5 11/03/23 03/09/23 96.601 33.99 313588NX9 11/06/23 08/15/23 98.805 11.95 313588NY7 11/07/23 03/01/23 96.559 34.41 Section III-C (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313588NZ4 11/08/23 08/23/23 98.891 11.09 313588PA7 11/09/23 08/09/23 98.676 13.24 313588PB5 11/10/23 03/09/23 96.501 34.99 313588PE9 11/13/23 08/23/23 98.819 11.81 313588PF6 11/14/23 11/01/23 99.811 1.89 313588PG4 11/15/23 03/07/23 96.497 35.03 313588PH2 11/16/23 07/13/23 98.208 17.92 313588PJ8 11/17/23 02/22/23 96.378 36.22 313588PM1 11/20/23 08/28/23 98.780 12.20 313588PN9 11/21/23 11/20/23 99.985 0.15 313588PP4 11/22/23 11/17/23 99.927 0.73 313588PR0 11/24/23 11/22/23 99.971 0.29 313588PV1 11/28/23 02/10/23 96.217 37.83 313588PW9 11/29/23 11/22/23 99.898 1.02 313588PX7 11/30/23 08/11/23 98.400 16.00 313588PY5 12/01/23 02/21/23 96.187 38.13 313588QB4 12/04/23 11/02/23 99.534 4.66 313588QC2 12/05/23 10/13/23 99.231 7.69 313588QD0 12/06/23 02/15/23 96.113 38.87 313588QE8 12/07/23 09/06/23 98.667 13.33 313588QF5 12/08/23 03/09/23 96.084 39.16 313588QJ7 12/11/23 02/14/23 96.033 39.67 313588QK4 12/12/23 11/27/23 99.782 2.18 313588QL2 12/13/23 11/17/23 99.622 3.78 313588QM0 12/14/23 07/13/23 97.806 21.95 313588QN8 12/15/23 02/17/23 95.966 40.34 313588QR9 12/18/23 02/17/23 95.926 40.74 313588QS7 12/19/23 12/11/23 99.884 1.16 313588QT5 12/20/23 10/24/23 99.173 8.27 313588QU2 12/21/23 08/30/23 98.360 16.40 313588QV0 12/22/23 03/09/23 95.884 41.16 313588RA5 12/27/23 02/16/23 95.792 42.08 313588RB3 12/28/23 02/17/23 95.792 42.08 313588RC1 12/29/23 02/17/23 95.778 42.22 Section III-D FEDERAL FARM CREDIT BANKS Short-Term Obligations Issued at a Discount and Maturing in 2023 Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312AD2 01/04/23 01/03/23 95.980 40.20 313312AJ9 01/09/23 01/06/23 95.970 40.30 313312AN0 01/13/23 01/12/23 95.920 40.80 313312AS9 01/17/23 01/13/23 95.900 41.00 313312AT7 01/18/23 01/12/23 95.830 41.70 313312AU4 01/19/23 01/04/23 95.970 40.30 313312AV2 01/20/23 01/06/23 95.950 40.50 313312AY6 01/23/23 01/09/23 95.930 40.70 313312AZ3 01/24/23 01/23/23 95.820 41.80 313312BB5 01/26/23 01/09/23 95.870 41.30 313312BC3 01/27/23 01/20/23 95.790 42.10 313312BF6 01/30/23 01/05/23 95.950 40.50 313312BG4 01/31/23 01/20/23 95.770 42.30 313312BH2 02/01/23 01/03/23 95.980 40.20 313312BJ8 02/02/23 01/04/23 95.940 40.60 313312BK5 02/03/23 01/06/23 95.880 41.20 313312BN9 02/06/23 01/05/23 95.840 41.60 313312BP4 02/07/23 01/31/23 95.750 42.50 313312BQ2 02/08/23 01/04/23 95.800 42.00 313312BR0 02/09/23 02/02/23 95.620 43.80 313312BS8 02/10/23 02/09/23 95.720 42.80 313312BV1 02/13/23 02/09/23 95.600 44.00 313312BW9 02/14/23 02/07/23 95.650 43.50 313312BX7 02/15/23 01/12/23 95.650 43.50 313312BZ2 02/17/23 02/10/23 95.600 44.00 313312CE8 02/22/23 01/20/23 95.550 44.50 313312CF5 02/23/23 02/17/23 95.550 44.50 313312CG3 02/24/23 02/23/23 95.550 44.50 313312CK4 02/27/23 02/16/23 95.600 44.00 313312CL2 02/28/23 02/01/23 95.540 44.60 313312CM0 03/01/23 01/20/23 95.580 44.20 313312CN8 03/02/23 01/30/23 95.520 44.80 313312CP3 03/03/23 01/31/23 95.540 44.60 313312CS7 03/06/23 01/31/23 95.500 45.00 313312CT5 03/07/23 03/06/23 95.550 44.50 313312CU2 03/08/23 02/01/23 95.470 45.30 Section III-D (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312CV0 03/09/23 03/08/23 95.570 44.30 313312CW8 03/10/23 03/09/23 95.600 44.00 313312CZ1 03/13/23 02/10/23 95.500 45.00 313312DA5 03/14/23 02/08/23 95.480 45.20 313312DB3 03/15/23 02/08/23 95.480 45.20 313312DC1 03/16/23 01/31/23 95.490 45.10 313312DD9 03/17/23 03/16/23 95.500 45.00 313312DG2 03/20/23 02/01/23 95.450 45.50 313312DH0 03/21/23 03/20/23 95.570 44.30 313312DJ6 03/22/23 02/22/23 95.510 44.90 313312DK3 03/23/23 02/15/23 95.480 45.20 313312DL1 03/24/23 03/23/23 95.700 43.00 313312DQ0 03/28/23 02/21/23 95.450 45.50 313312DR8 03/29/23 02/22/23 95.450 45.50 313312DS6 03/30/23 01/19/23 95.480 45.20 313312DW7 04/03/23 01/12/23 95.480 45.20 313312DX5 04/04/23 02/28/23 95.430 45.70 313312DY3 04/05/23 01/27/23 95.470 45.30 313312DZ0 04/06/23 03/01/23 95.400 46.00 313312ED8 04/10/23 02/28/23 95.380 46.20 313312EE6 04/11/23 02/15/23 95.390 46.10 313312EF3 04/12/23 03/08/23 95.360 46.40 313312EH9 04/14/23 03/14/23 95.310 46.90 313312EL0 04/17/23 03/16/23 95.350 46.50 313312EM8 04/18/23 02/21/23 95.350 46.50 313312EN6 04/19/23 03/15/23 95.280 47.20 313312EP1 04/20/23 03/16/23 95.350 46.50 313312EQ9 04/21/23 03/16/23 95.350 46.50 313312ET3 04/24/23 01/27/23 95.450 45.50 313312EU0 04/25/23 03/29/23 95.450 45.50 313312EV8 04/26/23 02/02/23 95.380 46.20 313312EX4 04/28/23 03/24/23 95.480 45.20 313312FA3 05/01/23 02/15/23 95.380 46.20 313312FB1 05/02/23 04/20/23 95.750 42.50 313312FC9 05/03/23 03/30/23 95.420 45.80 313312FD7 05/04/23 05/03/23 95.350 46.50 313312FE5 05/05/23 04/05/23 95.350 46.50 313312FH8 05/08/23 03/09/23 95.280 47.20 313312FJ4 05/09/23 03/29/23 95.380 46.20 313312FK1 05/10/23 04/05/23 95.340 46.60 313312FL9 05/11/23 04/17/23 95.460 45.40 313312FM7 05/12/23 04/19/23 95.430 45.70 Section III-D (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312FQ8 05/15/23 05/01/23 95.290 47.10 313312FS4 05/17/23 04/12/23 95.350 46.50 313312FT2 05/18/23 04/25/23 95.360 46.40 313312FU9 05/19/23 03/21/23 95.350 46.50 313312FX3 05/22/23 01/23/23 95.370 46.30 313312FY1 05/23/23 03/23/23 95.350 46.50 313312FZ8 05/24/23 03/01/23 95.220 47.80 313312GA2 05/25/23 04/10/23 95.320 46.80 313312GB0 05/26/23 02/21/23 95.270 47.30 313312GF1 05/30/23 03/03/23 95.250 47.50 313312GG9 05/31/23 02/23/23 95.280 47.20 313312GH7 06/01/23 03/31/23 95.450 45.50 313312GJ3 06/02/23 05/08/23 95.100 49.00 313312GM6 06/05/23 04/21/23 95.280 47.20 313312GN4 06/06/23 05/16/23 95.180 48.20 313312GP9 06/07/23 05/03/23 95.100 49.00 313312GQ7 06/08/23 04/13/23 95.300 47.00 313312GR5 06/09/23 05/18/23 95.180 48.20 313312GU8 06/12/23 04/13/23 95.300 47.00 313312GV6 06/13/23 05/04/23 95.100 49.00 313312GW4 06/14/23 05/10/23 95.110 48.90 313312GX2 06/15/23 04/14/23 95.440 45.60 313312GY0 06/16/23 03/24/23 95.240 47.60 313312HC7 06/20/23 05/16/23 95.150 48.50 313312HD5 06/21/23 05/17/23 95.200 48.00 313312HE3 06/22/23 02/27/23 95.150 48.50 313312HF0 06/23/23 01/23/23 95.350 46.50 313312HK9 06/27/23 05/24/23 95.100 49.00 313312HL7 06/28/23 02/03/23 95.290 47.10 313312HM5 06/29/23 06/16/23 94.990 50.10 313312HN3 06/30/23 03/14/23 95.110 48.90 313312HR4 07/03/23 03/21/23 95.300 47.00 313312HT0 07/05/23 03/24/23 95.330 46.70 313312HU7 07/06/23 04/21/23 95.200 48.00 313312HV5 07/07/23 06/21/23 95.020 49.80 313312HY9 07/10/23 01/26/23 95.310 46.90 313312JA9 07/12/23 01/27/23 95.320 46.80 313312JC5 07/14/23 01/30/23 95.330 46.70 313312JF8 07/17/23 01/31/23 95.320 46.80 313312JG6 07/18/23 06/15/23 94.980 50.20 313312JH4 07/19/23 02/03/23 95.280 47.20 313312JJ0 07/20/23 01/18/23 95.330 46.70 Section III-D (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312JK7 07/21/23 05/30/23 94.870 51.30 313312JN1 07/24/23 01/31/23 95.320 46.80 313312JP6 07/25/23 04/14/23 95.250 47.50 313312JQ4 07/26/23 06/21/23 95.000 50.00 313312JR2 07/27/23 01/18/23 95.330 46.70 313312JS0 07/28/23 02/15/23 95.180 48.20 313312JV3 07/31/23 02/15/23 95.170 48.30 313312JW1 08/01/23 03/13/23 94.870 51.30 313312JX9 08/02/23 02/16/23 95.180 48.20 313312JZ4 08/04/23 01/30/23 95.310 46.90 313312KC3 08/07/23 02/16/23 95.170 48.30 313312KD1 08/08/23 08/01/23 94.800 52.00 313312KE9 08/09/23 02/17/23 95.160 48.40 313312KG4 08/11/23 02/08/23 95.250 47.50 313312KK5 08/14/23 02/22/23 95.120 48.80 313312KL3 08/15/23 03/01/23 95.100 49.00 313312KM1 08/16/23 07/12/23 94.860 51.40 313312KN9 08/17/23 05/31/23 94.800 52.00 313312KP4 08/18/23 06/20/23 94.950 50.50 313312KS8 08/21/23 03/24/23 95.340 46.60 313312KT6 08/22/23 08/21/23 94.770 52.30 313312KU3 08/23/23 01/31/23 95.320 46.80 313312KV1 08/24/23 08/23/23 94.780 52.20 313312KW9 08/25/23 03/06/23 95.010 49.90 313312KZ2 08/28/23 08/25/23 94.800 52.00 313312LA6 08/29/23 03/07/23 95.000 50.00 313312LB4 08/30/23 04/06/23 95.210 47.90 313312LC2 08/31/23 03/10/23 94.820 51.80 313312LD0 09/01/23 03/13/23 95.250 47.50 313312LH1 09/05/23 03/13/23 95.250 47.50 313312LJ7 09/06/23 07/26/23 94.730 52.70 313312LK4 09/07/23 03/15/23 95.060 49.40 313312LL2 09/08/23 06/14/23 94.910 50.90 313312LP3 09/11/23 03/14/23 95.000 50.00 313312LQ1 09/12/23 03/01/23 95.020 49.80 313312LR9 09/13/23 03/15/23 95.020 49.80 313312LS7 09/14/23 03/16/23 95.150 48.50 313312LT5 09/15/23 03/17/23 95.200 48.00 313312LX6 09/19/23 03/17/23 95.200 48.00 313312LY4 09/20/23 01/13/23 95.350 46.50 313312LZ1 09/21/23 02/21/23 95.130 48.70 313312MA5 09/22/23 04/13/23 95.230 47.70 Section III-D (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312MD9 09/25/23 03/24/23 95.350 46.50 313312ME7 09/26/23 09/19/23 94.750 52.50 313312MF4 09/27/23 02/22/23 95.150 48.50 313312MG2 09/28/23 03/01/23 95.000 50.00 313312MH0 09/29/23 03/14/23 94.950 50.50 313312ML1 10/02/23 01/11/23 95.340 46.60 313312MM9 10/03/23 02/15/23 95.180 48.20 313312MN7 10/04/23 08/30/23 94.750 52.50 313312MP2 10/05/23 03/22/23 95.350 46.50 313312MQ0 10/06/23 02/27/23 95.050 49.50 313312MU1 10/10/23 03/23/23 95.320 46.80 313312MV9 10/11/23 03/15/23 95.080 49.20 313312MX5 10/13/23 01/11/23 95.340 46.60 313312NA4 10/16/23 03/20/23 95.350 46.50 313312NB2 10/17/23 10/12/23 94.720 52.80 313312NC0 10/18/23 05/08/23 95.100 49.00 313312ND8 10/19/23 10/18/23 94.750 52.50 313312NE6 10/20/23 05/11/23 95.100 49.00 313312NH9 10/23/23 03/14/23 94.850 51.50 313312NJ5 10/24/23 10/23/23 94.750 52.50 313312NK2 10/25/23 05/15/23 95.090 49.10 313312NL0 10/26/23 10/12/23 94.720 52.80 313312NM8 10/27/23 02/23/23 95.150 48.50 313312NQ9 10/30/23 05/16/23 95.090 49.10 313312NR7 10/31/23 07/31/23 94.710 52.90 313312NS5 11/01/23 03/21/23 95.320 46.80 313312NT3 11/02/23 09/26/23 94.740 52.60 313312NU0 11/03/23 05/30/23 94.780 52.20 313312NX4 11/06/23 03/23/23 95.330 46.70 313312NZ9 11/08/23 03/15/23 95.110 48.90 313312PA2 11/09/23 03/17/23 95.200 48.00 313312PB0 11/10/23 11/09/23 94.740 52.60 313312PE4 11/13/23 01/12/23 95.310 46.90 313312PF1 11/14/23 05/12/23 95.100 49.00 313312PG9 11/15/23 10/11/23 94.690 53.10 313312PH7 11/16/23 06/15/23 94.850 51.50 313312PJ3 11/17/23 03/23/23 95.370 46.30 313312PM6 11/20/23 01/06/23 95.300 47.00 313312PN4 11/21/23 09/29/23 94.690 53.10 313312PP9 11/22/23 03/21/23 95.400 46.00 313312PR5 11/24/23 06/21/23 94.830 51.70 313312PU8 11/27/23 06/22/23 94.850 51.50 Section III-D (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313312PV6 11/28/23 06/21/23 94.830 51.70 313312PW4 11/29/23 10/25/23 94.720 52.80 313312PY0 12/01/23 01/19/23 95.390 46.10 313312QB9 12/04/23 06/27/23 94.790 52.10 313312QC7 12/05/23 08/25/23 94.680 53.20 313312QD5 12/06/23 06/28/23 94.830 51.70 313312QF0 12/08/23 07/26/23 94.720 52.80 313312QJ2 12/11/23 06/29/23 94.760 52.40 313312QK9 12/12/23 09/05/23 94.690 53.10 313312QL7 12/13/23 05/31/23 94.790 52.10 313312QM5 12/14/23 08/31/23 94.680 53.20 313312QN3 12/15/23 03/17/23 95.620 43.80 313312QR4 12/18/23 03/20/23 95.500 45.00 313312QS2 12/19/23 03/28/23 95.550 44.50 313312QT0 12/20/23 08/31/23 94.680 53.20 313312QU7 12/21/23 09/06/23 94.700 53.00 313312QV5 12/22/23 03/23/23 95.410 45.90 313312QZ6 12/26/23 06/14/23 95.000 50.00 313312RA0 12/27/23 01/10/23 95.400 46.00 313312RB8 12/28/23 02/15/23 95.150 48.50 313312RC6 12/29/23 01/12/23 95.310 46.90 Section III-E FEDERAL HOME LOAN MORTGAGE CORPORATION Short-Term Obligations Issued at a Discount and Maturing in 2023 Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396AC7 01/03/23 12/21/22 99.863 1.37 313396AD5 01/04/23 12/19/22 99.836 1.64 313396AE3 01/05/23 11/16/22 99.492 5.08 313396AF0 01/06/23 12/21/22 99.827 1.73 313396AJ2 01/09/23 12/22/22 99.805 1.95 313396AK9 01/10/23 12/15/22 99.729 2.71 313396AL7 01/11/23 12/27/22 99.840 1.60 313396AM5 01/12/23 12/28/22 99.846 1.54 313396AN3 01/13/23 12/29/22 99.850 1.50 313396AS2 01/17/23 12/27/22 99.775 2.25 313396AT0 01/18/23 12/15/22 99.641 3.59 313396AU7 01/19/23 12/27/22 99.753 2.47 313396AV5 01/20/23 12/29/22 99.773 2.27 313396AY9 01/23/23 12/15/22 99.583 4.17 313396AZ6 01/24/23 01/04/23 99.777 2.23 313396BA0 01/25/23 12/21/22 99.616 3.84 313396BB8 01/26/23 12/28/22 99.696 3.04 313396BC6 01/27/23 12/27/22 99.666 3.34 313396BF9 01/30/23 12/15/22 99.502 4.98 313396BG7 01/31/23 12/19/22 99.534 4.66 313396BH5 02/01/23 12/28/22 99.626 3.74 313396BJ1 02/02/23 12/29/22 99.626 3.74 313396BK8 02/03/23 02/02/23 99.988 0.12 313396BN2 02/06/23 02/03/23 99.965 0.35 313396BP7 02/07/23 02/02/23 99.941 0.59 313396BQ5 02/08/23 02/07/23 99.988 0.12 313396BR3 02/09/23 02/08/23 99.988 0.12 313396BS1 02/10/23 02/02/23 99.905 0.95 313396BV4 02/13/23 02/02/23 99.869 1.31 313396BW2 02/14/23 02/13/23 99.988 0.12 313396BX0 02/15/23 02/14/23 99.988 0.12 313396BY8 02/16/23 02/02/23 99.833 1.67 313396BZ5 02/17/23 02/02/23 99.821 1.79 313396CD3 02/21/23 02/06/23 99.820 1.80 313396CE1 02/22/23 02/02/23 99.761 2.39 313396CF8 02/23/23 02/22/23 99.988 0.12 Section III-E (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396CG6 02/24/23 02/02/23 99.738 2.62 313396CK7 02/27/23 02/06/23 99.749 2.51 313396CL5 02/28/23 02/02/23 99.689 3.11 313396CM3 03/01/23 02/02/23 99.677 3.23 313396CN1 03/02/23 02/07/23 99.725 2.75 313396CP6 03/03/23 02/02/23 99.653 3.47 313396CS0 03/06/23 02/02/23 99.617 3.83 313396CU5 03/08/23 02/09/23 99.676 3.24 313396CV3 03/09/23 03/08/23 99.988 0.12 313396CW1 03/10/23 02/10/23 99.664 3.36 313396CZ4 03/13/23 02/07/23 99.592 4.08 313396DA8 03/14/23 02/24/23 99.783 2.17 313396DB6 03/15/23 03/08/23 99.915 0.85 313396DC4 03/16/23 02/23/23 99.746 2.54 313396DD2 03/17/23 03/16/23 99.989 0.11 313396DG5 03/20/23 03/14/23 99.928 0.72 313396DH3 03/21/23 03/14/23 99.916 0.84 313396DJ9 03/22/23 02/10/23 99.520 4.80 313396DK6 03/23/23 03/22/23 99.990 0.10 313396DL4 03/24/23 03/23/23 99.990 0.10 313396DP5 03/27/23 03/24/23 99.969 0.31 313396DR1 03/29/23 03/28/23 99.988 0.12 313396DS9 03/30/23 03/29/23 99.988 0.12 313396DT7 03/31/23 03/30/23 99.988 0.12 313396DW0 04/03/23 03/07/23 99.663 3.37 313396DX8 04/04/23 03/08/23 99.662 3.38 313396DY6 04/05/23 03/09/23 99.663 3.37 313396DZ3 04/06/23 03/09/23 99.649 3.51 313396ED1 04/10/23 03/23/23 99.778 2.22 313396EE9 04/11/23 03/23/23 99.765 2.35 313396EF6 04/12/23 03/23/23 99.753 2.47 313396EG4 04/13/23 03/28/23 99.806 1.94 313396EH2 04/14/23 02/21/23 99.353 6.47 313396EL3 04/17/23 03/23/23 99.690 3.10 313396EM1 04/18/23 03/23/23 99.677 3.23 313396EN9 04/19/23 03/27/23 99.707 2.93 313396EP4 04/20/23 03/23/23 99.652 3.48 313396EQ2 04/21/23 03/27/23 99.682 3.18 313396ET6 04/24/23 03/28/23 99.655 3.45 313396EU3 04/25/23 03/23/23 99.589 4.11 313396EV1 04/26/23 03/29/23 99.650 3.50 313396EW9 04/27/23 04/06/23 99.740 2.60 Section III-E (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396EX7 04/28/23 03/29/23 99.617 3.83 313396FA6 05/01/23 03/27/23 99.552 4.48 313396FB4 05/02/23 03/27/23 99.539 4.61 313396FC2 05/03/23 03/27/23 99.526 4.74 313396FD0 05/04/23 03/23/23 99.476 5.24 313396FH1 05/08/23 05/05/23 99.961 0.39 313396FJ7 05/09/23 03/30/23 99.494 5.06 313396FK4 05/10/23 05/09/23 99.987 0.13 313396FL2 05/11/23 05/08/23 99.960 0.40 313396FM0 05/12/23 05/04/23 99.893 1.07 313396FS7 05/17/23 05/16/23 99.987 0.13 313396FU2 05/19/23 05/18/23 99.987 0.13 313396FX6 05/22/23 05/10/23 99.840 1.60 313396FZ1 05/24/23 05/10/23 99.813 1.87 313396GB3 05/26/23 05/09/23 99.776 2.24 313396GG2 05/31/23 03/31/23 99.226 7.74 313396GH0 06/01/23 03/24/23 99.122 8.78 313396GJ6 06/02/23 05/10/23 99.697 3.03 313396GM9 06/05/23 05/10/23 99.653 3.47 313396GQ0 06/08/23 03/29/23 99.069 9.31 313396GR8 06/09/23 03/09/23 98.778 12.22 313396GU1 06/12/23 05/09/23 99.552 4.48 313396GY3 06/16/23 02/23/23 98.533 14.67 313396HL0 06/28/23 03/28/23 98.791 12.09 313396HM8 06/29/23 05/05/23 99.251 7.49 313396HR7 07/03/23 05/24/23 99.449 5.51 313396HT3 07/05/23 05/11/23 99.251 7.49 313396HU0 07/06/23 05/16/23 99.300 7.00 313396HV8 07/07/23 05/11/23 99.223 7.77 313396HY2 07/10/23 05/11/23 99.183 8.17 313396HZ9 07/11/23 05/24/23 99.336 6.64 313396JA2 07/12/23 05/15/23 99.204 7.96 313396JC8 07/14/23 02/23/23 98.151 18.49 313396JF1 07/17/23 04/20/23 98.824 11.76 313396JG9 07/18/23 04/21/23 98.824 11.76 313396JH7 07/19/23 04/20/23 98.798 12.02 313396JK0 07/21/23 04/20/23 98.771 12.29 313396JN4 07/24/23 05/18/23 99.081 9.19 313396JS3 07/28/23 05/16/23 98.999 10.01 313396JV6 07/31/23 05/12/23 98.913 10.87 313396JW4 08/01/23 05/15/23 98.931 10.69 313396JZ7 08/04/23 05/23/23 98.993 10.07 Section III-E (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396KC6 08/07/23 05/15/23 98.850 11.50 313396KE2 08/09/23 04/14/23 98.450 15.50 313396KK8 08/14/23 04/12/23 98.357 16.43 313396KL6 08/15/23 02/23/23 97.708 22.92 313396KN2 08/17/23 02/17/23 97.647 23.53 313396KS1 08/21/23 07/18/23 99.520 4.80 313396KU6 08/23/23 07/25/23 99.588 4.12 313396KV4 08/24/23 03/01/23 97.648 23.52 313396KW2 08/25/23 07/19/23 99.476 5.24 313396KZ5 08/28/23 02/17/23 97.453 25.47 313396LB7 08/30/23 07/25/23 99.488 5.12 313396LC5 08/31/23 05/23/23 98.618 13.82 313396LD3 09/01/23 04/28/23 98.310 16.90 313396LH4 09/05/23 03/10/23 97.514 24.86 313396LJ0 09/06/23 07/25/23 99.387 6.13 313396LK7 09/07/23 03/08/23 97.514 24.86 313396LP6 09/11/23 05/17/23 98.395 16.05 313396LR2 09/13/23 05/15/23 98.340 16.60 313396LT8 09/15/23 05/18/23 98.353 16.47 313396LW1 09/18/23 05/11/23 98.252 17.48 313396MA8 09/22/23 05/22/23 98.292 17.08 313396MD2 09/25/23 02/23/23 97.126 28.74 313396ME0 09/26/23 07/27/23 99.124 8.76 313396MF7 09/27/23 04/13/23 97.824 21.76 313396MG5 09/28/23 08/15/23 99.368 6.32 313396MH3 09/29/23 04/13/23 97.772 22.28 313396ML4 10/02/23 07/21/23 98.958 10.42 313396MM2 10/03/23 07/21/23 98.943 10.57 313396MN0 10/04/23 07/24/23 98.969 10.31 313396MP5 10/05/23 09/05/23 99.568 4.32 313396MQ3 10/06/23 07/28/23 98.998 10.02 313396MU4 10/10/23 09/05/23 99.496 5.04 313396MV2 10/11/23 09/20/23 99.697 3.03 313396MW0 10/12/23 09/07/23 99.495 5.05 313396MX8 10/13/23 08/18/23 99.193 8.07 313396NB5 10/17/23 10/02/23 99.783 2.17 313396NC3 10/18/23 09/21/23 99.611 3.89 313396ND1 10/19/23 09/28/23 99.696 3.04 313396NH2 10/23/23 09/26/23 99.610 3.90 313396NK5 10/25/23 02/23/23 96.713 32.87 313396NM1 10/27/23 06/26/23 98.287 17.13 313396NQ2 10/30/23 08/24/23 99.033 9.67 Section III-E (continued) Discount to be Issue Price Reported as 2023 CUSIP Maturity Issue (% of Principal Interest(Per $1,000 Number Date Date Amount) Maturity Value) --------- -------- -------- --------------- ------------------- 313396NR0 10/31/23 08/09/23 98.808 11.92 313396NS8 11/01/23 05/31/23 97.831 21.69 313396NT6 11/02/23 09/29/23 99.509 4.91 313396NU3 11/03/23 10/26/23 99.884 1.16 313396NZ2 11/08/23 07/27/23 98.504 14.96 313396PA5 11/09/23 07/19/23 98.390 16.10 313396PE7 11/13/23 10/19/23 99.637 3.63 313396PF4 11/14/23 10/05/23 99.420 5.80 313396PG2 11/15/23 10/19/23 99.608 3.92 313396PM9 11/20/23 08/15/23 98.600 14.00 313396PP2 11/22/23 09/12/23 98.971 10.29 313396PU1 11/27/23 06/26/23 97.863 21.37 313396PV9 11/28/23 02/15/23 96.226 37.74 313396PX5 11/30/23 10/26/23 99.492 5.08 313396PY3 12/01/23 06/14/23 97.627 23.73 313396QC0 12/05/23 08/24/23 98.511 14.89 313396QD8 12/06/23 08/15/23 98.368 16.32 313396QE6 12/07/23 07/27/23 98.084 19.16 313396QF3 12/08/23 08/15/23 98.339 16.61 313396QL0 12/13/23 08/15/23 98.267 17.33 313396QM8 12/14/23 08/15/23 98.252 17.48 313396QN6 12/15/23 08/15/23 98.238 17.62 313396QR7 12/18/23 11/22/23 99.621 3.79 313396QV8 12/22/23 08/30/23 98.358 16.42 313396QZ9 12/26/23 06/15/23 97.297 27.03 313396RB1 12/28/23 08/29/23 98.234 17.66 313396RC9 12/29/23 09/06/23 98.350 16.50