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 187270G80 09/29/20 02/15/29     86.482     0.000     1.7410     34.50   0.043208   0.043584   0.043964   0.044346  0.044732     15.73    16.00 
CLINT TEX INDPT SCH DIST 187270G98 09/29/20 02/15/30     84.210     0.000     1.8409     35.55   0.044570   0.044981   0.045395   0.045813  0.046234     16.23    16.53 
CLINT TEX INDPT SCH DIST 187270H48 09/29/20 02/15/33     76.828     0.000     2.1408     37.82   0.047552   0.048061   0.048576   0.049096  0.049621     17.35    17.72 
CLINT TEX INDPT SCH DIST 187270H55 09/29/20 02/15/34     74.122     0.000     2.2509     38.40   0.048334   0.048878   0.049428   0.049984  0.050547     17.65    18.05 
CLINT TEX INDPT SCH DIST 187270H22 09/29/20 02/15/31     81.919     0.000     1.9309     36.30   0.045553   0.045993   0.046437   0.046885  0.047338     16.60    16.92 
CLINT TEX INDPT SCH DIST 187270H30 09/29/20 02/15/32     79.370     0.000     2.0409     37.21   0.046745   0.047222   0.047704   0.048190  0.048682     17.04    17.39 
CLINTON CNTY ILL SCH DIS 18739CAN3 08/24/21 12/01/23    100.674     1.000     0.6986      9.54   0.019463   0.019434                                      6.42          
CLINTON CNTY ILL SCH DIS 18739CAP8 08/24/21 12/01/24    100.000     1.000     0.9984     13.56   0.027734   0.027734   0.027734   0.027734                9.98     9.15 
CLINTON CNTY ILL SCH DIS 18739CAQ6 08/24/21 12/01/25    100.000     1.150     1.1484     15.60   0.031901   0.031900   0.031900   0.031900  0.031900     11.48    11.48 
CLINTON CNTY ILL SCH DIS 18739CAR4 08/24/21 12/01/26    100.000     1.300     1.2983     17.65   0.036066   0.036066   0.036066   0.036065  0.036065     12.98    12.98 
CLINTON CNTY ILL SCH DIS 18739CAS2 08/24/21 12/01/27    100.000     1.500     1.4981     20.38   0.041617   0.041617   0.041616   0.041616  0.041616     14.98    14.98 
COLUMBIA CNTY GA DEV AUT 197468AF8 01/20/22 12/15/23     96.000     6.500     8.8278     19.13   0.059309   0.061926                                     20.87          
COLUMBUS-FRANKLIN CNTY   19909PAK2 03/18/21 06/15/25     93.000     8.750    10.8515     25.76   0.044821   0.047253   0.049817   0.052520  0.055370     16.65    18.51 
COLUMBUS-FRANKLIN CNTY   19909PAG1 03/11/21 06/15/27     93.000     8.750    10.2938     15.93   0.027297   0.028702   0.030179   0.031732  0.033365     10.13    11.19 
COMM SCHOOL DIST NUM 94  121082BD2 09/01/22 12/01/24    100.000     3.700     3.6700     12.22   0.102944   0.104833   0.102000   0.102000               37.36    33.66 
COMM SCHOOL DIST NUM 94  121082BC4 09/01/22 12/01/23    100.000     3.500     3.4600     11.50   0.096778   0.098500                                     32.25          
COMM SCHOOL DIST NUM 94  121082BF7 09/01/22 12/01/26    100.000     3.900     3.8800     12.93   0.108889   0.111000   0.107889   0.107944  0.108000     39.55    38.84 
COMM SCHOOL DIST NUM 94  121082BE0 09/01/22 12/01/25    100.000     3.800     3.7800     12.58   0.105944   0.107944   0.105000   0.105000  0.105222     38.47    37.80 
COMM SCHOOL DIST NUM 94  121082BH3 09/01/22 12/01/28    100.000     4.100     4.0900     13.60   0.114667   0.117000   0.113556   0.113611  0.113556     41.67    40.89 
COMM SCHOOL DIST NUM 94  121082BG5 09/01/22 12/01/27    100.000     4.000     3.9800     13.27   0.111778   0.114000   0.110778   0.110722  0.110722     40.61    39.87 
COMM SCHOOL DIST NUM 94  121082BJ9 09/01/22 12/01/29    100.000     4.200     4.1900     13.94   0.117500   0.120000   0.116389   0.116444  0.116500     42.72    41.90 
COMM SCHOOL DIST NUM 94  121082BK6 09/01/22 12/01/31    100.000     4.350     4.3400     14.44   0.121833   0.124444   0.120611   0.120611  0.120556     44.29    43.41 
COOK CNTY ILL SCH DIST   214183KP9 06/15/10 06/01/30     25.818     0.000     6.8998    346.52   0.115235   0.119210   0.123323   0.127578  0.131979     42.44    45.42 
COOK CNTY ILL SCH DIST   214183KR5 06/15/10 12/01/26     33.796     0.000     6.6998    434.61   0.142981   0.147771   0.152721   0.157837  0.163124     52.63    56.21 
COOK CNTY ILL SCH DIST   214183KS3 06/15/10 12/01/27     31.375     0.000     6.7498    407.84   0.134537   0.139077   0.143771   0.148623  0.153639     49.53    52.93 
COOK CNTY ILL SCH DIST   214183KT1 06/15/10 12/01/28     29.098     0.000     6.7998    382.32   0.126460   0.130760   0.135206   0.139803  0.144556     46.56    49.78 
COOK CNTY ILL SCH DIST   214183KU8 06/15/10 12/01/29     26.961     0.000     6.8498    358.04   0.118748   0.122815   0.127021   0.131372  0.135871     43.73    46.78 
COPPELL TEX INDPT SCH DI 217490CN9 10/22/20 08/15/24     97.081     0.000     0.7782     16.67   0.021284   0.021367   0.021450   0.021533                7.70     4.82 
COPPELL TEX INDPT SCH DI 217490CM1 10/22/20 08/15/23     98.331     0.000     0.5990     12.98   0.016539   0.016589                                      3.71          
COPPELL TEX INDPT SCH DI 217490CP4 10/22/20 08/15/25     95.732     0.000     0.9081     19.20   0.024548   0.024660   0.024772   0.024884  0.024997      8.89     8.97 
COPPELL TEX INDPT SCH DI 217490EF4 04/22/21 08/15/25     95.194     0.000     1.1449     18.57   0.030732   0.030908   0.031085   0.031263  0.031442     11.14    11.27 
COPPELL TEX INDPT SCH DI 217490EG2 04/22/21 08/15/26     93.222     0.000     1.3251     21.07   0.034914   0.035145   0.035378   0.035612  0.035848     12.67    12.84 
COPPELL TEX INDPT SCH DI 217490EE7 04/22/21 08/15/24     97.594     0.000     0.7362     12.21   0.020152   0.020226   0.020301   0.020375                7.29     4.56 
CORONADO FINANCE PTY LTD Q2874LAA2 05/12/21 05/15/26     98.122    10.750    11.2507      5.05   0.009482   0.010015   0.010579   0.011174  0.011802      3.56     3.97 
CORONADO FINANCE PTY LTD 21979LAA4 05/12/21 05/15/26     98.122    10.750    11.2507      5.05   0.009482   0.010015   0.010579   0.011174  0.011802      3.56     3.97 
CORSICANA TEX INDPT SCH  220435SA0 07/21/20 02/15/25     93.644     0.000     1.4431     33.51   0.038672   0.038951   0.039232   0.039515  0.039800     14.05    14.25 
CORSICANA TEX INDPT SCH  220435SB8 07/21/20 02/15/26     91.047     0.000     1.6920     38.29   0.044308   0.044683   0.045061   0.045442  0.045826     16.12    16.39 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

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    100.000     0.000     2.1699     71.13   0.064320   0.065017   0.065723   0.066436  0.067157     23.37    23.88 
CREDIT SUISSE AG LONDON  22552FYA4 10/25/19 10/25/23    100.000     0.000     2.0101     65.75   0.059289   0.059885                                     17.54          
CREDIT SUISSE AG LONDON  22551N4H6 11/29/19 05/29/25    100.000     0.000     2.2500     71.57   0.066839   0.067590   0.068351   0.069120  0.069897     24.25    24.79 
CREDIT SUISSE AG LONDON  22552J336 03/21/22 04/04/29    100.000     0.000     3.5998     28.19   0.101928   0.103762   0.105630   0.107531  0.109467     37.35    38.70 
CREDIT SUISSE AG LONDON  22551NNC6 02/28/20 08/29/24    100.000     0.000     1.7501     50.77   0.050780   0.051222   0.051673   0.052125               18.47    12.38 
CREDIT SUISSE AG LONDON  22549JY95 08/14/19 03/25/24    100.000     0.125     2.2368     77.98   0.066340   0.067043   0.067754                          24.14     5.69 
CREDIT SUISSE AG LONDON  22552W3S2 05/27/20 11/26/25    100.000     0.000     1.5600     41.15   0.045049   0.045400   0.045754   0.046111  0.046471     16.31    16.56 
CREDIT SUISSE AG LONDON  22553PU56 05/06/22 11/02/23    100.000     0.000     3.4142     22.38   0.096422   0.098068                                     29.32          
CREDIT SUISSE AG LONDON  22552XDE0 03/02/21 03/02/28    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 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  22553PW54 05/11/22 11/09/23    100.000     0.000     3.4200     21.93   0.096606   0.098258                                     30.05          
CREDIT SUISSE AG LONDON  22553PXL8 05/18/22 11/16/23    100.000     0.000     3.3700     20.95   0.095171   0.096775                                     30.27          
CREDIT SUISSE AG LONDON  22553PXR5 05/18/22 05/17/29    100.000     0.000     4.4700     27.81   0.126926   0.129763   0.132663   0.135628  0.138660     46.46    48.56 
CREDIT SUISSE AG NASSAU  22549K2A4 06/23/17 06/24/24    100.000     0.500     1.9627    112.49   0.059138   0.059582   0.060028                          21.37    10.38 
CREDIT SUISSE AG, LON BR 22553Q2R7 06/03/22 06/03/26    100.000     0.000     4.1000     23.75   0.116224   0.118606   0.121038   0.123519  0.126051     42.40    44.16 
CREDIT SUISSE AG, LON BR 22553Q3X3 06/30/22 07/01/27    100.000     0.000     4.9800     25.04   0.141797   0.141797   0.148946   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   0.050855   0.051348   0.051846   0.052349  0.052857     18.55    18.91 
DENISON TEX INDPT SCH DI 248415XQ9 02/27/20 08/01/24     92.210     0.000     1.8399     49.32   0.049271   0.049725   0.050182   0.050644               17.96    10.62 
DENISON TEX INDPT SCH DI 248415XP1 02/27/20 08/01/23     94.288     0.000     1.7231     47.17   0.047050   0.047456                                      9.95          
DENISON TEX INDPT SCH DI 248415YD7 02/27/20 08/01/26     87.123     0.000     2.1560     54.81   0.054966   0.055559   0.056158   0.056763  0.057375     20.07    20.51 
DENTON TEX INDPT SCH DIS 249002JG2 12/17/20 08/15/23     98.254     0.000     0.6630     13.35   0.018294   0.018355                                      4.11          
DENTON TEX INDPT SCH DIS 249002JH0 12/17/20 08/15/24     96.610     0.000     0.9442     18.74   0.025737   0.025859   0.025981   0.026104                9.32     5.84 
DENTON TEX INDPT SCH DIS 249002JJ6 12/17/20 08/15/25     95.041     0.000     1.0941     21.39   0.029413   0.029574   0.029736   0.029898  0.030062     10.66    10.78 
DENTON TEX INDPT SCH DIS 249002JK3 12/17/20 08/15/26     92.712     0.000     1.3411     25.62   0.035313   0.035550   0.035788   0.036028  0.036270     12.82    12.99 
DENTON TEX INDPT SCH DIS 249002JL1 12/17/20 08/15/27     91.179     0.000     1.3911     26.15   0.036053   0.036304   0.036557   0.036811  0.037067     13.09    13.28 
DRIPPING SPRINGS TEX IND 262061SV7 09/22/20 02/15/27     91.910     0.000     1.3230     28.00   0.034633   0.034862   0.035093   0.035325  0.035558     12.57    12.74 
DRISCOLL TEX INDPT SCH   262068DE6 01/06/21 08/15/29     88.305     0.000     1.4500     25.71   0.036403   0.036667   0.036933   0.037201  0.037470     13.22    13.42 
DRISCOLL TEX INDPT SCH   262068DF3 01/06/21 08/15/30     84.988     0.000     1.7000     29.07   0.041242   0.041592   0.041946   0.042302  0.042662     15.01    15.26 
DRISCOLL TEX INDPT SCH   262068DC0 01/06/21 08/15/27     92.458     0.000     1.1901     22.05   0.031154   0.031339   0.031526   0.031714  0.031902     11.30    11.43 
DRISCOLL TEX INDPT SCH   262068DD8 01/06/21 08/15/28     90.269     0.000     1.3501     24.46   0.034593   0.034827   0.035062   0.035298  0.035537     12.56    12.73 
DRISCOLL TEX INDPT SCH   262068DB2 01/06/21 08/15/26     94.348     0.000     1.0400     19.64   0.027716   0.027860   0.028005   0.028150  0.028297     10.04    10.15 
DUNCANVILLE TEX INDPT SC 265138LC9 03/24/22 02/15/24     96.692     0.000     1.7859     13.33   0.048302   0.048733   0.049169                          17.58     2.16 
DUNCANVILLE TEX INDPT SC 265138LD7 03/24/22 02/15/25     94.310     0.000     2.0359     14.83   0.053761   0.054308   0.054861   0.055419  0.055983     19.60    20.00 
DUNCANVILLE TEX INDPT SC 265138LE5 03/24/22 02/15/26     92.053     0.000     2.1389     15.21   0.055150   0.055740   0.056336   0.056938  0.057547     20.12    20.55 
DUNCANVILLE TEX INDPT SC 265138LG0 03/24/22 02/15/27     89.897     0.000     2.1890     15.21   0.055130   0.055734   0.056344   0.056960  0.057584     20.12    20.56 
Deutsche Bank AG         25152R5G4 05/26/16 05/26/26    100.000    VARIES     3.0802    197.41   0.083698   0.083986   0.084255   0.084529  0.084788     30.20    30.40 
Deutsche Bank AG         25152RUY7 03/15/13 03/15/33    100.000    VARIES     2.5035    224.64   0.065368   0.065887   0.066412   0.066944  0.067357     23.74    24.10 
Deutsche Bank AG         25152RUV3 01/31/13 01/31/33    100.000    VARIES     2.3745    217.38   0.062326   0.062811   0.063303   0.063800  0.064177     22.67    23.01 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

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     8.07 
Deutsche Bank AG         25152R6M0 09/07/16 09/08/26    100.000    VARIES     3.0640    187.79   0.082867   0.083156   0.083449   0.083728  0.084012     29.95    30.16 
Deutsche Bank AG         25152R2S1 07/31/15 07/31/25    100.000    VARIES     3.0783    228.32   0.085612   0.085599   0.085585   0.085566  0.085548     30.81    30.80 
Deutsche Bank AG         251526BZ1 06/01/18 01/13/26     95.724     4.100     4.7762     23.88   0.015924   0.016304   0.016693   0.017092  0.017500      5.93     6.22 
Deutsche Bank AG London  25155MKM2 03/13/18 05/01/23    100.000     1.000     3.7501    191.23   0.118521                                                14.22          
Deutsche Bank AG London  25155MKU4 04/23/18 05/01/23    103.000     1.000     3.9232    201.81   0.128472                                                15.42          
Deutsche Bank AG London  251526BY4 06/01/18 05/30/24     95.400     3.700     4.5860     34.01   0.022994   0.023521   0.024060                           8.41     3.58 
Diebold Nixdorf Holding  D3130AAA8 12/29/22 07/15/25    100.000    VARIES    13.4500      0.09   0.047339   0.050950   0.053944   0.058367  0.061456     18.34    20.22 
Diebold Nixdorf, Incorpo 25365TAF9 12/29/22 07/15/25     69.750    VARIES    26.6530      0.51   0.253150   0.287783   0.322200   0.368789  0.411233    103.60   124.38 
Diebold Nixdorf, Incorpo 25365TAG7 12/29/22 07/15/25     69.000     7.900    24.6600      0.52   0.259239   0.292011   0.327473   0.367283  0.410165    101.43   127.18 
Diebold Nixdorf, Incorpo 253651AD5 12/29/22 07/15/25     69.000     9.375    26.9800      0.51   0.256625   0.259717   0.294744   0.334500  0.379622     99.27   127.35 
EAGLE MTN & SAGINAW TEX  269696PK0 12/17/20 08/15/24     96.646     0.000     0.9339     18.54   0.025464   0.025583   0.025702   0.025822                9.22     5.78 
EAGLE MTN & SAGINAW TEX  269696PL8 12/17/20 08/15/25     95.306     0.000     1.0341     20.26   0.027849   0.027993   0.028137   0.028283  0.028429     10.09    10.20 
EAGLE MTN & SAGINAW TEX  269696PJ3 12/17/20 08/15/23     98.246     0.000     0.6660     13.41   0.018378   0.018440                                      4.13          
EAGLE MTN & SAGINAW TEX  269696MU1 07/02/20 08/15/25     92.667     0.000     1.4931     35.08   0.039664   0.039960   0.040258   0.040559  0.040862     14.41    14.63 
EAGLE MTN & SAGINAW TEX  269696MV9 07/02/20 08/15/26     89.494     0.000     1.8220     41.48   0.047069   0.047498   0.047931   0.048367  0.048808     17.14    17.45 
EAGLE MTN & SAGINAW TEX  269696MS6 07/02/20 08/15/23     96.405     0.000     1.1770     28.68   0.032314   0.032504                                      7.27          
EAGLE MTN & SAGINAW TEX  269696MT4 07/02/20 08/15/24     94.364     0.000     1.4131     33.78   0.038162   0.038432   0.038703   0.038977               13.86     8.72 
ECTOR CNTY TEX INDPT SCH 279263RD1 12/17/20 08/15/27     90.148     0.000     1.5630     29.09   0.040166   0.040480   0.040796   0.041115  0.041436     14.60    14.83 
ECTOR CNTY TEX INDPT SCH 279263QV2 12/17/20 08/15/26     92.338     0.000     1.4130     26.90   0.037100   0.037362   0.037626   0.037892  0.038160     13.47    13.67 
EDGEWOOD OHIO CITY SCH   280455FH4 12/19/19 12/01/27     77.391     0.000     3.2499     79.53   0.076835   0.078084   0.079353   0.080642  0.081952     27.96    28.88 
EDGEWOOD OHIO CITY SCH   280455FJ0 12/19/19 12/01/28     74.279     0.000     3.3499     78.78   0.076236   0.077512   0.078811   0.080131  0.081473     27.75    28.69 
EDGEWOOD OHIO CITY SCH   280455FG6 12/19/19 12/01/24     86.505     0.000     2.9500     80.38   0.077283   0.078423   0.079579   0.080753               28.10    26.47 
EL PASO TEX INDPT SCH DI 283770NS0 07/22/20 08/15/24     95.211     0.000     1.2112     28.50   0.032841   0.033040   0.033240   0.033441               11.91     7.48 
EL PASO TEX INDPT SCH DI 283770NR2 07/22/20 08/15/23     96.975     0.000     1.0050     24.03   0.027639   0.027778                                      6.22          
EMERY CALIF UNI SCH DIST 291119JT3 09/12/19 08/01/45     39.206     0.000     3.6499     49.77   0.044125   0.044930   0.045750   0.046585  0.047435     16.27    16.87 
EMERY CALIF UNI SCH DIST 291119JS5 09/12/19 08/01/39     49.670     0.000     3.5499     61.24   0.054215   0.055178   0.056157   0.057154  0.058168     19.98    20.70 
EMERY CALIF UNI SCH DIST 291119JR7 09/12/19 08/01/34     61.883     0.000     3.2498     69.55   0.061311   0.062308   0.063320   0.064349  0.065394     22.55    23.29 
EURONET WORLDWIDE INC    298736AJ8 03/18/19 03/15/49    100.000     0.750     5.4000    220.97   0.176412   0.180612   0.184926   0.189357  0.193907     65.17    68.32 
EURONET WORLDWIDE INC    298736AL3 03/18/19 03/15/49    100.000     0.750     5.4000    220.97   0.176412   0.180612   0.184926   0.189357  0.193907     65.17    68.32 
EVERMAN TEX INDPT SCH DI 300371T43 11/19/20 02/15/24     97.048     0.000     0.9272     19.19   0.025401   0.025519   0.025637                           9.20     1.13 
EXPEDIA GROUP INC        U3010DAM2 03/03/21 03/15/31     99.081     2.950     3.3084     59.95   0.091168   0.091205   0.091244   0.091283  0.091322     32.84    32.86 
EXPEDIA GROUP INC        30212PBF1 03/03/21 03/15/31     99.081     2.950     3.3084     59.95   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    25.27 
FLORIDA DEV FIN CORP EDL 34061UGW2 01/28/21 06/15/31     93.000     8.250     9.3165      8.54   0.013662   0.014298   0.014964   0.015661  0.016391      5.05     5.54 
FLOUR BLUFF TEX INDPT SC 343400ER4 08/19/20 08/15/24     96.122     0.000     0.9940     22.83   0.027069   0.027204   0.027339   0.027475                9.81     6.15 
FLOUR BLUFF TEX INDPT SC 343400EQ6 08/19/20 08/15/23     97.548     0.000     0.8323     19.37   0.022929   0.023024                                      5.15          
FRENSHIP TEX INDPT SCH   357866ZJ4 10/29/20 02/15/23     98.355     0.000     0.7241     15.57   0.020043                                                 0.88          
FRISCO TEX INDPT SCH DIS 35880CD50 07/15/20 02/15/25     93.831     0.000     1.3940     32.64   0.037401   0.037662   0.037925   0.038189  0.038455     13.58    13.77 
FRISCO TEX INDPT SCH DIS 35880CD43 07/15/20 02/15/24     95.313     0.000     1.3441     31.95   0.036592   0.036838   0.037086                          13.28     1.63 
FRISCO TEX INDPT SCH DIS 35880CD35 07/15/20 02/15/23     97.133     0.000     1.1291     27.30   0.031188                                                 1.37          
FRISCO TEX INDPT SCH DIS 35880CS54 06/22/21 02/15/29     87.101     0.000     1.8140     24.33   0.044808   0.045214   0.045624   0.046038  0.046456     16.31    16.61 
Federal Home Loan        3134A1H60 10/22/97 06/03/24     16.813     0.000     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      ---------------------------------------------------     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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Florida Developmenatal   34061WCD4 12/28/22 07/15/46     90.000     9.625    10.8030      0.06   0.028400   0.026877   0.025500   0.024193  0.022953      5.59     9.43 
Forney Independent SD    3464243J1 02/18/14 08/15/53      4.514     0.000     8.0005     45.39   0.019529   0.020310   0.021123   0.021968  0.022847      7.39     7.99 
Forney Independent SD    3464243F9 02/18/14 08/15/50      6.021     0.000     7.8503     59.01   0.025248   0.026239   0.027269   0.028339  0.029452      9.54    10.31 
Forney Independent SD    3464243G7 02/18/14 08/15/51      5.475     0.000     7.9003     54.12   0.023200   0.024116   0.025069   0.026059  0.027088      8.77     9.48 
Forney Independent SD    3464243H5 02/18/14 08/15/52      4.974     0.000     7.9503     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   0.157785  0.157769     56.81    56.80 
JOSHUA TEX INDPT SCH DIS 481052UE6 09/17/20 08/15/25     95.042     0.000     1.0381     22.80   0.027954   0.028099   0.028245   0.028391  0.028538     10.13    10.23 
JOSHUA TEX INDPT SCH DIS 481052UD8 09/17/20 08/15/24     96.406     0.000     0.9380     20.88   0.025572   0.025692   0.025813   0.025934                9.26     5.80 
JOSHUA TEX INDPT SCH DIS 481052UF3 09/17/20 08/15/26     92.615     0.000     1.3020     27.93   0.034338   0.034562   0.034787   0.035013  0.035241     12.46    12.63 
JOSHUA TEX INDPT SCH DIS 481052UG1 09/17/20 08/15/27     90.795     0.000     1.4021     29.51   0.036319   0.036574   0.036830   0.037088  0.037348     13.19    13.38 
JOURDANTON TEX INDPT SCH 481124FL4 11/19/20 02/15/28     87.771     0.000     1.8099     34.14   0.045532   0.045944   0.046360   0.046780  0.047203     16.58    16.88 
JOURDANTON TEX INDPT SCH 481124FH3 11/19/20 02/15/25     95.255     0.000     1.1500     23.41   0.031042   0.031221   0.031400   0.031581  0.031762     11.26    11.39 
JOURDANTON TEX INDPT SCH 481124FK6 11/19/20 02/15/27     90.367     0.000     1.6300     31.60   0.042088   0.042431   0.042777   0.043126  0.043477     15.31    15.56 
JOURDANTON TEX INDPT SCH 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. HOVNANIAN ENTERPRISES 442488CH3 02/01/18 02/01/40     48.820     5.000    11.3861     35.53   0.025545   0.026999   0.028537   0.030161  0.031878      9.91    11.07 
KELLER TEX INDPT SCH DIS 487694TM3 10/14/20 02/15/25     95.895     0.000     0.9690     20.75   0.026273   0.026400   0.026528   0.026657  0.026786      9.52     9.61 
KEMP TEX INDPT SCH DIST  488386KG7 01/20/22 02/15/27     91.578     0.000     1.7429     15.19   0.044778   0.045168   0.045562   0.045959  0.046359     16.30    16.58 
KENEDY TEX INDPT SCH DIS 488836JE8 11/18/20 08/15/29     84.616     0.000     1.9200     34.99   0.046655   0.047103   0.047555   0.048012  0.048473     17.00    17.33 
KENEDY TEX INDPT SCH DIS 488836JD0 11/18/20 08/15/28     86.913     0.000     1.8199     34.04   0.045345   0.045758   0.046174   0.046595  0.047019     16.51    16.81 
KERMIT TEX INDPT SCH DIS 492224EX4 08/31/21 02/15/25     96.611     0.000     0.9994     12.96   0.027078   0.027213   0.027349   0.027486  0.027623      9.81     9.91 
KFW                      500769BR4 04/19/06 04/18/36     19.779     0.000     5.4760    289.80   0.073354   0.075362   0.077425   0.079545  0.081723     27.07    28.57 
KFW                      500769CH5 06/29/07 06/29/37     18.097     0.000     5.7800    256.87   0.070275   0.072306   0.074396   0.076546  0.078758     25.67    27.18 
KINGS LOC SCH DIST OHIO  496026MA0 01/29/20 12/01/31     68.518     0.000     3.2189     67.05   0.067079   0.068159   0.069256   0.070371  0.071503     24.41    25.20 
KINGSVILLE TEX INDPT SCH 496800QV8 08/18/21 02/15/33     76.454     0.000     2.3500     24.87   0.051077   0.051677   0.052285   0.052899  0.053521     18.66    19.10 
KIRBYVILLE TEX CONS INDP 497332KB1 09/29/20 02/15/25     95.643     0.000     1.0201     22.21   0.027625   0.027766   0.027908   0.028050  0.028193     10.01    10.11 
KIRBYVILLE TEX CONS INDP 497332KC9 09/29/20 02/15/26     93.418     0.000     1.2700     27.07   0.033749   0.033963   0.034179   0.034396  0.034614     12.25    12.40 
KIRBYVILLE TEX CONS INDP 497332KD7 09/29/20 02/15/27     91.602     0.000     1.3800     28.87   0.036034   0.036282   0.036533   0.036785  0.037038     13.08    13.27 
Kansas City Southern     U24468AF4 12/09/15 05/15/23     95.360     3.000     3.7202     43.77   0.019640                                                 2.63          
Kansas City Southern     U24468AB3 12/09/15 05/15/43     90.810     4.300     4.9136     13.48   0.006301   0.006455   0.006614   0.006776  0.006943      2.31     2.43 
Kansas City Southern     485170AJ3 12/09/15 05/15/43     90.810     4.300     4.9136     13.48   0.006301   0.006455   0.006614   0.006776  0.006943      2.31     2.43 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Kansas City Southern     485170AV6 12/09/15 05/15/23     95.360     3.000     3.7202     43.77   0.019640                                                 2.63          
Kansas City Southern     485170AX2 12/09/15 05/15/43     90.810     4.300     4.9136     13.48   0.006301   0.006455   0.006614   0.006776  0.006943      2.31     2.43 
Kansas City Southern     485170AP9 12/09/15 05/15/23     95.360     3.000     3.7202     43.77   0.019640                                                 2.63          
Kansas City Southern     485170AQ7 12/09/15 05/15/43     90.810     4.300     4.9136     13.48   0.006301   0.006455   0.006614   0.006776  0.006943      2.31     2.43 
LA PORTE TEX INDPT SCH   504102V76 03/09/21 02/15/26     95.563     0.000     0.9221     16.06   0.024801   0.024915   0.025030   0.025146  0.025261      8.98     9.06 
LA PORTE TEX INDPT SCH   504102V84 03/09/21 02/15/27     93.152     0.000     1.1991     20.39   0.031564   0.031754   0.031944   0.032135  0.032328     11.45    11.59 
LA PORTE TEX INDPT SCH   504102V92 03/09/21 02/15/28     91.162     0.000     1.3390     22.31   0.034563   0.034794   0.035027   0.035262  0.035498     12.55    12.72 
LA PORTE TEX INDPT SCH   504102V43 03/09/21 02/15/23     99.201     0.000     0.4154      7.48   0.011514                                                 0.51          
LA PORTE TEX INDPT SCH   504102V50 03/09/21 02/15/24     98.439     0.000     0.5371      9.61   0.014799   0.014839   0.014878                           5.35     0.65 
LA PORTE TEX INDPT SCH   504102V68 03/09/21 02/15/25     97.014     0.000     0.7722     13.64   0.021040   0.021121   0.021203   0.021285  0.021367      7.61     7.67 
LA PORTE TEX INDPT SCH   504102W26 03/09/21 02/15/29     87.964     0.000     1.6230     26.14   0.040587   0.040916   0.041248   0.041583  0.041921     14.76    15.00 
LA SALLE BUREAU & LEE CN 504354DK4 06/30/17 12/01/24    104.424     3.875     3.1886    181.65   0.089742   0.089457   0.089167   0.088872               32.24    29.37 
LA SALLE BUREAU & LEE CN 504354DJ7 06/30/17 12/01/23    103.755     3.750     3.0878    174.74   0.086328   0.086053                                     28.44          
LA SALLE BUREAU & LEE CN 504354DL2 06/30/17 12/01/25    104.194     3.875     3.2895    187.45   0.092891   0.092648   0.092402   0.092151  0.091896     33.38    33.20 
LAGO VISTA TEX SPL ASSMT 507081AZ0 08/19/20 09/01/23     88.023     0.000     4.2497     92.17   0.113187   0.115592                                     27.60          
LAKE TRAVIS TEX INDPT SC 511074VM5 10/28/20 02/15/24     97.139     0.000     0.8822     18.78   0.024185   0.024291   0.024399                           8.75     1.07 
LEANDER TEX INDPT SCH DI 521841WW2 09/09/20 08/15/26     93.781     0.000     1.0851     23.75   0.028864   0.029020   0.029178   0.029336  0.029495     10.46    10.58 
LEANDER TEX INDPT SCH DI 521841WV4 09/09/20 08/15/25     95.817     0.000     0.8680     19.38   0.023493   0.023595   0.023697   0.023800  0.023903      8.50     8.58 
LEANDER TEX INDPT SCH DI 521841WU6 09/09/20 08/15/24     97.068     0.000     0.7580     17.12   0.020739   0.020817   0.020896   0.020976                7.50     4.70 
LEANDER TEX INDPT SCH DI 521841E28 06/23/21 08/15/30     84.104     0.000     1.9020     24.60   0.045409   0.045841   0.046277   0.046717  0.047161     16.54    16.86 
LEANDER TEX INDPT SCH DI 521841E36 06/23/21 08/15/31     81.620     0.000     2.0120     25.27   0.046674   0.047144   0.047618   0.048097  0.048581     17.02    17.36 
LEANDER TEX INDPT SCH DI 521841D94 06/23/21 08/15/29     86.476     0.000     1.7920     23.82   0.043933   0.044327   0.044724   0.045125  0.045529     15.99    16.28 
LEANDER TEX INDPT SCH DI 521841D86 06/23/21 08/15/28     89.415     0.000     1.5721     21.58   0.039752   0.040065   0.040380   0.040697  0.041017     14.45    14.68 
LEANDER TEX INDPT SCH DI 521841D78 06/23/21 08/15/27     91.773     0.000     1.4020     19.74   0.036318   0.036572   0.036829   0.037087  0.037347     13.19    13.38 
LEANDER TEX INDPT SCH DI 521841D45 06/23/21 08/15/24     98.238     0.000     0.5661      8.49   0.015549   0.015593   0.015637   0.015681                5.62     3.51 
LEANDER TEX INDPT SCH DI 521841D37 06/23/21 08/15/23     99.263     0.000     0.3452      5.23   0.009557   0.009573                                      2.14          
LEANDER TEX INDPT SCH DI 521841D60 06/23/21 08/15/26     94.300     0.000     1.1440     16.52   0.030361   0.030534   0.030709   0.030885  0.031061     11.01    11.13 
LEANDER TEX INDPT SCH DI 521841D52 06/23/21 08/15/25     96.410     0.000     0.8841     13.04   0.023916   0.024021   0.024128   0.024234  0.024341      8.66     8.73 
LEVELLAND TEX CONS INDPT 527318KY4 09/29/20 02/15/29     86.864     0.000     1.6880     33.58   0.042035   0.042390   0.042747   0.043108  0.043472     15.29    15.55 
LEVELLAND TEX CONS INDPT 527318KZ1 09/29/20 02/15/30     84.625     0.000     1.7880     34.68   0.043460   0.043849   0.044241   0.044636  0.045035     15.82    16.11 
LIBERTY BROADBAND CORPOR 530307AE7 02/28/23 03/31/53    100.000    VARIES     7.2500                        0.202571   0.207389   0.211778  0.216389     61.11    76.25 
LIBERTY MEDIA CORPORATIO 531229AR3 09/14/23 09/30/53    100.000     2.375     7.2200                                   0.201878   0.207167  0.212333     21.46    74.60 
LIBERTY TRIPADVISOR HOLD 531465AA0 03/25/21 06/30/51    100.000     0.500     6.0428    110.68   0.184921   0.190088   0.195412   0.200897  0.206547     67.51    71.35 
LITTLE ELM TEX INDPT SCH 5370962X6 12/19/19 08/15/24     89.879     0.000     2.3049     64.73   0.061156   0.061861   0.062574   0.063295               22.34    14.15 
LITTLE ELM TEX INDPT SCH 5370962W8 12/19/19 08/15/23     92.463     0.000     2.1548     62.13   0.058587   0.059218                                     13.24          
LITTLE ELM TEX INDPT SCH 5370962Z1 12/19/19 08/15/26     83.845     0.000     2.6647     70.13   0.066583   0.067470   0.068369   0.069280  0.070203     24.37    25.03 
LITTLE ELM TEX INDPT SCH 5370962Y4 12/19/19 08/15/25     86.818     0.000     2.5148     68.40   0.064810   0.065625   0.066450   0.067286  0.068132     23.70    24.30 
LITTLE ELM TEX INDPT SCH 5370963A5 12/19/19 08/15/27     80.942     0.000     2.7808     70.76   0.067281   0.068217   0.069165   0.070127  0.071102     24.65    25.34 
LOCKHART TEX INDPT SCH   539770LC9 10/15/20 08/01/24     97.118     0.000     0.7721     16.69   0.021120   0.021202   0.021283   0.021366                7.64     4.48 
LOCKHART TEX INDPT SCH   539770LD7 10/15/20 08/01/25     95.914     0.000     0.8720     18.63   0.023598   0.023701   0.023804   0.023908  0.024012      8.54     8.62 
LOCKHART TEX INDPT SCH   539770LE5 10/15/20 08/01/26     93.754     0.000     1.1161     23.36   0.029653   0.029818   0.029985   0.030152  0.030320     10.75    10.87 
LONDON TEX INDPT SCH DIS 542119HV7 11/18/20 08/15/28     86.846     0.000     1.8299     34.20   0.045569   0.045986   0.046406   0.046831  0.047259     16.59    16.90 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

LONDON TEX INDPT SCH DIS 542119HW5 11/18/20 08/15/29     84.543     0.000     1.9299     35.14   0.046865   0.047317   0.047774   0.048235  0.048700     17.08    17.41 
LONDON TEX INDPT SCH DIS 542119HX3 11/18/20 08/15/30     82.138     0.000     2.0300     35.94   0.047975   0.048462   0.048954   0.049451  0.049953     17.49    17.85 
LORENA TEX INDPT SCH DIS 544061PG3 11/18/20 08/15/30     81.743     0.000     2.0800     36.67   0.048962   0.049471   0.049986   0.050506  0.051031     17.86    18.23 
LORENA TEX INDPT SCH DIS 544061PD0 11/18/20 08/15/27     89.513     0.000     1.6500     31.74   0.042217   0.042565   0.042916   0.043270  0.043627     15.36    15.61 
LORENA TEX INDPT SCH DIS 544061PC2 11/18/20 08/15/26     92.039     0.000     1.4500     28.63   0.038015   0.038291   0.038568   0.038848  0.039129     13.81    14.01 
LORENA TEX INDPT SCH DIS 544061PF5 11/18/20 08/15/29     84.178     0.000     1.9799     35.91   0.047912   0.048386   0.048865   0.049349  0.049838     17.46    17.81 
LORENA TEX INDPT SCH DIS 544061PE8 11/18/20 08/15/28     86.846     0.000     1.8299     34.20   0.045569   0.045986   0.046406   0.046831  0.047259     16.59    16.90 
LORENA TEX INDPT SCH DIS 544061PB4 11/18/20 08/15/25     94.574     0.000     1.1799     23.89   0.031639   0.031826   0.032013   0.032202  0.032392     11.47    11.61 
LUBBOCK COOPER TEX INDPT 549108VM7 07/28/20 02/15/23     97.417     0.000     1.0300     24.58   0.028464                                                 1.25          
LUBBOCK COOPER TEX INDPT 549108VN5 07/28/20 02/15/24     95.669     0.000     1.2520     29.40   0.034134   0.034347   0.034563                          12.39     1.52 
LUBBOCK COOPER TEX INDPT 549108VT2 07/28/20 02/15/29     84.101     0.000     2.0361     42.36   0.049580   0.050084   0.050594   0.051109  0.051630     18.08    18.45 
LUBBOCK COOPER TEX INDPT 549108VU9 07/28/20 02/15/30     82.026     0.000     2.0861     42.35   0.049594   0.050111   0.050634   0.051162  0.051696     18.09    18.47 
LUBBOCK COOPER TEX INDPT 549108VV7 07/28/20 02/15/31     78.683     0.000     2.2859     44.60   0.052341   0.052939   0.053545   0.054157  0.054776     19.11    19.55 
LUBBOCK COOPER TEX INDPT 549108VP0 07/28/20 02/15/25     94.014     0.000     1.3620     31.47   0.036572   0.036821   0.037072   0.037324  0.037578     13.28    13.46 
LUBBOCK COOPER TEX INDPT 549108VQ8 07/28/20 02/15/26     91.448     0.000     1.6181     36.45   0.042481   0.042825   0.043172   0.043521  0.043873     15.45    15.70 
LUBBOCK COOPER TEX INDPT 549108VR6 07/28/20 02/15/27     89.114     0.000     1.7681     38.87   0.045373   0.045774   0.046178   0.046587  0.046998     16.52    16.81 
LUBBOCK COOPER TEX INDPT 549108VS4 07/28/20 02/15/28     86.466     0.000     1.9360     41.37   0.048372   0.048840   0.049313   0.049790  0.050272     17.63    17.97 
LUBBOCK COOPER TEX INDPT 549108WF1 07/28/20 02/15/32     75.265     0.000     2.4759     46.30   0.054438   0.055112   0.055794   0.056485  0.057184     19.90    20.40 
LUBBOCK TEX INDPT SCH DI 5492203F6 12/03/19 02/15/23     93.211     0.000     2.2087     65.22   0.060682                                                 2.67          
Liberty Interactive Corp 530610AD6 08/23/16 09/30/46    100.000     1.750     5.2776    373.68   0.183279   0.186832   0.190480   0.194223  0.198066     67.28    69.94 
Liberty Media Corp.      530715AL5 02/10/00 02/15/30    100.000     3.750     9.4298   5221.89   1.360159   1.419378   1.481389   1.546324  1.614320    516.80   563.07 
Liberty Media Corp.      530715AK7 02/10/00 02/15/30    100.000     3.750     9.4298   5221.89   1.360159   1.419378   1.481389   1.546324  1.614320    516.80   563.07 
Liberty Media Corp.      530715AF8 11/16/99 11/15/29    100.000     4.000     9.0690   4713.22   1.193688   1.242777   1.294092   1.347735  1.403809    443.18   480.58 
Liberty Media Corp.      530715AG6 11/16/99 11/15/29    100.000     4.000     9.0690   4713.22   1.193688   1.242777   1.294092   1.347735  1.403809    443.18   480.58 
Liberty Media Corp.      531229AG7 03/06/18 03/31/48    100.000     2.125     4.8953    251.04   0.155007   0.157357   0.159764   0.162231  0.164757     56.66    58.41 
Liberty Media Corp.      531229AK8 11/12/20 12/01/50    100.000     0.500     3.8921     85.53   0.115876   0.117861   0.119884   0.121947  0.124050     42.19    43.65 
Liberty Media Corp.      531229AJ1 11/26/19 12/01/49    100.000     2.750     4.4630    141.41   0.130742   0.131955   0.133195   0.134463  0.135759     47.36    48.26 
Lloyds TSB Bank PLC      5394E8AN9 04/26/12 04/26/27    100.000    VARIES     4.6791    457.48   0.122101   0.123251   0.124233   0.125239  0.126268     44.30    45.04 
Lloyds TSB Bank PLC      5394E8CL1 04/25/14 04/25/34    100.000    VARIES     3.7159    267.66   0.082134   0.083001   0.083885   0.084784  0.085843     29.84    30.49 
Lloyds TSB Bank PLC      5394E8CE7 11/27/13 11/27/33    100.000    VARIES     4.4797    349.83   0.103528   0.104175   0.104836   0.105635  0.106452     37.43    37.94 
Lloyds TSB Bank PLC      5394E8CD9 11/27/13 11/27/28     97.000    VARIES     4.8307    390.50   0.121049   0.121266                                     39.50          
Lloyds TSB Bank PLC      5394E8CC1 10/25/13 10/25/33    100.000    VARIES     5.0339    398.18   0.115342   0.115957   0.116588   0.117440  0.118314     41.72    42.24 
Lloyds TSB Bank PLC      5394E8BY4 07/29/13 07/29/33    100.000    VARIES     4.1865    302.53   0.078490   0.080133   0.081810   0.083523  0.085271     29.06    30.29 
Lloyds TSB Bank PLC      5394E8BV0 07/26/13 07/26/33    100.000    VARIES     4.0718    316.71   0.091790   0.093073   0.094381   0.095755  0.097158     33.68    34.65 
Lloyds TSB Bank PLC      5394E8BT5 07/05/13 07/05/33    100.000    VARIES     4.1638    327.45   0.098495   0.100354   0.102252   0.104190  0.106168     36.45    37.85 
Lloyds TSB Bank PLC      5394E8BR9 04/26/13 04/26/33    100.000    VARIES     3.6255    276.44   0.079576   0.081018   0.082487   0.083982  0.085440     29.10    30.16 
Lloyds TSB Bank PLC      5394E8BN8 02/22/13 02/22/33    100.000    VARIES     3.6892    316.05   0.084626   0.084801   0.085214   0.085635  0.086064     30.57    30.86 
Lloyds TSB Bank PLC      5394E8BK4 01/31/13 01/31/33    100.000    VARIES     3.6033    316.53   0.085589   0.085952   0.086321   0.086698  0.087131     30.99    31.27 
Lloyds TSB Bank PLC      5394E8BE8 07/23/12 07/23/24     96.000    VARIES     4.6384     33.47   0.011111   0.011369   0.011632   0.011902                4.13     2.40 
MADISON OHIO LOC SCH DIS 558090KE5 12/30/19 12/01/30     70.024     0.000     3.2899     72.11   0.070389   0.071547   0.072724   0.073920  0.075136     25.62    26.47 
MADISON OHIO LOC SCH DIS 558090KF2 12/30/19 12/01/31     66.986     0.000     3.3899     71.17   0.069581   0.070761   0.071960   0.073180  0.074420     25.33    26.20 
MANSFIELD TEX INDPT SCH  564386RT9 10/29/20 02/15/24     97.062     0.000     0.9071     19.28   0.024859   0.024971   0.025085                           9.00     1.10 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

MARSHALL TEX INDPT SCH   572682RV6 02/11/21 02/15/25     96.566     0.000     0.8731     16.02   0.023729   0.023833   0.023937   0.024041  0.024146      8.59     8.66 
MARSHALL TEX INDPT SCH   572682RW4 02/11/21 02/15/26     95.015     0.000     1.0230     18.49   0.027421   0.027561   0.027702   0.027844  0.027986      9.93    10.04 
MARSHALL TEX INDPT SCH   572682RT1 02/11/21 02/15/23     99.173     0.000     0.4133      7.77   0.011458                                                 0.50          
MARSHALL TEX INDPT SCH   572682RU8 02/11/21 02/15/24     98.059     0.000     0.6520     12.13   0.017935   0.017994   0.018052                           6.48     0.79 
MC BRAZIL DOWNSTREAM TRA L626A6AA2 07/21/21 06/30/31    100.000     7.250     0.0000    105.79   0.191431   0.184612   0.176554   0.165891  0.154749     67.69    61.64 
MC BRAZIL DOWNSTREAM TRA 55292WAA8 07/21/21 06/30/31    100.000     7.250     0.0000    105.79   0.191431   0.184612   0.176554   0.165891  0.154749     67.69    61.64 
MC GREGOR TEX INDPT SCH  580730LR8 08/18/20 02/15/33     70.673     0.000     2.7980     48.11   0.058055   0.058867   0.059691   0.060526  0.061373     21.27    21.87 
MC GREGOR TEX INDPT SCH  580730LQ0 08/18/20 02/15/32     73.911     0.000     2.6480     47.55   0.057289   0.058047   0.058816   0.059595  0.060384     20.97    21.53 
MC LENNAN CNTY TEX JR CO 582188LF3 05/26/21 08/15/24     97.606     0.000     0.7540     11.81   0.020632   0.020710   0.020788   0.020866                7.46     4.67 
MELISSA TEX INDPT SCH DI 585488VG1 11/24/20 02/01/24     96.927     0.000     0.9819     20.18   0.026878   0.027010   0.027143                           9.74     0.81 
MELISSA TEX INDPT SCH DI 585488VH9 11/24/20 02/01/25     95.384     0.000     1.1321     22.92   0.030571   0.030744   0.030918   0.031093  0.031269     11.09    11.21 
MELISSA TEX INDPT SCH DI 585488VJ5 11/24/20 02/01/26     93.269     0.000     1.3481     26.73   0.035726   0.035967   0.036209   0.036453  0.036699     12.98    13.15 
MELISSA TEX INDPT SCH DI 585488VK2 11/24/20 02/01/27     91.181     0.000     1.4979     29.08   0.038906   0.039198   0.039491   0.039787  0.040085     14.15    14.36 
MESQUITE TEX INDPT SCH   590760UA0 09/30/21 08/15/28     90.002     0.000     1.5380     17.45   0.038970   0.039270   0.039572   0.039876  0.040183     14.16    14.38 
MESQUITE TEX INDPT SCH   590760UB8 09/30/21 08/15/33     76.847     0.000     2.2299     21.67   0.048533   0.049074   0.049621   0.050175  0.050734     17.72    18.11 
MESQUITE TEX INDPT SCH   590760TX2 09/30/21 08/15/25     96.330     0.000     0.9672     11.72   0.026100   0.026226   0.026353   0.026480  0.026608      9.45     9.54 
MESQUITE TEX INDPT SCH   590760TW4 09/30/21 08/15/24     98.160     0.000     0.6470      7.98   0.017741   0.017798   0.017856   0.017913                6.41     4.01 
MESQUITE TEX INDPT SCH   590760TV6 09/30/21 08/15/23     99.273     0.000     0.3895      4.85   0.010778   0.010799                                      2.42          
MESQUITE TEX INDPT SCH   590760TZ7 09/30/21 08/15/27     92.195     0.000     1.3879     16.12   0.035978   0.036227   0.036479   0.036732  0.036987     13.07    13.25 
MESQUITE TEX INDPT SCH   590760TY0 09/30/21 08/15/26     94.668     0.000     1.1271     13.43   0.029932   0.030100   0.030270   0.030440  0.030612     10.85    10.97 
MESQUITE TEX INDPT SCH   590760TG9 09/30/21 08/15/30     85.371     0.000     1.7900     19.29   0.043116   0.043502   0.043891   0.044284  0.044680     15.70    15.98 
MESQUITE TEX INDPT SCH   590760TH7 09/30/21 08/15/31     82.561     0.000     1.9499     20.33   0.045485   0.045929   0.046377   0.046829  0.047285     16.58    16.90 
MESQUITE TEX INDPT SCH   590760TF1 09/30/21 08/15/23     99.273     0.000     0.3895      4.85   0.010778   0.010799                                      2.42          
MIAMI TEX INDPT SCH DIST 593745BR2 10/21/20 02/15/31     77.389     0.000     2.4998     43.39   0.056221   0.056924   0.057635   0.058356  0.059085     20.56    21.08 
MIAMI TEX INDPT SCH DIST 593745BQ4 10/21/20 02/15/30     80.069     0.000     2.4000     43.06   0.055744   0.056412   0.057089   0.057774  0.058468     20.37    20.86 
MIAMI TRACE OHIO LOC SCH 593779JR3 12/23/21 12/01/33     71.666     0.000     2.8100     20.75   0.057424   0.058231   0.059049   0.059879  0.060720     20.87    21.46 
MIAMI TRACE OHIO LOC SCH 593779JS1 12/23/21 12/01/34     68.373     0.000     2.9600     20.87   0.057790   0.058646   0.059514   0.060394  0.061288     21.01    21.64 
MIAMI TRACE OHIO LOC SCH 593779JT9 12/23/21 12/01/35     65.488     0.000     3.0599     20.67   0.057274   0.058151   0.059040   0.059943  0.060861     20.83    21.47 
MICHIGAN FIN AUTH REV    59447TJ20 10/15/20 06/01/45     20.693     0.000     6.4997     31.48   0.042812   0.044203   0.045640   0.047123  0.048655     15.75    16.79 
MIDDLETOWN OHIO CITY SCH 597137JR0 12/19/19 12/01/35     57.219     0.000     3.5309     64.11   0.062227   0.063325   0.064443   0.065581  0.066739     22.67    23.47 
MIDDLETOWN OHIO CITY SCH 597137JS8 12/19/19 12/01/36     55.067     0.000     3.5510     62.07   0.060261   0.061331   0.062420   0.063528  0.064656     21.95    22.74 
MIDDLETOWN OHIO CITY SCH 597137JP4 12/19/19 12/01/33     62.215     0.000     3.4310     67.65   0.065554   0.066678   0.067822   0.068986  0.070169     23.87    24.70 
MIDDLETOWN OHIO CITY SCH 597137JQ2 12/19/19 12/01/34     59.694     0.000     3.4810     65.90   0.063907   0.065019   0.066150   0.067302  0.068473     23.27    24.09 
MIDDLETOWN OHIO CITY SCH 597137JN9 12/19/19 12/01/32     65.193     0.000     3.3310     68.74   0.066496   0.067604   0.068729   0.069874  0.071038     24.20    25.02 
MIDLOTHIAN 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   0.054996   0.055645   0.056302  0.056966     19.76    20.23 
NORTHMONT OHIO CITY SCH  666586MB5 07/22/20 11/01/31     75.897     0.000     2.4609     46.74   0.054852   0.055527   0.056210   0.056902  0.057602     19.95    20.44 
NORTHRIDGE OHIO LOC SCH  666705GM4 02/10/21 12/01/35     64.917     0.000     2.9389     36.86   0.055868   0.056689   0.057522   0.058367  0.059225     20.31    20.91 
NORTHRIDGE OHIO LOC SCH  666705GN2 02/10/21 12/01/36     62.076     0.000     3.0389     36.47   0.055339   0.056180   0.057034   0.057900  0.058780     20.12    20.74 
NORTHRIDGE OHIO LOC SCH  666705GP7 02/10/21 12/01/37     59.656     0.000     3.0969     35.74   0.054253   0.055093   0.055946   0.056813  0.057692     19.73    20.35 
NORTHRIDGE OHIO LOC SCH  666705GQ5 02/10/21 12/01/38     57.346     0.000     3.1468     34.92   0.053041   0.053875   0.054723   0.055584  0.056459     19.30    19.91 
NORTHWEST OHIO LOC SCH   667712CP6 11/15/19 12/01/39     47.272     0.000     3.7730     58.65   0.055516   0.056564   0.057631   0.058718  0.059826     20.24    21.01 
NORTHWEST OHIO LOC SCH   667712CQ4 11/15/19 12/01/40     45.070     0.000     3.8230     56.69   0.053711   0.054738   0.055785   0.056851  0.057938     19.58    20.34 
NORTHWEST OHIO LOC SCH   667712CN1 11/15/19 12/01/38     49.534     0.000     3.7230     60.60   0.057315   0.058382   0.059468   0.060575  0.061703     20.89    21.67 
NORTHWEST TEX INDPT SCH  667826BS9 04/07/22 02/15/24     96.351     0.000     2.0128     14.27   0.054257   0.054803   0.055354                          19.78     2.44 
NORWOOD OHIO CITY SCH DI 669674DL4 11/16/21 11/01/25     94.686     0.000     1.3842     14.82   0.036891   0.037146   0.037404   0.037662  0.037923     13.36    13.54 
NORWOOD OHIO CITY SCH DI 669674DK6 11/16/21 11/01/24     96.929     0.000     1.0571     11.57   0.028751   0.028903   0.029056   0.029210               10.40     8.74 
NORWOOD OHIO CITY SCH DI 669674DJ9 11/16/21 11/01/23     98.714     0.000     0.6620      7.37   0.018268   0.018329                                      5.49          
NORWOOD OHIO CITY SCH DI 669674DP5 11/16/21 11/01/28     86.798     0.000     2.0451     20.11   0.050280   0.050794   0.051313   0.051838  0.052368     18.26    18.63 
NORWOOD OHIO CITY SCH DI 669674DN0 11/16/21 11/01/27     89.476     0.000     1.8750     19.00   0.047442   0.047887   0.048336   0.048789  0.049247     17.21    17.54 
NORWOOD OHIO CITY SCH DI 669674DM2 11/16/21 11/01/26     92.475     0.000     1.5840     16.57   0.041308   0.041636   0.041965   0.042298  0.042633     14.97    15.21 
NORWOOD OHIO CITY SCH DI 669674DT7 11/16/21 11/01/32     74.157     0.000     2.7470     23.14   0.058086   0.058884   0.059692   0.060512  0.061343     21.15    21.74 
NORWOOD OHIO CITY SCH DI 669674DS9 11/16/21 11/01/31     77.340     0.000     2.5970     22.80   0.057189   0.057932   0.058684   0.059446  0.060218     20.81    21.36 
NORWOOD OHIO CITY SCH DI 669674DR1 11/16/21 11/01/30     80.778     0.000     2.3971     21.96   0.055029   0.055688   0.056356   0.057031  0.057715     20.01    20.49 
NORWOOD OHIO CITY SCH DI 669674DQ3 11/16/21 11/01/29     83.708     0.000     2.2471     21.33   0.053380   0.053980   0.054586   0.055200  0.055820     19.40    19.84 
NUTRIEN LTD              67077MAD0 04/10/18 04/01/25     94.730     3.000     3.8693     34.15   0.021941   0.022366   0.022799   0.023240  0.023689      8.05     8.37 
NUTRIEN LTD              67077MAE8 04/10/18 12/15/26     97.410     4.000     4.3616     12.89   0.008451   0.008636   0.008824   0.009017  0.009213      3.08     3.22 
NY State Dorm Auth       649902ZR7 10/20/09 09/15/25     86.380     5.800     7.2575    101.00   0.032691   0.033877   0.035107   0.036381  0.037701     12.24    13.14 
National Bank of Canada  63305LRE5 03/06/23 03/04/27    100.000     0.000     4.9260                        0.136833   0.140166   0.143618  0.147156     40.76    51.90 
National Bank of Canada  63305LRD7 03/06/23 03/06/28    100.000     0.000     4.3735                        0.121486   0.124143   0.126857  0.129631     36.14    45.81 
National Bank of Canada  63305LQP1 02/02/23 02/28/24    100.000     0.000     5.3425             0.148403   0.148975   0.152955                          49.49     8.72 
National Rural Utilities 637432KV6 02/06/08 12/15/23     87.915     0.000     0.8138    113.12   0.022424   0.022515                                      7.73          
Natixis US MTN LLC       63873HME1 10/31/13 10/31/33    100.000    VARIES     4.5708    365.98   0.108508   0.109262   0.110034   0.110823  0.111630     39.29    39.85 
Natixis US MTN LLC       63873HKC7 04/30/14 04/30/34    100.000    VARIES     4.2409    328.83   0.103771   0.104071   0.104409   0.104754  0.105107     37.45    37.69 
Natixis US MTN LLC       63873HKA1 07/31/13 07/31/28    100.000    VARIES     4.2606    362.68   0.109266   0.110052   0.110854   0.111599  0.112360     39.72    40.27 
Natixis US MTN LLC       63873HJU9 04/30/14 04/30/34    100.000    VARIES     4.2419    327.35   0.103258   0.103537   0.103988   0.104449  0.104920     37.27    37.58 
Natixis US MTN LLC       63873HJT2 12/27/13 12/27/33    100.000    VARIES     4.8026    386.44   0.120720   0.121441   0.122180   0.122937  0.123711     43.59    44.13 
Natixis US MTN LLC       63873HMW1 11/27/13 11/27/33    100.000    VARIES     4.5649    374.52   0.114794   0.115473   0.116168   0.116878  0.117604     41.49    42.00 
Natixis US Medium        63873HLU6 07/31/14 07/31/34    100.000    VARIES     3.9932    317.06   0.105262   0.105500   0.105743   0.105900  0.106060     38.01    38.14 
Natixis US Medium Term   63873HLN2 08/29/13 08/29/33    100.000    VARIES     4.5781    393.03   0.117795   0.119130   0.118531   0.120552  0.120625     43.33    44.01 
New Jersey Economic      645913BE3 06/30/97 02/15/26     11.676     0.000     7.6447    674.52   0.163313   0.169555   0.176036   0.182765  0.189751     61.65    66.45 
New Jersey Economic      645913BD5 06/30/97 02/15/25     12.602     0.000     7.6398    726.99   0.175945   0.182666   0.189643   0.196887  0.204408     66.41    71.58 
New Jersey Economic      645913BC7 06/30/97 02/15/24     13.601     0.000     7.6347    783.46   0.189530   0.196765   0.204276                          71.54     8.99 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

New Jersey Economic      645913BB9 06/30/97 02/15/23     14.678     0.000     7.6295    844.24   0.204143                                                 8.98          
Newark, NJ               6503668C4 04/10/03 04/01/32     15.279     0.000     6.5900    396.23   0.098873   0.102130   0.105496   0.108972  0.112562     36.78    39.24 
Newark, NJ               6503668D2 04/10/03 04/01/33     14.320     0.000     6.5899    371.36   0.092665   0.095718   0.098872   0.102130  0.105495     34.47    36.78 
Newark, NJ               6503667Z4 04/10/03 04/01/29     18.653     0.000     6.5700    481.18   0.119889   0.123828   0.127895   0.132097  0.136436     44.59    47.57 
Newark, NJ               6503668A8 04/10/03 04/01/30     17.440     0.000     6.5800    451.08   0.112473   0.116174   0.119996   0.123943  0.128021     41.83    44.63 
Newark, NJ               6503668B6 04/10/03 04/01/31     16.302     0.000     6.5901    422.77   0.105496   0.108973   0.112563   0.116272  0.120104     39.24    41.87 
Newark, NJ               6503667T8 04/10/03 04/01/23     28.029     0.000     6.4699    704.04   0.174089                                                15.67          
Newark, NJ               6503667U5 04/10/03 04/01/24     26.193     0.000     6.4900    661.46   0.163808   0.169123   0.174611                          60.90    15.72 
Newark, NJ               6503667X9 04/10/03 04/01/27     21.327     0.000     6.5499    547.23   0.136137   0.140596   0.145200   0.149955  0.154866     50.63    54.00 
Newark, NJ               6503667Y7 04/10/03 04/01/28     19.947     0.000     6.5600    513.20   0.127768   0.131959   0.136287   0.140758  0.145375     47.52    50.69 
Newark, NJ               6503667V3 04/10/03 04/01/25     24.468     0.000     6.5100    621.20   0.154071   0.159086   0.164265   0.169612  0.175132     57.29    61.08 
Newark, NJ               6503667W1 04/10/03 04/01/26     22.848     0.000     6.5299    583.16   0.144856   0.149585   0.154469   0.159512  0.164720     53.86    57.44 
Nomura America Finance   65539AAG5 11/24/10 11/24/25    100.000    VARIES     5.5492    566.81   0.135965   0.138519   0.141144   0.143841  0.146614     49.60    51.50 
Nomura America Finance   65539ACG3 01/22/16 01/22/23    103.000     0.125     3.0300    238.22   0.104658                                                 2.20          
Nomura America Finance   655365AA2 12/31/13 12/31/33    100.000    VARIES     4.5379    341.18   0.102435   0.103807   0.105211   0.106521  0.107860     37.13    38.11 
Nomura America Finance   65539ABB5 02/28/14 02/28/34    100.000    VARIES     4.5092    333.15   0.099465   0.099048   0.101383   0.101542  0.104535     36.46    37.52 
Nomura America Finance   65539ABC3 05/30/14 05/30/34    100.000    VARIES     3.7543    288.08   0.091173   0.091444   0.091720   0.092001  0.092392     32.89    33.09 
Nomura America Finance   65539ABE9 07/29/14 07/29/34    100.000    VARIES     4.2954    278.05   0.083200   0.084306   0.085437   0.086592  0.087771     30.49    31.32 
Nomura America Finance   65539ABL3 12/24/14 12/24/34    100.000    VARIES     2.8015    209.89   0.074380   0.074727   0.075078   0.075434  0.075795     26.84    27.10 
OCCIDENTAL PETROLEUM COR 674599DG7 09/18/19 10/10/36     49.134     0.000     4.2087     72.11   0.065254   0.066627   0.068029   0.069461  0.070922     23.96    24.98 
Oregon Community College 68583RAV4 04/23/03 06/30/23     28.748     0.000     6.2713    682.29   0.168907                                                30.23          
Oregon School Boards     686053CN7 04/21/03 06/30/23     28.748     0.000     6.2695    682.29   0.168861                                                30.23          
PALMER TEX INDPT SCH DIS 696888HK5 11/19/20 08/01/25     95.500     0.000     0.9820     20.01   0.026488   0.026618   0.026749   0.026880  0.027012      9.60     9.69 
PALMER TEX INDPT SCH DIS 696888HJ8 11/19/20 08/01/24     96.974     0.000     0.8321     17.20   0.022734   0.022829   0.022924   0.023019                8.23     4.83 
PALMER TEX INDPT SCH DIS 696888HM1 11/19/20 08/01/27     91.653     0.000     1.3051     25.59   0.033969   0.034191   0.034414   0.034638  0.034864     12.34    12.50 
PALMER TEX INDPT SCH DIS 696888HL3 11/19/20 08/01/26     93.646     0.000     1.1550     23.11   0.030638   0.030815   0.030993   0.031172  0.031352     11.12    11.24 
PAMPA TEX INDPT SCH DIST 697685FC4 02/16/21 08/15/29     87.041     0.000     1.6401     27.07   0.040635   0.040968   0.041304   0.041643  0.041984     14.78    15.02 
PAMPA TEX INDPT SCH DIST 697685FD2 02/16/21 08/15/30     84.430     0.000     1.7900     28.69   0.043116   0.043502   0.043892   0.044285  0.044681     15.70    15.98 
PAMPA TEX INDPT SCH DIST 697685FE0 02/16/21 08/15/31     81.485     0.000     1.9600     30.36   0.045679   0.046127   0.046579   0.047035  0.047496     16.65    16.98 
PARAMOUNT CALIF UNI SCH  699211PV4 12/10/20 08/01/47     36.281     0.000     3.8417     29.58   0.041214   0.042005   0.042812   0.043635  0.044473     15.22    15.81 
PARAMOUNT CALIF UNI SCH  699211PU6 12/10/20 08/01/41     46.709     0.000     3.7216     36.86   0.051302   0.052257   0.053229   0.054220  0.055229     18.93    19.64 
PARKER CNTY TEX          701060KM6 12/01/20 02/15/24     96.649     0.000     1.0660     21.65   0.029143   0.029298   0.029454                          10.56     1.30 
PARKER CNTY TEX          701060KL8 12/01/20 02/15/23     98.200     0.000     0.8252     17.00   0.022827                                                 1.00          
PDL BIOPHARMA INC        69329YAJ3 09/17/19 12/01/24     97.190     2.750     5.5780     90.36   0.083917   0.086185   0.088514   0.090905               30.74    29.68 
PETROLEOS MEXICANOS      71654QDL3 06/02/22 06/02/29     97.602     8.750     9.2500      1.39   0.008056   0.008444   0.008833   0.009278  0.009667      2.98     3.26 
PHARR SAN JUAN ALAMO TEX 717146WV2 10/26/21 02/01/23     99.369     0.000     0.5014      5.89   0.013893                                                 0.42          
PHARR SAN JUAN ALAMO TEX 717146WY6 10/26/21 02/01/26     94.769     0.000     1.2639     14.21   0.033594   0.033807   0.034020   0.034235  0.034452     12.20    12.35 
PHOENIX INDUSTRIAL DEVEL 71885JAE9 01/31/22 12/15/57      1.025     0.000    13.1843      1.28   0.004198   0.004474   0.004769   0.005084  0.005419      1.57     1.78 
PIC AU HOLDINGS LLC      69291BAA6 01/29/21 12/31/24     91.510    10.000    12.8220     36.53   0.061137   0.065057   0.069228   0.073666               22.72    25.65 
PIC AU HOLDINGS LLC      U7190BAA5 01/29/21 12/31/24     91.510    10.000    12.8220     36.53   0.061137   0.065057   0.069228   0.073666               22.72    25.65 
PIQUA OHIO CITY SCH DIST 724190EX7 02/13/20 12/01/25     87.728     0.000     2.2699     59.02   0.058925   0.059594   0.060270   0.060954  0.061646     21.37    21.86 
PIQUA OHIO CITY SCH DIST 724190EW9 02/13/20 12/01/23     92.646     0.000     2.0199     55.29   0.054993   0.055548                                     18.25          






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

PORT ARTHUR TEX INDPT SC 733505UA7 10/29/20 02/15/30     83.881     0.000     1.9000     35.19   0.045799   0.046234   0.046673   0.047117  0.047564     16.68    17.00 
PORT ARTHUR TEX INDPT SC 733505TX9 10/29/20 02/15/27     91.730     0.000     1.3760     27.74   0.035935   0.036182   0.036431   0.036682  0.036934     13.05    13.23 
PORT ARTHUR TEX INDPT SC 733505TY7 10/29/20 02/15/28     88.383     0.000     1.7000     33.12   0.043024   0.043390   0.043759   0.044131  0.044506     15.65    15.92 
PORT ARTHUR TEX INDPT SC 733505TZ4 10/29/20 02/15/29     86.188     0.000     1.8000     34.23   0.044502   0.044902   0.045306   0.045714  0.046126     16.20    16.50 
PORT ARTHUR TEX INDPT SC 733505TV3 10/29/20 02/15/25     95.741     0.000     1.0160     21.32   0.027516   0.027656   0.027796   0.027937  0.028079      9.97    10.07 
PORT ARTHUR TEX INDPT SC 733505TW1 10/29/20 02/15/26     93.487     0.000     1.2760     26.20   0.033901   0.034118   0.034335   0.034554  0.034775     12.30    12.46 
PORT ARTHUR TEX INDPT SC 733505UM1 10/29/20 02/15/31     81.475     0.000     2.0000     36.01   0.046909   0.047378   0.047852   0.048330  0.048814     17.10    17.44 
PRINCETON OHIO CITY SCH  742327FW4 11/16/21 12/01/31     76.907     0.000     2.6319     22.97   0.057779   0.058540   0.059310   0.060090  0.060881     20.98    21.54 
PRINCETON OHIO CITY SCH  742327FJ3 12/18/19 12/01/35     57.808     0.000     3.4650     63.57   0.061581   0.062648   0.063733   0.064838  0.065961     22.43    23.21 
PRINCETON OHIO CITY SCH  742327FK0 12/18/19 12/01/36     55.393     0.000     3.5149     61.83   0.059946   0.060999   0.062071   0.063162  0.064272     21.83    22.61 
PRINCETON TEX INDPT SCH  742395VV5 05/06/21 02/15/30     82.373     0.000     2.2219     30.66   0.052294   0.052875   0.053462   0.054056  0.054657     19.09    19.52 
PRINCETON TEX INDPT SCH  742395VU7 05/06/21 02/15/29     84.864     0.000     2.1219     30.15   0.051385   0.051930   0.052481   0.053038  0.053600     18.75    19.15 
PRINCETON TEX INDPT SCH  742395VW3 05/06/21 02/15/31     79.798     0.000     2.3219     31.06   0.053005   0.053620   0.054243   0.054873  0.055510     19.36    19.81 
PRINCETON TEX INDPT SCH  742395VQ6 05/06/21 02/15/25     95.336     0.000     1.2691     20.15   0.034156   0.034372   0.034591   0.034810  0.035031     12.39    12.55 
PRINCETON TEX INDPT SCH  742395VR4 05/06/21 02/15/26     93.692     0.000     1.3691     21.38   0.036257   0.036505   0.036755   0.037007  0.037260     13.16    13.35 
PRINCETON TEX INDPT SCH  742395VP8 05/06/21 02/15/24     97.733     0.000     0.8280     13.44   0.022716   0.022810   0.022904                           8.22     1.01 
PRINCETON TEX INDPT SCH  742395VT0 05/06/21 02/15/28     87.768     0.000     1.9349     28.40   0.048347   0.048815   0.049287   0.049764  0.050245     17.62    17.96 
PRINCETON TEX INDPT SCH  742395VS2 05/06/21 02/15/27     90.505     0.000     1.7349     26.23   0.044586   0.044973   0.045363   0.045757  0.046154     16.23    16.51 
PRINCETON TEX INDPT SCH  742395VN3 05/06/21 02/15/23     99.024     0.000     0.5533      9.09   0.015326                                                 0.67          
PUBLIC FIN AUTH WIS ED   74442EHY9 02/24/22 06/15/29     98.000     8.375     8.7511      1.75   0.005987   0.006249   0.006522   0.006808  0.007106      2.21     2.41 
PUBLIC FIN AUTH WIS EDL  74443DGR6 09/24/21 09/01/31     94.000    10.000    11.0080      4.61   0.010767   0.011360   0.011985   0.012644  0.013340      4.09     4.56 
PUBLIC FIN AUTH WIS HEAL 74444KAM6 12/23/19 11/01/24     98.973     6.750     7.0031      5.99   0.006126   0.006340   0.006562   0.006792                2.27     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 RAYBURN TEX INDPT SC 795868EM6 05/06/21 02/15/26     93.333     0.000     1.4500     22.57   0.038293   0.038571   0.038850   0.039132  0.039416     13.91    14.11 
SAM RAYBURN TEX INDPT SC 795868EL8 05/06/21 02/15/25     95.047     0.000     1.3500     21.38   0.036261   0.036506   0.036752   0.037000  0.037250     13.16    13.34 
SAM RAYBURN TEX INDPT SC 795868EN4 05/06/21 02/15/27     89.911     0.000     1.8499     27.80   0.047299   0.047737   0.048178   0.048624  0.049074     17.23    17.55 
SAM RAYBURN TEX INDPT SC 795868EP9 05/06/21 02/15/28     87.094     0.000     2.0498     29.88   0.050898   0.051420   0.051947   0.052479  0.053017     18.56    18.94 
SAN ANGELO TEX INDPT SCH 796116SZ5 09/08/20 02/15/26     93.647     0.000     1.2111     26.54   0.032248   0.032444   0.032640   0.032838  0.033037     11.70    11.84 
SAN ELIZARIO TEX INDPT   797547FD3 12/21/21 05/01/28     89.114     0.000     1.8200     16.76   0.045760   0.046176   0.046596   0.047020  0.047448     16.60    16.90 
SAN MARCOS TEX CONS INDP 798781B25 12/18/19 08/01/24     89.978     0.000     2.2990     64.68   0.061006   0.061707   0.062417   0.063134               22.30    13.24 
SAN MARCOS TEX CONS INDP 798781B41 12/18/19 08/01/26     84.619     0.000     2.5388     67.38   0.063753   0.064562   0.065382   0.066212  0.067052     23.34    23.94 
SAN MARCOS TEX CONS INDP 798781B33 12/18/19 08/01/25     87.215     0.000     2.4489     66.92   0.063235   0.064010   0.064793   0.065587  0.066390     23.14    23.71 
SCHERTZ-CIBOLO-UNVL CITY 806640G28 08/27/20 02/01/37     63.888     0.000     2.7458     42.20   0.051360   0.052065   0.052780   0.053504  0.054239     18.83    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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

SCHERTZ-CIBOLO-UNVL CITY 806640G36 08/27/20 02/01/38     61.743     0.000     2.7858     41.39   0.050398   0.051100   0.051811   0.052533  0.053265     18.48    19.00 
SEADRILL NEW FINANCE LTD 81173JAA7 07/02/18 07/15/26     44.667    VARIES    19.7568    578.88   0.543000   0.609556   0.684722   0.769722  0.865833    230.85   291.69 
SEGUIN TEX INDPT SCH DIS 815853TB2 10/28/20 08/15/26     93.995     0.000     1.0710     22.10   0.028507   0.028659   0.028813   0.028967  0.029122     10.33    10.44 
SEGUIN TEX INDPT SCH DIS 815853TC0 10/28/20 08/15/27     91.934     0.000     1.2410     25.08   0.032405   0.032606   0.032808   0.033012  0.033217     11.76    11.90 
SEGUIN TEX INDPT SCH DIS 815853TD8 10/28/20 08/15/28     88.829     0.000     1.5249     29.85   0.038669   0.038963   0.039260   0.039560  0.039861     14.05    14.27 
SEGUIN TEX INDPT SCH DIS 815853TE6 10/28/20 08/15/29     86.729     0.000     1.6250     31.08   0.040303   0.040631   0.040961   0.041294  0.041629     14.66    14.90 
SG Structured Prods, Inc 83368WKA8 02/21/14 02/21/24    100.000     0.000     3.6893    382.60   0.139826   0.142405   0.145032                          51.48     7.25 
SG Structured Prods, Inc 83368WKB6 02/28/14 02/28/34     91.000    VARIES     4.0373    313.34   0.105947   0.105439   0.107856   0.107953  0.110446     38.81    39.81 
SG 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 Branch     90279FCA7 05/11/22 11/09/23    100.000     0.000     2.5223     16.16   0.070938   0.071832                                     22.01          
UBS AG London Branch     90276BZH9 05/26/21 05/25/28    100.000     0.000     1.7723     28.59   0.050549   0.050997   0.051449   0.051905  0.052365     18.31    18.64 
UBS AG London Branch     90279FBW0 05/10/22 11/09/23    100.000     0.000     2.5222     16.23   0.070939   0.071834                                     22.01          
ULTRA RESOURCES INC      90400GAE1 12/21/18 07/12/24    100.000     9.000     9.0000    246.06   0.218833   0.236556   0.255944   0.277062               88.09    52.88 
USB AG                   90279FJQ5 06/29/22 12/29/23    100.000     0.000     3.1800     16.08   0.089738   0.091165                                     32.38          
USB AG                   90279FKP5 07/07/22 12/29/23    100.000     0.000     2.9000     14.02   0.081672   0.082856                                     29.45          
USB AG                   90279GJ91 07/27/23 07/29/25    100.000     0.000     5.6200                        0.156111   0.156160   0.160548  0.165059     24.05    58.36 
USB AG                   90279GE54 07/20/23 07/20/28    108.580     0.000     5.4600                                   0.164680   0.169175  0.173794     26.51    61.56 
USB AG                   90279GE47 07/25/23 07/24/25    100.000     0.000     4.6000                                   0.127778   0.130700  0.133706     19.93    47.46 
Union CNTY NJ IMPT Auth  906347UT4 11/25/15 12/01/47     18.159     0.000     5.4001     83.52   0.039588   0.040657   0.041755   0.042882  0.044040     14.51    15.30 
Uruguay, Republic        917288BA9 05/29/03 01/15/33     61.000     3.875        N/A    963.77   0.163118   0.165600   0.168237   0.171039  0.174015     60.02    62.03 
VALLEY VIEW TEX INDPT SC 92021PAB2 10/23/20 08/15/23     98.385     0.000     0.5800     12.55   0.016018   0.016065                                      3.60          
VAN TEX INDPT SCH DIST   921254LS5 02/24/22 02/15/36     63.291     0.000     3.3000     17.93   0.058927   0.059899   0.060887   0.061892  0.062913     21.66    22.38 
VAN TEX INDPT SCH DIST   921254LU0 02/24/22 02/15/37     60.358     0.000     3.3999     17.63   0.057925   0.058909   0.059911   0.060929  0.061965     21.30    22.03 
Veritas Capital Trust    92343W300 12/22/97 01/01/28    100.000    10.000    10.0000   2502.50   0.277778   0.277778   0.277778   0.277778  0.277778    100.00   100.00 
Virginia Pub School Auth 92817SPA0 11/13/09 09/15/26     90.643     6.050     7.0050     62.89   0.020141   0.020847   0.021577   0.022332  0.023115      7.53     8.07 
WACO TEX INDPT SCH DIST  929845UM5 03/02/21 08/15/23     98.881     0.000     0.4593      8.34   0.012700   0.012729                                      2.85          
WACO TEX INDPT SCH DIST  929845UN3 03/02/21 08/15/24     98.121     0.000     0.5501      9.92   0.015114   0.015156   0.015197   0.015239                5.46     3.41 
WACO TEX INDPT SCH DIST  929845UP8 03/02/21 08/15/25     96.816     0.000     0.7280     12.97   0.019786   0.019858   0.019930   0.020003  0.020076      7.16     7.21 
WASHINGTON COURT HOUSE   938769FN1 10/21/21 12/01/30     81.926     0.000     2.1999     21.71   0.051297   0.051861   0.052431   0.053008  0.053591     18.60    19.01 
WELLMAN-UNION TEX CONS   94990ABC5 08/26/20 08/15/25     94.037     0.000     1.2410     27.71   0.033217   0.033423   0.033630   0.033839  0.034049     12.05    12.20 
WELLMAN-UNION TEX CONS   94990ABD3 08/26/20 08/15/26     91.400     0.000     1.5121     32.90   0.039546   0.039845   0.040146   0.040450  0.040756     14.37    14.59 
WELLMAN-UNION TEX CONS   94990ABA9 08/26/20 08/15/23     97.296     0.000     0.9253     21.31   0.025465   0.025583                                      5.73          
WELLMAN-UNION TEX CONS   94990ABB7 08/26/20 08/15/24     95.697     0.000     1.1111     25.22   0.030187   0.030355   0.030524   0.030693               10.94     6.87 
WELLMAN-UNION TEX CONS   94990ABG6 08/26/20 08/15/29     83.556     0.000     2.0130     40.23   0.048601   0.049090   0.049584   0.050083  0.050588     17.72    18.08 
WELLMAN-UNION TEX CONS   94990ABE1 08/26/20 08/15/27     88.797     0.000     1.7121     36.26   0.043672   0.044046   0.044423   0.044803  0.045187     15.89    16.16 
WELLMAN-UNION TEX CONS   94990ABF8 08/26/20 08/15/28     85.921     0.000     1.9131     39.28   0.047405   0.047858   0.048316   0.048778  0.049245     17.27    17.60 
WELLS FARGO FIN LLC MEDI 95001HA92 10/03/19 04/06/26    100.000     0.000     1.5302     50.71   0.044501   0.044841   0.045184   0.045530  0.045878     16.14    16.39 
WESTMONT ILL PK DIST     96081RBB5 03/17/21 12/01/29     81.532     0.000     2.3589     34.95   0.055605   0.056261   0.056925   0.057596  0.058275     20.18    20.65 
WESTMONT ILL PK DIST     96081RBC3 03/17/21 12/01/30     78.883     0.000     2.4587     35.27   0.056169   0.056859   0.057558   0.058266  0.058982     20.39    20.89 
WESTMONT ILL PK DIST     96081RBA7 03/17/21 12/01/28     84.924     0.000     2.1318     32.85   0.052143   0.052698   0.053260   0.053828  0.054402     18.91    19.31 
WESTMONT ILL PK DIST     96081RBF6 03/17/21 12/01/33     70.158     0.000     2.8086     35.92   0.057404   0.058210   0.059027   0.059856  0.060697     20.86    21.45 
WESTMONT ILL PK DIST     96081RBG4 03/17/21 12/01/34     67.312     0.000     2.9086     35.71   0.057132   0.057963   0.058806   0.059661  0.060529     20.77    21.38 
WESTMONT ILL PK DIST     96081RBD1 03/17/21 12/01/31     76.168     0.000     2.5588     35.47   0.056538   0.057262   0.057994   0.058736  0.059488     20.53    21.06 
WESTMONT ILL PK DIST     96081RBE9 03/17/21 12/01/32     72.980     0.000     2.7087     36.01   0.057492   0.058270   0.059060   0.059860  0.060670     20.88    21.45 
WESTMONT ILL PK DIST     96081RBJ8 03/17/21 12/01/36     61.598     0.000     3.1087     34.98   0.056066   0.056938   0.057823   0.058721  0.059634     20.39    21.03 
WESTMONT ILL PK DIST     96081RBK5 03/17/21 12/01/37     58.753     0.000     3.2086     34.46   0.055288   0.056175   0.057076   0.057991  0.058922     20.12    20.77 






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

WESTMONT ILL PK DIST     96081RBH2 03/17/21 12/01/35     64.455     0.000     3.0087     35.40   0.056684   0.057537   0.058402   0.059281  0.060172     20.61    21.24 
WEX INC                  96208TAB0 07/01/20 07/15/27     96.500     6.500     7.0234    181.76   0.216706   0.224316   0.232194   0.240348  0.248788     81.96    87.81 
WHITE GALLATIN ETC CNTYS 963806EF7 08/03/17 12/01/25    104.477     4.250     3.5381    198.28   0.099621   0.099295   0.098963   0.098625  0.118056     35.79    36.14 
WHITE GALLATIN ETC CNTYS 963806EE0 08/03/17 12/01/24    103.054     3.875     3.3896    188.07   0.095031   0.094817   0.094600   0.094379               34.16    31.18 
WHITE GALLATIN ETC CNTYS 963806ED2 08/03/17 12/01/23    103.545     3.875     3.2387    179.93   0.090523   0.090245                                     29.82          
WHITE GALLATIN ETC CNTYS 963806EG5 08/03/17 12/01/26    103.497     4.250     3.6875    205.32   0.103532   0.103264   0.102991   0.102713  0.118056     37.21    37.48 
WHITE SETTLEMENT TEX IND 964559X94 11/25/20 08/15/32     75.028     0.000     2.4658     39.65   0.053606   0.054267   0.054936   0.055614  0.056299     19.60    20.08 
WHITE SETTLEMENT TEX IND 964559X86 11/25/20 08/15/31     77.791     0.000     2.3558     39.24   0.053002   0.053626   0.054258   0.054897  0.055544     19.36    19.82 
WHITE SETTLEMENT TEX IND 964559X78 11/25/20 08/15/30     80.636     0.000     2.2259     38.39   0.051795   0.052372   0.052955   0.053544  0.054140     18.91    19.33 
WHITE SETTLEMENT TEX IND 964559X60 11/25/20 08/15/29     83.371     0.000     2.0959     37.33   0.050313   0.050840   0.051373   0.051911  0.052455     18.35    18.74 
WHITE SETTLEMENT TEX IND 964559X52 11/25/20 08/15/28     85.781     0.000     1.9959     36.55   0.049213   0.049704   0.050200   0.050701  0.051207     17.94    18.30 
WHITE SETTLEMENT TEX IND 964559X45 11/25/20 08/15/27     89.949     0.000     1.5819     30.27   0.040612   0.040934   0.041257   0.041584  0.041913     14.77    15.00 
WHITE SETTLEMENT TEX IND 964559Y44 11/25/20 08/15/35     66.639     0.000     2.7757     39.74   0.053880   0.054628   0.055386   0.056155  0.056934     19.74    20.29 
WHITE SETTLEMENT TEX IND 964559Y36 11/25/20 08/15/34     69.435     0.000     2.6758     39.89   0.054027   0.054750   0.055483   0.056225  0.056977     19.78    20.31 
WHITE SETTLEMENT TEX IND 964559Y28 11/25/20 08/15/33     72.207     0.000     2.5757     39.90   0.053992   0.054687   0.055391   0.056105  0.056827     19.75    20.26 
WHITE SETTLEMENT TEX IND 964559W95 11/25/20 08/15/24     96.169     0.000     1.0521     21.43   0.028619   0.028769   0.028921   0.029073               10.37     6.51 
WHITE SETTLEMENT TEX IND 964559W87 11/25/20 08/15/23     97.900     0.000     0.7811     16.16   0.021529   0.021613                                      4.84          
WHITE SETTLEMENT TEX IND 964559X37 11/25/20 08/15/26     91.950     0.000     1.4719     28.77   0.038557   0.038841   0.039127   0.039415  0.039705     14.01    14.22 
WHITE SETTLEMENT TEX IND 964559X29 11/25/20 08/15/25     94.498     0.000     1.2019     24.09   0.032208   0.032401   0.032596   0.032792  0.032989     11.68    11.82 
WIMBERLEY TEX INDPT SCH  972631ML6 07/21/20 08/15/40     54.518     0.000     3.0460     41.83   0.049103   0.049851   0.050610   0.051381  0.052163     18.02    18.57 
WIMBERLEY TEX INDPT SCH  972631MK8 07/21/20 08/15/39     57.268     0.000     2.9450     42.44   0.049767   0.050499   0.051243   0.051997  0.052763     18.25    18.79 
WIMBERLEY TEX INDPT SCH  972631MJ1 07/21/20 08/15/38     59.494     0.000     2.8950     43.32   0.050772   0.051507   0.052252   0.053009  0.053776     18.61    19.15 
WINDTHORST TEX INDPT SCH 973814BZ8 11/24/20 08/01/24     95.931     0.000     1.1300     23.01   0.030690   0.030864   0.031038   0.031214               11.13     6.55 
WOODFORD & MARSHALL CNTY 979293BN6 08/07/18 12/01/24    110.347     5.500     3.6329    172.79   0.104518   0.103642   0.102749   0.101840               37.42    33.74 
WOODFORD & MARSHALL CNTY 979293BM8 08/07/18 12/01/23    109.113     5.500     3.5804    168.02   0.101316   0.100394                                     33.27          
Wells Fargo & Company    94986RK67 04/21/16 04/21/26    100.000    VARIES     2.1558     24.83   0.010457   0.010569   0.010683   0.010799  0.010915      3.80     3.88 
Wells Fargo & Company    95001B2K9 02/14/18 02/14/25    105.000     0.125     3.5350    195.38   0.120121   0.122183   0.124281   0.126416  0.128590     44.18    45.72 
Wells Fargo & Company    94986RZU8 11/13/15 11/13/30    100.000    VARIES     2.4455     23.17   0.008954   0.009064   0.009175   0.009287  0.009400      3.25     3.33 
Wells Fargo & Company    95000E3U1 10/20/17 10/22/24    100.000     0.250     1.8358     99.06   0.055213   0.055656   0.056103   0.056554               20.02    16.41 
Wells Fargo & Company    94986RNX5 03/27/13 03/27/25    100.000    VARIES     1.3587     38.29   0.011388   0.011465   0.011543   0.011621  0.011700      4.13     4.18 
Wells Fargo & Company    94986RNW7 03/06/13 03/06/23    100.000    VARIES     1.1812     37.28   0.010993                                                 0.71          
Wells Fargo & Company    94986RMV0 01/25/13 01/27/25    100.000    VARIES     1.1863     35.68   0.010363   0.010425   0.010487   0.010549  0.010611      3.76     3.81 
Wells Fargo & Company    95000N2D0 02/24/17 02/24/27    100.000    VARIES     2.7668    161.43   0.076639   0.076662   0.076685   0.076708  0.076732     27.60    27.62 
Wells Fargo & Company    94986RA35 11/30/15 11/30/27    100.000    VARIES     2.3691     24.84   0.009870   0.009987   0.010105   0.010225  0.010346      3.58     3.67 
Wells Fargo & Company    95000N2K4 06/23/17 06/23/27    100.000    VARIES     2.5340     20.11   0.010267   0.010397   0.010529   0.010662  0.010797      3.72     3.82 
Wells Fargo & Company    95000N2J7 05/19/17 05/19/27    100.000    VARIES     2.6993     25.83   0.012639   0.012809   0.012982   0.013157  0.013335      4.60     4.72 
Wells Fargo & Company    95000N2T5 08/16/17 08/16/27    100.000    VARIES     2.5861     17.64   0.009138   0.009257   0.009376   0.009498  0.009620      3.34     3.43 
Wells Fargo & Company    95000N2V0 08/31/17 08/31/29    100.000    VARIES     2.4309     15.98   0.008230   0.008329   0.008431   0.008533  0.008637      3.00     3.08 
Wells Fargo & Company    95000N2P3 07/25/17 07/25/29    100.000    VARIES     2.6059     15.26   0.007714   0.007814   0.007916   0.008019  0.008124      2.83     2.90 
Wells Fargo & Company    95000N2Y4 09/15/17 09/15/27    100.000    VARIES     2.8997     27.82   0.013851   0.014052   0.014255   0.014462  0.014672      5.07     5.21 
Wells Fargo & Company    95000N2Z1 09/20/17 09/20/27    100.000    VARIES     2.5328     15.72   0.008395   0.008502   0.008609   0.008718  0.008829      3.06     3.14 
Wells Fargo & Company    94986RPH8 04/24/13 04/24/23    100.000    VARIES     1.3234     27.16   0.008191                                                 0.93          






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 
______________           _________ ________ ________    _______     _____    _______  ________   ________   ________   ________   ________  ________    ______   ______

Wells Fargo & Company    95000N3F4 10/25/17 10/25/27    100.000    VARIES     2.7552     14.84   0.007976   0.008086   0.008197   0.008310  0.008424      2.91     2.99 
Wells Fargo & Company    94986RB59 12/24/15 12/24/25    100.000    VARIES     2.3798     23.19   0.009592   0.009706   0.009821   0.009938  0.010056      3.48     3.56 
Wells Fargo & Company    95000N3G2 10/20/17 10/20/27    100.000    VARIES     2.7158     16.30   0.008734   0.008853   0.008973   0.009095  0.009218      3.18     3.27 
Wells Fargo & Company    95000N3B3 09/21/17 09/21/27    100.000    VARIES     2.5668     15.79   0.008332   0.008439   0.008548   0.008657  0.008769      3.04     3.12 
Wells Fargo & Company    95000N3N7 01/31/18 01/31/38    100.000    VARIES     3.2610     13.75   0.006865   0.006977   0.007091   0.007206  0.007324      2.53     2.61 
Wells Fargo & Company    95000N3M9 01/31/18 01/31/28    100.000    VARIES     3.2008     12.22   0.006806   0.006915   0.007025   0.007138  0.007252      2.50     2.58 
Wells Fargo & Company    94986RB91 12/23/15 12/23/30    100.000    VARIES     2.5508     26.09   0.010236   0.010366   0.010499   0.010633  0.010768      3.71     3.81 
Wells Fargo & Company    94986RB75 12/23/15 12/23/27    100.000    VARIES     2.4986     24.40   0.009791   0.009914   0.010037   0.010163  0.010290      3.55     3.64 
Wells Fargo & Company    94986RE72 02/24/16 02/24/28    100.000    VARIES     1.9880     28.58   0.011610   0.011725   0.011842   0.011960  0.012079      4.23     4.31 
Wells Fargo & Company    94986RUW9 09/23/14 09/23/24    100.000    VARIES     2.5651     21.12   0.007676   0.007774   0.007874   0.007975                2.80     2.08 
Wells Fargo & Company    94986RVA6 09/30/14 09/30/24    100.000    VARIES     2.5155     21.12   0.007687   0.007784   0.007882   0.007981                2.80     2.14 
Wells Fargo & Company    95001D2G4 04/20/18 04/20/28    100.000    VARIES     3.4399     18.51   0.010774   0.010960   0.011148   0.011340  0.011535      3.94     4.08 
Wells Fargo & Company    95001D2D1 03/21/18 03/21/30    100.000    VARIES     3.3176     14.46   0.008108   0.008243   0.008380   0.008519  0.008660      2.97     3.07 
Wells Fargo & Company    94986RD40 01/26/16 01/26/26    100.000    VARIES     2.1764     24.28   0.010028   0.010137   0.010248   0.010359  0.010472      3.66     3.74 
Wells Fargo & Company    95001D2N9 07/03/18 07/03/28    100.000    VARIES     3.5475     24.73   0.014182   0.014433   0.014689   0.014950  0.015215      5.24     5.43 
Wells Fargo & Company    95001D2X7 09/26/18 09/26/28    100.000    VARIES     3.7928     12.32   0.007711   0.007857   0.008006   0.008158  0.008313      2.83     2.94 
Wells Fargo & Company    95001D2R0 08/24/18 08/24/28    100.000    VARIES     3.6466     28.33   0.016697   0.017002   0.017312   0.017627  0.017949      6.14     6.37 
Wells Fargo & Company    94986RTM3 03/27/14 03/27/23    100.000     0.000     3.5789    364.54   0.134398                                                11.56          
Wells Fargo & Company    94986RWZ0 05/21/15 05/21/27    100.000    VARIES     2.2895     28.46   0.010632   0.010754   0.010877   0.011002  0.011127      3.86     3.95 
Wells Fargo & Company    94986RWJ6 03/31/15 03/31/25    100.000    VARIES     2.0659    157.83   0.056858   0.056961   0.057066   0.057171  0.057278     20.51    20.58 
Wells Fargo & Company    94986RG21 03/23/16 03/23/26    100.000    VARIES     2.2005     26.36   0.011154   0.011276   0.011400   0.011526  0.011653      4.06     4.15 
Wells Fargo & Company    94986RWQ0 04/22/15 04/22/30    100.000    VARIES     2.2225    165.26   0.059466   0.059606   0.059748   0.059891  0.060035     21.45    21.55 
Wells Fargo & 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 






